Merge Clients (#40)

* Nuspec update * publishing update * docker update * progress * name space * progress * Equities almost done * Halfway through client.cs * break * private methods * interface methods * naming conventions csharp * pause * checkpoint * don't forget to use double instead of f# float (equivalent) * bring in from testing * diff lock * cleanup * trap invoke * Change network buffer to not pile up * Move to native websocket for more efficient memory interface * ready the client for sharing with options * update for config * cleanup unused usings * move runtime config * move thread creation * partial progress replay * almost done replay * replay * clean up usings * delete old project, update packages * few more cleanup items ready for options import * Partially done options * bring over from current * candle class conversion * progress * simple sample * constructors * constructor doc for params * message length in different places * one more method * compile * subscribe bits * Initial interfaces for realtime greeks * optionscontractdata good * update interfaces * Update docs * bump version of header
intrinio · Oct 3, 2024 · 9a365a9 · 9a365a9
1 parent b395210
commit 9a365a9
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diff --git a/.DS_Store b/.DS_Store
diff --git a/Dockerfile b/Dockerfile
@@ -4,9 +4,9 @@ RUN mkdir /intrinio
 
 COPY . /intrinio
 
-WORKDIR /intrinio/IntrinioRealTimeSDK
+WORKDIR /intrinio/SampleApp
 
-RUN dotnet build IntrinioRealTimeSDK.csproj
+RUN dotnet build SampleApp.csproj
 
-CMD dotnet run IntrinioRealTimeSDK.csproj
+CMD dotnet run SampleApp.csproj
 
diff --git a/Intrinio.Realtime/CandleStick.cs b/Intrinio.Realtime/CandleStick.cs
@@ -0,0 +1,106 @@
+using System.Globalization;
+
+namespace Intrinio.Realtime;
+
+using System;
+
+public abstract class CandleStick
+{
+    private readonly string _contract;
+    private readonly double _openTimestamp;
+    private readonly double _closeTimestamp;
+    private readonly IntervalType _interval;
+
+    public UInt32 Volume { get; set; }
+    public double High { get; set; }
+    public double Low { get; set; }
+    public double Close { get; set; }
+    public double Open { get; set; }
+    public double OpenTimestamp
+    {
+        get { return _openTimestamp; }
+    }
+    public double CloseTimestamp
+    {
+        get { return _closeTimestamp; }
+    }
+    public double FirstTimestamp { get; set; }
+    public double LastTimestamp { get; set; }
+    public bool Complete { get; set; }
+    public double Average { get; set; }
+    public double Change { get; set; }
+    public IntervalType Interval
+    {
+        get { return _interval; }
+    }
+
+    public CandleStick(UInt32 volume, double price, double openTimestamp, double closeTimestamp, IntervalType interval, double eventTime)
+    {
+        Volume = volume;
+        High = price;
+        Low = price;
+        Close = price;
+        Open = price;
+        _openTimestamp = openTimestamp;
+        _closeTimestamp = closeTimestamp;
+        FirstTimestamp = eventTime;
+        LastTimestamp = eventTime;
+        Complete = false;
+        Average = price;
+        Change = 0.0;
+        _interval = interval;
+    }
+
+    public CandleStick(UInt32 volume, double high, double low, double closePrice, double openPrice, double openTimestamp, double closeTimestamp, double firstTimestamp, double lastTimestamp, bool complete, double average, double change, IntervalType interval)
