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Merge pull request #56 from pikers/options_chain 

Options chain (backend support)
kivy_mainline_and_py3.8
goodboy 2018-11-22 19:24:54 -05:00 committed by GitHub
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.travis.yml
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language: python language: python
python:
- '3.6' matrix:
# setup.py reading README breaks this? include:
# - pypy - python: 3.7
# no pandas support dist: xenial
# - nightly sudo: required
before_install: before_install:
- sudo apt-get -qq update - sudo apt-get -qq update

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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
<http://www.gnu.org/licenses/>.
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
<http://www.gnu.org/philosophy/why-not-lgpl.html>.

2
Pipfile
View File

@ -8,7 +8,7 @@ name = "pypi"
Cython = "*" Cython = "*"
# matham's next-gen async port of kivy # matham's next-gen async port of kivy
Kivy = {git = "git://github.com/matham/kivy.git", ref = "async-loop"} 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 = "*" pdbpp = "*"
msgpack = "*" msgpack = "*"
trio = "*" trio = "*"

388
Pipfile.lock generated
View File

@ -1,7 +1,7 @@
{ {
"_meta": { "_meta": {
"hash": { "hash": {
"sha256": "336e710094a9a95325fc8b1c952ae1080c574fff3909d817a731b82d2af890d6" "sha256": "775dc298007b9ceedd0a9d2e3b4b5b9cb5d11d5db3ed0700e30ed1e646459e45"
}, },
"pipfile-spec": 6, "pipfile-spec": 6,
"requires": {}, "requires": {},
@ -16,32 +16,30 @@
"default": { "default": {
"asks": { "asks": {
"hashes": [ "hashes": [
"sha256:c3fc1115dfeb414ef0863da6f60f02aea7487f92f76b645738774bf93e8577de" "sha256:1679e5bd1dfa6c5d2220bdf2b8921c9c0d063d08370a7c66b9e167113681406f"
], ],
"markers": "python_version >= '3.5.2'", "version": "==2.2.0"
"version": "==2.0.0"
}, },
"async-generator": { "async-generator": {
"hashes": [ "hashes": [
"sha256:01c7bf666359b4967d2cda0000cc2e4af16a0ae098cbffcb8472fb9e8ad6585b", "sha256:01c7bf666359b4967d2cda0000cc2e4af16a0ae098cbffcb8472fb9e8ad6585b",
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], ],
"markers": "python_version >= '3.5'",
"version": "==1.10" "version": "==1.10"
}, },
"attrs": { "attrs": {
"hashes": [ "hashes": [
"sha256:4b90b09eeeb9b88c35bc642cbac057e45a5fd85367b985bd2809c62b7b939265", "sha256:10cbf6e27dbce8c30807caf056c8eb50917e0eaafe86347671b57254006c3e69",
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], ],
"version": "==18.1.0" "version": "==18.2.0"
}, },
"click": { "click": {
"hashes": [ "hashes": [
"sha256:29f99fc6125fbc931b758dc053b3114e55c77a6e4c6c3a2674a2dc986016381d", "sha256:2335065e6395b9e67ca716de5f7526736bfa6ceead690adf616d925bdc622b13",
"sha256:f15516df478d5a56180fbf80e68f206010e6d160fc39fa508b65e035fd75130b" "sha256:5b94b49521f6456670fdb30cd82a4eca9412788a93fa6dd6df72c94d5a8ff2d7"
], ],
"version": "==6.7" "version": "==7.0"
}, },
"colorlog": { "colorlog": {
"hashes": [ "hashes": [
@ -52,38 +50,37 @@
}, },
"cython": { "cython": {
"hashes": [ "hashes": [
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"sha256:2f526b0887128bf20ab2acc905a975f62b5a04ab2f63ecbe5a30fc28285d0e0c", "sha256:3d0afba0aec878639608f013045697fb0969ff60b3aea2daec771ea8d01ad112",
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"sha256:f3e4860f5458a9875caa3de65e255720c0ed2ce71f0bcdab02497b32104f9db8", "sha256:fceb8271bc2fd3477094ca157c824e8ea840a7b393e89e766eea9a3b9ce7e0c6",
"sha256:fc6c20a8ac22202a779ad4c59756647be0826993d2151a03c015e76d2368ae5f" "sha256:ff919ceb40259f5332db43803aa6c22ff487e86036ce3921ae04b9185efc99a4"
], ],
"index": "pypi", "index": "pypi",
"markers": "python_version >= '2.6' and python_version != '3.1.*' and python_version != '3.0.*' and python_version != '3.2.*'", "version": "==0.29"
"version": "==0.28.5"
}, },
"e1839a8": { "e1839a8": {
"editable": true, "editable": true,
@ -136,51 +133,49 @@
}, },
"multio": { "multio": {
"hashes": [ "hashes": [
"sha256:dcaee4d5d77cde8caf7902c8621aaa192febb384c7b1291fd47cfa41ac0eaebc" "sha256:e8bce12aa8d2e076d96f4c4b6bfb70c01e0e0af9892f9ffc4ec868854e1b877e"
], ],
"markers": "python_version >= '3.5.2'", "version": "==0.2.4"
"version": "==0.2.3"
}, },
"numpy": { "numpy": {
"hashes": [ "hashes": [
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], ],
