From 666228d82e05ff5b9746025011009369a8964eab Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 18:53:45 -0500 Subject: [PATCH 01/28] Add initial QT stock quoting tests --- tests/test_questrade.py | 68 +++++++++++++++++++++++++++++++++++++++++ 1 file changed, 68 insertions(+) create mode 100644 tests/test_questrade.py diff --git a/tests/test_questrade.py b/tests/test_questrade.py new file mode 100644 index 00000000..7ba2db5a --- /dev/null +++ b/tests/test_questrade.py @@ -0,0 +1,68 @@ +""" +Questrade broker testing +""" +from trio.testing import trio_test +from piker.brokers import questrade as qt + + +_ex_quote = { + "VWAP": 7.383792, + "askPrice": 7.56, + "askSize": 2, + "bidPrice": 6.1, + "bidSize": 2, + "delay": 0, + "high52w": 9.68, + "highPrice": 8, + "isHalted": 'false', + "lastTradePrice": 6.96, + "lastTradePriceTrHrs": 6.97, + "lastTradeSize": 2000, + "lastTradeTick": "Down", + "lastTradeTime": "2018-02-07T15:59:59.259000-05:00", + "low52w": 1.03, + "lowPrice": 6.88, + "openPrice": 7.64, + "symbol": "EMH.VN", + "symbolId": 10164524, + "tier": "", + "volume": 5357805 +} + + +def match_packet(symbols, quotes): + """Verify target ``symbols`` match keys in ``quotes`` packet. + """ + assert len(quotes) == len(symbols) + for ticker in symbols: + quote = quotes.pop(ticker) + + # verify the quote packet format hasn't changed + for key in _ex_quote: + quote.pop(key) + + # no additional fields either + assert not quote + + # not more quotes then in target set + assert not quotes + + +@trio_test +async def test_batched_stock_quote(us_symbols): + """Use the client stock quote api and verify quote response format. + """ + async with qt.get_client() as client: + quotes = await client.quote(us_symbols) + assert len(quotes) == len(us_symbols) + match_packet(us_symbols, quotes) + + +@trio_test +async def test_quoter_context(us_symbols): + """Test that a quoter "context" used by the data feed daemon. + """ + async with qt.get_client() as client: + quoter = await qt.quoter(client, us_symbols) + quotes = await quoter(us_symbols) + match_packet(us_symbols, quotes) From f9d9d7c1ba8a819ee446761badef270502001205 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:05:30 -0500 Subject: [PATCH 02/28] Add option chain quote support! --- piker/brokers/questrade.py | 204 +++++++++++++++++++++++++++---------- 1 file changed, 148 insertions(+), 56 deletions(-) diff --git a/piker/brokers/questrade.py b/piker/brokers/questrade.py index 746f23df..2ea0de8f 100644 --- a/piker/brokers/questrade.py +++ b/piker/brokers/questrade.py @@ -2,9 +2,10 @@ Questrade API backend. """ import time -import datetime +from datetime import datetime from functools import partial import configparser +from typing import List, Tuple, Dict, Any import trio from async_generator import asynccontextmanager @@ -29,6 +30,73 @@ class QuestradeError(Exception): "Non-200 OK response code" +class _API: + """Questrade API endpoints exposed as methods and wrapped with an + http session. + """ + def __init__(self, session: asks.Session): + self._sess = session + + async def _request(self, path: str, params=None) -> dict: + resp = await self._sess.get(path=f'/{path}', params=params) + return resproc(resp, log) + + async def accounts(self) -> dict: + return await self._request('accounts') + + async def time(self) -> dict: + return await self._request('time') + + async def markets(self) -> dict: + return await self._request('markets') + + async def search(self, prefix: str) -> dict: + return await self._request( + 'symbols/search', params={'prefix': prefix}) + + async def symbols(self, ids: str = '', names: str = '') -> dict: + log.debug(f"Symbol lookup for {ids or names}") + return await self._request( + 'symbols', params={'ids': ids, 'names': names}) + + async def quotes(self, ids: str) -> dict: + return await self._request('markets/quotes', params={'ids': ids}) + + async def candles(self, id: str, start: str, end, interval) -> dict: + return await self._request(f'markets/candles/{id}', params={}) + + async def balances(self, id: str) -> dict: + return await self._request(f'accounts/{id}/balances') + + async def postions(self, id: str) -> dict: + return await self._request(f'accounts/{id}/positions') + + async def option_contracts(self, symbol_id: str) -> dict: + "Retrieve all option contract API ids with expiry -> strike prices." + contracts = await self._request(f'symbols/{symbol_id}/options') + return contracts['optionChain'] + + async def option_quotes( + self, + ids: List[int], + expiry: str, + option_ids: List[int] = [], # if you don't want them all + ) -> dict: + "Retrieve option chain quotes for all option ids or by filter(s)." + filters = [ + { + "underlyingId": int(symbol_id), + "expiryDate": str(expiry), + } for symbol_id in ids + ] + + resp = await self._sess.post( + path=f'/markets/quotes/options', + json={'filters': filters, 'optionIds': option_ids} + ) + return resproc(resp, log) + + class Client: """API client suitable for use as a long running broker daemon or single api requests. @@ -100,7 +168,7 @@ class Client: """ access_token = self.access_data.get('access_token') expires = float(self.access_data.get('expires_at', 0)) - expires_stamp = datetime.datetime.fromtimestamp( + expires_stamp = datetime.fromtimestamp( expires).strftime('%Y-%m-%d %H:%M:%S') if not access_token or (expires < time.time()) or force_refresh: log.debug( @@ -147,15 +215,26 @@ class Client: data = await self.api.symbols(names=','.join(tickers)) symbols2ids = {} for ticker, symbol in zip(tickers, data['symbols']): - symbols2ids[symbol['symbol']] = symbol['symbolId'] + symbols2ids[symbol['symbol']] = str(symbol['symbolId']) return symbols2ids - async def quote(self, tickers: [str]): - """Return quotes for each ticker in ``tickers``. + async def symbol_data(self, tickers: List[str]): + """Return symbol data for ``tickers``. """ t2ids = await self.tickers2ids(tickers) - ids = ','.join(map(str, t2ids.values())) + ids = ','.join(t2ids.values()) + symbols = {} + for pkt in (await self.api.symbols(ids=ids))['symbols']: + symbols[pkt['symbol']] = pkt + + return symbols + + async def quote(self, tickers: [str]): + """Return stock quotes for each ticker in ``tickers``. + """ + t2ids = await self.tickers2ids(tickers) + ids = ','.join(t2ids.values()) results = (await self.api.quotes(ids=ids))['quotes'] quotes = {quote['symbol']: quote for quote in results} @@ -167,58 +246,59 @@ class Client: return quotes - async def symbol_data(self, tickers: [str]): - """Return symbol data for ``tickers``. + async def option_contracts( + self, + symbol: str + ) -> Tuple[int, Dict[datetime, dict]]: + """Return option contract dat for the given symbol. + + The most useful part is the expiries which can be passed to the option + chain endpoint but specifc contract ids can be pulled here as well. """ - t2ids = await self.tickers2ids(tickers) - ids = ','.join(map(str, t2ids.values())) - symbols = {} - for pkt in (await self.api.symbols(ids=ids))['symbols']: - symbols[pkt['symbol']] = pkt + id = int((await self.tickers2ids([symbol]))[symbol]) + contracts = await self.api.option_contracts(id) + return id, { + # convert to native datetime objs for sorting + datetime.fromisoformat(item['expiryDate']): + item for item in contracts + } - return symbols + async def max_contract_expiry( + self, + symbols: List[str] + ) -> Tuple[List[int], datetime]: + """Look up all contracts for each symbol in ``symbols`` and return the + list of symbol ids as well as the maximum possible option contract + expiry out of the bunch. + This routine is a bit slow doing all the contract lookups (a request + per symbol) and thus the return values should be cached for use with + ``option_chains()``. + """ + batch = {} + for symbol in symbols: + id, contracts = await self.option_contracts(symbol) + batch[id] = max(contracts) -class _API: - """Questrade API endpoints exposed as methods and wrapped with an - http session. - """ - def __init__(self, session: asks.Session): - self._sess = session + return tuple(batch.keys()), max(batch.values()) - async def _request(self, path: str, params=None) -> dict: - resp = await self._sess.get(path=f'/{path}', params=params) - return resproc(resp, log) + async def option_chains( + self, + symbol_ids: List[int], + max_expiry: str # iso format datetime (microseconds) + ) -> Dict[str, Dict[str, Dict[str, Any]]]: + """Return option chain snap quote for each ticker in ``symbols``. + """ + quotes = (await self.api.option_quotes( + ids=symbol_ids, + expiry=max_expiry.isoformat(timespec='microseconds') + ))['optionQuotes'] - async def accounts(self) -> dict: - return await self._request('accounts') + batch = {} + for quote in quotes: + batch.setdefault(quote['underlying'], {})[quote['symbol']] = quote - async def time(self) -> dict: - return await self._request('time') - - async def markets(self) -> dict: - return await self._request('markets') - - async def search(self, prefix: str) -> dict: - return await self._request( - 'symbols/search', params={'prefix': prefix}) - - async def symbols(self, ids: str = '', names: str = '') -> dict: - log.debug(f"Symbol lookup for {ids or names}") - return await self._request( - 'symbols', params={'ids': ids, 'names': names}) - - async def quotes(self, ids: str) -> dict: - return await self._request('markets/quotes', params={'ids': ids}) - - async def candles(self, id: str, start: str, end, interval) -> dict: - return await self._request(f'markets/candles/{id}', params={}) - - async def balances(self, id: str) -> dict: - return await self._request(f'accounts/{id}/balances') - - async def postions(self, id: str) -> dict: - return await self._request(f'accounts/{id}/positions') + return batch async def token_refresher(client): @@ -286,13 +366,18 @@ async def get_client() -> Client: write_conf(client) -async def quoter(client: Client, tickers: [str]): +async def quoter(client: Client, tickers: List[str]): """Quoter context. + + Yeah so fun times..QT has this symbol to ``int`` id lookup system that you + have to use to get any quotes. That means we try to be smart and maintain + a cache of this map lazily as requests from in for new tickers/symbols. + Most of the closure variables here are to deal with that. """ t2ids = {} ids = '' - def filter_symbols(quotes_dict): + def filter_symbols(quotes_dict: dict): nonlocal t2ids for symbol, quote in quotes_dict.items(): if quote['low52w'] is None: @@ -311,6 +396,7 @@ async def quoter(client: Client, tickers: [str]): # update ticker ids cache log.debug(f"Tickers set changed {new - current}") t2ids = await client.tickers2ids(tickers) + # re-save symbol -> ids cache ids = ','.join(map(str, t2ids.values())) try: @@ -323,6 +409,12 @@ async def quoter(client: Client, tickers: [str]): quotes_resp = await client.api.quotes(ids=ids) except BrokerError as qterr: if "Access token is invalid" in str(qterr.args[0]): + # TODO: this will crash when run from a sub-actor since + # STDIN can't be acquired. The right way to handle this + # is to make a request to the parent actor (i.e. + # spawner of this) to call this + # `client.ensure_access()` locally thus blocking until + # the user provides an API key on the "client side" await client.ensure_access(force_refresh=True) else: raise @@ -340,7 +432,7 @@ async def quoter(client: Client, tickers: [str]): first_quotes_dict = await get_quote(tickers) filter_symbols(first_quotes_dict) - # re-save symbol ids cache + # re-save symbol -> ids cache ids = ','.join(map(str, t2ids.values())) return get_quote @@ -357,6 +449,7 @@ _qt_keys = { 'askPrice': 'ask', 'bidPrice': 'bid', 'lastTradeSize': 'size', + 'lastTradeTime': ('time', datetime.fromisoformat), 'bidSize': 'bsize', 'askSize': 'asize', 'VWAP': ('VWAP', partial(round, ndigits=3)), @@ -371,7 +464,6 @@ _qt_keys = { # 'high52w': 'high52w', # "lastTradePriceTrHrs": 7.99, # "lastTradeTick": "Equal", - # "lastTradeTime": "2018-01-30T18:28:23.434000-05:00", # "symbolId": 3575753, # "tier": "", # 'isHalted': 'halted', # as subscript 'h' @@ -389,7 +481,7 @@ def format_quote( quote: dict, symbol_data: dict, keymap: dict = _qt_keys, -) -> (dict, dict): +) -> Tuple[dict, dict]: """Remap a list of quote dicts ``quotes`` using the mapping of old keys -> new keys ``keymap`` returning 2 dicts: one with raw data and the other for display. From 6bef365fd4080bb3e5f1e6cad85156c1f2e9b6c0 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:05:44 -0500 Subject: [PATCH 03/28] Add conftest --- tests/conftest.py | 16 ++++++++++++++++ 1 file changed, 16 insertions(+) create mode 100644 tests/conftest.py diff --git a/tests/conftest.py b/tests/conftest.py new file mode 100644 index 00000000..e55cffbf --- /dev/null +++ b/tests/conftest.py @@ -0,0 +1,16 @@ +import pytest + + +@pytest.fixture +def us_symbols(): + return ['TSLA', 'AAPL', 'CGC', 'CRON'] + + +@pytest.fixture +def tmx_symbols(): + return ['APHA.TO', 'WEED.TO', 'ACB.TO'] + + +@pytest.fixture +def cse_symbols(): + return ['TRUL.CN', 'CWEB.CN', 'SNN.CN'] From a5afa0f1c35a7883d038aac4bec8fee436d8d205 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:06:25 -0500 Subject: [PATCH 04/28] Fix typo --- piker/brokers/robinhood.