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ib: implement `FeedInit` style quote stream setup 

As per the new market info packing schema this patch almost gets it
completely compatible and useful via implementing the `get_mkt_info()`
backend module endpoint B)

There's still some questions around `MktPair.src` since all the contract
search machinery in the ib api isn't expecting a fiat currency in the
symbol key: for ex. `mnq/usd.cme.20230616.ib` has no handling for the
`[/]usd` part. For now i'm just excluding the `.src` since it requires
extra parsing on quotes-feed requests even though this is also currently
breaking forex pairs (idealpro or wtv). I think ideally we do move to
a `dst/src.<venue>.<etc..>` style but it's going to require adjustments
to all the existing crypto backends..

This also allows dropping the old `mk_init_msgs()` closure.
master
Tyler Goodlet 2023-05-16 17:29:07 -04:00
parent 147e1baee9
commit 07b7d1d229
2 changed files with 112 additions and 104 deletions
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6
piker/brokers/ib/broker.py
View File

@ -1164,6 +1164,12 @@ def norm_trade_records(
exch = record['exchange']
lexch = record.get('listingExchange')
# NOTE: remove null values since `tomlkit` can't serialize
# them to file.
dnc = record.pop('deltaNeutralContract', False)
if dnc is not None:
record['deltaNeutralContract'] = dnc
suffix = lexch or exch
symbol = record['symbol']

