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45 lines
1.5 KiB
45 lines
1.5 KiB
7 years ago
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{-# LANGUAGE BangPatterns #-}
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module ATrade.Driver.Real.QuoteSourceThread
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(
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startQuoteSourceThread
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) where
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import ATrade.BarAggregator
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import ATrade.QuoteSource.Client
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import ATrade.RoboCom.Monad
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import ATrade.RoboCom.Types
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import ATrade.Types
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import ATrade.Driver.Real.Types
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import Data.IORef
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import qualified Data.Text as T
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import Control.Concurrent.BoundedChan
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import Control.Concurrent hiding (writeChan, readChan, writeList2Chan, yield)
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import Control.Exception
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import Control.Monad
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import System.Log.Logger
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import System.ZMQ4 hiding (Event)
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startQuoteSourceThread :: Context -> T.Text -> Strategy c s -> BoundedChan Event -> IORef BarAggregator -> (Tick -> Bool) -> IO ThreadId
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startQuoteSourceThread ctx qsEp strategy eventChan agg tickFilter = forkIO $ do
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tickChan <- newBoundedChan 1000
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bracket (startQuoteSourceClient tickChan (fmap code . (tickers . strategyInstanceParams) $ strategy) ctx qsEp)
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(\qs -> do
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stopQuoteSourceClient qs
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debugM "Strategy" "Quotesource client: stop")
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(\_ -> forever $ do
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tick <- readChan tickChan
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when (goodTick tick) $ do
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writeChan eventChan (NewTick tick)
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aggValue <- readIORef agg
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case handleTick tick aggValue of
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(Just bar, !newAggValue) -> writeChan eventChan (NewBar bar) >> writeIORef agg newAggValue
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(Nothing, !newAggValue) -> writeIORef agg newAggValue)
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where
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goodTick tick = tickFilter tick &&
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(datatype tick /= LastTradePrice || (datatype tick == LastTradePrice && volume tick > 0))
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