Include symbol deats in feed init message from ib
Async spawn a deats getter task whenever we load a symbol data feed. Pass these symbol details in the first message delivered by the feed at open. Move stream loop into a new func.basic_orders
Tyler Goodlet
parent
5327d7be5e
commit
10e47e349c
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@ -426,12 +426,15 @@ class Client:
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"""
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contract = await self.find_contract(symbol)
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details_fute = self.ib.reqContractDetailsAsync(contract)
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ticker: Ticker = self.ib.reqMktData(
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contract,
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snapshot=True,
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)
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ticker = await ticker.updateEvent
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return contract, ticker
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details = (await details_fute)[0]
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return contract, ticker, details
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# async to be consistent for the client proxy, and cuz why not.
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async def submit_limit(
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@ -440,7 +443,7 @@ class Client:
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symbol: str,
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price: float,
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action: str,
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size: int = 100,
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size: int,
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) -> int:
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"""Place an order and return integer request id provided by client.
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@ -870,6 +873,7 @@ async def stream_quotes(
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symbols: List[str],
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shm_token: Tuple[str, str, List[tuple]],
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loglevel: str = None,
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# compat for @tractor.msg.pub
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topics: Any = None,
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get_topics: Callable = None,
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@ -885,10 +889,11 @@ async def stream_quotes(
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# TODO: support multiple subscriptions
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sym = symbols[0]
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contract, first_ticker = await _trio_run_client_method(
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method='get_quote',
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symbol=sym,
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)
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async with trio.open_nursery() as n:
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contract, first_ticker, details = await _trio_run_client_method(
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method='get_quote',
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symbol=sym,
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)
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stream = await _trio_run_client_method(
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method='stream_ticker',
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@ -896,8 +901,8 @@ async def stream_quotes(
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symbol=sym,
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)
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async with aclosing(stream):
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shm = None
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async with trio.open_nursery() as ln:
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# check if a writer already is alive in a streaming task,
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# otherwise start one and mark it as now existing
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@ -908,86 +913,100 @@ async def stream_quotes(
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# maybe load historical ohlcv in to shared mem
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# check if shm has already been created by previous
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# feed initialization
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async with trio.open_nursery() as ln:
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if not writer_already_exists:
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_local_buffer_writers[key] = True
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if not writer_already_exists:
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_local_buffer_writers[key] = True
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shm = attach_shm_array(
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token=shm_token,
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shm = attach_shm_array(
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token=shm_token,
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# we are the buffer writer
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readonly=False,
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)
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# we are the buffer writer
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readonly=False,
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)
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# async def retrieve_and_push():
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start = time.time()
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# async def retrieve_and_push():
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start = time.time()
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bars, bars_array = await _trio_run_client_method(
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method='bars',
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symbol=sym,
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bars, bars_array = await _trio_run_client_method(
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method='bars',
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symbol=sym,
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)
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)
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log.info(f"bars_array request: {time.time() - start}")
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log.info(f"bars_array request: {time.time() - start}")
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if bars_array is None:
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raise SymbolNotFound(sym)
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if bars_array is None:
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raise SymbolNotFound(sym)
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# write historical data to buffer
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shm.push(bars_array)
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shm_token = shm.token
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# write historical data to buffer
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shm.push(bars_array)
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shm_token = shm.token
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# TODO: generalize this for other brokers
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# start bar filler task in bg
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ln.start_soon(fill_bars, sym, bars, shm)
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# TODO: generalize this for other brokers
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# start bar filler task in bg
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ln.start_soon(fill_bars, sym, bars, shm)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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subscribe_ohlc_for_increment(shm, delay_s)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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subscribe_ohlc_for_increment(shm, delay_s)
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# pass back some symbol info like min_tick, trading_hours, etc.
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# con = asdict(contract)
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# syminfo = contract
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symdeats = asdict(details)
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symdeats.update(symdeats['contract'])
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# TODO: for loop through all symbols passed in
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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await ctx.send_yield((shm_token, not writer_already_exists))
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sym: {
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'is_shm_writer': not writer_already_exists,
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'shm_token': shm_token,
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'symbol_info': symdeats,
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}
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}
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await ctx.send_yield(init_msgs)
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# check for special contract types
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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# should be real volume for this contract
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calc_price = False
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else:
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = 'secType'
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calc_price = True
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# ticker = first_ticker
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# check for special contract types
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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# should be real volume for this contract
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calc_price = False
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else:
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = 'secType'
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calc_price = True
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# ticker = first_ticker
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# pass first quote asap
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quote = normalize(first_ticker, calc_price=calc_price)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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# pass first quote asap
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quote = normalize(first_ticker, calc_price=calc_price)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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first_quote = {topic: quote}
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first_quote = {topic: quote}
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# yield first quote asap
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await ctx.send_yield(first_quote)
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# yield first quote asap
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await ctx.send_yield(first_quote)
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# ticker.ticks = []
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# ticker.ticks = []
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is stateful trash)
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first_ticker.ticks = []
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is stateful trash)
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first_ticker.ticks = []
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log.debug(f"First ticker received {quote}")
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log.debug(f"First ticker received {quote}")
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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calc_price = False # should be real volume for contract
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calc_price = False # should be real volume for contract
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# with trio.move_on_after(10) as cs:
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# wait for real volume on feed (trading might be closed)
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# with trio.move_on_after(10) as cs:
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# wait for real volume on feed (trading might be closed)
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async with aclosing(stream):
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async for ticker in stream:
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# for a real volume contract we rait for the first
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@ -1009,76 +1028,105 @@ async def stream_quotes(
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# ``aclosing()`` above?
