goodboy
GitHub
commit
0fbab8b831
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@ -50,37 +50,37 @@
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},
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"hashes": [
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],
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"index": "pypi",
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"version": "==0.29"
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"version": "==0.29.1"
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},
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"e1839a8": {
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"editable": true,
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@ -112,24 +112,16 @@
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},
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"msgpack": {
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"hashes": [
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],
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"index": "pypi",
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"version": "==0.5.6"
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"version": "==0.6.0"
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},
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"multio": {
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"hashes": [
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@ -204,17 +196,17 @@
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},
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"pdbpp": {
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"hashes": [
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"index": "pypi",
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"version": "==0.9.2"
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"version": "==0.9.3"
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},
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"pygments": {
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"hashes": [
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],
|
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"version": "==2.2.0"
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"version": "==2.3.0"
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},
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"python-dateutil": {
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"hashes": [
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@ -246,14 +238,14 @@
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},
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"sortedcontainers": {
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"hashes": [
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"sha256:220bb2e3e1886297fd7cdd6d164cb5cf237be1cfae1a3a3e526d149c52816682",
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],
|
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"version": "==2.0.5"
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"version": "==2.1.0"
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},
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"tractor": {
|
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"git": "git://github.com/tgoodlet/tractor.git",
|
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"ref": "71bb87aa3a249af37ec68d00b0a5853f58923f1e"
|
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"ref": "c0cdb3945a9a9538b65bd76038f263e859fbbfe7"
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},
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"trio": {
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"hashes": [
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@ -314,37 +306,37 @@
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},
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|
||||
"sha256:b50a8de6f2820286129fe7d71d76c9e0c0f53a8c83cf39bbe6375b827994e4f1",
|
||||
"sha256:b528a9c152c569062375d5c2260b59f8243bb4136fc38420854ac1bd4aa0d02f",
|
||||
"sha256:b72db7201a4aa0445f27af9954d48ed7d2c119ce3b8b253e4dcd514fc72e5dc6",
|
||||
"sha256:d3444e10ccb5b16e4c1bed3cb3c565ec676b20a21eb43430e70ec4168c631dcc",
|
||||
"sha256:e16d6f06f4d2161347e51c4bc1f7a8feedeee444d26efa92243f18441a6fa742",
|
||||
"sha256:f5774bef92d33a62a584f6e7552a9a8653241ecc036e259bfb03d33091599537"
|
||||
],
|
||||
"index": "pypi",
|
||||
"version": "==0.29"
|
||||
"version": "==0.29.1"
|
||||
},
|
||||
"fancycompleter": {
|
||||
"hashes": [
|
||||
|
|
@ -376,24 +368,16 @@
|
|||
},
|
||||
"msgpack": {
|
||||
"hashes": [
|
||||
"sha256:0b3b1773d2693c70598585a34ca2715873ba899565f0a7c9a1545baef7e7fbdc",
|
||||
"sha256:0bae5d1538c5c6a75642f75a1781f3ac2275d744a92af1a453c150da3446138b",
|
||||
"sha256:0ee8c8c85aa651be3aa0cd005b5931769eaa658c948ce79428766f1bd46ae2c3",
|
||||
"sha256:1369f9edba9500c7a6489b70fdfac773e925342f4531f1e3d4c20ac3173b1ae0",
|
||||
"sha256:22d9c929d1d539f37da3d1b0e16270fa9d46107beab8c0d4d2bddffffe895cee",
|
||||
"sha256:2ff43e3247a1e11d544017bb26f580a68306cec7a6257d8818893c1fda665f42",
|
||||
"sha256:31a98047355d34d047fcdb55b09cb19f633cf214c705a765bd745456c142130c",
|
||||
"sha256:8767eb0032732c3a0da92cbec5ac186ef89a3258c6edca09161472ca0206c45f",
|
||||
"sha256:8acc8910218555044e23826980b950e96685dc48124a290c86f6f41a296ea172",
|
||||
"sha256:ab189a6365be1860a5ecf8159c248f12d33f79ea799ae9695fa6a29896dcf1d4",
|
||||
"sha256:cfd6535feb0f1cf1c7cdb25773e965cc9f92928244a8c3ef6f8f8a8e1f7ae5c4",
|
||||
"sha256:e274cd4480d8c76ec467a85a9c6635bbf2258f0649040560382ab58cabb44bcf",
|
||||
"sha256:f86642d60dca13e93260187d56c2bef2487aa4d574a669e8ceefcf9f4c26fd00",
|
||||
"sha256:f8a57cbda46a94ed0db55b73e6ab0c15e78b4ede8690fa491a0e55128d552bb0",
|
||||
"sha256:fcea97a352416afcbccd7af9625159d80704a25c519c251c734527329bb20d0e"
|
||||
"sha256:102802a9433dcf36f939b632cce9dea87310b2f163bb37ffc8bc343677726e88",
|
||||
"sha256:64abc6bf3a2ac301702f5760f4e6e227d0fd4d84d9014ef9a40faa9d43365259",
|
||||
"sha256:72259661a83f8b08ef6ee83927ce4937f841226735824af5b10a536d886eeb36",
|
||||
"sha256:85f1342b9d7549dd3daf494100d47a3dc7daae703cdbfc2c9ee7bbdc8a492cba",
|
||||
"sha256:8ce9f88b6cb75d74eda2a5522e5c2e5ec0f17fd78605d6502abb61f46b306865",
|
||||
"sha256:9936ce3a530ca78db60b6631003b5f4ba383cfb1d9830a27d1b5c61857226e2f",
|
||||
"sha256:cb4e228f3d93779a1d77a1e9d72759b79dfa2975c1a5bd2a090eaa98239fa4b1"
|
||||
],
|
||||
"index": "pypi",
|
||||
"version": "==0.5.6"
|
||||
"version": "==0.6.0"
|
||||
},
|
||||
"multio": {
|
||||
"hashes": [
|
||||
|
|
@ -468,10 +452,10 @@
|
|||
},
|
||||
"pdbpp": {
|
||||
"hashes": [
|
||||
"sha256:dde77326e4ea41439c243ed065826d53539530eeabd1b6615aae15cfbb9fda05"
|
||||
"sha256:535085916fcfb768690ba0aeab2967c2a2163a0a60e5b703776846873e171399"
|
||||
],
|
||||
"index": "pypi",
|
||||
"version": "==0.9.2"
|
||||
"version": "==0.9.3"
|
||||
},
|
||||
"piker": {
|
||||
"editable": true,
|
||||
|
|
@ -493,18 +477,18 @@
|
|||
},
|
||||
"pygments": {
|
||||
"hashes": [
|
||||
"sha256:78f3f434bcc5d6ee09020f92ba487f95ba50f1e3ef83ae96b9d5ffa1bab25c5d",
|
||||
"sha256:dbae1046def0efb574852fab9e90209b23f556367b5a320c0bcb871c77c3e8cc"
|
||||
"sha256:6301ecb0997a52d2d31385e62d0a4a4cf18d2f2da7054a5ddad5c366cd39cee7",
|
||||
"sha256:82666aac15622bd7bb685a4ee7f6625dd716da3ef7473620c192c0168aae64fc"
|
||||
],
|
||||
"version": "==2.2.0"
|
||||
"version": "==2.3.0"
|
||||
},
|
||||
"pytest": {
|
||||
"hashes": [
|
||||
"sha256:3f193df1cfe1d1609d4c583838bea3d532b18d6160fd3f55c9447fdca30848ec",
|
||||
"sha256:e246cf173c01169b9617fc07264b7b1316e78d7a650055235d6d897bc80d9660"
|
||||
"sha256:1d131cc532be0023ef8ae265e2a779938d0619bb6c2510f52987ffcba7fa1ee4",
|
||||
"sha256:ca4761407f1acc85ffd1609f464ca20bb71a767803505bd4127d0e45c5a50e23"
|
||||
],
|
||||
"index": "pypi",
|
||||
"version": "==3.10.1"
|
||||
"version": "==4.0.1"
|
||||
},
|
||||
"python-dateutil": {
|
||||
"hashes": [
|
||||
|
|
@ -536,10 +520,10 @@
|
|||
},
|
||||
"sortedcontainers": {
|
||||
"hashes": [
|
||||
"sha256:220bb2e3e1886297fd7cdd6d164cb5cf237be1cfae1a3a3e526d149c52816682",
|
||||
"sha256:b74f2756fb5e23512572cc76f0fe0832fd86310f77dfee54335a35fb33f6b950"
|
||||
"sha256:974e9a32f56b17c1bac2aebd9dcf197f3eb9cd30553c5852a3187ad162e1a03a",
|
||||
"sha256:d9e96492dd51fae31e60837736b38fe42a187b5404c16606ff7ee7cd582d4c60"
|
||||
],
|
||||
"version": "==2.0.5"
|
||||
"version": "==2.1.0"
|
||||
},
|
||||
"trio": {
|
||||
"hashes": [
|
||||
|
|
|
|||
|
|
@ -0,0 +1,33 @@
|
|||
"""
|
||||
Async utils no one seems to have built into a core lib (yet).
