feat: Add data server for market data loading
This commit introduces a new data server module (`src/ast/data_server`) designed for high-performance, thread-safe loading and caching of market data. Key components: - `DataServer`: Manages symbol indexing and delegates loading/caching. - `SymbolIndex`: Scans the data directory and maintains a sorted index of data files per symbol. - `FileCache`: Implements a thread-safe cache using `RwLock` and a loading guard to prevent duplicate work. - `loader`: Handles ZIP decompression and binary record parsing from `.bin` files. - `records`: Defines raw and parsed data structures for M1 and tick data. - `SymbolChunkIter`: Provides an iterator over pre-parsed data chunks, prefetching subsequent files. This architecture allows multiple VM threads to access market data concurrently without redundant I/O, mirroring the strategy used in the original Delphi `TDataServer`.
This commit is contained in:
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//! Thread-safe file cache for parsed market data chunks.
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//!
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//! Designed for a many-readers / rare-writer pattern: hundreds of VM threads
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//! read concurrently via `RwLock`, while the loader writes each file exactly
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//! once. Duplicate loads are prevented by a `loading` guard set.
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use super::records::{DataFormat, M1Parsed, TickParsed};
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use std::collections::{HashMap, HashSet};
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use std::sync::{Arc, Mutex, RwLock};
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/// Uniquely identifies one data file on disk.
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#[derive(Clone, Debug, Hash, Eq, PartialEq)]
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pub struct FileKey {
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pub symbol: Arc<str>,
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pub year: u16,
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pub month: u8,
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pub format: DataFormat,
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}
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/// A file's worth of pre-parsed chunks, shared across threads.
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pub type ChunkVec<T> = Arc<Vec<Arc<[T]>>>;
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/// Cache map: file key → shared chunk vector.
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type CacheMap<T> = RwLock<HashMap<FileKey, ChunkVec<T>>>;
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/// Thread-safe cache storing pre-parsed chunks of market data.
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///
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/// Each file is stored as a `Vec` of `Arc<[T]>` chunks (1024 records each).
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/// The outer `Arc` allows the entire file to be shared without copying,
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/// and individual chunk `Arc`s let iterators hold references to just the
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/// chunk they are consuming.
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pub struct FileCache {
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m1: CacheMap<M1Parsed>,
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tick: CacheMap<TickParsed>,
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/// Tracks files currently being loaded to prevent duplicate work.
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/// A key is inserted before loading starts and removed after the
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/// result is written to the cache.
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loading: Mutex<HashSet<FileKey>>,
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}
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impl Default for FileCache {
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fn default() -> Self {
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Self::new()
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}
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}
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impl FileCache {
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pub fn new() -> Self {
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Self {
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m1: RwLock::new(HashMap::new()),
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tick: RwLock::new(HashMap::new()),
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loading: Mutex::new(HashSet::new()),
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}
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}
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// -- M1 -----------------------------------------------------------------
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/// Returns cached M1 chunks for the given key, or `None` if not yet loaded.
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pub fn get_m1(&self, key: &FileKey) -> Option<ChunkVec<M1Parsed>> {
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self.m1.read().unwrap().get(key).cloned()
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}
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/// Inserts M1 chunks into the cache and clears the loading guard.
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pub fn insert_m1(&self, key: FileKey, chunks: Vec<Arc<[M1Parsed]>>) {
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self.m1
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.write()
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.unwrap()
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.insert(key.clone(), Arc::new(chunks));
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self.loading.lock().unwrap().remove(&key);
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}
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// -- Tick ----------------------------------------------------------------
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/// Returns cached tick chunks for the given key, or `None` if not yet loaded.
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pub fn get_tick(&self, key: &FileKey) -> Option<ChunkVec<TickParsed>> {
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self.tick.read().unwrap().get(key).cloned()
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}
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/// Inserts tick chunks into the cache and clears the loading guard.
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pub fn insert_tick(&self, key: FileKey, chunks: Vec<Arc<[TickParsed]>>) {
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self.tick
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.write()
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.unwrap()
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.insert(key.clone(), Arc::new(chunks));
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self.loading.lock().unwrap().remove(&key);
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}
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// -- Loading guard -------------------------------------------------------
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/// Attempts to claim the loading slot for `key`. Returns `true` if this
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/// thread should load the file (first caller wins), `false` if another
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/// thread is already loading it or it is already cached.
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pub fn try_claim_loading(&self, key: &FileKey) -> bool {
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// Fast path: already cached?
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if key.format == DataFormat::M1 {
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if self.m1.read().unwrap().contains_key(key) {
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return false;
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}
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} else if self.tick.read().unwrap().contains_key(key) {
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return false;
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}
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// Slow path: try to claim the loading slot
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self.loading.lock().unwrap().insert(key.clone())
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}
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/// Checks whether the given key is currently being loaded by another thread.
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pub fn is_loading(&self, key: &FileKey) -> bool {
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self.loading.lock().unwrap().contains(key)
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}
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/// Checks whether the given key is available in the cache (already loaded).
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pub fn is_cached(&self, key: &FileKey) -> bool {
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match key.format {
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DataFormat::M1 => self.m1.read().unwrap().contains_key(key),
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DataFormat::Tick => self.tick.read().unwrap().contains_key(key),
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}
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}
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/// Spins briefly until the key is no longer in the loading set, i.e.
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/// another thread has finished loading it. Returns `true` if the key
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/// is now cached, `false` on timeout.
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pub fn wait_for_load(&self, key: &FileKey) -> bool {
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// Simple spin-wait with yield. In practice, file loads take
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// milliseconds and this is only hit during prefetch races.
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for _ in 0..10_000 {
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if self.is_cached(key) {
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return true;
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}
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std::thread::yield_now();
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}
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// Fallback: still not cached, caller should load it themselves.
