Factor all data feed endpoints into `.ib.feed.py`
Tyler Goodlet
parent
99eabe34c9
commit
1c1661b783
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@ -32,15 +32,27 @@ Sub-modules within break into the core functionalities:
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"""
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from .client import (
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get_client,
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trades_dialogue,
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)
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from .feed import (
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open_history_client,
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open_symbol_search,
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stream_quotes,
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trades_dialogue,
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)
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__all__ = [
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'get_client',
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'trades_dialogue',
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'open_history_client',
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'open_symbol_search',
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'stream_quotes',
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]
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# tractor RPC enable arg
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__enable_modules__: list[str] = [
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'client',
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'feed',
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]
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# passed to ``tractor.ActorNursery.start_actor()``
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@ -28,8 +28,9 @@ from functools import partial
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import itertools
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from math import isnan
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from typing import (
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Any, Callable, Optional,
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AsyncIterator, Awaitable,
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Any,
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Optional,
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AsyncIterator,
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Union,
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)
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import asyncio
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@ -43,7 +44,6 @@ import trio
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from trio_typing import TaskStatus
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import tractor
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from tractor import to_asyncio
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from async_generator import aclosing
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails, Option
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from ib_insync.order import Order, Trade, OrderStatus
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@ -53,16 +53,12 @@ from ib_insync.objects import Position
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import ib_insync as ibis
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from ib_insync.wrapper import Wrapper
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from ib_insync.client import Client as ib_Client
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import pendulum
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from piker import config
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from piker.log import get_logger, get_console_log
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from piker.data._source import base_ohlc_dtype
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from piker.data._sharedmem import ShmArray
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from .._util import SymbolNotFound, NoData
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from piker.clearing._messages import (
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BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdPosition, BrokerdCancel,
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@ -1151,27 +1147,6 @@ def get_preferred_data_client(
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)
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@acm
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async def open_data_client() -> MethodProxy:
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'''
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Open the first found preferred "data client" as defined in the
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user's ``brokers.toml`` in the ``ib.prefer_data_account`` variable
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and deliver that client wrapped in a ``MethodProxy``.
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'''
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async with (
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open_client_proxies() as (proxies, clients),
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):
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account_name, client = get_preferred_data_client(clients)
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proxy = proxies.get(f'ib.{account_name}')
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if not proxy:
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raise ValueError(
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f'No preferred data client could be found for {account_name}!'
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)
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yield proxy
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class MethodProxy:
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def __init__(
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@ -1355,725 +1330,14 @@ async def get_client(
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a method proxy to it.
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'''
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from .feed import open_data_client
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# TODO: the IPC via portal relay layer for when this current
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# actor isn't in aio mode.
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async with open_data_client() as proxy:
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yield proxy
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# https://interactivebrokers.github.io/tws-api/tick_types.html
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tick_types = {
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77: 'trade',
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# a "utrade" aka an off exchange "unreportable" (dark) vlm:
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# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
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48: 'dark_trade',
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# standard L1 ticks
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0: 'bsize',
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1: 'bid',
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2: 'ask',
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3: 'asize',
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4: 'last',
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5: 'size',
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8: 'volume',
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# ``ib_insync`` already packs these into
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# quotes under the following fields.
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# 55: 'trades_per_min', # `'tradeRate'`
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# 56: 'vlm_per_min', # `'volumeRate'`
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# 89: 'shortable', # `'shortableShares'`
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}
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# TODO: cython/mypyc/numba this!
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def normalize(
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ticker: Ticker,
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calc_price: bool = False
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) -> dict:
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# should be real volume for this contract by default
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calc_price = False
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# check for special contract types
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con = ticker.contract
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if type(con) in (
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ibis.Commodity,
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ibis.Forex,
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):
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = con.secType
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# no real volume on this tract
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calc_price = True
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else:
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suffix = con.primaryExchange
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if not suffix:
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suffix = con.exchange
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# append a `.<suffix>` to the returned symbol
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# key for derivatives that normally is the expiry
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# date key.
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expiry = con.lastTradeDateOrContractMonth
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if expiry:
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suffix += f'.{expiry}'
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# convert named tuples to dicts so we send usable keys
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new_ticks = []
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for tick in ticker.ticks:
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if tick and not isinstance(tick, dict):
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td = tick._asdict()
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td['type'] = tick_types.get(
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td['tickType'],
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'n/a',
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)
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new_ticks.append(td)
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tbt = ticker.tickByTicks
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if tbt:
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print(f'tickbyticks:\n {ticker.tickByTicks}')
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ticker.ticks = new_ticks
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# some contracts don't have volume so we may want to calculate
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# a midpoint price based on data we can acquire (such as bid / ask)
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if calc_price:
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ticker.ticks.append(
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{'type': 'trade', 'price': ticker.marketPrice()}
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)
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# serialize for transport
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data = asdict(ticker)
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# generate fqsn with possible specialized suffix
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# for derivatives, note the lowercase.
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data['symbol'] = data['fqsn'] = '.'.join(
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(con.symbol, suffix)
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).lower()
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# convert named tuples to dicts for transport
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tbts = data.get('tickByTicks')
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if tbts:
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data['tickByTicks'] = [tbt._asdict() for tbt in tbts]
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# add time stamps for downstream latency measurements
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data['brokerd_ts'] = time.time()
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# stupid stupid shit...don't even care any more..
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# leave it until we do a proper latency study
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# if ticker.rtTime is not None:
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# data['broker_ts'] = data['rtTime_s'] = float(
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# ticker.rtTime.timestamp) / 1000.
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data.pop('rtTime')
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return data
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_pacing: str = (
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'Historical Market Data Service error '
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'message:Historical data request pacing violation'
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)
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async def get_bars(
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proxy: MethodProxy,
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fqsn: str,
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# blank to start which tells ib to look up the latest datum
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end_dt: str = '',
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) -> (dict, np.ndarray):
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'''
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Retrieve historical data from a ``trio``-side task using
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a ``MethoProxy``.
