cotcube-helpers 0.2.0 → 0.2.1.1

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,11 @@
+## 0.2.1.1 (November 10, 2021)
+  - Bump version to 0.2.1.
+  - Bump version to 0.2.1.
+
+## 0.2.1 (November 10, 2021)
+  - added new class 'dataclient' for communication with dataproxy
+  - added .translate_ib_contract
+
 ## 0.2.0 (November 07, 2021)
   - added module Candlestick_Recognition
   - added instance_inspect method to 'scan' objects for contents of instance variables

data/Gemfile

@@ -4,3 +4,5 @@ source 'https://rubygems.org'
 
 # Specify your gem's dependencies in bitangent.gemspec
 gemspec
+gem 'parallel'
+gem 'bunny'

data/VERSION

@@ -1 +1 @@
-0.2.0
+0.2.1.1

data/lib/cotcube-helpers/constants.rb

@@ -33,6 +33,12 @@ module Cotcube
 
     DATE_FMT = '%Y-%m-%d'
 
+    # Simple mapper to get from MONTH to LETTER
+    LETTERS = { "JAN"=> "F", "FEB"=> "G", "MAR"=> "H",
+                "APR"=> "J", "MAY"=> "K", "JUN"=> "M",
+                "JUL"=> "N", "AUG"=> "Q", "SEP"=> "U",
+                "OCT"=> "V", "NOV"=> "X", "DEC"=> "Z" }
+
   end
 end
 