"markers": "python_version >= '2.7' and python_version != '3.1.*' and python_version != '3.3.*' and python_version != '3.0.*' and python_version != '3.2.*'", "version": "==1.15.4"
"version": "==1.15.0"
}, },
"outcome": { "outcome": {
"hashes": [ "hashes": [
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}, },
"pandas": { "pandas": {
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@ -198,6 +193,7 @@
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@ -222,17 +218,17 @@
}, },
"python-dateutil": { "python-dateutil": {
"hashes": [ "hashes": [
"sha256:1adb80e7a782c12e52ef9a8182bebeb73f1d7e24e374397af06fb4956c8dc5c0", "sha256:063df5763652e21de43de7d9e00ccf239f953a832941e37be541614732cdfc93",
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"version": "==2.7.3" "version": "==2.7.5"
}, },
"pytz": { "pytz": {
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"sha256:d785fc08d6f4207437e900ffead930a61e634c5e4f980ba6d3dc03c9581748c7", "sha256:d785fc08d6f4207437e900ffead930a61e634c5e4f980ba6d3dc03c9581748c7",
"sha256:de9559287c4fe8da56e8c3878d2374abc19d1ba2b807bfa7553e912a8e5ba87c", "sha256:de9559287c4fe8da56e8c3878d2374abc19d1ba2b807bfa7553e912a8e5ba87c",
"sha256:f4f98b190bb918ac0bc0e3dd2ab74ff3573da9f43106f6dba6385406912ec00f", "sha256:f4f98b190bb918ac0bc0e3dd2ab74ff3573da9f43106f6dba6385406912ec00f",
@ -480,19 +479,17 @@
}, },
"pluggy": { "pluggy": {
"hashes": [ "hashes": [
"sha256:6e3836e39f4d36ae72840833db137f7b7d35105079aee6ec4a62d9f80d594dd1", "sha256:447ba94990e8014ee25ec853339faf7b0fc8050cdc3289d4d71f7f410fb90095",
"sha256:95eb8364a4708392bae89035f45341871286a333f749c3141c20573d2b3876e1" "sha256:bde19360a8ec4dfd8a20dcb811780a30998101f078fc7ded6162f0076f50508f"
], ],
"markers": "python_version >= '2.7' and python_version != '3.1.*' and python_version != '3.3.*' and python_version != '3.0.*' and python_version != '3.2.*'", "version": "==0.8.0"
"version": "==0.7.1"
}, },
"py": { "py": {
"hashes": [ "hashes": [
"sha256:3fd59af7435864e1a243790d322d763925431213b6b8529c6ca71081ace3bbf7", "sha256:bf92637198836372b520efcba9e020c330123be8ce527e535d185ed4b6f45694",
"sha256:e31fb2767eb657cbde86c454f02e99cb846d3cd9d61b318525140214fdc0e98e" "sha256:e76826342cefe3c3d5f7e8ee4316b80d1dd8a300781612ddbc765c17ba25a6c6"
], ],
"markers": "python_version >= '2.7' and python_version != '3.1.*' and python_version != '3.3.*' and python_version != '3.0.*' and python_version != '3.2.*'", "version": "==1.7.0"
"version": "==1.5.4"
}, },
"pygments": { "pygments": {
"hashes": [ "hashes": [
@ -503,25 +500,25 @@
}, },
"pytest": { "pytest": {
"hashes": [ "hashes": [
"sha256:86a8dbf407e437351cef4dba46736e9c5a6e3c3ac71b2e942209748e76ff2086", "sha256:3f193df1cfe1d1609d4c583838bea3d532b18d6160fd3f55c9447fdca30848ec",
"sha256:e74466e97ac14582a8188ff4c53e6cc3810315f342f6096899332ae864c1d432" "sha256:e246cf173c01169b9617fc07264b7b1316e78d7a650055235d6d897bc80d9660"
], ],
"index": "pypi", "index": "pypi",
"version": "==3.7.1" "version": "==3.10.1"
}, },
"python-dateutil": { "python-dateutil": {
"hashes": [ "hashes": [
"sha256:1adb80e7a782c12e52ef9a8182bebeb73f1d7e24e374397af06fb4956c8dc5c0", "sha256:063df5763652e21de43de7d9e00ccf239f953a832941e37be541614732cdfc93",
"sha256:e27001de32f627c22380a688bcc43ce83504a7bc5da472209b4c70f02829f0b8" "sha256:88f9287c0174266bb0d8cedd395cfba9c58e87e5ad86b2ce58859bc11be3cf02"
], ],
"version": "==2.7.3" "version": "==2.7.5"
}, },
"pytz": { "pytz": {
"hashes": [ "hashes": [
"sha256:a061aa0a9e06881eb8b3b2b43f05b9439d6583c206d0a6c340ff72a7b6669053", "sha256:31cb35c89bd7d333cd32c5f278fca91b523b0834369e757f4c5641ea252236ca",
"sha256:ffb9ef1de172603304d9d2819af6f5ece76f2e85ec10692a524dd876e72bf277" "sha256:8e0f8568c118d3077b46be7d654cc8167fa916092e28320cde048e54bfc9f1e6"
], ],
"version": "==2018.5" "version": "==2018.7"
}, },
"six": { "six": {
"hashes": [ "hashes": [
@ -530,20 +527,27 @@
], ],
"version": "==1.11.0" "version": "==1.11.0"
}, },
"sniffio": {
"hashes": [
"sha256:2e9b81429e3b7c9e119fcee2673ee3be3229982adc68b3f59317863aba05ebb7",
"sha256:afb4997584a920e6e378a81ded2b3e71a696b85a68c4bfbe4dadf1ba57a9ef45"
],
"version": "==1.0.0"
},
"sortedcontainers": { "sortedcontainers": {
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16
piker/__init__.py
View File