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false
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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fn test_key(symbol: &str, year: u16, month: u8, format: DataFormat) -> FileKey {
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FileKey {
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symbol: Arc::from(symbol),
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year,
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month,
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format,
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}
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}
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#[test]
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fn test_insert_and_get_m1() {
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let cache = FileCache::new();
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let key = test_key("EURUSD", 2017, 3, DataFormat::M1);
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assert!(cache.get_m1(&key).is_none());
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let chunk: Arc<[M1Parsed]> = Arc::from(vec![M1Parsed {
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time_ms: 0,
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open: 1.0,
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high: 1.1,
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low: 0.9,
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close: 1.05,
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spread: 0.1,
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volume: 100,
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}]);
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cache.insert_m1(key.clone(), vec![chunk]);
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let result = cache.get_m1(&key).unwrap();
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assert_eq!(result.len(), 1);
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assert_eq!(result[0].len(), 1);
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assert_eq!(result[0][0].open, 1.0);
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}
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#[test]
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fn test_loading_guard() {
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let cache = FileCache::new();
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let key = test_key("EURUSD", 2017, 3, DataFormat::M1);
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// First claim succeeds
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assert!(cache.try_claim_loading(&key));
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// Second claim fails (already loading)
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assert!(!cache.try_claim_loading(&key));
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assert!(cache.is_loading(&key));
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// After insert, loading guard is cleared
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cache.insert_m1(key.clone(), vec![]);
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assert!(!cache.is_loading(&key));
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// After caching, claim also returns false
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assert!(!cache.try_claim_loading(&key));
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}
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#[test]
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fn test_is_cached() {
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let cache = FileCache::new();
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let m1_key = test_key("EURUSD", 2017, 3, DataFormat::M1);
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let tick_key = test_key("EURUSD", 2017, 3, DataFormat::Tick);
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assert!(!cache.is_cached(&m1_key));
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assert!(!cache.is_cached(&tick_key));
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cache.insert_m1(m1_key.clone(), vec![]);
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assert!(cache.is_cached(&m1_key));
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assert!(!cache.is_cached(&tick_key));
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cache.insert_tick(tick_key.clone(), vec![]);
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assert!(cache.is_cached(&tick_key));
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}
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}
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@@ -0,0 +1,220 @@
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//! ZIP decompression and binary record parsing for tick data files.
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//!
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//! Each data file is a ZIP archive containing a single `.bin` entry with
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//! tightly packed binary records. This module reads and parses them into
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//! `Arc`-shared chunks of 1024 records, mirroring the Delphi
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//! `TDataServer<T,R>.ReadUncompressedData` chunking strategy.
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use super::records::{M1Parsed, RawM1Record, RawTickRecord, TickParsed};
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use std::io::Read;
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use std::path::Path;
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use std::sync::Arc;
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/// Number of records per chunk. Matches the Delphi `ChunkSize = 1024` constant.
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pub const CHUNK_SIZE: usize = 1024;
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/// Loads an M1 (minute OHLCV) data file and returns pre-parsed chunks.
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///
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/// The file must be a ZIP archive containing a `.bin` entry with packed
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/// `RawM1Record` structs (48 bytes each).
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pub fn load_m1_file(path: &Path) -> std::io::Result<Vec<Arc<[M1Parsed]>>> {
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let buf = read_bin_entry(path)?;
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Ok(parse_chunks(&buf, std::mem::size_of::<RawM1Record>(), |ptr| {
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// SAFETY: `ptr` points to `size_of::<RawM1Record>()` valid bytes.
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let raw = unsafe { &*(ptr as *const RawM1Record) };
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M1Parsed::from_raw(raw)
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}))
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}
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/// Loads a tick data file and returns pre-parsed chunks.
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///
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/// The file must be a ZIP archive containing a `.bin` entry with packed
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/// `RawTickRecord` structs (24 bytes each).
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pub fn load_tick_file(path: &Path) -> std::io::Result<Vec<Arc<[TickParsed]>>> {
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let buf = read_bin_entry(path)?;
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Ok(parse_chunks(&buf, std::mem::size_of::<RawTickRecord>(), |ptr| {
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let raw = unsafe { &*(ptr as *const RawTickRecord) };
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TickParsed::from_raw(raw)
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}))
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}
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/// Opens a ZIP archive and reads the first `.bin` entry into memory.
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///
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/// Mirrors Delphi's `ReadCompressedData`: opens the archive, locates the
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/// `.bin` entry, decompresses it, and returns the raw bytes.
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fn read_bin_entry(path: &Path) -> std::io::Result<Vec<u8>> {
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let file = std::fs::File::open(path)?;
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let mut archive = zip::ZipArchive::new(file)?;
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// Find the .bin entry (like Delphi's search loop in ReadCompressedData)
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let entry_index = (0..archive.len())
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.find(|&i| {
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archive
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.name_for_index(i)
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.is_some_and(|name| name.ends_with(".bin"))
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})
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.ok_or_else(|| {
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std::io::Error::new(
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std::io::ErrorKind::NotFound,
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format!("No .bin entry found in {}", path.display()),
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)
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})?;
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let mut entry = archive.by_index(entry_index)?;
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let mut buf = Vec::with_capacity(entry.size() as usize);
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entry.read_to_end(&mut buf)?;
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Ok(buf)
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}
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/// Parses a byte buffer into chunks of parsed records.
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///
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/// Generic over the output type `T` via a conversion closure that receives
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/// a pointer to each raw record in the buffer. This is the Rust equivalent
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/// of Delphi's `ReadUncompressedData` with its `MapRecord` virtual call.
