final files comitted

TASK_3/datafeed/server3.py

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+################################################################################
+#
+#  Permission is hereby granted, free of charge, to any person obtaining a
+#  copy of this software and associated documentation files (the "Software"),
+#  to deal in the Software without restriction, including without limitation
+#  the rights to use, copy, modify, merge, publish, distribute, sublicense,
+#  and/or sell copies of the Software, and to permit persons to whom the
+#  Software is furnished to do so, subject to the following conditions:
+#
+#  The above copyright notice and this permission notice shall be included in
+#  all copies or substantial portions of the Software.
+#
+#  THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS
+#  OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+#  FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+#  AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+#  LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+#  FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER
+#  DEALINGS IN THE SOFTWARE.
+
+#from itertools import izip
+from random    import normalvariate, random
+from datetime  import timedelta, datetime
+
+import csv
+import dateutil.parser
+import os.path
+
+import operator
+import json
+import re
+import threading
+
+#from BaseHTTPServer import BaseHTTPRequestHandler,HTTPServer
+import http.server
+from socketserver   import ThreadingMixIn
+
+################################################################################
+#
+# Config
+
+# Sim params
+
+REALTIME    = True
+SIM_LENGTH  = timedelta(days = 365 * 5)
+MARKET_OPEN = datetime.today().replace(hour = 0, minute = 30, second = 0)
+
+# Market parms
+#       min  / max  / std
+SPD  = (2.0,   6.0,   0.1)
+PX   = (60.0,  150.0, 1)
+FREQ = (12,    36,   50)
+
+# Trades
+
+OVERLAP = 4
+
+################################################################################
+#
+# Test Data
+
+def bwalk(min, max, std):
+    """ Generates a bounded random walk. """
+    rng = max - min
+    while True:
+        max += normalvariate(0, std)
+        yield abs((max % (rng * 2)) - rng) + min
+
+def market(t0 = MARKET_OPEN):
+    """ Generates a random series of market conditions,
+        (time, price, spread).
+    """
+    for hours, px, spd in zip(bwalk(*FREQ), bwalk(*PX), bwalk(*SPD)):
+        yield t0, px, spd
+        t0 += timedelta(hours = abs(hours))
+
+def orders(hist):
+    """ Generates a random set of limit orders (time, side, price, size) from
+        a series of market conditions.
+    """
+    for t, px, spd in hist:
+        stock = 'ABC' if random() > 0.5 else 'DEF'
+        side, d  = ('sell', 2) if random() > 0.5 else ('buy', -2)
+        order = round(normalvariate(px + (spd / d), spd / OVERLAP), 2)
+        size  = int(abs(normalvariate(0, 100)))
+        yield t, stock, side, order, size
+
+
+################################################################################
+#
+# Order Book
+
+def add_book(book, order, size, _age = 10):
+    """ Add a new order and size to a book, and age the rest of the book. """
+    yield order, size, _age
+    for o, s, age in book:
+        if age > 0:
+            yield o, s, age - 1
+
+def clear_order(order, size, book, op = operator.ge, _notional = 0):
+    """ Try to clear a sized order against a book, returning a tuple of
+        (notional, new_book) if successful, and None if not.  _notional is a
+        recursive accumulator and should not be provided by the caller.
+    """
+    (top_order, top_size, age), tail = book[0], book[1:]
+    if op(order, top_order):
+        _notional += min(size, top_size) * top_order
+        sdiff = top_size - size
+        if sdiff > 0:
+            return _notional, list(add_book(tail, top_order, sdiff, age))
+        elif len(tail) > 0:
+            return clear_order(order, -sdiff, tail, op, _notional)
+
+def clear_book(buy = None, sell = None):
+    """ Clears all crossed orders from a buy and sell book, returning the new
+        books uncrossed.
+    """
+    while buy and sell:
+        order, size, _ = buy[0]
+        new_book = clear_order(order, size, sell)
+        if new_book:
+            sell = new_book[1]
+            buy  = buy[1:]
+        else:
+            break
+    return buy, sell
+
+def order_book(orders, book, stock_name):
+    """ Generates a series of order books from a series of orders.  Order books
+        are mutable lists, and mutating them during generation will affect the
+        next turn!
+    """
+    for t, stock, side, order, size in orders:
+        if stock_name == stock:
+            new = add_book(book.get(side, []), order, size)
+            book[side] = sorted(new, reverse = side == 'buy', key = lambda x: x[0])
+        bids, asks = clear_book(**book)
+        yield t, bids, asks
+
+################################################################################
+#
+# Test Data Persistence
+
+def generate_csv():
+    """ Generate a CSV of order history. """
+    with open('test.csv', 'wb') as f:
+        writer = csv.writer(f)
+        for t, stock, side, order, size in orders(market()):
+            if t > MARKET_OPEN + SIM_LENGTH:
+                break
+            writer.writerow([t, stock, side, order, size])
+
+def read_csv():
+    """ Read a CSV or order history into a list. """
+    with open('test.csv', 'rt') as f:
+        for time, stock, side, order, size in csv.reader(f):
+            yield dateutil.parser.parse(time), stock, side, float(order), int(size)
+
+################################################################################
+#
+# Server
+
+class ThreadedHTTPServer(ThreadingMixIn, http.server.HTTPServer):
+    """ Boilerplate class for a multithreaded HTTP Server, with working
+        shutdown.