@ -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 <http://www.gnu.org/licenses/>.
""" """
piker: trading toolz for hackerz. piker: destroy all suits
""" """

339
piker/brokers/core.py
View File

@ -1,32 +1,32 @@
""" """
Core broker-daemon tasks and API. Broker high level API layer.
""" """
import time
import inspect import inspect
from functools import partial
import socket
from types import ModuleType from types import ModuleType
from typing import Coroutine, Callable from typing import List, Dict, Any, Optional
import trio from ..log import get_logger
import tractor
from ..log import get_logger, get_console_log
from . import get_brokermod
log = get_logger('broker.core') log = get_logger('broker.core')
async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict: 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: async with brokermod.get_client() as client:
meth = getattr(client.api, methname, None) 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: if meth is None:
log.error(f"No api method `{methname}` could be found?") log.error(f"No api method `{methname}` could be found?")
return return
elif not kwargs:
if not kwargs:
# verify kwargs requirements are met # verify kwargs requirements are met
sig = inspect.signature(meth) sig = inspect.signature(meth)
if sig.parameters: if sig.parameters:
@ -38,7 +38,10 @@ async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict:
return await meth(**kwargs) 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``. """Return quotes dict for ``tickers``.
""" """
async with brokermod.get_client() as client: async with brokermod.get_client() as client:
@ -50,296 +53,34 @@ async def quote(brokermod: ModuleType, tickers: [str]) -> dict:
return results return results
async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict: async def option_chain(
"""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, brokermod: ModuleType,
get_quotes: Coroutine, symbol: str,
tickers2chans: {str: tractor.Channel}, date: Optional[str] = None,
rate: int = 5, # delay between quote requests ) -> Dict[str, Dict[str, Dict[str, Any]]]:
diff_cached: bool = True, # only deliver "new" quotes to the queue """Return option chain for ``symbol`` for ``date``.
cid: str = None,
) -> None:
"""Stream quotes for a sequence of tickers at the given ``rate``
per second.
A broker-client ``quoter`` async context manager must be provided which By default all expiries are returned. If ``date`` is provided
returns an async quote function. then contract quotes for that single expiry are returned.
""" """
broker_limit = getattr(brokermod, '_rate_limit', float('inf')) async with brokermod.get_client() as client:
if broker_limit < rate: if date:
rate = broker_limit id = int((await client.tickers2ids([symbol]))[symbol])
log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec") # build contracts dict for single expiry
return await client.option_chains({id: {date: None}})
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: else:
for chan, cid in tickers2chans[symbol]: # get all contract expiries
chan_payloads.setdefault( # (takes a long-ass time on QT fwiw)
chan, contracts = await client.get_all_contracts([symbol])
{'yield': {}, 'cid': cid} # return chains for all dates
)['yield'][symbol] = quote return await client.option_chains(contracts)
# deliver to each subscriber
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))
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): async def contracts(
"""Get the current actor's cached broker client if available or create a brokermod: ModuleType,
new one. symbol: str,
) -> Dict[str, Dict[str, Dict[str, Any]]]:
"""Return option contracts (all expiries) for ``symbol``.
""" """
# check if a cached client is in the local actor's statespace async with brokermod.get_client() as client:
clients = tractor.current_actor().statespace.setdefault('clients', {}) return await client.get_all_contracts([symbol])
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.
"""
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.
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 (not 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
# task should begin on the next checkpoint/iteration
# with trio.open_cancel_scope(shield=True):
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,
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)
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)
)

