protected override Task <bool> CanGetImpl <T>(TimeFrame timeFrame, string symbol, DateTime Start, DateTime endExclusive, HistoricalDataQueryParameters retrieveOptions)
{
throw new NotImplementedException();
}
protected override Task <T[]?> GetImpl <T>(TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveOptions)
=> ClusterClient.GetGrain <HistoricalDataChunkGrain>(
HistoricalDataChunkGrainKey.GetKey(timeFrame, symbol, start, endExclusive, retrieveOptions.Exchange, retrieveOptions.ExchangeArea, typeof(Binance.BinanceFuturesKlineItem))
)
.Get <T>(retrieveOptions.Options);
public Task Save <T>(string sourceId, T[] data, TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveParameters)
{
throw new NotImplementedException();
}
private Task OnRetrievedFromInternet <T>(string sourceId, T[] data, TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveParameters)
=> LocalDiskWriter == null ? Task.CompletedTask
: LocalDiskWriter.Save(sourceId, data, timeFrame, symbol, start, endExclusive, retrieveParameters);
protected async Task <T[]?> GetChunkImpl <T>(TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveParameters)
{
//HistoricalDataChunkRangeProvider.ValidateIsChunkBoundary(start, endExclusive, timeFrame);
// TODO:
//
// Try reading from disk (if disk reader present)
// If not present, run the Retrieve Job,
// write it to disk
T[]? result;
if (LocalDiskSources != null)
{
foreach (var c in LocalDiskSources)
{
result = await c.Get <T>(timeFrame, symbol, start, endExclusive, retrieveParameters).ConfigureAwait(false);
if (result != null)
{
// TOTELEMETRY - disk cache hit
return(result);
}
}
// TOTELEMETRY - disk cache miss
}
{
var exchangeSource = Exchange.TryGetValue(retrieveParameters.Exchange ?? throw new ArgumentNullException(nameof(retrieveParameters.Exchange)));
if (exchangeSource != null)
{
result = await exchangeSource.Get <T>(timeFrame, symbol, start, endExclusive, retrieveParameters).ConfigureAwait(false);
if (result != null)
{
// TOTELEMETRY - exchange retrieve
OnRetrievedFromInternet(exchangeSource.SourceId, result, timeFrame, symbol, start, endExclusive, retrieveParameters);
return(result);
}
}
}
{
var thirdPartySources = ThirdParty.TryGetValue(retrieveParameters.Exchange);
if (thirdPartySources != null)
{
foreach (var source in thirdPartySources)
{
result = await source.Get <T>(timeFrame, symbol, start, endExclusive, retrieveParameters).ConfigureAwait(false);
if (result != null)
{
// TOTELEMETRY - third party retrieve
OnRetrievedFromInternet(source.SourceId, result, timeFrame, symbol, start, endExclusive, retrieveParameters);
return(result);
}
}
}
}
return(null);
}
protected override async Task <T[]?> GetImpl <T>(TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveParameters)
{
HistoricalDataMemoryCacheKey?memoryCacheKey;
if (Options.UseMemoryCache)
{
memoryCacheKey = new HistoricalDataMemoryCacheKey
{
Type = typeof(T),
Symbol = symbol,
Start = start,
EndExclusive = endExclusive,
Exchange = retrieveParameters.Exchange,
ExchangeArea = retrieveParameters.ExchangeArea,
};
if (ManualSingleton <HistoricalDataMemoryCache <T> > .GuaranteedInstance.Dict.TryGetValue(memoryCacheKey, out var value))
{
Logger.LogTrace($"[cache hit] {memoryCacheKey}"); // TODO TOTELEMETRY - counter for memory cache hit
return(value);
}
}
else
{
memoryCacheKey = null;
Logger.LogTrace($"[CACHE MISS] {timeFrame} {symbol} {start} {endExclusive}"); // TODO TOTELEMETRY - counter for memory cache miss
}
if (LocalNetwork != null)
{
T[]? result;
foreach (var c in LocalNetwork)
{
result = await c.Get <T>(timeFrame, symbol, start, endExclusive, retrieveParameters).ConfigureAwait(false);
OnResult(result);
return(result);
}
}
var chunks = HistoricalDataChunkRangeProvider.GetBarChunks(start, endExclusive, timeFrame);
var lists = new List <T[]>();
int totalBars = 0;
foreach (var chunk in chunks)
{
var chunkData = await GetChunkImpl <T>(timeFrame, symbol, chunk.Item1, chunk.Item2, retrieveParameters).ConfigureAwait(false);
lists.Add(chunkData);
totalBars += chunkData.Length;
}
//if (retrieveOptions.OptimizeForBacktest && result.Count > 1)
//{
var combined = new List <T>(totalBars);
foreach (var list in lists)
{
combined.AddRange(list);
}
var combinedArray = combined.ToArray();
OnResult(combinedArray);
void OnResult(T[]?result)
{
if (Options.UseMemoryCache)
{
ManualSingleton <HistoricalDataMemoryCache <T> > .GuaranteedInstance.Dict[memoryCacheKey] = result;
}
}
return(combinedArray);
//}
}
protected override Task <bool> CanGetImpl <T>(TimeFrame timeFrame, string symbol, DateTime start, DateTime endExclusive, HistoricalDataQueryParameters retrieveOptions)
{
var chunks = HistoricalDataChunkRangeProvider.GetBarChunks(start, endExclusive, timeFrame);
foreach (var chunk in chunks)
{
}
//throw new NotImplementedException(); // TODO
return(Task.FromResult(true));
}