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'''
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fails = 0
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bars: Optional[list] = None
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first_dt: datetime = None
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last_dt: datetime = None
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if end_dt:
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last_dt = pendulum.from_timestamp(end_dt.timestamp())
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for _ in range(10):
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try:
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out = await proxy.bars(
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fqsn=fqsn,
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end_dt=end_dt,
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)
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if out:
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bars, bars_array = out
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else:
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await tractor.breakpoint()
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if bars_array is None:
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raise SymbolNotFound(fqsn)
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first_dt = pendulum.from_timestamp(
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bars[0].date.timestamp())
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last_dt = pendulum.from_timestamp(
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bars[-1].date.timestamp())
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time = bars_array['time']
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assert time[-1] == last_dt.timestamp()
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assert time[0] == first_dt.timestamp()
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log.info(
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f'{len(bars)} bars retreived for {first_dt} -> {last_dt}'
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)
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return (bars, bars_array, first_dt, last_dt), fails
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except RequestError as err:
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msg = err.message
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# why do we always need to rebind this?
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# _err = err
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if 'No market data permissions for' in msg:
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# TODO: signalling for no permissions searches
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raise NoData(
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f'Symbol: {fqsn}',
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)
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elif (
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err.code == 162
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and 'HMDS query returned no data' in err.message
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):
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# XXX: this is now done in the storage mgmt layer
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# and we shouldn't implicitly decrement the frame dt
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# index since the upper layer may be doing so
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# concurrently and we don't want to be delivering frames
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# that weren't asked for.
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log.warning(
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f'NO DATA found ending @ {end_dt}\n'
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)
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# try to decrement start point and look further back
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# end_dt = last_dt = last_dt.subtract(seconds=2000)
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raise NoData(
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f'Symbol: {fqsn}',
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frame_size=2000,
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)
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elif _pacing in msg:
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log.warning(
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'History throttle rate reached!\n'
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'Resetting farms with `ctrl-alt-f` hack\n'
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)
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# TODO: we might have to put a task lock around this
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# method..
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hist_ev = proxy.status_event(
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'HMDS data farm connection is OK:ushmds'
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)
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# XXX: other event messages we might want to try and
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# wait for but i wasn't able to get any of this
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# reliable..
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# reconnect_start = proxy.status_event(
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# 'Market data farm is connecting:usfuture'
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# )
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# live_ev = proxy.status_event(
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# 'Market data farm connection is OK:usfuture'
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# )
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# try to wait on the reset event(s) to arrive, a timeout
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# will trigger a retry up to 6 times (for now).
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tries: int = 2
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timeout: float = 10
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# try 3 time with a data reset then fail over to
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# a connection reset.
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for i in range(1, tries):
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log.warning('Sending DATA RESET request')
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await data_reset_hack(reset_type='data')
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with trio.move_on_after(timeout) as cs:
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for name, ev in [
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# TODO: not sure if waiting on other events
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# is all that useful here or not. in theory
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# you could wait on one of the ones above
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# first to verify the reset request was
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# sent?
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('history', hist_ev),
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]:
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await ev.wait()
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log.info(f"{name} DATA RESET")
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break
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if cs.cancelled_caught:
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fails += 1
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log.warning(
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f'Data reset {name} timeout, retrying {i}.'
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)
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continue
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else:
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log.warning('Sending CONNECTION RESET')
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await data_reset_hack(reset_type='connection')
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with trio.move_on_after(timeout) as cs:
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for name, ev in [
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# TODO: not sure if waiting on other events
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# is all that useful here or not. in theory
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# you could wait on one of the ones above
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# first to verify the reset request was
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# sent?
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('history', hist_ev),
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]:
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await ev.wait()
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log.info(f"{name} DATA RESET")
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if cs.cancelled_caught:
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fails += 1
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log.warning('Data CONNECTION RESET timeout!?')
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else:
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raise
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return None, None
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# else: # throttle wasn't fixed so error out immediately
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# raise _err
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@acm
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async def open_history_client(
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symbol: str,
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) -> tuple[Callable, int]:
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'''
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History retreival endpoint - delivers a historical frame callble
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that takes in ``pendulum.datetime`` and returns ``numpy`` arrays.
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'''
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async with open_data_client() as proxy:
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async def get_hist(
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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) -> tuple[np.ndarray, str]:
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out, fails = await get_bars(proxy, symbol, end_dt=end_dt)
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# TODO: add logic here to handle tradable hours and only grab
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# valid bars in the range
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if out is None:
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# could be trying to retreive bars over weekend
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log.error(f"Can't grab bars starting at {end_dt}!?!?")
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raise NoData(
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f'{end_dt}',
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frame_size=2000,
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)
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bars, bars_array, first_dt, last_dt = out
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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return bars_array, first_dt, last_dt
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# TODO: it seems like we can do async queries for ohlc
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# but getting the order right still isn't working and I'm not
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# quite sure why.. needs some tinkering and probably
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# a lookthrough of the ``ib_insync`` machinery, for eg. maybe
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# we have to do the batch queries on the `asyncio` side?
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yield get_hist, {'erlangs': 1, 'rate': 6}
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async def backfill_bars(
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fqsn: str,
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shm: ShmArray, # type: ignore # noqa
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# TODO: we want to avoid overrunning the underlying shm array buffer
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# and we should probably calc the number of calls to make depending
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# on that until we have the `marketstore` daemon in place in which
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# case the shm size will be driven by user config and available sys
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# memory.
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count: int = 16,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Fill historical bars into shared mem / storage afap.
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TODO: avoid pacing constraints:
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https://github.com/pikers/piker/issues/128
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'''
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# last_dt1 = None
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last_dt = None
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with trio.CancelScope() as cs:
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async with open_data_client() as proxy:
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out, fails = await get_bars(proxy, fqsn)
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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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(first_bars, bars_array, first_dt, last_dt) = out
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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last_dt = first_dt
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# write historical data to buffer
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shm.push(bars_array)
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task_status.started(cs)
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i = 0
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while i < count:
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out, fails = await get_bars(proxy, fqsn, end_dt=first_dt)
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if out is None:
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# could be trying to retreive bars over weekend
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# TODO: add logic here to handle tradable hours and
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# only grab valid bars in the range
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log.error(f"Can't grab bars starting at {first_dt}!?!?")