+    {
+        Volume = volume;
+        High = high;
+        Low = low;
+        Close = closePrice;
+        Open = openPrice;
+        _openTimestamp = openTimestamp;
+        _closeTimestamp = closeTimestamp;
+        FirstTimestamp = firstTimestamp;
+        LastTimestamp = lastTimestamp;
+        Complete = complete;
+        Average = average;
+        Change = change;
+        _interval = interval;
+    }
+
+    public void Merge(CandleStick candle)
+    {
+        Average = ((Convert.ToDouble(Volume) * Average) + (Convert.ToDouble(candle.Volume) * candle.Average)) / (Convert.ToDouble(Volume + candle.Volume));
+        Volume += candle.Volume;
+        High = High > candle.High ? High : candle.High;
+        Low = Low < candle.Low ? Low : candle.Low;
+        Close = LastTimestamp > candle.LastTimestamp ? Close : candle.Close;
+        Open = FirstTimestamp < candle.FirstTimestamp ? Open : candle.Open;
+        FirstTimestamp = candle.FirstTimestamp < FirstTimestamp ? candle.FirstTimestamp : FirstTimestamp;
+        LastTimestamp = candle.LastTimestamp > LastTimestamp ? candle.LastTimestamp : LastTimestamp;
+        Change = (Close - Open) / Open;
+    }
+
+    internal void Update(UInt32 volume, double price, double time)
+    {
+        Average = ((Convert.ToDouble(Volume) * Average) + (Convert.ToDouble(volume) * price)) / (Convert.ToDouble(Volume + volume));
+        Volume += volume;
+        High = price > High ? price : High;
+        Low = price < Low ? price : Low;
+        Close = time > LastTimestamp ? price : Close;
+        Open = time < FirstTimestamp ? price : Open;
+        FirstTimestamp = time < FirstTimestamp ? time : FirstTimestamp;
+        LastTimestamp = time > LastTimestamp ? time : LastTimestamp;
+        Change = (Close - Open) / Open;
+    }
+
+    internal void MarkComplete()
+    {
+        Complete = true;
+    }
+
+    internal void MarkIncomplete()
+    {
+        Complete = false;
+    }
+}
diff --git a/Intrinio.Realtime/ClientStats.cs b/Intrinio.Realtime/ClientStats.cs
@@ -0,0 +1,47 @@
+namespace Intrinio.Realtime;
+
+using System;
+
+public class ClientStats
+{
+    private readonly UInt64 _socketDataMessages;
+    private readonly UInt64 _socketTextMessages;
+    private readonly int _queueDepth;
+    private readonly UInt64 _eventCount;
+    private readonly int _queueCapacity;
+    private readonly int _overflowQueueDepth;
+    private readonly int _overflowQueueCapacity;
+    private readonly int _droppedCount;
+    private readonly int _overflowCount;
+
+    public ClientStats(UInt64 socketDataMessages, UInt64 socketTextMessages, int queueDepth, UInt64 eventCount, int queueCapacity, int overflowQueueDepth, int overflowQueueCapacity, int droppedCount, int overflowCount)
+    {
+        _socketDataMessages = socketDataMessages;
+        _socketTextMessages = socketTextMessages;
+        _queueDepth = queueDepth;
+        _eventCount = eventCount;
+        _queueCapacity = queueCapacity;
+        _overflowQueueDepth = overflowQueueDepth;
+        _overflowQueueCapacity = overflowQueueCapacity;
+        _droppedCount = droppedCount;
+        _overflowCount = overflowCount;
+    }
+
+    public UInt64 SocketDataMessages { get { return _socketDataMessages; } }
+
+    public UInt64 SocketTextMessages { get { return _socketTextMessages; } }
+
+    public int QueueDepth { get { return _queueDepth; } }
+
+    public int QueueCapacity { get { return _queueCapacity; } }