210
piker/brokers/ib/feed.py
View File

@ -58,13 +58,18 @@ from .api import (
open_client_proxies,
get_preferred_data_client,
Ticker,
RequestError,
Contract,
RequestError,
)
from ._util import data_reset_hack
from piker._cacheables import (
async_lifo_cache,
)
from piker.accounting import (
Asset,
MktPair,
)
from piker.data.validate import FeedInit
# https://interactivebrokers.github.io/tws-api/tick_types.html
@ -115,7 +120,9 @@ async def open_data_client() -> MethodProxy:
@acm
async def open_history_client(
fqsn: str,
fqme: str,
# mkt: MktPair | None = None,
) -> tuple[Callable, int]:
'''
@ -134,6 +141,11 @@ async def open_history_client(
async with open_data_client() as proxy:
# TODO: maybe strip the `MktPair.src: Asset` key here?
# see the comment below..
# if mkt is not None:
# fqme: str = mkt.fqme.remove(mkt.src.name)
max_timeout: float = 2.
mean: float = 0
count: int = 0
@ -141,10 +153,10 @@ async def open_history_client(
head_dt: None | datetime = None
if (
# fx cons seem to not provide this endpoint?
'idealpro' not in fqsn
'idealpro' not in fqme
):
try:
head_dt = await proxy.get_head_time(fqsn=fqsn)
head_dt = await proxy.get_head_time(fqsn=fqme)
except RequestError:
head_dt = None
@ -159,7 +171,7 @@ async def open_history_client(
query_start = time.time()
out, timedout = await get_bars(
proxy,
fqsn,
fqme,
timeframe,
end_dt=end_dt,
)
@ -517,7 +529,9 @@ async def get_bars(
return result, data_cs is not None
asset_type_map = {
# re-mapping to piker asset type names
# https://github.com/erdewit/ib_insync/blob/master/ib_insync/contract.py#L113
_asset_type_map = {
'STK': 'stock',
'OPT': 'option',
'FUT': 'future',
@ -558,7 +572,7 @@ async def _setup_quote_stream(
'294', # Trade rate / minute
'295', # Vlm rate / minute
),
contract: Optional[Contract] = None,
contract: Contract | None = None,
) -> trio.abc.ReceiveChannel:
'''
@ -745,19 +759,19 @@ async def get_mkt_info(
proxy: MethodProxy | None = None,
) -> tuple[MktPair, Pair]:
) -> tuple[MktPair, ibis.ContractDetails]:
# we don't need to split off any fqme broker part?
# XXX: we don't need to split off any fqme broker part?
# bs_fqme, _, broker = fqme.partition('.')
proxy: MethodProxy
get_details: bool = False
if proxy is not None:
client_ctx = nullcontext(proxy)
else:
client_ctx = open_data_client
async with client_ctx as proxy:
try:
(
con, # Contract
@ -767,27 +781,61 @@ async def get_mkt_info(
log.exception(f'Proxy is ded {proxy._aio_ns}')
raise
# pair: Pair = await client.exch_info(fqme.upper())
# TODO: more consistent field translation
init_info: dict = {}
atype = _asset_type_map[con.secType]
# mkt = MktPair(
# dst=Asset(
# name=pair.baseAsset,
# atype='crypto',
# tx_tick=digits_to_dec(pair.baseAssetPrecision),
# ),
# src=Asset(
# name=pair.quoteAsset,
# atype='crypto',
# tx_tick=digits_to_dec(pair.quoteAssetPrecision),
# ),
# price_tick=pair.price_tick,
# size_tick=pair.size_tick,
# bs_mktid=pair.symbol,
# broker='binance',
# )
venue = con.primaryExchange or con.exchange
price_tick: Decimal = Decimal(str(details.minTick))
# return both
return con, details
if atype == 'stock':
# XXX: GRRRR they don't support fractional share sizes for
# stocks from the API?!
# if con.secType == 'STK':
size_tick = Decimal('1')
else:
size_tick: Decimal = Decimal(str(details.minSize).rstrip('0'))
# |-> TODO: there is also the Contract.sizeIncrement, bt wtf is it?
# NOTE: this is duplicate from the .broker.norm_trade_records()
# routine, we should factor all this parsing somewhere..
expiry_str = str(con.lastTradeDateOrContractMonth)
# if expiry:
# expiry_str: str = str(pendulum.parse(
# str(expiry).strip(' ')
# ))
mkt = MktPair(
dst=Asset(
name=con.symbol.lower(),
atype=atype,
tx_tick=size_tick,
),
# TODO: currently we can't pass the fiat src asset because
# then we'll get a `MNQUSD` request for history data..
# we need to figure out how we're going to handle this (later?)
# but likely we want all backends to eventually handle
# ``dst/src.venue.`` style?
# src=Asset(
# name=str(con.currency),
# atype='fiat',
# tx_tick=Decimal('0.01'), # right?
# ),
price_tick=price_tick,
size_tick=size_tick,
bs_mktid=str(con.conId),
venue=str(venue),
expiry=expiry_str,
broker='ib',
# TODO: options contract info as str?
# contract_info=<optionsdetails>
)
return mkt, details
async def stream_quotes(
@ -812,83 +860,36 @@ async def stream_quotes(
sym = symbols[0]
log.info(f'request for real-time quotes: {sym}')
init_msgs: list[FeedInit] = []
proxy: MethodProxy
mkt: MktPair
details: ibis.ContractDetails
async with open_data_client() as proxy:
con, details = await get_mkt_info(sym, proxy=proxy)
mkt, details = await get_mkt_info(
sym,
proxy=proxy, # passed to avoid implicit client load
)
first_ticker = await proxy.get_quote(contract=con)
first_quote = normalize(first_ticker)
init_msg = FeedInit(mkt_info=mkt)
has_vlm: bool = True
if mkt.dst.atype in {
'forex',
'index',
'commodity',
}:
has_vlm = False
# tell sampler config that it shouldn't do vlm summing.
init_msg.shm_write_opts['sum_tick_vlm'] = False
init_msgs.append(init_msg)
con: Contract = details.contract
first_ticker: Ticker = await proxy.get_quote(contract=con)
first_quote: dict = normalize(first_ticker)
log.runtime(f'FIRST QUOTE: {first_quote}')
def mk_init_msgs() -> dict[str, dict]:
'''
Collect a bunch of meta-data useful for feed startup and
pack in a `dict`-msg.
'''
# pass back some symbol info like min_tick, trading_hours, etc.
con: Contract = details.contract
syminfo = asdict(details)
syminfo.update(syminfo['contract'])
# nested dataclass we probably don't need and that won't IPC
# serialize
syminfo.pop('secIdList')
# TODO: more consistent field translation
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
if atype in {
'forex',
'index',
'commodity',
}:
syminfo['no_vlm'] = True
# XXX: pretty sure we don't need this any more right?
# for stocks it seems TWS reports too small a tick size
# such that you can't submit orders with that granularity?
# min_price_tick = Decimal('0.01') if atype == 'stock' else 0
# price_tick = max(price_tick, min_tick)
price_tick: Decimal = Decimal(str(syminfo['minTick']))
size_tick: Decimal = Decimal(str(syminfo['minSize']).rstrip('0'))
# XXX: GRRRR they don't support fractional share sizes for
# stocks from the API?!
if con.secType == 'STK':
size_tick = Decimal('1')
syminfo['price_tick_size'] = price_tick
# NOTE: as you'd expect for "legacy" assets, the "volume
# precision" is normally discreet.
syminfo['lot_tick_size'] = size_tick
# should be at top level right?
syminfo['bs_mktid'] = con.conId
# ibclient = proxy._aio_ns.ib.client
# host, port = ibclient.host, ibclient.port
fqsn = first_quote['fqsn']
# TODO: for loop through all symbols passed in
init_msgs: dict[str, dict] = {
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
'symbol_info': syminfo,
'fqsn': fqsn,
'bs_mktid': con.conId,
},
# 'status': {
# 'data_ep': f'{host}:{port}',
# },
}
return init_msgs, syminfo
init_msgs, syminfo = mk_init_msgs()
# TODO: we should instead spawn a task that waits on a feed to start
# and let it wait indefinitely..instead of this hard coded stuff.
with trio.move_on_after(1):
@ -954,13 +955,14 @@ async def stream_quotes(
nurse.start_soon(reset_on_feed)
async with aclosing(stream):
if syminfo.get('no_vlm', False):
# if syminfo.get('no_vlm', False):
if not has_vlm:
# generally speaking these feeds don't
# include vlm data.
atype = syminfo['asset_type']
atype = mkt.dst.atype
log.info(
f'No-vlm {sym}@{atype}, skipping quote poll'
f'No-vlm {mkt.fqme}@{atype}, skipping quote poll'
)
else: