Port data feed to new tractor stream api
Tyler Goodlet
parent
3375735914
commit
0d9f091a34
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@ -51,6 +51,7 @@ from ._sampling import (
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iter_ohlc_periods,
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sample_and_broadcast,
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)
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from .ingest import get_ingestormod
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log = get_logger(__name__)
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@ -302,6 +303,7 @@ class Feed:
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async def receive(self) -> dict:
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return await self.stream.__anext__()
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@asynccontextmanager
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async def index_stream(
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self,
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delay_s: Optional[int] = None
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@ -312,14 +314,16 @@ class Feed:
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# XXX: this should be singleton on a host,
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# a lone broker-daemon per provider should be
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# created for all practical purposes
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self._index_stream = await self._brokerd_portal.run(
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async with self._brokerd_portal.open_stream_from(
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iter_ohlc_periods,
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delay_s=delay_s or self._max_sample_rate,
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)
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) as self._index_stream:
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yield self._index_stream
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else:
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yield self._index_stream
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return self._index_stream
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async def recv_trades_data(self) -> AsyncIterator[dict]:
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@asynccontextmanager
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async def receive_trades_data(self) -> AsyncIterator[dict]:
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if not getattr(self.mod, 'stream_trades', False):
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log.warning(
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@ -333,7 +337,7 @@ class Feed:
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# using the ``_.set_fake_trades_stream()`` method
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if self._trade_stream is None:
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self._trade_stream = await self._brokerd_portal.run(
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async with self._brokerd_portal.open_stream_from(
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self.mod.stream_trades,
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@ -342,9 +346,10 @@ class Feed:
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# in messages, though we could probably use
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# more then one?
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topics=['local_trades'],
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)
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return self._trade_stream
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) as self._trade_stream:
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yield self._trade_stream
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else:
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yield self._trade_stream
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def sym_to_shm_key(
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@ -373,64 +378,64 @@ async def open_feed(
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# TODO: do all!
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sym = symbols[0]
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async with maybe_spawn_brokerd(
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brokername,
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loglevel=loglevel,
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) as portal:
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# TODO: compress these to one line with py3.9+
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async with maybe_spawn_brokerd(brokername, loglevel=loglevel) as portal:
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async with portal.open_stream_from(
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stream = await portal.run(
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attach_feed_bus,
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brokername=brokername,
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symbol=sym,
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loglevel=loglevel,
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)
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loglevel=loglevel
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# TODO: can we make this work better with the proposed
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# context based bidirectional streaming style api proposed in:
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# https://github.com/goodboy/tractor/issues/53
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init_msg = await stream.receive()
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) as stream:
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# we can only read from shm
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shm = attach_shm_array(
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token=init_msg[sym]['shm_token'],
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readonly=True,
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)
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# TODO: can we make this work better with the proposed
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# context based bidirectional streaming style api proposed in:
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# https://github.com/goodboy/tractor/issues/53
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init_msg = await stream.receive()
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feed = Feed(
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name=brokername,
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stream=stream,
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shm=shm,
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mod=mod,
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_brokerd_portal=portal,
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)
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ohlc_sample_rates = []
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for sym, data in init_msg.items():
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si = data['symbol_info']
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ohlc_sample_rates.append(data['sample_rate'])
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symbol = Symbol(
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key=sym,
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type_key=si.get('asset_type', 'forex'),
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tick_size=si.get('price_tick_size', 0.01),
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lot_tick_size=si.get('lot_tick_size', 0.0),
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# we can only read from shm
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shm = attach_shm_array(
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token=init_msg[sym]['shm_token'],
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readonly=True,
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)
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symbol.broker_info[brokername] = si
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feed.symbols[sym] = symbol
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feed = Feed(
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name=brokername,
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stream=stream,
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shm=shm,
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mod=mod,
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_brokerd_portal=portal,
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)
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ohlc_sample_rates = []
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# cast shm dtype to list... can't member why we need this
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shm_token = data['shm_token']
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shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
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assert shm_token == shm.token # sanity
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for sym, data in init_msg.items():
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feed._max_sample_rate = max(ohlc_sample_rates)
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si = data['symbol_info']
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ohlc_sample_rates.append(data['sample_rate'])
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try:
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yield feed
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symbol = Symbol(
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key=sym,
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type_key=si.get('asset_type', 'forex'),
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tick_size=si.get('price_tick_size', 0.01),
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lot_tick_size=si.get('lot_tick_size', 0.0),
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)
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symbol.broker_info[brokername] = si
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finally:
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# always cancel the far end producer task
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with trio.CancelScope(shield=True):
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await stream.aclose()
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feed.symbols[sym] = symbol
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# cast shm dtype to list... can't member why we need this
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shm_token = data['shm_token']
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shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
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assert shm_token == shm.token # sanity
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feed._max_sample_rate = max(ohlc_sample_rates)
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try:
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yield feed
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finally:
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# always cancel the far end producer task
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with trio.CancelScope(shield=True):
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await stream.aclose()
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