dtn 0.0.0 → 0.1.0

data/lib/dtn/lookups/request.rb

@@ -0,0 +1,92 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Lookups
+    # Lookups are used to get historical data from IQFeed's lookup socket.
+    # This class returns historical data as the return value from the function
+    # used to request the data.
+    #
+    # Works synchronously
+    #
+    # For more details see:
+    # www.iqfeed.net/dev/api/docs/HistoricalviaTCPIP.cfm
+    class Request
+      END_OF_MESSAGE_CHARACTERS = /!ENDMSG!/.freeze
+      NO_DATA_CHARACTERS = /!NO_DATA!/.freeze
+      SYNTAX_ERROR_CHARACTERS = /!SYNTAX_ERROR!/.freeze
+
+      PORT = 9100
+
+      include Dtn::Concerns::Id
+
+      class << self
+        def call(*args, **opts, &blk)
+          new.call(*args, **opts, &blk)
+        end
+      end
+
+      attr_accessor :combined_options
+
+      # Initialize the request to api, should be used in children classes only
+      #
+      # @returns nil or request_id (Integer)
+      def call(*, &blk)
+        socket.print "#{format(self.class.const_get(:TEMPLATE), combined_options)}\r\n"
+
+        pull_socket(&blk)
+
+        return result_accumulator unless block_given?
+      end
+
+      private
+
+      def pull_socket(&blk)
+        catch(:pull_termination) do
+          while (line = socket.gets)
+            process_line(line: line, &blk)
+          end
+        end
+      end
+
+      def process_line(line:)
+        message = engine_klass_picker(line).parse(line: line, request: self)
+        throw(:pull_termination) if message.termination?
+
+        block_given? ? yield(message) : result_accumulator << message
+      end
+
+      def result_accumulator
+        @result_accumulator ||= []
+      end
+
+      def engine_klass_picker(line)
+        /^(\d+,)?(.+)/ =~ line
+        payload = Regexp.last_match(2)
+        case payload
+        when END_OF_MESSAGE_CHARACTERS then Messages::System::EndOfMessageCharacters
+        when NO_DATA_CHARACTERS then Messages::System::NoDataCharacters
+        when /^E,/, SYNTAX_ERROR_CHARACTERS then Messages::System::Error
+        else expected_messages_class
+        end
+      end
+
+      # This should contain expected class of the returning message.
+      # Might be overwritten in child class
+      #
+      # @returns Class
+      def expected_messages_class
+        self.class.name.sub("Lookups", "Messages").constantize
+      end
+
+      def socket
+        @socket ||= TCPSocket.open(Dtn.host, PORT)
+      end
+
+      def defaults(**options)
+        {
+          id: id
+        }.merge(options)
+      end
+    end
+  end
+end

data/lib/dtn/lookups/symbol/base.rb

@@ -0,0 +1,11 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Lookups
+    module Symbol
+      # Symbol lookup
+      class Base < Request
+      end
+    end
+  end
+end

data/lib/dtn/lookups/symbol/by_filter.rb

@@ -0,0 +1,58 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Lookups
+    module Symbol
+      # Symbol lookup by custom filter
+      class ByFilter < Base
+        TEMPLATE = "SBF,%<field_to_search>s,%<search_line>s,%<filter_type>s,%<filter_value>s,%<id>d"
+
+        # Symbols lookup by user filter.
+        #
+        # @params field_to_search String, can be 's' for symbols or 'd' for description. Default nil
+        # @params filter_type String, can be 'e' for listed_markets or 't' security_types. Default nil
+        # @params filter_value Array of Strings or ' ' separated String
+        #
+        #
+        # Example messages
+        #
+        #    SBF,[Field To Search],[Search String],[Filter Type],[Filter Value],[RequestID]<CR><LF>
+        def call(search_line:, **options)
+          self.combined_options = defaults(**options).merge(
+            {
+              search_line: search_line,
+              field_to_search: validate_field_to_search(options[:field_to_search]),
+              filter_type: validate_filter_type(options[:filter_type]),
+              filter_value: validate_filter_value(options[:filter_value], options[:filter_type])
+            }
+          )
+          super
+        end
+
+        private
+
+        def validate_field_to_search(value)
+          return value if ["", "s", "d"].include?(value.to_s)
+
+          raise ValidationError, "Got #{value}, but field_to_search can be only 's' to search " \
+                                 "be symbols or 'd' to search by descriptions."
+        end
+
+        def validate_filter_type(value)
+          return value if ["", "e", "t"].include?(value.to_s)
+
+          raise ValidationError, "Got #{value}, but filter_type can be only 'e' for listed_markets "\
+                                 "or 't' for security_types."
+        end
+
+        # it assume that filter type was already validated
+        def validate_filter_value(value, filter_type)
+          catalog = filter_type.to_s == "e" ? Dtn.listed_markets_catalog : Dtn.security_types_catalog
+          v = value.is_a?(Array) ? value : value.to_s.split.map(&:to_i)
+          v.each { |el| catalog.registered?(el) || raise("Missing #{el} in #{catalog.name} catalog") }
+          value
+        end
+      end
+    end
+  end
+end

