/// <summary>
/// Initializes a new instance of the <see cref="DataBusConnected"/> class.
/// </summary>
/// <param name="container">The container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
protected DataBusConnected(IComponentryContainer container, IDataBusAdapter dataBusAdapter)
: base(container)
{
this.dataBusAdapter = dataBusAdapter;
this.RegisterHandler <IEnvelope>(this.OnEnvelope);
}
/// <summary>
/// Initializes a new instance of the <see cref="PublisherDataBus"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="compressor">The data compressor.</param>
/// <param name="encryption">The encryption configuration.</param>
/// <param name="networkAddress">The publishers network address.</param>
protected PublisherDataBus(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
ICompressor compressor,
EncryptionSettings encryption,
ZmqNetworkAddress networkAddress)
: base(container, dataBusAdapter)
{
this.compressor = compressor;
this.socket = new PublisherSocket
{
Options =
{
Identity = Encoding.UTF8.GetBytes($"{nameof(Nautilus)}-{this.Name.Value}"),
Linger = TimeSpan.FromSeconds(1),
},
};
this.networkAddress = networkAddress;
if (encryption.UseEncryption)
{
EncryptionProvider.SetupSocket(encryption, this.socket);
this.Logger.LogInformation(LogId.Network, $"{encryption.Algorithm} encryption setup for {this.networkAddress}");
}
else
{
this.Logger.LogWarning(LogId.Network, $"No encryption setup for {this.networkAddress}");
}
this.SentCount = 0;
}
/// <summary>
/// Initializes a new instance of the <see cref="FixDataGateway"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="fixClient">The FIX client.</param>
public FixDataGateway(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
IFixClient fixClient)
: base(container, dataBusAdapter)
{
this.fixClient = fixClient;
this.RegisterHandler <ConnectSession>(this.OnMessage);
this.RegisterHandler <DisconnectSession>(this.OnMessage);
}
public MockDataPublisher(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
EncryptionSettings encryption,
ZmqNetworkAddress networkAddress)
: base(
container,
dataBusAdapter,
new BypassCompressor(),
encryption,
networkAddress)
{
this.RegisterHandler <(string, string)>(this.OnMessage);
}
/// <summary>
/// Creates and returns a new FIX gateway.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="fixClient">The FIX client.</param>
/// <returns>The created FIX gateway.</returns>
public static FixDataGateway Create(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
IFixClient fixClient)
{
var gateway = new FixDataGateway(
container,
dataBusAdapter,
fixClient);
fixClient.InitializeGateway(gateway);
return(gateway);
}
/// <summary>
/// Initializes a new instance of the <see cref="RedisInstrumentRepository"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="serializer">The instrument serializer.</param>
/// <param name="connection">The redis connection multiplexer.</param>
public RedisInstrumentRepository(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
IDataSerializer <Instrument> serializer,
ConnectionMultiplexer connection)
: base(container, dataBusAdapter)
{
this.serializer = serializer;
this.redisServer = connection.GetServer(RedisConstants.Localhost, RedisConstants.DefaultPort);
this.redisDatabase = connection.GetDatabase();
this.cache = new Dictionary <Symbol, Instrument>();
this.RegisterHandler <Instrument>(this.OnData);
this.Subscribe <Instrument>();
}
/// <summary>
/// Initializes a new instance of the <see cref="MockMarketDataRepository"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="quoteSerializer">The quote tick serializer for the repository.</param>
/// <param name="tradeSerializer">The trade tick serializer for the repository.</param>
/// <param name="barSerializer">The bar serializer for the repository.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
public MockMarketDataRepository(
IComponentryContainer container,
IDataSerializer <QuoteTick> quoteSerializer,
IDataSerializer <TradeTick> tradeSerializer,
IDataSerializer <Bar> barSerializer,
