Brummel
38f657076b
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`.
519 lines
17 KiB
Rust
519 lines
17 KiB
Rust
//! High-performance data server for binary market data files.
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//!
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//! Provides thread-safe (`Arc`-based) loading and caching of tick data,
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//! designed to serve hundreds of single-threaded VMs in parallel without
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//! 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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//!
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//! ```text
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//! Arc<DataServer>
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//! ┌──────────────────────────┐
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//! │ SymbolIndex FileCache │
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//! │ (HashMap) (RwLock) │
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//! └─────┬────────────┬───────┘
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//! │ │
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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};
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use records::{DataFormat, M1Parsed, TickParsed};
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use regex::Regex;
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use std::collections::HashMap;
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use std::path::{Path, PathBuf};
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use std::sync::{Arc, OnceLock};
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/// Global data server instance, initialized once before any VM threads start.
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static DATA_SERVER: OnceLock<Arc<DataServer>> = OnceLock::new();
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/// Initializes the global data server for the given base path.
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///
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/// Scans the directory for data files and builds the symbol index.
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/// Must be called once before any `get_data_server()` calls (typically
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/// at program startup). Returns the `Arc` for optional local use.
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///
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/// # Panics
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///
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/// Panics if called more than once (the `OnceLock` is already set).
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pub fn init_data_server(base_path: impl AsRef<Path>) -> Arc<DataServer> {
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let server = Arc::new(DataServer::new(base_path));
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DATA_SERVER
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.set(server.clone())
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.expect("DataServer already initialized");
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server
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}
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/// Returns the global data server, or `None` if not yet initialized.
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pub fn get_data_server() -> Option<Arc<DataServer>> {
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DATA_SERVER.get().cloned()
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}
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/// Pre-scanned directory index mapping symbols to their sorted data files.
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struct SymbolIndex {
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base_path: PathBuf,
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/// Symbol name (e.g. "EURUSD") → sorted list of file keys (chronological).
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symbols: HashMap<Arc<str>, Vec<FileKey>>,
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}
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impl SymbolIndex {
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/// Scans `base_path` for files matching `SYMBOL_YYYY_MM.(m1|tick)` and
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/// builds a grouped, chronologically sorted index.
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///
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/// Mirrors Delphi's `TDataServer.UpdateSymbols`.
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fn scan(base_path: &Path) -> Self {
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let re = Regex::new(r"^(.+)_(\d{4})_(\d{2})\.(m1|tick)$").unwrap();
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let mut map: HashMap<Arc<str>, Vec<FileKey>> = HashMap::new();
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if let Ok(entries) = std::fs::read_dir(base_path) {
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for entry in entries.flatten() {
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let file_name = entry.file_name();
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let name = file_name.to_string_lossy();
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if let Some(caps) = re.captures(&name) {
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let symbol: Arc<str> = Arc::from(&caps[1]);
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let year: u16 = caps[2].parse().unwrap_or(0);
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let month: u8 = caps[3].parse().unwrap_or(0);
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let format = match &caps[4] {
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"m1" => DataFormat::M1,
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"tick" => DataFormat::Tick,
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_ => continue,
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};
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if year > 0 && (1..=12).contains(&month) {
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let key = FileKey {
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symbol: symbol.clone(),
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year,
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month,
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format,
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};
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map.entry(symbol).or_default().push(key);
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}
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}
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}
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}
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// Sort each symbol's files chronologically (year, month, format)
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for files in map.values_mut() {
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files.sort_by(|a, b| {
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(a.year, a.month, a.format as u8).cmp(&(b.year, b.month, b.format as u8))
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});
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}
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Self {
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base_path: base_path.to_path_buf(),
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symbols: map,
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}
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}
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/// Returns the filesystem path for a given file key.
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fn file_path(&self, key: &FileKey) -> PathBuf {
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let ext = match key.format {
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DataFormat::M1 => "m1",
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DataFormat::Tick => "tick",
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};
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self.base_path
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.join(format!("{}_{:04}_{:02}.{}", key.symbol, key.year, key.month, ext))
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}
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}
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/// High-performance data server for binary market data files.