353
piker/brokers/data.py 100644
View File

@ -0,0 +1,353 @@
"""
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, List
import trio
import tractor
from ..log import get_logger, get_console_log
from . import get_brokermod
log = get_logger('broker.data')
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,
request_quotes: Coroutine,
rate: int = 5, # delay between quote requests
diff_cached: bool = True, # only deliver "new" quotes to the queue
) -> 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.
"""
sleeptime = round(1. / rate, 3)
_cache = {} # ticker to quote caching
while True: # use an event here to trigger exit?
prequote_start = time.time()
# tickers = list(tickers2chans.keys())
with trio.move_on_after(3) as cancel_scope:
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(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():
# 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:
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))
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}")
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: List[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(
fan_out_to_chans, 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)
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)

231
piker/brokers/questrade.py
View File

@ -2,9 +2,10 @@
Questrade API backend. Questrade API backend.
""" """
import time import time
import datetime from datetime import datetime
from functools import partial from functools import partial
import configparser import configparser
from typing import List, Tuple, Dict, Any
import trio import trio
from async_generator import asynccontextmanager from async_generator import asynccontextmanager
@ -29,6 +30,75 @@ class QuestradeError(Exception):
"Non-200 OK response code" "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,
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)."
filters = [
{
"underlyingId": int(symbol_id),
"expiryDate": str(expiry),
}
# 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)['optionQuotes']
class Client: class Client:
"""API client suitable for use as a long running broker daemon or """API client suitable for use as a long running broker daemon or
single api requests. single api requests.
@ -100,7 +170,7 @@ class Client:
""" """
access_token = self.access_data.get('access_token') access_token = self.access_data.get('access_token')
expires = float(self.access_data.get('expires_at', 0)) 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') expires).strftime('%Y-%m-%d %H:%M:%S')
if not access_token or (expires < time.time()) or force_refresh: if not access_token or (expires < time.time()) or force_refresh:
log.debug( log.debug(
@ -147,15 +217,26 @@ class Client:
data = await self.api.symbols(names=','.join(tickers)) data = await self.api.symbols(names=','.join(tickers))
symbols2ids = {} symbols2ids = {}
for ticker, symbol in zip(tickers, data['symbols']): for ticker, symbol in zip(tickers, data['symbols']):
symbols2ids[symbol['symbol']] = symbol['symbolId'] symbols2ids[symbol['symbol']] = str(symbol['symbolId'])
return symbols2ids return symbols2ids
async def quote(self, tickers: [str]): async def symbol_data(self, tickers: List[str]):
"""Return quotes for each ticker in ``tickers``. """Return symbol data for ``tickers``.
""" """
t2ids = await self.tickers2ids(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'] results = (await self.api.quotes(ids=ids))['quotes']
quotes = {quote['symbol']: quote for quote in results} quotes = {quote['symbol']: quote for quote in results}
@ -167,58 +248,67 @@ class Client:
return quotes return quotes
async def symbol_data(self, tickers: [str]): async def symbol2contracts(
"""Return symbol data for ``tickers``. self,
symbol: str
) -> Tuple[int, Dict[datetime, dict]]:
"""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.
""" """
t2ids = await self.tickers2ids(tickers) id = int((await self.tickers2ids([symbol]))[symbol])
ids = ','.join(map(str, t2ids.values())) contracts = await self.api.option_contracts(id)
symbols = {} return id, {
for pkt in (await self.api.symbols(ids=ids))['symbols']: # convert to native datetime objs for sorting
symbols[pkt['symbol']] = pkt datetime.fromisoformat(item['expiryDate']):
item for item in contracts
}
return symbols async def get_all_contracts(
self,
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
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
class _API: per symbol) and thus the return values should be cached for use with
"""Questrade API endpoints exposed as methods and wrapped with an ``option_chains()``.
http session.
""" """
def __init__(self, session: asks.Session): by_id = {}
self._sess = session for symbol in symbols:
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(
# sort by datetime
contracts.items(),
key=lambda item: item[0]
)
}
return by_id
async def _request(self, path: str, params=None) -> dict: async def option_chains(
resp = await self._sess.get(path=f'/{path}', params=params) self,
return resproc(resp, log) # 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
async def accounts(self) -> dict: return batch
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 token_refresher(client): async def token_refresher(client):
@ -286,13 +376,18 @@ async def get_client() -> Client:
write_conf(client) write_conf(client)
async def quoter(client: Client, tickers: [str]): 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
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 = {} t2ids = {}
ids = '' ids = ''
def filter_symbols(quotes_dict): def filter_symbols(quotes_dict: dict):
nonlocal t2ids nonlocal t2ids
for symbol, quote in quotes_dict.items(): for symbol, quote in quotes_dict.items():
if quote['low52w'] is None: if quote['low52w'] is None:
@ -311,19 +406,28 @@ async def quoter(client: Client, tickers: [str]):
# update ticker ids cache # update ticker ids cache
log.debug(f"Tickers set changed {new - current}") log.debug(f"Tickers set changed {new - current}")
t2ids = await client.tickers2ids(tickers) t2ids = await client.tickers2ids(tickers)
# re-save symbol -> ids cache
ids = ','.join(map(str, t2ids.values())) ids = ','.join(map(str, t2ids.values()))
try: try:
quotes_resp = await client.api.quotes(ids=ids) quotes_resp = await client.api.quotes(ids=ids)
except (QuestradeError, BrokerError) as qterr: except (QuestradeError, BrokerError) as qterr:
if "Access token is invalid" in str(qterr.args[0]): 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() client._reload_config()
try: try:
quotes_resp = await client.api.quotes(ids=ids) quotes_resp = await client.api.quotes(ids=ids)
except BrokerError as qterr: except BrokerError as qterr:
if "Access token is invalid" in str(qterr.args[0]): 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) await client.ensure_access(force_refresh=True)
quotes_resp = await client.api.quotes(ids=ids)
else: else:
raise raise
@ -337,10 +441,10 @@ async def quoter(client: Client, tickers: [str]):
return quotes return quotes
# strip out unknown/invalid symbols
first_quotes_dict = await get_quote(tickers) first_quotes_dict = await get_quote(tickers)
filter_symbols(first_quotes_dict) filter_symbols(first_quotes_dict)
# re-save symbol -> ids cache
# re-save symbol ids cache
ids = ','.join(map(str, t2ids.values())) ids = ','.join(map(str, t2ids.values()))
return get_quote return get_quote
@ -350,7 +454,7 @@ async def quoter(client: Client, tickers: [str]):
# XXX: keys-values in this map define the final column values which will # XXX: keys-values in this map define the final column values which will
# be "displayable" but not necessarily used for "data processing" # be "displayable" but not necessarily used for "data processing"
# (i.e. comparisons for sorting purposes or other calculations). # (i.e. comparisons for sorting purposes or other calculations).
_qt_keys = { _qt_stock_keys = {
'symbol': 'symbol', # done manually in qtconvert 'symbol': 'symbol', # done manually in qtconvert
'%': '%', '%': '%',
'lastTradePrice': 'last', 'lastTradePrice': 'last',
@ -370,26 +474,29 @@ _qt_keys = {
# 'low52w': 'low52w', # put in info widget # 'low52w': 'low52w', # put in info widget
# 'high52w': 'high52w', # 'high52w': 'high52w',
# "lastTradePriceTrHrs": 7.99, # "lastTradePriceTrHrs": 7.99,
# 'lastTradeTime': ('time', datetime.fromisoformat),
# "lastTradeTick": "Equal", # "lastTradeTick": "Equal",
# "lastTradeTime": "2018-01-30T18:28:23.434000-05:00",
# "symbolId": 3575753, # "symbolId": 3575753,
# "tier": "", # "tier": "",
# 'isHalted': 'halted', # as subscript 'h' # 'isHalted': 'halted', # as subscript 'h'
# 'delay': 'delay', # as subscript 'p' # 'delay': 'delay', # as subscript 'p'
} }
# BidAskLayout columns which will contain three cells the first stacked on top
# of the other 2
_bidasks = { _bidasks = {
'last': ['bid', 'ask'], 'last': ['bid', 'ask'],
'size': ['bsize', 'asize'], 'size': ['bsize', 'asize'],
'VWAP': ['low', 'high'], 'VWAP': ['low', 'high'],
'mktcap': ['vol', '$ vol'],
} }
def format_quote( def format_quote(
quote: dict, quote: dict,
symbol_data: dict, symbol_data: dict,
keymap: dict = _qt_keys, keymap: dict = _qt_stock_keys,
) -> (dict, dict): ) -> Tuple[dict, dict]:
"""Remap a list of quote dicts ``quotes`` using the mapping of old keys """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 -> new keys ``keymap`` returning 2 dicts: one with raw data and the other
for display. for display.