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break
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# if cs.cancelled_caught:
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# await tractor.breakpoint()
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# real-time stream
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async for ticker in stream:
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# print(ticker.vwap)
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quote = normalize(
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ticker,
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calc_price=calc_price
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# enter stream loop
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try:
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await stream_and_write(
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stream=stream,
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calc_price=calc_price,
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topic=topic,
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writer_already_exists=writer_already_exists,
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shm=shm,
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suffix=suffix,
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ctx=ctx,
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)
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quote['symbol'] = topic
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# TODO: in theory you can send the IPC msg *before*
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# writing to the sharedmem array to decrease latency,
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# however, that will require `tractor.msg.pub` support
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# here or at least some way to prevent task switching
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# at the yield such that the array write isn't delayed
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# while another consumer is serviced..
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# if we are the lone tick writer start writing
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# the buffer with appropriate trade data
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finally:
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if not writer_already_exists:
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for tick in iterticks(quote, types=('trade', 'utrade',)):
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last = tick['price']
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# print(f"{quote['symbol']}: {tick}")
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# update last entry
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# benchmarked in the 4-5 us range
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o, high, low, v = shm.array[-1][
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['open', 'high', 'low', 'volume']
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]
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new_v = tick.get('size', 0)
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if v == 0 and new_v:
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# no trades for this bar yet so the open
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# is also the close/last trade price
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o = last
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shm.array[[
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'open',
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'high',
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'low',
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'close',
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'volume',
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]][-1] = (
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o,
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max(high, last),
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min(low, last),
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last,
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v + new_v,
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)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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await ctx.send_yield({topic: quote})
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# ugh, clear ticks since we've consumed them
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ticker.ticks = []
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_local_buffer_writers[key] = False
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@tractor.msg.pub
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async def stream_and_write(
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stream,
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calc_price: bool,
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topic: str,
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writer_already_exists: bool,
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suffix: str,
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ctx: tractor.Context,
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shm: Optional['SharedArray'], # noqa
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) -> None:
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"""Core quote streaming and shm writing loop; optimize for speed!
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"""
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# real-time stream
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async for ticker in stream:
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# print(ticker.vwap)
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quote = normalize(
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ticker,
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calc_price=calc_price
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)
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quote['symbol'] = topic
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# TODO: in theory you can send the IPC msg *before*
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# writing to the sharedmem array to decrease latency,
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# however, that will require `tractor.msg.pub` support
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# here or at least some way to prevent task switching
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# at the yield such that the array write isn't delayed
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# while another consumer is serviced..
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# if we are the lone tick writer start writing
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# the buffer with appropriate trade data
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if not writer_already_exists:
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for tick in iterticks(quote, types=('trade', 'utrade',)):
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last = tick['price']
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# print(f"{quote['symbol']}: {tick}")
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# update last entry
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# benchmarked in the 4-5 us range
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o, high, low, v = shm.array[-1][
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['open', 'high', 'low', 'volume']
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]
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new_v = tick.get('size', 0)
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if v == 0 and new_v:
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# no trades for this bar yet so the open
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# is also the close/last trade price
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o = last
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shm.array[[
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'open',
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'high',
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'low',
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'close',
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'volume',
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]][-1] = (
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o,
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max(high, last),
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min(low, last),
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last,
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v + new_v,
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)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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await ctx.send_yield({topic: quote})
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# ugh, clear ticks since we've consumed them
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ticker.ticks = []
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@tractor.msg.pub(
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send_on_connect={'local_trades': 'start'}
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)
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async def stream_trades(
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loglevel: str = None,
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get_topics: Callable = None,
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) -> AsyncIterator[Dict[str, Any]]:
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global _trades_stream_is_live
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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@ -1086,9 +1134,6 @@ async def stream_trades(
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method='recv_trade_updates',
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)
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# startup msg
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yield {'local_trades': 'start'}
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async for event_name, item in stream:
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# XXX: begin normalization of nonsense ib_insync internal
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