Support the `stream_quotes()` api in questrade backend

piker/brokers/questrade.py

@@ -3,15 +3,20 @@ Questrade API backend.
 """
 from __future__ import annotations
 import inspect
+import contextlib
 import time
 from datetime import datetime
 from functools import partial
 import itertools
 import configparser
-from typing import List, Tuple, Dict, Any, Iterator, NamedTuple
+from typing import (
+    List, Tuple, Dict, Any, Iterator, NamedTuple,
+    AsyncGenerator,
+)
 
 import arrow
 import trio
+import tractor
 from async_generator import asynccontextmanager
 import pandas as pd
 import numpy as np
@@ -23,6 +28,7 @@ from . import config
 from ._util import resproc, BrokerError, SymbolNotFound
 from ..log import get_logger, colorize_json
 from .._async_utils import async_lifo_cache
+from . import get_brokermod
 
 log = get_logger(__name__)
 
@@ -408,10 +414,10 @@ class Client:
 
         return symbols2ids
 
-    async def symbol_info(self, tickers: List[str]):
+    async def symbol_info(self, symbols: List[str]):
-        """Return symbol data for ``tickers``.
+        """Return symbol data for ``symbols``.
         """
-        t2ids = await self.tickers2ids(tickers)
+        t2ids = await self.tickers2ids(symbols)
         ids = ','.join(t2ids.values())
         symbols = {}
         for pkt in (await self.api.symbols(ids=ids))['symbols']:
@@ -558,7 +564,7 @@ class Client:
         time_frame: str = '1m',
         count: float = 20e3,
         is_paid_feed: bool = False,
-        as_np: bool = False,
+        as_np: bool = False
     ) -> List[Dict[str, Any]]:
         """Retreive OHLCV bars for a symbol over a range to the present.
 
@@ -1011,3 +1017,151 @@ def format_option_quote(
         displayable[new_key] = display_value
 
     return new, displayable
+
+
+@asynccontextmanager
+async def get_cached_client(
+    brokername: str,
+    *args,
+    **kwargs,
+) -> 'Client':
+    """Get a cached broker client from the current actor's local vars.
+
+    If one has not been setup do it and cache it.
+    """
+    # check if a cached client is in the local actor's statespace
+    ss = tractor.current_actor().statespace
+    clients = ss.setdefault('clients', {'_lock': trio.Lock()})
+    lock = clients['_lock']
+    client = None
+    try:
+        log.info(f"Loading existing `{brokername}` daemon")
+        async with lock:
+            client = clients[brokername]
+    except KeyError:
+        log.info(f"Creating new client for broker {brokername}")
+        async with lock:
+            brokermod = get_brokermod(brokername)
+            exit_stack = contextlib.AsyncExitStack()
+            client = await exit_stack.enter_async_context(
+                brokermod.get_client())
+            client._exit_stack = exit_stack
+            clients[brokername] = client
+    else:
+        client._consumers += 1
+        yield client
+    finally:
+        client._consumers -= 1
+        if client._consumers <= 0:
+            # teardown the client
+            await client._exit_stack.aclose()
+
+
+async def smoke_quote(get_quotes, tickers):  # , broker):
+    """Do an initial "smoke" request for symbols in ``tickers`` filtering
+    out any symbols not supported by the broker queried in the call to
+    ``get_quotes()``.
+    """
+    from operator import itemgetter
+    # TODO: trim out with #37
+    #################################################
+    # get a single quote filtering out any bad tickers
+    # NOTE: this code is always run for every new client
+    # subscription even when a broker quoter task is already running
+    # since the new client needs to know what symbols are accepted
+    log.warn(f"Retrieving smoke quote for symbols {tickers}")
+    quotes = await get_quotes(tickers)
+
+    # report any tickers that aren't returned in the first quote
+    invalid_tickers = set(tickers) - set(map(itemgetter('key'), quotes))
+    for symbol in invalid_tickers:
+        tickers.remove(symbol)
+        log.warn(
+            f"Symbol `{symbol}` not found")  # by broker `{broker}`"
+        # )
+
+    # pop any tickers that return "empty" quotes
+    payload = {}
+    for quote in quotes:
+        symbol = quote['symbol']
+        if quote is None:
+            log.warn(
+                f"Symbol `{symbol}` not found")
+            # 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.error(
+                f"{symbol} seems to be defunct")
+
+        payload[symbol] = quote
+
+    return payload
+
+    # end of section to be trimmed out with #37
+    ###########################################
+
+
+@tractor.stream
+async def stream_quotes(
+    ctx: tractor.Context,  # marks this as a streaming func
+    symbols: List[str],
+    feed_type: str = 'stock',
+    diff_cached: bool = True,
+    rate: int = 3,
+    # feed_type: str = 'stock',
+) -> AsyncGenerator[str, Dict[str, Any]]:
+
+    async with get_cached_client('questrade') as client:
+        if feed_type == 'stock':
+            formatter = format_stock_quote
+            get_quotes = await stock_quoter(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, list(symbols))
+        else:
+            formatter = format_option_quote
+            get_quotes = await option_quoter(client, symbols)
+            # packetize
+            payload = {
+                quote['symbol']: quote
+                for quote in await get_quotes(symbols)
+            }
+
+        symbol_data = await client.symbol_info(symbols)
+
+        # function to format packets delivered to subscribers
+        def packetizer(
+            topic: str,
+            quotes: Dict[str, Any]
+        ) -> Dict[str, Any]:
+            """Normalize quotes by name into dicts.
+            """
+            new = {}
+            for quote in quotes:
+                new[quote['symbol']], _ = formatter(quote, symbol_data)
+
+            return new
+
+        # push initial smoke quote response for client initialization
+        await ctx.send_yield(payload)
+
+        from .data import stream_poll_requests
+
+        await stream_poll_requests(
+
+            # ``msg.pub`` required kwargs
+            task_name=feed_type,
+            ctx=ctx,
+            topics=symbols,
+            packetizer=packetizer,
+
+            # actual func args
+            get_quotes=get_quotes,
+            diff_cached=diff_cached,
+            rate=rate,
+        )
+        log.info("Terminating stream quoter task")