Support the `stream_quotes()` api in questrade backend
Tyler Goodlet
parent
a59497c949
commit
12655f87fd
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@ -3,15 +3,20 @@ Questrade API backend.
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"""
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from __future__ import annotations
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import inspect
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import contextlib
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import time
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from datetime import datetime
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from functools import partial
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import itertools
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import configparser
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from typing import List, Tuple, Dict, Any, Iterator, NamedTuple
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from typing import (
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List, Tuple, Dict, Any, Iterator, NamedTuple,
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AsyncGenerator,
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)
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import arrow
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import trio
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import tractor
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from async_generator import asynccontextmanager
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import pandas as pd
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import numpy as np
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@ -23,6 +28,7 @@ from . import config
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from ._util import resproc, BrokerError, SymbolNotFound
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from ..log import get_logger, colorize_json
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from .._async_utils import async_lifo_cache
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from . import get_brokermod
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log = get_logger(__name__)
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@ -408,10 +414,10 @@ class Client:
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return symbols2ids
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async def symbol_info(self, tickers: List[str]):
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"""Return symbol data for ``tickers``.
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async def symbol_info(self, symbols: List[str]):
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"""Return symbol data for ``symbols``.
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"""
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t2ids = await self.tickers2ids(tickers)
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t2ids = await self.tickers2ids(symbols)
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ids = ','.join(t2ids.values())
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symbols = {}
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for pkt in (await self.api.symbols(ids=ids))['symbols']:
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@ -558,7 +564,7 @@ class Client:
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time_frame: str = '1m',
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count: float = 20e3,
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is_paid_feed: bool = False,
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as_np: bool = False,
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as_np: bool = False
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) -> List[Dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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@ -1011,3 +1017,151 @@ def format_option_quote(
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displayable[new_key] = display_value
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return new, displayable
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@asynccontextmanager
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async def get_cached_client(
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brokername: str,
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*args,
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**kwargs,
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) -> 'Client':
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"""Get a cached broker client from the current actor's local vars.
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If one has not been setup do it and cache it.
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"""
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# check if a cached client is in the local actor's statespace
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ss = tractor.current_actor().statespace
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clients = ss.setdefault('clients', {'_lock': trio.Lock()})
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lock = clients['_lock']
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client = None
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try:
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log.info(f"Loading existing `{brokername}` daemon")
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async with lock:
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client = clients[brokername]
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except KeyError:
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log.info(f"Creating new client for broker {brokername}")
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async with lock:
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brokermod = get_brokermod(brokername)
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exit_stack = contextlib.AsyncExitStack()
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client = await exit_stack.enter_async_context(
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brokermod.get_client())
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client._exit_stack = exit_stack
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clients[brokername] = client
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else:
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client._consumers += 1
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yield client
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finally:
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client._consumers -= 1
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if client._consumers <= 0:
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# teardown the client
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await client._exit_stack.aclose()
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async def smoke_quote(get_quotes, tickers): # , broker):
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"""Do an initial "smoke" request for symbols in ``tickers`` filtering
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out any symbols not supported by the broker queried in the call to
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``get_quotes()``.
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"""
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from operator import itemgetter
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# TODO: trim out with #37
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#################################################
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# get a single quote filtering out any bad tickers
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# NOTE: this code is always run for every new client
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# subscription even when a broker quoter task is already running
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# since the new client needs to know what symbols are accepted
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log.warn(f"Retrieving smoke quote for symbols {tickers}")
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quotes = await get_quotes(tickers)
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# report any tickers that aren't returned in the first quote
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invalid_tickers = set(tickers) - set(map(itemgetter('key'), quotes))
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for symbol in invalid_tickers:
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tickers.remove(symbol)
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log.warn(
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f"Symbol `{symbol}` not found") # by broker `{broker}`"
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# )
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# pop any tickers that return "empty" quotes
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payload = {}
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for quote in quotes:
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symbol = quote['symbol']
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if quote is None:
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log.warn(
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f"Symbol `{symbol}` not found")
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# XXX: not this mutates the input list (for now)
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tickers.remove(symbol)
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continue
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# report any unknown/invalid symbols (QT specific)
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if quote.get('low52w', False) is None:
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log.error(
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f"{symbol} seems to be defunct")
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payload[symbol] = quote
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return payload
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# end of section to be trimmed out with #37
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###########################################
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@tractor.stream
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async def stream_quotes(
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ctx: tractor.Context, # marks this as a streaming func
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symbols: List[str],
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feed_type: str = 'stock',
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diff_cached: bool = True,
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rate: int = 3,
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# feed_type: str = 'stock',
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) -> AsyncGenerator[str, Dict[str, Any]]:
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async with get_cached_client('questrade') as client:
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if feed_type == 'stock':
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formatter = format_stock_quote
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get_quotes = await stock_quoter(client, symbols)
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# do a smoke quote (note this mutates the input list and filters
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# out bad symbols for now)
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payload = await smoke_quote(get_quotes, list(symbols))
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else:
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formatter = format_option_quote
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get_quotes = await option_quoter(client, symbols)
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# packetize
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payload = {
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quote['symbol']: quote
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for quote in await get_quotes(symbols)
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}
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symbol_data = await client.symbol_info(symbols)
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# function to format packets delivered to subscribers
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def packetizer(
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topic: str,
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quotes: Dict[str, Any]
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) -> Dict[str, Any]:
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"""Normalize quotes by name into dicts.
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"""
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new = {}
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for quote in quotes:
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new[quote['symbol']], _ = formatter(quote, symbol_data)
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return new
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# push initial smoke quote response for client initialization
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await ctx.send_yield(payload)
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from .data import stream_poll_requests
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await stream_poll_requests(
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# ``msg.pub`` required kwargs
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task_name=feed_type,
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ctx=ctx,
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topics=symbols,
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packetizer=packetizer,
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# actual func args
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get_quotes=get_quotes,
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diff_cached=diff_cached,
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rate=rate,
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)
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log.info("Terminating stream quoter task")
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