+
+    public int OverflowQueueDepth { get { return _overflowQueueDepth; } }
+
+    public int OverflowQueueCapacity { get { return _overflowQueueCapacity; } }
+
+    public UInt64 EventCount { get { return _eventCount; } }
+
+    public int DroppedCount { get { return _droppedCount; } }
+
+    public int OverflowCount { get { return _overflowCount; } }
+}
diff --git a/Intrinio.Realtime/Composite/Delegates.cs b/Intrinio.Realtime/Composite/Delegates.cs
@@ -0,0 +1,20 @@
+namespace Intrinio.Realtime.Composite;
+
+using System;
+using System.Threading.Tasks;
+
+public delegate Task OnSupplementalDatumUpdated(String key, double datum, IDataCache dataCache);
+public delegate Task OnSecuritySupplementalDatumUpdated(String key, double datum, ISecurityData securityData, IDataCache dataCache);
+public delegate Task OnOptionsContractSupplementalDatumUpdated(String key, double datum, IOptionsContractData optionsContractData, ISecurityData securityData, IDataCache dataCache);
+
+public delegate Task OnEquitiesTradeUpdated(ISecurityData securityData, IDataCache dataCache);
+public delegate Task OnEquitiesQuoteUpdated(ISecurityData SecurityData, IDataCache DataCache);
+public delegate Task OnEquitiesTradeCandleStickUpdated(ISecurityData securityData, IDataCache dataCache);
+public delegate Task OnEquitiesQuoteCandleStickUpdated(ISecurityData SecurityData, IDataCache DataCache);
+
+public delegate Task OnOptionsTradeUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate Task OnOptionsQuoteUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate Task OnOptionsRefreshUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate Task OnOptionsUnusualActivityUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate Task OnOptionsTradeCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
+public delegate Task OnOptionsQuoteCandleStickUpdated(IOptionsContractData optionsContractData, IDataCache dataCache, ISecurityData securityData);
diff --git a/Intrinio.Realtime/Composite/IDataCache.cs b/Intrinio.Realtime/Composite/IDataCache.cs
@@ -0,0 +1,76 @@
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Threading.Tasks;
+
+namespace Intrinio.Realtime.Composite;
+
+using System;
+
+/// <summary>
+/// Not for Use yet. Subject to change.
+/// </summary>
+public interface IDataCache
+{
+    double? GetsupplementaryDatum(string key);
+    Task<bool> SetsupplementaryDatum(string key, double? datum);
+    IReadOnlyDictionary<string, double?> AllSupplementaryData { get; }
+
+    ISecurityData GetSecurityData(string tickerSymbol);
+    IReadOnlyDictionary<string, ISecurityData> AllSecurityData { get; }
+
+    Intrinio.Realtime.Equities.Trade? GetLatestEquityTrade(string tickerSymbol);
+    Task<bool> SetEquityTrade(Intrinio.Realtime.Equities.Trade trade);
+
+    Intrinio.Realtime.Equities.Quote? GetLatestEquityQuote(string tickerSymbol);
+    Task<bool> SetEquityQuote(Intrinio.Realtime.Equities.Quote quote);
+
+    Intrinio.Realtime.Equities.TradeCandleStick? GetLatestEquityTradeCandleStick(string tickerSymbol);
+    Task<bool> SetEquityTradeCandleStick(Intrinio.Realtime.Equities.TradeCandleStick tradeCandleStick);
+
+    Intrinio.Realtime.Equities.QuoteCandleStick? GetLatestEquityAskQuoteCandleStick(string tickerSymbol);
+    Intrinio.Realtime.Equities.QuoteCandleStick? GetLatestEquityBidQuoteCandleStick(string tickerSymbol);
+    Task<bool> SetEquityQuoteCandleStick(Intrinio.Realtime.Equities.QuoteCandleStick quoteCandleStick);