|
||||
"""
|
||||
from collections import OrderedDict
|
||||
|
||||
|
||||
def async_lifo_cache(maxsize=128):
|
||||
"""Async ``cache`` with a LIFO policy.
|
||||
|
||||
Implemented my own since no one else seems to have
|
||||
a standard. I'll wait for the smarter people to come
|
||||
up with one, but until then...
|
||||
"""
|
||||
cache = OrderedDict()
|
||||
|
||||
def decorator(fn):
|
||||
|
||||
async def wrapper(*args):
|
||||
key = args
|
||||
try:
|
||||
return cache[key]
|
||||
except KeyError:
|
||||
if len(cache) >= maxsize:
|
||||
# discard last added new entry
|
||||
cache.popitem()
|
||||
|
||||
# do it
|
||||
cache[key] = await fn(*args)
|
||||
return cache[key]
|
||||
|
||||
return wrapper
|
||||
|
||||
return decorator
|
||||
|
|
@ -6,6 +6,7 @@ from types import ModuleType
|
|||
from typing import List, Dict, Any, Optional
|
||||
|
||||
from ..log import get_logger
|
||||
from .data import DataFeed
|
||||
|
||||
|
||||
log = get_logger('broker.core')
|
||||
|
|
@ -19,7 +20,7 @@ async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict:
|
|||
meth = getattr(client.api, methname, None)
|
||||
if meth is None:
|
||||
log.warning(
|
||||
"Couldn't find API method {methname} looking up on client")
|
||||
f"Couldn't find API method {methname} looking up on client")
|
||||
meth = getattr(client, methname, None)
|
||||
|
||||
if meth is None:
|
||||
|
|
@ -45,14 +46,10 @@ async def stocks_quote(
|
|||
"""Return quotes dict for ``tickers``.
|
||||
"""
|
||||
async with brokermod.get_client() as client:
|
||||
results = await client.quote(tickers)
|
||||
for key, val in results.items():
|
||||
if val is None:
|
||||
brokermod.log.warn(f"Could not find symbol {key}?")
|
||||
|
||||
return results
|
||||
return await client.quote(tickers)
|
||||
|
||||
|
||||
# TODO: these need tests
|
||||
async def option_chain(
|
||||
brokermod: ModuleType,
|
||||
symbol: str,
|
||||
|
|
@ -67,7 +64,8 @@ async def option_chain(
|
|||
if date:
|
||||
id = int((await client.tickers2ids([symbol]))[symbol])
|
||||
# build contracts dict for single expiry
|
||||
return await client.option_chains({id: {date: None}})
|
||||
return await client.option_chains(
|
||||
{(symbol, id, date): {}})
|
||||
else:
|
||||
# get all contract expiries
|
||||
# (takes a long-ass time on QT fwiw)
|
||||
|
|
@ -83,4 +81,5 @@ async def contracts(
|
|||
"""Return option contracts (all expiries) for ``symbol``.
|
||||
"""
|
||||
async with brokermod.get_client() as client:
|
||||
# return await client.get_all_contracts([symbol])
|
||||
return await client.get_all_contracts([symbol])
|
||||
|
|
|
|||
|
|
@ -7,7 +7,10 @@ from itertools import cycle
|
|||
import socket
|
||||
import json
|
||||
from types import ModuleType
|
||||
from typing import Coroutine, Callable, Dict, List
|
||||
import typing
|
||||
from typing import Coroutine, Callable, Dict, List, Any
|
||||
import contextlib
|
||||
from operator import itemgetter
|
||||
|
||||
import trio
|
||||
import tractor
|
||||
|
|
@ -56,12 +59,14 @@ async def stream_quotes(
|
|||
_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()
|
||||
|
||||
postquote_start = time.time()
|
||||
|
||||
cancelled = cancel_scope.cancelled_caught
|
||||
if cancelled:
|
||||
log.warn("Quote query timed out after 3 seconds, retrying...")
|
||||
|
|
@ -69,18 +74,20 @@ async def stream_quotes(
|
|||
# quotes = await wait_for_network(partial(get_quotes, tickers))
|
||||
quotes = await wait_for_network(request_quotes)
|
||||
|
||||
postquote_start = time.time()
|
||||
new_quotes = {}
|
||||
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
|
||||
# If cache is enabled then only deliver "new" changes.
|
||||
# Useful for polling setups but obviously should be
|
||||
# disabled if you're rx-ing event data.
|
||||
for quote in quotes:
|
||||
symbol = quote['symbol']
|
||||
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.append(quote)
|
||||
else:
|
||||
new_quotes = quotes
|
||||
|
||||
|
|
@ -101,31 +108,51 @@ async def stream_quotes(
|
|||
await trio.sleep(delay)
|
||||
|
||||
|
||||
class DataFeed(typing.NamedTuple):
|
||||
"""A per broker "data feed" container.
|
||||
|
||||
A structure to keep track of components used by
|
||||
real-time data daemons.
|
||||
"""
|
||||
mod: ModuleType
|
||||
client: object
|
||||
quoter_keys: List[str] = ['stock', 'option']
|
||||
tasks: Dict[str, trio._core._run.Task] = dict.fromkeys(
|
||||
quoter_keys, False)
|
||||
quoters: Dict[str, typing.Coroutine] = {}
|
||||
subscriptions: Dict[str, Dict[str, set]] = {'option': {}, 'stock': {}}
|
||||
|
||||
|
||||
async def fan_out_to_chans(
|
||||
brokermod: ModuleType,
|
||||
feed: DataFeed,
|
||||
get_quotes: Coroutine,
|
||||
tickers2chans: Dict[str, tractor.Channel],
|
||||
symbols2chans: 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'))
|
||||
broker_limit = getattr(feed.mod, '_rate_limit', float('inf'))
|
||||
if broker_limit < rate:
|
||||
rate = broker_limit
|
||||
log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec")
|
||||
log.warn(f"Limiting {feed.mod.__name__} query rate to {rate}/sec")
|
||||
|
||||
async def request():
|
||||
"""Get quotes for current symbol subscription set.
