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Merge pull request #60 from pikers/options_streaming 

Options streaming
kivy_mainline_and_py3.8
goodboy 2018-12-01 18:35:28 -05:00 committed by GitHub
parent 84f357b7eb 42f7a1092b
commit 0fbab8b831
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GPG Key ID: 4AEE18F83AFDEB23
12 changed files with 729 additions and 496 deletions
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@ -50,37 +50,37 @@
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"sha256:e274cd4480d8c76ec467a85a9c6635bbf2258f0649040560382ab58cabb44bcf",
"sha256:f86642d60dca13e93260187d56c2bef2487aa4d574a669e8ceefcf9f4c26fd00",
"sha256:f8a57cbda46a94ed0db55b73e6ab0c15e78b4ede8690fa491a0e55128d552bb0",
"sha256:fcea97a352416afcbccd7af9625159d80704a25c519c251c734527329bb20d0e"
], ],
"index": "pypi", "index": "pypi",
"version": "==0.5.6" "version": "==0.6.0"
}, },
"multio": { "multio": {
"hashes": [ "hashes": [
@ -468,10 +452,10 @@
}, },
"pdbpp": { "pdbpp": {
"hashes": [ "hashes": [
"sha256:dde77326e4ea41439c243ed065826d53539530eeabd1b6615aae15cfbb9fda05" "sha256:535085916fcfb768690ba0aeab2967c2a2163a0a60e5b703776846873e171399"
], ],
"index": "pypi", "index": "pypi",
"version": "==0.9.2" "version": "==0.9.3"
}, },
"piker": { "piker": {
"editable": true, "editable": true,
@ -493,18 +477,18 @@
}, },
"pygments": { "pygments": {
"hashes": [ "hashes": [
"sha256:78f3f434bcc5d6ee09020f92ba487f95ba50f1e3ef83ae96b9d5ffa1bab25c5d", "sha256:6301ecb0997a52d2d31385e62d0a4a4cf18d2f2da7054a5ddad5c366cd39cee7",
"sha256:dbae1046def0efb574852fab9e90209b23f556367b5a320c0bcb871c77c3e8cc" "sha256:82666aac15622bd7bb685a4ee7f6625dd716da3ef7473620c192c0168aae64fc"
], ],
"version": "==2.2.0" "version": "==2.3.0"
}, },
"pytest": { "pytest": {
"hashes": [ "hashes": [
"sha256:3f193df1cfe1d1609d4c583838bea3d532b18d6160fd3f55c9447fdca30848ec", "sha256:1d131cc532be0023ef8ae265e2a779938d0619bb6c2510f52987ffcba7fa1ee4",
"sha256:e246cf173c01169b9617fc07264b7b1316e78d7a650055235d6d897bc80d9660" "sha256:ca4761407f1acc85ffd1609f464ca20bb71a767803505bd4127d0e45c5a50e23"
], ],
"index": "pypi", "index": "pypi",
"version": "==3.10.1" "version": "==4.0.1"
}, },
"python-dateutil": { "python-dateutil": {
"hashes": [ "hashes": [
@ -536,10 +520,10 @@
}, },
"sortedcontainers": { "sortedcontainers": {
"hashes": [ "hashes": [
"sha256:220bb2e3e1886297fd7cdd6d164cb5cf237be1cfae1a3a3e526d149c52816682", "sha256:974e9a32f56b17c1bac2aebd9dcf197f3eb9cd30553c5852a3187ad162e1a03a",
"sha256:b74f2756fb5e23512572cc76f0fe0832fd86310f77dfee54335a35fb33f6b950" "sha256:d9e96492dd51fae31e60837736b38fe42a187b5404c16606ff7ee7cd582d4c60"
], ],
"version": "==2.0.5" "version": "==2.1.0"
}, },
"trio": { "trio": {
"hashes": [ "hashes": [