2
piker/brokers/robinhood.py
View File

@ -59,7 +59,7 @@ class Client:
return self._zip_in_order(symbols, resp['results']) return self._zip_in_order(symbols, resp['results'])
async def symbol_data(self, symbols: [str]): 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( return self._zip_in_order(
symbols, symbols,

5
piker/calc.py
View File

@ -5,7 +5,7 @@ import math
import itertools import itertools
def humanize(number): def humanize(number, digits=1):
"""Convert large numbers to something with at most 3 digits and """Convert large numbers to something with at most 3 digits and
a letter suffix (eg. k: thousand, M: million, B: billion). a letter suffix (eg. k: thousand, M: million, B: billion).
""" """
@ -20,7 +20,8 @@ def humanize(number):
if mag < 3: if mag < 3:
return number return number
maxmag = max(itertools.takewhile(lambda key: mag >= key, mag2suffix)) 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): def percent_change(init, new):

180
piker/cli.py
View File

@ -9,9 +9,10 @@ import click
import pandas as pd import pandas as pd
import trio import trio
import tractor import tractor
from async_generator import asynccontextmanager
from . import watchlists as wl 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 from .log import get_console_log, colorize_json, get_logger
log = get_logger('cli') log = get_logger('cli')
@ -23,20 +24,21 @@ _watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
@click.command() @click.command()
@click.option('--loglevel', '-l', default='warning', help='Logging level') @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') @click.option('--host', '-h', default='127.0.0.1', help='Host address to bind')
def pikerd(loglevel, host): def pikerd(loglevel, host, tl):
"""Spawn the piker daemon. """Spawn the piker broker-daemon.
""" """
get_console_log(loglevel) get_console_log(loglevel)
tractor.run_daemon( tractor.run_daemon(
rpc_module_paths=['piker.brokers.core'], rpc_module_paths=['piker.brokers.data'],
statespace={ statespace={
'broker2tickersubs': {}, 'broker2tickersubs': {},
'clients': {}, 'clients': {},
'dtasks': set(), 'dtasks': set(),
}, },
name='brokerd', name='brokerd',
loglevel=loglevel, loglevel=loglevel if tl else None,
) )
@ -90,7 +92,7 @@ def api(meth, kwargs, loglevel, broker, keys):
help='Broker backend to use') help='Broker backend to use')
@click.option('--loglevel', '-l', default='warning', help='Logging level') @click.option('--loglevel', '-l', default='warning', help='Logging level')
@click.option('--df-output', '-df', flag_value=True, @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) @click.argument('tickers', nargs=-1, required=True)
def quote(loglevel, broker, tickers, df_output): def quote(loglevel, broker, tickers, df_output):
"""Retreive symbol quotes on the console in either json or dataframe """Retreive symbol quotes on the console in either json or dataframe
@ -98,7 +100,7 @@ def quote(loglevel, broker, tickers, df_output):
""" """
brokermod = get_brokermod(broker) brokermod = get_brokermod(broker)
get_console_log(loglevel) get_console_log(loglevel)
quotes = trio.run(partial(core.quote, brokermod, tickers)) quotes = trio.run(partial(core.stocks_quote, brokermod, tickers))
if not quotes: if not quotes:
log.error(f"No quotes could be found for {tickers}?") log.error(f"No quotes could be found for {tickers}?")
return return
@ -116,15 +118,40 @@ def quote(loglevel, broker, tickers, df_output):
click.echo(colorize_json(quotes)) click.echo(colorize_json(quotes))
@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.
"""
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() @cli.command()
@click.option('--broker', '-b', default=DEFAULT_BROKER, @click.option('--broker', '-b', default=DEFAULT_BROKER,
help='Broker backend to use') help='Broker backend to use')
@click.option('--loglevel', '-l', default='warning', help='Logging level') @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', @click.option('--dhost', '-dh', default='127.0.0.1',
help='Daemon host address to connect to') help='Daemon host address to connect to')
@click.argument('name', nargs=1, required=True) @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. """Spawn a real-time watchlist.
""" """
from .ui.monitor import _async_main from .ui.monitor import _async_main
@ -137,28 +164,71 @@ def monitor(loglevel, broker, rate, name, dhost):
log.error(f"No symbols found for watchlist `{name}`?") log.error(f"No symbols found for watchlist `{name}`?")
return 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: # run app "main"
async with tractor.find_actor('brokerd') as portal: await _async_main(
if not portal: name, portal, tickers,
log.warn("No broker daemon could be found") brokermod, rate, agen,
log.warning("Spawning local brokerd..")
portal = await nursery.start_actor(
'brokerd',
statespace={
'broker2tickersubs': {},
'clients': {},
'dtasks': set(),
},
rpc_module_paths=['piker.brokers.core'],
loglevel=loglevel,
) )
# run kivy app tractor.run(
await _async_main(name, portal, tickers, brokermod, rate) 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() @cli.group()
@ -247,3 +317,59 @@ def merge(ctx, watchlist_to_merge):
@click.pass_context @click.pass_context
def dump(ctx, name): def dump(ctx, name):
click.echo(json.dumps(ctx.obj['watchlist'])) 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))

