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334 lines
8.1 KiB
334 lines
8.1 KiB
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local alien = require("alien") |
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json = require "JSON" |
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date = require "date" |
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require "string" |
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struct = require "alien.struct" |
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w32sleep = alien.kernel32.Sleep |
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w32sleep:types { ret = "void", abi = "stdcall", "int" } |
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test_mode = false |
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running = true |
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ctx = nil |
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callback_socket = nil |
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filter = { |
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["SPBFUT#RIH9"] = true, |
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["SPBFUT#MMH9"] = true, |
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["SPBFUT#USH9"] = true, |
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["SPBFUT#EuH9"] = true, |
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["SPBFUT#EDH9"] = true, |
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["SPBFUT#SiH9"] = true, |
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["SPBFUT#BRJ9"] = true, |
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["SPBFUT#GDH9"] = true, |
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["SPBFUT#GZH9"] = true, |
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["SPBFUT#SRH9"] = true, |
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["TQBR#SBER"] = true, |
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["TQBR#GAZP"] = true, |
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["TQBR#LKOH"] = true, |
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["TQBR#NVTK"] = true, |
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["TQBR#MGNT"] = true, |
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["TQBR#GMKN"] = true, |
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["TQBR#ROSN"] = true, |
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["TQBR#VTBR"] = true, |
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["TQBR#SNGS"] = true, |
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["TQBR#MTSS"] = true, |
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["TQBR#ALRS"] = true, |
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["TQBR#TATN"] = true |
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} |
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zmq_pollitem = alien.defstruct { |
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{"socket", "pointer"}, |
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{"fd", "int"}, |
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{"events", "short"}, |
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{"revents", "short"} |
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} |
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zmq_ctx_new = alien.libzmq.zmq_ctx_new |
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zmq_ctx_new:types { ret = "pointer", abi="stdcall" } |
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zmq_ctx_term = alien.libzmq.zmq_ctx_term |
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zmq_ctx_term:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_connect = alien.libzmq.zmq_connect |
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zmq_connect:types { ret = "int", abi="stdcall", "pointer", "string" } |
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zmq_bind = alien.libzmq.zmq_bind |
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zmq_bind:types { ret = "int", abi="stdcall", "pointer", "string" } |
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zmq_close = alien.libzmq.zmq_close |
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zmq_close:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_disconnect = alien.libzmq.zmq_disconnect |
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zmq_disconnect:types { ret = "int", abi="stdcall", "pointer", "string" } |
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zmq_setsockopt = alien.libzmq.zmq_setsockopt |
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zmq_setsockopt:types { ret = "int", abi="stdcall", "pointer", "int", "pointer", "int" } |
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zmq_errno = alien.libzmq.zmq_errno |
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zmq_errno:types { ret = "int", abi="stdcall" } |
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zmq_msg_close = alien.libzmq.zmq_msg_close |
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zmq_msg_close:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_msg_data = alien.libzmq.zmq_msg_data |
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zmq_msg_data:types { ret = "pointer", abi="stdcall", "pointer" } |
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zmq_msg_get = alien.libzmq.zmq_msg_get |
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zmq_msg_get:types { ret = "int", abi="stdcall", "pointer", "int" } |
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zmq_msg_init_size = alien.libzmq.zmq_msg_init_size |
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zmq_msg_init_size:types { ret = "int", abi="stdcall", "pointer", "int" } |
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zmq_msg_init = alien.libzmq.zmq_msg_init |
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zmq_msg_init:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_msg_more = alien.libzmq.zmq_msg_more |
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zmq_msg_more:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_msg_recv = alien.libzmq.zmq_msg_recv |
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zmq_msg_recv:types { ret = "int", abi="stdcall", "pointer", "pointer", "int" } |
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zmq_msg_send = alien.libzmq.zmq_msg_send |
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zmq_msg_send:types { ret = "int", abi="stdcall", "pointer", "pointer", "int" } |
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zmq_msg_set = alien.libzmq.zmq_msg_set |
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zmq_msg_set:types { ret = "int", abi="stdcall", "pointer", "int", "int" } |
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zmq_msg_size = alien.libzmq.zmq_msg_size |
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zmq_msg_size:types { ret = "int", abi="stdcall", "pointer" } |
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zmq_poll = alien.libzmq.zmq_poll |
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zmq_poll:types { ret = "int", abi="stdcall", "pointer", "int", "int" } |
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zmq_recv = alien.libzmq.zmq_recv |
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zmq_recv:types { ret = "int", abi="stdcall", "pointer", "pointer", "int", "int"} |
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zmq_send = alien.libzmq.zmq_send |
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zmq_send:types { ret = "int", abi="stdcall", "pointer", "pointer", "int", "int"} |
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zmq_socket = alien.libzmq.zmq_socket |
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zmq_socket:types { ret = "pointer", abi="stdcall", "pointer", "int"} |
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zmq_version = alien.libzmq.zmq_version |
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zmq_version:types { ret = "void", abi="stdcall", "ref int", "ref int", "ref int"} |
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zmq_unbind = alien.libzmq.zmq_unbind |
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zmq_unbind:types { ret = "int", abi="stdcall", "pointer", "string"} |
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function zmq_msg_new() |
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local buf = alien.buffer(64) |
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return buf |
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end |
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function zmq_msg_as_string(msg) |
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return alien.tostring(zmq_msg_data(msg), zmq_msg_size(msg)) |
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end |
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ZMQ_PAIR = 0 |
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ZMQ_PUB = 1 |
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ZMQ_SUB = 2 |
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ZMQ_REQ = 3 |
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ZMQ_REP = 4 |
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ZMQ_DEALER = 5 |
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ZMQ_ROUTER = 6 |
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ZMQ_PULL = 7 |
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ZMQ_PUSH = 8 |
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ZMQ_XPUB = 9 |
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ZMQ_XSUB = 10 |
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ZMQ_STREAM = 11 |
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ZMQ_POLLIN = 1 |
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ZMQ_POLLOUT = 2 |
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ZMQ_POLLERR = 4 |
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ZMQ_SNDMORE = 2 |
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ZMQ_LINGER = 17 |
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running = true |
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function to_unixtime(year, month, day) |
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return date.diff(date(year, month, day), date(1970, 1, 1)):spanseconds() |
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end |
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function to_unixtime_fine(year, month, day, hour, min, sec) |
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return date.diff(date(year, month, day, hour, min, sec), date(1970, 1, 1)):spanseconds() |
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end |
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function zmq_msg_from_string(str) |
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local msg = zmq_msg_new() |
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zmq_msg_init_size(msg, str:len()) |
