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
parent
147e1baee9
commit
07b7d1d229
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@ -1164,6 +1164,12 @@ def norm_trade_records(
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exch = record['exchange']
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lexch = record.get('listingExchange')
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# NOTE: remove null values since `tomlkit` can't serialize
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# them to file.
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dnc = record.pop('deltaNeutralContract', False)
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if dnc is not None:
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record['deltaNeutralContract'] = dnc
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suffix = lexch or exch
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symbol = record['symbol']
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@ -58,13 +58,18 @@ from .api import (
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open_client_proxies,
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get_preferred_data_client,
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Ticker,
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RequestError,
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Contract,
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RequestError,
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)
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from ._util import data_reset_hack
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from piker._cacheables import (
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async_lifo_cache,
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)
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from piker.accounting import (
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Asset,
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MktPair,
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)
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from piker.data.validate import FeedInit
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# https://interactivebrokers.github.io/tws-api/tick_types.html
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@ -115,7 +120,9 @@ async def open_data_client() -> MethodProxy:
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@acm
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async def open_history_client(
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fqsn: str,
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fqme: str,
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# mkt: MktPair | None = None,
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) -> tuple[Callable, int]:
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'''
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@ -134,6 +141,11 @@ async def open_history_client(
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async with open_data_client() as proxy:
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# TODO: maybe strip the `MktPair.src: Asset` key here?
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# see the comment below..
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# if mkt is not None:
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# fqme: str = mkt.fqme.remove(mkt.src.name)
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max_timeout: float = 2.
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mean: float = 0
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count: int = 0
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@ -141,10 +153,10 @@ async def open_history_client(
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head_dt: None | datetime = None
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if (
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# fx cons seem to not provide this endpoint?
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'idealpro' not in fqsn
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'idealpro' not in fqme
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):
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try:
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head_dt = await proxy.get_head_time(fqsn=fqsn)
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head_dt = await proxy.get_head_time(fqsn=fqme)
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except RequestError:
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head_dt = None
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@ -159,7 +171,7 @@ async def open_history_client(
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query_start = time.time()
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out, timedout = await get_bars(
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proxy,
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fqsn,
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fqme,
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timeframe,
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end_dt=end_dt,
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)
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@ -517,7 +529,9 @@ async def get_bars(
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return result, data_cs is not None
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asset_type_map = {
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# re-mapping to piker asset type names
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# https://github.com/erdewit/ib_insync/blob/master/ib_insync/contract.py#L113
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_asset_type_map = {
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'STK': 'stock',
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'OPT': 'option',
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'FUT': 'future',
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@ -558,7 +572,7 @@ async def _setup_quote_stream(
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'294', # Trade rate / minute
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'295', # Vlm rate / minute
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),
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contract: Optional[Contract] = None,
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contract: Contract | None = None,
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) -> trio.abc.ReceiveChannel:
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'''
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@ -745,19 +759,19 @@ async def get_mkt_info(
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proxy: MethodProxy | None = None,
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) -> tuple[MktPair, Pair]:
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) -> tuple[MktPair, ibis.ContractDetails]:
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# we don't need to split off any fqme broker part?
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# XXX: we don't need to split off any fqme broker part?
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# bs_fqme, _, broker = fqme.partition('.')
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proxy: MethodProxy
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get_details: bool = False
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if proxy is not None:
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client_ctx = nullcontext(proxy)
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else:
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client_ctx = open_data_client
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async with client_ctx as proxy:
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try:
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(
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con, # Contract
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@ -767,27 +781,61 @@ async def get_mkt_info(
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log.exception(f'Proxy is ded {proxy._aio_ns}')
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raise
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# pair: Pair = await client.exch_info(fqme.upper())
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# TODO: more consistent field translation
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init_info: dict = {}
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atype = _asset_type_map[con.secType]
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# mkt = MktPair(
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# dst=Asset(
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# name=pair.baseAsset,
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# atype='crypto',
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# tx_tick=digits_to_dec(pair.baseAssetPrecision),
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# ),
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venue = con.primaryExchange or con.exchange
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price_tick: Decimal = Decimal(str(details.minTick))
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if atype == 'stock':
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# XXX: GRRRR they don't support fractional share sizes for
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# stocks from the API?!
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# if con.secType == 'STK':
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size_tick = Decimal('1')
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else:
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size_tick: Decimal = Decimal(str(details.minSize).rstrip('0'))
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# |-> TODO: there is also the Contract.sizeIncrement, bt wtf is it?
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# NOTE: this is duplicate from the .broker.norm_trade_records()
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# routine, we should factor all this parsing somewhere..
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expiry_str = str(con.lastTradeDateOrContractMonth)
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# if expiry:
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# expiry_str: str = str(pendulum.parse(
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# str(expiry).strip(' ')
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# ))
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mkt = MktPair(
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dst=Asset(
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name=con.symbol.lower(),
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atype=atype,
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tx_tick=size_tick,
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),
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# TODO: currently we can't pass the fiat src asset because
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# then we'll get a `MNQUSD` request for history data..