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fn parse_chunks<T: Copy>(
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buf: &[u8],
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record_size: usize,
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convert: impl Fn(*const u8) -> T,
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) -> Vec<Arc<[T]>> {
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let total_records = buf.len() / record_size;
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if total_records == 0 {
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return Vec::new();
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}
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let chunk_count = total_records.div_ceil(CHUNK_SIZE);
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let mut chunks = Vec::with_capacity(chunk_count);
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for chunk_idx in 0..chunk_count {
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let start = chunk_idx * CHUNK_SIZE;
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let end = (start + CHUNK_SIZE).min(total_records);
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let mut parsed = Vec::with_capacity(end - start);
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for i in start..end {
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let ptr = buf[i * record_size..].as_ptr();
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parsed.push(convert(ptr));
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}
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chunks.push(Arc::from(parsed.into_boxed_slice()));
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}
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chunks
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use crate::ast::data_server::records::RawM1Record;
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use std::io::Write;
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/// Creates a minimal ZIP file containing a `.bin` entry with raw M1 records.
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fn create_test_m1_zip(records: &[RawM1Record]) -> tempfile::NamedTempFile {
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let tmp = tempfile::NamedTempFile::new().unwrap();
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let mut zip = zip::ZipWriter::new(tmp.reopen().unwrap());
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zip.start_file::<String, ()>("TEST.bin".into(), Default::default())
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.unwrap();
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for rec in records {
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let bytes: &[u8] = unsafe {
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std::slice::from_raw_parts(rec as *const RawM1Record as *const u8, 48)
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};
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zip.write_all(bytes).unwrap();
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}
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zip.finish().unwrap();
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tmp
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}
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#[test]
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fn test_load_m1_single_chunk() {
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// Create 3 test records
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let records = vec![
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RawM1Record {
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time: 42795.0,
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open: 1.05,
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high: 1.06,
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low: 1.04,
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close: 1.055,
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spread: 0.5,
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volume: 100,
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},
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RawM1Record {
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time: 42795.001,
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open: 1.055,
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high: 1.07,
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low: 1.05,
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close: 1.065,
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spread: 0.4,
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volume: 200,
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},
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RawM1Record {
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time: 42795.002,
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open: 1.065,
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high: 1.08,
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low: 1.06,
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close: 1.075,
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spread: 0.3,
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volume: 300,
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},
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];
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let zip_file = create_test_m1_zip(&records);
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let chunks = load_m1_file(zip_file.path()).unwrap();
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// 3 records < 1024, so only 1 chunk
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assert_eq!(chunks.len(), 1);
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assert_eq!(chunks[0].len(), 3);
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assert_eq!(chunks[0][0].open, 1.05);
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assert_eq!(chunks[0][1].volume, 200);
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assert_eq!(chunks[0][2].close, 1.075);
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}
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#[test]
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fn test_load_m1_multiple_chunks() {
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// Create exactly CHUNK_SIZE + 1 records to verify chunking
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let records: Vec<RawM1Record> = (0..CHUNK_SIZE + 1)
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.map(|i| RawM1Record {
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time: 42795.0 + i as f64 * 0.001,
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open: 1.0 + i as f64 * 0.001,
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high: 1.1,
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low: 0.9,
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close: 1.05,
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spread: 0.1,
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volume: i as i32,
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})
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.collect();
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let zip_file = create_test_m1_zip(&records);
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let chunks = load_m1_file(zip_file.path()).unwrap();
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assert_eq!(chunks.len(), 2);
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assert_eq!(chunks[0].len(), CHUNK_SIZE);
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assert_eq!(chunks[1].len(), 1);
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// Last record should have volume == CHUNK_SIZE
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assert_eq!(chunks[1][0].volume, CHUNK_SIZE as i64);
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}
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#[test]
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fn test_empty_bin_entry() {
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let tmp = tempfile::NamedTempFile::new().unwrap();
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let mut zip = zip::ZipWriter::new(tmp.reopen().unwrap());
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zip.start_file::<String, ()>("empty.bin".into(), Default::default())
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.unwrap();
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zip.finish().unwrap();
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let chunks = load_m1_file(tmp.path()).unwrap();
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assert!(chunks.is_empty());
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}
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#[test]
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fn test_no_bin_entry() {
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let tmp = tempfile::NamedTempFile::new().unwrap();
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let mut zip = zip::ZipWriter::new(tmp.reopen().unwrap());
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zip.start_file::<String, ()>("data.csv".into(), Default::default())
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.unwrap();
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zip.write_all(b"not binary").unwrap();
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zip.finish().unwrap();
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let result = load_m1_file(tmp.path());
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assert!(result.is_err());
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}
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}
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@@ -0,0 +1,518 @@
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//! High-performance data server for binary market data files.
|
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//!
|
||||
//! Provides thread-safe (`Arc`-based) loading and caching of tick data,
|
||||
//! designed to serve hundreds of single-threaded VMs in parallel without
|
||||
//! redundant I/O. Each file is read and parsed once, then shared across
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||||
//! all consumers via `Arc<[T]>` chunk references.
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//!
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//! # Architecture
|
||||
//!