33
piker/_async_utils.py 100644
View File

@ -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

15
piker/brokers/core.py
View File

@ -6,6 +6,7 @@ from types import ModuleType
from typing import List, Dict, Any, Optional from typing import List, Dict, Any, Optional
from ..log import get_logger from ..log import get_logger
from .data import DataFeed
log = get_logger('broker.core') log = get_logger('broker.core')
@ -19,7 +20,7 @@ async def api(brokermod: ModuleType, methname: str, **kwargs) -> dict:
meth = getattr(client.api, methname, None) meth = getattr(client.api, methname, None)
if meth is None: if meth is None:
log.warning( 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) meth = getattr(client, methname, None)
if meth is None: if meth is None:
@ -45,14 +46,10 @@ async def stocks_quote(
"""Return quotes dict for ``tickers``. """Return quotes dict for ``tickers``.
""" """
async with brokermod.get_client() as client: async with brokermod.get_client() as client:
results = await client.quote(tickers) return 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
# TODO: these need tests
async def option_chain( async def option_chain(
brokermod: ModuleType, brokermod: ModuleType,
symbol: str, symbol: str,
@ -67,7 +64,8 @@ async def option_chain(
if date: if date:
id = int((await client.tickers2ids([symbol]))[symbol]) id = int((await client.tickers2ids([symbol]))[symbol])
# build contracts dict for single expiry # build contracts dict for single expiry
return await client.option_chains({id: {date: None}}) return await client.option_chains(
{(symbol, id, date): {}})
else: else:
# get all contract expiries # get all contract expiries
# (takes a long-ass time on QT fwiw) # (takes a long-ass time on QT fwiw)
@ -83,4 +81,5 @@ async def contracts(
"""Return option contracts (all expiries) for ``symbol``. """Return option contracts (all expiries) for ``symbol``.
""" """
async with brokermod.get_client() as client: async with brokermod.get_client() as client:
# return await client.get_all_contracts([symbol])
return await client.get_all_contracts([symbol]) return await client.get_all_contracts([symbol])