|
||||
"""
|
||||
return await get_quotes(list(tickers2chans.keys()))
|
||||
return await get_quotes(list(symbols2chans.keys()))
|
||||
|
||||
async for quotes in stream_quotes(brokermod, request, rate):
|
||||
async for quotes in stream_quotes(
|
||||
feed.mod, request, rate,
|
||||
diff_cached=diff_cached,
|
||||
):
|
||||
chan_payloads = {}
|
||||
for symbol, quote in quotes.items():
|
||||
for quote in quotes:
|
||||
# is this too QT specific?
|
||||
symbol = quote['symbol']
|
||||
# set symbol quotes for each subscriber
|
||||
for chan, cid in tickers2chans.get(symbol, set()):
|
||||
for chan, cid in symbols2chans.get(quote['key'], set()):
|
||||
chan_payloads.setdefault(
|
||||
chan,
|
||||
{'yield': {}, 'cid': cid}
|
||||
|
|
@ -142,41 +169,21 @@ async def fan_out_to_chans(
|
|||
ConnectionRefusedError,
|
||||
):
|
||||
log.warn(f"{chan} went down?")
|
||||
for chanset in tickers2chans.values():
|
||||
for chanset in symbols2chans.values():
|
||||
chanset.discard((chan, cid))
|
||||
|
||||
if not any(tickers2chans.values()):
|
||||
log.warn(f"No subs left for broker {brokermod.name}, exiting task")
|
||||
if not any(symbols2chans.values()):
|
||||
log.warn(f"No subs left for broker {feed.mod.name}, exiting task")
|
||||
break
|
||||
|
||||
log.info(f"Terminating stream quoter task for {brokermod.name}")
|
||||
log.info(f"Terminating stream quoter task for {feed.mod.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):
|
||||
async def symbol_data(broker: str, tickers: List[str]):
|
||||
"""Retrieve baseline symbol info from broker.
|
||||
"""
|
||||
_, client, _, get_quotes = await get_cached_client(broker, tickers)
|
||||
return await client.symbol_data(tickers)
|
||||
feed = await get_cached_feed(broker)
|
||||
return await feed.client.symbol_data(tickers)
|
||||
|
||||
|
||||
async def smoke_quote(get_quotes, tickers, broker):
|
||||
|
|
@ -192,8 +199,9 @@ async def smoke_quote(get_quotes, tickers, broker):
|
|||
# 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)
|
||||
invalid_tickers = set(tickers) - set(map(itemgetter('key'), quotes))
|
||||
for symbol in invalid_tickers:
|
||||
tickers.remove(symbol)
|
||||
log.warn(
|
||||
|
|
@ -202,7 +210,8 @@ async def smoke_quote(get_quotes, tickers, broker):
|
|||
|
||||
# pop any tickers that return "empty" quotes
|
||||
payload = {}
|
||||
for symbol, quote in quotes.items():
|
||||
for quote in quotes:
|
||||
symbol = quote['symbol']
|
||||
if quote is None:
|
||||
log.warn(
|
||||
f"Symbol `{symbol}` not found by broker"
|
||||
|
|
@ -210,6 +219,12 @@ async def smoke_quote(get_quotes, tickers, broker):
|
|||
# XXX: not this mutates the input list (for now)
|
||||
tickers.remove(symbol)
|
||||
continue
|
||||
|
||||
# report any unknown/invalid symbols (QT specific)
|
||||
if quote.get('low52w', False) is None:
|
||||
log.warn(
|
||||
f"{symbol} seems to be defunct")
|
||||
|
||||
payload[symbol] = quote
|
||||
|
||||
return payload
|
||||
|
|
@ -218,23 +233,25 @@ async def smoke_quote(get_quotes, tickers, broker):
|
|||
###########################################
|
||||
|
||||
|
||||
def modify_quote_stream(broker, tickers, chan=None, cid=None):
|
||||
async def modify_quote_stream(broker, feed_type, symbols, chan=None, cid=None):
|
||||
"""Absolute symbol subscription list for each quote stream.
|
||||
|
||||
Effectively a consumer subscription api.
|
||||
Effectively a symbol subscription api.
|
||||
"""
|
||||
log.info(f"{chan} changed symbol subscription to {tickers}")
|
||||
ss = tractor.current_actor().statespace
|
||||
broker2tickersubs = ss['broker2tickersubs']
|
||||
tickers2chans = broker2tickersubs.get(broker)
|
||||
log.info(f"{chan} changed symbol subscription to {symbols}")
|
||||
feed = await get_cached_feed(broker)
|
||||
symbols2chans = feed.subscriptions[feed_type]
|
||||
# update map from each symbol to requesting client's chan
|
||||
for ticker in tickers:
|
||||
tickers2chans.setdefault(ticker, set()).add((chan, cid))
|
||||
for ticker in symbols:
|
||||
symbols2chans.setdefault(ticker, set()).add((chan, cid))
|
||||
|
||||
# remove any existing symbol subscriptions if symbol is not
|
||||
# found in ``symbols``
|
||||
# TODO: this can likely be factored out into the pub-sub api
|
||||
for ticker in filter(
|
||||
lambda ticker: ticker not in tickers, tickers2chans.copy()
|
||||
lambda ticker: ticker not in symbols, symbols2chans.copy()
|
||||
):
|
||||
chanset = tickers2chans.get(ticker)
|
||||
chanset = symbols2chans.get(ticker)
|
||||
# XXX: cid will be different on unsub call
|
||||
for item in chanset.copy():
|
||||
if chan in item:
|
||||
|
|
@ -242,12 +259,42 @@ def modify_quote_stream(broker, tickers, chan=None, cid=None):
|
|||
|
||||
if not chanset:
|
||||
# pop empty sets which will trigger bg quoter task termination
|
||||
tickers2chans.pop(ticker)
|
||||
symbols2chans.pop(ticker)
|
||||
|
||||
|
||||
async def get_cached_feed(
|
||||
brokername: str,
|
||||
) -> DataFeed:
|
||||
"""Get/create a ``DataFeed`` from/in the current actor.
|
||||
"""
|
||||
# check if a cached client is in the local actor's statespace
|
||||
ss = tractor.current_actor().statespace
|
||||
feeds = ss['feeds']
|
||||
lock = feeds['_lock']
|
||||
feed_stack = ss['feed_stacks'][brokername]
|
||||
async with lock:
|
||||
try:
|
||||
feed = feeds[brokername]
|
||||
log.info(f"Subscribing with existing `{brokername}` daemon")
|
||||
return feed
|
||||
except KeyError:
|
||||
log.info(f"Creating new client for broker {brokername}")
|
||||
brokermod = get_brokermod(brokername)
|
||||
client = await feed_stack.enter_async_context(
|
||||
brokermod.get_client())
|
||||
feed = DataFeed(
|
||||
mod=brokermod,
|
||||
client=client,
|
||||
)
|
||||
feeds[brokername] = feed
|
||||
return feed
|
||||
|
||||
|
||||
async def start_quote_stream(
|
||||
broker: str,
|
||||
tickers: List[str],
|
||||
symbols: List[Any],
|
||||
feed_type: str = 'stock',
|
||||
diff_cached: bool = True,
|
||||
chan: tractor.Channel = None,
|
||||
cid: str = None,
|
||||
) -> None:
|
||||
|
|
@ -263,57 +310,75 @@ async def start_quote_stream(
|
|||
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)
|
||||
# broker2symbolsubs = ss.setdefault('broker2symbolsubs', {})
|
||||
ss.setdefault('feeds', {'_lock': trio.Lock()})
|
||||
feed_stacks = ss.setdefault('feed_stacks', {})
|
||||
symbols = list(symbols)
|
||||
log.info(
|
||||
f"{chan.uid} subscribed to {broker} for tickers {tickers}")
|
||||
f"{chan.uid} subscribed to {broker} for symbols {symbols}")
|
||||
feed_stack = feed_stacks.setdefault(broker, contextlib.AsyncExitStack())
|
||||
# another actor task may have already created it
|
||||
feed = await get_cached_feed(broker)
|
||||
symbols2chans = feed.subscriptions[feed_type]
|
||||
|
||||
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})
|
||||
if feed_type == 'stock':
|
||||
get_quotes = feed.quoters.setdefault(
|
||||
'stock',
|
||||
await feed.mod.stock_quoter(feed.client, symbols)
|
||||
)
|
||||
# do a smoke quote (note this mutates the input list and filters
|
||||
# out bad symbols for now)
|
||||
payload = await smoke_quote(get_quotes, symbols, broker)
|
||||
# push initial smoke quote response for client initialization
|
||||
await chan.send({'yield': payload, 'cid': cid})
|
||||
elif feed_type == 'option':
|
||||
# FIXME: yeah we need maybe a more general way to specify
|
||||
# the arg signature for the option feed beasides a symbol
|
||||
# + expiry date.
|
||||
get_quotes = feed.quoters.setdefault(
|
||||
'option',
|
||||
await feed.mod.option_quoter(feed.client, symbols)
|
||||
)
|
||||
|
||||
# update map from each symbol to requesting client's chan
|
||||
modify_quote_stream(broker, tickers, chan=chan, cid=cid)
|
||||
await modify_quote_stream(broker, feed_type, symbols, chan, 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)
|
||||
|
||||
if not feed.tasks.get(feed_type):
|
||||
# no data feeder task yet; so start one
|
||||
respawn = True
|
||||
log.info(f"Spawning data feed task for {feed.mod.name}")
|
||||
while respawn:
|
||||
respawn = False
|
||||
try:
|
||||
async with trio.open_nursery() as nursery:
|
||||
nursery.start_soon(
|
||||
partial(
|
||||
fan_out_to_chans, feed, get_quotes,
|
||||
symbols2chans,
|
||||
diff_cached=diff_cached,
|
||||
cid=cid
|
||||
)
|
||||
)
|
||||
feed.tasks[feed_type] = True
|
||||
except trio.BrokenResourceError:
|
||||
log.exception("Respawning failed data feed task")
|
||||
respawn = True
|
||||
# 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:
|
||||
log.info(f"Terminated {feed_type} quoter task for {feed.mod.name}")
|
||||
feed.tasks.pop(feed_type)
|
||||
# if there are truly no more subscriptions with this broker
|
||||
# drop from broker subs dict
|
||||
if not any(tickers2chans.values()):
|
||||
if not any(symbols2chans.values()):
|
||||
log.info(f"No more subscriptions for {broker}")
|
||||
broker2tickersubs.pop(broker, None)
|
||||
dtasks.discard(broker)
|
||||
# broker2symbolsubs.pop(broker, None)
|
||||
|
||||
# destroy the API client
|
||||
await feed_stack.aclose()
|
||||
|
||||
|
||||
async def stream_to_file(
|
||||
|
|
|
|||
|
|
@ -5,7 +5,8 @@ import time
|
|||
from datetime import datetime
|
||||
from functools import partial
|
||||
import configparser
|
||||
from typing import List, Tuple, Dict, Any
|
||||
from operator import itemgetter
|
||||
from typing import List, Tuple, Dict, Any, Iterator, NamedTuple
|
||||
|
||||
import trio
|
||||
from async_generator import asynccontextmanager
|
||||
|
|
@ -14,6 +15,7 @@ from ..calc import humanize, percent_change
|
|||
from . import config
|
||||
from ._util import resproc, BrokerError
|
||||
from ..log import get_logger, colorize_json
|
||||
from .._async_utils import async_lifo_cache
|
||||
|
||||
# TODO: move to urllib3/requests once supported
|
||||
import asks
|
||||
|
|
@ -23,13 +25,19 @@ log = get_logger(__name__)
|
|||
|
||||
_refresh_token_ep = 'https://login.questrade.com/oauth2/'
|
||||
_version = 'v1'
|
||||
_rate_limit = 3 # queries/sec
|
||||
_rate_limit = 4 # queries/sec
|
||||
|
||||
|
||||
class QuestradeError(Exception):
|
||||
"Non-200 OK response code"
|
||||
|
||||
|
||||
class ContractsKey(NamedTuple):
|
||||
symbol: str
|
||||
id: int
|
||||
expiry: datetime
|
||||
|
||||
|
||||
class _API:
|
||||
"""Questrade API endpoints exposed as methods and wrapped with an
|
||||
http session.
|
||||
|
|
@ -60,7 +68,11 @@ class _API:
|
|||
'symbols', params={'ids': ids, 'names': names})
|
||||
|
||||
async def quotes(self, ids: str) -> dict:
|
||||
return await self._request('markets/quotes', params={'ids': ids})
|
||||
quotes = (await self._request(
|
||||
'markets/quotes', params={'ids': ids}))['quotes']
|
||||
for quote in quotes:
|
||||
quote['key'] = quote['symbol']
|
||||
return quotes
|
||||
|
||||
async def candles(self, id: str, start: str, end, interval) -> dict:
|
||||
return await self._request(f'markets/candles/{id}', params={})
|
||||
|
|
@ -78,20 +90,19 @@ class _API:
|
|||
|
||||
async def option_quotes(
|
||||
self,
|
||||
contracts: Dict[int, Dict[str, dict]],
|
||||
contracts: Dict[ContractsKey, Dict[int, 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)."
|
||||
"""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
|
||||
for (symbol, symbol_id, expiry), bystrike in contracts.items()
|
||||
]
|
||||
|
||||
resp = await self._sess.post(
|
||||
path=f'/markets/quotes/options',
|
||||
json={'filters': filters, 'optionIds': option_ids}
|
||||
|
|
@ -110,8 +121,9 @@ class Client:
|
|||
self.api = _API(self._sess)
|
||||
self._conf = config
|
||||
self.access_data = {}
|
||||
self.user_data = {}
|
||||
self._reload_config(config)
|
||||
self._symbol_cache: Dict[str, int] = {}
|
||||
self._contracts2expiries = {}
|
||||
|
||||
def _reload_config(self, config=None, **kwargs):
|
||||
log.warn("Reloading access config data")
|
||||
|
|
@ -212,12 +224,25 @@ class Client:
|
|||
|
||||
async def tickers2ids(self, tickers):
|
||||
"""Helper routine that take a sequence of ticker symbols and returns
|
||||
their corresponding QT symbol ids.
|
||||
their corresponding QT numeric symbol ids.
|
||||
|
||||
Cache any symbol to id lookups for later use.