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# XXX: get_bars() should internally decrement dt by
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# 2k seconds and try again.
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continue
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(first_bars, bars_array, first_dt, last_dt) = out
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# last_dt1 = last_dt
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# last_dt = first_dt
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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# TODO we should probably dig into forums to see what peeps
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# think this data "means" and then use it as an indicator of
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# sorts? dinkus has mentioned that $vlms for the day dont'
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# match other platforms nor the summary stat tws shows in
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# the monitor - it's probably worth investigating.
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shm.push(bars_array, prepend=True)
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i += 1
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asset_type_map = {
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'STK': 'stock',
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'OPT': 'option',
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'FUT': 'future',
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'CONTFUT': 'continuous_future',
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'CASH': 'forex',
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'IND': 'index',
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'CFD': 'cfd',
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'BOND': 'bond',
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'CMDTY': 'commodity',
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'FOP': 'futures_option',
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'FUND': 'mutual_fund',
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'WAR': 'warrant',
|
||||
'IOPT': 'warran',
|
||||
'BAG': 'bag',
|
||||
# 'NEWS': 'news',
|
||||
}
|
||||
|
||||
|
||||
_quote_streams: dict[str, trio.abc.ReceiveStream] = {}
|
||||
|
||||
|
||||
async def _setup_quote_stream(
|
||||
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
|
||||
symbol: str,
|
||||
opts: tuple[int] = (
|
||||
'375', # RT trade volume (excludes utrades)
|
||||
'233', # RT trade volume (includes utrades)
|
||||
'236', # Shortable shares
|
||||
|
||||
# these all appear to only be updated every 25s thus
|
||||
# making them mostly useless and explains why the scanner
|
||||
# is always slow XD
|
||||
# '293', # Trade count for day
|
||||
'294', # Trade rate / minute
|
||||
'295', # Vlm rate / minute
|
||||
),
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveChannel:
|
||||
'''
|
||||
Stream a ticker using the std L1 api.
|
||||
|
||||
This task is ``asyncio``-side and must be called from
|
||||
``tractor.to_asyncio.open_channel_from()``.
|
||||
|
||||
'''
|
||||
global _quote_streams
|
||||
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
async with load_aio_clients() as accts2clients:
|
||||
caccount_name, client = get_preferred_data_client(accts2clients)
|
||||
contract = contract or (await client.find_contract(symbol))
|
||||
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
||||
|
||||
# NOTE: it's batch-wise and slow af but I guess could
|
||||
# be good for backchecking? Seems to be every 5s maybe?
|
||||
# ticker: Ticker = client.ib.reqTickByTickData(
|
||||
# contract, 'Last',
|
||||
# )
|
||||
|
||||
# # define a simple queue push routine that streams quote packets
|
||||
# # to trio over the ``to_trio`` memory channel.
|
||||
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||
def teardown():
|
||||
ticker.updateEvent.disconnect(push)
|
||||
log.error(f"Disconnected stream for `{symbol}`")
|
||||
client.ib.cancelMktData(contract)
|
||||
|
||||
# decouple broadcast mem chan
|
||||
_quote_streams.pop(symbol, None)
|
||||
|
||||
def push(t: Ticker) -> None:
|
||||
"""
|
||||
Push quotes to trio task.
|
||||
|
||||
"""
|
||||
# log.debug(t)
|
||||
try:
|
||||
to_trio.send_nowait(t)
|
||||
|
||||
except (
|
||||
trio.BrokenResourceError,
|
||||
|
||||
# XXX: HACK, not sure why this gets left stale (probably
|
||||
# due to our terrible ``tractor.to_asyncio``
|
||||
# implementation for streams.. but if the mem chan
|
||||
# gets left here and starts blocking just kill the feed?
|
||||
# trio.WouldBlock,
|
||||
):
|
||||
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
||||
# reason will catch and ignore regular exceptions
|
||||
# resulting in tracebacks spammed to console..
|
||||
# Manually do the dereg ourselves.
|
||||
teardown()
|
||||
except trio.WouldBlock:
|
||||
log.warning(
|
||||
f'channel is blocking symbol feed for {symbol}?'
|
||||
f'\n{to_trio.statistics}'
|
||||
)
|
||||
|
||||
# except trio.WouldBlock:
|
||||
# # for slow debugging purposes to avoid clobbering prompt
|
||||
# # with log msgs
|
||||
# pass
|
||||
|
||||
ticker.updateEvent.connect(push)
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
finally:
|
||||
teardown()
|
||||
|
||||
# return from_aio
|
||||
|
||||
|
||||
@acm
|
||||
async def open_aio_quote_stream(
|
||||
|
||||
symbol: str,
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
from tractor.trionics import broadcast_receiver
|
||||
global _quote_streams
|
||||
|
||||
from_aio = _quote_streams.get(symbol)
|
||||
if from_aio:
|
||||
|
||||
# if we already have a cached feed deliver a rx side clone to consumer
|
||||
async with broadcast_receiver(
|
||||
from_aio,
|
||||
2**6,
|
||||
) as from_aio:
|
||||
yield from_aio
|
||||
return
|
||||
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
_setup_quote_stream,
|
||||
symbol=symbol,
|
||||
contract=contract,
|
||||
|
||||
) as (first, from_aio):
|
||||
|
||||
# cache feed for later consumers
|
||||
_quote_streams[symbol] = from_aio
|
||||
|
||||
yield from_aio
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Stream symbol quotes.
|
||||
|
||||
This is a ``trio`` callable routine meant to be invoked
|
||||
once the brokerd is up.
|
||||
|
||||
'''
|
||||
# TODO: support multiple subscriptions
|
||||
sym = symbols[0]
|
||||
log.info(f'request for real-time quotes: {sym}')
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
con, first_ticker, details = await proxy.get_sym_details(symbol=sym)
|
||||
first_quote = normalize(first_ticker)
|
||||
# print(f'first quote: {first_quote}')
|
||||
|
||||
def mk_init_msgs() -> dict[str, dict]:
|
||||
'''
|
||||
Collect a bunch of meta-data useful for feed startup and
|
||||
pack in a `dict`-msg.