263
piker/brokers/data.py
View File

@ -7,7 +7,10 @@ from itertools import cycle
import socket import socket
import json import json
from types import ModuleType 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 trio
import tractor import tractor
@ -56,12 +59,14 @@ async def stream_quotes(
_cache = {} # ticker to quote caching _cache = {} # ticker to quote caching
while True: # use an event here to trigger exit? while True: # use an event here to trigger exit?
prequote_start = time.time() prequote_start = time.time()
# tickers = list(tickers2chans.keys())
with trio.move_on_after(3) as cancel_scope: with trio.move_on_after(3) as cancel_scope:
quotes = await request_quotes() quotes = await request_quotes()
postquote_start = time.time()
cancelled = cancel_scope.cancelled_caught cancelled = cancel_scope.cancelled_caught
if cancelled: if cancelled:
log.warn("Quote query timed out after 3 seconds, retrying...") 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(partial(get_quotes, tickers))
quotes = await wait_for_network(request_quotes) quotes = await wait_for_network(request_quotes)
postquote_start = time.time() new_quotes = []
new_quotes = {}
if diff_cached: if diff_cached:
# if cache is enabled then only deliver "new" changes # If cache is enabled then only deliver "new" changes.
for symbol, quote in quotes.items(): # Useful for polling setups but obviously should be
last = _cache.setdefault(symbol, {}) # disabled if you're rx-ing event data.
new = set(quote.items()) - set(last.items()) for quote in quotes:
if new: symbol = quote['symbol']
log.info( last = _cache.setdefault(symbol, {})
f"New quote {quote['symbol']}:\n{new}") new = set(quote.items()) - set(last.items())
_cache[symbol] = quote if new:
new_quotes[symbol] = quote log.info(
f"New quote {quote['symbol']}:\n{new}")
_cache[symbol] = quote
new_quotes.append(quote)
else: else:
new_quotes = quotes new_quotes = quotes
@ -101,31 +108,51 @@ async def stream_quotes(
await trio.sleep(delay) 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( async def fan_out_to_chans(
brokermod: ModuleType, feed: DataFeed,
get_quotes: Coroutine, get_quotes: Coroutine,
tickers2chans: Dict[str, tractor.Channel], symbols2chans: Dict[str, tractor.Channel],
rate: int = 5, # delay between quote requests rate: int = 5, # delay between quote requests
diff_cached: bool = True, # only deliver "new" quotes to the queue diff_cached: bool = True, # only deliver "new" quotes to the queue
cid: str = None, cid: str = None,
) -> None: ) -> None:
"""Request and fan out quotes to each subscribed actor channel. """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: if broker_limit < rate:
rate = broker_limit 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(): async def request():
"""Get quotes for current symbol subscription set. """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 = {} 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 # 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_payloads.setdefault(
chan, chan,
{'yield': {}, 'cid': cid} {'yield': {}, 'cid': cid}
@ -142,41 +169,21 @@ async def fan_out_to_chans(
ConnectionRefusedError, ConnectionRefusedError,
): ):
log.warn(f"{chan} went down?") log.warn(f"{chan} went down?")
for chanset in tickers2chans.values(): for chanset in symbols2chans.values():
chanset.discard((chan, cid)) chanset.discard((chan, cid))
if not any(tickers2chans.values()): if not any(symbols2chans.values()):
log.warn(f"No subs left for broker {brokermod.name}, exiting task") log.warn(f"No subs left for broker {feed.mod.name}, exiting task")
break 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): async def symbol_data(broker: str, tickers: List[str]):
"""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. """Retrieve baseline symbol info from broker.
""" """
_, client, _, get_quotes = await get_cached_client(broker, tickers) feed = await get_cached_feed(broker)
return await client.symbol_data(tickers) return await feed.client.symbol_data(tickers)
async def smoke_quote(get_quotes, tickers, broker): 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 # since the new client needs to know what symbols are accepted
log.warn(f"Retrieving smoke quote for symbols {tickers}") log.warn(f"Retrieving smoke quote for symbols {tickers}")
quotes = await get_quotes(tickers) quotes = await get_quotes(tickers)
# report any tickers that aren't returned in the first quote # 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: for symbol in invalid_tickers:
tickers.remove(symbol) tickers.remove(symbol)
log.warn( log.warn(
@ -202,7 +210,8 @@ async def smoke_quote(get_quotes, tickers, broker):
# pop any tickers that return "empty" quotes # pop any tickers that return "empty" quotes
payload = {} payload = {}
for symbol, quote in quotes.items(): for quote in quotes:
symbol = quote['symbol']
if quote is None: if quote is None:
log.warn( log.warn(
f"Symbol `{symbol}` not found by broker" 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) # XXX: not this mutates the input list (for now)
tickers.remove(symbol) tickers.remove(symbol)
continue 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 payload[symbol] = quote
return payload 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. """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}") log.info(f"{chan} changed symbol subscription to {symbols}")
ss = tractor.current_actor().statespace feed = await get_cached_feed(broker)
broker2tickersubs = ss['broker2tickersubs'] symbols2chans = feed.subscriptions[feed_type]
tickers2chans = broker2tickersubs.get(broker)
# update map from each symbol to requesting client's chan # update map from each symbol to requesting client's chan
for ticker in tickers: for ticker in symbols:
tickers2chans.setdefault(ticker, set()).add((chan, cid)) 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( 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 # XXX: cid will be different on unsub call
for item in chanset.copy(): for item in chanset.copy():
if chan in item: if chan in item:
@ -242,12 +259,42 @@ def modify_quote_stream(broker, tickers, chan=None, cid=None):
if not chanset: if not chanset:
# pop empty sets which will trigger bg quoter task termination # 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( async def start_quote_stream(
broker: str, broker: str,
tickers: List[str], symbols: List[Any],
feed_type: str = 'stock',
diff_cached: bool = True,
chan: tractor.Channel = None, chan: tractor.Channel = None,
cid: str = None, cid: str = None,
) -> None: ) -> None:
@ -263,57 +310,75 @@ async def start_quote_stream(
get_console_log(actor.loglevel) get_console_log(actor.loglevel)
# pull global vars from local actor # pull global vars from local actor
ss = actor.statespace ss = actor.statespace
broker2tickersubs = ss['broker2tickersubs'] # broker2symbolsubs = ss.setdefault('broker2symbolsubs', {})
clients = ss['clients'] ss.setdefault('feeds', {'_lock': trio.Lock()})
dtasks = ss['dtasks'] feed_stacks = ss.setdefault('feed_stacks', {})
tickers = list(tickers) symbols = list(symbols)
log.info( 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 feed_type == 'stock':
if broker not in broker2tickersubs: get_quotes = feed.quoters.setdefault(
tickers2chans = broker2tickersubs.setdefault(broker, {}) 'stock',
else: await feed.mod.stock_quoter(feed.client, symbols)
log.info(f"Subscribing with existing `{broker}` daemon") )
tickers2chans = broker2tickersubs[broker] # do a smoke quote (note this mutates the input list and filters
# out bad symbols for now)
# do a smoke quote (note this mutates the input list and filters payload = await smoke_quote(get_quotes, symbols, broker)
# out bad symbols for now) # push initial smoke quote response for client initialization
payload = await smoke_quote(get_quotes, tickers, broker) await chan.send({'yield': payload, 'cid': cid})
# push initial smoke quote response for client initialization elif feed_type == 'option':
await chan.send({'yield': payload, 'cid': cid}) # 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 # 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: try:
if broker not in dtasks: if not feed.tasks.get(feed_type):
# no quoter task yet so start a daemon task # no data feeder task yet; so start one
log.info(f"Spawning quoter task for {brokermod.name}") respawn = True
async with trio.open_nursery() as nursery: log.info(f"Spawning data feed task for {feed.mod.name}")
nursery.start_soon(partial( while respawn:
fan_out_to_chans, brokermod, get_quotes, tickers2chans, respawn = False
cid=cid) try:
) async with trio.open_nursery() as nursery:
dtasks.add(broker) 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 # unblocks when no more symbols subscriptions exist and the
# quote streamer task terminates (usually because another call # quote streamer task terminates (usually because another call
# was made to `modify_quoter` to unsubscribe from streaming # was made to `modify_quoter` to unsubscribe from streaming
# symbols) # 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: 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 # if there are truly no more subscriptions with this broker
# drop from broker subs dict # drop from broker subs dict
if not any(tickers2chans.values()): if not any(symbols2chans.values()):
log.info(f"No more subscriptions for {broker}") log.info(f"No more subscriptions for {broker}")
broker2tickersubs.pop(broker, None) # broker2symbolsubs.pop(broker, None)
dtasks.discard(broker)
# destroy the API client
await feed_stack.aclose()
async def stream_to_file( async def stream_to_file(