|
||||
"""
|
||||
data = await self.api.symbols(names=','.join(tickers))
|
||||
cache = self._symbol_cache
|
||||
symbols2ids = {}
|
||||
for ticker, symbol in zip(tickers, data['symbols']):
|
||||
symbols2ids[symbol['symbol']] = str(symbol['symbolId'])
|
||||
for symbol in tickers:
|
||||
id = cache.get(symbol)
|
||||
if id is not None:
|
||||
symbols2ids[symbol] = id
|
||||
|
||||
# still missing uncached values - hit the server
|
||||
to_lookup = list(set(tickers) - set(symbols2ids))
|
||||
if to_lookup:
|
||||
data = await self.api.symbols(names=','.join(to_lookup))
|
||||
for ticker, symbol in zip(to_lookup, data['symbols']):
|
||||
name = symbol['symbol']
|
||||
assert name == ticker
|
||||
cache[name] = symbols2ids[name] = str(symbol['symbolId'])
|
||||
|
||||
return symbols2ids
|
||||
|
||||
|
|
@ -236,22 +261,17 @@ class Client:
|
|||
"""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}
|
||||
|
||||
# set None for all symbols not found
|
||||
if len(t2ids) < len(tickers):
|
||||
for ticker in tickers:
|
||||
if ticker not in quotes:
|
||||
quotes[ticker] = None
|
||||
quotes = []
|
||||
if t2ids:
|
||||
ids = ','.join(t2ids.values())
|
||||
quotes = (await self.api.quotes(ids=ids))
|
||||
|
||||
return quotes
|
||||
|
||||
async def symbol2contracts(
|
||||
self,
|
||||
symbol: str
|
||||
) -> Tuple[int, Dict[datetime, dict]]:
|
||||
) -> Dict[Tuple[str, int, datetime], dict]:
|
||||
"""Return option contract for the given symbol.
|
||||
|
||||
The most useful part is the expiries which can be passed to the option
|
||||
|
|
@ -259,15 +279,18 @@ class Client:
|
|||
"""
|
||||
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 {
|
||||
ContractsKey(
|
||||
symbol=symbol,
|
||||
id=id,
|
||||
# convert to native datetime objs for sorting
|
||||
expiry=datetime.fromisoformat(item['expiryDate'])):
|
||||
item for item in contracts
|
||||
}
|
||||
|
||||
async def get_all_contracts(
|
||||
self,
|
||||
symbols: List[str],
|
||||
symbols: Iterator[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
|
||||
|
|
@ -278,21 +301,29 @@ class Client:
|
|||
per symbol) and thus the return values should be cached for use with
|
||||
``option_chains()``.
|
||||
"""
|
||||
by_id = {}
|
||||
by_key = {}
|
||||
for symbol in symbols:
|
||||
id, contracts = await self.symbol2contracts(symbol)
|
||||
by_id[id] = {
|
||||
dt.isoformat(timespec='microseconds'): {
|
||||
contracts = await self.symbol2contracts(symbol)
|
||||
# FIXME: chainPerRoot here is probably why in some UIs
|
||||
# you see a second chain with a (1) suffixed; should
|
||||
# probably handle this eventually.
|
||||
for key, byroot in sorted(
|
||||
# sort by datetime
|
||||
contracts.items(),
|
||||
key=lambda item: item[0].expiry
|
||||
):
|
||||
by_key[
|
||||
ContractsKey(
|
||||
key.symbol,
|
||||
key.id,
|
||||
# converting back - maybe just do this initially?
|
||||
key.expiry.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
|
||||
return by_key
|
||||
|
||||
async def option_chains(
|
||||
self,
|
||||
|
|
@ -301,12 +332,14 @@ class Client:
|
|||
) -> 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 = []
|
||||
for key, bystrike in contracts.items():
|
||||
quotes = await self.api.option_quotes({key: bystrike})
|
||||
for quote in quotes:
|
||||
# index by .symbol, .expiry since that's what
|
||||
# a subscriber (currently) sends initially
|
||||
quote['key'] = (key[0], key[2])
|
||||
batch.extend(quotes)
|
||||
|
||||
return batch
|
||||
|
||||
|
|
@ -376,76 +409,115 @@ async def get_client() -> Client:
|
|||
write_conf(client)
|
||||
|
||||
|
||||
async def quoter(client: Client, tickers: List[str]):
|
||||
"""Stock Quoter context.
|
||||
async def stock_quoter(client: Client, tickers: List[str]):
|
||||
"""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 = {}
|
||||
ids = ''
|
||||
|
||||
def filter_symbols(quotes_dict: dict):
|
||||
nonlocal t2ids
|
||||
for symbol, quote in quotes_dict.items():
|
||||
if quote['low52w'] is None:
|
||||
log.warn(
|
||||
f"{symbol} seems to be defunct discarding from tickers")
|
||||
t2ids.pop(symbol)
|
||||
@async_lifo_cache(maxsize=128)
|
||||
async def get_symbol_id_seq(symbols: Tuple[str]):
|
||||
"""For each tuple ``(symbol_1, symbol_2, ... , symbol_n)``
|
||||
return a symbol id sequence string ``'id_1,id_2, ... , id_n'``.
|
||||
"""
|
||||
return ','.join(map(str, (await client.tickers2ids(symbols)).values()))
|
||||
|
||||
async def get_quote(tickers):
|
||||
"""Query for quotes using cached symbol ids.
|
||||
"""
|
||||
if not tickers:
|
||||
# don't hit the network
|
||||
return {}
|
||||
nonlocal ids, t2ids
|
||||
new, current = set(tickers), set(t2ids.keys())
|
||||
if new != current:
|
||||
# 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()))
|
||||
|
||||
ids = await get_symbol_id_seq(tuple(tickers))
|
||||
|
||||
try:
|
||||
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 actor may have
|
||||
# renewed already..
|
||||
client._reload_config()
|
||||
try:
|
||||
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)
|
||||
quotes_resp = await client.api.quotes(ids=ids)
|
||||
else:
|
||||
if "Access token is invalid" not in str(qterr.args[0]):
|
||||
raise
|
||||
# out-of-process piker actor may have
|
||||
# renewed already..
|
||||
client._reload_config()
|
||||
try:
|
||||
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)
|
||||
quotes_resp = await client.api.quotes(ids=ids)
|
||||
|
||||
# dict packing and post-processing
|
||||
quotes = {}
|
||||
for quote in quotes_resp['quotes']:
|
||||
quotes[quote['symbol']] = quote
|
||||
|
||||
# post-processing
|
||||
for quote in quotes_resp:
|
||||
if quote.get('delay', 0) > 0:
|
||||
log.warn(f"Delayed quote:\n{quote}")
|
||||
|
||||
return quotes
|
||||
return quotes_resp
|
||||
|
||||
# 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()))
|
||||
return get_quote
|
||||
|
||||
|
||||
async def option_quoter(client: Client, tickers: List[str]):
|
||||
"""Option quoter context.
|
||||
"""
|
||||
# sanity
|
||||
if isinstance(tickers[0], tuple):
|
||||
datetime.fromisoformat(tickers[0][1])
|
||||
else:
|
||||
log.warn(f"Ignoring option quoter call with {tickers}")
|
||||
# TODO make caller always check that a quoter has been set
|
||||
return
|
||||
|
||||
@async_lifo_cache(maxsize=128)
|
||||
async def get_contract_by_date(sym_date_pairs: Tuple[Tuple[str, str]]):
|
||||
"""For each tuple,
|
||||
``(symbol_date_1, symbol_date_2, ... , symbol_date_n)``
|
||||
return a contract dict.