data/lib/dtn/lookups/symbol/by_naic.rb

@@ -0,0 +1,26 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Lookups
+    module Symbol
+      # Symbol lookup by NAIC
+      class ByNaic < Base
+        TEMPLATE = "SBN,%<search_line>s,%<id>d"
+
+        # Return symbols in a specific NAIC sector.
+        #
+        # Example messages
+        #
+        #   SBN,[Search String],[RequestID]<CR><LF>
+        def call(search_line:, **options)
+          self.combined_options = defaults(**options).merge(
+            {
+              search_line: search_line
+            }
+          )
+          super
+        end
+      end
+    end
+  end
+end

data/lib/dtn/lookups/symbol/by_sic.rb

@@ -0,0 +1,26 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Lookups
+    module Symbol
+      # Symbol lookup by SIC
+      class BySic < Base
+        TEMPLATE = "SBS,%<search_line>s,%<id>d"
+
+        # Return symbols in a specific SIC sector.
+        #
+        # Example messages
+        #
+        #   SBS,[Search String],[RequestID]<CR><LF>
+        def call(search_line:, **options)
+          self.combined_options = defaults(**options).merge(
+            {
+              search_line: search_line
+            }
+          )
+          super
+        end
+      end
+    end
+  end
+end

data/lib/dtn/message.rb

@@ -0,0 +1,29 @@
+# frozen_string_literal: true
+
+module Dtn
+  # Message abstraction
+  class Message < OpenStruct
+    class << self
+      def parse(**options)
+        new(options)
+      end
+
+      def callback_name
+        @callback_name ||= name.demodulize.underscore
+      end
+    end
+
+    def callback_name
+      self.class.callback_name
+    end
+  end
+
+  # For messages which return a collection of comma separated values.
+  class ParseListFromMessage < Message
+    class << self
+      def parse(line:, **)
+        new list: line.chomp.split(",").uniq
+      end
+    end
+  end
+end

data/lib/dtn/messages/bar/base.rb

@@ -0,0 +1,30 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Bar
+      # Streaming Bars data.
+      class Base < MessageWithSimpleParser
+        class << self
+          # rubocop:disable Metrics/MethodLength
+          def fields
+            @fields ||= {
+              request_id: :to_i,
+              _skip: nil,
+              symbol: :to_s,
+              timestamp: :to_datetime,
+              open: :to_f,
+              high: :to_f,
+              low: :to_f,
+              close: :to_f,
+              total_volume: :to_i,
+              volume: :to_i,
+              number_of_trades: :to_i
+            }
+          end
+          # rubocop:enable Metrics/MethodLength
+        end
+      end
+    end
+  end
+end

data/lib/dtn/messages/bar/current_bar.rb

@@ -0,0 +1,11 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Bar
+      # Current (live) messages for bar request
+      class CurrentBar < Base
+      end
+    end
+  end
+end

data/lib/dtn/messages/bar/historical_bar.rb

@@ -0,0 +1,11 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Bar
+      # Historical messages for bar request
+      class HistoricalBar < Base
+      end
+    end
+  end
+end

data/lib/dtn/messages/bar/update_bar.rb

@@ -0,0 +1,11 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Bar
+      # Update messages for bar request
+      class UpdateBar < Base
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/code.rb

@@ -0,0 +1,22 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      # Code
+      class Code < Message
+        class << self
+          # this Message does not respect commas
+          def parse(line:, **)
+            id, *description = line.split(",").reject(&:blank?)
+
+            new.tap do |n|
+              n.id = id.to_i
+              n.description = description.join(",").gsub('"', "")
+            end
+          end
+        end
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/listed_markets.rb

@@ -0,0 +1,20 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      # Listed Markets
+      class ListedMarkets < MessageWithSimpleParser
+        class << self
+          def fields
+            @fields ||= {
+              id: :to_i,
+              name: :to_s,
+              description: :to_s
+            }
+          end
+        end
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/naic_codes.rb

@@ -0,0 +1,10 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      class NaicCodes < Code
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/security_types.rb

@@ -0,0 +1,20 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      # Security Types
+      class SecurityTypes < MessageWithSimpleParser
+        class << self
+          def fields
+            @fields ||= {
+              id: :to_i,
+              name: :to_s,
+              description: :to_s
+            }
+          end
+        end
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/sic_codes.rb

@@ -0,0 +1,10 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      class SicCodes < Code
+      end
+    end
+  end
+end

data/lib/dtn/messages/catalog/trade_conditions.rb

@@ -0,0 +1,20 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Catalog
+      # Trade conditions
+      class TradeConditions < MessageWithSimpleParser
+        class << self
+          def fields
+            @fields ||= {
+              id: :to_i,
+              name: :to_s,
+              description: :to_s
+            }
+          end
+        end
+      end
+    end
+  end
+end

data/lib/dtn/messages/historical/daily_weekly_monthly.rb

@@ -0,0 +1,25 @@
+# frozen_string_literal: true
+
+module Dtn
+  module Messages
+    module Historical
+      # High timeframe Bar representation
+      class DailyWeeklyMonthly < MessageWithSimpleParser
+        class << self
+          def fields
+            @fields ||= {
+              request_id: :to_i,
+              timestamp: :to_datetime,
+              high: :to_f,
+              low: :to_f,
+              open: :to_f,
+              close: :to_f,
+              period_volume: :to_i,
+              open_interest: :to_i
+            }
+          end
+        end
+      end
+    end
+  end
+end