dtn 0.0.0 → 0.1.0

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@@ -1,7 +1,7 @@
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data/.circleci/config.yml

@@ -2,10 +2,10 @@ version: 2.1
 defaults: &defaults
   working_directory: ~/repo
   docker:
-    - image: circleci/ruby:2.6.3-stretch-node
+    - image: circleci/ruby:2.6
       environment:
         BUNDLE_PATH: vendor/bundle
-  # executor: ruby/default
+
 commands:
   prepare:
     description: "Common preparation steps"
@@ -46,7 +46,14 @@ jobs:
           paths:
             - cc-test-reporter
   rspec:
-    <<: *defaults
+    working_directory: ~/repo
+    docker:
+      - image: << parameters.image >>
+        environment:
+          BUNDLE_PATH: vendor/bundle
+    parameters:
+      image:
+        type: string
     environment:
       COVERAGE: "1"
       CI: "1"
@@ -59,11 +66,11 @@ jobs:
           command: |
             bundle exec rspec
 
-            ./tmp/cc-test-reporter format-coverage -t simplecov -o tmp/codeclimate.json coverage/coverage.json
+            ./tmp/cc-test-reporter format-coverage -t simplecov -o tmp/codeclimate.$CIRCLE_BUILD_NUM.json coverage/coverage.json
       - persist_to_workspace:
           root: tmp
           paths:
-            - codeclimate.json
+            - codeclimate.*.json
   rubocop:
     <<: *defaults
     steps:
@@ -80,7 +87,10 @@ jobs:
           at: ~/repo/tmp
       - run:
           name: Upload coverage results to Code Climate
+          # --parts flag must match the build matrix size
           command: |
+            ./tmp/cc-test-reporter sum-coverage -o tmp/codeclimate.json --parts 3 tmp/codeclimate.*.json
+
             ./tmp/cc-test-reporter upload-coverage -i tmp/codeclimate.json
 
 workflows:
@@ -91,6 +101,12 @@ workflows:
       - rspec:
           requires:
             - download_test_reporter
+          matrix:
+            parameters:
+              image:
+              - "circleci/ruby:2.6"
+              - "circleci/ruby:2.7"
+              - "circleci/ruby:3.0"
       - rubocop
       - upload-coverage:
           requires:

data/.env.example

@@ -0,0 +1,5 @@
+# aka customerID aka acoountNumber. do not overwrite it if you do not have the value!
+IQFEED_PRODUCT_ID=
+# aka userID aka userName
+IQFEED_LOGIN=
+IQFEED_PASSWORD=

data/.gitignore

@@ -6,7 +6,9 @@
 /pkg/
 /spec/reports/
 /tmp/
+/logs/
 
 # rspec failure tracking
 .rspec_status
 Gemfile.lock
+.env

data/.rubocop.yml

@@ -16,3 +16,10 @@ Layout/LineLength:
 Metrics/BlockLength:
   Exclude:
     - spec/**/*
+
+Metrics/ModuleLength:
+  Exclude:
+    - spec/**/*
+
+Naming/InclusiveLanguage:
+  Enabled: false

data/CHANGELOG.md

@@ -2,4 +2,8 @@
 
 ## [0.0.0] - 2021-05-21
 
-- Initial release
+- Initial release (name reserve)
+
+## [0.1.0] - 2021-07-20
+
+- First tested version of the gem

data/Gemfile

@@ -8,11 +8,13 @@ gemspec
 gem "rake", "~> 13.0"
 
 gem "pry", "~> 0.14.0"
-gem "rubocop", "~> 1.15.0", require: false
+gem "rubocop", "~> 1.18.0", require: false
 gem "rubocop-rake", "~> 0.5.0", require: false
 gem "rubocop-rspec", "~> 2.3.0", require: false
 
 group :test do
+  gem "business_time", "~> 0.10.0"
+  gem "holidays", "~> 8.4.0"
   gem "rspec", ">= 3.10.0", "< 4.0"
   gem "rspec_junit_formatter"
   gem "simplecov", "~> 0.21.0", require: false

data/README.md

@@ -4,14 +4,30 @@
 [![Maintainability](https://api.codeclimate.com/v1/badges/7bf62332c4d163460678/maintainability)](https://codeclimate.com/github/kvokka/dtn/maintainability)
 [![Test Coverage](https://api.codeclimate.com/v1/badges/7bf62332c4d163460678/test_coverage)](https://codeclimate.com/github/kvokka/dtn/test_coverage)
 