|
||||
"""
|
||||
symbols = map(itemgetter(0), sym_date_pairs)
|
||||
dates = map(itemgetter(1), sym_date_pairs)
|
||||
contracts = await client.get_all_contracts(symbols)
|
||||
selected = {}
|
||||
for key, val in contracts.items():
|
||||
if key.expiry in dates:
|
||||
selected[key] = val
|
||||
|
||||
return selected
|
||||
|
||||
async def get_quote(symbol_date_pairs):
|
||||
"""Query for quotes using cached symbol ids.
|
||||
"""
|
||||
contracts = await get_contract_by_date(
|
||||
tuple(symbol_date_pairs))
|
||||
try:
|
||||
quotes = await client.option_chains(contracts)
|
||||
except (QuestradeError, BrokerError) as qterr:
|
||||
if "Access token is invalid" not in str(qterr.args[0]):
|
||||
raise
|
||||
# out-of-process piker actor may have
|
||||
# renewed already..
|
||||
client._reload_config()
|
||||
try:
|
||||
quotes = await client.option_chains(contracts)
|
||||
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)
|
||||
quotes = await client.option_chains(contracts)
|
||||
|
||||
return quotes
|
||||
|
||||
return get_quote
|
||||
|
||||
|
|
|
|||
|
|
@ -2,6 +2,7 @@
|
|||
Robinhood API backend.
|
||||
"""
|
||||
from functools import partial
|
||||
from typing import List
|
||||
|
||||
from async_generator import asynccontextmanager
|
||||
# TODO: move to urllib3/requests once supported
|
||||
|
|
@ -44,7 +45,7 @@ class Client:
|
|||
self._sess.base_location = _service_ep
|
||||
self.api = _API(self._sess)
|
||||
|
||||
def _zip_in_order(self, symbols: [str], results_dict: dict):
|
||||
def _zip_in_order(self, symbols: [str], quotes: List[dict]):
|
||||
return {quote.get('symbol', sym) if quote else sym: quote
|
||||
for sym, quote in zip(symbols, results_dict)}
|
||||
|
||||
|
|
@ -52,11 +53,16 @@ class Client:
|
|||
"""Retrieve quotes for a list of ``symbols``.
|
||||
"""
|
||||
try:
|
||||
resp = await self.api.quotes(','.join(symbols))
|
||||
quotes = (await self.api.quotes(','.join(symbols)))['results']
|
||||
except BrokerError:
|
||||
resp = {'results': [None] * len(symbols)}
|
||||
quotes = [None] * len(symbols)
|
||||
|
||||
return self._zip_in_order(symbols, resp['results'])
|
||||
for quote in quotes:
|
||||
# insert our subscription key field
|
||||
if quote is not None:
|
||||
quote['key'] = quote['symbol']
|
||||
|
||||
return list(filter(bool, quotes))
|
||||
|
||||
async def symbol_data(self, symbols: [str]):
|
||||
"""Retrieve symbol data via the ``fundamentals`` endpoint.
|
||||
|
|
|
|||
53
piker/cli.py
53
piker/cli.py
|
|
@ -4,6 +4,8 @@ Console interface to broker client/daemons.
|
|||
from functools import partial
|
||||
import json
|
||||
import os
|
||||
from operator import attrgetter
|
||||
from operator import itemgetter
|
||||
|
||||
import click
|
||||
import pandas as pd
|
||||
|
|
@ -32,11 +34,6 @@ def pikerd(loglevel, host, tl):
|
|||
get_console_log(loglevel)
|
||||
tractor.run_daemon(
|
||||
rpc_module_paths=['piker.brokers.data'],
|
||||
statespace={
|
||||
'broker2tickersubs': {},
|
||||
'clients': {},
|
||||
'dtasks': set(),
|
||||
},
|
||||
name='brokerd',
|
||||
loglevel=loglevel if tl else None,
|
||||
)
|
||||
|
|
@ -105,6 +102,12 @@ def quote(loglevel, broker, tickers, df_output):
|
|||
log.error(f"No quotes could be found for {tickers}?")
|
||||
return
|
||||
|
||||
if len(quotes) < len(tickers):
|
||||
syms = tuple(map(itemgetter('symbol'), quotes))
|
||||
for ticker in tickers:
|
||||
if ticker not in syms:
|
||||
brokermod.log.warn(f"Could not find symbol {ticker}?")
|
||||
|
||||
if df_output:
|
||||
cols = next(filter(bool, quotes.values())).copy()
|
||||
cols.pop('symbol')
|
||||
|
|
@ -130,11 +133,6 @@ async def maybe_spawn_brokerd_as_subactor(sleep=0.5, tries=10, loglevel=None):
|
|||
"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,
|
||||
)
|
||||
|
|
@ -168,23 +166,10 @@ def monitor(loglevel, broker, rate, name, dhost, test, tl):
|
|||
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)
|
||||
|
||||
# run app "main"
|
||||
await _async_main(
|
||||
name, portal, tickers,
|
||||
brokermod, rate, agen,
|
||||
brokermod, rate, test=test,
|
||||
)
|
||||
|
||||
tractor.run(
|
||||
|
|
@ -330,14 +315,16 @@ def dump(ctx, name):
|
|||
def contracts(loglevel, broker, symbol, ids):
|
||||
brokermod = get_brokermod(broker)
|
||||
get_console_log(loglevel)
|
||||
quotes = trio.run(partial(core.contracts, brokermod, symbol))
|
||||
contracts = 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)
|
||||
output = tuple(map(attrgetter('expiry'), contracts))
|
||||
else:
|
||||
output = tuple(contracts.items())
|
||||
|
||||
click.echo(colorize_json(quotes))
|
||||
# TODO: need a cli test to verify
|
||||
click.echo(colorize_json(output))
|
||||
|
||||
|
||||
@cli.command()
|
||||
|
|
@ -358,17 +345,15 @@ def optsquote(loglevel, broker, symbol, df_output, date):
|
|||
partial(
|
||||
core.option_chain, brokermod, symbol, date
|
||||
)
|
||||
)[symbol]
|
||||
)
|
||||
if not quotes:
|
||||
log.error(f"No quotes could be found for {symbol}?")
|
||||
log.error(f"No option 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(),
|
||||
(quote.values() for quote in quotes),
|
||||
columns=quotes[0].keys(),
|
||||
)
|
||||
click.echo(df)
|
||||
else:
|
||||
|
|
|
|||
|
|
@ -19,6 +19,7 @@ from kivy.lang import Builder
|
|||
from kivy import utils
|
||||
from kivy.app import async_runTouchApp
|
||||
from kivy.core.window import Window
|
||||
from async_generator import aclosing
|
||||
|
||||
from ..log import get_logger
|
||||
from .pager import PagerView
|
||||
|
|
@ -513,13 +514,24 @@ async def _async_main(
|
|||
tickers: List[str],
|
||||
brokermod: ModuleType,
|
||||
rate: int,
|
||||
# an async generator instance which yields quotes dict packets
|
||||
quote_gen: AsyncGeneratorType,
|
||||
test: bool = False
|
||||
) -> None:
|
||||
'''Launch kivy app + all other related tasks.
|
||||
|
||||
This is started with cli cmd `piker monitor`.