IDataBusAdapter dataBusAdapter)
: base(container, dataBusAdapter)
{
this.quoteTickDatabase = new Dictionary <Symbol, List <QuoteTick> >();
this.tradeTickDatabase = new Dictionary <Symbol, List <TradeTick> >();
this.barsDatabase = new Dictionary <BarType, List <Bar> >();
this.quoteSerializer = quoteSerializer;
this.tradeSerializer = tradeSerializer;
this.barSerializer = barSerializer;
this.RegisterHandler <QuoteTick>(this.Ingest);
this.Subscribe <QuoteTick>();
}
/// <summary>
/// Initializes a new instance of the <see cref="DataPublisher"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="instrumentSerializer">The instrument serializer.</param>
/// <param name="compressor">The data compressor.</param>
/// <param name="encryption">The encryption configuration.</param>
/// <param name="port">The port.</param>
public DataPublisher(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
IDataSerializer <Instrument> instrumentSerializer,
ICompressor compressor,
EncryptionSettings encryption,
Port port)
: base(
container,
dataBusAdapter,
compressor,
encryption,
ZmqNetworkAddress.AllInterfaces(port))
{
this.instrumentSerializer = instrumentSerializer;
this.RegisterHandler <Instrument>(this.OnMessage);
this.Subscribe <BarData>();
this.Subscribe <Instrument>();
}
/// <summary>
/// Initializes a new instance of the <see cref="RedisMarketDataRepository"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter for the component.</param>
/// <param name="connection">The clients manager.</param>
/// <param name="retentionTimeTicksDays">The rolling retention time for tick data in days.</param>
/// <param name="retentionTimeBarsDays">The rolling retention time for bar data in days.</param>
public RedisMarketDataRepository(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
ConnectionMultiplexer connection,
int retentionTimeTicksDays,
IReadOnlyDictionary <BarStructure, int> retentionTimeBarsDays)
: base(container, dataBusAdapter)
{
this.redisServer = connection.GetServer(RedisConstants.Localhost, RedisConstants.DefaultPort);
this.redisDatabase = connection.GetDatabase();
this.pricePrecisions = new Dictionary <Symbol, int>();
this.sizePrecisions = new Dictionary <Symbol, int>();
this.retentionTimeTicksMs = retentionTimeTicksDays * MillisecondsPerDay;
this.retentionTimeBarsMs = new Dictionary <BarStructure, long>();
// Configure retention times converting to milliseconds
foreach (var(barStructure, retentionDays) in retentionTimeBarsDays)
{
this.retentionTimeBarsMs.Add(barStructure, retentionDays * MillisecondsPerDay);
}
// Hardcode time bucket constants
this.timeBuckets = new Dictionary <BarStructure, long>
{
{ BarStructure.Second, 1000 },
{ BarStructure.Minute, 60000 },
{ BarStructure.Hour, 3600000 },
{ BarStructure.Day, 86400000 }
};
this.RegisterHandler <QuoteTick>(this.OnTick);
this.RegisterHandler <Instrument>(this.OnInstrument);
this.Subscribe <QuoteTick>();
this.Subscribe <Instrument>();
}
/// <summary>
/// Initializes a new instance of the <see cref="TickPublisher"/> class.
/// </summary>
/// <param name="container">The componentry container.</param>
/// <param name="dataBusAdapter">The data bus adapter.</param>
/// <param name="quoteSerializer">The quote tick serializer.</param>
/// <param name="tradeSerializer">The trade tick serializer.</param>
/// <param name="compressor">The data compressor.</param>
/// <param name="encryption">The encryption configuration.</param>
/// <param name="port">The publisher port.</param>
public TickPublisher(
IComponentryContainer container,
IDataBusAdapter dataBusAdapter,
IDataSerializer <QuoteTick> quoteSerializer,
IDataSerializer <TradeTick> tradeSerializer,
ICompressor compressor,
EncryptionSettings encryption,
Port port)
: base(
container,
dataBusAdapter,
compressor,
encryption,
ZmqNetworkAddress.AllInterfaces(port))
{
this.quoteSerializer = quoteSerializer;
this.tradeSerializer = tradeSerializer;
this.RegisterHandler <QuoteTick>(this.OnMessage);
this.RegisterHandler <TradeTick>(this.OnMessage);
this.Subscribe <QuoteTick>();
this.Subscribe <TradeTick>();
}