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///
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/// Thread-safe (`Send + Sync`). Designed to be wrapped in `Arc` and shared
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/// across hundreds of VM threads. Each file is loaded and parsed once,
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/// then served from the in-memory cache.
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pub struct DataServer {
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index: SymbolIndex,
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cache: FileCache,
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}
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impl std::fmt::Debug for DataServer {
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fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
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write!(
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f,
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"DataServer({:?}, {} symbols)",
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self.index.base_path,
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self.index.symbols.len()
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)
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}
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}
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impl DataServer {
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/// Creates a new data server, scanning the base path for data files.
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pub fn new(base_path: impl AsRef<Path>) -> Self {
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Self {
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index: SymbolIndex::scan(base_path.as_ref()),
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cache: FileCache::new(),
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}
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}
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/// Returns a sorted list of all known symbol names.
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pub fn symbols(&self) -> Vec<Arc<str>> {
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let mut syms: Vec<_> = self.index.symbols.keys().cloned().collect();
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syms.sort();
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syms
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}
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/// Returns the number of data files for a given symbol and format,
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/// or `None` if the symbol is unknown.
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pub fn file_count(&self, symbol: &str, format: DataFormat) -> Option<usize> {
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self.index.symbols.get(symbol).map(|files| {
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files.iter().filter(|f| f.format == format).count()
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})
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}
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/// Returns a chunk iterator over all M1 data for a symbol.
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///
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/// The iterator yields `Arc<[M1Parsed]>` chunks in chronological order,
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/// prefetching the next file while the current one is consumed.
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pub fn stream_m1(self: &Arc<Self>, symbol: &str) -> Option<SymbolChunkIter<M1Parsed>> {
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let files: Vec<FileKey> = self
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.index
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.symbols
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.get(symbol)?
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.iter()
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.filter(|f| f.format == DataFormat::M1)
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.cloned()
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.collect();
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if files.is_empty() {
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return None;
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}
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// Eagerly load the first file and prefetch the second
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self.ensure_m1_loaded(&files[0]);
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if files.len() > 1 {
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self.prefetch_m1(&files[1]);
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}
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Some(SymbolChunkIter {
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server: Arc::clone(self),
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files,
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file_idx: 0,
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chunk_idx: 0,
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current_file_chunks: None,
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})
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}
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/// Returns a chunk iterator over all tick data for a symbol.
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pub fn stream_tick(self: &Arc<Self>, symbol: &str) -> Option<SymbolChunkIter<TickParsed>> {
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let files: Vec<FileKey> = self
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.index
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.symbols
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.get(symbol)?
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.iter()
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.filter(|f| f.format == DataFormat::Tick)
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.cloned()
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.collect();
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if files.is_empty() {
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return None;
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}
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self.ensure_tick_loaded(&files[0]);
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if files.len() > 1 {
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self.prefetch_tick(&files[1]);
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}
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Some(SymbolChunkIter {
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server: Arc::clone(self),
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files,
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file_idx: 0,
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chunk_idx: 0,
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current_file_chunks: None,
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})
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}
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// -- M1 loading ----------------------------------------------------------
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/// Ensures the given M1 file is loaded into the cache (blocking).
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fn ensure_m1_loaded(&self, key: &FileKey) {
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if self.cache.is_cached(key) {
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return;
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}
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if self.cache.is_loading(key) {
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self.cache.wait_for_load(key);
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if self.cache.is_cached(key) {
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return;
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}
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}
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self.load_m1_sync(key);
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}
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/// Synchronously loads an M1 file into the cache.
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fn load_m1_sync(&self, key: &FileKey) {
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if !self.cache.try_claim_loading(key) {
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// Another thread is loading or already cached — wait for it
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self.cache.wait_for_load(key);
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return;
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}
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let path = self.index.file_path(key);
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match loader::load_m1_file(&path) {
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Ok(chunks) => self.cache.insert_m1(key.clone(), chunks),
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Err(e) => {
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eprintln!("Warning: failed to load {}: {}", path.display(), e);
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// Insert empty to unblock waiters and prevent retries
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self.cache.insert_m1(key.clone(), vec![]);
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}
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}
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}
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/// Prefetches an M1 file in a background thread.
