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@ -21,10 +21,12 @@ Note the client runs under an ``asyncio`` loop (since ``ib_insync`` is
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built on it) and thus actor aware API calls must be spawned with
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``infected_aio==True``.
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"""
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict
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from datetime import datetime
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from functools import partial
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import itertools
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from math import isnan
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from typing import (
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Any, Optional,
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AsyncIterator, Awaitable,
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@ -32,8 +34,8 @@ from typing import (
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import asyncio
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from pprint import pformat
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import inspect
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import itertools
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import logging
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import platform
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from random import randint
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import time
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@ -501,7 +503,11 @@ class Client:
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contract,
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snapshot=True,
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)
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# ensure a last price gets filled in before we deliver quote
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while isnan(ticker.last):
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ticker = await ticker.updateEvent
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details = (await details_fute)[0]
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return contract, ticker, details
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@ -569,66 +575,6 @@ class Client:
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)
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)
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async def recv_trade_updates(
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self,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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self.inline_errors(to_trio)
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def push_tradesies(eventkit_obj, obj, fill=None):
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"""Push events to trio task.
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"""
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if fill is not None:
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# execution details event
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item = ('fill', (obj, fill))
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elif eventkit_obj.name() == 'positionEvent':
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item = ('position', obj)
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else:
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item = ('status', obj)
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log.info(f'eventkit event ->\n{pformat(item)}')
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try:
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to_trio.send_nowait(item)
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except trio.BrokenResourceError:
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log.exception(f'Disconnected from {eventkit_obj} updates')
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eventkit_obj.disconnect(push_tradesies)
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# hook up to the weird eventkit object - event stream api
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for ev_name in [
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'orderStatusEvent', # all order updates
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'execDetailsEvent', # all "fill" updates
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'positionEvent', # avg price updates per symbol per account
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# 'commissionReportEvent',
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# XXX: ugh, it is a separate event from IB and it's
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# emitted as follows:
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# self.ib.commissionReportEvent.emit(trade, fill, report)
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# XXX: not sure yet if we need these
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# 'updatePortfolioEvent',
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# XXX: these all seem to be weird ib_insync intrernal
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# events that we probably don't care that much about
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# given the internal design is wonky af..
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# 'newOrderEvent',
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# 'orderModifyEvent',
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# 'cancelOrderEvent',
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# 'openOrderEvent',
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]:
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eventkit_obj = getattr(self.ib, ev_name)
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handler = partial(push_tradesies, eventkit_obj)
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eventkit_obj.connect(handler)
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# let the engine run and stream
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await self.ib.disconnectedEvent
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def inline_errors(
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self,
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to_trio: trio.abc.SendChannel,
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@ -674,6 +620,71 @@ class Client:
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return self.ib.positions(account=account)
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async def recv_trade_updates(
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client: Client,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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client.inline_errors(to_trio)
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# sync with trio task
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to_trio.send_nowait(None)
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def push_tradesies(eventkit_obj, obj, fill=None):
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"""Push events to trio task.
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"""
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if fill is not None:
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# execution details event
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item = ('fill', (obj, fill))
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elif eventkit_obj.name() == 'positionEvent':
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item = ('position', obj)
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else:
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item = ('status', obj)
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log.info(f'eventkit event ->\n{pformat(item)}')
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try:
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to_trio.send_nowait(item)
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except trio.BrokenResourceError:
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log.exception(f'Disconnected from {eventkit_obj} updates')
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eventkit_obj.disconnect(push_tradesies)
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# hook up to the weird eventkit object - event stream api
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for ev_name in [
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'orderStatusEvent', # all order updates
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'execDetailsEvent', # all "fill" updates
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'positionEvent', # avg price updates per symbol per account
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# 'commissionReportEvent',
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# XXX: ugh, it is a separate event from IB and it's
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# emitted as follows:
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# self.ib.commissionReportEvent.emit(trade, fill, report)
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# XXX: not sure yet if we need these
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# 'updatePortfolioEvent',
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# XXX: these all seem to be weird ib_insync intrernal
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# events that we probably don't care that much about
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# given the internal design is wonky af..