data/lib/cotcube-helpers/data_client.rb

@@ -0,0 +1,177 @@
+#!/usr/bin/env ruby
+require 'bunny'
+require 'json'
+
+module Cotcube
+  module Helpers
+    class DataClient
+
+      def initialize
+        @connection = Bunny.new(automatically_recover: true)
+        @connection.start
+
+        @channel  = connection.create_channel
+        @exchange = channel.direct('dataproxy_commands', auto_delete: true)
+        @requests = {} 
+        @persistent = { depth: {}, realtimebars: {}, ticks: {} }
+        @response = nil
+
+        setup_reply_queue
+      end
+
+      def help
+        puts "The following commands are available:\n\n"\
+          "\tcontracts  = client.get_contracts(symbol:)\n"\
+          "\tbars       = client.get_historical(contract:, duration:, interval:, before: nil)"\
+          "\trequest_id = client.start_realtimebars(contract: )\n"\
+          "\t             client.stop_realtimebars(request_id: )\n"\
+          "\trequest_id = client.start_ticks(contract: )\n"\
+          "\t             client.stop_ticks(request_id: )\n"
+      end
+
+      def send_command(command, timeout: 5)
+        command = { command: command.to_s } unless command.is_a? Hash
+        command[:timestamp] ||= (Time.now.to_f * 1000).to_i
+        request_id = Digest::SHA256.hexdigest(command.to_json)[..6]
+        requests[request_id] = { request: command, id: request_id }
+
+        exchange.publish(command.to_json,
+                         content_type: 'application/json',
+                         routing_key: 'dataproxy_commands',
+                         correlation_id: request_id,
+                         reply_to: reply_queue.name)
+
+        # wait for the signal to continue the execution
+        lock.synchronize { 
+          condition.wait(lock, timeout) 
+        } 
+
+        response
+      end
+
+      def stop
+        channel.close
+        connection.close
+      end
+
+
+      def get_contracts(symbol: )
+        send_command( { command: :get_contracts, symbol: symbol } )
+      end
+
+      def get_historical(contract:, interval:, duration: nil, before: nil, rth_only: false, based_on: :trades)
+        # rth.true? means data outside of rth is skipped
+        rth_only = rth_only ? 1 : 0
+        default_durations = {
+          sec1:  '30_M',
+          sec5:   '2_H',
+          sec15:  '6_H',
+          sec30: '12_H',
+          min1:   '1_D',
+          min2:   '2_D',
+          min5:   '5_D',
+          min15:  '1_W',
+          min30:  '1_W',
+          hour1:  '1_W',
+          day1:   '1_Y'
+        } 
+        raise "Invalid interval '#{interval}', should be in '#{default_durations.keys}'." unless default_durations.keys.include? interval
+        # TODO: Check for valid duration specification
+        duration ||= default_durations[interval] 
+        send_command( { 
+          command: :historical,
+          contract: contract,
+          interval: interval,
+          duration: duration,
+          based_on: based_on.to_s.upcase,
+          rth_only: rth_only,
+          before: nil
+        }, timeout: 20 )
+      end
+
+      def start_persistent(contract:, type: :realtimebars, &block)
+        unless %i[ depth ticks realtimebars].include? type.to_sym
+          puts "ERROR: Inappropriate type in stop_realtimebars with #{type}"
+          return false
+        end
+
+        ib_contract = Cotcube::Helpers.get_ib_contract(contract)
+        exchange = channel.fanout( "dataproxy_#{type.to_s}_#{contract}", auto_delete: true)
+        queue  = channel.queue('', exclusive: true, auto_delete: true)
+        queue.bind(exchange)
+        block ||= ->(bar){ puts "#{bar}" }
+        queue.subscribe do  |_delivery_info, properties, payload|
+          block.call(JSON.parse(payload, symbolize_names: true))
+        end
+        command = { command: type, contract: contract, con_id: ib_contract[:con_id], delivery: queue.name, exchange: exchange.name }
+        persistent[type][queue.name] = command
+        persistent[type][queue.name][:queue] = queue
+        send_command(command)
+      end
+
+      def stop_persistent(contract:, type: :realtimebars )
+        unless %i[ depth ticks realtimebars].include? type.to_sym
+          puts "ERROR: Inappropriate type in stop_realtimebars with #{type}"
+          return false
+        end
+        ib_contract = Cotcube::Helpers.get_ib_contract(contract)
+        command = { command: "stop_#{type}", contract: contract, con_id: ib_contract[:con_id] }
+        send_command(command)
+      end
+
+      attr_accessor :response
+      attr_reader   :lock, :condition
+
+      private
+      attr_reader :call_id, :connection, :requests, :persistent,
+        :channel, :server_queue_name, :reply_queue, :exchange
+
+
+      def setup_reply_queue
+        @lock = Mutex.new
+        @condition = ConditionVariable.new
+        that = self
+        @reply_queue = channel.queue('', exclusive: true, auto_delete: true)
+        @reply_queue.bind(channel.exchange('dataproxy_replies', auto_delete: true), routing_key: @reply_queue.name)
+
+        reply_queue.subscribe do |delivery_info, properties, payload|
+
+          __id__ = properties[:correlation_id] 
+
+          if __id__.nil?
+            puts "Received without __id__: #{delivery_info.map{|k,v| "#{k}\t#{v}"}.join("\n")
+                      }\n\n#{properties   .map{|k,v| "#{k}\t#{v}"}.join("\n")
+                      }\n\n#{JSON.parse(payload).map{|k,v| "#{k}\t#{v}"}.join("\n")}"
+
+          elsif requests[__id__].nil?
+            puts "Received non-matching response: \n\n#{_delivery_info}\n\n#{properties}\n\n#{payload}\n."
+          else 
+            that.response = payload
+
+            # sends the signal to continue the execution of #call
+            requests.delete(__id__)
+            that.lock.synchronize { that.condition.signal }
+          end
+        end
+      end
+
+    end
+  end
+end
+
+__END__
+begin 
+  client = DataClient.new
+  reply = client.send_command( { command: 'ping' } ) #{ command: :hist, contract: 'A6Z21', con_id: 259130514, interval: :min15 } )
+  puts reply.nil? ? 'nil' : JSON.parse(reply)
+  reply = client.get_historical( contract: 'A6Z21',  con_id: 259130514, interval: :min15 , rth_only: false)
+  JSON.parse(reply, symbolize_names: true)[:result].map{|z| 
+    z[:datetime] = Cotcube::Helpers::CHICAGO.parse(z[:time]).strftime('%Y-%m-%d %H:%M:%S')
+    z.delete(:created_at)
+    z.delete(:time)
+    p z.slice(*%i[datetime open high low close volume]).values
+
+  } 
+ensure
+  client.stop
+  e,nd

