first commit

alerter/mem_storage.py

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+""" In-memory fast temporary storage
+"""
+import bisect
+from collections import defaultdict, deque
+from time import monotonic
+from typing import List
+
+
+class Quote:
+    """ How much something costs at which time since the process started
+    """
+    __slots__ = ["time", "price"]
+
+    def __init__(self, time: float, price: float):
+        self.time = time
+        self.price = price
+
+
+class MemStorage:
+    """ In-memory storage and notifier class
+    """
+    def __init__(self):
+        # FIFO queue where old records get discarded
+        self.__time_ordered_queues = defaultdict(deque)
+        # Discarded records get looked up in an ordered list with O(log(n)) and value is removed
+        # ordered list is maintained ordered
+        self.__value_ordered_lists = defaultdict(list)
+        # we remember what's hot
+        self.__hot_stuff = set()
+
+    def notify_hot(self, isin: str):
+        """ Symbol isin is "hot". Send real-time notifications
+        """
+
+    def process_quote(self, isin: str, price=float):
+        """ Fast in-memory storage of values
+        """
+        now = monotonic()
+        q: deque[Quote] = self.__time_ordered_queues[isin]
+        ol: List[float] = self.__value_ordered_lists[isin]
+        while now - q[0].time > 600:
+            item = q.popleft()
+            index = bisect.bisect_left(ol, item.price)
+            ol.pop(index)
+        q.append(Quote(now, price))
+        insert_at = bisect.bisect_left(ol, price)
+        ol.insert(insert_at, price)
+
+        min_val = ol[0]
+        max_val = ol[-1]
+        is_hot = (max_val - min_val) / min_val > 0.1
+        if is_hot and isin not in self.__hot_stuff:
+            self.__hot_stuff.add(isin)
+            self.notify_hot(isin)
+        elif not is_hot and isin in self.__hot_stuff:
+            self.__hot_stuff.remove(isin)