258
piker/brokers/questrade.py
View File

@ -5,7 +5,8 @@ import time
from datetime 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 from operator import itemgetter
from typing import List, Tuple, Dict, Any, Iterator, NamedTuple
import trio import trio
from async_generator import asynccontextmanager from async_generator import asynccontextmanager
@ -14,6 +15,7 @@ from ..calc import humanize, percent_change
from . import config from . import config
from ._util import resproc, BrokerError from ._util import resproc, BrokerError
from ..log import get_logger, colorize_json from ..log import get_logger, colorize_json
from .._async_utils import async_lifo_cache
# TODO: move to urllib3/requests once supported # TODO: move to urllib3/requests once supported
import asks import asks
@ -23,13 +25,19 @@ log = get_logger(__name__)
_refresh_token_ep = 'https://login.questrade.com/oauth2/' _refresh_token_ep = 'https://login.questrade.com/oauth2/'
_version = 'v1' _version = 'v1'
_rate_limit = 3 # queries/sec _rate_limit = 4 # queries/sec
class QuestradeError(Exception): class QuestradeError(Exception):
"Non-200 OK response code" "Non-200 OK response code"
class ContractsKey(NamedTuple):
symbol: str
id: int
expiry: datetime
class _API: class _API:
"""Questrade API endpoints exposed as methods and wrapped with an """Questrade API endpoints exposed as methods and wrapped with an
http session. http session.
@ -60,7 +68,11 @@ class _API:
'symbols', params={'ids': ids, 'names': names}) 'symbols', params={'ids': ids, 'names': names})
async def quotes(self, ids: str) -> dict: 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: async def candles(self, id: str, start: str, end, interval) -> dict:
return await self._request(f'markets/candles/{id}', params={}) return await self._request(f'markets/candles/{id}', params={})
@ -78,20 +90,19 @@ class _API:
async def option_quotes( async def option_quotes(
self, self,
contracts: Dict[int, Dict[str, dict]], contracts: Dict[ContractsKey, Dict[int, dict]],
option_ids: List[int] = [], # if you don't want them all option_ids: List[int] = [], # if you don't want them all
) -> dict: ) -> 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 = [ filters = [
{ {
"underlyingId": int(symbol_id), "underlyingId": int(symbol_id),
"expiryDate": str(expiry), "expiryDate": str(expiry),
} }
# every expiry per symbol id # every expiry per symbol id
for symbol_id, expiries in contracts.items() for (symbol, symbol_id, expiry), bystrike in contracts.items()
for expiry in expiries
] ]
resp = await self._sess.post( resp = await self._sess.post(
path=f'/markets/quotes/options', path=f'/markets/quotes/options',
json={'filters': filters, 'optionIds': option_ids} json={'filters': filters, 'optionIds': option_ids}
@ -110,8 +121,9 @@ class Client:
self.api = _API(self._sess) self.api = _API(self._sess)
self._conf = config self._conf = config
self.access_data = {} self.access_data = {}
self.user_data = {}
self._reload_config(config) self._reload_config(config)
self._symbol_cache: Dict[str, int] = {}
self._contracts2expiries = {}
def _reload_config(self, config=None, **kwargs): def _reload_config(self, config=None, **kwargs):
log.warn("Reloading access config data") log.warn("Reloading access config data")
@ -212,12 +224,25 @@ class Client:
async def tickers2ids(self, tickers): async def tickers2ids(self, tickers):
"""Helper routine that take a sequence of ticker symbols and returns """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 = {} symbols2ids = {}
for ticker, symbol in zip(tickers, data['symbols']): for symbol in tickers:
symbols2ids[symbol['symbol']] = str(symbol['symbolId']) 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 return symbols2ids
@ -236,22 +261,17 @@ class Client:
"""Return stock quotes for each ticker in ``tickers``. """Return stock quotes for each ticker in ``tickers``.
""" """
t2ids = await self.tickers2ids(tickers) t2ids = await self.tickers2ids(tickers)
ids = ','.join(t2ids.values()) quotes = []
results = (await self.api.quotes(ids=ids))['quotes'] if t2ids:
quotes = {quote['symbol']: quote for quote in results} ids = ','.join(t2ids.values())
quotes = (await self.api.quotes(ids=ids))
# set None for all symbols not found
if len(t2ids) < len(tickers):
for ticker in tickers:
if ticker not in quotes:
quotes[ticker] = None
return quotes return quotes
async def symbol2contracts( async def symbol2contracts(
self, self,
symbol: str symbol: str
) -> Tuple[int, Dict[datetime, dict]]: ) -> Dict[Tuple[str, int, datetime], dict]:
"""Return option contract for the given symbol. """Return option contract for the given symbol.
The most useful part is the expiries which can be passed to the option 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]) id = int((await self.tickers2ids([symbol]))[symbol])