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/piker/brokers/robinhood.py b/piker/brokers/robinhood.py index bd70c108..63cd8af7 100644 --- a/piker/brokers/robinhood.py +++ b/piker/brokers/robinhood.py @@ -59,7 +59,7 @@ class Client: return self._zip_in_order(symbols, resp['results']) async def symbol_data(self, symbols: [str]): - """Retrieve symbol data via the ``fundmentals`` endpoint. + """Retrieve symbol data via the ``fundamentals`` endpoint. """ return self._zip_in_order( symbols, From 21eb68148c0713021505edc5c77b8c8c7f8e69cb Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:06:46 -0500 Subject: [PATCH 05/28] Add option contract and chain quote test --- tests/test_questrade.py | 68 +++++++++++++++++++++++++++++++++++++++++ 1 file changed, 68 insertions(+) diff --git a/tests/test_questrade.py b/tests/test_questrade.py index 7ba2db5a..15f83c14 100644 --- a/tests/test_questrade.py +++ b/tests/test_questrade.py @@ -5,6 +5,7 @@ from trio.testing import trio_test from piker.brokers import questrade as qt +# stock quote _ex_quote = { "VWAP": 7.383792, "askPrice": 7.56, @@ -30,6 +31,39 @@ _ex_quote = { } +# option quote +_ex_contract = { + 'VWAP': 0, + 'askPrice': None, + 'askSize': 0, + 'bidPrice': None, + 'bidSize': 0, + 'delay': 0, + 'delta': -0.212857, + 'gamma': 0.003524, + 'highPrice': 0, + 'isHalted': False, + 'lastTradePrice': 22, + 'lastTradePriceTrHrs': None, + 'lastTradeSize': 0, + 'lastTradeTick': 'Equal', + 'lastTradeTime': '2018-10-23T00:00:00.000000-04:00', + 'lowPrice': 0, + 'openInterest': 1, + 'openPrice': 0, + 'rho': -0.891868, + 'symbol': 'WEED15Jan21P54.00.MX', + 'symbolId': 22739148, + 'theta': -0.012911, + 'underlying': 'WEED.TO', + 'underlyingId': 16529510, + 'vega': 0.220885, + 'volatility': 75.514171, + 'volume': 0 +} + + + def match_packet(symbols, quotes): """Verify target ``symbols`` match keys in ``quotes`` packet. """ @@ -66,3 +100,37 @@ async def test_quoter_context(us_symbols): quoter = await qt.quoter(client, us_symbols) quotes = await quoter(us_symbols) match_packet(us_symbols, quotes) + + +@trio_test +async def test_option_contracts(tmx_symbols): + """Verify we can retrieve contracts by expiry. + """ + async with qt.get_client() as client: + for symbol in tmx_symbols: + id, contracts = await client.option_contracts(symbol) + assert isinstance(id, int) + assert isinstance(contracts, dict) + ordered = sorted(contracts) + for dt in contracts: + assert dt.isoformat( + timespec='microseconds') == contracts[dt]['expiryDate'] + + +@trio_test +async def test_option_chain(tmx_symbols): + """Verify we can retrieve all option chains for a list of symbols. + """ + async with qt.get_client() as client: + # contract lookup - should be cached + ids, max_expiry = await client.max_contract_expiry(tmx_symbols) + # chains quote for all symbols + quotes = await client.option_chains(ids, max_expiry) + for key in tmx_symbols: + contracts = quotes.pop(key) + for key, quote in contracts.items(): + for key in _ex_contract: + quote.pop(key) + assert not quote + # chains for each symbol were retreived + assert not quotes From c8cb5a2fdc410f3ed4da41a08227e0fac56357c5 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:07:34 -0500 Subject: [PATCH 06/28] Remove duplicate fixture (now in conftest) --- tests/test_tractor.py | 5 ----- 1 file changed, 5 deletions(-) diff --git a/tests/test_tractor.py b/tests/test_tractor.py index 91d10214..3ea0614d 100644 --- a/tests/test_tractor.py +++ b/tests/test_tractor.py @@ -5,11 +5,6 @@ import pytest import tractor -@pytest.fixture -def us_symbols(): - return ['TSLA', 'AAPL', 'CGC', 'CRON'] - - async def rx_price_quotes_from_brokerd(us_symbols): """Verify we can spawn a daemon actor and retrieve streamed price data. """ From 2b1818ba33ae34b4414766a21aba1c9b37ef8251 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:44:46 -0500 Subject: [PATCH 07/28] Drop old stream test, rename stock quote func --- piker/brokers/core.py | 61 +++++++++++++++++++------------------------ piker/cli.py | 4 +-- 2 files changed, 29 insertions(+), 36 deletions(-) diff --git a/piker/brokers/core.py b/piker/brokers/core.py index f92f3e53..f10524f5 100644 --- a/piker/brokers/core.py +++ b/piker/brokers/core.py @@ -6,7 +6,7 @@ import inspect from functools import partial import socket from types import ModuleType -from typing import Coroutine, Callable +from typing import Coroutine, Callable, List, Dict, Any import trio import tractor @@ -19,14 +19,21 @@ log = get_logger('broker.core') async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict: - """Make (proxy through) an api call by name and return its result. + """Make (proxy through) a broker API call by name and return its result. """ async with brokermod.get_client() as client: + meth = getattr(client.api, methname, None) + if meth is None: + log.warning( + "Couldn't find API method {methname} looking up on client") + meth = getattr(client, methname, None) + if meth is None: log.error(f"No api method `{methname}` could be found?") return - elif not kwargs: + + if not kwargs: # verify kwargs requirements are met sig = inspect.signature(meth) if sig.parameters: @@ -38,7 +45,10 @@ async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict: return await meth(**kwargs) -async def quote(brokermod: ModuleType, tickers: [str]) -> dict: +async def stocks_quote( + brokermod: ModuleType, + tickers: List[str] +) -> Dict[str, Dict[str, Any]]: """Return quotes dict for ``tickers``. """ async with brokermod.get_client() as client: @@ -74,7 +84,7 @@ async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: async def stream_quotes( brokermod: ModuleType, get_quotes: Coroutine, - tickers2chans: {str: tractor.Channel}, + tickers2chans: Dict[str, tractor.Channel], rate: int = 5, # delay between quote requests diff_cached: bool = True, # only deliver "new" quotes to the queue cid: str = None, @@ -82,8 +92,8 @@ async def stream_quotes( """Stream quotes for a sequence of tickers at the given ``rate`` per second. - A broker-client ``quoter`` async context manager must be provided which - returns an async quote function. + A stock-broker client ``get_quotes()`` async context manager must be + provided which returns an async quote retrieval function. """ broker_limit = getattr(brokermod, '_rate_limit', float('inf')) if broker_limit < rate: @@ -133,7 +143,7 @@ async def stream_quotes( {'yield': {}, 'cid': cid} )['yield'][symbol] = quote - # deliver to each subscriber + # deliver to each subscriber (fan out) if chan_payloads: for chan, payload in chan_payloads.items(): try: @@ -147,6 +157,7 @@ async def stream_quotes( for chanset in tickers2chans.values(): chanset.discard((chan, cid)) + # latency monitoring req_time = round(postquote_start - prequote_start, 3) proc_time = round(time.time() - postquote_start, 3) tot = req_time + proc_time @@ -164,8 +175,7 @@ async def stream_quotes( async def get_cached_client(broker, tickers): - """Get the current actor's cached broker client if available or create a - new one. + """Get or create the current actor's cached broker client. """ # check if a cached client is in the local actor's statespace clients = tractor.current_actor().statespace.setdefault('clients', {}) @@ -232,6 +242,8 @@ async def smoke_quote(get_quotes, tickers, broker): def modify_quote_stream(broker, tickers, chan=None, cid=None): """Absolute symbol subscription list for each quote stream. + + Effectively a consumer subscription api. """ log.info(f"{chan} changed symbol subscription to {tickers}") ss = tractor.current_actor().statespace @@ -261,7 +273,8 @@ async def start_quote_stream( chan: tractor.Channel = None, cid: str = None, ) -> None: - """Handle per-broker quote stream subscriptions. + """Handle per-broker quote stream subscriptions using a "lazy" pub-sub + pattern. Spawns new quoter tasks for each broker backend on-demand. Since most brokers seems to support batch quote requests we @@ -286,7 +299,7 @@ async def start_quote_stream( log.info(f"Subscribing with existing `{broker}` daemon") tickers2chans = broker2tickersubs[broker] - # do a smoke quote (not this mutates the input list and filters out bad + # do a smoke quote (note this mutates the input list and filters out bad # symbols for now) payload = await smoke_quote(get_quotes, tickers, broker) # push initial smoke quote response for client initialization @@ -296,11 +309,9 @@ async def start_quote_stream( modify_quote_stream(broker, tickers, chan=chan, cid=cid) try: - if broker not in dtasks: # no quoter task yet - # task should begin on the next checkpoint/iteration - # with trio.open_cancel_scope(shield=True): + if broker not in dtasks: + # no quoter task yet so start a daemon task log.info(f"Spawning quoter task for {brokermod.name}") - # await actor._root_nursery.start(partial( async with trio.open_nursery() as nursery: nursery.start_soon(partial( stream_quotes, brokermod, get_quotes, tickers2chans, @@ -325,21 +336,3 @@ async def start_quote_stream( log.info(f"No more subscriptions for {broker}") broker2tickersubs.pop(broker, None) dtasks.discard(broker) - - -async def _test_price_stream(broker, symbols, *, chan=None, cid=None): - """Test function for initial tractor draft. - """ - brokermod = get_brokermod(broker) - client_cntxmng = brokermod.get_client() - client = await client_cntxmng.__aenter__() - get_quotes = await brokermod.quoter(client, symbols) - log.info(f"Spawning quoter task for {brokermod.name}") - assert chan - tickers2chans = {}.fromkeys(symbols, {(chan, cid), }) - - async with trio.open_nursery() as nursery: - nursery.start_soon( - partial( - stream_quotes, brokermod, get_quotes, tickers2chans, cid=cid) - ) diff --git a/piker/cli.py b/piker/cli.py index 717d2ef6..74bd1d69 100644 --- a/piker/cli.py +++ b/piker/cli.py @@ -90,7 +90,7 @@ def api(meth, kwargs, loglevel, broker, keys): help='Broker backend to use') @click.option('--loglevel', '-l', default='warning', help='Logging level') @click.option('--df-output', '-df', flag_value=True, - help='Ouput in `pandas.DataFrame` format') + help='Output in `pandas.DataFrame` format') @click.argument('tickers', nargs=-1, required=True) def quote(loglevel, broker, tickers, df_output): """Retreive symbol quotes on the console in either json or dataframe @@ -98,7 +98,7 @@ def quote(loglevel, broker, tickers, df_output): """ brokermod = get_brokermod(broker) get_console_log(loglevel) - quotes = trio.run(partial(core.quote, brokermod, tickers)) + quotes = trio.run(partial(core.stocks_quote, brokermod, tickers)) if not quotes: log.error(f"No quotes could be found for {tickers}?") return From 773457ac91756c4f464d5aff2157477675271c23 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:45:51 -0500 Subject: [PATCH 08/28] Drop stale import --- tests/test_watchlists.py | 1 - 1 file changed, 1 deletion(-) diff --git a/tests/test_watchlists.py b/tests/test_watchlists.py index 31511034..f35ee9d4 100644 --- a/tests/test_watchlists.py +++ b/tests/test_watchlists.py @@ -1,7 +1,6 @@ """ Watchlists testing. """ -import json import pytest import tempfile import os.path From ab8008ad6137dc1fa93b6515db84dc609eda8b02 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 21:59:41 -0500 Subject: [PATCH 09/28] Repair quote streaming test --- tests/test_tractor.