-
 # Dtn
 
-WIP. TODO: upd readme
+Unofficial DTN (IQFeed) client.
+
+# Dependencies
+
+* IQFeed client ~> 6.1
+
+# IQFeed API support status
 
-Welcome to your new gem! In this directory, you'll find the files you need to be able to package up your Ruby library into a gem. Put your Ruby code in the file `lib/dtn`. To experiment with that code, run `bin/console` for an interactive prompt.
+## Streaming clients
 
-TODO: Delete this and the text above, and describe your gem
+- [x] Quote (Level 1) client
+- [x] Level 2 client
+- [x] Bar (Derivative) client
+- [x] Admin client
+
+## Lookup client
+
+- [x] Historical data
+- [x] News data
+- [x] Symbol Lookup data
+- [ ] Chains Lookup data
+- [ ] Market Summary Data (new in protocol 6.1)
 
 ## Installation
 
@@ -31,17 +47,275 @@ Or install it yourself as:
 
 ## Usage
 
-TODO: Write usage instructions here
+### Quick start
+
+```ruby
+Dtn::Lookups::Historical::DailyTimeframe.call(
+    symbol: :aapl,
+    begin_date: Date.new(2021, 5, 1),
+    end_date: Date.new(2021, 6, 1)
+    )
+
+=>
+#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Mon, 03 May 2021 18:06:37 +0000, high=134.07, low=131.83, open=132.04, close=132.54, period_volume=75135100, open_interest=0>
+#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Tue, 04 May 2021 18:06:37 +0000, high=131.4899, low=126.7, open=131.19, close=127.85, period_volume=137564718, open_interest=0>
+#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Wed, 05 May 2021 18:06:37 +0000, high=130.45, low=127.97, open=129.2, close=128.1, period_volume=84000900, open_interest=0>
+#<Dtn::Messages::Historical::DailyWeeklyMonthly request_id=1, timestamp=Thu, 06 May 2021 18:06:37 +0000, high=129.75, low=127.13, open=127.89, close=129.74, period_volume=78128334, open_interest=0>
+...
+
+# if block provided, then each message will be yielded as it is processed
+
+Dtn::Lookups::News::Headline.call(limit: 10) do |message|
+  # ...
+end
+```
+
+### Supported requests
+
+Keep in mind, that at the time of writing DTN, API has limit of 50
+historical requests per minute.
+
+TODO: Attach [limiter](https://github.com/Shopify/limiter) gem after merge
+https://github.com/Shopify/limiter/pull/17 https://github.com/Shopify/limiter/pull/19
+or use own branch of this gem.
+
+#### News
+
+* [config](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/news/config.rb)
+```ruby
+Dtn::Lookups::News::Config.call
+```
+* [headline](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/news/headline.rb)
+```ruby
+Dtn::Lookups::News::Headline.call limit: 10, symbols: 'aapl;fb'
+```
+* [story_count](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/news/story_count.rb)
+```ruby
+Dtn::Lookups::News::StoryCount.call symbols: :aapl, date_range: Date.new(2020,1,1)..Date.new(2020,2,1)
+```
+* [story](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/news/story.rb)
+```ruby
+Dtn::Lookups::News::Story.call story_id: '22424363689'
+```
+
+
+NOTES:
+
+* if XML output option selected, the response will return **unparsed** XML
+
+#### Historical
+
+* [interval_day](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/interval_day.rb)
+```ruby
+Dtn::Lookups::Historical::IntervalDay.call(symbol: :aapl, interval: 3600, max_datapoints: 50, days: 2)
+```
+* [tick_timeframe](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/tick_timeframe.rb)
+```ruby
+Dtn::Lookups::Historical::TickTimeframe.call(
+              symbol: :aapl,
+              begin_datetime: begin_datetime,
+              end_datetime: end_datetime,
+              max_datapoints: 50
+            )
+```
+* [daily_datapoint](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/daily_datapoint.rb)
+```ruby
+Dtn::Lookups::Historical::DailyDatapoint.call(symbol: :aapl, max_datapoints: 50)
+```
+* [interval_timeframe](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/interval_timeframe.rb)
+```ruby
+Dtn::Lookups::Historical::IntervalTimeframe.call(
+              symbol: :aapl,
+              interval: 15,
+              max_datapoints: 50,
+              begin_datetime: DateTime.new(2020, 5, 1),
+              end_datetime: DateTime.new(2020, 6, 1)
+            )
+```
+* [tick_datapoint](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/tick_datapoint.rb)
+```ruby
+Dtn::Lookups::Historical::TickDatapoint.call(symbol: :aapl, max_datapoints: 100)
+```
+* [weekly_datapoint](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/weekly_datapoint.rb)
+```ruby
+Dtn::Lookups::Historical::WeeklyDatapoint.call(symbol: :aapl, max_datapoints: 10)
+```
+* [daily_timeframe](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/daily_timeframe.rb)
+```ruby
+Dtn::Lookups::Historical::DailyTimeframe.call(