data/lib/cotcube-helpers/get_id_set.rb

@@ -20,10 +20,10 @@ module Cotcube
       end
 
       unless symbol.nil?
-        sym = symbols(symbol: symbol)
+        sym = symbols(symbol: symbol).presence || micros(symbol: symbol)
         if sym.nil? || sym[:id].nil?
           raise ArgumentError,
-                "Could not find match in #{config[:symbols_file]} for given symbol #{symbol}"
+                "Could not find match in #{config[:symbols_file]} or #{config[:micros_file]} for given symbol #{symbol}"
         end
         raise ArgumentError, "Mismatching symbol #{symbol} and given id #{id}" if (not id.nil?) && (sym[:id] != id)
 
@@ -39,6 +39,7 @@ module Cotcube
       end
       raise ArgumentError, 'Need :id, :symbol or valid :contract '
     end
+
   end
 end
 

data/lib/cotcube-helpers/ib_contracts.rb

@@ -0,0 +1,69 @@
+module Cotcube
+  module Helpers
+    def get_ib_contract(contract)
+      symbol = contract[..1]
+      # TODO consider file location to be found in configfile
+      filepath =  '/etc/cotcube/ibsymbols/'
+      result = YAML.load(File.read( "#{filepath}/#{symbol}.yml"))[contract].transform_keys(&:to_sym) rescue nil
+      result.nil? ? update_ib_contracts(symbol: contract[..1]) : (return result)
+      YAML.load(File.read( "#{filepath}/#{symbol}.yml"))[contract].transform_keys(&:to_sym) rescue nil
+    end
+
+    def update_ib_contracts(symbol: nil)
+      begin
+        client = DataClient.new
+        (Cotcube::Helpers.symbols + Cotcube::Helpers.micros).each do |sym|
+
+          # TODO: consider file location to be located in config
+          file = "/etc/cotcube/ibsymbols/#{sym[:symbol]}.yml"
+
+          # TODO: VI publishes weekly options which dont match, the 3 others need multiplier enabled to work
+          next if %w[ DY TM SI VI ].include? sym[:symbol]
+          next if symbol and sym[:symbol] != symbol
+          begin
+            if File.exist? file
+              next if Time.now - File.mtime(file) < 5.days
+              data = nil
+              data = YAML.load(File.read(file))
+            else
+              data = {}
+            end
+            p file
+            %w[ symbol sec_type exchange multiplier ticksize power internal ].each {|z| data.delete z}
+            raw   = client.get_contracts(symbol: sym[:symbol])
+            reply = JSON.parse(raw)['result']
+            reply.each do |set|
+              contract = translate_ib_contract set['local_symbol']
+              data[contract] ||= set
+            end
+            keys = data.keys.sort_by{|z| z[2]}.sort_by{|z| z[-2..] }.select{|z| z[..1] == sym[:symbol] }
+            data = data.slice(*keys)
+            File.open(file, 'w'){|f| f.write(data.to_yaml) }
+          rescue Exception => e
+            puts e.full_message
+            p sym
+            binding.irb
+          end
+        end
+      ensure 
+        client.stop
+        true
+      end
+    end
+
+    def translate_ib_contract(contract)
+      short = contract.split(" ").size == 1
+      sym_a = contract.split(short ? '' : ' ')
+      year  = sym_a.pop.to_i + (short ? 20 : 0)
+      if short and sym_a[-1].to_i > 0
+        year = year - 20 + sym_a.pop.to_i * 10
+      end
+      month = short ? sym_a.pop : LETTERS[sym_a.pop]
+      sym   = Cotcube::Helpers.symbols(internal: sym_a.join)[:symbol] rescue nil
+      sym ||= Cotcube::Helpers.micros(internal: sym_a.join)[:symbol] rescue nil
+      sym.nil? ? false : "#{sym}#{month}#{year}"
+    end
+
+  end
+end
+

