from data.sources.equity import * import time import logging class DataFeed(object): def __init__(self, db, subscriber_count): self.logger = logging.getLogger() self.db = db self.data_workers = {} self.data_address = "tcp://127.0.0.1:{port}".format(port=10101) self.sync_address = "tcp://127.0.0.1:{port}".format(port=10102) self.feed_address = "tcp://127.0.0.1:{port}".format(port=10103) self.data_buffer = {} #source_id -> [] self.subscriber_count = subscriber_count def start_data_workers(self): """Start a sub-process for each datasource.""" emt1 = EquityMinuteTrades(133, self.db, self.data_address, self.sync_address, 1) self.data_workers[1] = emt1 self.data_buffer[1] = [] emt1.start() emt2 = EquityMinuteTrades(134, self.db, self.data_address, self.sync_address, 2) self.data_workers[2] = emt1 self.data_buffer[2] = [] emt2.start() self.logger.info("ds processes launched") def sync_clients(self): # Socket to receive signals self.logger.info("waiting for all datasources and clients to be ready") self.syncservice = self.context.socket(zmq.REP) self.syncservice.bind(self.sync_address) subscribers = 0 while subscribers < (self.subscriber_count + len(self.data_workers)): self.logger.info("sync'ing {count}".format(count=subscribers)) # wait for synchronization request msg = self.syncservice.recv() # send synchronization reply self.syncservice.send('') subscribers += 1 self.syncservice.close() self.logger.info("sync'd all datasources and clients") def run(self): # Prepare our context and sockets self.context = zmq.Context() counter = 0 self.start_data_workers() #create the data sink. Based on http://zguide.zeromq.org/py:tasksink2 #see: http://zguide.zeromq.org/py:taskwork2 self.data_socket = self.context.socket(zmq.PULL) self.data_socket.bind(self.data_address) #create the feed self.feed_socket = self.context.socket(zmq.PUSH) self.feed_socket.bind(self.feed_address) #wait for all feed subscribers self.sync_clients() self.logger.info("entering feed loop on {addr}".format(addr=self.data_address)) while True: message = self.data_socket.recv() event = json.loads(message) #self.logger.info(" count " + str(counter) + " - " + str(event['dt'])) if(event["type"] == "DONE"): self.logger.info("DONE") source = event[u's'] if(self.data_workers.has_key(source)): del(self.data_workers[source]) if(len(self.data_workers) == 0): break else: self.data_buffer[event[u's']].append(event) counter = counter + 1 self.send_earliest_event() #drain any remaining messages in the buffer self.send_earliest_event(drain=True) self.logger.info("Collected {n} messages".format(n=counter)) self.data_socket.close() self.feed_socket.close() self.context.term() def send_earliest_event(self, drain=False): earliest = None next_source = None while True: #send messages as long as we have >0 messages from each source for source, events in self.data_buffer.iteritems(): if(not drain and len(events) == 0 and self.data_workers.has_key(source)): #there's no way to know that we have the next message return if(len(events) > 0 and (earliest == None or earliest > events[0])): earliest = events[0]['dt'] next_source = source event = self.data_buffer[next_source].pop(0) self.feed_socket.send(json.dumps(event))