|
||||
|
||||
'''
|
||||
# pass back some symbol info like min_tick, trading_hours, etc.
|
||||
syminfo = asdict(details)
|
||||
syminfo.update(syminfo['contract'])
|
||||
|
||||
# nested dataclass we probably don't need and that won't IPC
|
||||
# serialize
|
||||
syminfo.pop('secIdList')
|
||||
|
||||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
|
||||
# for "traditional" assets, volume is normally discreet, not
|
||||
# a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
|
||||
ibclient = proxy._aio_ns.ib.client
|
||||
host, port = ibclient.host, ibclient.port
|
||||
|
||||
# TODO: for loop through all symbols passed in
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': syminfo,
|
||||
'fqsn': first_quote['fqsn'],
|
||||
},
|
||||
'status': {
|
||||
'data_ep': f'{host}:{port}',
|
||||
},
|
||||
|
||||
}
|
||||
return init_msgs
|
||||
|
||||
init_msgs = mk_init_msgs()
|
||||
|
||||
# TODO: we should instead spawn a task that waits on a feed to start
|
||||
# and let it wait indefinitely..instead of this hard coded stuff.
|
||||
with trio.move_on_after(1):
|
||||
contract, first_ticker, details = await proxy.get_quote(symbol=sym)
|
||||
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
if isnan(first_ticker.last):
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# it's not really live but this will unblock
|
||||
# the brokerd feed task to tell the ui to update?
|
||||
feed_is_live.set()
|
||||
|
||||
# block and let data history backfill code run.
|
||||
await trio.sleep_forever()
|
||||
return # we never expect feed to come up?
|
||||
|
||||
async with open_aio_quote_stream(
|
||||
symbol=sym,
|
||||
contract=con,
|
||||
) as stream:
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is stateful trash)
|
||||
first_ticker.ticks = []
|
||||
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
async with aclosing(stream):
|
||||
if type(first_ticker.contract) not in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex
|
||||
):
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
ticker = await stream.receive()
|
||||
|
||||
# for a real volume contract we rait for the first
|
||||
# "real" trade to take place
|
||||
if (
|
||||
# not calc_price
|
||||
# and not ticker.rtTime
|
||||
not ticker.rtTime
|
||||
):
|
||||
# spin consuming tickers until we get a real
|
||||
# market datum
|
||||
log.debug(f"New unsent ticker: {ticker}")
|
||||
continue
|
||||
else:
|
||||
log.debug("Received first real volume tick")
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is truly stateful trash)
|
||||
ticker.ticks = []
|
||||
|
||||
# XXX: this works because we don't use
|
||||
# ``aclosing()`` above?
|
||||
break
|
||||
|
||||
quote = normalize(ticker)
|
||||
log.debug(f"First ticker received {quote}")
|
||||
|
||||
# tell caller quotes are now coming in live
|
||||
feed_is_live.set()
|
||||
|
||||
# last = time.time()
|
||||
async for ticker in stream:
|
||||
quote = normalize(ticker)
|
||||
await send_chan.send({quote['fqsn']: quote})
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
ticker.ticks = []
|
||||
# last = time.time()
|
||||
|
||||
|
||||
def pack_position(
|
||||
pos: Position
|
||||
|
||||
|
|
@ -2461,156 +1725,6 @@ async def deliver_trade_events(
|
|||
await ems_stream.send(msg.dict())
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: load user defined symbol set locally for fast search?
|
||||
await ctx.started({})
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
last = time.time()
|
||||
|
||||
async for pattern in stream:
|
||||
log.debug(f'received {pattern}')
|
||||
now = time.time()
|
||||
|
||||
assert pattern, 'IB can not accept blank search pattern'
|
||||
|
||||
# throttle search requests to no faster then 1Hz
|
||||
diff = now - last
|
||||
if diff < 1.0:
|
||||
log.debug('throttle sleeping')
|
||||
await trio.sleep(diff)
|
||||
try:
|
||||
pattern = stream.receive_nowait()
|
||||
except trio.WouldBlock:
|
||||
pass
|
||||
|
||||
if not pattern or pattern.isspace():
|
||||
log.warning('empty pattern received, skipping..')
|
||||
|
||||
# TODO: *BUG* if nothing is returned here the client
|
||||
# side will cache a null set result and not showing
|
||||
# anything to the use on re-searches when this query
|
||||
# timed out. We probably need a special "timeout" msg
|
||||
# or something...
|
||||
|
||||
# XXX: this unblocks the far end search task which may
|
||||
# hold up a multi-search nursery block
|
||||
await stream.send({})
|
||||
|
||||
continue
|
||||
|
||||
log.debug(f'searching for {pattern}')
|
||||
|
||||
last = time.time()
|
||||
|
||||
# async batch search using api stocks endpoint and module
|
||||
# defined adhoc symbol set.
|
||||
stock_results = []
|
||||
|
||||
async def stash_results(target: Awaitable[list]):
|
||||
stock_results.extend(await target)
|
||||
|
||||
async with trio.open_nursery() as sn:
|
||||
sn.start_soon(
|
||||
stash_results,
|
||||
proxy.search_symbols(
|
||||
pattern=pattern,
|
||||
upto=5,
|
||||
),
|
||||
)
|
||||
|
||||
# trigger async request
|
||||
await trio.sleep(0)
|
||||
|
||||
# match against our ad-hoc set immediately
|
||||
adhoc_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
list(_adhoc_futes_set),
|
||||
score_cutoff=90,
|
||||
)
|
||||
log.info(f'fuzzy matched adhocs: {adhoc_matches}')
|
||||
adhoc_match_results = {}
|
||||
if adhoc_matches:
|
||||
# TODO: do we need to pull contract details?
|
||||
adhoc_match_results = {i[0]: {} for i in adhoc_matches}
|
||||
|
||||
log.debug(f'fuzzy matching stocks {stock_results}')
|
||||
stock_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
stock_results,
|
||||
score_cutoff=50,
|
||||
)
|
||||
|
||||
matches = adhoc_match_results | {
|
||||
item[0]: {} for item in stock_matches
|
||||
}
|
||||
# TODO: we used to deliver contract details
|
||||
# {item[2]: item[0] for item in stock_matches}
|
||||
|
||||
log.debug(f"sending matches: {matches.keys()}")
|
||||
await stream.send(matches)
|
||||
|
||||
|
||||
async def data_reset_hack(
|
||||
reset_type: str = 'data',
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Run key combos for resetting data feeds and yield back to caller
|
||||
when complete.
