open_trade 0.0.1

data/.gitignore

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+*.gem
+*.rbc
+.bundle
+.config
+.yardoc
+Gemfile.lock
+InstalledFiles
+_yardoc
+coverage
+doc/
+lib/bundler/man
+pkg
+rdoc
+spec/reports
+test/tmp
+test/version_tmp
+tmp

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in open_trade.gemspec
+gemspec
+gem 'ffi-rzmq'

data/LICENSE

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+Copyright (c) 2012 Ian Roddis
+
+MIT License
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+"Software"), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

data/README.md

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+# OpenTrade
+
+TODO: Write a gem description
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+    gem 'open_trade'
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install open_trade
+
+## Usage
+
+TODO: Write usage instructions here
+
+## Contributing
+
+1. Fork it
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Added some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create new Pull Request

data/Rakefile

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+#!/usr/bin/env rake
+require "bundler/gem_tasks"

data/bin/send_message.rb

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+#!/usr/bin/env ruby
+
+require 'rubygems'
+require 'bundler/setup'
+require 'open_trade'
+
+

data/lib/open_trade.rb

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+require "open_trade/version"
+require 'ffi-rzmq'
+require 'json'
+
+module OpenTrade
+	require 'open_trade/base'
+	require 'open_trade/directory_service'
+end

data/lib/open_trade/base.rb

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+module OpenTrade
+	require 'open_trade/base/role'
+	require 'open_trade/base/message'
+end

data/lib/open_trade/base/constants.rb

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+module OpenTrade
+	TIMESTAMP_FORMAT = '%Y/%m/%dT%H%M%S.%L' #2012/06/30T17:01:00.00
+end

data/lib/open_trade/base/message.rb

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+require 'json'
+require 'date'
+require 'securerandom'
+
+class Hash
+	# Update only keys that exist in self with values that exist in param
+	def strict_update h={}
+		self.keys.each {|k| self[k] = h[k] if h.has_key? k}
+		self
+	end
+
+	def symbolize_keys
+		inject({}) do |options, (key, value)| options[(key.to_sym rescue key) || key] = value
+		options
+		end 
+	end 
+
+	def symbolize_keys! recurse=false
+		self.replace(self.symbolize_keys)
+		if recurse
+			self.values.each {|v| v.symbolize_keys! if v.class == self.class}
+		end
+	end 
+end
+
+=begin
+Messge types are an array of field descriptions as hashes:
+[
+ {
+	:name				=> :some_name
+	:type				=> :string|:symbol|:number
+	:required		=> true/false
+ }, ...
+]
+=end
+
+module OpenTrade
+	module Base
+		class Message
+			@@message_templates 	= Hash.new
+			@@message_validations = Hash.new
+
+			def self.register_template name, fields, validation_proc=nil
+				raise "A message template of #{template} is already registered." if @@message.has_key? name
+				fields.each do |field, field_type|
+					if not [ :string, :symbol, :number ].contains? field_type
+						raise "Error while registering message template #{name}: field #{field} has invalid type #{field_type}"
+					end
+				end
+				fields.symbolize_keys! true
+				@@message_templates[name] = fields
+				@@message_validations[name] = validation_proc
+			end
+
+			def intialize template_name, field_data={}
+				if not @@message.has_key? template_name
+					raise "No message template named #{template_name} has been registered yet. Perhaps you forgot to include that gem?"
+				end
+
+				field_data.symbolize_keys! true
+
+				@type = template_name
+				@payload = Hash.new
+				@@message_templates[@type].keys.each {|k| @payload[k] = nil}
+				@payload.strict_update field_data
+			end
+
+			def to_s
+				verify
+				JSON.dump ({
+					:type			=> @type,
+					:created	=> Time.now.utc.strftime,
+					:uuid			=> SecureRandom.urlsafe_base64,
+					:data			=> @payload
+				})
+			end
+
+			def verify
+				@@message_templates[@type].each do |field|
+					raise "Required field #{field[:name]} is missing" if field[:required] and @payload[field[:name]] == nil
+				end
+
+				# Message specific validation
+				@@message_validations[@type].call(@data) unless @@message_validations[@type].nil?
+			end
+		end # Message
+	end # Module Base
+end # Module OpenTrade

