Merge pull request #188 from pikers/web_utils

Web utils: no more reconnect bs

piker/brokers/binance.py

@@ -18,36 +18,26 @@
 Binance backend
 
 """
-from contextlib import asynccontextmanager, AsyncExitStack
+from contextlib import asynccontextmanager
-from types import ModuleType
 from typing import List, Dict, Any, Tuple, Union, Optional
-import json
 import time
 
-import trio_websocket
+import trio
 from trio_typing import TaskStatus
-from trio_websocket._impl import (
-    ConnectionClosed,
-    DisconnectionTimeout,
-    ConnectionRejected,
-    HandshakeError,
-    ConnectionTimeout,
-)
-
 import arrow
 import asks
 from fuzzywuzzy import process as fuzzy
 import numpy as np
-import trio
 import tractor
 from pydantic.dataclasses import dataclass
 from pydantic import BaseModel
-
+import wsproto
 
 from .api import open_cached_client
 from ._util import resproc, SymbolNotFound
 from ..log import get_logger, get_console_log
 from ..data import ShmArray
+from ..data._web_bs import open_autorecon_ws
 
 log = get_logger(__name__)
 
@@ -82,7 +72,6 @@ _ohlc_dtype = [
 ohlc_dtype = np.dtype(_ohlc_dtype)
 
 _show_wap_in_history = False
-_search_conf = {'pause_period': 0.0616}
 
 
 # https://binance-docs.github.io/apidocs/spot/en/#exchange-information
@@ -311,14 +300,15 @@ async def stream_messages(ws):
     timeouts = 0
     while True:
 
-        with trio.move_on_after(5) as cs:
+        with trio.move_on_after(3) as cs:
             msg = await ws.recv_msg()
 
         if cs.cancelled_caught:
 
             timeouts += 1
-            if timeouts > 10:
+            if timeouts > 2:
-                raise trio.TooSlowError("binance feed seems down?")
+                log.error("binance feed seems down and slow af? rebooting...")
+                await ws._connect()
 
             continue
 
@@ -378,93 +368,6 @@ def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
     }
 
 
-class AutoReconWs:
-    """Make ``trio_websocketw` sockets stay up no matter the bs.
-
-    """
-    recon_errors = (
-        ConnectionClosed,
-        DisconnectionTimeout,
-        ConnectionRejected,
-        HandshakeError,
-        ConnectionTimeout,
-    )
-
-    def __init__(
-        self,
-        url: str,
-        stack: AsyncExitStack,
-        serializer: ModuleType = json,
-    ):
-        self.url = url
-        self._stack = stack
-        self._ws: 'WebSocketConnection' = None  # noqa
-
-    async def _connect(
-        self,
-        tries: int = 10000,
-    ) -> None:
-        try:
-            await self._stack.aclose()
-        except (DisconnectionTimeout, RuntimeError):
-            await trio.sleep(1)
-
-        last_err = None
-        for i in range(tries):
-            try:
-                self._ws = await self._stack.enter_async_context(
-                    trio_websocket.open_websocket_url(self.url)
-                )
-                log.info(f'Connection success: {self.url}')
-                return
-            except self.recon_errors as err:
-                last_err = err
-                log.error(
-                    f'{self} connection bail with '
-                    f'{type(err)}...retry attempt {i}'
-                )
-                await trio.sleep(1)
-                continue
-        else:
-            log.exception('ws connection fail...')
-            raise last_err
-
-    async def send_msg(
-        self,
-        data: Any,
-    ) -> None:
-        while True:
-            try:
-                return await self._ws.send_message(json.dumps(data))
-            except self.recon_errors:
-                await self._connect()
-
-    async def recv_msg(
-        self,
-    ) -> Any:
-        while True:
-            try:
-                return json.loads(await self._ws.get_message())
-            except self.recon_errors:
-                await self._connect()
-
-
-@asynccontextmanager
-async def open_autorecon_ws(url):
-    """Apparently we can QoS for all sorts of reasons..so catch em.
-
-    """
-    async with AsyncExitStack() as stack:
-        ws = AutoReconWs(url, stack)
-
-        await ws._connect()
-        try:
-            yield ws
-
-        finally:
-            await stack.aclose()
-
-
 async def backfill_bars(
     sym: str,
     shm: ShmArray,  # type: ignore # noqa
@@ -527,8 +430,8 @@ async def stream_quotes(
             },
         }
 
-        async with open_autorecon_ws('wss://stream.binance.com/ws') as ws:
+        @asynccontextmanager
-
+        async def subscribe(ws: wsproto.WSConnection):
             # setup subs
 