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/tests/test_tractor.py b/tests/test_tractor.py index 3ea0614d..83e087a3 100644 --- a/tests/test_tractor.py +++ b/tests/test_tractor.py @@ -17,7 +17,7 @@ async def rx_price_quotes_from_brokerd(us_symbols): 'brokerd', rpc_module_paths=['piker.brokers.core'], statespace={ - 'brokers2tickersubs': {}, + 'broker2tickersubs': {}, 'clients': {}, 'dtasks': set() }, @@ -31,9 +31,9 @@ async def rx_price_quotes_from_brokerd(us_symbols): gen = await portal.run( 'piker.brokers.core', - '_test_price_stream', + 'start_quote_stream', broker='robinhood', - symbols=us_symbols, + tickers=us_symbols, ) # it'd sure be nice to have an asyncitertools here... async for quotes in gen: From 94012b05c38153f34ce8f7822d649c06ec8093c5 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Sun, 11 Nov 2018 23:08:01 -0500 Subject: [PATCH 10/28] Screw it; go 3.7 for ``datetime.fromisoformat()`` --- .travis.yml | 12 ++++++------ setup.py | 2 +- 2 files changed, 7 insertions(+), 7 deletions(-) diff --git a/.travis.yml b/.travis.yml index 9dc836dc..0f6967bd 100644 --- a/.travis.yml +++ b/.travis.yml @@ -1,10 +1,10 @@ language: python -python: - - '3.6' - # setup.py reading README breaks this? - # - pypy - # no pandas support - # - nightly + +matrix: + include: + - python: 3.7 + dist: xenial + sudo: required before_install: - sudo apt-get -qq update diff --git a/setup.py b/setup.py index 3ba37c91..4a673a8c 100755 --- a/setup.py +++ b/setup.py @@ -43,7 +43,7 @@ setup( 'questrade': ['asks'], }, tests_require=['pytest'], - python_requires=">=3.6", + python_requires=">=3.7", # literally for ``datetime.datetime.fromisoformat``... keywords=["async", "trading", "finance", "quant", "charting"], classifiers=[ 'Development Status :: 3 - Alpha', From f8d619b1836d43f333936fd89485c5af4ca2cf5d Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Mon, 12 Nov 2018 00:29:43 -0500 Subject: [PATCH 11/28] Go GPLv3 --- LICENSE | 674 ++++++++++++++++++++++++++++++++++++++++++++++ piker/__init__.py | 16 +- setup.py | 21 +- 3 files changed, 705 insertions(+), 6 deletions(-) create mode 100644 LICENSE diff --git a/LICENSE b/LICENSE new file mode 100644 index 00000000..94a9ed02 --- /dev/null +++ b/LICENSE @@ -0,0 +1,674 @@ + GNU GENERAL PUBLIC LICENSE + Version 3, 29 June 2007 + + Copyright (C) 2007 Free Software Foundation, Inc. + Everyone is permitted to copy and distribute verbatim copies + of this license document, but changing it is not allowed. + + Preamble + + The GNU General Public License is a free, copyleft license for +software and other kinds of works. + + The licenses for most software and other practical works are designed +to take away your freedom to share and change the works. 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It is safest +to attach them to the start of each source file to most effectively +state the exclusion of warranty; and each file should have at least +the "copyright" line and a pointer to where the full notice is found. + + + Copyright (C) + + This program is free software: you can redistribute it and/or modify + it under the terms of the GNU 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 General Public License for more details. + + You should have received a copy of the GNU General Public License + along with this program. If not, see . + +Also add information on how to contact you by electronic and paper mail. + + If the program does terminal interaction, make it output a short +notice like this when it starts in an interactive mode: + + Copyright (C) + This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. + This is free software, and you are welcome to redistribute it + under certain conditions; type `show c' for details. + +The hypothetical commands `show w' and `show c' should show the appropriate +parts of the General Public License. Of course, your program's commands +might be different; for a GUI interface, you would use an "about box". + + You should also get your employer (if you work as a programmer) or school, +if any, to sign a "copyright disclaimer" for the program, if necessary. +For more information on this, and how to apply and follow the GNU GPL, see +. + + The GNU General Public License does not permit incorporating your program +into proprietary programs. If your program is a subroutine library, you +may consider it more useful to permit linking proprietary applications with +the library. If this is what you want to do, use the GNU Lesser General +Public License instead of this License. But first, please read +. diff --git a/piker/__init__.py b/piker/__init__.py index ac6e86e3..157cacd8 100644 --- a/piker/__init__.py +++ b/piker/__init__.py @@ -1,3 +1,17 @@ +# Copyright 2018 Tyler Goodlet + +# This program is free software: you can redistribute it and/or modify +# it under the terms of the GNU 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 General Public License for more details. + +# You should have received a copy of the GNU General Public License +# along with this program. If not, see . """ -piker: trading toolz for hackerz. +piker: destroy all suits """ diff --git a/setup.py b/setup.py index 4a673a8c..ac34c9c1 100755 --- a/setup.py +++ b/setup.py @@ -1,10 +1,21 @@ #!/usr/bin/env python -# + +# piker: destroy all suits # Copyright 2018 Tyler Goodlet -# -# This Source Code Form is subject to the terms of the Mozilla Public -# License, v. 2.0. If a copy of the MPL was not distributed with this -# file, You can obtain one at http://mozilla.org/MPL/2.0/. + +# This program is free software: you can redistribute it and/or modify +# it under the terms of the GNU 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 General Public License for more details. + +# You should have received a copy of the GNU General Public License +# along with this program. If not, see . + from setuptools import setup with open('README.rst', encoding='utf-8') as f: From 368f21d8d6a37f335265a2089926d467ef41ce48 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Mon, 12 Nov 2018 00:30:55 -0500 Subject: [PATCH 12/28] Update Pipfiles --- Pipfile | 2 +- Pipfile.lock | 388 ++++++++++++++++++++++++++------------------------- 2 files changed, 197 insertions(+), 193 deletions(-) diff --git a/Pipfile b/Pipfile index f061f1d3..47bf04bd 100644 --- a/Pipfile +++ b/Pipfile @@ -8,7 +8,7 @@ name = "pypi" Cython = "*" # matham's next-gen async port of kivy Kivy = {git = "git://github.com/matham/kivy.git", ref = "async-loop"} -tractor = {git = "git://github.com/tgoodlet/tractor.git", ref = "master"} +tractor = {git = "git://github.com/tgoodlet/tractor.git"} pdbpp = "*" msgpack = "*" trio = "*" diff --git a/Pipfile.lock b/Pipfile.lock index c6dc94f0..19afd44b 100644 --- a/Pipfile.lock +++ b/Pipfile.lock @@ -1,7 +1,7 @@ { "_meta": { "hash": { - "sha256": "336e710094a9a95325fc8b1c952ae1080c574fff3909d817a731b82d2af890d6" + "sha256": "775dc298007b9ceedd0a9d2e3b4b5b9cb5d11d5db3ed0700e30ed1e646459e45" }, "pipfile-spec": 6, "requires": {}, @@ -16,32 +16,30 @@ "default": { "asks": { "hashes": [ - "sha256:c3fc1115dfeb414ef0863da6f60f02aea7487f92f76b645738774bf93e8577de" + "sha256:1679e5bd1dfa6c5d2220bdf2b8921c9c0d063d08370a7c66b9e167113681406f" ], - "markers": "python_version >= '3.5.2'", - "version": "==2.0.0" + "version": "==2.2.0" }, "async-generator": { "hashes": [ "sha256:01c7bf666359b4967d2cda0000cc2e4af16a0ae098cbffcb8472fb9e8ad6585b", "sha256:6ebb3d106c12920aaae42ccb6f787ef5eefdcdd166ea3d628fa8476abe712144" ], - "markers": "python_version >= '3.5'", "version": "==1.10" }, "attrs": { "hashes": [ - "sha256:4b90b09eeeb9b88c35bc642cbac057e45a5fd85367b985bd2809c62b7b939265", - "sha256:e0d0eb91441a3b53dab4d9b743eafc1ac44476296a2053b6ca3af0b139faf87b" + "sha256:10cbf6e27dbce8c30807caf056c8eb50917e0eaafe86347671b57254006c3e69", + "sha256:ca4be454458f9dec299268d472aaa5a11f67a4ff70093396e1ceae9c76cf4bbb" ], - "version": "==18.1.0" + "version": "==18.2.0" }, "click": { "hashes": [ - "sha256:29f99fc6125fbc931b758dc053b3114e55c77a6e4c6c3a2674a2dc986016381d", - "sha256:f15516df478d5a56180fbf80e68f206010e6d160fc39fa508b65e035fd75130b" + "sha256:2335065e6395b9e67ca716de5f7526736bfa6ceead690adf616d925bdc622b13", + "sha256:5b94b49521f6456670fdb30cd82a4eca9412788a93fa6dd6df72c94d5a8ff2d7" ], - "version": "==6.7" + "version": "==7.0" }, "colorlog": { "hashes": [ @@ -52,38 +50,37 @@ }, "cython": { "hashes": [ - "sha256:022592d419fc754509d0e0461eb2958dbaa45fb60d51c8a61778c58994edbe36", - "sha256:07659f4c57582104d9486c071de512fbd7e087a3a630535298442cc0e20a3f5a", - "sha256:13c73e2ffa93a615851e03fad97591954d143b5b62361b9adef81f46a31cd8ef", - "sha256:13eab5a2835a84ff62db343035603044c908d2b3b6eec09d67fdf9970acf7ac9", - "sha256:183b35a48f58862c4ec1e821f07bb7b1156c8c8559c85c32ae086f28947474eb", - "sha256:2f526b0887128bf20ab2acc905a975f62b5a04ab2f63ecbe5a30fc28285d0e0c", - "sha256:32de8637f5e6c5a76667bc7c8fc644bd9314dc19af36db8ce30a0b92ada0f642", - "sha256:4172c183ef4fb2ace6a29cdf7fc9200c5a471a7f775ff691975b774bd9ed3ad2", - "sha256:553956ec06ecbd731ef0c538eb28a5b46bedea7ab89b18237ff28b4b99d65eee", - "sha256:660eeb6870687fd3eda91e00ba4e72220545c254c8c4d967fd0c910f4fbb8cbc", - "sha256:693a8619ef066ece055ed065a15cf440f9d3ebd1bca60e87ea19144833756433", - "sha256:759c799e9ef418f163b5412e295e14c0a48fe3b4dcba9ab8aab69e9f511cfefd", - 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"version": "==0.5.0" + "version": "==0.9.0" }, "wmctrl": { "hashes": [ From d145a5a219f8a0b68281c7e6b76d0f4b58a68ee3 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 12:57:21 -0500 Subject: [PATCH 13/28] Rejig option chain schema to capture all contracts --- piker/brokers/core.py | 11 +++++++++ piker/brokers/questrade.py | 47 ++++++++++++++++++++++---------------- 2 files changed, 38 insertions(+), 20 deletions(-) diff --git a/piker/brokers/core.py b/piker/brokers/core.py index f10524f5..efc6461a 100644 --- a/piker/brokers/core.py +++ b/piker/brokers/core.py @@ -60,6 +60,17 @@ async def stocks_quote( return results +async def option_chain( + brokermod: ModuleType, + symbol: str, +) -> Dict[str, Dict[str, Dict[str, Any]]]: + """Return option chain (all expiries) for ``symbol``. + """ + async with brokermod.get_client() as client: + return await client.option_chains( + await client.get_contracts([symbol])) + + async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: """Wait until the network comes back up. """ diff --git a/piker/brokers/questrade.py b/piker/brokers/questrade.py index 2ea0de8f..08b164d6 100644 --- a/piker/brokers/questrade.py +++ b/piker/brokers/questrade.py @@ -78,8 +78,7 @@ class _API: async def option_quotes( self, - ids: List[int], - expiry: str, + contracts: Dict[int, Dict[str, dict]], option_ids: List[int] = [], # if you don't want them all ) -> dict: "Retrieve option chain quotes for all option ids or by filter(s)." @@ -87,14 +86,17 @@ class _API: { "underlyingId": int(symbol_id), "expiryDate": str(expiry), - } for symbol_id in ids + } + # every expiry per symbol id + for symbol_id, expiries in contracts.items() + for expiry in expiries ] resp = await self._sess.post( path=f'/markets/quotes/options', json={'filters': filters, 'optionIds': option_ids} ) - return resproc(resp, log) + return resproc(resp, log)['optionQuotes'] class Client: @@ -263,37 +265,41 @@ class Client: item for item in contracts } - async def max_contract_expiry( + async def get_contracts( self, symbols: List[str] - ) -> Tuple[List[int], datetime]: + # {symbol_id: {dt_iso_contract: {strike_price: {contract_id: id}}}} + ) -> Dict[int, Dict[str, Dict[int, Any]]]: """Look up all contracts for each symbol in ``symbols`` and return the - list of symbol ids as well as the maximum possible option contract - expiry out of the bunch. + of symbol ids to contracts by further organized by expiry and strike + price. This routine is a bit slow doing all the contract lookups (a request per symbol) and thus the return values should be cached for use with ``option_chains()``. """ - batch = {} + by_id = {} for symbol in symbols: id, contracts = await self.option_contracts(symbol) - batch[id] = max(contracts) - - return tuple(batch.keys()), max(batch.values()) + by_id[id] = { + dt.isoformat(timespec='microseconds'): { + item['strikePrice']: item for item in + byroot['chainPerRoot'][0]['chainPerStrikePrice'] + } + for dt, byroot in sorted( + # sort by datetime + contracts.items(), key=lambda item: item[0] + ) + } + return by_id async def option_chains( self, - symbol_ids: List[int], - max_expiry: str # iso format datetime (microseconds) + contracts: dict, # see ``get_contracts()`` ) -> Dict[str, Dict[str, Dict[str, Any]]]: """Return option chain snap quote for each ticker in ``symbols``. """ - quotes = (await self.api.option_quotes( - ids=symbol_ids, - expiry=max_expiry.isoformat(timespec='microseconds') - ))['optionQuotes'] - + quotes = await self.api.option_quotes(contracts) batch = {} for quote in quotes: batch.setdefault(quote['underlying'], {})[quote['symbol']] = quote @@ -416,6 +422,7 @@ async def quoter(client: Client, tickers: List[str]): # `client.ensure_access()` locally thus blocking until # the user provides an API key on the "client side" await client.ensure_access(force_refresh=True) + quotes_resp = await client.api.quotes(ids=ids) else: raise @@ -449,7 +456,6 @@ _qt_keys = { 'askPrice': 'ask', 'bidPrice': 'bid', 'lastTradeSize': 'size', - 'lastTradeTime': ('time', datetime.fromisoformat), 'bidSize': 'bsize', 'askSize': 'asize', 'VWAP': ('VWAP', partial(round, ndigits=3)), @@ -463,6 +469,7 @@ _qt_keys = { # 'low52w': 'low52w', # put in info widget # 'high52w': 'high52w', # "lastTradePriceTrHrs": 7.99, + # 'lastTradeTime': ('time', datetime.fromisoformat), # "lastTradeTick": "Equal", # "symbolId": 3575753, # "tier": "", From 36cf68dc0f9f25cbba2339383d748e59dc6225f0 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 12:57:46 -0500 Subject: [PATCH 14/28] Update tests to match --- tests/test_questrade.py | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/tests/test_questrade.py b/tests/test_questrade.py index 15f83c14..fe5a7996 100644 --- a/tests/test_questrade.py +++ b/tests/test_questrade.py @@ -111,7 +111,6 @@ async def test_option_contracts(tmx_symbols): id, contracts = await client.option_contracts(symbol) assert isinstance(id, int) assert isinstance(contracts, dict) - ordered = sorted(contracts) for dt in contracts: assert dt.isoformat( timespec='microseconds') == contracts[dt]['expiryDate'] @@ -123,9 +122,9 @@ async def test_option_chain(tmx_symbols): """ async with qt.get_client() as client: # contract lookup - should be cached - ids, max_expiry = await client.max_contract_expiry(tmx_symbols) + contracts = await client.get_contracts(tmx_symbols) # chains quote for all symbols - quotes = await client.option_chains(ids, max_expiry) + quotes = await client.option_chains(contracts) for key in tmx_symbols: contracts = quotes.pop(key) for key, quote in contracts.items(): From 19ea7bd7aa18c2b0ad8849e2d5f2bfcbd0a82af1 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 12:58:05 -0500 Subject: [PATCH 15/28] Add option-chain cmd --- piker/cli.py | 30 ++++++++++++++++++++++++++++++ 1 file changed, 30 insertions(+) diff --git a/piker/cli.py b/piker/cli.py index 74bd1d69..0f8b5264 100644 --- a/piker/cli.py +++ b/piker/cli.py @@ -116,6 +116,36 @@ def quote(loglevel, broker, tickers, df_output): click.echo(colorize_json(quotes)) +@cli.command() +@click.option('--broker', '-b', default=DEFAULT_BROKER, + help='Broker backend to use') +@click.option('--loglevel', '-l', default='warning', help='Logging level') +@click.option('--df-output', '-df', flag_value=True, + help='Output in `pandas.DataFrame` format') +@click.argument('symbol', required=True) +def option_chain(loglevel, broker, symbol, df_output): + """Retreive symbol quotes on the console in either json or dataframe + format. + """ + brokermod = get_brokermod(broker) + get_console_log(loglevel) + quotes = trio.run(partial(core.option_chain, brokermod, symbol))[symbol] + if not quotes: + log.error(f"No quotes could be found for {tickers}?") + return + + if df_output: + cols = next(filter(bool, quotes.values())).copy() + df = pd.DataFrame( + (quote.values() for contract, quote in quotes.items()), + index=quotes.keys(), + columns=cols.keys(), + ) + click.echo(df) + else: + click.echo(colorize_json(quotes)) + + @cli.command() @click.option('--broker', '-b', default=DEFAULT_BROKER, help='Broker backend to use') From 5961e458cf83dc9f88828923079036ae71df3a19 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 13:23:05 -0500 Subject: [PATCH 16/28] Add a option quote latency test --- tests/test_questrade.py | 29 +++++++++++++++++++++++++++++ 1 file changed, 29 insertions(+) diff --git a/tests/test_questrade.py b/tests/test_questrade.py index fe5a7996..ff60a06c 100644 --- a/tests/test_questrade.py +++ b/tests/test_questrade.py @@ -1,6 +1,9 @@ """ Questrade broker testing """ +import time + +import trio from trio.testing import trio_test from piker.brokers import questrade as qt @@ -133,3 +136,29 @@ async def test_option_chain(tmx_symbols): assert not quote # chains for each symbol were retreived assert not quotes + + +@trio_test +async def test_option_quote_latency(tmx_symbols): + """Audit option quote latencies. + """ + async with qt.get_client() as client: + # all contracts lookup - should be cached + contracts = await client.get_contracts(['WEED.TO']) + + # build single expriry contract + id, by_expiry = next(iter(contracts.items())) + dt, by_strike = next(iter(by_expiry.items())) + single = {id: {dt: by_strike}} + + for expected_latency, contract in [ + (2, contracts), (0.5, single) + ]: + for _ in range(10): + # chains quote for all symbols + start = time.time() + quotes = await client.option_chains(contract) + took = time.time() - start + print(f"Request took {took}") + assert took <= expected_latency + await trio.sleep(0.1) From 6a66b056c81f08469541bdc792610a5c9c9648f1 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 18:41:40 -0500 Subject: [PATCH 17/28] Compact the look a bit --- piker/ui/monitor.py | 16 +++++++++++----- 1 file changed, 11 insertions(+), 5 deletions(-) diff --git a/piker/ui/monitor.py b/piker/ui/monitor.py index 55b5923a..cc1fc2a8 100644 --- a/piker/ui/monitor.py +++ b/piker/ui/monitor.py @@ -41,7 +41,7 @@ def colorcode(name): return _colors[name if name else 'gray'] -_bs = 3 # border size +_bs = 4 # border size _color = [0.13]*3 # nice shade of gray _kv = (f''' #:kivy 1.10.0 @@ -74,7 +74,7 @@ _kv = (f''' spacing: '{_bs}dp' row_force_default: True - row_default_height: 75 + row_default_height: 63 cols: 1 @@ -143,7 +143,7 @@ class BidAskLayout(StackLayout): cell_type = HeaderCell if header else Cell top_size = cell_type().font_size small_size = top_size - 2 - top_prop = 0.7 # proportion of size used by top cell + top_prop = 0.55 # proportion of size used by top cell bottom_prop = 1 - top_prop for (key, size_hint, font_size), value in zip( [('last', (1, top_prop), top_size), @@ -175,6 +175,7 @@ class BidAskLayout(StackLayout): @row.setter def row(self, row): + # so hideous for cell in self.cells: cell.row = row @@ -338,7 +339,11 @@ async def update_quotes( else: color = colorcode('gray') + # row header and % cell color chngcell.color = hdrcell.color = color + # bgcolor = color.copy() + # bgcolor[-1] = 0.25 + # chngcell.background_color = bgcolor # if the cell has been "highlighted" make sure to change its color if hdrcell.background_color != [0]*4: @@ -356,9 +361,10 @@ async def update_quotes( color_row(row, record) cache[sym] = (record, row) + # render all rows once up front grid.render_rows(cache) - # core cell update loop + # real-time cell update loop async for quotes in agen: # new quotes data only for symbol, quote in quotes.items(): record, displayable = brokermod.format_quote( @@ -378,7 +384,7 @@ async def update_quotes( async def _async_main(name, portal, tickers, brokermod, rate): '''Launch kivy app + all other related tasks. - This is started with cli command `piker watch`. + This is started with cli cmd `piker monitor`. ''' # subscribe for tickers (this performs a possible filtering # where invalid symbols are discarded) From 0c3bfb9e9e79ca416ce2860a6bdd5ed642b43fa6 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 18:41:58 -0500 Subject: [PATCH 18/28] Stack the mktcap + volumes --- piker/brokers/questrade.py | 3 +++ 1 file changed, 3 insertions(+) diff --git a/piker/brokers/questrade.py b/piker/brokers/questrade.py index 08b164d6..dea7b1ef 100644 --- a/piker/brokers/questrade.py +++ b/piker/brokers/questrade.py @@ -477,10 +477,13 @@ _qt_keys = { # 'delay': 'delay', # as subscript 'p' } +# BidAskLayout columns which will contain three cells the first stacked on top +# of the other 2 _bidasks = { 'last': ['bid', 'ask'], 'size': ['bsize', 'asize'], 'VWAP': ['low', 'high'], + 'mktcap': ['vol', '$ vol'], } From 31c69a5faed18ede81a7cf066e11fda09d6470d0 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Tue, 13 Nov 2018 18:42:34 -0500 Subject: [PATCH 19/28] Allow specifying number of displayed digits --- piker/calc.py | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) diff --git a/piker/calc.py b/piker/calc.py index c4847696..679e2782 100644 --- a/piker/calc.py +++ b/piker/calc.py @@ -5,7 +5,7 @@ import math import itertools -def humanize(number): +def humanize(number, digits=1): """Convert large numbers to something with at most 3 digits and a letter suffix (eg. k: thousand, M: million, B: billion). """ @@ -20,7 +20,8 @@ def humanize(number): if mag < 3: return number maxmag = max(itertools.takewhile(lambda key: mag >= key, mag2suffix)) - return "{:.2f}{}".format(number/10**maxmag, mag2suffix[maxmag]) + return "{:.{digits}f}{}".format( + number/10**maxmag, mag2suffix[maxmag], digits=digits) def percent_change(init, new): From 8fe0c40dde18eb728def76770b54be145a2b50db Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Wed, 14 Nov 2018 22:58:12 -0500 Subject: [PATCH 20/28] Move data feed machinery to separate module --- piker/brokers/core.py | 289 +---------------------------------------- piker/brokers/data.py | 295 ++++++++++++++++++++++++++++++++++++++++++ piker/cli.py | 8 +- 3 files changed, 301 insertions(+), 291 deletions(-) create mode 100644 piker/brokers/data.py diff --git a/piker/brokers/core.py b/piker/brokers/core.py index efc6461a..81141a51 100644 --- a/piker/brokers/core.py +++ b/piker/brokers/core.py @@ -1,18 +1,11 @@ """ Core broker-daemon tasks and API. """ -import time import inspect -from functools import partial -import socket from types import ModuleType -from typing import Coroutine, Callable, List, Dict, Any +from typing import List, Dict, Any -import trio -import tractor - -from ..log import get_logger, get_console_log -from . import get_brokermod +from ..log import get_logger log = get_logger('broker.core') @@ -69,281 +62,3 @@ async def option_chain( async with brokermod.get_client() as client: return await client.option_chains( await client.get_contracts([symbol])) - - -async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: - """Wait until the network comes back up. - """ - down = False - while True: - try: - with trio.move_on_after(1) as cancel_scope: - quotes = await net_func() - if down: - log.warn("Network is back up") - return quotes - if cancel_scope.cancelled_caught: - log.warn("Quote query timed out") - continue - except socket.gaierror: - if not down: # only report/log network down once - log.warn(f"Network is down waiting for re-establishment...") - down = True - await trio.sleep(sleep) - - -async def stream_quotes( - brokermod: ModuleType, - get_quotes: Coroutine, - tickers2chans: Dict[str, tractor.Channel], - rate: int = 5, # delay between quote requests - diff_cached: bool = True, # only deliver "new" quotes to the queue - cid: str = None, -) -> None: - """Stream quotes for a sequence of tickers at the given ``rate`` - per second. - - A stock-broker client ``get_quotes()`` async context manager must be - provided which returns an async quote retrieval function. - """ - broker_limit = getattr(brokermod, '_rate_limit', float('inf')) - if broker_limit < rate: - rate = broker_limit - log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec") - - sleeptime = round(1. / rate, 3) - _cache = {} # ticker to quote caching - - while True: # use an event here to trigger exit? - prequote_start = time.time() - - if not any(tickers2chans.values()): - log.warn(f"No subs left for broker {brokermod.name}, exiting task") - break - - tickers = list(tickers2chans.keys()) - with trio.move_on_after(3) as cancel_scope: - quotes = await get_quotes(tickers) - - cancelled = cancel_scope.cancelled_caught - if cancelled: - log.warn("Quote query timed out after 3 seconds, retrying...") - # handle network outages by idling until response is received - quotes = await wait_for_network(partial(get_quotes, tickers)) - - postquote_start = time.time() - chan_payloads = {} - for symbol, quote in quotes.items(): - if diff_cached: - # if cache is enabled then only deliver "new" changes - last = _cache.setdefault(symbol, {}) - new = set(quote.items()) - set(last.items()) - if new: - log.info( - f"New quote {quote['symbol']}:\n{new}") - _cache[symbol] = quote - for chan, cid in tickers2chans.get(symbol, set()): - chan_payloads.setdefault( - chan, - {'yield': {}, 'cid': cid} - )['yield'][symbol] = quote - else: - for chan, cid in tickers2chans[symbol]: - chan_payloads.setdefault( - chan, - {'yield': {}, 'cid': cid} - )['yield'][symbol] = quote - - # deliver to each subscriber (fan out) - if chan_payloads: - for chan, payload in chan_payloads.items(): - try: - await chan.send(payload) - except ( - # That's right, anything you can think of... - trio.ClosedStreamError, ConnectionResetError, - ConnectionRefusedError, - ): - log.warn(f"{chan} went down?") - for chanset in tickers2chans.values(): - chanset.discard((chan, cid)) - - # latency monitoring - req_time = round(postquote_start - prequote_start, 3) - proc_time = round(time.time() - postquote_start, 3) - tot = req_time + proc_time - log.debug(f"Request + processing took {tot}") - delay = sleeptime - tot - if delay <= 0: - log.warn( - f"Took {req_time} (request) + {proc_time} (processing) " - f"= {tot} secs (> {sleeptime}) for processing quotes?") - else: - log.debug(f"Sleeping for {delay}") - await trio.sleep(delay) - - log.info(f"Terminating stream quoter task for {brokermod.name}") - - -async def get_cached_client(broker, tickers): - """Get or create the current actor's cached broker client. - """ - # check if a cached client is in the local actor's statespace - clients = tractor.current_actor().statespace.setdefault('clients', {}) - try: - return clients[broker] - except KeyError: - log.info(f"Creating new client for broker {broker}") - brokermod = get_brokermod(broker) - # TODO: move to AsyncExitStack in 3.7 - client_cntxmng = brokermod.get_client() - client = await client_cntxmng.__aenter__() - get_quotes = await brokermod.quoter(client, tickers) - clients[broker] = ( - brokermod, client, client_cntxmng, get_quotes) - - return brokermod, client, client_cntxmng, get_quotes - - -async def symbol_data(broker, tickers): - """Retrieve baseline symbol info from broker. - """ - _, client, _, get_quotes = await get_cached_client(broker, tickers) - return await client.symbol_data(tickers) - - -async def smoke_quote(get_quotes, tickers, broker): - """Do an initial "smoke" request for symbols in ``tickers`` filtering - out any symbols not supported by the broker queried in the call to - ``get_quotes()``. - """ - # TODO: trim out with #37 - ################################################# - # get a single quote filtering out any bad tickers - # NOTE: this code is always run for every new client - # subscription even when a broker quoter task is already running - # since the new client needs to know what symbols are accepted - log.warn(f"Retrieving smoke quote for symbols {tickers}") - quotes = await get_quotes(tickers) - # report any tickers that aren't returned in the first quote - invalid_tickers = set(tickers) - set(quotes) - for symbol in invalid_tickers: - tickers.remove(symbol) - log.warn( - f"Symbol `{symbol}` not found by broker `{broker}`" - ) - - # pop any tickers that return "empty" quotes - payload = {} - for symbol, quote in quotes.items(): - if quote is None: - log.warn( - f"Symbol `{symbol}` not found by broker" - f" `{broker}`") - # XXX: not this mutates the input list (for now) - tickers.remove(symbol) - continue - payload[symbol] = quote - - return payload - - # end of section to be trimmed out with #37 - ########################################### - - -def modify_quote_stream(broker, tickers, chan=None, cid=None): - """Absolute symbol subscription list for each quote stream. - - Effectively a consumer subscription api. - """ - log.info(f"{chan} changed symbol subscription to {tickers}") - ss = tractor.current_actor().statespace - broker2tickersubs = ss['broker2tickersubs'] - tickers2chans = broker2tickersubs.get(broker) - # update map from each symbol to requesting client's chan - for ticker in tickers: - tickers2chans.setdefault(ticker, set()).add((chan, cid)) - - for ticker in filter( - lambda ticker: ticker not in tickers, tickers2chans.copy() - ): - chanset = tickers2chans.get(ticker) - # XXX: cid will be different on unsub call - for item in chanset.copy(): - if chan in item: - chanset.discard(item) - - if not chanset: - # pop empty sets which will trigger bg quoter task termination - tickers2chans.pop(ticker) - - -async def start_quote_stream( - broker: str, - tickers: [str], - chan: tractor.Channel = None, - cid: str = None, -) -> None: - """Handle per-broker quote stream subscriptions using a "lazy" pub-sub - pattern. - - Spawns new quoter tasks for each broker backend on-demand. - Since most brokers seems to support batch quote requests we - limit to one task per process for now. - """ - actor = tractor.current_actor() - # set log level after fork - get_console_log(actor.loglevel) - # pull global vars from local actor - ss = actor.statespace - broker2tickersubs = ss['broker2tickersubs'] - clients = ss['clients'] - dtasks = ss['dtasks'] - tickers = list(tickers) - log.info( - f"{chan.uid} subscribed to {broker} for tickers {tickers}") - - brokermod, client, _, get_quotes = await get_cached_client(broker, tickers) - if broker not in broker2tickersubs: - tickers2chans = broker2tickersubs.setdefault(broker, {}) - else: - log.info(f"Subscribing with existing `{broker}` daemon") - tickers2chans = broker2tickersubs[broker] - - # do a smoke quote (note this mutates the input list and filters out bad - # symbols for now) - payload = await smoke_quote(get_quotes, tickers, broker) - # push initial smoke quote response for client initialization - await chan.send({'yield': payload, 'cid': cid}) - - # update map from each symbol to requesting client's chan - modify_quote_stream(broker, tickers, chan=chan, cid=cid) - - try: - if broker not in dtasks: - # no quoter task yet so start a daemon task - log.info(f"Spawning quoter task for {brokermod.name}") - async with trio.open_nursery() as nursery: - nursery.start_soon(partial( - stream_quotes, brokermod, get_quotes, tickers2chans, - cid=cid) - ) - dtasks.add(broker) - - # unblocks when no more symbols subscriptions exist and the - # quote streamer task terminates (usually because another call - # was made to `modify_quoter` to unsubscribe from streaming - # symbols) - log.info(f"Terminated quoter task for {brokermod.name}") - - # TODO: move to AsyncExitStack in 3.7 - for _, _, cntxmng, _ in clients.values(): - # FIXME: yes I know there's no error handling.. - await cntxmng.__aexit__(None, None, None) - finally: - # if there are truly no more subscriptions with this broker - # drop from broker subs dict - if not any(tickers2chans.values()): - log.info(f"No more subscriptions for {broker}") - broker2tickersubs.pop(broker, None) - dtasks.discard(broker) diff --git a/piker/brokers/data.py b/piker/brokers/data.py new file mode 100644 index 00000000..5cf6abea --- /dev/null +++ b/piker/brokers/data.py @@ -0,0 +1,295 @@ +""" +Live data feed machinery +""" +import time +from functools import partial +import socket +from types import ModuleType +from typing import Coroutine, Callable, Dict + +import trio +import tractor + +from ..log import get_logger, get_console_log +from . import get_brokermod + + +log = get_logger('broker.core') + + +async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: + """Wait until the network comes back up. + """ + down = False + while True: + try: + with trio.move_on_after(1) as cancel_scope: + quotes = await net_func() + if down: + log.warn("Network is back up") + return quotes + if cancel_scope.cancelled_caught: + log.warn("Quote query timed out") + continue + except socket.gaierror: + if not down: # only report/log network down once + log.warn(f"Network is down waiting for re-establishment...") + down = True + await trio.sleep(sleep) + + +async def stream_quotes( + brokermod: ModuleType, + get_quotes: Coroutine, + tickers2chans: Dict[str, tractor.Channel], + rate: int = 5, # delay between quote requests + diff_cached: bool = True, # only deliver "new" quotes to the queue + cid: str = None, +) -> None: + """Stream quotes for a sequence of tickers at the given ``rate`` + per second. + + A stock-broker client ``get_quotes()`` async context manager must be + provided which returns an async quote retrieval function. + """ + broker_limit = getattr(brokermod, '_rate_limit', float('inf')) + if broker_limit < rate: + rate = broker_limit + log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec") + + sleeptime = round(1. / rate, 3) + _cache = {} # ticker to quote caching + + while True: # use an event here to trigger exit? + prequote_start = time.time() + + if not any(tickers2chans.values()): + log.warn(f"No subs left for broker {brokermod.name}, exiting task") + break + + tickers = list(tickers2chans.keys()) + with trio.move_on_after(3) as cancel_scope: + quotes = await get_quotes(tickers) + + cancelled = cancel_scope.cancelled_caught + if cancelled: + log.warn("Quote query timed out after 3 seconds, retrying...") + # handle network outages by idling until response is received + quotes = await wait_for_network(partial(get_quotes, tickers)) + + postquote_start = time.time() + chan_payloads = {} + for symbol, quote in quotes.items(): + if diff_cached: + # if cache is enabled then only deliver "new" changes + last = _cache.setdefault(symbol, {}) + new = set(quote.items()) - set(last.items()) + if new: + log.info( + f"New quote {quote['symbol']}:\n{new}") + _cache[symbol] = quote + for chan, cid in tickers2chans.get(symbol, set()): + chan_payloads.setdefault( + chan, + {'yield': {}, 'cid': cid} + )['yield'][symbol] = quote + else: + for chan, cid in tickers2chans[symbol]: + chan_payloads.setdefault( + chan, + {'yield': {}, 'cid': cid} + )['yield'][symbol] = quote + + # deliver to each subscriber (fan out) + if chan_payloads: + for chan, payload in chan_payloads.items(): + try: + await chan.send(payload) + except ( + # That's right, anything you can think of... + trio.ClosedStreamError, ConnectionResetError, + ConnectionRefusedError, + ): + log.warn(f"{chan} went down?") + for chanset in tickers2chans.values(): + chanset.discard((chan, cid)) + + # latency monitoring + req_time = round(postquote_start - prequote_start, 3) + proc_time = round(time.time() - postquote_start, 3) + tot = req_time + proc_time + log.debug(f"Request + processing took {tot}") + delay = sleeptime - tot + if delay <= 0: + log.warn( + f"Took {req_time} (request) + {proc_time} (processing) " + f"= {tot} secs (> {sleeptime}) for processing quotes?") + else: + log.debug(f"Sleeping for {delay}") + await trio.sleep(delay) + + log.info(f"Terminating stream quoter task for {brokermod.name}") + + +async def get_cached_client(broker, tickers): + """Get or create the current actor's cached broker client. + """ + # check if a cached client is in the local actor's statespace + clients = tractor.current_actor().statespace.setdefault('clients', {}) + try: + return clients[broker] + except KeyError: + log.info(f"Creating new client for broker {broker}") + brokermod = get_brokermod(broker) + # TODO: move to AsyncExitStack in 3.7 + client_cntxmng = brokermod.get_client() + client = await client_cntxmng.