8
piker/log.py
View File

@ -72,10 +72,10 @@ def get_console_log(level: str = None, name: str = None) -> logging.Logger:
if level: if level:
log.setLevel(level.upper() if not isinstance(level, int) else level) log.setLevel(level.upper() if not isinstance(level, int) else level)
if not any( for handler in log.handlers:
handler.stream == sys.stderr for handler in log.handlers if getattr(handler, 'stream', None) and handler.stream == sys.stderr:
if getattr(handler, 'stream', None) break
): else:
handler = logging.StreamHandler() handler = logging.StreamHandler()
formatter = colorlog.ColoredFormatter( formatter = colorlog.ColoredFormatter(

16
piker/ui/monitor.py
View File

@ -41,7 +41,7 @@ def colorcode(name):
return _colors[name if name else 'gray'] return _colors[name if name else 'gray']
_bs = 3 # border size _bs = 4 # border size
_color = [0.13]*3 # nice shade of gray _color = [0.13]*3 # nice shade of gray
_kv = (f''' _kv = (f'''
#:kivy 1.10.0 #:kivy 1.10.0
@ -74,7 +74,7 @@ _kv = (f'''
<TickerTable> <TickerTable>
spacing: '{_bs}dp' spacing: '{_bs}dp'
row_force_default: True row_force_default: True
row_default_height: 75 row_default_height: 63
cols: 1 cols: 1
<BidAskLayout> <BidAskLayout>
@ -143,7 +143,7 @@ class BidAskLayout(StackLayout):
cell_type = HeaderCell if header else Cell cell_type = HeaderCell if header else Cell
top_size = cell_type().font_size top_size = cell_type().font_size
small_size = top_size - 2 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 bottom_prop = 1 - top_prop
for (key, size_hint, font_size), value in zip( for (key, size_hint, font_size), value in zip(
[('last', (1, top_prop), top_size), [('last', (1, top_prop), top_size),
@ -175,6 +175,7 @@ class BidAskLayout(StackLayout):
@row.setter @row.setter
def row(self, row): def row(self, row):
# so hideous
for cell in self.cells: for cell in self.cells:
cell.row = row cell.row = row
@ -338,7 +339,11 @@ async def update_quotes(
else: else:
color = colorcode('gray') color = colorcode('gray')
# row header and % cell color
chngcell.color = hdrcell.color = 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 the cell has been "highlighted" make sure to change its color
if hdrcell.background_color != [0]*4: if hdrcell.background_color != [0]*4:
@ -356,9 +361,10 @@ async def update_quotes(
color_row(row, record) color_row(row, record)
cache[sym] = (record, row) cache[sym] = (record, row)
# render all rows once up front
grid.render_rows(cache) grid.render_rows(cache)
# core cell update loop # real-time cell update loop
async for quotes in agen: # new quotes data only async for quotes in agen: # new quotes data only
for symbol, quote in quotes.items(): for symbol, quote in quotes.items():
record, displayable = brokermod.format_quote( record, displayable = brokermod.format_quote(
@ -378,7 +384,7 @@ async def update_quotes(
async def _async_main(name, portal, tickers, brokermod, rate): async def _async_main(name, portal, tickers, brokermod, rate):
'''Launch kivy app + all other related tasks. '''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 # subscribe for tickers (this performs a possible filtering
# where invalid symbols are discarded) # where invalid symbols are discarded)

