Move quote stream setup into a cacheing func
Tyler Goodlet
parent
aa61bf5a65
commit
0d4073dbd2
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@ -385,54 +385,6 @@ class Client:
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formatDate=2, # timezone aware UTC datetime
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)
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async def stream_ticker(
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self,
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symbol: str,
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opts: Tuple[int] = ('375', '233', '236'),
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contract: Optional[Contract] = None,
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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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contract = contract or (await self.find_contract(symbol))
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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feed = self._feeds.get(symbol)
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if feed:
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# do something else
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# await tractor.breakpoint()
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to_trio, from_aio = feed
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return from_aio.clone()
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# define a simple queue push routine that streams quote packets
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# to trio over the ``to_trio`` memory channel.
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to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
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def push(t):
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"""Push quotes to trio task.
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"""
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# log.debug(t)
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try:
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to_trio.send_nowait(t)
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except trio.BrokenResourceError:
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# XXX: eventkit's ``Event.emit()`` for whatever redic
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# reason will catch and ignore regular exceptions
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# resulting in tracebacks spammed to console..
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# Manually do the dereg ourselves.
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ticker.updateEvent.disconnect(push)
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log.error(f"Disconnected stream for `{symbol}`")
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self.ib.cancelMktData(contract)
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# decouple broadcast mem chan
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self._feeds.pop(symbol, None)
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ticker.updateEvent.connect(push)
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# cache feed for later consumers
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self._feeds[symbol] = to_trio, from_aio
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return from_aio
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async def get_quote(
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self,
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symbol: str,
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@ -626,6 +578,8 @@ async def _aio_get_client(
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client_id: Optional[int] = None,
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) -> Client:
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"""Return an ``ib_insync.IB`` instance wrapped in our client API.
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Client instances are cached for later use.
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"""
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# first check cache for existing client
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@ -665,8 +619,10 @@ async def _aio_get_client(
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# create and cache
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try:
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client = Client(ib)
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_client_cache[(host, port)] = client
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log.debug(f"Caching client for {(host, port)}")
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yield client
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except BaseException:
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@ -918,65 +874,78 @@ asset_type_map = {
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}
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_quote_streams: Dict[str, trio.abc.ReceiveStream] = {}
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async def stream_quotes(
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client,
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async def _setup_quote_stream(
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symbol: str,
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opts: Tuple[int] = ('375', '233', '236'),
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contract: Optional[Contract] = None,
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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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contract = contract or (await client.find_contract(symbol))
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ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
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global _quote_streams
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chans = _quote_streams.get(symbol)
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async with _aio_get_client() as client:
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if feed:
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contract = contract or (await client.find_contract(symbol))
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ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
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# if we already have a cached feed deliver a rx side clone to
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# consumer
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to_trio, from_aio = chans
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# define a simple queue push routine that streams quote packets
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# to trio over the ``to_trio`` memory channel.
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to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
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def push(t):
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"""Push quotes to trio task.
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"""
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# log.debug(t)
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try:
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to_trio.send_nowait(t)
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except trio.BrokenResourceError:
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# XXX: eventkit's ``Event.emit()`` for whatever redic
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# reason will catch and ignore regular exceptions
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# resulting in tracebacks spammed to console..
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# Manually do the dereg ourselves.
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ticker.updateEvent.disconnect(push)
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log.error(f"Disconnected stream for `{symbol}`")
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client.ib.cancelMktData(contract)
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# decouple broadcast mem chan
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_quote_streams.pop(symbol, None)
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ticker.updateEvent.connect(push)
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return from_aio
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async def start_aio_quote_stream(
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symbol: str,
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contract: Optional[Contract] = None,
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) -> trio.abc.ReceiveStream:
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global _quote_streams
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from_aio = _quote_streams.get(symbol)
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if from_aio:
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# if we already have a cached feed deliver a rx side clone to consumer
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return from_aio.clone()
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else:
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# define a simple queue push routine that streams quote packets
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# to trio over the ``to_trio`` memory channel.
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to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
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from_aio = await tractor.to_asyncio.run_task(
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_setup_quote_stream,
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symbol=symbol,
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contract=contract,
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)
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def push(t):
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"""Push quotes to trio task.
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# cache feed for later consumers
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_quote_streams[symbol] = from_aio
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"""
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# log.debug(t)
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try:
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to_trio.send_nowait(t)
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except trio.BrokenResourceError:
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# XXX: eventkit's ``Event.emit()`` for whatever redic
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# reason will catch and ignore regular exceptions
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# resulting in tracebacks spammed to console..
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# Manually do the dereg ourselves.
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ticker.updateEvent.disconnect(push)
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log.error(f"Disconnected stream for `{symbol}`")
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self.ib.cancelMktData(contract)
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# decouple broadcast mem chan
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self._feeds.pop(symbol, None)
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ticker.updateEvent.connect(push)
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# cache feed for later consumers
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_quote_streams[symbol] = to_trio, from_aio
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return from_aio
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return from_aio
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# TODO: figure out how to share quote feeds sanely despite
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# the wacky ``ib_insync`` api.
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# @tractor.msg.pub
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@tractor.stream
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async def stream_quotes(
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ctx: tractor.Context,
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@ -1004,11 +973,7 @@ async def stream_quotes(
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symbol=sym,
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)
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stream = await _trio_run_client_method(
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method='stream_ticker',
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contract=contract, # small speedup
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symbol=sym,
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)
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stream = await start_aio_quote_stream(symbol=sym, contract=contract)
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shm = None
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async with trio.open_nursery() as ln:
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@ -1059,8 +1024,6 @@ async def stream_quotes(
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subscribe_ohlc_for_increment(shm, delay_s)
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# pass back some symbol info like min_tick, trading_hours, etc.
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# con = asdict(contract)
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# syminfo = contract
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syminfo = asdict(details)
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syminfo.update(syminfo['contract'])
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@ -1111,8 +1074,6 @@ async def stream_quotes(
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# yield first quote asap
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await ctx.send_yield(first_quote)
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# ticker.ticks = []
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is stateful trash)
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first_ticker.ticks = []
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