__aenter__() + get_quotes = await brokermod.quoter(client, tickers) + clients[broker] = ( + brokermod, client, client_cntxmng, get_quotes) + + return brokermod, client, client_cntxmng, get_quotes + + +async def symbol_data(broker, tickers): + """Retrieve baseline symbol info from broker. + """ + _, client, _, get_quotes = await get_cached_client(broker, tickers) + return await client.symbol_data(tickers) + + +async def smoke_quote(get_quotes, tickers, broker): + """Do an initial "smoke" request for symbols in ``tickers`` filtering + out any symbols not supported by the broker queried in the call to + ``get_quotes()``. + """ + # TODO: trim out with #37 + ################################################# + # get a single quote filtering out any bad tickers + # NOTE: this code is always run for every new client + # subscription even when a broker quoter task is already running + # since the new client needs to know what symbols are accepted + log.warn(f"Retrieving smoke quote for symbols {tickers}") + quotes = await get_quotes(tickers) + # report any tickers that aren't returned in the first quote + invalid_tickers = set(tickers) - set(quotes) + for symbol in invalid_tickers: + tickers.remove(symbol) + log.warn( + f"Symbol `{symbol}` not found by broker `{broker}`" + ) + + # pop any tickers that return "empty" quotes + payload = {} + for symbol, quote in quotes.items(): + if quote is None: + log.warn( + f"Symbol `{symbol}` not found by broker" + f" `{broker}`") + # XXX: not this mutates the input list (for now) + tickers.remove(symbol) + continue + payload[symbol] = quote + + return payload + + # end of section to be trimmed out with #37 + ########################################### + + +def modify_quote_stream(broker, tickers, chan=None, cid=None): + """Absolute symbol subscription list for each quote stream. + + Effectively a consumer subscription api. + """ + log.info(f"{chan} changed symbol subscription to {tickers}") + ss = tractor.current_actor().statespace + broker2tickersubs = ss['broker2tickersubs'] + tickers2chans = broker2tickersubs.get(broker) + # update map from each symbol to requesting client's chan + for ticker in tickers: + tickers2chans.setdefault(ticker, set()).add((chan, cid)) + + for ticker in filter( + lambda ticker: ticker not in tickers, tickers2chans.copy() + ): + chanset = tickers2chans.get(ticker) + # XXX: cid will be different on unsub call + for item in chanset.copy(): + if chan in item: + chanset.discard(item) + + if not chanset: + # pop empty sets which will trigger bg quoter task termination + tickers2chans.pop(ticker) + + +async def start_quote_stream( + broker: str, + tickers: [str], + chan: tractor.Channel = None, + cid: str = None, +) -> None: + """Handle per-broker quote stream subscriptions using a "lazy" pub-sub + pattern. + + Spawns new quoter tasks for each broker backend on-demand. + Since most brokers seems to support batch quote requests we + limit to one task per process for now. + """ + actor = tractor.current_actor() + # set log level after fork + get_console_log(actor.loglevel) + # pull global vars from local actor + ss = actor.statespace + broker2tickersubs = ss['broker2tickersubs'] + clients = ss['clients'] + dtasks = ss['dtasks'] + tickers = list(tickers) + log.info( + f"{chan.uid} subscribed to {broker} for tickers {tickers}") + + brokermod, client, _, get_quotes = await get_cached_client(broker, tickers) + if broker not in broker2tickersubs: + tickers2chans = broker2tickersubs.setdefault(broker, {}) + else: + log.info(f"Subscribing with existing `{broker}` daemon") + tickers2chans = broker2tickersubs[broker] + + # do a smoke quote (note this mutates the input list and filters out bad + # symbols for now) + payload = await smoke_quote(get_quotes, tickers, broker) + # push initial smoke quote response for client initialization + await chan.send({'yield': payload, 'cid': cid}) + + # update map from each symbol to requesting client's chan + modify_quote_stream(broker, tickers, chan=chan, cid=cid) + + try: + if broker not in dtasks: + # no quoter task yet so start a daemon task + log.info(f"Spawning quoter task for {brokermod.name}") + async with trio.open_nursery() as nursery: + nursery.start_soon(partial( + stream_quotes, brokermod, get_quotes, tickers2chans, + cid=cid) + ) + dtasks.add(broker) + + # unblocks when no more symbols subscriptions exist and the + # quote streamer task terminates (usually because another call + # was made to `modify_quoter` to unsubscribe from streaming + # symbols) + log.info(f"Terminated quoter task for {brokermod.name}") + + # TODO: move to AsyncExitStack in 3.7 + for _, _, cntxmng, _ in clients.values(): + # FIXME: yes I know there's no error handling.. + await cntxmng.__aexit__(None, None, None) + finally: + # if there are truly no more subscriptions with this broker + # drop from broker subs dict + if not any(tickers2chans.values()): + log.info(f"No more subscriptions for {broker}") + broker2tickersubs.pop(broker, None) + dtasks.discard(broker) diff --git a/piker/cli.py b/piker/cli.py index 0f8b5264..3c426d24 100644 --- a/piker/cli.py +++ b/piker/cli.py @@ -29,7 +29,7 @@ def pikerd(loglevel, host): """ get_console_log(loglevel) tractor.run_daemon( - rpc_module_paths=['piker.brokers.core'], + rpc_module_paths=['piker.brokers.data'], statespace={ 'broker2tickersubs': {}, 'clients': {}, @@ -123,7 +123,7 @@ def quote(loglevel, broker, tickers, df_output): @click.option('--df-output', '-df', flag_value=True, help='Output in `pandas.DataFrame` format') @click.argument('symbol', required=True) -def option_chain(loglevel, broker, symbol, df_output): +def option_chain_quote(loglevel, broker, symbol, df_output): """Retreive symbol quotes on the console in either json or dataframe format. """ @@ -131,7 +131,7 @@ def option_chain(loglevel, broker, symbol, df_output): get_console_log(loglevel) quotes = trio.run(partial(core.option_chain, brokermod, symbol))[symbol] if not quotes: - log.error(f"No quotes could be found for {tickers}?") + log.error(f"No quotes could be found for {symbol}?") return if df_output: @@ -181,7 +181,7 @@ def monitor(loglevel, broker, rate, name, dhost): 'clients': {}, 'dtasks': set(), }, - rpc_module_paths=['piker.brokers.core'], + rpc_module_paths=['piker.brokers.data'], loglevel=loglevel, ) From 247bcb48c039217f4c289e6ba20bdb9f0915c604 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 09:19:04 -0500 Subject: [PATCH 21/28] Tweak options query API method names --- piker/brokers/questrade.py | 33 +++++++++++++++++++-------------- 1 file changed, 19 insertions(+), 14 deletions(-) diff --git a/piker/brokers/questrade.py b/piker/brokers/questrade.py index dea7b1ef..0f8738a5 100644 --- a/piker/brokers/questrade.py +++ b/piker/brokers/questrade.py @@ -248,11 +248,11 @@ class Client: return quotes - async def option_contracts( + async def symbol2contracts( self, symbol: str ) -> Tuple[int, Dict[datetime, dict]]: - """Return option contract dat for the given symbol. + """Return option contract for the given symbol. The most useful part is the expiries which can be passed to the option chain endpoint but specifc contract ids can be pulled here as well. @@ -265,9 +265,9 @@ class Client: item for item in contracts } - async def get_contracts( + async def get_all_contracts( self, - symbols: List[str] + symbols: List[str], # {symbol_id: {dt_iso_contract: {strike_price: {contract_id: id}}}} ) -> Dict[int, Dict[str, Dict[int, Any]]]: """Look up all contracts for each symbol in ``symbols`` and return the @@ -280,29 +280,33 @@ class Client: """ by_id = {} for symbol in symbols: - id, contracts = await self.option_contracts(symbol) + id, contracts = await self.symbol2contracts(symbol) by_id[id] = { dt.isoformat(timespec='microseconds'): { item['strikePrice']: item for item in byroot['chainPerRoot'][0]['chainPerStrikePrice'] } - for dt, byroot in sorted( + for dt, byroot in sorted( # sort by datetime - contracts.items(), key=lambda item: item[0] + contracts.items(), + key=lambda item: item[0] ) } return by_id async def option_chains( self, - contracts: dict, # see ``get_contracts()`` + # see dict output from ``get_all_contracts()`` + contracts: dict, ) -> Dict[str, Dict[str, Dict[str, Any]]]: """Return option chain snap quote for each ticker in ``symbols``. """ quotes = await self.api.option_quotes(contracts) batch = {} for quote in quotes: - batch.setdefault(quote['underlying'], {})[quote['symbol']] = quote + batch.setdefault( + quote['underlying'], {} + )[quote['symbol']] = quote return batch @@ -373,7 +377,7 @@ async def get_client() -> Client: async def quoter(client: Client, tickers: List[str]): - """Quoter context. + """Stock Quoter context. Yeah so fun times..QT has this symbol to ``int`` id lookup system that you have to use to get any quotes. That means we try to be smart and maintain @@ -409,7 +413,8 @@ async def quoter(client: Client, tickers: List[str]): quotes_resp = await client.api.quotes(ids=ids) except (QuestradeError, BrokerError) as qterr: if "Access token is invalid" in str(qterr.args[0]): - # out-of-process piker may have renewed already + # out-of-process piker actor may have + # renewed already.. client._reload_config() try: quotes_resp = await client.api.quotes(ids=ids) @@ -436,9 +441,9 @@ async def quoter(client: Client, tickers: List[str]): return quotes + # strip out unknown/invalid symbols first_quotes_dict = await get_quote(tickers) filter_symbols(first_quotes_dict) - # re-save symbol -> ids cache ids = ','.join(map(str, t2ids.values())) @@ -449,7 +454,7 @@ async def quoter(client: Client, tickers: List[str]): # XXX: keys-values in this map define the final column values which will # be "displayable" but not necessarily used for "data processing" # (i.e. comparisons for sorting purposes or other calculations). -_qt_keys = { +_qt_stock_keys = { 'symbol': 'symbol', # done manually in qtconvert '%': '%', 'lastTradePrice': 'last', @@ -490,7 +495,7 @@ _bidasks = { def format_quote( quote: dict, symbol_data: dict, - keymap: dict = _qt_keys, + keymap: dict = _qt_stock_keys, ) -> Tuple[dict, dict]: """Remap a list of quote dicts ``quotes`` using the mapping of old keys -> new keys ``keymap`` returning 2 dicts: one with raw data and the other From 7b2ab504f97095ad1490a2343e9295ee9dad7e57 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 09:44:47 -0500 Subject: [PATCH 22/28] Adjust tests to match --- tests/test_questrade.py | 11 ++++++----- 1 file changed, 6 insertions(+), 5 deletions(-) diff --git a/tests/test_questrade.py b/tests/test_questrade.py index ff60a06c..1a6a9f1f 100644 --- a/tests/test_questrade.py +++ b/tests/test_questrade.py @@ -111,7 +111,7 @@ async def test_option_contracts(tmx_symbols): """ async with qt.get_client() as client: for symbol in tmx_symbols: - id, contracts = await client.option_contracts(symbol) + id, contracts = await client.symbol2contracts(symbol) assert isinstance(id, int) assert isinstance(contracts, dict) for dt in contracts: @@ -125,7 +125,7 @@ async def test_option_chain(tmx_symbols): """ async with qt.get_client() as client: # contract lookup - should be cached - contracts = await client.get_contracts(tmx_symbols) + contracts = await client.get_all_contracts(tmx_symbols) # chains quote for all symbols quotes = await client.option_chains(contracts) for key in tmx_symbols: @@ -144,15 +144,16 @@ async def test_option_quote_latency(tmx_symbols): """ async with qt.get_client() as client: # all contracts lookup - should be cached - contracts = await client.get_contracts(['WEED.TO']) + contracts = await client.get_all_contracts(['WEED.TO']) # build single expriry contract id, by_expiry = next(iter(contracts.items())) dt, by_strike = next(iter(by_expiry.items())) - single = {id: {dt: by_strike}} + single = {id: {dt: None}} for expected_latency, contract in [ - (2, contracts), (0.5, single) + # NOTE: request latency is usually 2x faster that these + (5, contracts), (0.5, single) ]: for _ in range(10): # chains quote for all symbols From f038fdd42f453b2fd3948453c793963ce3a749a8 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 15:53:00 -0500 Subject: [PATCH 23/28] Add a `contracts()` query Makes it easy to request all the option contracts for a particular symbol. Also, let `option_chain()` accept a `date` arg which can be used to only retrieve quotes for a single expiry date (much faster then getting all of them). --- piker/brokers/core.py | 32 +++++++++++++++++++++++++++----- 1 file changed, 27 insertions(+), 5 deletions(-) diff --git a/piker/brokers/core.py b/piker/brokers/core.py index 81141a51..60f4292c 100644 --- a/piker/brokers/core.py +++ b/piker/brokers/core.py @@ -1,9 +1,9 @@ """ -Core broker-daemon tasks and API. +Broker high level API layer. """ import inspect from types import ModuleType -from typing import List, Dict, Any +from typing import List, Dict, Any, Optional from ..log import get_logger @@ -56,9 +56,31 @@ async def stocks_quote( async def option_chain( brokermod: ModuleType, symbol: str, + date: Optional[str] = None, ) -> Dict[str, Dict[str, Dict[str, Any]]]: - """Return option chain (all expiries) for ``symbol``. + """Return option chain for ``symbol`` for ``date``. + + By default all expiries are returned. If ``date`` is provided + then contract quotes for that single expiry are returned. """ async with brokermod.get_client() as client: - return await client.option_chains( - await client.get_contracts([symbol])) + if date: + id = int((await client.tickers2ids([symbol]))[symbol]) + # build contracts dict for single expiry + return await client.option_chains({id: {date: None}}) + else: + # get all contract expiries + # (takes a long-ass time on QT fwiw) + contracts = await client.get_all_contracts([symbol]) + # return chains for all dates + return await client.option_chains(contracts) + + +async def contracts( + brokermod: ModuleType, + symbol: str, +) -> Dict[str, Dict[str, Dict[str, Any]]]: + """Return option contracts (all expiries) for ``symbol``. + """ + async with brokermod.get_client() as client: + return await client.get_all_contracts([symbol]) From c23982393dbb32e9227026991d78ee89068a7982 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 15:56:02 -0500 Subject: [PATCH 24/28] Allow recording data feeds to disk Add a couple functions for storing and retrieving live json data feed recordings to disk using a very rudimentary character + newline delimited format. Also, split out the pub-sub logic from `stream_quotes()` into a new func, `fan_out_to_chans()`. Eventually I want to formalize this pattern into a decorator exposed through `tractor`. --- piker/brokers/data.py | 164 ++++++++++++++++++++++++++++-------------- 1 file changed, 111 insertions(+), 53 deletions(-) diff --git a/piker/brokers/data.py b/piker/brokers/data.py index 5cf6abea..b1427cab 100644 --- a/piker/brokers/data.py +++ b/piker/brokers/data.py @@ -3,9 +3,11 @@ Live data feed machinery """ import time from functools import partial +from itertools import cycle import socket +import json from types import ModuleType -from typing import Coroutine, Callable, Dict +from typing import Coroutine, Callable, Dict, List import trio import tractor @@ -14,7 +16,7 @@ from ..log import get_logger, get_console_log from . import get_brokermod -log = get_logger('broker.core') +log = get_logger('broker.data') async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: @@ -40,11 +42,9 @@ async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: async def stream_quotes( brokermod: ModuleType, - get_quotes: Coroutine, - tickers2chans: Dict[str, tractor.Channel], + request_quotes: Coroutine, rate: int = 5, # delay between quote requests diff_cached: bool = True, # only deliver "new" quotes to the queue - cid: str = None, ) -> None: """Stream quotes for a sequence of tickers at the given ``rate`` per second. @@ -52,53 +52,84 @@ async def stream_quotes( A stock-broker client ``get_quotes()`` async context manager must be provided which returns an async quote retrieval function. """ - broker_limit = getattr(brokermod, '_rate_limit', float('inf')) - if broker_limit < rate: - rate = broker_limit - log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec") - sleeptime = round(1. / rate, 3) _cache = {} # ticker to quote caching while True: # use an event here to trigger exit? prequote_start = time.time() - if not any(tickers2chans.values()): - log.warn(f"No subs left for broker {brokermod.name}, exiting task") - break - - tickers = list(tickers2chans.keys()) + # tickers = list(tickers2chans.keys()) with trio.move_on_after(3) as cancel_scope: - quotes = await get_quotes(tickers) + quotes = await request_quotes() cancelled = cancel_scope.cancelled_caught if cancelled: log.warn("Quote query timed out after 3 seconds, retrying...") # handle network outages by idling until response is received - quotes = await wait_for_network(partial(get_quotes, tickers)) + # quotes = await wait_for_network(partial(get_quotes, tickers)) + quotes = await wait_for_network(request_quotes) postquote_start = time.time() + new_quotes = {} + if diff_cached: + # if cache is enabled then only deliver "new" changes + for symbol, quote in quotes.items(): + last = _cache.setdefault(symbol, {}) + new = set(quote.items()) - set(last.items()) + if new: + log.info( + f"New quote {quote['symbol']}:\n{new}") + _cache[symbol] = quote + new_quotes[symbol] = quote + else: + new_quotes = quotes + + yield new_quotes + + # latency monitoring + req_time = round(postquote_start - prequote_start, 3) + proc_time = round(time.time() - postquote_start, 3) + tot = req_time + proc_time + log.debug(f"Request + processing took {tot}") + delay = sleeptime - tot + if delay <= 0: + log.warn( + f"Took {req_time} (request) + {proc_time} (processing) " + f"= {tot} secs (> {sleeptime}) for processing quotes?") + else: + log.debug(f"Sleeping for {delay}") + await trio.sleep(delay) + + +async def fan_out_to_chans( + brokermod: ModuleType, + get_quotes: Coroutine, + tickers2chans: Dict[str, tractor.Channel], + rate: int = 5, # delay between quote requests + diff_cached: bool = True, # only deliver "new" quotes to the queue + cid: str = None, +) -> None: + """Request and fan out quotes to each subscribed actor channel. + """ + broker_limit = getattr(brokermod, '_rate_limit', float('inf')) + if broker_limit < rate: + rate = broker_limit + log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec") + + async def request(): + """Get quotes for current symbol subscription set. + """ + return await get_quotes(list(tickers2chans.keys())) + + async for quotes in stream_quotes(brokermod, request, rate): chan_payloads = {} for symbol, quote in quotes.items(): - if diff_cached: - # if cache is enabled then only deliver "new" changes - last = _cache.setdefault(symbol, {}) - new = set(quote.items()) - set(last.items()) - if new: - log.info( - f"New quote {quote['symbol']}:\n{new}") - _cache[symbol] = quote - for chan, cid in tickers2chans.get(symbol, set()): - chan_payloads.setdefault( - chan, - {'yield': {}, 'cid': cid} - )['yield'][symbol] = quote - else: - for chan, cid in tickers2chans[symbol]: - chan_payloads.setdefault( - chan, - {'yield': {}, 'cid': cid} - )['yield'][symbol] = quote + # set symbol quotes for each subscriber + for chan, cid in tickers2chans.get(symbol, set()): + chan_payloads.setdefault( + chan, + {'yield': {}, 'cid': cid} + )['yield'][symbol] = quote # deliver to each subscriber (fan out) if chan_payloads: @@ -114,19 +145,9 @@ async def stream_quotes( for chanset in tickers2chans.values(): chanset.discard((chan, cid)) - # latency monitoring - req_time = round(postquote_start - prequote_start, 3) - proc_time = round(time.time() - postquote_start, 3) - tot = req_time + proc_time - log.debug(f"Request + processing took {tot}") - delay = sleeptime - tot - if delay <= 0: - log.warn( - f"Took {req_time} (request) + {proc_time} (processing) " - f"= {tot} secs (> {sleeptime}) for processing quotes?") - else: - log.debug(f"Sleeping for {delay}") - await trio.sleep(delay) + if not any(tickers2chans.values()): + log.warn(f"No subs left for broker {brokermod.name}, exiting task") + break log.info(f"Terminating stream quoter task for {brokermod.name}") @@ -226,7 +247,7 @@ def modify_quote_stream(broker, tickers, chan=None, cid=None): async def start_quote_stream( broker: str, - tickers: [str], + tickers: List[str], chan: tractor.Channel = None, cid: str = None, ) -> None: @@ -256,8 +277,8 @@ async def start_quote_stream( log.info(f"Subscribing with existing `{broker}` daemon") tickers2chans = broker2tickersubs[broker] - # do a smoke quote (note this mutates the input list and filters out bad - # symbols for now) + # do a smoke quote (note this mutates the input list and filters + # out bad symbols for now) payload = await smoke_quote(get_quotes, tickers, broker) # push initial smoke quote response for client initialization await chan.send({'yield': payload, 'cid': cid}) @@ -271,7 +292,7 @@ async def start_quote_stream( log.info(f"Spawning quoter task for {brokermod.name}") async with trio.open_nursery() as nursery: nursery.start_soon(partial( - stream_quotes, brokermod, get_quotes, tickers2chans, + fan_out_to_chans, brokermod, get_quotes, tickers2chans, cid=cid) ) dtasks.add(broker) @@ -293,3 +314,40 @@ async def start_quote_stream( log.info(f"No more subscriptions for {broker}") broker2tickersubs.pop(broker, None) dtasks.discard(broker) + + +async def stream_to_file( + watchlist_name: str, + filename: str, + portal: tractor._portal.Portal, + tickers: List[str], + brokermod: ModuleType, + rate: int, +): + """Record client side received quotes to file ``filename``. + """ + # an async generator instance + agen = await portal.run( + "piker.brokers.data", 'start_quote_stream', + broker=brokermod.name, tickers=tickers) + + fname = filename or f'{watchlist_name}.jsonstream' + with open(fname, 'a') as f: + async for quotes in agen: + f.write(json.dumps(quotes)) + f.write('\n--\n') + + return fname + + +async def stream_from_file( + filename: str, +): + with open(filename, 'r') as quotes_file: + content = quotes_file.read() + + pkts = content.split('--')[:-1] # simulate 2 separate quote packets + payloads = [json.loads(pkt) for pkt in pkts] + for payload in cycle(payloads): + yield payload + await trio.sleep(0.3) From b9a9b7a9a32517d5215158244de10e25d5d3e85e Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 16:21:15 -0500 Subject: [PATCH 25/28] Add options query and data feed recording commands Add `contracts` and `optsquote` commands for querying option contracts info and market quotes respectively. Add a `record` command for streaming real-time data feed quotes to disk. Port `monitor` to the new `piker.brokers.data` module. Forward loglevel flags through to `tractor` for relevant commands. --- piker/cli.py | 200 +++++++++++++++++++++++++++++++++++++-------------- 1 file changed, 148 insertions(+), 52 deletions(-) diff --git a/piker/cli.py b/piker/cli.py index 3c426d24..3ea0eaac 100644 --- a/piker/cli.py +++ b/piker/cli.py @@ -9,9 +9,10 @@ import click import pandas as pd import trio import tractor +from