contracts = await self.api.option_contracts(id) contracts = await self.api.option_contracts(id)
return id, { return {
# convert to native datetime objs for sorting ContractsKey(
datetime.fromisoformat(item['expiryDate']): symbol=symbol,
item for item in contracts id=id,
# convert to native datetime objs for sorting
expiry=datetime.fromisoformat(item['expiryDate'])):
item for item in contracts
} }
async def get_all_contracts( async def get_all_contracts(
self, self,
symbols: List[str], symbols: Iterator[str],
# {symbol_id: {dt_iso_contract: {strike_price: {contract_id: id}}}} # {symbol_id: {dt_iso_contract: {strike_price: {contract_id: id}}}}
) -> Dict[int, Dict[str, Dict[int, Any]]]: ) -> Dict[int, Dict[str, Dict[int, Any]]]:
"""Look up all contracts for each symbol in ``symbols`` and return the """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 per symbol) and thus the return values should be cached for use with
``option_chains()``. ``option_chains()``.
""" """
by_id = {} by_key = {}
for symbol in symbols: for symbol in symbols:
id, contracts = await self.symbol2contracts(symbol) contracts = await self.symbol2contracts(symbol)
by_id[id] = { # FIXME: chainPerRoot here is probably why in some UIs
dt.isoformat(timespec='microseconds'): { # 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 item['strikePrice']: item for item in
byroot['chainPerRoot'][0]['chainPerStrikePrice'] byroot['chainPerRoot'][0]['chainPerStrikePrice']
} }
for dt, byroot in sorted( return by_key
# sort by datetime
contracts.items(),
key=lambda item: item[0]
)
}
return by_id
async def option_chains( async def option_chains(
self, self,
@ -301,12 +332,14 @@ class Client:
) -> Dict[str, Dict[str, Dict[str, Any]]]: ) -> Dict[str, Dict[str, Dict[str, Any]]]:
"""Return option chain snap quote for each ticker in ``symbols``. """Return option chain snap quote for each ticker in ``symbols``.
""" """
quotes = await self.api.option_quotes(contracts) batch = []
batch = {} for key, bystrike in contracts.items():
for quote in quotes: quotes = await self.api.option_quotes({key: bystrike})
batch.setdefault( for quote in quotes:
quote['underlying'], {} # index by .symbol, .expiry since that's what
)[quote['symbol']] = quote # a subscriber (currently) sends initially
quote['key'] = (key[0], key[2])
batch.extend(quotes)
return batch return batch
@ -376,76 +409,115 @@ async def get_client() -> Client:
write_conf(client) write_conf(client)
async def quoter(client: Client, tickers: List[str]): async def stock_quoter(client: Client, tickers: List[str]):
"""Stock Quoter context. """Stock quoter context.
Yeah so fun times..QT has this symbol to ``int`` id lookup system that you 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 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. 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. Most of the closure variables here are to deal with that.
""" """
t2ids = {} @async_lifo_cache(maxsize=128)
ids = '' async def get_symbol_id_seq(symbols: Tuple[str]):
"""For each tuple ``(symbol_1, symbol_2, ... , symbol_n)``
def filter_symbols(quotes_dict: dict): return a symbol id sequence string ``'id_1,id_2, ... , id_n'``.
nonlocal t2ids """
for symbol, quote in quotes_dict.items(): return ','.join(map(str, (await client.tickers2ids(symbols)).values()))
if quote['low52w'] is None:
log.warn(
f"{symbol} seems to be defunct discarding from tickers")
t2ids.pop(symbol)
async def get_quote(tickers): async def get_quote(tickers):
"""Query for quotes using cached symbol ids. """Query for quotes using cached symbol ids.
""" """
if not tickers: if not tickers:
# don't hit the network
return {} return {}
nonlocal ids, t2ids
new, current = set(tickers), set(t2ids.keys()) ids = await get_symbol_id_seq(tuple(tickers))
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()))
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" not 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:
raise 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 # post-processing
quotes = {} for quote in quotes_resp:
for quote in quotes_resp['quotes']:
quotes[quote['symbol']] = quote
if quote.get('delay', 0) > 0: if quote.get('delay', 0) > 0:
log.warn(f"Delayed quote:\n{quote}") log.warn(f"Delayed quote:\n{quote}")
return quotes return quotes_resp
# strip out unknown/invalid symbols return get_quote
first_quotes_dict = await get_quote(tickers)
filter_symbols(first_quotes_dict)
# re-save symbol -> ids cache async def option_quoter(client: Client, tickers: List[str]):
ids = ','.join(map(str, t2ids.values())) """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 return get_quote