+
+    IOptionsContractData GetOptionsContractData(string tickerSymbol, string contract);
+
+    Intrinio.Realtime.Options.Trade? GetLatestOptionsTrade(string tickerSymbol, string contract);
+    Task<bool> SetOptionsTrade(Intrinio.Realtime.Options.Trade trade);
+
+    Intrinio.Realtime.Options.Quote? GetLatestOptionsQuote(string tickerSymbol, string contract);
+    Task<bool> SetOptionsQuote(Intrinio.Realtime.Options.Quote quote);
+
+    Intrinio.Realtime.Options.Refresh? GetLatestOptionsRefresh(string tickerSymbol, string contract);
+    Task<bool> SetOptionsRefresh(Intrinio.Realtime.Options.Refresh refresh);
+
+    Intrinio.Realtime.Options.UnusualActivity? GetLatestOptionsUnusualActivity(string tickerSymbol, string contract);
+    Task<bool> SetOptionsUnusualActivity(Intrinio.Realtime.Options.UnusualActivity unusualActivity);
+
+    Intrinio.Realtime.Options.TradeCandleStick? GetLatestOptionsTradeCandleStick(string tickerSymbol, string contract);
+    Task<bool> SetOptionsTradeCandleStick(Intrinio.Realtime.Options.TradeCandleStick tradeCandleStick);
+
+    Intrinio.Realtime.Options.QuoteCandleStick? GetOptionsAskQuoteCandleStick(string tickerSymbol);
+    Intrinio.Realtime.Options.QuoteCandleStick? GetOptionsBidQuoteCandleStick(string tickerSymbol);
+    Task<bool> SetOptionsQuoteCandleStick(Intrinio.Realtime.Options.QuoteCandleStick quoteCandleStick);
+
+    double? GetSecuritySupplementalDatum(string tickerSymbol, string key);
+    Task<bool> SetSecuritySupplementalDatum(string tickerSymbol, string key, double? datum);
+
+    double? GetOptionsContractSupplementalDatum(string tickerSymbol, string contract, string key);
+    Task<bool> SetOptionSupplementalDatum(string tickerSymbol, string contract, string key, double? datum);
+
+    void SetOnSupplementalDatumUpdated(OnSupplementalDatumUpdated onSupplementalDatumUpdated);
+    void SetOnSecuritySupplementalDatumUpdated(OnSecuritySupplementalDatumUpdated onSecuritySupplementalDatumUpdated);
+    void SetOnOptionSupplementalDatumUpdated(OnOptionsContractSupplementalDatumUpdated onOptionsContractSupplementalDatumUpdated);
+
+    void SetOnEquitiesTradeUpdated(OnEquitiesTradeUpdated onEquitiesTradeUpdated);
+    void SetOnEquitiesQuoteUpdated(OnEquitiesQuoteUpdated onEquitiesQuoteUpdated);
+    void SetOnEquitiesTradeCandleStickUpdated(OnEquitiesTradeCandleStickUpdated onEquitiesTradeCandleStickUpdated);
+    void SetOnEquitiesQuoteCandleStickUpdated(OnEquitiesQuoteCandleStickUpdated onEquitiesQuoteCandleStickUpdated);
+
+    void SetOnOptionsTradeUpdated(OnOptionsTradeUpdated onOptionsTradeUpdated);
+    void SetOnOptionsQuoteUpdated(OnOptionsQuoteUpdated onOptionsQuoteUpdated);
+    void SetOnOptionsRefreshUpdated(OnOptionsRefreshUpdated onOptionsRefreshUpdated);
+    void SetOnOptionsUnusualActivityUpdated(OnOptionsUnusualActivityUpdated onOptionsUnusualActivityUpdated);
+    void SetOnOptionsTradeCandleStickUpdated(OnOptionsTradeCandleStickUpdated onOptionsTradeCandleStickUpdated);
+    void SetOnOptionsQuoteCandleStickUpdated(OnOptionsQuoteCandleStickUpdated onOptionsQuoteCandleStickUpdated);
+}
diff --git a/Intrinio.Realtime/Composite/IOptionsContractData.cs b/Intrinio.Realtime/Composite/IOptionsContractData.cs
@@ -0,0 +1,32 @@
+using System;
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Threading.Tasks;
+
+namespace Intrinio.Realtime.Composite;
+
+/// <summary>
+/// Not for Use yet. Subject to change.
