marketdata

Documentation

Overview

Package marketdata contains code to assist in building services that handle market data.

Index

• Constants
• func NewMarketDataSource(quoteDistributor quoteDistributor) marketdatasource.MarketDataSourceServer
• type ConflatedQuoteStream
  • func NewConflatedQuoteStream(id string, stream QuoteStream, maxSubscriptions int) *ConflatedQuoteStream
  • func (c *ConflatedQuoteStream) Chan() <-chan *model.ClobQuote
  • func (c *ConflatedQuoteStream) Close()
  • func (c *ConflatedQuoteStream) Subscribe(listingId int32) error
• type DistributorQuoteStream
  • func (q *DistributorQuoteStream) Chan() <-chan *model.ClobQuote
  • func (q *DistributorQuoteStream) Close()
  • func (q *DistributorQuoteStream) Subscribe(listingId int32) error
• type GetMdsClientFn
• type GrpcConnection
• type MdsQuoteStream
  • func (m *MdsQuoteStream) Chan() <-chan *model.ClobQuote
  • func (m *MdsQuoteStream) Close()
  • func (m *MdsQuoteStream) Subscribe(listingId int32) error
• type QuoteDistributor
  • func NewQuoteDistributor(ctx context.Context, stream QuoteStream, sendBufferSize int) *QuoteDistributor
  • func (q *QuoteDistributor) NewQuoteStream() *DistributorQuoteStream
• type QuoteSource
• type QuoteStream
  • func NewMdsQuoteStreamFromFn(parentCtx context.Context, id string, targetAddress string, outBufferSize int, ...) (QuoteStream, error)
  • func NewQuoteStreamFromMarketDataService(ctx context.Context, subscriberId string, targetAddress string, ...) (QuoteStream, error)
  • func NewQuoteStreamFromMdSource(ctx context.Context, id string, targetAddress string, ...) (QuoteStream, error)

Constants

const SubscriberIdKey = "subscriber_id"

Functions

func NewMarketDataSource

func NewMarketDataSource(quoteDistributor quoteDistributor) marketdatasource.MarketDataSourceServer

Types

type ConflatedQuoteStream

type ConflatedQuoteStream struct {
	// contains filtered or unexported fields
}

ConflatedQuoteStream conflates quotes from a quote stream such that the most recent quote for a listing is read from the stream even if the client is reading quotes at a slower rate than they are being published.

func NewConflatedQuoteStream

func NewConflatedQuoteStream(id string, stream QuoteStream,
	maxSubscriptions int) *ConflatedQuoteStream

func (*ConflatedQuoteStream) Chan

func (c *ConflatedQuoteStream) Chan() <-chan *model.ClobQuote

func (*ConflatedQuoteStream) Close

func (c *ConflatedQuoteStream) Close()

func (*ConflatedQuoteStream) Subscribe

func (c *ConflatedQuoteStream) Subscribe(listingId int32) error

type DistributorQuoteStream

type DistributorQuoteStream struct {
	// contains filtered or unexported fields
}

func (*DistributorQuoteStream) Chan

func (q *DistributorQuoteStream) Chan() <-chan *model.ClobQuote

func (*DistributorQuoteStream) Close

func (q *DistributorQuoteStream) Close()

func (*DistributorQuoteStream) Subscribe

func (q *DistributorQuoteStream) Subscribe(listingId int32) error

type GetMdsClientFn

type GetMdsClientFn = func(targetAddress string) (commonMds, GrpcConnection, error)

type GrpcConnection

type GrpcConnection interface {
	GetState() connectivity.State
	WaitForStateChange(ctx context.Context, sourceState connectivity.State) bool
}

type MdsQuoteStream

type MdsQuoteStream struct {
	// contains filtered or unexported fields
}

MdsQuoteStream wraps the API of a market data service such that it conforms to the QuoteStream interface.

func (*MdsQuoteStream) Chan

func (m *MdsQuoteStream) Chan() <-chan *model.ClobQuote

func (*MdsQuoteStream) Close

func (m *MdsQuoteStream) Close()

func (*MdsQuoteStream) Subscribe

func (m *MdsQuoteStream) Subscribe(listingId int32) error

type QuoteDistributor

type QuoteDistributor struct {
	// contains filtered or unexported fields
}

QuoteDistributor fans out quote data sourced from a quote stream to multiple clients.

func NewQuoteDistributor

func NewQuoteDistributor(ctx context.Context, stream QuoteStream, sendBufferSize int) *QuoteDistributor

func (*QuoteDistributor) NewQuoteStream

func (q *QuoteDistributor) NewQuoteStream() *DistributorQuoteStream

type QuoteSource

type QuoteSource interface {
	Subscribe(listingId int)
}

type QuoteStream

type QuoteStream interface {
	// Subscribe to quotes for the given listing id.
	Subscribe(listingId int32) error

	// Chan returns a channel that will receive quotes for the subscribed listings.
	Chan() <-chan *model.ClobQuote

	// Close the quote stream.
	Close()
}

QuoteStream is a standardised interface for quote stream interaction.

func NewMdsQuoteStreamFromFn

func NewMdsQuoteStreamFromFn(parentCtx context.Context, id string, targetAddress string, outBufferSize int,
	getConnection GetMdsClientFn) (QuoteStream, error)

func NewQuoteStreamFromMarketDataService

func NewQuoteStreamFromMarketDataService(ctx context.Context, subscriberId string, targetAddress string, maxReconnectInterval time.Duration,
	quoteBufferSize int) (QuoteStream, error)

NewQuoteStreamFromMarketDataService returns a quote stream that sources quote data from a market data service.

func NewQuoteStreamFromMdSource

func NewQuoteStreamFromMdSource(ctx context.Context, id string, targetAddress string, maxReconnectInterval time.Duration,
	quoteBufferSize int) (QuoteStream, error)