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# 'newOrderEvent',
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# 'orderModifyEvent',
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# 'cancelOrderEvent',
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# 'openOrderEvent',
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]:
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eventkit_obj = getattr(client.ib, ev_name)
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handler = partial(push_tradesies, eventkit_obj)
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eventkit_obj.connect(handler)
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# let the engine run and stream
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await client.ib.disconnectedEvent
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# default config ports
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_tws_port: int = 7497
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_gw_port: int = 4002
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@ -684,7 +695,8 @@ _try_ports = [
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# TODO: remove the randint stuff and use proper error checking in client
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# factor below..
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_client_ids = itertools.count(randint(1, 100))
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_client_cache = {}
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_client_cache: dict[tuple[str, int], Client] = {}
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_scan_ignore: set[tuple[str, int]] = set()
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def get_config() -> dict[str, Any]:
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@ -703,7 +715,7 @@ def get_config() -> dict[str, Any]:
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_accounts2clients: dict[str, Client] = {}
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@asynccontextmanager
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@acm
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async def load_aio_clients(
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host: str = '127.0.0.1',
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@ -718,8 +730,7 @@ async def load_aio_clients(
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TODO: consider doing this with a ctx mngr eventually?
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'''
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global _accounts2clients
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global _client_cache
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global _accounts2clients, _client_cache, _scan_ignore
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conf = get_config()
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ib = None
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@ -727,7 +738,17 @@ async def load_aio_clients(
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# attempt to get connection info from config; if no .toml entry
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# exists, we try to load from a default localhost connection.
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host = conf.get('host', '127.0.0.1')
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localhost = '127.0.0.1'
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host, hosts = conf.get('host'), conf.get('hosts')
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if not (hosts or host):
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host = localhost
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if not hosts:
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hosts = [host]
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elif host and hosts:
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raise ValueError(
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'Specify only one of `host` or `hosts` in `brokers.toml` config')
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ports = conf.get(
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'ports',
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@ -735,19 +756,22 @@ async def load_aio_clients(
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{
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'gw': 4002,
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'tws': 7497,
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'order': ['gw', 'tws']
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# 'order': ['gw', 'tws']
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}
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)
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order = ports['order']
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order = ports.pop('order', None)
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if order:
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log.warning('`ports.order` section in `brokers.toml` is deprecated')
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accounts_def = config.load_accounts(['ib'])
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try_ports = [ports[key] for key in order]
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try_ports = list(ports.values())
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ports = try_ports if port is None else [port]
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# we_connected = []
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connect_timeout = 0.5 if platform.system() != 'Windows' else 1
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combos = list(itertools.product(hosts, ports))
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we_connected = []
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# allocate new and/or reload disconnected but cached clients
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try:
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# try:
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# TODO: support multiple clients allowing for execution on
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# multiple accounts (including a paper instance running on the
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# same machine) and switching between accounts in the EMs
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@ -756,19 +780,35 @@ async def load_aio_clients(
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# (re)load any and all clients that can be found
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# from connection details in ``brokers.toml``.
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for port in ports:
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client = _client_cache.get((host, port))
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for host, port in combos:
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sockaddr = (host, port)
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client = _client_cache.get(sockaddr)
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accounts_found: dict[str, Client] = {}
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if not client or not client.ib.isConnected():
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if (
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client and client.ib.isConnected() or
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sockaddr in _scan_ignore
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):
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continue
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try:
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ib = NonShittyIB()
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# if this is a persistent brokerd, try to allocate
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# a new id for each client
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client_id = next(_client_ids)
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# XXX: not sure if we ever really need to increment the
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# client id if teardown is sucessful.
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client_id = 616
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log.info(f"Connecting to the EYEBEE on port {port}!")