data/lib/open_trade/base/role.rb

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+require 'socket'
+
+module OpenTrade
+	module Base
+		class Role
+			attr_accessor	:name, :type, :poll_interval, :request_timeout
+
+			# :name  								symbol  	Process name
+			# :type  								symbol  	Type of the process
+			# :options  						Hash
+			#	   :request_timeout		Integer		Time to wait for responses, in ms (default: 25)
+			#	   :poll_interval			Integer 	Time to wait for new input, in ms (default: 25)
+			#	   :request_port			Integer 	Port for requests. nil for no port, 0 for dynamic, and any other number for a static port
+			#	   :publish_port			Integer 	Port for requests. nil for no port, 0 for dynamic, and any other number for a static port
+			def initialize name, type, options={}
+				defaults = {
+					:poll_interval=>25, 
+					:request_timeout=>25, 
+					:request_port => 0, 
+					:publish_port => 0
+				}
+
+				options = defaults.merge options
+
+				@name            = name
+				@type            = type
+				@poll_interval   = options[:poll_interval]
+				@request_timeout = options[:request_timeout]
+
+				# Internal stuff
+				@zmq_context 	= ZMQ::Context.new 1
+				@zmq_poller  	= ZMQ::Poller.new
+				@hostname    	= ::Socket.gethostname
+				@channels			= Hash.new
+				@handlers			= Hash.new
+				@running			= false
+
+				# Set up the server channels
+				add_server_channel :request, ZMQ::REQ, options[:request_port]
+				add_server_channel :publish, ZMQ::PUB, options[:publish_port]
+
+				# Make sure to shutdown all the channels
+				ObjectSpace.define_finalizer self, method(:destroy)
+			end
+
+			# name						symbol		A unique name for the process
+			# zmq_type				integer		ZMQ::REP, ZMQ::PUB, etc
+			# port						integer		
+			def add_server_channel	name, zmq_type, port
+				return if port == nil
+				@channels[name] = @zmq_context.socket zmq_type
+
+				if port > 0 # Static Port
+					@channels[name].bind "tcp://*:#{port}"
+				else # Dynamic port
+					port = rand(65000 - 1024) + 1024
+					begin
+						@channels[name].bind "tcp://*:#{port}"
+					rescue
+						port = rand(65000 - 1024) + 1024
+						retry
+					end
+				end
+
+				if zmq_type == ZMQ::REQ
+					@zmq_poller.register @channels[name], ZMQ::POLLIN
+				end
+			end
+
+			def delete_channel name
+				return unless @channels.has_key? name
+				@channels[name].close
+				@channels.delete name
+			end
+
+			# Register a new handler for each type of message
+			# message_type 
+			def register_message_handler message_type, handler
+				@handlers[message_type] = handler
+			end
+
+			# Start
+			def start
+				@running = true
+
+				while @running do
+					@zmq_poller.poll @poll_interval
+					@zmq_poller.readables.each do |channel|
+						@channels.select {|channel_name, socket| socket === channel}.each do |channel,socket|
+							socket.recv_string(msg = '') 
+							process_message msg
+						end
+					end
+
+					run_loop
+				end
+
+				#shutdown goes here
+			end
+
+			def process_message raw_message
+				begin
+					message = JSON.parse raw_message
+				rescue
+					log :error, "Invalid message: #{message}"
+					return
+				end
+
+				unless message.has_key? :type
+					log :error, "Invalid message: #{message}"
+					return
+				end
+
+				unless @handlers.has_key message[:type]
+					log :error, "No handler defined for message type #{message[:type]}"
+					return
+				end
+
+				@handlers[message[:type]].call message
+			end
+
+			# Run loop
+			# An empty process, overridden by the inheritors if needed
+			def run_loop
+			end
+
+			# Destroy, called on shutdown
+			def destroy
+				@channels.keys.each {|name| delete_channel name}
+			end
+
+			def log level, message
+				puts "[%s][%s]: %s" % [ Time.now, level, message ]
+				send :publish, Base::Message.new(:log, { :level => level, :message => message })
+			end
+
+			def send channel, message_obj
+				return unless @channels[channel]
+
+				@channels[channel].send_string message_obj.to_s
+			end
+		end # Role
+	end # Module Base
+end # Module OpenTrade

data/lib/open_trade/messages/accumulator/calculation.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :calculation, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/common/acknowledge.rb