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||||
//! ```text
|
||||
//! Arc<DataServer>
|
||||
//! ┌──────────────────────────┐
|
||||
//! │ SymbolIndex FileCache │
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||||
//! │ (HashMap) (RwLock) │
|
||||
//! └─────┬────────────┬───────┘
|
||||
//! │ │
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||||
//! VM Thread 1 │ VM Thread N
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||||
//! Generator ──┘ Generator ──┘
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||||
//! ```
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||||
|
||||
pub mod cache;
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||||
pub mod loader;
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||||
pub mod records;
|
||||
|
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use cache::{ChunkVec, FileCache, FileKey};
|
||||
use records::{DataFormat, M1Parsed, TickParsed};
|
||||
|
||||
use regex::Regex;
|
||||
use std::collections::HashMap;
|
||||
use std::path::{Path, PathBuf};
|
||||
use std::sync::{Arc, OnceLock};
|
||||
|
||||
/// Global data server instance, initialized once before any VM threads start.
|
||||
static DATA_SERVER: OnceLock<Arc<DataServer>> = OnceLock::new();
|
||||
|
||||
/// Initializes the global data server for the given base path.
|
||||
///
|
||||
/// Scans the directory for data files and builds the symbol index.
|
||||
/// Must be called once before any `get_data_server()` calls (typically
|
||||
/// at program startup). Returns the `Arc` for optional local use.
|
||||
///
|
||||
/// # Panics
|
||||
///
|
||||
/// Panics if called more than once (the `OnceLock` is already set).
|
||||
pub fn init_data_server(base_path: impl AsRef<Path>) -> Arc<DataServer> {
|
||||
let server = Arc::new(DataServer::new(base_path));
|
||||
DATA_SERVER
|
||||
.set(server.clone())
|
||||
.expect("DataServer already initialized");
|
||||
server
|
||||
}
|
||||
|
||||
/// Returns the global data server, or `None` if not yet initialized.
|
||||
pub fn get_data_server() -> Option<Arc<DataServer>> {
|
||||
DATA_SERVER.get().cloned()
|
||||
}
|
||||
|
||||
/// Pre-scanned directory index mapping symbols to their sorted data files.
|
||||
struct SymbolIndex {
|
||||
base_path: PathBuf,
|
||||
/// Symbol name (e.g. "EURUSD") → sorted list of file keys (chronological).
|
||||
symbols: HashMap<Arc<str>, Vec<FileKey>>,
|
||||
}
|
||||
|
||||
impl SymbolIndex {
|
||||
/// Scans `base_path` for files matching `SYMBOL_YYYY_MM.(m1|tick)` and
|
||||
/// builds a grouped, chronologically sorted index.
|
||||
///
|
||||
/// Mirrors Delphi's `TDataServer.UpdateSymbols`.
|
||||
fn scan(base_path: &Path) -> Self {
|
||||
let re = Regex::new(r"^(.+)_(\d{4})_(\d{2})\.(m1|tick)$").unwrap();
|
||||
let mut map: HashMap<Arc<str>, Vec<FileKey>> = HashMap::new();
|
||||
|
||||
if let Ok(entries) = std::fs::read_dir(base_path) {
|
||||
for entry in entries.flatten() {
|
||||
let file_name = entry.file_name();
|
||||
let name = file_name.to_string_lossy();
|
||||
|
||||
if let Some(caps) = re.captures(&name) {
|
||||
let symbol: Arc<str> = Arc::from(&caps[1]);
|
||||
let year: u16 = caps[2].parse().unwrap_or(0);
|
||||
let month: u8 = caps[3].parse().unwrap_or(0);
|
||||
let format = match &caps[4] {
|
||||
"m1" => DataFormat::M1,
|
||||
"tick" => DataFormat::Tick,
|
||||
_ => continue,
|
||||
};
|
||||
|
||||
if year > 0 && (1..=12).contains(&month) {
|
||||
let key = FileKey {
|
||||
symbol: symbol.clone(),
|
||||
year,
|
||||
month,
|
||||
format,
|
||||
};
|
||||
map.entry(symbol).or_default().push(key);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// Sort each symbol's files chronologically (year, month, format)
|
||||
for files in map.values_mut() {
|
||||
files.sort_by(|a, b| {
|
||||
(a.year, a.month, a.format as u8).cmp(&(b.year, b.month, b.format as u8))
|
||||
});
|
||||
}
|
||||
|
||||
Self {
|
||||
base_path: base_path.to_path_buf(),
|
||||
symbols: map,
|
||||
}
|
||||
}
|
||||
|
||||
/// Returns the filesystem path for a given file key.
|
||||
fn file_path(&self, key: &FileKey) -> PathBuf {
|
||||
let ext = match key.format {
|
||||
DataFormat::M1 => "m1",
|
||||
DataFormat::Tick => "tick",
|
||||
};
|
||||
self.base_path
|
||||
.join(format!("{}_{:04}_{:02}.{}", key.symbol, key.year, key.month, ext))
|
||||
}
|
||||
}
|
||||
|
||||
/// High-performance data server for binary market data files.
|
||||
///
|
||||
/// Thread-safe (`Send + Sync`). Designed to be wrapped in `Arc` and shared
|
||||
/// across hundreds of VM threads. Each file is loaded and parsed once,
|
||||
/// then served from the in-memory cache.
|
||||
pub struct DataServer {
|
||||
index: SymbolIndex,
|
||||
cache: FileCache,
|
||||
}
|
||||
|
||||
impl std::fmt::Debug for DataServer {
|
||||
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
|
||||
write!(
|
||||
f,
|
||||
"DataServer({:?}, {} symbols)",
|
||||
self.index.base_path,
|
||||
self.index.symbols.len()
|
||||
)
|
||||
}
|
||||
}
|
||||
|
||||
impl DataServer {
|
||||
/// Creates a new data server, scanning the base path for data files.
|
||||
pub fn new(base_path: impl AsRef<Path>) -> Self {
|
||||
Self {
|
||||
index: SymbolIndex::scan(base_path.as_ref()),
|
||||
cache: FileCache::new(),
|
||||
}
|
||||
}
|
||||
|
||||
/// Returns a sorted list of all known symbol names.
|
||||
pub fn symbols(&self) -> Vec<Arc<str>> {
|
||||
let mut syms: Vec<_> = self.index.symbols.keys().cloned().collect();
|
||||
syms.sort();
|
||||
syms
|
||||
}
|
||||
|
||||
/// Returns the number of data files for a given symbol and format,
|
||||
/// or `None` if the symbol is unknown.