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await ib.connectAsync(host, port, clientId=client_id)
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await ib.connectAsync(
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host,
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port,
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clientId=client_id,
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# this timeout is sensative on windows and will
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# fail without a good "timeout error" so be
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# careful.
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timeout=connect_timeout,
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)
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# create and cache client
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client = Client(ib)
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|
@ -801,15 +841,45 @@ async def load_aio_clients(
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# update all actor-global caches
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log.info(f"Caching client for {(host, port)}")
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_client_cache[(host, port)] = client
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we_connected.append(client)
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# we_connected.append((host, port, client))
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# TODO: don't do it this way, get a gud to_asyncio
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# context / .start() system goin..
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def pop_and_discon():
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log.info(f'Disconnecting client {client}')
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client.ib.disconnect()
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|
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_client_cache.pop((host, port), None)
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|
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|
|
# NOTE: the above callback **CAN'T FAIL** or shm won't get
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|
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# torn down correctly ...
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|
|
tractor._actor._lifetime_stack.callback(pop_and_discon)
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_accounts2clients.update(accounts_found)
|
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|
except ConnectionRefusedError as ce:
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|
|
except (
|
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|
|
ConnectionRefusedError,
|
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|
|
|
|
|
|
|
|
# TODO: if trying to scan for remote api clients
|
|
|
|
|
# pretty sure we need to catch this, though it
|
|
|
|
|
# definitely needs a shorter timeout since it hangs
|
|
|
|
|
# for like 5s..
|
|
|
|
|
asyncio.exceptions.TimeoutError,
|
|
|
|
|
OSError,
|
|
|
|
|
) as ce:
|
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|
|
_err = ce
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|
|
log.warning(f'Failed to connect on {port}')
|
|
|
|
|
|
|
|
|
|
# cache logic to avoid rescanning if we already have all
|
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|
|
# clients loaded.
|
|
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|
|
_scan_ignore.add(sockaddr)
|
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|
|
|
else:
|
|
|
|
|
if not _client_cache:
|
|
|
|
|
raise ConnectionRefusedError(_err)