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buf = zmq_msg_data(msg) |
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bsource = alien.buffer(str) |
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alien.memcpy(buf, bsource, str:len()) |
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return msg |
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end |
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function zmq_msg_empty() |
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local msg = zmq_msg_new() |
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zmq_msg_init(msg) |
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return msg |
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end |
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function send_param_entry(sock, class, sec) |
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s = "CT:" .. |
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(class .. "#" .. sec) .. |
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":" .. |
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tostring(getParamEx(class, sec, "LAST").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "VOLTODAY").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "BID").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "BIDDEPTH").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "BIDDEPTHT").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "OFFER").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "OFFERDEPTH").param_value) .. |
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";" .. |
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tostring(getParamEx(class, sec, "OFFERDEPTHT").param_value) .. |
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";" |
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zmq_msg_send(zmq_msg_from_string(s), callback_socket, 0) |
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end |
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function dt_as_string(datetime) |
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mcs = 0 |
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if datetime.mcs ~= nil then |
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mcs = datetime.mcs |
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end |
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return tostring(datetime.year) .. "." .. |
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tostring(datetime.month) .. "." .. |
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tostring(datetime.day) .. " " .. |
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tostring(datetime.hour) .. ":" .. |
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tostring(datetime.min) .. ":" .. |
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tostring(datetime.sec) .. "." .. |
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tostring(mcs) |
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end |
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function send_all_trade_entry(sock, ticker_id, price, quantity, datetime, flags) |
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s = "AT:" .. |
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(ticker_id) .. |
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":" .. |
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flags .. |
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";" .. |
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price .. |
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";" .. |
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quantity .. |
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";" .. |
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dt_as_string(datetime) .. |
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";" |
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zmq_msg_send(zmq_msg_from_string(s), callback_socket, 0) |
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end |
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function OnParam(class, sec) |
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local full_code = class .. "#" .. sec |
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if filter[full_code] ~= nil then |
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send_param_entry(sock, class, sec) |
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end |
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end |
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function OnAllTrade(alltrade) |
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local full_code = alltrade.class_code .. "#" .. alltrade.sec_code |
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if filter[full_code] ~= nil then |
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send_all_trade_entry(sock, full_code, alltrade.price, alltrade.qty, alltrade.datetime, alltrade.flags) |
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end |
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end |
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function OnStop() |
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running = false |
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end |
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function main() |
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local status, err = pcall(pmain) |
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if not status then |
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message("Error: " .. err) |
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PrintDbgStr("Error: " .. err) |
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end |
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OnStop() |
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end |
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function pmain() |
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ctx = zmq_ctx_new() |
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sock = zmq_socket(ctx, ZMQ_PUB) |
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local linger = alien.array("int", {0}) |
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zmq_setsockopt(sock, ZMQ_LINGER, linger.buffer, 4) |
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local rc = zmq_bind(sock, "tcp://127.0.0.1:5513") |
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if rc ~= 0 then |
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message("Bind error: " .. tostring(rc)) |
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return |
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end |
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sink_socket = zmq_socket(ctx, ZMQ_PULL) |
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local rc = zmq_bind(sink_socket, "inproc://events") |
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if rc ~= 0 then |
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message("Bind [2] error: " .. tostring(rc)) |
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return |
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end |
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callback_socket = zmq_socket(ctx, ZMQ_PUSH) |
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local rc = zmq_connect(callback_socket, "inproc://events") |
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if rc ~= 0 then |
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message("Connect [3] error: " .. tostring(rc)) |
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return |
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end |
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message("Starting main loop") |
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local last_action = os.time() |
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while running do |
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local pi = zmq_pollitem:new() |
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pi.socket = sink_socket |
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pi.fd = 0 |
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pi.events = ZMQ_POLLIN |
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pi.revents = 0 |
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rc = zmq_poll(pi(), 1, 5000) |
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if rc > 0 and pi.revents == ZMQ_POLLIN then |
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local msg = zmq_msg_new() |
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zmq_msg_init(msg) |
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rc = zmq_msg_recv(msg, sink_socket, 0) |
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if rc == -1 then |
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running = false |
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message("rc: " .. tostring(rc) .. "; " .. tostring(zmq_errno())) |
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else |
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zmq_msg_send(msg, sock, 0) |
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end |
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end |
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if test_mode then |
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if os.time() - last_action > 10 then |
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message("Sending 500 ticks") |
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for i=1,500 do |
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alltrade = { |
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["class_code"] = "SPBFUT", |
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["sec_code"] = "RIH9", |
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["price"] = i, |
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["qty"] = 1, |
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["datetime"] = os.date("*t"), |
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["flags"] = 1 |
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} |
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last_action = os.time() |
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OnAllTrade(alltrade) |
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end |
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end |
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end |
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end |
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zmq_close(sock) |
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zmq_close(sink_socket) |
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zmq_close(callback_socket) |
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zmq_ctx_term(ctx) |
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end
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