|
||||
|
||||
This is a linux-only hack around:
|
||||
|
||||
https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations
|
||||
|
||||
TODOs:
|
||||
- a return type that hopefully determines if the hack was
|
||||
successful.
|
||||
- other OS support?
|
||||
- integration with ``ib-gw`` run in docker + Xorg?
|
||||
|
||||
'''
|
||||
|
||||
async def vnc_click_hack(
|
||||
reset_type: str = 'data'
|
||||
) -> None:
|
||||
'''
|
||||
Reset the data or netowork connection for the VNC attached
|
||||
ib gateway using magic combos.
|
||||
|
||||
'''
|
||||
key = {'data': 'f', 'connection': 'r'}[reset_type]
|
||||
|
||||
import asyncvnc
|
||||
|
||||
async with asyncvnc.connect(
|
||||
'localhost',
|
||||
port=3003,
|
||||
# password='ibcansmbz',
|
||||
) as client:
|
||||
|
||||
# move to middle of screen
|
||||
# 640x1800
|
||||
client.mouse.move(
|
||||
x=500,
|
||||
y=500,
|
||||
)
|
||||
client.mouse.click()
|
||||
client.keyboard.press('Ctrl', 'Alt', key) # keys are stacked
|
||||
|
||||
await tractor.to_asyncio.run_task(vnc_click_hack)
|
||||
|
||||
# we don't really need the ``xdotool`` approach any more B)
|
||||
return True
|
||||
|
||||
|
||||
def load_flex_trades(
|
||||
path: Optional[str] = None,
|
||||
|
||||
|
|
@ -2680,7 +1794,7 @@ def load_flex_trades(
|
|||
try:
|
||||
config.write(section, 'trades')
|
||||
except KeyError:
|
||||
import pdbpp; pdbpp.set_trace()
|
||||
import pdbpp; pdbpp.set_trace() # noqa
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
|
|
|
|||
|
|
@ -0,0 +1,938 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
"""
|
||||
Data feed endpoints pre-wrapped and ready for use with ``tractor``/``trio``.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
import asyncio
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from dataclasses import asdict
|
||||
from datetime import datetime
|
||||
from math import isnan
|
||||
import time
|
||||
from typing import (
|
||||
Callable,
|
||||
Optional,
|
||||
Awaitable,
|
||||
)
|
||||
|
||||
from async_generator import aclosing
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import pendulum
|
||||
import tractor
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
|
||||
from piker.data._sharedmem import ShmArray
|
||||
from .._util import SymbolNotFound, NoData
|
||||
from .client import (
|
||||
_adhoc_futes_set,
|
||||
log,
|
||||
load_aio_clients,
|
||||
ibis,
|
||||
MethodProxy,
|
||||
open_client_proxies,
|
||||
get_preferred_data_client,
|
||||
Ticker,
|
||||
RequestError,
|
||||
Contract,
|
||||
)
|
||||
|
||||
|
||||
# https://interactivebrokers.github.io/tws-api/tick_types.html
|
||||
tick_types = {
|
||||
77: 'trade',
|
||||
|
||||
# a "utrade" aka an off exchange "unreportable" (dark) vlm:
|
||||
# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
|
||||
48: 'dark_trade',
|
||||
|
||||
# standard L1 ticks
|
||||
0: 'bsize',
|
||||
1: 'bid',
|
||||
2: 'ask',
|
||||
3: 'asize',
|
||||
4: 'last',
|
||||
5: 'size',
|
||||
8: 'volume',
|
||||
|
||||
# ``ib_insync`` already packs these into
|
||||
# quotes under the following fields.
|
||||
# 55: 'trades_per_min', # `'tradeRate'`
|
||||
# 56: 'vlm_per_min', # `'volumeRate'`
|
||||
# 89: 'shortable', # `'shortableShares'`
|
||||
}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_data_client() -> MethodProxy:
|
||||
'''
|
||||
Open the first found preferred "data client" as defined in the
|
||||
user's ``brokers.toml`` in the ``ib.prefer_data_account`` variable
|
||||
and deliver that client wrapped in a ``MethodProxy``.
|
||||
|
||||
'''
|
||||
async with (
|
||||
open_client_proxies() as (proxies, clients),
|
||||
):
|
||||
account_name, client = get_preferred_data_client(clients)
|
||||
proxy = proxies.get(f'ib.{account_name}')
|
||||
if not proxy:
|
||||
raise ValueError(
|
||||
f'No preferred data client could be found for {account_name}!'
|
||||
)
|
||||
|
||||
yield proxy
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
'''
|
||||
History retreival endpoint - delivers a historical frame callble
|
||||
that takes in ``pendulum.datetime`` and returns ``numpy`` arrays.
|
||||
|
||||
'''
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
async def get_hist(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[np.ndarray, str]:
|
||||
|
||||
out, fails = await get_bars(proxy, symbol, end_dt=end_dt)
|
||||
|
||||
# TODO: add logic here to handle tradable hours and only grab
|
||||
# valid bars in the range
|
||||
if out is None:
|
||||
# could be trying to retreive bars over weekend
|
||||
log.error(f"Can't grab bars starting at {end_dt}!?!?")