|
||||
pub fn file_count(&self, symbol: &str, format: DataFormat) -> Option<usize> {
|
||||
self.index.symbols.get(symbol).map(|files| {
|
||||
files.iter().filter(|f| f.format == format).count()
|
||||
})
|
||||
}
|
||||
|
||||
/// Returns a chunk iterator over all M1 data for a symbol.
|
||||
///
|
||||
/// The iterator yields `Arc<[M1Parsed]>` chunks in chronological order,
|
||||
/// prefetching the next file while the current one is consumed.
|
||||
pub fn stream_m1(self: &Arc<Self>, symbol: &str) -> Option<SymbolChunkIter<M1Parsed>> {
|
||||
let files: Vec<FileKey> = self
|
||||
.index
|
||||
.symbols
|
||||
.get(symbol)?
|
||||
.iter()
|
||||
.filter(|f| f.format == DataFormat::M1)
|
||||
.cloned()
|
||||
.collect();
|
||||
|
||||
if files.is_empty() {
|
||||
return None;
|
||||
}
|
||||
|
||||
// Eagerly load the first file and prefetch the second
|
||||
self.ensure_m1_loaded(&files[0]);
|
||||
if files.len() > 1 {
|
||||
self.prefetch_m1(&files[1]);
|
||||
}
|
||||
|
||||
Some(SymbolChunkIter {
|
||||
server: Arc::clone(self),
|
||||
files,
|
||||
file_idx: 0,
|
||||
chunk_idx: 0,
|
||||
current_file_chunks: None,
|
||||
})
|
||||
}
|
||||
|
||||
/// Returns a chunk iterator over all tick data for a symbol.
|
||||
pub fn stream_tick(self: &Arc<Self>, symbol: &str) -> Option<SymbolChunkIter<TickParsed>> {
|
||||
let files: Vec<FileKey> = self
|
||||
.index
|
||||
.symbols
|
||||
.get(symbol)?
|
||||
.iter()
|
||||
.filter(|f| f.format == DataFormat::Tick)
|
||||
.cloned()
|
||||
.collect();
|
||||
|
||||
if files.is_empty() {
|
||||
return None;
|
||||
}
|
||||
|
||||
self.ensure_tick_loaded(&files[0]);
|
||||
if files.len() > 1 {
|
||||
self.prefetch_tick(&files[1]);
|
||||
}
|
||||
|
||||
Some(SymbolChunkIter {
|
||||
server: Arc::clone(self),
|
||||
files,
|
||||
file_idx: 0,
|
||||
chunk_idx: 0,
|
||||
current_file_chunks: None,
|
||||
})
|
||||
}
|
||||
|
||||
// -- M1 loading ----------------------------------------------------------
|
||||
|
||||
/// Ensures the given M1 file is loaded into the cache (blocking).
|
||||
fn ensure_m1_loaded(&self, key: &FileKey) {
|
||||
if self.cache.is_cached(key) {
|
||||
return;
|
||||
}
|
||||
if self.cache.is_loading(key) {
|
||||
self.cache.wait_for_load(key);
|
||||
if self.cache.is_cached(key) {
|
||||
return;
|
||||
}
|
||||
}
|
||||
self.load_m1_sync(key);
|
||||
}
|
||||
|
||||
/// Synchronously loads an M1 file into the cache.
|
||||
fn load_m1_sync(&self, key: &FileKey) {
|
||||
if !self.cache.try_claim_loading(key) {
|
||||
// Another thread is loading or already cached — wait for it
|
||||
self.cache.wait_for_load(key);
|
||||
return;
|
||||
}
|
||||
let path = self.index.file_path(key);
|
||||
match loader::load_m1_file(&path) {
|
||||
Ok(chunks) => self.cache.insert_m1(key.clone(), chunks),
|
||||
Err(e) => {
|
||||
eprintln!("Warning: failed to load {}: {}", path.display(), e);
|
||||
// Insert empty to unblock waiters and prevent retries
|
||||
self.cache.insert_m1(key.clone(), vec![]);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// Prefetches an M1 file in a background thread.
|
||||
///
|
||||
/// Requires `Arc<Self>` to safely share the server with the spawned thread.
|
||||
fn prefetch_m1(self: &Arc<Self>, key: &FileKey) {
|
||||
if self.cache.is_cached(key) || !self.cache.try_claim_loading(key) {
|
||||
return;
|
||||
}
|
||||
let path = self.index.file_path(key);
|
||||
let cache_key = key.clone();
|
||||
let server = Arc::clone(self);
|
||||
std::thread::spawn(move || {
|
||||
match loader::load_m1_file(&path) {
|
||||
Ok(chunks) => server.cache.insert_m1(cache_key, chunks),
|
||||
Err(e) => {
|
||||
eprintln!("Warning: prefetch failed for {}: {}", path.display(), e);
|
||||
server.cache.insert_m1(cache_key, vec![]);
|
||||
}
|
||||
}
|
||||
});
|
||||
}
|
||||
|
||||
// -- Tick loading --------------------------------------------------------
|
||||
|
||||
/// Ensures the given tick file is loaded into the cache (blocking).
|
||||
fn ensure_tick_loaded(&self, key: &FileKey) {
|
||||
if self.cache.is_cached(key) {
|
||||
return;
|
||||
}
|
||||
if self.cache.is_loading(key) {
|
||||
self.cache.wait_for_load(key);
|
||||
if self.cache.is_cached(key) {
|
||||
return;
|
||||
}
|
||||
}
|
||||
self.load_tick_sync(key);
|
||||
}
|
||||
|
||||
/// Synchronously loads a tick file into the cache.