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# we need to figure out how we're going to handle this (later?)
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# but likely we want all backends to eventually handle
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# ``dst/src.venue.`` style?
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# src=Asset(
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# name=pair.quoteAsset,
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# atype='crypto',
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# tx_tick=digits_to_dec(pair.quoteAssetPrecision),
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# name=str(con.currency),
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# atype='fiat',
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# tx_tick=Decimal('0.01'), # right?
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# ),
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# price_tick=pair.price_tick,
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# size_tick=pair.size_tick,
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# bs_mktid=pair.symbol,
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# broker='binance',
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# )
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# return both
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return con, details
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price_tick=price_tick,
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size_tick=size_tick,
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bs_mktid=str(con.conId),
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venue=str(venue),
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expiry=expiry_str,
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broker='ib',
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# TODO: options contract info as str?
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# contract_info=<optionsdetails>
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)
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return mkt, details
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async def stream_quotes(
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@ -812,82 +860,35 @@ async def stream_quotes(
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sym = symbols[0]
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log.info(f'request for real-time quotes: {sym}')
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init_msgs: list[FeedInit] = []
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proxy: MethodProxy
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mkt: MktPair
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details: ibis.ContractDetails
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async with open_data_client() as proxy:
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con, details = await get_mkt_info(sym, proxy=proxy)
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mkt, details = await get_mkt_info(
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sym,
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proxy=proxy, # passed to avoid implicit client load
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)
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first_ticker = await proxy.get_quote(contract=con)
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first_quote = normalize(first_ticker)
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log.runtime(f'FIRST QUOTE: {first_quote}')
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init_msg = FeedInit(mkt_info=mkt)
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def mk_init_msgs() -> dict[str, dict]:
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'''
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Collect a bunch of meta-data useful for feed startup and
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pack in a `dict`-msg.
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'''
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# pass back some symbol info like min_tick, trading_hours, etc.
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con: Contract = details.contract
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syminfo = asdict(details)
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syminfo.update(syminfo['contract'])
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# nested dataclass we probably don't need and that won't IPC
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# serialize
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syminfo.pop('secIdList')
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# TODO: more consistent field translation
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atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
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if atype in {
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has_vlm: bool = True
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if mkt.dst.atype in {
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'forex',
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'index',
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'commodity',
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}:
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syminfo['no_vlm'] = True
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has_vlm = False
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# tell sampler config that it shouldn't do vlm summing.
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init_msg.shm_write_opts['sum_tick_vlm'] = False
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# XXX: pretty sure we don't need this any more right?
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# for stocks it seems TWS reports too small a tick size
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# such that you can't submit orders with that granularity?
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# min_price_tick = Decimal('0.01') if atype == 'stock' else 0
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# price_tick = max(price_tick, min_tick)
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init_msgs.append(init_msg)
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price_tick: Decimal = Decimal(str(syminfo['minTick']))
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size_tick: Decimal = Decimal(str(syminfo['minSize']).rstrip('0'))
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# XXX: GRRRR they don't support fractional share sizes for
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# stocks from the API?!
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if con.secType == 'STK':
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size_tick = Decimal('1')
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syminfo['price_tick_size'] = price_tick
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# NOTE: as you'd expect for "legacy" assets, the "volume
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# precision" is normally discreet.
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syminfo['lot_tick_size'] = size_tick
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# should be at top level right?
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syminfo['bs_mktid'] = con.conId
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# ibclient = proxy._aio_ns.ib.client
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# host, port = ibclient.host, ibclient.port
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fqsn = first_quote['fqsn']
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# TODO: for loop through all symbols passed in
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init_msgs: dict[str, dict] = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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'symbol_info': syminfo,
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'fqsn': fqsn,
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'bs_mktid': con.conId,
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},
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# 'status': {
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# 'data_ep': f'{host}:{port}',
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# },
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}
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return init_msgs, syminfo
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init_msgs, syminfo = mk_init_msgs()
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con: Contract = details.contract
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first_ticker: Ticker = await proxy.get_quote(contract=con)
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first_quote: dict = normalize(first_ticker)
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log.runtime(f'FIRST QUOTE: {first_quote}')
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# TODO: we should instead spawn a task that waits on a feed to start
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# and let it wait indefinitely..instead of this hard coded stuff.
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@ -954,13 +955,14 @@ async def stream_quotes(
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nurse.start_soon(reset_on_feed)
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async with aclosing(stream):
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if syminfo.get('no_vlm', False):
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# if syminfo.get('no_vlm', False):
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if not has_vlm:
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# generally speaking these feeds don't
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# include vlm data.
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atype = syminfo['asset_type']
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atype = mkt.dst.atype
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log.info(
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f'No-vlm {sym}@{atype}, skipping quote poll'
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f'No-vlm {mkt.fqme}@{atype}, skipping quote poll'
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)
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else:
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Loading…
Reference in New Issue