             # trade data (aka L1)
@@ -546,6 +449,28 @@ async def stream_quotes(
             res = await ws.recv_msg()
             assert res['id'] == uid
 
+            yield
+
+            subs = []
+            for sym in symbols:
+                subs.append("{sym}@aggTrade")
+                subs.append("{sym}@bookTicker")
+
+            # unsub from all pairs on teardown
+            await ws.send_msg({
+                "method": "UNSUBSCRIBE",
+                "params": subs,
+                "id": uid,
+            })
+
+            # XXX: do we need to ack the unsub?
+            # await ws.recv_msg()
+
+        async with open_autorecon_ws(
+            'wss://stream.binance.com/ws',
+            fixture=subscribe,
+        ) as ws:
+
             # pull a first quote and deliver
             msg_gen = stream_messages(ws)
 

piker/brokers/kraken.py

@@ -18,37 +18,27 @@
 Kraken backend.
 
 """
-from contextlib import asynccontextmanager, AsyncExitStack
+from contextlib import asynccontextmanager
 from dataclasses import asdict, field
-from types import ModuleType
 from typing import List, Dict, Any, Tuple, Optional
-import json
 import time
 
-import trio_websocket
 from trio_typing import TaskStatus
-from trio_websocket._impl import (
+import trio
-    ConnectionClosed,
-    DisconnectionTimeout,
-    ConnectionRejected,
-    HandshakeError,
-    ConnectionTimeout,
-)
-
 import arrow
 import asks
 from fuzzywuzzy import process as fuzzy
 import numpy as np
-import trio
 import tractor
 from pydantic.dataclasses import dataclass
 from pydantic import BaseModel
-
+import wsproto
 
 from .api import open_cached_client
 from ._util import resproc, SymbolNotFound, BrokerError
 from ..log import get_logger, get_console_log
 from ..data import ShmArray
+from ..data._web_bs import open_autorecon_ws
 
 log = get_logger(__name__)
 
@@ -57,11 +47,6 @@ log = get_logger(__name__)
 _url = 'https://api.kraken.com/0'
 
 
-_search_conf = {
-    'pause_period': 0.0616
-}
-
-
 # Broker specific ohlc schema which includes a vwap field
 _ohlc_dtype = [
     ('index', int),
@@ -399,100 +384,6 @@ def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
     }
 
 
-class AutoReconWs:
-    """Make ``trio_websocketw` sockets stay up no matter the bs.
-
-    TODO:
-    apply any more insights from this:
-    https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
-
-    """
-    recon_errors = (
-        ConnectionClosed,
-        DisconnectionTimeout,
-        ConnectionRejected,
-        HandshakeError,
-        ConnectionTimeout,
-    )
-
-    def __init__(
-        self,
-        url: str,
-        stack: AsyncExitStack,
-        serializer: ModuleType = json,
-    ):
-        self.url = url
-        self._stack = stack
-        self._ws: 'WebSocketConnection' = None  # noqa
-
-    async def _connect(
-        self,
-        tries: int = 10000,
-    ) -> None:
-        while True:
-            try:
-                await self._stack.aclose()
-            except (DisconnectionTimeout, RuntimeError):
-                await trio.sleep(1)
-            else:
-                break
-
-        last_err = None
-        for i in range(tries):
-            try:
-                self._ws = await self._stack.enter_async_context(
-                    trio_websocket.open_websocket_url(self.url)
-                )
-                log.info(f'Connection success: {self.url}')
-                return
-            except self.recon_errors as err:
-                last_err = err
-                log.error(
-                    f'{self} connection bail with '
-                    f'{type(err)}...retry attempt {i}'
-                )
-                await trio.sleep(1)
-                continue
-        else:
-            log.exception('ws connection fail...')
-            raise last_err
-
-    async def send_msg(
-        self,
-        data: Any,
-    ) -> None:
-        while True:
-            try:
-                return await self._ws.send_message(json.dumps(data))
-            except self.recon_errors:
-                await self._connect()
-
-    async def recv_msg(
-        self,
-    ) -> Any:
-        while True:
-            try:
-                return json.loads(await self._ws.get_message())
-            except self.recon_errors:
-                await self._connect()
-
-
-@asynccontextmanager
-async def open_autorecon_ws(url):
-    """Apparently we can QoS for all sorts of reasons..so catch em.
-
-    """
-    async with AsyncExitStack() as stack:
-        ws = AutoReconWs(url, stack)
-
-        await ws._connect()
-        try:
-            yield ws
-
-        finally:
-            await stack.aclose()
-
-
 async def backfill_bars(
 
     sym: str,
@@ -561,8 +452,8 @@ async def stream_quotes(
             },
         }
 