|
||||
fn load_tick_sync(&self, key: &FileKey) {
|
||||
if !self.cache.try_claim_loading(key) {
|
||||
self.cache.wait_for_load(key);
|
||||
return;
|
||||
}
|
||||
let path = self.index.file_path(key);
|
||||
match loader::load_tick_file(&path) {
|
||||
Ok(chunks) => self.cache.insert_tick(key.clone(), chunks),
|
||||
Err(e) => {
|
||||
eprintln!("Warning: failed to load {}: {}", path.display(), e);
|
||||
self.cache.insert_tick(key.clone(), vec![]);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/// Prefetches a tick file in a background thread.
|
||||
fn prefetch_tick(self: &Arc<Self>, key: &FileKey) {
|
||||
if self.cache.is_cached(key) || !self.cache.try_claim_loading(key) {
|
||||
return;
|
||||
}
|
||||
let path = self.index.file_path(key);
|
||||
let cache_key = key.clone();
|
||||
let server = Arc::clone(self);
|
||||
std::thread::spawn(move || {
|
||||
match loader::load_tick_file(&path) {
|
||||
Ok(chunks) => server.cache.insert_tick(cache_key, chunks),
|
||||
Err(e) => {
|
||||
eprintln!("Warning: prefetch failed for {}: {}", path.display(), e);
|
||||
server.cache.insert_tick(cache_key, vec![]);
|
||||
}
|
||||
}
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
/// Iterator yielding chunks of parsed records for a single symbol.
|
||||
///
|
||||
/// Traverses all files for the symbol in chronological order, yielding
|
||||
/// each 1024-record chunk as an `Arc<[T]>`. When advancing to the next
|
||||
/// file, the file after that is prefetched in the background.
|
||||
///
|
||||
/// This is the Rust equivalent of Delphi's `ProcessFile` chain with its
|
||||
/// `LoadDataFile(nextFileInfo)` prefetch call.
|
||||
pub struct SymbolChunkIter<T> {
|
||||
server: Arc<DataServer>,
|
||||
files: Vec<FileKey>,
|
||||
file_idx: usize,
|
||||
chunk_idx: usize,
|
||||
/// Cached reference to the current file's chunks to avoid repeated
|
||||
/// cache lookups within the same file.
|
||||
current_file_chunks: Option<ChunkVec<T>>,
|
||||
}
|
||||
|
||||
impl SymbolChunkIter<M1Parsed> {
|
||||
/// Returns the next chunk of M1 records, or `None` when exhausted.
|
||||
pub fn next_chunk(&mut self) -> Option<Arc<[M1Parsed]>> {
|
||||
loop {
|
||||
// Try to get chunks for the current file
|
||||
if self.current_file_chunks.is_none() && self.file_idx < self.files.len() {
|
||||
let key = &self.files[self.file_idx];
|
||||
self.server.ensure_m1_loaded(key);
|
||||
self.current_file_chunks = self.server.cache.get_m1(key);
|
||||
self.chunk_idx = 0;
|
||||
}
|
||||
|
||||
let chunks = self.current_file_chunks.as_ref()?;
|
||||
|
||||
if self.chunk_idx < chunks.len() {
|
||||
let chunk = chunks[self.chunk_idx].clone();
|
||||
self.chunk_idx += 1;
|
||||
return Some(chunk);
|
||||
}
|
||||
|
||||
// Current file exhausted — advance to next file
|
||||
self.file_idx += 1;
|
||||
self.current_file_chunks = None;
|
||||
|
||||
if self.file_idx >= self.files.len() {
|
||||
return None; // All files exhausted
|
||||
}
|
||||
|
||||
// Prefetch the file AFTER the next one (N+2), since N+1 was
|
||||
// already prefetched when we started N.
|
||||
if self.file_idx + 1 < self.files.len() {
|
||||
self.server.prefetch_m1(&self.files[self.file_idx + 1]);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
impl SymbolChunkIter<TickParsed> {
|
||||
/// Returns the next chunk of tick records, or `None` when exhausted.
|
||||
pub fn next_chunk(&mut self) -> Option<Arc<[TickParsed]>> {
|
||||
loop {
|
||||
if self.current_file_chunks.is_none() && self.file_idx < self.files.len() {
|
||||
let key = &self.files[self.file_idx];
|
||||
self.server.ensure_tick_loaded(key);
|
||||
self.current_file_chunks = self.server.cache.get_tick(key);
|
||||
self.chunk_idx = 0;
|
||||
}
|
||||
|
||||
let chunks = self.current_file_chunks.as_ref()?;
|
||||
|
||||
if self.chunk_idx < chunks.len() {
|
||||
let chunk = chunks[self.chunk_idx].clone();
|
||||
self.chunk_idx += 1;
|
||||
return Some(chunk);
|
||||
}
|
||||
|
||||
self.file_idx += 1;
|
||||
self.current_file_chunks = None;
|
||||
|
||||
if self.file_idx >= self.files.len() {
|
||||
return None;
|
||||
}
|
||||
|
||||
if self.file_idx + 1 < self.files.len() {
|
||||
self.server.prefetch_tick(&self.files[self.file_idx + 1]);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
|
||||
#[test]
|
||||
fn test_symbol_index_scan() {
|
||||
// Create a temp directory with mock files
|
||||
let dir = tempfile::tempdir().unwrap();
|
||||
let names = [
|
||||
"EURUSD_2017_01.m1",
|
||||
"EURUSD_2017_02.m1",
|
||||
"EURUSD_2017_03.m1",
|
||||
"EURUSD_2017_01.tick",
|
||||
"GBPUSD_2020_06.m1",
|
||||
"invalid_file.txt",
|
||||
