MycLib/Src/Myc.Trade.DataServer.pas

unit Myc.Trade.DataServer;

interface

uses
    System.SysUtils,
    System.Generics.Collections,
    Myc.Lazy,
    Myc.Trade.DataPoint,
    Myc.Trade.DataSeries,
    Myc.Signals, // Added for TLatch
    Myc.Futures; // Added for TFuture

type
    IDataProvider = interface
        ['{B2A9996C-724B-4416-A882-595B7E58066D}']
        procedure Fetch;
    end;

    IDataServer<T> = interface(IDataProvider)
        ['{A6E246A2-E84E-49AB-A63E-333E561E488C}']
        function GetData: TMutable<TArray<T>>;
        function GetIsLiveData: TMutable<Boolean>;
        property Data: TMutable<TArray<T>> read GetData;
        property IsLiveData: TMutable<Boolean> read GetIsLiveData;
    end;

    TDataServer<T> = class(TInterfacedObject, IDataServer<T>, IDataProvider)
    protected
        function GetData: TMutable<TArray<T>>; virtual; abstract;
        function GetIsLiveData: TMutable<Boolean>; virtual; abstract;
        procedure Fetch; virtual; abstract;
    end;

    IDataServerNode<T> = interface
        ['{DA3531F1-158E-4A63-8E5A-34089C537B1B}']
        function CreateDataServer: IDataServer<T>;
    end;

    TDataServerNode<T> = class(TInterfacedObject, IDataServerNode<T>)
    public
        // Factory method to create the actual data server instance.
        function CreateDataServer: IDataServer<T>; virtual; abstract;
    end;

    TTABFileServer = class(TDataServer<ITickData>)
    private
        FFilename: String;
        // The maximum number of data points to be produced per Fetch call.
        FMaxFetch: Integer;
        FHasNewData: TEvent;
        FNeedNewChunk: Boolean;
        FIsLiveData: TMutable<Boolean>.IWriteable;

        // Internal state
        FCurrentFileName: string;
        FCurrentData: TFuture<TArray<TAskBid.TTick>>;
        FNextFileName: string;
        FNextData: TFuture<TArray<TAskBid.TTick>>;
        FData: TMutable<TArray<ITickData>>;
        FCurrPosInFile: Int64;
        FCurrChunk: TArray<ITickData>;
        FLoadGate: TLatch;
        FCurrentIdx: Int64;
        FLastTimeStamp: TDateTime;

        function ConvertTicks(var Idx: Int64; const Ticks: TArray<TAskBid.TTick>): TArray<ITickData>;
        function UpdateChunk: TArray<ITickData>;
    protected
        procedure Fetch; override;
        function GetData: TMutable<TArray<ITickData>>; override;
        function GetIsLiveData: TMutable<Boolean>; override;
    public
        constructor Create(const AFilename: String; AMaxFetch: Integer);
    end;

implementation

uses
    System.IOUtils;

{ TTABFileServer<T> }

constructor TTABFileServer.Create(const AFilename: String; AMaxFetch: Integer);
begin
    inherited Create;
    FFilename := AFilename;
    FMaxFetch := AMaxFetch;

    FNextData := TFuture<TArray<TAskBid.TTick>>.Null;
    FNeedNewChunk := true;
    FIsLiveData := TMutable<Boolean>.CreateWriteable(false);

    FHasNewData := TEvent.CreateEvent;
    FData := TMutable<TArray<ITickData>>.Construct(FHasNewData.Signal, function: TArray<ITickData> begin Result := UpdateChunk; end);
end;

function TTABFileServer.ConvertTicks(var Idx: Int64; const Ticks: TArray<TAskBid.TTick>): TArray<ITickData>;
begin
    SetLength(Result, Length(Ticks));
    for var i := 0 to High(Ticks) do
    begin
        Result[i] := TDataPoint<ITick>.Create(Idx, Ticks[i].OADateTime, 1, TTick.Create(Ticks[i].Data.Ask, Ticks[i].Data.Bid));
        inc(Idx);
    end;
end;

procedure TTABFileServer.Fetch;
begin

    // Check if the source filename has changed.
    if (FFilename <> FCurrentFileName) and (FFilename <> '') then
    begin
        // Filename has changed, initialize by loading the new file.
        FCurrentFileName := FFilename;
        FCurrentData := TAskBid.LoadDataFile(TLatch.Enqueue(FLoadGate), FCurrentFileName);
        FCurrPosInFile := 0;
        FCurrentIdx := 0;
        FIsLiveData.SetValue(false);
        FLastTimeStamp := 0;
        FFilename := '';

        FNextFileName := FindNextDataFile(FCurrentFileName);
        if FNextFileName <> '' then
            FNextData := TAskBid.LoadDataFile(TLatch.Enqueue(FLoadGate), FNextFileName);
    end;

    FHasNewData.Notify;
    FNeedNewChunk := true;
    FCurrChunk := nil;
end;

function TTABFileServer.GetData: TMutable<TArray<ITickData>>;
begin
    Result := FData;
end;

function TTABFileServer.GetIsLiveData: TMutable<Boolean>;
begin
    Result := FIsLiveData;
end;

function TTABFileServer.UpdateChunk: TArray<ITickData>;
begin
    if not FNeedNewChunk then
        exit(FCurrChunk);
    FNeedNewChunk := false;

    if FCurrentData.Done.IsSet then
    begin
        SetLength(FCurrChunk, FMaxFetch);
        var n := 0;
        while n < FMaxFetch do
        begin
            if FCurrPosInFile >= Length(FCurrentData.Value) then
            begin
                // Next File!
                FCurrentData := FNextData;
                FCurrentFileName := FNextFileName;
                FCurrPosInFile := 0;

                FNextFileName := '';
                FNextData := TFuture<TArray<TAskBid.TTick>>.Null;

                if FCurrentFileName <> '' then
                begin
                    FNextFileName := FindNextDataFile(FCurrentFileName);
                    if FNextFileName <> '' then
                        FNextData := TAskBid.LoadDataFile(TLatch.Enqueue(FLoadGate), FNextFileName);
                end
                else
                begin
                    // We're done with this series
                    FIsLiveData.SetValue(true);
                end;

                SetLength(FCurrChunk, n);
                break;
            end;

            var currData := FCurrentData.Value[FCurrPosInFile];
            if FLastTimeStamp < currData.OADateTime then
            begin
                FLastTimeStamp := currData.OADateTime;
                FCurrChunk[n] :=
                    TDataPoint<ITick>.Create(FCurrentIdx, FLastTimeStamp, 1, TTick.Create(currData.Data.Ask, currData.Data.Bid));
                inc(FCurrentIdx);
                inc(n);
            end;
            inc(FCurrPosInFile);
        end;
    end;
    Result := FCurrChunk;
end;

end.