|
|
|
|
|
raise ConnectionError(
|
|
|
|
|
'No ib APIs could be found scanning @:\n'
|
|
|
|
|
f'{pformat(combos)}\n'
|
|
|
|
|
'Check your `brokers.toml` and/or network'
|
|
|
|
|
) from _err
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|
|
|
|
|
# retreive first loaded client
|
|
|
|
|
clients = list(_client_cache.values())
|
|
|
|
@ -818,10 +888,14 @@ async def load_aio_clients(
|
|
|
|
|
|
|
|
|
|
yield client, _client_cache, _accounts2clients
|
|
|
|
|
|
|
|
|
|
except BaseException:
|
|
|
|
|
for client in we_connected:
|
|
|
|
|
client.ib.disconnect()
|
|
|
|
|
raise
|
|
|
|
|
# TODO: this in a way that works xD
|
|
|
|
|
# finally:
|
|
|
|
|
# pass
|
|
|
|
|
# # async with trio.CancelScope(shield=True):
|
|
|
|
|
# for host, port, client in we_connected:
|
|
|
|
|
# client.ib.disconnect()
|
|
|
|
|
# _client_cache.pop((host, port))
|
|
|
|
|
# raise
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def _aio_run_client_method(
|
|
|
|
@ -862,16 +936,16 @@ async def _trio_run_client_method(
|
|
|
|
|
assert ca.is_infected_aio()
|
|
|
|
|
|
|
|
|
|
# if the method is an *async gen* stream for it
|
|
|
|
|
meth = getattr(Client, method)
|
|
|
|
|
# meth = getattr(Client, method)
|
|
|
|
|
|
|
|
|
|
args = tuple(inspect.getfullargspec(meth).args)
|
|
|
|
|
# args = tuple(inspect.getfullargspec(meth).args)
|
|
|
|
|
|
|
|
|
|
if inspect.isasyncgenfunction(meth) or (
|
|
|
|
|
# if the method is an *async func* but manually
|
|
|
|
|
# streams back results, make sure to also stream it
|
|
|
|
|
'to_trio' in args
|
|
|
|
|
):
|
|
|
|
|
kwargs['_treat_as_stream'] = True
|
|
|
|
|
# if inspect.isasyncgenfunction(meth) or (
|
|
|
|
|
# # if the method is an *async func* but manually
|
|
|
|
|
# # streams back results, make sure to also stream it
|
|
|
|
|
# 'to_trio' in args
|
|
|
|
|
# ):
|
|
|
|
|
# kwargs['_treat_as_stream'] = True
|
|
|
|
|
|
|
|
|
|
return await tractor.to_asyncio.run_task(
|
|
|
|
|
_aio_run_client_method,
|
|
|
|
@ -921,7 +995,7 @@ def get_client_proxy(
|
|
|
|
|
return proxy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
@asynccontextmanager
|
|
|
|
|
@acm
|
|
|
|
|
async def get_client(
|
|
|
|
|
**kwargs,
|
|
|
|
|
) -> Client:
|
|
|
|
@ -990,8 +1064,10 @@ def normalize(
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def get_bars(
|
|
|
|
|
|
|
|
|
|
sym: str,
|
|
|
|
|
end_dt: str = "",
|
|
|
|
|
|
|
|
|
|
) -> (dict, np.ndarray):
|
|
|
|
|
|
|
|
|
|
_err: Optional[Exception] = None
|
|
|
|
@ -1019,10 +1095,20 @@ async def get_bars(
|
|
|
|
|
# TODO: retreive underlying ``ib_insync`` error?
|
|
|
|
|
if err.code == 162:
|
|
|
|
|
|
|
|
|
|
# TODO: so this error is normally raised (it seems) if
|
|
|
|
|
# we try to retrieve history for a time range for which
|
|
|
|
|
# there is none. in that case we should not only report
|
|
|
|
|
# the "empty range" but also do a iteration on the time
|
|
|
|
|
# step for ``next_dt`` to see if we can pull older
|
|
|
|
|
# history.
|
|
|
|
|
if 'HMDS query returned no data' in err.message:
|
|
|
|
|
# means we hit some kind of historical "dead zone"
|
|
|
|
|
# and further requests seem to always cause
|
|
|
|
|
# throttling despite the rps being low
|
|
|
|
|
# means we hit some kind of historical "empty space"
|
|
|
|
|
# and further requests will need to decrement the
|
|
|
|
|
# start time dt in order to not receive a further
|
|
|
|
|
# error?
|
|
|
|
|
# OLDER: seem to always cause throttling despite low rps
|
|
|
|
|
|
|
|
|
|
# raise err
|
|
|
|
|
break
|
|
|
|
|
|
|
|
|
|
elif 'No market data permissions for' in err.message:
|
|
|
|
@ -1045,17 +1131,22 @@ async def get_bars(
|
|
|
|
|
fails += 1
|
|
|
|
|
continue
|
|
|
|
|
|
|
|
|
|
return (None, None)