14
piker/brokers/robinhood.py
View File

@ -2,6 +2,7 @@
Robinhood API backend. Robinhood API backend.
""" """
from functools import partial from functools import partial
from typing import List
from async_generator import asynccontextmanager from async_generator import asynccontextmanager
# TODO: move to urllib3/requests once supported # TODO: move to urllib3/requests once supported
@ -44,7 +45,7 @@ class Client:
self._sess.base_location = _service_ep self._sess.base_location = _service_ep
self.api = _API(self._sess) 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 return {quote.get('symbol', sym) if quote else sym: quote
for sym, quote in zip(symbols, results_dict)} for sym, quote in zip(symbols, results_dict)}
@ -52,11 +53,16 @@ class Client:
"""Retrieve quotes for a list of ``symbols``. """Retrieve quotes for a list of ``symbols``.
""" """
try: try:
resp = await self.api.quotes(','.join(symbols)) quotes = (await self.api.quotes(','.join(symbols)))['results']
except BrokerError: 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]): async def symbol_data(self, symbols: [str]):
"""Retrieve symbol data via the ``fundamentals`` endpoint. """Retrieve symbol data via the ``fundamentals`` endpoint.

53
piker/cli.py
View File

@ -4,6 +4,8 @@ Console interface to broker client/daemons.
from functools import partial from functools import partial
import json import json
import os import os
from operator import attrgetter
from operator import itemgetter
import click import click
import pandas as pd import pandas as pd
@ -32,11 +34,6 @@ def pikerd(loglevel, host, tl):
get_console_log(loglevel) get_console_log(loglevel)
tractor.run_daemon( tractor.run_daemon(
rpc_module_paths=['piker.brokers.data'], rpc_module_paths=['piker.brokers.data'],
statespace={
'broker2tickersubs': {},
'clients': {},
'dtasks': set(),
},
name='brokerd', name='brokerd',
loglevel=loglevel if tl else None, 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}?") log.error(f"No quotes could be found for {tickers}?")
return 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: if df_output:
cols = next(filter(bool, quotes.values())).copy() cols = next(filter(bool, quotes.values())).copy()
cols.pop('symbol') 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..") "No broker daemon could be found, spawning brokerd..")
portal = await nursery.start_actor( portal = await nursery.start_actor(
'brokerd', 'brokerd',
statespace={
'broker2tickersubs': {},
'clients': {},
'dtasks': set(),
},
rpc_module_paths=['piker.brokers.data'], rpc_module_paths=['piker.brokers.data'],
loglevel=loglevel, loglevel=loglevel,
) )
@ -168,23 +166,10 @@ def monitor(loglevel, broker, rate, name, dhost, test, tl):
async with maybe_spawn_brokerd_as_subactor( async with maybe_spawn_brokerd_as_subactor(
tries=tries, loglevel=loglevel tries=tries, loglevel=loglevel
) as portal: ) 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" # run app "main"
await _async_main( await _async_main(
name, portal, tickers, name, portal, tickers,
brokermod, rate, agen, brokermod, rate, test=test,
) )
tractor.run( tractor.run(
@ -330,14 +315,16 @@ def dump(ctx, name):
def contracts(loglevel, broker, symbol, ids): def contracts(loglevel, broker, symbol, ids):
brokermod = get_brokermod(broker) brokermod = get_brokermod(broker)
get_console_log(loglevel) get_console_log(loglevel)
quotes = trio.run(partial(core.contracts, brokermod, symbol)) contracts = trio.run(partial(core.contracts, brokermod, symbol))
if not ids: if not ids:
# just print out expiry dates which can be used with # just print out expiry dates which can be used with
# the option_chain_quote cmd # the option_chain_quote cmd
id, contracts = next(iter(quotes.items())) output = tuple(map(attrgetter('expiry'), contracts))
quotes = list(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() @cli.command()
@ -358,17 +345,15 @@ def optsquote(loglevel, broker, symbol, df_output, date):
partial( partial(
core.option_chain, brokermod, symbol, date core.option_chain, brokermod, symbol, date
) )
)[symbol] )
if not quotes: 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 return
if df_output: if df_output:
cols = next(filter(bool, quotes.values())).copy()
df = pd.DataFrame( df = pd.DataFrame(
(quote.values() for contract, quote in quotes.items()), (quote.values() for quote in quotes),
index=quotes.keys(), columns=quotes[0].keys(),
columns=cols.keys(),
) )
click.echo(df) click.echo(df)
else: else:

23
piker/ui/monitor.py
View File

@ -19,6 +19,7 @@ from kivy.lang import Builder
from kivy import utils from kivy import utils
from kivy.app import async_runTouchApp from kivy.app import async_runTouchApp
from kivy.core.window import Window from kivy.core.window import Window
from async_generator import aclosing
from ..log import get_logger from ..log import get_logger
from .pager import PagerView from .pager import PagerView
@ -513,13 +514,24 @@ async def _async_main(
tickers: List[str], tickers: List[str],
brokermod: ModuleType, brokermod: ModuleType,
rate: int, rate: int,
# an async generator instance which yields quotes dict packets test: bool = False
quote_gen: AsyncGeneratorType,
) -> None: ) -> None:
'''Launch kivy app + all other related tasks. '''Launch kivy app + all other related tasks.
This is started with cli cmd `piker monitor`. 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 # subscribe for tickers (this performs a possible filtering
# where invalid symbols are discarded) # where invalid symbols are discarded)
sd = await portal.run( sd = await portal.run(
@ -594,14 +606,17 @@ async def _async_main(
try: try:
# Trio-kivy entry point. # Trio-kivy entry point.
await async_runTouchApp(widgets['root']) # run kivy await async_runTouchApp(widgets['root']) # run kivy
await quote_gen.aclose() # cancel aysnc gen call
finally: finally:
await quote_gen.aclose() # cancel aysnc gen call
# un-subscribe from symbols stream (cancel if brokerd # un-subscribe from symbols stream (cancel if brokerd
# was already torn down - say by SIGINT) # was already torn down - say by SIGINT)
with trio.move_on_after(0.2): with trio.move_on_after(0.2):
await portal.run( await portal.run(
"piker.brokers.data", 'modify_quote_stream', "piker.brokers.data", 'modify_quote_stream',
broker=brokermod.name, tickers=[]) broker=brokermod.name,
feed_type='stock',
symbols=[]
)
# cancel GUI update task # cancel GUI update task
nursery.cancel_scope.cancel() nursery.cancel_scope.cancel()

16
tests/conftest.py
View File

@ -1,4 +1,20 @@
import pytest 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 @pytest.fixture

14
tests/test_cli.py
View File

@ -18,11 +18,11 @@ def run(cmd, *args):
return cp return cp
def verify_keys(tickers, quotes_dict): def verify_keys(tickers, quotes):
"""Verify all ticker names are keys in ``quotes_dict``. """Verify all ticker names are keys in ``quotes_dict``.
""" """
for key, quote in quotes_dict.items(): for quote in quotes:
assert key in tickers assert quote['key'] in tickers
@pytest.fixture @pytest.fixture
@ -39,8 +39,8 @@ def test_known_quotes(capfd, nyse_tickers):
# verify output can be parsed as json # verify output can be parsed as json
out, err = capfd.readouterr() out, err = capfd.readouterr()
quotes_dict = json.loads(out) quotes = json.loads(out)
verify_keys(nyse_tickers, quotes_dict) verify_keys(nyse_tickers, quotes)
@pytest.mark.parametrize( @pytest.mark.parametrize(
@ -61,8 +61,8 @@ def test_quotes_ticker_not_found(
out, err = capfd.readouterr() out, err = capfd.readouterr()
if out: if out:
# verify output can be parsed as json # verify output can be parsed as json
quotes_dict = json.loads(out) quotes = json.loads(out)
verify_keys(tickers, quotes_dict) verify_keys(tickers, quotes)
# check for warning log message when some quotes are found # check for warning log message when some quotes are found
warnmsg = f'Could not find symbol {bad_ticker[0]}' warnmsg = f'Could not find symbol {bad_ticker[0]}'
assert warnmsg in err assert warnmsg in err