+    """
+    allow_reuse_address = True
+    def shutdown(self):
+        """ Override MRO to shutdown properly. """
+        self.socket.close()
+        http.server.HTTPServer.shutdown(self)
+
+def route(path):
+    """ Decorator for a simple bottle-like web framework.  Routes path to the
+        decorated method, with the rest of the path as an argument.
+    """
+    def _route(f):
+        setattr(f, '__route__', path)
+        return f
+    return _route
+
+def read_params(path):
+    """ Read query parameters into a dictionary if they are parseable,
+        otherwise returns None.
+    """
+    query = path.split('?')
+    if len(query) > 1:
+        query = query[1].split('&')
+        return dict(map(lambda x: x.split('='), query))
+
+def get(req_handler, routes):
+    """ Map a request to the appropriate route of a routes instance. """
+    for name, handler in routes.__class__.__dict__.items():
+        if hasattr(handler, "__route__"):
+            if None != re.search(handler.__route__, req_handler.path):
+                req_handler.send_response(200)
+                req_handler.send_header('Content-Type', 'application/json')
+                req_handler.send_header('Access-Control-Allow-Origin', '*')
+                req_handler.end_headers()
+                params = read_params(req_handler.path)
+                data = json.dumps(handler(routes, params)) + '\n'
+                req_handler.wfile.write(bytes(data,  encoding = 'utf-8'))
+                return
+
+def run(routes, host = '0.0.0.0', port = 8080):
+    """ Runs a class as a server whose methods have been decorated with
+        @route.
+    """
+    class RequestHandler(http.server.BaseHTTPRequestHandler):
+        def log_message(self, *args, **kwargs):
+            pass
+        def do_GET(self):
+            get(self, routes)
+    server = ThreadedHTTPServer((host, port), RequestHandler)
+    thread = threading.Thread(target = server.serve_forever)
+    thread.daemon = True
+    thread.start()
+    print ('HTTP server started on port 8080')
+    while True:
+        from time import sleep
+        sleep(1)
+    server.shutdown()
+    server.start()
+    server.waitForThread()
+
+################################################################################
+#
+# App
+
+ops = {
+    'buy':  operator.le,
+    'sell': operator.ge,
+}
+
+class App(object):
+    """ The trading game server application. """
+
+    def __init__(self):
+        self._book_1    = dict()
+        self._book_2    = dict()
+        self._data_1    = order_book(read_csv(), self._book_1, 'ABC')
+        self._data_2    = order_book(read_csv(), self._book_2, 'DEF')
+        self._rt_start = datetime.now()
+        self._sim_start, _, _  = next(self._data_1)
+        self.read_10_first_lines()
+
+    @property
+    def _current_book_1(self):
+        for t, bids, asks in self._data_1:
+            if REALTIME:
+                while t > self._sim_start + (datetime.now() - self._rt_start):
+                    yield t, bids, asks
+            else:
+                yield t, bids, asks
+
+    @property
+    def _current_book_2(self):
+        for t, bids, asks in self._data_2:
+            if REALTIME:
+                while t > self._sim_start + (datetime.now() - self._rt_start):
+                    yield t, bids, asks
+            else:
+                yield t, bids, asks
+
+    def read_10_first_lines(self):
+            for _ in iter(range(10)):
+                next(self._data_1)
+                next(self._data_2)
+
+    @route('/query')
+    def handle_query(self, x):
+        """ Takes no arguments, and yields the current top of the book;  the
+            best bid and ask and their sizes
+        """
+        try:
+            t1, bids1, asks1 = next(self._current_book_1)
+            t2, bids2, asks2 = next(self._current_book_2)
+        except Exception as e:
+            print ("error getting stocks...reinitalizing app")
+            self.__init__()
+            t1, bids1, asks1 = next(self._current_book_1)
+            t2, bids2, asks2 = next(self._current_book_2)
+        t = t1 if t1 > t2 else t2
+        print ('Query received @ t%s' % t)
+        return [{
+            'id': x and x.get('id', None),
+            'stock': 'ABC',
+            'timestamp': str(t),
+            'top_bid': bids1 and {
+                'price': bids1[0][0],
+                'size': bids1[0][1]
+            },
+            'top_ask': asks1 and {
+                'price': asks1[0][0],
+                'size': asks1[0][1]
+            }
+        },
+        {
+            'id': x and x.get('id', None),
+            'stock': 'DEF',
+            'timestamp': str(t),
+            'top_bid': bids2 and {
+                'price': bids2[0][0],
+                'size': bids2[0][1]
+            },
+            'top_ask': asks2 and {
+                'price': asks2[0][0],
+                'size': asks2[0][1]
+            }
+        }]
+
+################################################################################
+#
+# Main
+
+if __name__ == '__main__':
+    if not os.path.isfile('test.csv'):
+        print ("No data found, generating...")
+        generate_csv()
+    run(App())