|
||||
'''
|
||||
if test:
|
||||
# stream from a local test file
|
||||
quote_gen = await portal.run(
|
||||
"piker.brokers.data", 'stream_from_file',
|
||||
filename=test
|
||||
)
|
||||
else:
|
||||
# start live streaming from broker daemon
|
||||
quote_gen = await portal.run(
|
||||
"piker.brokers.data", 'start_quote_stream',
|
||||
broker=brokermod.name, symbols=tickers)
|
||||
|
||||
# subscribe for tickers (this performs a possible filtering
|
||||
# where invalid symbols are discarded)
|
||||
sd = await portal.run(
|
||||
|
|
@ -594,14 +606,17 @@ async def _async_main(
|
|||
try:
|
||||
# Trio-kivy entry point.
|
||||
await async_runTouchApp(widgets['root']) # run kivy
|
||||
await quote_gen.aclose() # cancel aysnc gen call
|
||||
finally:
|
||||
await quote_gen.aclose() # cancel aysnc gen call
|
||||
# un-subscribe from symbols stream (cancel if brokerd
|
||||
# was already torn down - say by SIGINT)
|
||||
with trio.move_on_after(0.2):
|
||||
await portal.run(
|
||||
"piker.brokers.data", 'modify_quote_stream',
|
||||
broker=brokermod.name, tickers=[])
|
||||
broker=brokermod.name,
|
||||
feed_type='stock',
|
||||
symbols=[]
|
||||
)
|
||||
|
||||
# cancel GUI update task
|
||||
nursery.cancel_scope.cancel()
|
||||
|
|
|
|||
|
|
@ -1,4 +1,20 @@
|
|||
import pytest
|
||||
import tractor
|
||||
from piker import log
|
||||
|
||||
|
||||
def pytest_addoption(parser):
|
||||
parser.addoption("--ll", action="store", dest='loglevel',
|
||||
default=None, help="logging level to set when testing")
|
||||
|
||||
|
||||
@pytest.fixture(scope='session', autouse=True)
|
||||
def loglevel(request):
|
||||
orig = tractor.log._default_loglevel
|
||||
level = tractor.log._default_loglevel = request.config.option.loglevel
|
||||
log.get_console_log(level)
|
||||
yield level
|
||||
tractor.log._default_loglevel = orig
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
|
|
|
|||
|
|
@ -18,11 +18,11 @@ def run(cmd, *args):
|
|||
return cp
|
||||
|
||||
|
||||
def verify_keys(tickers, quotes_dict):
|
||||
def verify_keys(tickers, quotes):
|
||||
"""Verify all ticker names are keys in ``quotes_dict``.
|
||||
"""
|
||||
for key, quote in quotes_dict.items():
|
||||
assert key in tickers
|
||||
for quote in quotes:
|
||||
assert quote['key'] in tickers
|
||||
|
||||
|
||||
@pytest.fixture
|
||||
|
|
@ -39,8 +39,8 @@ def test_known_quotes(capfd, nyse_tickers):
|
|||
|
||||
# verify output can be parsed as json
|
||||
out, err = capfd.readouterr()
|
||||
quotes_dict = json.loads(out)
|
||||
verify_keys(nyse_tickers, quotes_dict)
|
||||
quotes = json.loads(out)
|
||||
verify_keys(nyse_tickers, quotes)
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
|
|
@ -61,8 +61,8 @@ def test_quotes_ticker_not_found(
|
|||
out, err = capfd.readouterr()
|
||||
if out:
|
||||
# verify output can be parsed as json
|
||||
quotes_dict = json.loads(out)
|
||||
verify_keys(tickers, quotes_dict)
|
||||
quotes = json.loads(out)
|
||||
verify_keys(tickers, quotes)
|
||||
# check for warning log message when some quotes are found
|
||||
warnmsg = f'Could not find symbol {bad_ticker[0]}'
|
||||
assert warnmsg in err
|
||||
|
|
|
|||
|
|
@ -4,7 +4,9 @@ Questrade broker testing
|
|||
import time
|
||||
|
||||
import trio
|
||||
import tractor
|
||||
from trio.testing import trio_test
|
||||
from tractor.testing import tractor_test
|
||||
from piker.brokers import questrade as qt
|
||||
import pytest
|
||||
|
||||
|
|
@ -18,72 +20,75 @@ def check_qt_conf_section(brokerconf):
|
|||
|
||||
|
||||
# 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
|
||||
_ex_quotes = {
|
||||
'stock': {
|
||||
"VWAP": 7.383792,
|
||||
"askPrice": 7.56,
|
||||
"askSize": 2,
|
||||
"bidPrice": 6.1,
|
||||
"bidSize": 2,
|
||||
"delay": 0,
|
||||
"high52w": 9.68,
|
||||
"highPrice": 8,
|
||||
"key": "EMH.VN",
|
||||
"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': {
|
||||
'VWAP': 0,
|
||||
'askPrice': None,
|
||||
'askSize': 0,
|
||||
'bidPrice': None,
|
||||
'bidSize': 0,
|
||||
'delay': 0,
|
||||
'delta': -0.212857,
|
||||
'gamma': 0.003524,
|
||||
'highPrice': 0,
|
||||
'isHalted': False,
|
||||
"key": ["WEED.TO", '2018-10-23T00:00:00.000000-04:00'],
|
||||
'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
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
# 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):
|
||||
def match_packet(symbols, quotes, feed_type='stock'):
|
||||
"""Verify target ``symbols`` match keys in ``quotes`` packet.
|
||||
"""
|
||||
assert len(quotes) == len(symbols)
|
||||
for ticker in symbols:
|
||||
quote = quotes.pop(ticker)
|
||||
# for ticker in symbols:
|
||||
for quote in quotes.copy():
|
||||
assert quote['key'] in symbols
|
||||
quotes.remove(quote)
|
||||
|
||||
# verify the quote packet format hasn't changed
|
||||
for key in _ex_quote:
|
||||
for key in _ex_quotes[feed_type]:
|
||||
quote.pop(key)
|
||||
|
||||
# no additional fields either
|
||||
|
|
@ -104,11 +109,11 @@ async def test_batched_stock_quote(us_symbols):
|
|||
|
||||
|
||||
@trio_test
|
||||
async def test_quoter_context(us_symbols):
|
||||
async def test_stock_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)
|
||||
quoter = await qt.stock_quoter(client, us_symbols)
|
||||
quotes = await quoter(us_symbols)
|
||||
match_packet(us_symbols, quotes)
|
||||
|
||||
|
|
@ -119,12 +124,14 @@ async def test_option_contracts(tmx_symbols):
|
|||
"""
|
||||
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']
|
||||
contracts = await client.symbol2contracts(symbol)
|
||||
key, byroot = next(iter(contracts.items()))
|
||||
assert isinstance(key.id, int)
|
||||
assert isinstance(byroot, dict)
|
||||
for key in contracts:
|
||||
# check that datetime is same as reported in contract
|
||||
assert key.expiry.isoformat(
|
||||
timespec='microseconds') == contracts[key]['expiryDate']
|
||||
|
||||
|
||||
@trio_test
|
||||
|
|
@ -133,17 +140,15 @@ async def test_option_chain(tmx_symbols):
|
|||
"""
|
||||
async with qt.get_client() as client:
|
||||
# contract lookup - should be cached
|
||||
contracts = await client.get_all_contracts(tmx_symbols)
|
||||
contracts = await client.get_all_contracts([tmx_symbols[0]])
|
||||
# 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
|
||||
# verify contents match what we expect
|
||||
for quote in quotes:
|
||||
assert quote['underlying'] in tmx_symbols
|
||||
for key in _ex_quotes['option']:
|
||||
quote.pop(key)
|
||||
assert not quote
|
||||
|
||||
|
||||
@trio_test
|
||||
|
|
@ -163,7 +168,7 @@ async def test_option_quote_latency(tmx_symbols):
|
|||
# NOTE: request latency is usually 2x faster that these
|
||||
(5, contracts), (0.5, single)
|
||||
]:
|
||||
for _ in range(10):
|
||||
for _ in range(3):
|
||||
# chains quote for all symbols
|
||||
start = time.time()
|
||||
await client.option_chains(contract)
|
||||
|
|
@ -171,3 +176,117 @@ async def test_option_quote_latency(tmx_symbols):
|
|||
print(f"Request took {took}")
|
||||
assert took <= expected_latency
|
||||
await trio.sleep(0.1)
|
||||
|
||||
|
||||
async def stream_option_chain(portal, symbols):
|
||||
"""Start up an option quote stream.