-        async with open_autorecon_ws('wss://ws.kraken.com/') as ws:
+        @asynccontextmanager
-
+        async def subscribe(ws: wsproto.WSConnection):
             # XXX: setup subs
             # https://docs.kraken.com/websockets/#message-subscribe
             # specific logic for this in kraken's shitty sync client:
@@ -584,8 +475,28 @@ async def stream_quotes(
                 {'name': 'spread'}  # 'depth': 10}
             )
 
+            # pull a first quote and deliver
             await ws.send_msg(l1_sub)
 
+            yield
+
+            # unsub from all pairs on teardown
+            await ws.send_msg({
+                'pair': list(ws_pairs.values()),
+                'event': 'unsubscribe',
+                'subscription': ['ohlc', 'spread'],
+            })
+
+            # XXX: do we need to ack the unsub?
+            # await ws.recv_msg()
+
+        # see the tips on reonnection logic:
+        # https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
+        async with open_autorecon_ws(
+            'wss://ws.kraken.com/',
+            fixture=subscribe,
+        ) as ws:
+
             # pull a first quote and deliver
             msg_gen = stream_messages(ws)
 

piker/data/_web_bs.py

@@ -0,0 +1,142 @@
+# piker: trading gear for hackers
+# Copyright (C) Tyler Goodlet (in stewardship for piker0)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+
+"""
+ToOlS fOr CoPInG wITh "tHE wEB" protocols.
+
+"""
+from contextlib import asynccontextmanager, AsyncExitStack
+from types import ModuleType
+from typing import Any, Callable
+import json
+
+import trio
+import trio_websocket
+from trio_websocket._impl import (
+    ConnectionClosed,
+    DisconnectionTimeout,
+    ConnectionRejected,
+    HandshakeError,
+    ConnectionTimeout,
+)
+
+from ..log import get_logger
+
+log = get_logger(__name__)
+
+
+class NoBsWs:
+    """Make ``trio_websocket`` sockets stay up no matter the bs.
+
+    """
+    recon_errors = (
+        ConnectionClosed,
+        DisconnectionTimeout,
+        ConnectionRejected,
+        HandshakeError,
+        ConnectionTimeout,
+    )
+
+    def __init__(
+        self,
+        url: str,
+        stack: AsyncExitStack,
+        fixture: Callable,
+        serializer: ModuleType = json,
+    ):
+        self.url = url
+        self.fixture = fixture
+        self._stack = stack
+        self._ws: 'WebSocketConnection' = None  # noqa
+
+    async def _connect(
+        self,
+        tries: int = 10000,
+    ) -> None:
+        while True:
+            try:
+                await self._stack.aclose()
+            except (DisconnectionTimeout, RuntimeError):
+                await trio.sleep(1)
+            else:
+                break
+
+        last_err = None
+        for i in range(tries):
+            try:
+                self._ws = await self._stack.enter_async_context(
+                    trio_websocket.open_websocket_url(self.url)
+                )
+                # rerun user code fixture
+                ret = await self._stack.enter_async_context(
+                    self.fixture(self)
+                )
+                assert ret is None
+
+                log.info(f'Connection success: {self.url}')
+                return self._ws
+
+            except self.recon_errors as err:
+                last_err = err
+                log.error(
+                    f'{self} connection bail with '
+                    f'{type(err)}...retry attempt {i}'
+                )
+                await trio.sleep(1)
+                continue
+        else:
+            log.exception('ws connection fail...')
+            raise last_err
+
+    async def send_msg(
+        self,
+        data: Any,
+    ) -> None:
+        while True:
+            try:
+                return await self._ws.send_message(json.dumps(data))
+            except self.recon_errors:
+                await self._connect()
+
+    async def recv_msg(
+        self,
+    ) -> Any:
+        while True:
+            try:
+                return json.loads(await self._ws.get_message())
+            except self.recon_errors:
+                await self._connect()
+
+
+@asynccontextmanager
+async def open_autorecon_ws(
+    url: str,
+
+    # TODO: proper type annot smh
+    fixture: Callable,
+):
+    """Apparently we can QoS for all sorts of reasons..so catch em.
+
+    """
+    async with AsyncExitStack() as stack:
+        ws = NoBsWs(url, stack, fixture=fixture)
+        await ws._connect()
+
+        try:
+            yield ws
+
+        finally:
+            await stack.aclose()

piker/ui/_chart.py

@@ -192,7 +192,6 @@ class ChartSpace(QtGui.QWidget):
                 loglevel,
             )
 