"AAPL.US_2006_08.m1",
|
||||
];
|
||||
for name in &names {
|
||||
std::fs::write(dir.path().join(name), b"").unwrap();
|
||||
}
|
||||
|
||||
let index = SymbolIndex::scan(dir.path());
|
||||
|
||||
// EURUSD has both m1 and tick files
|
||||
let eur = index.symbols.get("EURUSD").unwrap();
|
||||
assert_eq!(eur.len(), 4); // 3 m1 + 1 tick
|
||||
// Should be sorted chronologically, M1 before Tick within same month
|
||||
assert_eq!(eur[0].month, 1);
|
||||
assert_eq!(eur[0].format, DataFormat::M1);
|
||||
// The tick file for month 1 comes right after the m1 file for month 1
|
||||
assert_eq!(eur[1].month, 1);
|
||||
assert_eq!(eur[1].format, DataFormat::Tick);
|
||||
|
||||
// AAPL.US with dot in symbol name
|
||||
let aapl = index.symbols.get("AAPL.US").unwrap();
|
||||
assert_eq!(aapl.len(), 1);
|
||||
assert_eq!(aapl[0].year, 2006);
|
||||
|
||||
// GBPUSD
|
||||
assert!(index.symbols.contains_key("GBPUSD"));
|
||||
|
||||
// Invalid file should not appear
|
||||
assert!(!index.symbols.contains_key("invalid_file"));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_file_path_construction() {
|
||||
let index = SymbolIndex {
|
||||
base_path: PathBuf::from("/mnt/tickdata/Pepperstone"),
|
||||
symbols: HashMap::new(),
|
||||
};
|
||||
|
||||
let key = FileKey {
|
||||
symbol: Arc::from("EURUSD"),
|
||||
year: 2017,
|
||||
month: 3,
|
||||
format: DataFormat::M1,
|
||||
};
|
||||
|
||||
assert_eq!(
|
||||
index.file_path(&key),
|
||||
PathBuf::from("/mnt/tickdata/Pepperstone/EURUSD_2017_03.m1")
|
||||
);
|
||||
|
||||
let tick_key = FileKey {
|
||||
symbol: Arc::from("AAPL.US"),
|
||||
year: 2006,
|
||||
month: 8,
|
||||
format: DataFormat::Tick,
|
||||
};
|
||||
|
||||
assert_eq!(
|
||||
index.file_path(&tick_key),
|
||||
PathBuf::from("/mnt/tickdata/Pepperstone/AAPL.US_2006_08.tick")
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_data_server_symbols() {
|
||||
let dir = tempfile::tempdir().unwrap();
|
||||
for name in ["EURUSD_2017_01.m1", "GBPUSD_2020_06.m1"] {
|
||||
std::fs::write(dir.path().join(name), b"").unwrap();
|
||||
}
|
||||
|
||||
let server = DataServer::new(dir.path());
|
||||
let syms = server.symbols();
|
||||
assert_eq!(syms.len(), 2);
|
||||
assert_eq!(syms[0].as_ref(), "EURUSD");
|
||||
assert_eq!(syms[1].as_ref(), "GBPUSD");
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,189 @@
|
||||
//! Binary record types for Pepperstone tick data files.
|
||||
//!
|
||||
//! The raw types (`RawM1Record`, `RawTickRecord`) mirror the Delphi `packed record`
|
||||
//! layout used by the C# data exporter. The parsed types (`M1Parsed`, `TickParsed`)
|
||||
//! hold converted values ready for consumption by the VM.
|
||||
|
||||
/// Delphi `TDateTime` epoch offset: days between 1899-12-30 and 1970-01-01.
|
||||
const DELPHI_EPOCH_OFFSET_DAYS: f64 = 25569.0;
|
||||
/// Milliseconds per day.
|
||||
const MS_PER_DAY: f64 = 86_400_000.0;
|
||||
|
||||
/// Converts a Delphi `TDateTime` (f64 days since 1899-12-30) to Unix milliseconds.
|
||||
///
|
||||
/// Compatible with the existing `Value::DateTime(i64)` representation.
|
||||
#[inline]
|
||||
pub fn delphi_to_unix_ms(dt: f64) -> i64 {
|
||||
((dt - DELPHI_EPOCH_OFFSET_DAYS) * MS_PER_DAY) as i64
|
||||
}
|
||||
|
||||
/// Raw M1 (minute) record as stored on disk. 48 bytes, packed.
|
||||
///
|
||||
/// Matches the Delphi `TM1Record = packed record` layout exactly:
|
||||
/// `Time: Double; Open: Double; High: Double; Low: Double; Close: Double; Spread: Single; Volume: Integer;`
|
||||
#[repr(C, packed)]
|
||||
#[derive(Clone, Copy)]
|
||||
pub struct RawM1Record {
|
||||
pub time: f64,
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub spread: f32,
|
||||
pub volume: i32,
|
||||
}
|
||||
|
||||
/// Raw tick record as stored on disk. 24 bytes, packed.
|
||||
///
|
||||
/// Matches the Delphi `TTickRecord = packed record` layout:
|
||||
/// `Time: Double; Ask: Double; Bid: Double;`
|
||||
#[repr(C, packed)]
|
||||
#[derive(Clone, Copy)]
|
||||
pub struct RawTickRecord {
|
||||
pub time: f64,
|
||||
pub ask: f64,
|
||||
pub bid: f64,
|
||||
}
|
||||
|
||||
/// Parsed M1 record with converted field types.
|
||||
///
|
||||
/// All fields are native-width (`f64`/`i64`) for direct mapping to `Value` variants.
|
||||
/// `time_ms` is Unix milliseconds (converted from Delphi TDateTime).
|
||||
#[derive(Debug, Clone, Copy)]
|
||||
pub struct M1Parsed {
|
||||
pub time_ms: i64,
|
||||
pub open: f64,
|
||||
pub high: f64,
|
||||
pub low: f64,
|
||||
pub close: f64,
|
||||
pub spread: f64,
|
||||
pub volume: i64,
|
||||
}
|
||||
|
||||
/// Parsed tick record with converted field types.