|
||||
|
||||
``symbols`` arg is ignored here.
|
||||
"""
|
||||
symbol = 'APHA.TO' # your fave greenhouse LP
|
||||
async with qt.get_client() as client:
|
||||
contracts = await client.get_all_contracts([symbol])
|
||||
|
||||
contractkey = next(iter(contracts))
|
||||
subs_keys = list(
|
||||
map(lambda item: (item.symbol, item.expiry), contracts))
|
||||
sub = subs_keys[0]
|
||||
|
||||
agen = await portal.run(
|
||||
'piker.brokers.data',
|
||||
'start_quote_stream',
|
||||
broker='questrade',
|
||||
symbols=[sub],
|
||||
feed_type='option',
|
||||
diff_cached=False,
|
||||
)
|
||||
try:
|
||||
# wait on the data streamer to actually start
|
||||
# delivering
|
||||
await agen.__anext__()
|
||||
|
||||
# it'd sure be nice to have an asyncitertools here...
|
||||
with trio.fail_after(2.1):
|
||||
loops = 8
|
||||
count = 0
|
||||
async for quotes in agen:
|
||||
# print(f'got quotes for {quotes.keys()}')
|
||||
# we should receive all calls and puts
|
||||
assert len(quotes) == len(contracts[contractkey]) * 2
|
||||
for symbol, quote in quotes.items():
|
||||
assert quote['key'] == sub
|
||||
for key in _ex_quotes['option']:
|
||||
quote.pop(key)
|
||||
assert not quote
|
||||
count += 1
|
||||
if count == loops:
|
||||
break
|
||||
finally:
|
||||
# unsub
|
||||
await portal.run(
|
||||
'piker.brokers.data',
|
||||
'modify_quote_stream',
|
||||
broker='questrade',
|
||||
feed_type='option',
|
||||
symbols=[],
|
||||
)
|
||||
|
||||
|
||||
async def stream_stocks(portal, symbols):
|
||||
"""Start up a stock quote stream.
|
||||
"""
|
||||
agen = await portal.run(
|
||||
'piker.brokers.data',
|
||||
'start_quote_stream',
|
||||
broker='questrade',
|
||||
symbols=symbols,
|
||||
)
|
||||
try:
|
||||
# it'd sure be nice to have an asyncitertools here...
|
||||
async for quotes in agen:
|
||||
assert quotes
|
||||
for key in quotes:
|
||||
assert key in symbols
|
||||
break
|
||||
finally:
|
||||
# unsub
|
||||
await portal.run(
|
||||
'piker.brokers.data',
|
||||
'modify_quote_stream',
|
||||
broker='questrade',
|
||||
feed_type='stock',
|
||||
symbols=[],
|
||||
)
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
'stream_what',
|
||||
[
|
||||
(stream_stocks,),
|
||||
(stream_option_chain,),
|
||||
(stream_stocks, stream_option_chain),
|
||||
],
|
||||
ids=['stocks', 'options', 'stocks_and_options'],
|
||||
)
|
||||
@tractor_test
|
||||
async def test_quote_streaming(tmx_symbols, loglevel, stream_what):
|
||||
"""Set up option streaming using the broker daemon.
|
||||
"""
|
||||
async with tractor.find_actor('brokerd') as portal:
|
||||
async with tractor.open_nursery() as nursery:
|
||||
# only one per host address, spawns an actor if None
|
||||
if not portal:
|
||||
# no brokerd actor found
|
||||
portal = await nursery.start_actor(
|
||||
'data_feed',
|
||||
rpc_module_paths=[
|
||||
'piker.brokers.data',
|
||||
'piker.brokers.core'
|
||||
],
|
||||
)
|
||||
async with trio.open_nursery() as n:
|
||||
for func in stream_what:
|
||||
n.start_soon(func, portal, tmx_symbols)
|
||||
|
||||
# stop all spawned subactors
|
||||
await nursery.cancel()
|
||||
|
|
|
|||
|
|
@ -1,61 +0,0 @@
|
|||
"""
|
||||
Actor model API testing
|
||||
"""
|
||||
import pytest
|
||||
import tractor
|
||||
|
||||
|
||||
async def rx_price_quotes_from_brokerd(us_symbols):
|
||||
"""Verify we can spawn a daemon actor and retrieve streamed price data.
|
||||
"""
|
||||
async with tractor.find_actor('brokerd') as portals:
|
||||
if not portals:
|
||||
# only one per host address, spawns an actor if None
|
||||
async with tractor.open_nursery() as nursery:
|
||||
# no brokerd actor found
|
||||
portal = await nursery.start_actor(
|
||||
'brokerd',
|
||||
rpc_module_paths=['piker.brokers.data'],
|
||||
statespace={
|
||||
'broker2tickersubs': {},
|
||||
'clients': {},
|
||||
'dtasks': set()
|
||||
},
|
||||
)
|
||||
|
||||
# gotta expose in a broker agnostic way...
|
||||
# retrieve initial symbol data
|
||||
# sd = await portal.run(
|
||||
# 'piker.brokers.data', 'symbol_data', symbols=us_symbols)
|
||||
# assert list(sd.keys()) == us_symbols
|
||||
|
||||
gen = await portal.run(
|
||||
'piker.brokers.data',
|
||||
'start_quote_stream',
|
||||
broker='robinhood',
|
||||
tickers=us_symbols,
|
||||
)
|
||||
# it'd sure be nice to have an asyncitertools here...
|
||||
async for quotes in gen:
|
||||
assert quotes
|
||||
for key in quotes:
|
||||
assert key in us_symbols
|
||||
break
|
||||
# terminate far-end async-gen
|
||||
# await gen.asend(None)
|
||||
# break
|
||||
|
||||
# stop all spawned subactors
|
||||
await nursery.cancel()
|
||||
|
||||
# arbitter is cancelled here due to `find_actors()` internals
|
||||
# (which internally uses `get_arbiter` which kills its channel
|
||||
# server scope on exit)
|
||||
|
||||
|
||||
def test_rx_price_quotes_from_brokerd(us_symbols):
|
||||
tractor.run(
|
||||
rx_price_quotes_from_brokerd,
|
||||
us_symbols,
|
||||
name='arbiter',
|
||||
)
|
||||
Loading…
Reference in New Issue