Prototype out writing `1Sec` OHLCV data
Tyler Goodlet
parent
96b7d55018
commit
1623d4ed83
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@ -23,7 +23,8 @@
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- todo: tick sequence stream-cloning for testing
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'''
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from pprint import pformat
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from typing import (
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Any,
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Optional,
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@ -33,12 +34,13 @@ from typing import (
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import time
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from math import isnan
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from bidict import bidict
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import msgpack
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import numpy as np
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import pandas as pd
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import tractor
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from trio_websocket import open_websocket_url
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from anyio_marketstore import open_marketstore_client, MarketstoreClient
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from anyio_marketstore import open_marketstore_client, MarketstoreClient, Params
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from ..log import get_logger, get_console_log
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from .feed import maybe_open_feed
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@ -164,12 +166,17 @@ def timestamp(date, **kwargs) -> int:
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return int(pd.Timestamp(date, **kwargs).value)
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@asynccontextmanager
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@acm
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async def get_client(
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host: str = 'localhost',
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port: int = 5995
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) -> MarketstoreClient:
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'''
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Load a ``anyio_marketstore`` grpc client connected
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to an existing ``marketstore`` server.
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'''
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async with open_marketstore_client(
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host,
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port
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@ -192,6 +199,41 @@ async def get_client(
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# raise MarketStoreError(err)
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tf_in_1s = bidict({
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1: '1Sec',
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60: '1Min',
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60*5: '5Min',
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60*15: '15Min',
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60*30: '30Min',
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60*60: '1H',
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60*60*24: '1D',
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})
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# @acm
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async def load_history(
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symbol: Symbol,
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period: int = 1, # in seconds
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) -> np.ndarray:
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async with get_client() as client:
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tfstr = tf_in_1s[period]
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result = await client.query(
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Params(fqsn, tf_in_1s, 'OHLCV',)
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)
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# Dig out `numpy` results map
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arrays = {}
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await tractor.breakpoint()
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# for qr in [onem, fivem]:
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# for name, data_set in qr.by_symbols().items():
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# arrays[(name, qr)] = data_set.array
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# # TODO: backfiller loop
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# array = arrays[(fqsn, qr)]
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async def backfill_history(
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# symbol: Symbol
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@ -201,28 +243,32 @@ async def backfill_history(
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# - take ``Symbol`` as input
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# - backtrack into history using backend helper endpoint
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# broker = 'ib'
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# symbol = 'mnq.globex'
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broker = 'ib'
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symbol = 'mnq.globex'
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broker = 'binance'
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symbol = 'btcusdt'
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# broker = 'binance'
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# symbol = 'btcusdt'
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fqsn = mk_fqsn(broker, symbol)
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print('yo')
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async with (
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get_client() as msclient,
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get_client() as client,
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maybe_open_feed(
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broker,
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[symbol],
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loglevel='info',
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# backpressure=False,
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start_stream=False,
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) as (feed, stream),
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):
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print('yo')
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ohlcv = feed.shm.array
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mkts_dt = np.dtype(_ohlcv_dt)
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syms = await msclient.list_symbols()
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print('yo')
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syms = await client.list_symbols()
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log.info(f'Existing symbol set:\n{pformat(syms)}')
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# build mkts schema compat array
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@ -240,14 +286,39 @@ async def backfill_history(
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'volume',
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]]
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key = (fqsn, '1Sec', 'OHLCV')
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tbk = mk_tbk(key)
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# diff vs. existing array and append new history
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# TODO:
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# write to db
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resp = await msclient.write(
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resp = await client.write(
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mkts_array,
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tbk=f'{fqsn}/1Min/OHLCV',
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isvariablelength=True,
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tbk=tbk,
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# NOTE: will will append duplicates
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# for the same timestamp-index.
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# isvariablelength=True,
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)
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# TODO: should be no error?
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# assert not resp.responses
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# # Dig out `numpy` results map
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qr = await client.query(
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Params(fqsn, '1Min`', 'OHLCV',)
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)
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qr = await client.query(
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# Params(fqsn, '1Sec`', 'OHLCV',)
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Params(*key),
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)
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arrays = {}
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# for qr in [onem, fivem]:
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for name, data_set in qr.by_symbols().items():
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arrays[(name, qr)] = data_set.array
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# TODO: backfiller loop
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array = arrays[(fqsn, qr)]
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await tractor.breakpoint()
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async def ingest_quote_stream(
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@ -315,24 +386,6 @@ async def ingest_quote_stream(
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# await ms_client.write(symbol, a)
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# async def stream_quotes(
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# symbols: list[str],
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# timeframe: str = '1Min',
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# attr_group: str = 'TICK',
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# host: str = 'localhost',
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# port: int = 5993,
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# loglevel: str = None
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# ) -> None:
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# '''
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# Open a symbol stream from a running instance of marketstore and
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# log to console.
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# '''
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# tbks: dict[str, str] = {
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# sym: f'{sym}/{timeframe}/{attr_group}' for sym in symbols}
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async def stream_quotes(
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symbols: list[str],
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host: str = 'localhost',
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