|
|
|
|
|
|
|
|
|
|
return None, None
|
|
|
|
|
# else: # throttle wasn't fixed so error out immediately
|
|
|
|
|
# raise _err
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def backfill_bars(
|
|
|
|
|
|
|
|
|
|
sym: str,
|
|
|
|
|
shm: ShmArray, # type: ignore # noqa
|
|
|
|
|
# count: int = 20, # NOTE: any more and we'll overrun underlying buffer
|
|
|
|
|
count: int = 6, # NOTE: any more and we'll overrun the underlying buffer
|
|
|
|
|
|
|
|
|
|
# TODO: we want to avoid overrunning the underlying shm array buffer
|
|
|
|
|
# and we should probably calc the number of calls to make depending
|
|
|
|
|
# on that until we have the `marketstore` daemon in place in which
|
|
|
|
|
# case the shm size will be driven by user config and available sys
|
|
|
|
|
# memory.
|
|
|
|
|
count: int = 16,
|
|
|
|
|
|
|
|
|
|
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
|
|
|
|
|
|
|
|
@ -1066,7 +1157,13 @@ async def backfill_bars(
|
|
|
|
|
https://github.com/pikers/piker/issues/128
|
|
|
|
|
|
|
|
|
|
"""
|
|
|
|
|
(first_bars, bars_array, next_dt), fails = await get_bars(sym)
|
|
|
|
|
out, fails = await get_bars(sym)
|
|
|
|
|
if out is None:
|
|
|
|
|
raise RuntimeError("Could not pull currrent history?!")
|
|
|
|
|
|
|
|
|
|
(first_bars, bars_array, next_dt) = out
|
|
|
|
|
vlm = bars_array['volume']
|
|
|
|
|
vlm[vlm < 0] = 0
|
|
|
|
|
|
|
|
|
|
# write historical data to buffer
|
|
|
|
|
shm.push(bars_array)
|
|
|
|
@ -1091,6 +1188,17 @@ async def backfill_bars(
|
|
|
|
|
continue
|
|
|
|
|
|
|
|
|
|
bars, bars_array, next_dt = out
|
|
|
|
|
|
|
|
|
|
# volume cleaning since there's -ve entries,
|
|
|
|
|
# wood luv to know what crookery that is..
|
|
|
|
|
vlm = bars_array['volume']
|
|
|
|
|
vlm[vlm < 0] = 0
|
|
|
|
|
# TODO we should probably dig into forums to see what peeps
|
|
|
|
|
# think this data "means" and then use it as an indicator of
|
|
|
|
|
# sorts? dinkus has mentioned that $vlms for the day dont'
|
|
|
|
|
# match other platforms nor the summary stat tws shows in
|
|
|
|
|
# the monitor - it's probably worth investigating.
|
|
|
|
|
|
|
|
|
|
shm.push(bars_array, prepend=True)
|
|
|
|
|
i += 1
|
|
|
|
|
|
|
|
|
@ -1118,14 +1226,21 @@ _quote_streams: dict[str, trio.abc.ReceiveStream] = {}
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def _setup_quote_stream(
|
|
|
|
|
|
|
|
|
|
from_trio: asyncio.Queue,
|
|
|
|
|
to_trio: trio.abc.SendChannel,
|
|
|
|
|
|
|
|
|
|
symbol: str,
|
|
|
|
|
opts: tuple[int] = ('375', '233', '236'),
|
|
|
|
|
contract: Optional[Contract] = None,
|
|
|
|
|
) -> None:
|
|
|
|
|
|
|
|
|
|
) -> trio.abc.ReceiveChannel:
|
|
|
|
|
"""Stream a ticker using the std L1 api.
|
|
|
|
|
"""
|
|
|
|
|
global _quote_streams
|
|
|
|
|
|
|
|
|
|
to_trio.send_nowait(None)
|
|
|
|
|
|
|
|
|
|
async with load_aio_clients() as (
|
|
|
|
|
client,
|
|
|
|
|
clients,
|
|
|
|
@ -1134,23 +1249,10 @@ async def _setup_quote_stream(
|
|
|
|
|
contract = contract or (await client.find_contract(symbol))
|
|
|
|
|
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
|
|
|
|
|
|
|
|
|
# define a simple queue push routine that streams quote packets
|
|
|
|
|
# to trio over the ``to_trio`` memory channel.
|
|
|
|
|
to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
|
|
|
|
|
|
|
|
|
def push(t):
|
|
|
|
|
"""Push quotes to trio task.