-
             self.set_chart_symbol(fqsn, linkedcharts)
 
         self.vbox.addWidget(linkedcharts)
@@ -1000,7 +999,8 @@ async def test_bed(
         i += 1
 
 
-_quote_throttle_rate: int = 60  # Hz
+_clear_throttle_rate: int = 60  # Hz
+_book_throttle_rate: int = 20  # Hz
 
 
 async def chart_from_quotes(
@@ -1077,17 +1077,12 @@ async def chart_from_quotes(
     tick_size = chart._lc.symbol.tick_size
     tick_margin = 2 * tick_size
 
-    last = time.time()
+    last_ask = last_bid = last_clear = time.time()
     async for quotes in stream:
+        for sym, quote in quotes.items():
 
             now = time.time()
-        period = now - last
-        if period <= 1/_quote_throttle_rate - 0.001:
-            # faster then display refresh rate
-            # print(f'quote too fast: {1/period}')
-            continue
 
-        for sym, quote in quotes.items():
             for tick in quote.get('ticks', ()):
 
                 # print(f"CHART: {quote['symbol']}: {tick}")
@@ -1099,8 +1094,19 @@ async def chart_from_quotes(
                     # okkk..
                     continue
 
+                # clearing price event
                 if ticktype in ('trade', 'utrade', 'last'):
 
+                    # throttle clearing price updates to ~ max 60 FPS
+                    period = now - last_clear
+                    if period <= 1/_clear_throttle_rate:
+                        # faster then display refresh rate
+                        continue
+
+                    # print(f'passthrough {tick}\n{1/(now-last_clear)}')
+                    # set time of last graphics update
+                    last_clear = now
+
                     array = ohlcv.array
 
                     # update price sticky(s)
@@ -1121,6 +1127,26 @@ async def chart_from_quotes(
                         chart.update_curve_from_array(
                             'bar_wap', ohlcv.array)
 
+                # l1 book events
+                # throttle the book graphics updates at a lower rate
+                # since they aren't as critical for a manual user
+                # viewing the chart
+
+                elif ticktype in ('ask', 'asize'):
+                    if (now - last_ask) <= 1/_book_throttle_rate:
+                        # print(f'skipping\n{tick}')
+                        continue
+
+                    # print(f'passthrough {tick}\n{1/(now-last_ask)}')
+                    last_ask = now
+
+                elif ticktype in ('bid', 'bsize'):
+                    if (now - last_bid) <= 1/_book_throttle_rate:
+                        continue
+
+                    # print(f'passthrough {tick}\n{1/(now-last_bid)}')
+                    last_bid = now
+
                 # compute max and min trade values to display in view
                 # TODO: we need a streaming minmax algorithm here, see
                 # def above.
@@ -1133,6 +1159,7 @@ async def chart_from_quotes(
                 # XXX: prettty sure this is correct?
                 # if ticktype in ('trade', 'last'):
                 if ticktype in ('last',):  # 'size'):
+
                     label = {
                         l1.ask_label.fields['level']: l1.ask_label,
                         l1.bid_label.fields['level']: l1.bid_label,
@@ -1173,9 +1200,6 @@ async def chart_from_quotes(
 
                 last_mx, last_mn = mx, mn
 
-        # set time of last graphics update
-        last = now
-
 
 async def spawn_fsps(
     linked_charts: LinkedSplitCharts,
@@ -1366,7 +1390,7 @@ async def run_fsp(
             now = time.time()
             period = now - last
             # if period <= 1/30:
-            if period <= 1/_quote_throttle_rate - 0.001:
+            if period <= 1/_clear_throttle_rate - 0.001:
                 # faster then display refresh rate
                 # print(f'quote too fast: {1/period}')
                 continue
@@ -1641,12 +1665,12 @@ async def _async_main(
     screen = current_screen()
 
     # configure graphics update throttling based on display refresh rate
-    global _quote_throttle_rate
+    global _clear_throttle_rate
-    _quote_throttle_rate = min(
+    _clear_throttle_rate = min(
         round(screen.refreshRate()),
-        _quote_throttle_rate,
+        _clear_throttle_rate,
     )
-    log.info(f'Set graphics update rate to {_quote_throttle_rate} Hz')
+    log.info(f'Set graphics update rate to {_clear_throttle_rate} Hz')
 
     # configure global DPI aware font size
     _font.configure_to_dpi(screen)