|
||||
raise NoData(
|
||||
f'{end_dt}',
|
||||
frame_size=2000,
|
||||
)
|
||||
|
||||
bars, bars_array, first_dt, last_dt = out
|
||||
|
||||
# volume cleaning since there's -ve entries,
|
||||
# wood luv to know what crookery that is..
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
|
||||
return bars_array, first_dt, last_dt
|
||||
|
||||
# TODO: it seems like we can do async queries for ohlc
|
||||
# but getting the order right still isn't working and I'm not
|
||||
# quite sure why.. needs some tinkering and probably
|
||||
# a lookthrough of the ``ib_insync`` machinery, for eg. maybe
|
||||
# we have to do the batch queries on the `asyncio` side?
|
||||
yield get_hist, {'erlangs': 1, 'rate': 6}
|
||||
|
||||
|
||||
_pacing: str = (
|
||||
'Historical Market Data Service error '
|
||||
'message:Historical data request pacing violation'
|
||||
)
|
||||
|
||||
|
||||
async def get_bars(
|
||||
|
||||
proxy: MethodProxy,
|
||||
fqsn: str,
|
||||
|
||||
# blank to start which tells ib to look up the latest datum
|
||||
end_dt: str = '',
|
||||
|
||||
) -> (dict, np.ndarray):
|
||||
'''
|
||||
Retrieve historical data from a ``trio``-side task using
|
||||
a ``MethoProxy``.
|
||||
|
||||
'''
|
||||
fails = 0
|
||||
bars: Optional[list] = None
|
||||
first_dt: datetime = None
|
||||
last_dt: datetime = None
|
||||
|
||||
if end_dt:
|
||||
last_dt = pendulum.from_timestamp(end_dt.timestamp())
|
||||
|
||||
for _ in range(10):
|
||||
try:
|
||||
out = await proxy.bars(
|
||||
fqsn=fqsn,
|
||||
end_dt=end_dt,
|
||||
)
|
||||
if out:
|
||||
bars, bars_array = out
|
||||
|
||||
else:
|
||||
await tractor.breakpoint()
|
||||
|
||||
if bars_array is None:
|
||||
raise SymbolNotFound(fqsn)
|
||||
|
||||
first_dt = pendulum.from_timestamp(
|
||||
bars[0].date.timestamp())
|
||||
|
||||
last_dt = pendulum.from_timestamp(
|
||||
bars[-1].date.timestamp())
|
||||
|
||||
time = bars_array['time']
|
||||
assert time[-1] == last_dt.timestamp()
|
||||
assert time[0] == first_dt.timestamp()
|
||||
log.info(
|
||||
f'{len(bars)} bars retreived for {first_dt} -> {last_dt}'
|
||||
)
|
||||
|
||||
return (bars, bars_array, first_dt, last_dt), fails
|
||||
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
# why do we always need to rebind this?
|
||||
# _err = err
|
||||
|
||||
if 'No market data permissions for' in msg:
|
||||
# TODO: signalling for no permissions searches
|
||||
raise NoData(
|
||||
f'Symbol: {fqsn}',
|
||||
)
|
||||
|
||||
elif (
|
||||
err.code == 162
|
||||
and 'HMDS query returned no data' in err.message
|
||||
):
|
||||
# XXX: this is now done in the storage mgmt layer
|
||||
# and we shouldn't implicitly decrement the frame dt
|
||||
# index since the upper layer may be doing so
|
||||
# concurrently and we don't want to be delivering frames
|
||||
# that weren't asked for.
|
||||
log.warning(
|
||||
f'NO DATA found ending @ {end_dt}\n'
|
||||
)
|
||||
|
||||
# try to decrement start point and look further back
|
||||
# end_dt = last_dt = last_dt.subtract(seconds=2000)
|
||||
|
||||
raise NoData(
|
||||
f'Symbol: {fqsn}',
|
||||
frame_size=2000,
|
||||
)
|
||||
|
||||
elif _pacing in msg:
|
||||
|
||||
log.warning(
|
||||
'History throttle rate reached!\n'
|
||||
'Resetting farms with `ctrl-alt-f` hack\n'
|
||||
)
|
||||
# TODO: we might have to put a task lock around this
|
||||
# method..
|
||||
hist_ev = proxy.status_event(
|
||||
'HMDS data farm connection is OK:ushmds'
|
||||
)
|
||||
|
||||
# XXX: other event messages we might want to try and
|
||||
# wait for but i wasn't able to get any of this
|
||||
# reliable..
|
||||
# reconnect_start = proxy.status_event(
|
||||
# 'Market data farm is connecting:usfuture'
|
||||
# )
|
||||
# live_ev = proxy.status_event(
|
||||
# 'Market data farm connection is OK:usfuture'
|
||||
# )
|
||||
|
||||
# try to wait on the reset event(s) to arrive, a timeout
|
||||
# will trigger a retry up to 6 times (for now).
|
||||
tries: int = 2
|
||||
timeout: float = 10
|
||||
|
||||
# try 3 time with a data reset then fail over to
|
||||
# a connection reset.
|
||||
for i in range(1, tries):
|
||||
|
||||
log.warning('Sending DATA RESET request')
|
||||
await data_reset_hack(reset_type='data')
|
||||
|
||||
with trio.move_on_after(timeout) as cs:
|
||||
for name, ev in [
|
||||
# TODO: not sure if waiting on other events
|
||||
# is all that useful here or not. in theory
|
||||
# you could wait on one of the ones above
|
||||
# first to verify the reset request was
|
||||
# sent?
|
||||
('history', hist_ev),
|
||||
]:
|
||||
await ev.wait()
|
||||
log.info(f"{name} DATA RESET")
|
||||
break
|
||||
|
||||
if cs.cancelled_caught:
|
||||
fails += 1
|
||||
log.warning(
|
||||
f'Data reset {name} timeout, retrying {i}.'
|
||||
)
|
||||
|
||||
continue
|
||||
else:
|
||||
|
||||
log.warning('Sending CONNECTION RESET')
|
||||
await data_reset_hack(reset_type='connection')
|
||||
|
||||
with trio.move_on_after(timeout) as cs:
|
||||
for name, ev in [
|
||||
# TODO: not sure if waiting on other events
|
||||
# is all that useful here or not. in theory
|
||||
# you could wait on one of the ones above
|
||||
# first to verify the reset request was
|
||||
# sent?
|
||||
('history', hist_ev),
|
||||
]:
|
||||
await ev.wait()
|
||||
log.info(f"{name} DATA RESET")
|
||||
|
||||
if cs.cancelled_caught:
|
||||
fails += 1
|
||||
log.warning('Data CONNECTION RESET timeout!?')