async_generator import asynccontextmanager from . import watchlists as wl -from .brokers import core, get_brokermod +from .brokers import core, get_brokermod, data from .log import get_console_log, colorize_json, get_logger log = get_logger('cli') @@ -23,9 +24,10 @@ _watchlists_data_path = os.path.join(_config_dir, 'watchlists.json') @click.command() @click.option('--loglevel', '-l', default='warning', help='Logging level') +@click.option('--tl', is_flag=True, help='Enable tractor logging') @click.option('--host', '-h', default='127.0.0.1', help='Host address to bind') -def pikerd(loglevel, host): - """Spawn the piker daemon. +def pikerd(loglevel, host, tl): + """Spawn the piker broker-daemon. """ get_console_log(loglevel) tractor.run_daemon( @@ -36,7 +38,7 @@ def pikerd(loglevel, host): 'dtasks': set(), }, name='brokerd', - loglevel=loglevel, + loglevel=loglevel if tl else None, ) @@ -116,45 +118,40 @@ def quote(loglevel, broker, tickers, df_output): click.echo(colorize_json(quotes)) -@cli.command() -@click.option('--broker', '-b', default=DEFAULT_BROKER, - help='Broker backend to use') -@click.option('--loglevel', '-l', default='warning', help='Logging level') -@click.option('--df-output', '-df', flag_value=True, - help='Output in `pandas.DataFrame` format') -@click.argument('symbol', required=True) -def option_chain_quote(loglevel, broker, symbol, df_output): - """Retreive symbol quotes on the console in either json or dataframe - format. +@asynccontextmanager +async def maybe_spawn_brokerd_as_subactor(sleep=0.5, tries=10, loglevel=None): + """If no ``brokerd`` daemon-actor can be found spawn one in a + local subactor. """ - brokermod = get_brokermod(broker) - get_console_log(loglevel) - quotes = trio.run(partial(core.option_chain, brokermod, symbol))[symbol] - if not quotes: - log.error(f"No quotes could be found for {symbol}?") - return - - if df_output: - cols = next(filter(bool, quotes.values())).copy() - df = pd.DataFrame( - (quote.values() for contract, quote in quotes.items()), - index=quotes.keys(), - columns=cols.keys(), - ) - click.echo(df) - else: - click.echo(colorize_json(quotes)) + async with tractor.open_nursery() as nursery: + async with tractor.find_actor('brokerd') as portal: + if not portal: + log.info( + "No broker daemon could be found, spawning brokerd..") + portal = await nursery.start_actor( + 'brokerd', + statespace={ + 'broker2tickersubs': {}, + 'clients': {}, + 'dtasks': set(), + }, + rpc_module_paths=['piker.brokers.data'], + loglevel=loglevel, + ) + yield portal @cli.command() @click.option('--broker', '-b', default=DEFAULT_BROKER, help='Broker backend to use') @click.option('--loglevel', '-l', default='warning', help='Logging level') -@click.option('--rate', '-r', default=5, help='Logging level') +@click.option('--tl', is_flag=True, help='Enable tractor logging') +@click.option('--rate', '-r', default=5, help='Quote rate limit') +@click.option('--test', '-t', help='Test quote stream file') @click.option('--dhost', '-dh', default='127.0.0.1', help='Daemon host address to connect to') @click.argument('name', nargs=1, required=True) -def monitor(loglevel, broker, rate, name, dhost): +def monitor(loglevel, broker, rate, name, dhost, test, tl): """Spawn a real-time watchlist. """ from .ui.monitor import _async_main @@ -167,28 +164,71 @@ def monitor(loglevel, broker, rate, name, dhost): log.error(f"No symbols found for watchlist `{name}`?") return - async def launch_client(sleep=0.5, tries=10): + async def main(tries): + async with maybe_spawn_brokerd_as_subactor( + tries=tries, loglevel=loglevel + ) as portal: + if test: + # stream from a local test file + agen = await portal.run( + "piker.brokers.data", 'stream_from_file', + filename=test + ) + # agen = data.stream_from_file(test) + else: + # start live streaming from broker daemon + agen = await portal.run( + "piker.brokers.data", 'start_quote_stream', + broker=brokermod.name, tickers=tickers) - async with tractor.open_nursery() as nursery: - async with tractor.find_actor('brokerd') as portal: - if not portal: - log.warn("No broker daemon could be found") - log.warning("Spawning local brokerd..") - portal = await nursery.start_actor( - 'brokerd', - statespace={ - 'broker2tickersubs': {}, - 'clients': {}, - 'dtasks': set(), - }, - rpc_module_paths=['piker.brokers.data'], - loglevel=loglevel, - ) + # run app "main" + await _async_main( + name, portal, tickers, + brokermod, rate, agen, + ) - # run kivy app - await _async_main(name, portal, tickers, brokermod, rate) + tractor.run( + partial(main, tries=1), + name='kivy-monitor', + loglevel=loglevel if tl else None, + ) - tractor.run(partial(launch_client, tries=1), name='kivy-watchlist') + +@cli.command() +@click.option('--broker', '-b', default=DEFAULT_BROKER, + help='Broker backend to use') +@click.option('--loglevel', '-l', default='warning', help='Logging level') +@click.option('--rate', '-r', default=5, help='Logging level') +@click.option('--filename', '-f', default='quotestream.jsonstream', + help='Logging level') +@click.option('--dhost', '-dh', default='127.0.0.1', + help='Daemon host address to connect to') +@click.argument('name', nargs=1, required=True) +def record(loglevel, broker, rate, name, dhost, filename): + """Record client side quotes to file + """ + log = get_console_log(loglevel) # activate console logging + brokermod = get_brokermod(broker) + watchlist_from_file = wl.ensure_watchlists(_watchlists_data_path) + watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins) + tickers = watchlists[name] + if not tickers: + log.error(f"No symbols found for watchlist `{name}`?") + return + + async def main(tries): + async with maybe_spawn_brokerd_as_subactor( + tries=tries, loglevel=loglevel + ) as portal: + # run app "main" + return await data.stream_to_file( + name, filename, + portal, tickers, + brokermod, rate, + ) + + filename = tractor.run(partial(main, tries=1), name='data-feed-recorder') + click.echo(f"Data feed recording saved to {filename}") @cli.group() @@ -277,3 +317,59 @@ def merge(ctx, watchlist_to_merge): @click.pass_context def dump(ctx, name): click.echo(json.dumps(ctx.obj['watchlist'])) + + +# options utils + +@cli.command() +@click.option('--broker', '-b', default=DEFAULT_BROKER, + help='Broker backend to use') +@click.option('--loglevel', '-l', default='warning', help='Logging level') +@click.option('--ids', flag_value=True, help='Include numeric ids in output') +@click.argument('symbol', required=True) +def contracts(loglevel, broker, symbol, ids): + brokermod = get_brokermod(broker) + get_console_log(loglevel) + quotes = trio.run(partial(core.contracts, brokermod, symbol)) + if not ids: + # just print out expiry dates which can be used with + # the option_chain_quote cmd + id, contracts = next(iter(quotes.items())) + quotes = list(contracts) + + click.echo(colorize_json(quotes)) + + +@cli.command() +@click.option('--broker', '-b', default=DEFAULT_BROKER, + help='Broker backend to use') +@click.option('--loglevel', '-l', default='warning', help='Logging level') +@click.option('--df-output', '-df', flag_value=True, + help='Output in `pandas.DataFrame` format') +@click.option('--date', '-d', help='Contracts expiry date') +@click.argument('symbol', required=True) +def optsquote(loglevel, broker, symbol, df_output, date): + """Retreive symbol quotes on the console in either + json or dataframe format. + """ + brokermod = get_brokermod(broker) + get_console_log(loglevel) + quotes = trio.run( + partial( + core.option_chain, brokermod, symbol, date + ) + )[symbol] + if not quotes: + log.error(f"No quotes could be found for {symbol}?") + return + + if df_output: + cols = next(filter(bool, quotes.values())).copy() + df = pd.DataFrame( + (quote.values() for contract, quote in quotes.items()), + index=quotes.keys(), + columns=cols.keys(), + ) + click.echo(df) + else: + click.echo(colorize_json(quotes)) From d102b825662a2e1f9ef084ad72f1a0ae608dd055 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 16:31:01 -0500 Subject: [PATCH 26/28] Don't add more then one stderr handler --- piker/log.py | 26 +++++++++++++------------- 1 file changed, 13 insertions(+), 13 deletions(-) diff --git a/piker/log.py b/piker/log.py index b12aeae2..d3f6d769 100644 --- a/piker/log.py +++ b/piker/log.py @@ -72,21 +72,21 @@ def get_console_log(level: str = None, name: str = None) -> logging.Logger: if level: log.setLevel(level.upper() if not isinstance(level, int) else level) - if not any( - handler.stream == sys.stderr for handler in log.handlers - if getattr(handler, 'stream', None) - ): + for handler in log.handlers: + if getattr(handler, 'stream', None) and handler.stream == sys.stderr: + break + else: handler = logging.StreamHandler() - formatter = colorlog.ColoredFormatter( - LOG_FORMAT, - datefmt=DATE_FORMAT, - log_colors=STD_PALETTE, - secondary_log_colors=BOLD_PALETTE, - style='{', - ) - handler.setFormatter(formatter) - log.addHandler(handler) + formatter = colorlog.ColoredFormatter( + LOG_FORMAT, + datefmt=DATE_FORMAT, + log_colors=STD_PALETTE, + secondary_log_colors=BOLD_PALETTE, + style='{', + ) + handler.setFormatter(formatter) + log.addHandler(handler) return log From eaa2a9b05d042d1c7cb0364da3f522d9d5f40833 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 16:31:53 -0500 Subject: [PATCH 27/28] Port streaming test to new `data` module --- tests/test_tractor.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/tests/test_tractor.py b/tests/test_tractor.py index 83e087a3..7e63e3a7 100644 --- a/tests/test_tractor.py +++ b/tests/test_tractor.py @@ -15,7 +15,7 @@ async def rx_price_quotes_from_brokerd(us_symbols): # no brokerd actor found portal = await nursery.start_actor( 'brokerd', - rpc_module_paths=['piker.brokers.core'], + rpc_module_paths=['piker.brokers.data'], statespace={ 'broker2tickersubs': {}, 'clients': {}, @@ -26,11 +26,11 @@ async def rx_price_quotes_from_brokerd(us_symbols): # gotta expose in a broker agnostic way... # retrieve initial symbol data # sd = await portal.run( - # 'piker.brokers.core', 'symbol_data', symbols=us_symbols) + # 'piker.brokers.data', 'symbol_data', symbols=us_symbols) # assert list(sd.keys()) == us_symbols gen = await portal.run( - 'piker.brokers.core', + 'piker.brokers.data', 'start_quote_stream', broker='robinhood', tickers=us_symbols, From e1d6edb3ee0beee2e0cf2167b0a12e17971982a4 Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Thu, 22 Nov 2018 19:12:14 -0500 Subject: [PATCH 28/28] Skip qt tests on missing brokers.ini entry --- tests/conftest.py | 6 ++++++ tests/test_questrade.py | 12 ++++++++++-- 2 files changed, 16 insertions(+), 2 deletions(-) diff --git a/tests/conftest.py b/tests/conftest.py index e55cffbf..f7688a9d 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -1,6 +1,12 @@ import pytest +@pytest.fixture +def brokerconf(): + from piker.brokers import config + return config.load()[0] + + @pytest.fixture def us_symbols(): return ['TSLA', 'AAPL', 'CGC', 'CRON'] diff --git a/tests/test_questrade.py b/tests/test_questrade.py index 1a6a9f1f..897ba531 100644 --- a/tests/test_questrade.py +++ b/tests/test_questrade.py @@ -6,6 +6,15 @@ import time import trio from trio.testing import trio_test from piker.brokers import questrade as qt +import pytest + + +@pytest.fixture(autouse=True) +def check_qt_conf_section(brokerconf): + """Skip this module's tests if we have not quetrade API creds. + """ + if not brokerconf.has_section('questrade'): + pytest.skip("No questrade API credentials available") # stock quote @@ -66,7 +75,6 @@ _ex_contract = { } - def match_packet(symbols, quotes): """Verify target ``symbols`` match keys in ``quotes`` packet. """ @@ -158,7 +166,7 @@ async def test_option_quote_latency(tmx_symbols): for _ in range(10): # chains quote for all symbols start = time.time() - quotes = await client.option_chains(contract) + await client.option_chains(contract) took = time.time() - start print(f"Request took {took}") assert took <= expected_latency