271
tests/test_questrade.py
View File

@ -4,7 +4,9 @@ Questrade broker testing
import time import time
import trio import trio
import tractor
from trio.testing import trio_test from trio.testing import trio_test
from tractor.testing import tractor_test
from piker.brokers import questrade as qt from piker.brokers import questrade as qt
import pytest import pytest
@ -18,72 +20,75 @@ def check_qt_conf_section(brokerconf):
# stock quote # stock quote
_ex_quote = { _ex_quotes = {
"VWAP": 7.383792, 'stock': {
"askPrice": 7.56, "VWAP": 7.383792,
"askSize": 2, "askPrice": 7.56,
"bidPrice": 6.1, "askSize": 2,
"bidSize": 2, "bidPrice": 6.1,
"delay": 0, "bidSize": 2,
"high52w": 9.68, "delay": 0,
"highPrice": 8, "high52w": 9.68,
"isHalted": 'false', "highPrice": 8,
"lastTradePrice": 6.96, "key": "EMH.VN",
"lastTradePriceTrHrs": 6.97, "isHalted": 'false',
"lastTradeSize": 2000, "lastTradePrice": 6.96,
"lastTradeTick": "Down", "lastTradePriceTrHrs": 6.97,
"lastTradeTime": "2018-02-07T15:59:59.259000-05:00", "lastTradeSize": 2000,
"low52w": 1.03, "lastTradeTick": "Down",
"lowPrice": 6.88, "lastTradeTime": "2018-02-07T15:59:59.259000-05:00",
"openPrice": 7.64, "low52w": 1.03,
"symbol": "EMH.VN", "lowPrice": 6.88,
"symbolId": 10164524, "openPrice": 7.64,
"tier": "", "symbol": "EMH.VN",
"volume": 5357805 "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 def match_packet(symbols, quotes, feed_type='stock'):
_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. """Verify target ``symbols`` match keys in ``quotes`` packet.
""" """
assert len(quotes) == len(symbols) assert len(quotes) == len(symbols)
for ticker in symbols: # for ticker in symbols:
quote = quotes.pop(ticker) for quote in quotes.copy():
assert quote['key'] in symbols
quotes.remove(quote)
# verify the quote packet format hasn't changed # verify the quote packet format hasn't changed
for key in _ex_quote: for key in _ex_quotes[feed_type]:
quote.pop(key) quote.pop(key)
# no additional fields either # no additional fields either
@ -104,11 +109,11 @@ async def test_batched_stock_quote(us_symbols):
@trio_test @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. """Test that a quoter "context" used by the data feed daemon.
""" """
async with qt.get_client() as client: 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) quotes = await quoter(us_symbols)
match_packet(us_symbols, quotes) match_packet(us_symbols, quotes)
@ -119,12 +124,14 @@ async def test_option_contracts(tmx_symbols):
""" """
async with qt.get_client() as client: async with qt.get_client() as client:
for symbol in tmx_symbols: for symbol in tmx_symbols:
id, contracts = await client.symbol2contracts(symbol) contracts = await client.symbol2contracts(symbol)
assert isinstance(id, int) key, byroot = next(iter(contracts.items()))
assert isinstance(contracts, dict) assert isinstance(key.id, int)
for dt in contracts: assert isinstance(byroot, dict)
assert dt.isoformat( for key in contracts:
timespec='microseconds') == contracts[dt]['expiryDate'] # check that datetime is same as reported in contract
assert key.expiry.isoformat(
timespec='microseconds') == contracts[key]['expiryDate']
@trio_test @trio_test
@ -133,17 +140,15 @@ async def test_option_chain(tmx_symbols):
""" """
async with qt.get_client() as client: async with qt.get_client() as client:
# contract lookup - should be cached # 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 # chains quote for all symbols
quotes = await client.option_chains(contracts) quotes = await client.option_chains(contracts)
for key in tmx_symbols: # verify contents match what we expect
contracts = quotes.pop(key) for quote in quotes:
for key, quote in contracts.items(): assert quote['underlying'] in tmx_symbols
for key in _ex_contract: for key in _ex_quotes['option']:
quote.pop(key) quote.pop(key)
assert not quote assert not quote
# chains for each symbol were retreived
assert not quotes
@trio_test @trio_test
@ -163,7 +168,7 @@ async def test_option_quote_latency(tmx_symbols):
# NOTE: request latency is usually 2x faster that these # NOTE: request latency is usually 2x faster that these
(5, contracts), (0.5, single) (5, contracts), (0.5, single)
]: ]:
for _ in range(10): for _ in range(3):
# chains quote for all symbols # chains quote for all symbols
start = time.time() start = time.time()
await client.option_chains(contract) await client.option_chains(contract)
@ -171,3 +176,117 @@ async def test_option_quote_latency(tmx_symbols):
print(f"Request took {took}") print(f"Request took {took}")
assert took <= expected_latency assert took <= expected_latency
await trio.sleep(0.1) 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()

61
tests/test_tractor.py
View File

@ -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',
)