data/lib/cotcube-helpers/symbols.rb

@@ -17,7 +17,7 @@ module Cotcube
             [ :ticksize, :power, :bcf ].each {|z| row[z] = row[z].to_f}
             row[:format] = "%#{row[:format]}f"
             row[:currency] ||= 'USD'
-            row[:multiplier] = (row[:ticksize] / row[:power]).round(8)
+            row[:multiplier] = (row[:power] / row[:ticksize]).round(8)
             row
           }
           .reject{|row| row[:id].nil? }
@@ -35,7 +35,7 @@ module Cotcube
       end
     end
 
-    def micros(config: init, symbol: nil, id: nil)
+    def micros(config: init, **args)
       if config[:micros_file].nil?
         MICRO_EXAMPLES
       else
@@ -46,13 +46,14 @@ module Cotcube
             [ :ticksize, :power, :bcf ].each {|z| row[z] = row[z].to_f }
             row[:format] = "%#{row[:format]}f"
             row[:currency] ||= 'USD'
+            row[:multiplier] = (row[:power] / row[:ticksize]).round(8)
             row
           }
           .reject{|row| row[:id].nil? }
           .tap{ |all|
             args.keys.each { |header|
              unless SYMBOL_HEADERS.include? header
-                puts "WARNING in Cotcube::Helpers.symbols: '#{header}' is not a valid symbol header. Skipping..."
+                puts "WARNING in Cotcube::Helpers.micros: '#{header}' is not a valid symbol header. Skipping..."
                 next
               end
               all.select!{|x| x[header] == args[header]} unless args[header].nil?
@@ -62,6 +63,7 @@ module Cotcube
           }
       end
     end
+
   end
 
 end

data/lib/cotcube-helpers.rb

@@ -7,6 +7,8 @@ require 'active_support/core_ext/time'
 require 'active_support/core_ext/numeric'
 require 'parallel'
 require 'csv'
+require 'yaml'
+require 'json'
 
 require_relative 'cotcube-helpers/array_ext'
 require_relative 'cotcube-helpers/enum_ext'
@@ -26,7 +28,9 @@ require_relative 'cotcube-helpers/reduce'
 require_relative 'cotcube-helpers/symbols'
 require_relative 'cotcube-helpers/init'
 require_relative 'cotcube-helpers/get_id_set'
+require_relative 'cotcube-helpers/ib_contracts'
 require_relative 'cotcube-helpers/recognition'
+require_relative 'cotcube-helpers/data_client'
 
 module Cotcube
   module Helpers
@@ -40,6 +44,9 @@ module Cotcube
                     :symbols,
                     :micros,
                     :get_id_set,
+                    :get_ib_contract,
+                    :update_ib_contracts,
+                    :translate_ib_contract,
                     :init
 
     # please not that module_functions of source provided in private files must be published there

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: cotcube-helpers
 version: !ruby/object:Gem::Version
-  version: 0.2.0
+  version: 0.2.1.1
 platform: ruby
 authors:
 - Benjamin L. Tischendorf
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2021-11-07 00:00:00.000000000 Z
+date: 2021-11-11 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: activesupport
@@ -97,10 +97,12 @@ files:
 - lib/cotcube-helpers.rb
 - lib/cotcube-helpers/array_ext.rb
 - lib/cotcube-helpers/constants.rb
+- lib/cotcube-helpers/data_client.rb
 - lib/cotcube-helpers/datetime_ext.rb
 - lib/cotcube-helpers/enum_ext.rb
 - lib/cotcube-helpers/get_id_set.rb
 - lib/cotcube-helpers/hash_ext.rb
+- lib/cotcube-helpers/ib_contracts.rb
 - lib/cotcube-helpers/init.rb
 - lib/cotcube-helpers/input.rb
 - lib/cotcube-helpers/numeric_ext.rb