|
|
|
|
|
|
|
|
|
|
"""
|
|
|
|
|
# log.debug(t)
|
|
|
|
|
try:
|
|
|
|
|
to_trio.send_nowait(t)
|
|
|
|
|
|
|
|
|
|
except trio.BrokenResourceError:
|
|
|
|
|
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
|
|
|
|
# reason will catch and ignore regular exceptions
|
|
|
|
|
# resulting in tracebacks spammed to console..
|
|
|
|
|
# Manually do the dereg ourselves.
|
|
|
|
|
# # define a simple queue push routine that streams quote packets
|
|
|
|
|
# # to trio over the ``to_trio`` memory channel.
|
|
|
|
|
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
|
|
|
|
def teardown():
|
|
|
|
|
ticker.updateEvent.disconnect(push)
|
|
|
|
|
log.error(f"Disconnected stream for `{symbol}`")
|
|
|
|
|
client.ib.cancelMktData(contract)
|
|
|
|
@ -1158,41 +1260,73 @@ async def _setup_quote_stream(
|
|
|
|
|
# decouple broadcast mem chan
|
|
|
|
|
_quote_streams.pop(symbol, None)
|
|
|
|
|
|
|
|
|
|
def push(t: Ticker) -> None:
|
|
|
|
|
"""
|
|
|
|
|
Push quotes to trio task.
|
|
|
|
|
|
|
|
|
|
"""
|
|
|
|
|
# log.debug(t)
|
|
|
|
|
try:
|
|
|
|
|
to_trio.send_nowait(t)
|
|
|
|
|
|
|
|
|
|
except (
|
|
|
|
|
trio.BrokenResourceError,
|
|
|
|
|
|
|
|
|
|
# XXX: HACK, not sure why this gets left stale (probably
|
|
|
|
|
# due to our terrible ``tractor.to_asyncio``
|
|
|
|
|
# implementation for streams.. but if the mem chan
|
|
|
|
|
# gets left here and starts blocking just kill the feed?
|
|
|
|
|
# trio.WouldBlock,
|
|
|
|
|
):
|
|
|
|
|
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
|
|
|
|
# reason will catch and ignore regular exceptions
|
|
|
|
|
# resulting in tracebacks spammed to console..
|
|
|
|
|
# Manually do the dereg ourselves.
|
|
|
|
|
teardown()
|
|
|
|
|
|
|
|
|
|
# except trio.WouldBlock:
|
|
|
|
|
# # for slow debugging purposes to avoid clobbering prompt
|
|
|
|
|
# # with log msgs
|
|
|
|
|
# pass
|
|
|
|
|
|
|
|
|
|
ticker.updateEvent.connect(push)
|
|
|
|
|
try:
|
|
|
|
|
await asyncio.sleep(float('inf'))
|
|
|
|
|
finally:
|
|
|
|
|
teardown()
|
|
|
|
|
|
|
|
|
|
return from_aio
|
|
|
|
|
# return from_aio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def start_aio_quote_stream(
|
|
|
|
|
@acm
|
|
|
|
|
async def open_aio_quote_stream(
|
|
|
|
|
|
|
|
|
|
symbol: str,
|
|
|
|
|
contract: Optional[Contract] = None,
|
|
|
|
|
|
|
|
|
|
) -> trio.abc.ReceiveStream:
|
|
|
|
|
|
|
|
|
|
from tractor.trionics import broadcast_receiver
|
|
|
|
|
global _quote_streams
|
|
|
|
|
|
|
|
|
|
from_aio = _quote_streams.get(symbol)
|
|
|
|
|
if from_aio:
|
|
|
|
|
|
|
|
|
|
# if we already have a cached feed deliver a rx side clone to consumer
|
|
|
|
|
return from_aio.clone()
|
|
|
|
|
async with broadcast_receiver(from_aio) as from_aio:
|
|
|
|
|
yield from_aio
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
else:
|
|
|
|
|
|
|
|
|
|
from_aio = await tractor.to_asyncio.run_task(
|
|
|
|
|
async with tractor.to_asyncio.open_channel_from(
|
|
|
|
|
_setup_quote_stream,
|
|
|
|
|
symbol=symbol,
|
|
|
|
|
contract=contract,
|
|
|
|
|
)
|
|
|
|
|
) as (first, from_aio):
|
|
|
|
|
|
|
|
|
|
# cache feed for later consumers
|
|
|
|
|
_quote_streams[symbol] = from_aio
|
|
|
|
|
|
|
|
|
|
return from_aio
|
|
|
|
|
yield from_aio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
async def stream_quotes(
|
|
|
|
@ -1221,7 +1355,10 @@ async def stream_quotes(
|
|
|
|
|
symbol=sym,
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
|
|
|
|
# stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
|
|
|
|
async with open_aio_quote_stream(
|
|
|
|
|
symbol=sym, contract=contract
|
|
|
|
|
) as stream:
|
|
|
|
|
|
|
|
|
|
# pass back some symbol info like min_tick, trading_hours, etc.
|
|
|
|
|
syminfo = asdict(details)
|
|
|
|
@ -1286,6 +1423,7 @@ async def stream_quotes(
|
|
|
|
|
|
|
|
|
|
task_status.started((init_msgs, first_quote))
|
|
|
|
|
|
|
|
|
|
async with aclosing(stream):
|
|
|
|
|
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
|
|
|
|
# suffix = 'exchange'
|
|
|
|
|
# calc_price = False # should be real volume for contract
|
|
|
|
@ -1298,7 +1436,8 @@ async def stream_quotes(
|
|
|
|
|
# for a real volume contract we rait for the first
|
|
|
|
|
# "real" trade to take place
|
|
|
|
|
if not calc_price and not ticker.rtTime:
|
|
|
|
|
# spin consuming tickers until we get a real market datum
|
|
|
|
|
# spin consuming tickers until we get a real
|
|
|
|
|
# market datum
|
|
|
|
|
log.debug(f"New unsent ticker: {ticker}")
|
|
|
|
|
continue
|
|
|
|
|
else:
|
|
|
|
@ -1315,7 +1454,6 @@ async def stream_quotes(
|
|
|
|
|
feed_is_live.set()
|
|
|
|
|
|
|
|
|
|
# last = time.time()
|
|
|
|
|
async with aclosing(stream):
|
|
|
|
|
async for ticker in stream:
|
|
|
|
|
# print(f'ticker rate: {1/(time.time() - last)}')
|
|
|
|
|
|
|
|
|
@ -1472,13 +1610,24 @@ async def trades_dialogue(
|
|
|
|
|
accounts = set()
|
|
|
|
|
|
|
|
|
|
clients: list[tuple[Client, trio.MemoryReceiveChannel]] = []
|
|
|
|
|
async with trio.open_nursery() as nurse:
|
|
|
|
|
for account, client in _accounts2clients.items():
|
|
|
|
|
|
|
|
|
|
# each client to an api endpoint will have it's own event stream
|
|
|
|
|
trade_event_stream = await _trio_run_client_method(
|
|
|
|
|
method='recv_trade_updates',
|
|
|
|
|
async def open_stream(
|
|
|
|
|
task_status: TaskStatus[
|
|
|
|
|
trio.abc.ReceiveChannel
|
|
|
|
|
] = trio.TASK_STATUS_IGNORED,
|
|
|
|
|
):
|
|
|
|
|
# each api client has a unique event stream
|
|
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async with tractor.to_asyncio.open_channel_from(
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recv_trade_updates,
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client=client,
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)
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) as (first, trade_event_stream):
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task_status.started(trade_event_stream)
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await trio.sleep_forever()
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trade_event_stream = await nurse.start(open_stream)
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clients.append((client, trade_event_stream))
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for client in _client_cache.values():
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@ -1488,7 +1637,10 @@ async def trades_dialogue(
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accounts.add(msg.account)
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all_positions.append(msg.dict())
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await ctx.started((all_positions, accounts))
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await ctx.started((
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all_positions,
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tuple(name for name in accounts_def if name in accounts),
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))
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async with (
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ctx.open_stream() as ems_stream,
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