Fix for adjusted contracts subscription bug
If quotes are pushed using the adjusted contract symbol (i.e. with trailing '-1' suffix) the subscriber won't receive them under the normal symbol. The logic was wrong for determining whether to add a suffix (was failing for any symbol with an exchange suffix) which was causing normal data feed subscriptions to fail to match in every case. I did some testing of the `optionsIds` parameter to the option quote endpoint and found that it limits you to 100 symbols so it's not practical for real-time "all-strike"" chain updating; we have to stick to filters for now. The only real downside of this is that it seems multiple filters across multiple symbols is quite latent. I need to toy with it more to be sure it's not something slow on the client side. Oh, and store option contract to ids in a `dict` for now as we may want to try the `optionsIds` thing again down the road as I coordinate with the QT tech team.kivy_mainline_and_py3.8
parent
dc581d0bdc
commit
1866dd1812
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@ -107,6 +107,8 @@ class _API:
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]
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]
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resp = await self._sess.post(
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resp = await self._sess.post(
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path=f'/markets/quotes/options',
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path=f'/markets/quotes/options',
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# XXX: b'{"code":1024,"message":"The size of the array requested is not valid: optionIds"}'
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# ^ what I get when trying to use too many ids manually...
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json={'filters': filters, 'optionIds': option_ids}
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json={'filters': filters, 'optionIds': option_ids}
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)
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)
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return resproc(resp, log)['optionQuotes']
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return resproc(resp, log)['optionQuotes']
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@ -125,8 +127,8 @@ class Client:
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self.access_data = {}
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self.access_data = {}
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self._reload_config(config)
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self._reload_config(config)
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self._symbol_cache: Dict[str, int] = {}
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self._symbol_cache: Dict[str, int] = {}
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self._contracts2expiries = {}
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self._optids2contractinfo = {}
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self._optids2contractinfo = {}
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self._contract2ids = {}
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def _reload_config(self, config=None, **kwargs):
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def _reload_config(self, config=None, **kwargs):
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log.warn("Reloading access config data")
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log.warn("Reloading access config data")
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@ -317,14 +319,13 @@ class Client:
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):
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):
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for chain in byroot['chainPerRoot']:
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for chain in byroot['chainPerRoot']:
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optroot = chain['optionRoot']
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optroot = chain['optionRoot']
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suffix = ''
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# handle QTs "adjusted contracts" (aka adjusted for
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# handle QTs "adjusted contracts" (aka adjusted for
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# the underlying in some way; usually has a '(1)' in
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# the underlying in some way; usually has a '(1)' in
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# the expiry key in their UI)
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# the expiry key in their UI)
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adjusted_contracts = optroot != key.symbol
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adjusted_contracts = optroot not in key.symbol
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if adjusted_contracts:
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tail = optroot[len(key.symbol):]
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suffix = '(' + optroot[len(key.symbol):] + ')'
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suffix = '-' + tail if adjusted_contracts else ''
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by_key[
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by_key[
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ContractsKey(
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ContractsKey(
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@ -344,12 +345,16 @@ class Client:
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for key, contract_type in (
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for key, contract_type in (
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('callSymbolId', 'call'), ('putSymbolId', 'put')
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('callSymbolId', 'call'), ('putSymbolId', 'put')
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):
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):
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self._optids2contractinfo[
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contract_int_id = ids[key]
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ids[key]] = {
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self._optids2contractinfo[contract_int_id] = {
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'strike': strike,
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'strike': strike,
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'expiry': tup.expiry,
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'expiry': tup.expiry,
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'contract_type': contract_type,
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'contract_type': contract_type,
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}
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'contract_key': tup,
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}
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# store ids per contract
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self._contract2ids.setdefault(
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tup, set()).add(contract_int_id)
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return by_key
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return by_key
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async def option_chains(
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async def option_chains(
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@ -359,22 +364,31 @@ class Client:
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) -> Dict[str, Dict[str, Dict[str, Any]]]:
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) -> Dict[str, Dict[str, Dict[str, Any]]]:
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"""Return option chain snap quote for each ticker in ``symbols``.
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"""Return option chain snap quote for each ticker in ``symbols``.
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"""
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"""
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batch = []
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quotes = await self.api.option_quotes(contracts=contracts)
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for key, bystrike in contracts.items():
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# XXX the below doesn't work so well due to the symbol count
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quotes = await self.api.option_quotes({key: bystrike})
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# limit per quote request
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for quote in quotes:
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# quotes = await self.api.option_quotes(option_ids=list(contract_ids))
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# index by .symbol, .expiry since that's what
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for quote in quotes:
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# a subscriber (currently) sends initially
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id = quote['symbolId']
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quote['key'] = (key[0], key[2])
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contract_info = self._optids2contractinfo[id].copy()
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# update with expiry and strike (Obviously the
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key = contract_info.pop('contract_key')
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# QT api designers are using some kind of severely
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# stupid disparate table system where they keep
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# contract info in a separate table from the quote format
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# keys. I'm really not surprised though - windows shop..)
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quote.update(self._optids2contractinfo[quote['symbolId']])
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batch.extend(quotes)
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return batch
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# XXX TODO: this currently doesn't handle adjusted contracts
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# (i.e. ones that we stick a '(1)' after)
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# index by .symbol, .expiry since that's what
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# a subscriber (currently) sends initially
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quote['key'] = (key.symbol, key.expiry)
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# update with expiry and strike (Obviously the
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# QT api designers are using some kind of severely
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# stupid disparate table system where they keep
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# contract info in a separate table from the quote format
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# keys. I'm really not surprised though - windows shop..)
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# quote.update(self._optids2contractinfo[quote['symbolId']])
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quote.update(contract_info)
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return quotes
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async def token_refresher(client):
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async def token_refresher(client):
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