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///
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/// Requires `Arc<Self>` to safely share the server with the spawned thread.
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fn prefetch_m1(self: &Arc<Self>, key: &FileKey) {
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if self.cache.is_cached(key) || !self.cache.try_claim_loading(key) {
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return;
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}
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let path = self.index.file_path(key);
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let cache_key = key.clone();
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let server = Arc::clone(self);
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std::thread::spawn(move || {
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match loader::load_m1_file(&path) {
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Ok(chunks) => server.cache.insert_m1(cache_key, chunks),
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Err(e) => {
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eprintln!("Warning: prefetch failed for {}: {}", path.display(), e);
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server.cache.insert_m1(cache_key, vec![]);
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}
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}
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});
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}
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// -- Tick loading --------------------------------------------------------
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/// Ensures the given tick file is loaded into the cache (blocking).
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fn ensure_tick_loaded(&self, key: &FileKey) {
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if self.cache.is_cached(key) {
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return;
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}
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if self.cache.is_loading(key) {
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self.cache.wait_for_load(key);
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if self.cache.is_cached(key) {
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return;
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}
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}
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self.load_tick_sync(key);
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}
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/// Synchronously loads a tick file into the cache.
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fn load_tick_sync(&self, key: &FileKey) {
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if !self.cache.try_claim_loading(key) {
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self.cache.wait_for_load(key);
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return;
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}
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let path = self.index.file_path(key);
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match loader::load_tick_file(&path) {
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Ok(chunks) => self.cache.insert_tick(key.clone(), chunks),
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Err(e) => {
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eprintln!("Warning: failed to load {}: {}", path.display(), e);
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self.cache.insert_tick(key.clone(), vec![]);
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}
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}
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}
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/// Prefetches a tick file in a background thread.
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fn prefetch_tick(self: &Arc<Self>, key: &FileKey) {
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if self.cache.is_cached(key) || !self.cache.try_claim_loading(key) {
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return;
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}
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let path = self.index.file_path(key);
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let cache_key = key.clone();
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let server = Arc::clone(self);
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std::thread::spawn(move || {
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match loader::load_tick_file(&path) {
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Ok(chunks) => server.cache.insert_tick(cache_key, chunks),
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Err(e) => {
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eprintln!("Warning: prefetch failed for {}: {}", path.display(), e);
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server.cache.insert_tick(cache_key, vec![]);
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}
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}
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});
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}
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}
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/// Iterator yielding chunks of parsed records for a single symbol.
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///
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/// Traverses all files for the symbol in chronological order, yielding
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/// each 1024-record chunk as an `Arc<[T]>`. When advancing to the next
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/// file, the file after that is prefetched in the background.
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///
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/// This is the Rust equivalent of Delphi's `ProcessFile` chain with its
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/// `LoadDataFile(nextFileInfo)` prefetch call.
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pub struct SymbolChunkIter<T> {
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server: Arc<DataServer>,
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files: Vec<FileKey>,
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file_idx: usize,
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chunk_idx: usize,
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/// Cached reference to the current file's chunks to avoid repeated
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/// cache lookups within the same file.
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current_file_chunks: Option<ChunkVec<T>>,
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}
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impl SymbolChunkIter<M1Parsed> {
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/// Returns the next chunk of M1 records, or `None` when exhausted.
