MonadRobot: new method: getTickerInfo

src/ATrade/Driver/Junction.hs

@@ -52,7 +52,7 @@ import           ATrade.RoboCom.ConfigStorage                (ConfigStorage (loa
 import           ATrade.RoboCom.Monad                        (StrategyEnvironment (..))
 import           ATrade.RoboCom.Persistence                  (MonadPersistence (loadState, saveState))
 import           ATrade.RoboCom.Types                        (BarSeriesId (BarSeriesId),
-                                                              Bars)
+                                                              Bars, TickerInfoMap)
 import           ATrade.Types                                (ClientSecurityParams (ClientSecurityParams),
                                                               OrderId,
                                                               Trade (tradeOrderId))
@@ -192,6 +192,7 @@ junctionMain descriptors = do
     let log = logWith (logger h)
 
     barsMap <- newIORef M.empty
+    tickerInfoMap <- newIORef M.empty
 
     log Info "Junction" $ "Connecting to redis: " <> redisSocket cfg
     redis <- checkedConnect (defaultConnectInfo { connectPort = UnixSocket (T.unpack $ redisSocket cfg) })
@@ -204,7 +205,7 @@ junctionMain descriptors = do
       ordersMap <- newIORef M.empty
       handledNotifications <- newIORef S.empty
       withBroker cfg ctx robotsMap ordersMap handledNotifications (logger h) $ \bro ->
-        withQThread downloaderEnv barsMap cfg ctx (logger h) $ \qt -> do
+        withQThread downloaderEnv barsMap tickerInfoMap cfg ctx (logger h) $ \qt -> do
           broService <- mkBrokerService bro ordersMap
           let junctionLogAction = logger h
           let env =
@@ -218,7 +219,7 @@ junctionMain descriptors = do
                   peLogAction = junctionLogAction
                 }
           withJunction env $ do
-            startRobots h cfg barsMap broService
+            startRobots h cfg barsMap tickerInfoMap broService
             forever $ do
               notifications <- liftIO $ getNotifications broService
               forM_ notifications (liftIO . handleBrokerNotification robotsMap ordersMap handledNotifications (logger h))
@@ -237,8 +238,8 @@ junctionMain descriptors = do
       currentTimers <- liftIO $ readIORef (strategyTimers inst)
       saveState currentTimers (strategyInstanceId inst <> ":timers")
 
-    startRobots :: Handle -> ProgramConfiguration -> IORef Bars -> BrokerService -> JunctionM ()
-    startRobots logHandle cfg barsMap broService = forM_ (instances cfg) $ \inst -> do
+    startRobots :: Handle -> ProgramConfiguration -> IORef Bars -> IORef TickerInfoMap -> BrokerService -> JunctionM ()
+    startRobots logHandle cfg barsMap tickerInfoMap broService = forM_ (instances cfg) $ \inst -> do
       now <- liftIO getCurrentTime
       case M.lookup (strategyBaseName inst) descriptors of
         Just (StrategyDescriptorE desc) -> do
@@ -258,7 +259,8 @@ junctionMain descriptors = do
                                _seVolume = 1,
                                _seLastTimestamp = now
                              }
-              let robotEnv = RobotEnv rState rConf rTimers barsMap stratEnv robotLogAction broService (toBarSeriesId <$> (firstTicker :| restTickers))
+              let robotEnv =
+                    RobotEnv rState rConf rTimers barsMap tickerInfoMap stratEnv robotLogAction broService (toBarSeriesId <$> (firstTicker :| restTickers))
               robot <- createRobotDriverThread inst desc (flip runReaderT robotEnv . unRobotM) bigConf rConf rState rTimers
               robotsMap' <- asks peRobots
               liftIO $ atomicModifyIORef' robotsMap' (\s -> (M.insert (strategyId inst) robot s, ()))

src/ATrade/Driver/Junction/QuoteThread.hs

@@ -36,7 +36,8 @@ import           ATrade.RoboCom.Types                        (Bar (barSecurity),
                                                               BarSeries (..),
                                                               BarSeriesId (BarSeriesId),
                                                               Bars,
-                                                              InstrumentParameters (InstrumentParameters))
+                                                              InstrumentParameters (InstrumentParameters),
+                                                              TickerInfoMap)
 import           ATrade.Types                                (BarTimeframe (BarTimeframe),
                                                               ClientSecurityParams (ClientSecurityParams),
                                                               Tick (security),
@@ -78,7 +79,7 @@ data QuoteThreadEnv =
     bars        :: IORef Bars,
     endpoints   :: IORef (HM.HashMap QuoteSubscription [BoundedChan QuoteData]),
     qsclient    :: QuoteSourceClientHandle,
-    paramsCache :: IORef (M.Map TickerId InstrumentParameters),
+    paramsCache :: IORef TickerInfoMap,
     downloaderChan :: BoundedChan QuoteSubscription
   }
 