|
||||
|
||||
else:
|
||||
raise
|
||||
|
||||
return None, None
|
||||
# else: # throttle wasn't fixed so error out immediately
|
||||
# raise _err
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
|
||||
fqsn: str,
|
||||
shm: ShmArray, # type: ignore # noqa
|
||||
|
||||
# TODO: we want to avoid overrunning the underlying shm array buffer
|
||||
# and we should probably calc the number of calls to make depending
|
||||
# on that until we have the `marketstore` daemon in place in which
|
||||
# case the shm size will be driven by user config and available sys
|
||||
# memory.
|
||||
count: int = 16,
|
||||
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Fill historical bars into shared mem / storage afap.
|
||||
|
||||
TODO: avoid pacing constraints:
|
||||
https://github.com/pikers/piker/issues/128
|
||||
|
||||
'''
|
||||
# last_dt1 = None
|
||||
last_dt = None
|
||||
|
||||
with trio.CancelScope() as cs:
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
out, fails = await get_bars(proxy, fqsn)
|
||||
|
||||
if out is None:
|
||||
raise RuntimeError("Could not pull currrent history?!")
|
||||
|
||||
(first_bars, bars_array, first_dt, last_dt) = out
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
last_dt = first_dt
|
||||
|
||||
# write historical data to buffer
|
||||
shm.push(bars_array)
|
||||
|
||||
task_status.started(cs)
|
||||
|
||||
i = 0
|
||||
while i < count:
|
||||
|
||||
out, fails = await get_bars(proxy, fqsn, end_dt=first_dt)
|
||||
|
||||
if out is None:
|
||||
# could be trying to retreive bars over weekend
|
||||
# TODO: add logic here to handle tradable hours and
|
||||
# only grab valid bars in the range
|
||||
log.error(f"Can't grab bars starting at {first_dt}!?!?")
|
||||
|
||||
# XXX: get_bars() should internally decrement dt by
|
||||
# 2k seconds and try again.
|
||||
continue
|
||||
|
||||
(first_bars, bars_array, first_dt, last_dt) = out
|
||||
# last_dt1 = last_dt
|
||||
# last_dt = first_dt
|
||||
|
||||
# volume cleaning since there's -ve entries,
|
||||
# wood luv to know what crookery that is..
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
|
||||
# TODO we should probably dig into forums to see what peeps
|
||||
# think this data "means" and then use it as an indicator of
|
||||
# sorts? dinkus has mentioned that $vlms for the day dont'
|
||||
# match other platforms nor the summary stat tws shows in
|
||||
# the monitor - it's probably worth investigating.
|
||||
|
||||
shm.push(bars_array, prepend=True)
|
||||
i += 1
|
||||
|
||||
|
||||
asset_type_map = {
|
||||
'STK': 'stock',
|
||||
'OPT': 'option',
|
||||
'FUT': 'future',
|
||||
'CONTFUT': 'continuous_future',
|
||||
'CASH': 'forex',
|
||||
'IND': 'index',
|
||||
'CFD': 'cfd',
|
||||
'BOND': 'bond',
|
||||
'CMDTY': 'commodity',
|
||||
'FOP': 'futures_option',
|
||||
'FUND': 'mutual_fund',
|
||||
'WAR': 'warrant',
|
||||
'IOPT': 'warran',
|
||||
'BAG': 'bag',
|
||||
# 'NEWS': 'news',
|
||||
}
|
||||
|
||||
|
||||
_quote_streams: dict[str, trio.abc.ReceiveStream] = {}
|
||||
|
||||
|
||||
async def _setup_quote_stream(
|
||||
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
|
||||
symbol: str,
|
||||
opts: tuple[int] = (
|
||||
'375', # RT trade volume (excludes utrades)
|
||||
'233', # RT trade volume (includes utrades)
|
||||
'236', # Shortable shares
|
||||
|
||||
# these all appear to only be updated every 25s thus
|
||||
# making them mostly useless and explains why the scanner
|
||||
# is always slow XD
|
||||
# '293', # Trade count for day
|
||||
'294', # Trade rate / minute
|
||||
'295', # Vlm rate / minute
|
||||
),
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveChannel:
|
||||
'''
|
||||
Stream a ticker using the std L1 api.
|
||||
|
||||
This task is ``asyncio``-side and must be called from
|
||||
``tractor.to_asyncio.open_channel_from()``.
|
||||
|
||||
'''
|
||||
global _quote_streams
|
||||
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
async with load_aio_clients() as accts2clients:
|
||||
caccount_name, client = get_preferred_data_client(accts2clients)
|
||||
contract = contract or (await client.find_contract(symbol))
|
||||
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
||||
|
||||
# NOTE: it's batch-wise and slow af but I guess could
|
||||
# be good for backchecking? Seems to be every 5s maybe?
|
||||
# ticker: Ticker = client.ib.reqTickByTickData(
|
||||
# contract, 'Last',
|
||||
# )
|
||||
|
||||
# # define a simple queue push routine that streams quote packets
|
||||
# # to trio over the ``to_trio`` memory channel.
|
||||
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||
def teardown():
|
||||
ticker.updateEvent.disconnect(push)
|
||||
log.error(f"Disconnected stream for `{symbol}`")
|
||||
client.ib.cancelMktData(contract)
|
||||
|
||||
# decouple broadcast mem chan
|
||||
_quote_streams.pop(symbol, None)
|
||||
|
||||
def push(t: Ticker) -> None:
|
||||
"""
|
||||
Push quotes to trio task.