@@ -0,0 +1,5 @@
+module OpenTrade
+	OpenTrade::Message.register_template :acknowledge, [
+		{ :name => "ack_uuid", :type => :string, :required => true }
+	]
+end

data/lib/open_trade/messages/common/error.rb

@@ -0,0 +1,6 @@
+module OpenTrade
+	OpenTrade::Message.register_template :error, [
+		{ :name => "ack_uuid", :type => :string, :required => true },
+		{ :name => "error", :type => :string, :required => true },
+	]
+end

data/lib/open_trade/messages/common/heartbeat.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :heartbeat, []
+end

data/lib/open_trade/messages/common/log.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/common/start.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :start, []
+end

data/lib/open_trade/messages/common/status.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :status, [
+		{ :name => "mem", :type => :integer, :required => true },
+		{ :name => "uptime", :type => :integer, :required => true }
+	]
+end

data/lib/open_trade/messages/common/stop.rb

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+module OpenTrade
+	OpenTrade::Message.register_template :stop, []
+end

data/lib/open_trade/messages/directory/process_activity.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/directory/process_list.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/executor/order_activity.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/market_data/depth.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/market_data/quote.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/market_data/tick.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/account_status.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/exit.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/list_constraints.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/order.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/register_strategy.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/portfolio/set_constraint.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/messages/strategy/signal.rb

@@ -0,0 +1,9 @@
+module OpenTrade
+	OpenTrade::Message.register_template :log, [
+		{ :name => "level", :type => :string, :required => true },
+		{ :name => "message", :type => :string, :required => true },
+	], Proc.new {|data|
+		valid_log_levels = [ :info, :debug, :warn, :crit ]
+		raise "Log message is not any kind of #{valid_log_levels.join(" ")}" unless valid_log_levels.include? data[:level]
+	}
+end

data/lib/open_trade/version.rb

@@ -0,0 +1,3 @@
+module OpenTrade
+  VERSION = "0.0.1"
+end

data/open_trade.gemspec

@@ -0,0 +1,17 @@
+# -*- encoding: utf-8 -*-
+require File.expand_path('../lib/open_trade/version', __FILE__)
+
+Gem::Specification.new do |gem|
+  gem.authors       = ["Ian Roddis"]
+  gem.email         = ["git@cactusgrove.net"]
+  gem.description   = %q{All required message definitions, base classes, and some platform-agnostic tools.}
+  gem.summary       = %q{The basic OpenTrade platform. You will still need to implement or install your own roles.}
+  gem.homepage      = ""
+
+  gem.files         = `git ls-files`.split($\)
+  gem.executables   = gem.files.grep(%r{^bin/}).map{ |f| File.basename(f) }
+  gem.test_files    = gem.files.grep(%r{^(test|spec|features)/})
+  gem.name          = "open_trade"
+  gem.require_paths = ["lib"]
+  gem.version       = OpenTrade::VERSION
+end

metadata

@@ -0,0 +1,125 @@
+--- !ruby/object:Gem::Specification
+name: open_trade
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+  prerelease: 
+platform: ruby
+authors:
+- Ian Roddis
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2012-08-07 00:00:00.000000000 Z
+dependencies: []
+description: All required message definitions, base classes, and some platform-agnostic
+  tools.
+email:
+- git@cactusgrove.net
+executables:
+- !binary |-
+  c2VuZF9tZXNzYWdlLnJi
+extensions: []
+extra_rdoc_files: []
+files:
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+homepage: ''
+licenses: []
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - ! '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.17
+signing_key: 
+specification_version: 3
+summary: The basic OpenTrade platform. You will still need to implement or install
+  your own roles.
+test_files: []