+              symbol: :aapl,
+              begin_date: Date.new(2020, 5, 1),
+              end_date: Date.new(2020, 6, 1)
+            )
+```
+* [interval_datapoint](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/interval_datapoint.rb)
+```ruby
+Dtn::Lookups::Historical::IntervalDatapoint.call(symbol: :aapl, interval: 3600, max_datapoints: 100)
+```
+* [monthly_datapoint](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/monthly_datapoint.rb)
+```ruby
+Dtn::Lookups::Historical::MonthlyDatapoint.call(symbol: :aapl, max_datapoints: 10)
+```
+* [tick_day](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/historical/tick_day.rb)
+```ruby
+Dtn::Lookups::Historical::TickDay.call(symbol: :aapl, days: 2, max_datapoints: 50)
+```
+
+NOTES:
+
+* Lookups have extra options from their parents classes. They have appropriate
+defaults and are easy to customize.
+
+#### Catalogs
+
+For symbol lookup and description API use a few catalogs, which describe each row.
+They very rarely change and we can treat them as constants. To reduce requests to
+API they are requested only once. For easy access to them you can use:
+
+* `Dtn.listed_markets_catalog`
+* `Dtn.naic_codes_catalog`
+* `Dtn.security_types_catalog`
+* `Dtn.sic_codes_catalog`
+* `Dtn.trade_conditions_catalog`
+
+#### Symbol lookup
+
+* [by_sic](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/symbol/by_sic.rb)
+```ruby
+Dtn::Lookups::Symbol::BySic.call(search_line: '42')
+```
+* [by_naic](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/symbol/by_naic.rb)
+```ruby
+Dtn::Lookups::Symbol::ByNaic.call(search_line: '42')
+```
+* [by_filter](https://github.com/kvokka/dtn/blob/master/lib/dtn/requests/symbol/by_filter.rb)
+```ruby
+Dtn::Lookups::Symbol::ByFilter.call(field_to_search: "s", search_line: "aap", filter_type: "t", filter_value: "1")
+```
+
+#### Streaming data
+
+All streaming data is using Observer pattern, so you can connect a few listeners
+to any client with minimal cost. Below, you will get the examples with simple
+observers, but there is an [Observer](https://github.com/kvokka/dtn/blob/master/lib/dtn/streaming/messages_recorder_observer.rb) for easier development & testing.
+
+##### Quotes (Level1)
+
+Streaming data is using Observers to deliver the results.
+Keep in mind, that observers will receive data until you unsubscribe from it
+or stop the client.
+
+Summary message always come with all the possible fields, while for Update message
+it is possible to add a filter with `client.request.quote.update_fields list: %w[Bid Ask]`
+
+These methods do not allow any historical data access, only real time.
+
+```ruby
+class Observer
+  # data callbacks are optional and match message class
+  def level1_summary(message:)
+    puts message
+  end
+
+  def level1_update(message:)
+    puts message
+  end
+
+  # one of system methods callback
+  def disconnected(message:)
+    puts message
+  end
+end
+
+client = Dtn::Streaming::Clients::Quote.new
+client.observers << Observer.new
+client.request.quote.watch symbol: :aapl
+sleep 10
+client.stop
+```
+
+[Here](https://github.com/kvokka/dtn/tree/master/lib/dtn/streaming/requests) you
+will find all level1 streaming requests with appropriate documentation.
+
+#### Bars data
+
+Get live data as interval bar data. It allows to look back and fetch historical
+data and get current (live) data as well,
+[details](https://github.com/kvokka/dtn/tree/master/lib/dtn/streaming/requests/bar)
+
+```ruby
+class Observer
+  # this callback will return all historical bars for the symbol
+  def historical_bar(message:)
+    puts message
+  end
+
+  # Here you get live updates until the current bar is formed
+  def update_bar(message:)
+    puts message
+  end
+
+  # when the current bar was formed, it will be processed by this callback
+  def current_bar(message:)
+    puts message
+  end
+end
+
+client = Dtn::Streaming::Clients::Bar.new
+client.observers << Observer.new
+client.request.bar.watch symbol: :aapl
+sleep 10
+client.stop
+```
+
+#### Admin
+
+Admin data management. See other commands in [here](https://github.com/kvokka/dtn/tree/master/lib/dtn/streaming/requests/admin)
+
+```ruby
+client.observers << Observer.new
+client.request.admin.set_client_stats turned_on: false
+```
+
+#### Level2
+
+Connection to level2 data. See other commands in [here](https://github.com/kvokka/dtn/tree/master/lib/dtn/streaming/requests/level2)
+
+```ruby
+client.observers << Observer.new
+client.request.level2.watch symbol: :aapl
+```
+
+## Config
+
+In case you are using DTN client running remotely (no questions asked how you
+can do it), you can specify the host with `Dtn.host = 'my_host'` setting
 