@@ -88,17 +89,18 @@ startQuoteThread :: (MonadIO m,
                      HistoryProvider m1,
                      TickerInfoProvider m1) =>
   IORef Bars ->
+  IORef TickerInfoMap ->
   Context ->
   T.Text ->
   ClientSecurityParams ->
   (m1 () -> IO ()) ->
   LogAction IO Message ->
   m QuoteThreadHandle
-startQuoteThread barsRef ctx ep secparams downloadThreadRunner logger = do
+startQuoteThread barsRef tiRef ctx ep secparams downloadThreadRunner logger = do
   chan <- liftIO $ newBoundedChan 2000
   dChan <- liftIO $ newBoundedChan 2000
   qsc <- liftIO $ startQuoteSourceClient chan [] ctx ep secparams logger
-  env <- liftIO $ QuoteThreadEnv barsRef <$> newIORef HM.empty <*> pure qsc <*> newIORef M.empty <*> pure dChan
+  env <- liftIO $ QuoteThreadEnv barsRef <$> newIORef HM.empty <*> pure qsc <*> pure tiRef <*> pure dChan
   tid <- liftIO . forkIO $ quoteThread env chan
   downloaderTid <- liftIO . forkIO $ downloadThreadRunner (downloaderThread env dChan)
   return $ QuoteThreadHandle tid downloaderTid env
@@ -119,7 +121,9 @@ startQuoteThread barsRef ctx ep secparams downloadThreadRunner logger = do
         Nothing -> case mbParams of
           Just params -> do
             now <- liftIO getCurrentTime
-            barsData <- getHistory tickerid tf ((-86400 * 60) `addUTCTime` now) now
+            -- Load data in interval [today - 60days; today + 1day]. +1 day guarantees that we will download data up until current time.
+            -- If we don't make this adjustment it is possible that we will get data only up to beginning of current day.
+            barsData <- getHistory tickerid tf ((-86400 * 60) `addUTCTime` now) (86400 `addUTCTime` now)
             let barSeries = BarSeries tickerid tf barsData params
             liftIO $ atomicModifyIORef' (bars env) (\m -> (M.insert (BarSeriesId tickerid tf) barSeries m, ()))
           _ -> return () -- TODO log
@@ -200,12 +204,21 @@ instance TickerInfoProvider DownloaderM where
                      (fromInteger $ tiLotSize ti)
                      (tiTickSize ti)
 
-withQThread :: DownloaderEnv -> IORef Bars -> ProgramConfiguration -> Context -> LogAction IO Message -> (QuoteThreadHandle -> IO ()) -> IO ()
-withQThread env barsMap cfg ctx logger f = do
+withQThread ::
+     DownloaderEnv
+  -> IORef Bars
+  -> IORef TickerInfoMap
+  -> ProgramConfiguration
+  -> Context
+  -> LogAction IO Message
+  -> (QuoteThreadHandle -> IO ())
+  -> IO ()
+withQThread env barsMap tiMap cfg ctx logger f = do
     securityParameters <- loadSecurityParameters
     bracket
       (startQuoteThread
           barsMap
+          tiMap
           ctx
           (quotesourceEndpoint cfg)
           securityParameters

src/ATrade/Driver/Junction/RobotDriverThread.hs

@@ -37,7 +37,7 @@ import           ATrade.RoboCom.Monad                 (Event (NewBar, NewTick, N
                                                        StrategyEnvironment (StrategyEnvironment, _seInstanceId, _seLastTimestamp))
 import           ATrade.RoboCom.Persistence           (MonadPersistence)
 import           ATrade.RoboCom.Types                 (BarSeriesId (BarSeriesId),
-                                                       Bars)
+                                                       Bars, TickerInfoMap)
 import           ATrade.Types                         (Order (orderId), OrderId,
                                                        OrderState, Trade)
 import           Colog                                (HasLog (getLogAction, setLogAction),
@@ -139,6 +139,7 @@ data RobotEnv c s =
     configRef     :: IORef c,
     timersRef     :: IORef [UTCTime],
     bars          :: IORef Bars,
+    tickerInfoMap :: IORef TickerInfoMap,
     env           :: IORef StrategyEnvironment,
     logAction     :: LogAction (RobotM c s) Message,
     brokerService :: Bro.BrokerService,
@@ -183,6 +184,10 @@ instance MonadRobot (RobotM c s) c s where
     b <- asks bars >>= liftIO . readIORef
     return $ M.lookup (BarSeriesId tid tf) b
 
+  getTickerInfo tid = do
+    b <- asks tickerInfoMap >>= liftIO . readIORef
+    return $ M.lookup tid b
+
   getAvailableTickers = asks tickers
 
 postNotificationEvent :: (MonadIO m) => RobotDriverHandle -> Notification -> m ()

src/ATrade/RoboCom/Monad.hs

@@ -51,6 +51,7 @@ class (Monad m) => MonadRobot m c s | m -> c, m -> s where
     setState (f oldState)
   getEnvironment :: m StrategyEnvironment
   getTicker :: TickerId -> BarTimeframe -> m (Maybe BarSeries)
+  getTickerInfo :: TickerId -> m (Maybe InstrumentParameters)
   getAvailableTickers :: m (NonEmpty BarSeriesId)
 
 getFirstTickerId :: forall c s m. (Monad m, MonadRobot m c s) => m BarSeriesId

src/ATrade/RoboCom/Types.hs

@@ -11,6 +11,7 @@ module ATrade.RoboCom.Types (
   BarSeries(..),
   Ticker(..),
   Bars,
+  TickerInfoMap,
   InstrumentParameters(..),
   bsidTickerId
 ) where
@@ -31,6 +32,8 @@ data InstrumentParameters =
     ipTickSize :: Price
   } deriving (Show, Eq)
 
+type TickerInfoMap = M.Map TickerId InstrumentParameters
+
 data BarSeries =
   BarSeries {
     bsTickerId  :: TickerId,