marketdata

type ConflatedQuoteStream ¶ added in v1.3.0

type ConflatedQuoteStream struct {
	// contains filtered or unexported fields
}

ConflatedQuoteStream conflates quotes from a quote stream such that the most recent quote for a listing is read from the stream even if the client is reading quotes at a slower rate than they are being published.

func NewConflatedQuoteStream(id string, stream QuoteStream,
	maxSubscriptions int) *ConflatedQuoteStream

func (c *ConflatedQuoteStream) Chan() <-chan *model.ClobQuote

func (c *ConflatedQuoteStream) Close()

func (c *ConflatedQuoteStream) Subscribe(listingId int32) error

type DistributorQuoteStream ¶ added in v1.3.0

type DistributorQuoteStream struct {
	// contains filtered or unexported fields
}

func (q *DistributorQuoteStream) Chan() <-chan *model.ClobQuote

func (q *DistributorQuoteStream) Close()

func (q *DistributorQuoteStream) Subscribe(listingId int32) error

type GetMdsClientFn ¶

type GetMdsClientFn = func(targetAddress string) (commonMds, GrpcConnection, error)

type GrpcConnection ¶

type GrpcConnection interface {
	GetState() connectivity.State
	WaitForStateChange(ctx context.Context, sourceState connectivity.State) bool
}

type MdsQuoteStream ¶

type MdsQuoteStream struct {
	// contains filtered or unexported fields
}

MdsQuoteStream wraps the API of a market data service such that it conforms to the QuoteStream interface.

func (m *MdsQuoteStream) Chan() <-chan *model.ClobQuote

func (m *MdsQuoteStream) Close()

func (m *MdsQuoteStream) Subscribe(listingId int32) error

type QuoteDistributor ¶

type QuoteDistributor struct {
	// contains filtered or unexported fields
}

QuoteDistributor fans out quote data sourced from a quote stream to multiple clients.

func NewQuoteDistributor(ctx context.Context, stream QuoteStream, sendBufferSize int) *QuoteDistributor

func (q *QuoteDistributor) NewQuoteStream() *DistributorQuoteStream

type QuoteSource ¶

type QuoteSource interface {
	Subscribe(listingId int)
}

type QuoteStream ¶ added in v1.3.0

type QuoteStream interface {
	// Subscribe to quotes for the given listing id.
	Subscribe(listingId int32) error

	// Chan returns a channel that will receive quotes for the subscribed listings.
	Chan() <-chan *model.ClobQuote

	// Close the quote stream.
	Close()
}

QuoteStream is a standardised interface for quote stream interaction.

func NewMdsQuoteStreamFromFn(parentCtx context.Context, id string, targetAddress string, outBufferSize int,
	getConnection GetMdsClientFn) (QuoteStream, error)

func NewQuoteStreamFromMarketDataService(ctx context.Context, subscriberId string, targetAddress string, maxReconnectInterval time.Duration,
	quoteBufferSize int) (QuoteStream, error)

func NewQuoteStreamFromMdSource(ctx context.Context, id string, targetAddress string, maxReconnectInterval time.Duration,
	quoteBufferSize int) (QuoteStream, error)