Add an options streaming test

tests/test_questrade.py

@@ -4,7 +4,9 @@ Questrade broker testing
 import time
 
 import trio
+import tractor
 from trio.testing import trio_test
+from tractor.testing import tractor_test
 from piker.brokers import questrade as qt
 import pytest
 
@@ -18,72 +20,75 @@ def check_qt_conf_section(brokerconf):
 
 
 # stock quote
-_ex_quote = {
+_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.
     """
     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
-        for key in _ex_quote:
+        for key in _ex_quotes[feed_type]:
             quote.pop(key)
 
         # no additional fields either
@@ -104,11 +109,11 @@ async def test_batched_stock_quote(us_symbols):
 
 
 @trio_test
-async def test_quoter_context(us_symbols):
+async def test_stock_quoter_context(us_symbols):
     """Test that a quoter "context" used by the data feed daemon.
     """
     async with qt.get_client() as client:
-        quoter = await qt.quoter(client, us_symbols)
+        quoter = await qt.stock_quoter(client, us_symbols)
         quotes = await quoter(us_symbols)
         match_packet(us_symbols, quotes)
 
@@ -119,12 +124,14 @@ async def test_option_contracts(tmx_symbols):
     """
     async with qt.get_client() as client:
         for symbol in tmx_symbols:
-            id, contracts = await client.symbol2contracts(symbol)
+            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
@@ -133,17 +140,15 @@ async def test_option_chain(tmx_symbols):
     """
     async with qt.get_client() as client:
         # contract lookup - should be cached
-        contracts = await client.get_all_contracts(tmx_symbols)
+        contracts = await client.get_all_contracts([tmx_symbols[0]])
         # chains quote for all symbols
         quotes = await client.option_chains(contracts)
-        for key in tmx_symbols:
+        # 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
@@ -163,7 +168,7 @@ async def test_option_quote_latency(tmx_symbols):
             # NOTE: request latency is usually 2x faster that these
             (5, contracts), (0.5, single)
         ]:
-            for _ in range(10):
+            for _ in range(3):
                 # chains quote for all symbols
                 start = time.time()
                 await client.option_chains(contract)
@@ -171,3 +176,71 @@ async def test_option_quote_latency(tmx_symbols):
                 print(f"Request took {took}")
                 assert took <= expected_latency
                 await trio.sleep(0.1)
+
+
+@tractor_test
+async def test_option_streaming(tmx_symbols, loglevel):
+    """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'
+                    ],
+                )
+
+            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',
+                    tickers=[],
+                )
+                # stop all spawned subactors
+                await nursery.cancel()

tests/test_tractor.py

@@ -16,11 +16,6 @@ async def rx_price_quotes_from_brokerd(us_symbols):
                 portal = await nursery.start_actor(
                     'brokerd',
                     rpc_module_paths=['piker.brokers.data'],
-                    statespace={
-                        'broker2tickersubs': {},
-                        'clients': {},
-                        'dtasks': set()
-                    },
                 )
 
                 # gotta expose in a broker agnostic way...