|
||||
#[derive(Debug, Clone, Copy)]
|
||||
pub struct TickParsed {
|
||||
pub time_ms: i64,
|
||||
pub ask: f64,
|
||||
pub bid: f64,
|
||||
}
|
||||
|
||||
/// Distinguishes the two supported data file formats.
|
||||
#[derive(Debug, Clone, Copy, Hash, Eq, PartialEq)]
|
||||
pub enum DataFormat {
|
||||
M1,
|
||||
Tick,
|
||||
}
|
||||
|
||||
impl M1Parsed {
|
||||
/// Converts a raw on-disk record to the parsed representation.
|
||||
///
|
||||
/// Uses `read_unaligned` because `RawM1Record` is `packed` and field
|
||||
/// access would be unaligned on architectures that require alignment.
|
||||
#[inline]
|
||||
pub fn from_raw(raw: &RawM1Record) -> Self {
|
||||
// SAFETY: `raw` points to a valid `RawM1Record`. We use `read_unaligned`
|
||||
// to safely read potentially unaligned fields from the packed struct.
|
||||
unsafe {
|
||||
Self {
|
||||
time_ms: delphi_to_unix_ms(std::ptr::addr_of!(raw.time).read_unaligned()),
|
||||
open: std::ptr::addr_of!(raw.open).read_unaligned(),
|
||||
high: std::ptr::addr_of!(raw.high).read_unaligned(),
|
||||
low: std::ptr::addr_of!(raw.low).read_unaligned(),
|
||||
close: std::ptr::addr_of!(raw.close).read_unaligned(),
|
||||
spread: std::ptr::addr_of!(raw.spread).read_unaligned() as f64,
|
||||
volume: std::ptr::addr_of!(raw.volume).read_unaligned() as i64,
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
impl TickParsed {
|
||||
/// Converts a raw on-disk tick record to the parsed representation.
|
||||
#[inline]
|
||||
pub fn from_raw(raw: &RawTickRecord) -> Self {
|
||||
unsafe {
|
||||
Self {
|
||||
time_ms: delphi_to_unix_ms(std::ptr::addr_of!(raw.time).read_unaligned()),
|
||||
ask: std::ptr::addr_of!(raw.ask).read_unaligned(),
|
||||
bid: std::ptr::addr_of!(raw.bid).read_unaligned(),
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
|
||||
#[test]
|
||||
fn test_delphi_datetime_conversion() {
|
||||
// 2017-03-01 00:00:00 UTC = Unix timestamp 1488326400000 ms
|
||||
// Delphi TDateTime for 2017-03-01 = 42795.0
|
||||
let delphi_dt = 42795.0;
|
||||
let unix_ms = delphi_to_unix_ms(delphi_dt);
|
||||
// Allow 1ms tolerance for floating-point rounding
|
||||
assert!(
|
||||
(unix_ms - 1_488_326_400_000).abs() <= 1,
|
||||
"Expected ~1488326400000, got {unix_ms}"
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_delphi_epoch() {
|
||||
// The Unix epoch (1970-01-01) in Delphi TDateTime is exactly 25569.0
|
||||
let unix_ms = delphi_to_unix_ms(25569.0);
|
||||
assert_eq!(unix_ms, 0);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_raw_m1_record_size() {
|
||||
assert_eq!(std::mem::size_of::<RawM1Record>(), 48);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_raw_tick_record_size() {
|
||||
assert_eq!(std::mem::size_of::<RawTickRecord>(), 24);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_m1_from_raw() {
|
||||
// Construct a raw record with known values
|
||||
let raw = RawM1Record {
|
||||
time: 42795.0, // 2017-03-01
|
||||
open: 1.05,
|
||||
high: 1.06,
|
||||
low: 1.04,
|
||||
close: 1.055,
|
||||
spread: 0.5_f32,
|
||||
volume: 1000,
|
||||
};
|
||||
let parsed = M1Parsed::from_raw(&raw);
|
||||
assert!((parsed.time_ms - 1_488_326_400_000).abs() <= 1);
|
||||
assert_eq!(parsed.open, 1.05);
|
||||
assert_eq!(parsed.high, 1.06);
|
||||
assert_eq!(parsed.low, 1.04);
|
||||
assert_eq!(parsed.close, 1.055);
|
||||
assert!((parsed.spread - 0.5).abs() < f64::EPSILON);
|
||||
assert_eq!(parsed.volume, 1000);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_tick_from_raw() {
|
||||
let raw = RawTickRecord {
|
||||
time: 42795.5, // 2017-03-01 12:00:00
|
||||
ask: 1.05684,
|
||||
bid: 1.05689,
|
||||
};
|
||||
let parsed = TickParsed::from_raw(&raw);
|
||||
assert_eq!(parsed.ask, 1.05684);
|
||||
assert_eq!(parsed.bid, 1.05689);
|
||||
// 12:00:00 = half a day = 43200000 ms offset
|
||||
let expected_ms = 1_488_326_400_000 + 43_200_000;
|
||||
assert!(
|
||||
(parsed.time_ms - expected_ms).abs() <= 1,
|
||||
"Expected ~{expected_ms}, got {}",
|
||||
parsed.time_ms
|
||||
);
|
||||
}
|
||||
}
|
||||
@@ -1,5 +1,6 @@
|
||||
pub mod closure;
|
||||
pub mod compiler;
|
||||
pub mod data_server;
|
||||
pub mod diagnostics;
|
||||
pub mod environment;
|
||||
pub mod lexer;
|
||||
|
||||
Reference in New Issue
Block a user