23
setup.py
View File

@ -1,10 +1,21 @@
#!/usr/bin/env python #!/usr/bin/env python
#
# piker: destroy all suits
# Copyright 2018 Tyler Goodlet # Copyright 2018 Tyler Goodlet
#
# This Source Code Form is subject to the terms of the Mozilla Public # This program is free software: you can redistribute it and/or modify
# License, v. 2.0. If a copy of the MPL was not distributed with this # it under the terms of the GNU General Public License as published by
# file, You can obtain one at http://mozilla.org/MPL/2.0/. # 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 <http://www.gnu.org/licenses/>.
from setuptools import setup from setuptools import setup
with open('README.rst', encoding='utf-8') as f: with open('README.rst', encoding='utf-8') as f:
@ -43,7 +54,7 @@ setup(
'questrade': ['asks'], 'questrade': ['asks'],
}, },
tests_require=['pytest'], tests_require=['pytest'],
python_requires=">=3.6", python_requires=">=3.7", # literally for ``datetime.datetime.fromisoformat``...
keywords=["async", "trading", "finance", "quant", "charting"], keywords=["async", "trading", "finance", "quant", "charting"],
classifiers=[ classifiers=[
'Development Status :: 3 - Alpha', 'Development Status :: 3 - Alpha',

22
tests/conftest.py 100644
View File

@ -0,0 +1,22 @@
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']
@pytest.fixture
def tmx_symbols():
return ['APHA.TO', 'WEED.TO', 'ACB.TO']
@pytest.fixture
def cse_symbols():
return ['TRUL.CN', 'CWEB.CN', 'SNN.CN']

173
tests/test_questrade.py 100644
View File

@ -0,0 +1,173 @@
"""
Questrade broker testing
"""
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
_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
}
# 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.
"""
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)
@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.symbol2contracts(symbol)
assert isinstance(id, int)
assert isinstance(contracts, dict)
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
contracts = await client.get_all_contracts(tmx_symbols)
# chains quote for all symbols
quotes = await client.option_chains(contracts)
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
@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_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: None}}
for expected_latency, contract in [
# NOTE: request latency is usually 2x faster that these
(5, contracts), (0.5, single)
]:
for _ in range(10):
# chains quote for all symbols
start = time.time()
await client.option_chains(contract)
took = time.time() - start
print(f"Request took {took}")
assert took <= expected_latency
await trio.sleep(0.1)

17
tests/test_tractor.py
View File

@ -5,11 +5,6 @@ import pytest
import tractor import tractor
@pytest.fixture
def us_symbols():
return ['TSLA', 'AAPL', 'CGC', 'CRON']
async def rx_price_quotes_from_brokerd(us_symbols): async def rx_price_quotes_from_brokerd(us_symbols):
"""Verify we can spawn a daemon actor and retrieve streamed price data. """Verify we can spawn a daemon actor and retrieve streamed price data.
""" """
@ -20,9 +15,9 @@ async def rx_price_quotes_from_brokerd(us_symbols):
# no brokerd actor found # no brokerd actor found
portal = await nursery.start_actor( portal = await nursery.start_actor(
'brokerd', 'brokerd',
rpc_module_paths=['piker.brokers.core'], rpc_module_paths=['piker.brokers.data'],
statespace={ statespace={
'brokers2tickersubs': {}, 'broker2tickersubs': {},
'clients': {}, 'clients': {},
'dtasks': set() 'dtasks': set()
}, },
@ -31,14 +26,14 @@ async def rx_price_quotes_from_brokerd(us_symbols):
# gotta expose in a broker agnostic way... # gotta expose in a broker agnostic way...
# retrieve initial symbol data # retrieve initial symbol data
# sd = await portal.run( # 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 # assert list(sd.keys()) == us_symbols
gen = await portal.run( gen = await portal.run(
'piker.brokers.core', 'piker.brokers.data',
'_test_price_stream', 'start_quote_stream',
broker='robinhood', broker='robinhood',
symbols=us_symbols, tickers=us_symbols,
) )
# it'd sure be nice to have an asyncitertools here... # it'd sure be nice to have an asyncitertools here...
async for quotes in gen: async for quotes in gen:

1
tests/test_watchlists.py
View File

@ -1,7 +1,6 @@
""" """
Watchlists testing. Watchlists testing.
""" """
import json
import pytest import pytest
import tempfile import tempfile
import os.path import os.path