+/// </summary>
+public interface IOptionsContractData {
+    string Contract { get; }
+
+    Intrinio.Realtime.Options.Trade? LatestTrade { get; }
+    Intrinio.Realtime.Options.Quote? LatestQuote { get; }
+    Intrinio.Realtime.Options.Refresh? LatestRefresh { get; }
+    Intrinio.Realtime.Options.UnusualActivity? LatestUnusualActivity { get; }
+    Intrinio.Realtime.Options.TradeCandleStick? LatestTradeCandleStick { get; }
+    Intrinio.Realtime.Options.QuoteCandleStick? LatestAskQuoteCandleStick { get; }
+    Intrinio.Realtime.Options.QuoteCandleStick? LatestBidQuoteCandleStick { get; }
+
+    Task<bool> SetTrade(Intrinio.Realtime.Options.Trade trade);
+    Task<bool> SetQuote(Intrinio.Realtime.Options.Quote quote);
+    Task<bool> SetRefresh(Intrinio.Realtime.Options.Refresh refresh);
+    Task<bool> SetUnusualActivity(Intrinio.Realtime.Options.UnusualActivity unusualActivity);
+    Task<bool> SetTradeCandleStick(Intrinio.Realtime.Options.TradeCandleStick tradeCandleStick);
+    Task<bool> SetQuoteCandleStick(Intrinio.Realtime.Options.QuoteCandleStick quoteCandleStick);
+
+    double? GetSupplementaryDatum(string key);
+    Task<bool> SetSupplementaryDatum(string key, double? datum);
+    IReadOnlyDictionary<string, double?> AllSupplementaryData { get; }
+}
diff --git a/Intrinio.Realtime/Composite/ISecurityData.cs b/Intrinio.Realtime/Composite/ISecurityData.cs
@@ -0,0 +1,49 @@
+using System;
+using System.Collections.Concurrent;
+using System.Collections.Generic;
+using System.Threading.Tasks;
+
+namespace Intrinio.Realtime.Composite;
+
+/// <summary>
+/// Not for Use yet. Subject to change.
+/// </summary>
+public interface ISecurityData {
+    string TickerSymbol { get; }
+
+    double? GetSupplementaryDatum(string key);
+    Task<bool> SetSupplementaryDatum(string key, double? datum);
+    IReadOnlyDictionary<string, double?> AllSupplementaryData { get; }
+
+    Intrinio.Realtime.Equities.Trade? LatestEquitiesTrade { get; }
+    Intrinio.Realtime.Equities.Quote? LatestEquitiesQuote { get; }
+
+    Intrinio.Realtime.Equities.TradeCandleStick? LatestEquitiesTradeCandleStick { get; }
+    Intrinio.Realtime.Equities.QuoteCandleStick? LatestEquitiesAskQuoteCandleStick { get; }
+    Intrinio.Realtime.Equities.QuoteCandleStick? LatestEquitiesBidQuoteCandleStick { get; }
+
+    IOptionsContractData GetOptionsContractData(string contract);
+    IReadOnlyDictionary<string, IOptionsContractData> AllOptionsContractData { get; }
+    List<string> GetContractNames(string ticker);
+
+    Task<bool> SetEquitiesTrade(Intrinio.Realtime.Equities.Trade trade);
+    Task<bool> SetEquitiesQuote(Intrinio.Realtime.Equities.Quote quote);
+
+    Task<bool> SetEquitiesTradeCandleStick(Intrinio.Realtime.Equities.TradeCandleStick tradeCandleStick);
+    Task<bool> SetEquitiesQuoteCandleStick(Intrinio.Realtime.Equities.QuoteCandleStick quoteCandleStick);
+
+    Intrinio.Realtime.Options.Trade? GetLatestOptionsContractTrade(string contract);
+    Task<bool> SetOptionsContractTrade(Intrinio.Realtime.Options.Trade trade);
+
+    Intrinio.Realtime.Options.Quote? GetLatestOptionsContractQuote(string contract);
+    Task<bool> SetOptionsContractQuote(Intrinio.Realtime.Options.Quote quote);
+
+    Intrinio.Realtime.Options.Refresh? GetLatestOptionsContractRefresh(string contract);
+    Task<bool> SetOptionsContractRefresh(Intrinio.Realtime.Options.Refresh refresh);
+
+    Intrinio.Realtime.Options.UnusualActivity? GetLatestOptionsContractUnusualActivity(string contract);
+    Task<bool> SetOptionsContractUnusualActivity(Intrinio.Realtime.Options.UnusualActivity unusualActivity);
+
+    double? GetOptionsContractSupplementalDatum(string contract, string key);
+    Task<bool> SetOptionsContractSupplementalDatum(string contract, string key, double? datum);
+}