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pub fn next_chunk(&mut self) -> Option<Arc<[M1Parsed]>> {
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loop {
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// Try to get chunks for the current file
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if self.current_file_chunks.is_none() && self.file_idx < self.files.len() {
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let key = &self.files[self.file_idx];
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self.server.ensure_m1_loaded(key);
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self.current_file_chunks = self.server.cache.get_m1(key);
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self.chunk_idx = 0;
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}
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let chunks = self.current_file_chunks.as_ref()?;
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if self.chunk_idx < chunks.len() {
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let chunk = chunks[self.chunk_idx].clone();
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self.chunk_idx += 1;
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return Some(chunk);
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}
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// Current file exhausted — advance to next file
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self.file_idx += 1;
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self.current_file_chunks = None;
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if self.file_idx >= self.files.len() {
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return None; // All files exhausted
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}
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// Prefetch the file AFTER the next one (N+2), since N+1 was
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// already prefetched when we started N.
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if self.file_idx + 1 < self.files.len() {
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self.server.prefetch_m1(&self.files[self.file_idx + 1]);
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}
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}
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}
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}
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impl SymbolChunkIter<TickParsed> {
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/// Returns the next chunk of tick records, or `None` when exhausted.
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pub fn next_chunk(&mut self) -> Option<Arc<[TickParsed]>> {
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loop {
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if self.current_file_chunks.is_none() && self.file_idx < self.files.len() {
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let key = &self.files[self.file_idx];
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self.server.ensure_tick_loaded(key);
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self.current_file_chunks = self.server.cache.get_tick(key);
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self.chunk_idx = 0;
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}
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let chunks = self.current_file_chunks.as_ref()?;
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if self.chunk_idx < chunks.len() {
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let chunk = chunks[self.chunk_idx].clone();
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self.chunk_idx += 1;
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return Some(chunk);
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}
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self.file_idx += 1;
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self.current_file_chunks = None;
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if self.file_idx >= self.files.len() {
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return None;
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}
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if self.file_idx + 1 < self.files.len() {
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self.server.prefetch_tick(&self.files[self.file_idx + 1]);
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}
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}
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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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#[test]
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fn test_symbol_index_scan() {
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// Create a temp directory with mock files
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let dir = tempfile::tempdir().unwrap();
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let names = [
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"EURUSD_2017_01.m1",
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"EURUSD_2017_02.m1",
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"EURUSD_2017_03.m1",
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"EURUSD_2017_01.tick",
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"GBPUSD_2020_06.m1",
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"invalid_file.txt",
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"AAPL.US_2006_08.m1",
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];
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for name in &names {
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std::fs::write(dir.path().join(name), b"").unwrap();
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}
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let index = SymbolIndex::scan(dir.path());
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// EURUSD has both m1 and tick files
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let eur = index.symbols.get("EURUSD").unwrap();
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assert_eq!(eur.len(), 4); // 3 m1 + 1 tick
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// Should be sorted chronologically, M1 before Tick within same month
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assert_eq!(eur[0].month, 1);
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assert_eq!(eur[0].format, DataFormat::M1);
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// The tick file for month 1 comes right after the m1 file for month 1
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assert_eq!(eur[1].month, 1);
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assert_eq!(eur[1].format, DataFormat::Tick);
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// AAPL.US with dot in symbol name
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let aapl = index.symbols.get("AAPL.US").unwrap();
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assert_eq!(aapl.len(), 1);
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assert_eq!(aapl[0].year, 2006);
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// GBPUSD
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assert!(index.symbols.contains_key("GBPUSD"));
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// Invalid file should not appear
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assert!(!index.symbols.contains_key("invalid_file"));
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}
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#[test]
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fn test_file_path_construction() {
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let index = SymbolIndex {
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base_path: PathBuf::from("/mnt/tickdata/Pepperstone"),
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symbols: HashMap::new(),
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};
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let key = FileKey {
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symbol: Arc::from("EURUSD"),
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year: 2017,
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month: 3,
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format: DataFormat::M1,
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};
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assert_eq!(
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index.file_path(&key),
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PathBuf::from("/mnt/tickdata/Pepperstone/EURUSD_2017_03.m1")
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);
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let tick_key = FileKey {
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symbol: Arc::from("AAPL.US"),
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year: 2006,
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month: 8,
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format: DataFormat::Tick,
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};
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assert_eq!(
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index.file_path(&tick_key),
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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");
|
|
}
|
|
}
|