 ## Development
 
-After checking out the repo, run `bin/setup` to install dependencies. Then, run `rake spec` to run the tests. You can also run `bin/console` for an interactive prompt that will allow you to experiment.
+After checking out the repo, run `bin/setup` to install dependencies. Then, run
+`bundle exec rake` to run the tests. You can also run `bin/console` for an
+interactive prompt that will allow you to experiment.
+
+Test specs are using recorded output from DTN client. The recorded file is set
+by the RSpec option `socket_recorder`, so you can share 1 recording with a few
+specs. If the file is missing, then specs will do real request to the api.
+`socket_recorder` will use the pre-defined Date for the specs from the file
+[current_day](https://github.com/kvokka/dtn/blob/master/spec/current_day) to
+minimise recordings rewrites. To bump the date to the yesterday business day
+you can use
+
+```bash
+$ bundle exec rake spec:set_spec_date
+```
 
-To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release`, which will create a git tag for the version, push git commits and the created tag, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+To run windows DTN client you can use the `docker-compose up` (before execution
+pls fill in `.env` file with your credentials following the pattern from
+[.env.example](https://github.com/kvokka/dtn/blob/master/.env.example))
 
 ## Contributing
 
-Bug reports and pull requests are welcome on GitHub at https://github.com/[USERNAME]/dtn. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [code of conduct](https://github.com/[USERNAME]/dtn/blob/master/CODE_OF_CONDUCT.md).
+Bug reports and pull requests are welcome on GitHub at https://github.com/kvokka/dtn. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [code of conduct](https://github.com/kvokka/dtn/blob/master/CODE_OF_CONDUCT.md).
 
 ## License
 
@@ -49,4 +323,9 @@ The gem is available as open source under the terms of the [MIT License](https:/
 
 ## Code of Conduct
 
-Everyone interacting in the Dtn project's codebases, issue trackers, chat rooms and mailing lists is expected to follow the [code of conduct](https://github.com/[USERNAME]/dtn/blob/master/CODE_OF_CONDUCT.md).
+Everyone interacting in the Dtn project's codebases, issue trackers, chat rooms and mailing lists is expected to follow the [code of conduct](https://github.com/kvokka/dtn/blob/master/CODE_OF_CONDUCT.md).
+
+## References
+
+* https://github.com/mathpaquette/IQFeed.CSharpApiClient
+* https://github.com/akapur/pyiqfeed