Intake orderflow with alternatives to http

[bertmiller]

There are more efficient ways to receive orderflow than just http, e.g. a websocket. Not strongly held on what, but I imagine we'd want to have some alternatives.

[ferranbt]

An idea that comes to mind.

trait Orderflow {
  fn start(&self) -> Receiver<Order>
}

struct MultiOrderflow {
   orderflow_providers: Vec<Box<dyn Orderflow>>
}

impl Orderflow for MultiOrderflow {
    fn start(&self) -> Receiver<Order> {
        let (tx, rx) = channel();

        for provider in &self.orderflow_providers {
            let provider_rx = provider.start();
            let tx_clone = tx.clone();

            thread::spawn(move || {
                for order in provider_rx {
                    tx_clone.send(order).expect("Failed to send order");
                }
            });
        }
        rx
    }
}

struct LiveBuilder {
   pub orderflow: Orderflow
}

[bertmiller]

That's cool, I like that @ferranbt! Then we can get many implementations.