|
||||
|
||||
"""
|
||||
# log.debug(t)
|
||||
try:
|
||||
to_trio.send_nowait(t)
|
||||
|
||||
except (
|
||||
trio.BrokenResourceError,
|
||||
|
||||
# XXX: HACK, not sure why this gets left stale (probably
|
||||
# due to our terrible ``tractor.to_asyncio``
|
||||
# implementation for streams.. but if the mem chan
|
||||
# gets left here and starts blocking just kill the feed?
|
||||
# trio.WouldBlock,
|
||||
):
|
||||
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
||||
# reason will catch and ignore regular exceptions
|
||||
# resulting in tracebacks spammed to console..
|
||||
# Manually do the dereg ourselves.
|
||||
teardown()
|
||||
except trio.WouldBlock:
|
||||
log.warning(
|
||||
f'channel is blocking symbol feed for {symbol}?'
|
||||
f'\n{to_trio.statistics}'
|
||||
)
|
||||
|
||||
# except trio.WouldBlock:
|
||||
# # for slow debugging purposes to avoid clobbering prompt
|
||||
# # with log msgs
|
||||
# pass
|
||||
|
||||
ticker.updateEvent.connect(push)
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
finally:
|
||||
teardown()
|
||||
|
||||
# return from_aio
|
||||
|
||||
|
||||
@acm
|
||||
async def open_aio_quote_stream(
|
||||
|
||||
symbol: str,
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
from tractor.trionics import broadcast_receiver
|
||||
global _quote_streams
|
||||
|
||||
from_aio = _quote_streams.get(symbol)
|
||||
if from_aio:
|
||||
|
||||
# if we already have a cached feed deliver a rx side clone to consumer
|
||||
async with broadcast_receiver(
|
||||
from_aio,
|
||||
2**6,
|
||||
) as from_aio:
|
||||
yield from_aio
|
||||
return
|
||||
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
_setup_quote_stream,
|
||||
symbol=symbol,
|
||||
contract=contract,
|
||||
|
||||
) as (first, from_aio):
|
||||
|
||||
# cache feed for later consumers
|
||||
_quote_streams[symbol] = from_aio
|
||||
|
||||
yield from_aio
|
||||
|
||||
|
||||
# TODO: cython/mypyc/numba this!
|
||||
def normalize(
|
||||
ticker: Ticker,
|
||||
calc_price: bool = False
|
||||
|
||||
) -> dict:
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
|
||||
# check for special contract types
|
||||
con = ticker.contract
|
||||
if type(con) in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex,
|
||||
):
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
else:
|
||||
suffix = con.primaryExchange
|
||||
if not suffix:
|
||||
suffix = con.exchange
|
||||
|
||||
# append a `.<suffix>` to the returned symbol
|
||||
# key for derivatives that normally is the expiry
|
||||
# date key.
|
||||
expiry = con.lastTradeDateOrContractMonth
|
||||
if expiry:
|
||||
suffix += f'.{expiry}'
|
||||
|
||||
# convert named tuples to dicts so we send usable keys
|
||||
new_ticks = []
|
||||
for tick in ticker.ticks:
|
||||
if tick and not isinstance(tick, dict):
|
||||
td = tick._asdict()
|
||||
td['type'] = tick_types.get(
|
||||
td['tickType'],
|
||||
'n/a',
|
||||
)
|
||||
|
||||
new_ticks.append(td)
|
||||
|
||||
tbt = ticker.tickByTicks
|
||||
if tbt:
|
||||
print(f'tickbyticks:\n {ticker.tickByTicks}')
|
||||
|
||||
ticker.ticks = new_ticks
|
||||
|
||||
# some contracts don't have volume so we may want to calculate
|
||||
# a midpoint price based on data we can acquire (such as bid / ask)
|
||||
if calc_price:
|
||||
ticker.ticks.append(
|
||||
{'type': 'trade', 'price': ticker.marketPrice()}
|
||||
)
|
||||
|
||||
# serialize for transport
|
||||
data = asdict(ticker)
|
||||
|
||||
# generate fqsn with possible specialized suffix
|
||||
# for derivatives, note the lowercase.
|
||||
data['symbol'] = data['fqsn'] = '.'.join(
|
||||
(con.symbol, suffix)
|
||||
).lower()
|
||||
|
||||
# convert named tuples to dicts for transport
|
||||
tbts = data.get('tickByTicks')
|
||||
if tbts:
|
||||
data['tickByTicks'] = [tbt._asdict() for tbt in tbts]
|
||||
|
||||
# add time stamps for downstream latency measurements
|
||||
data['brokerd_ts'] = time.time()
|
||||
|
||||
# stupid stupid shit...don't even care any more..
|
||||
# leave it until we do a proper latency study
|
||||
# if ticker.rtTime is not None:
|
||||
# data['broker_ts'] = data['rtTime_s'] = float(
|
||||
# ticker.rtTime.timestamp) / 1000.
|
||||
data.pop('rtTime')
|
||||
|
||||
return data
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Stream symbol quotes.
|
||||
|
||||
This is a ``trio`` callable routine meant to be invoked
|
||||
once the brokerd is up.
|
||||
|
||||
'''
|
||||
# TODO: support multiple subscriptions
|
||||
sym = symbols[0]
|
||||
log.info(f'request for real-time quotes: {sym}')
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
con, first_ticker, details = await proxy.get_sym_details(symbol=sym)
|
||||
first_quote = normalize(first_ticker)
|
||||
# print(f'first quote: {first_quote}')
|
||||
|
||||
def mk_init_msgs() -> dict[str, dict]:
|
||||
'''
|
||||
Collect a bunch of meta-data useful for feed startup and
|
||||
pack in a `dict`-msg.
|
||||
|
||||
'''
|
||||
# pass back some symbol info like min_tick, trading_hours, etc.
|
||||
syminfo = asdict(details)
|
||||
syminfo.update(syminfo['contract'])
|
||||
|
||||
# nested dataclass we probably don't need and that won't IPC
|
||||
# serialize
|
||||
syminfo.pop('secIdList')
|
||||
|
||||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
|
||||
# for "traditional" assets, volume is normally discreet, not
|
||||
# a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
|
||||
ibclient = proxy._aio_ns.ib.client
|
||||
host, port = ibclient.host, ibclient.port
|
||||
|
||||
# TODO: for loop through all symbols passed in
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': syminfo,
|
||||
'fqsn': first_quote['fqsn'],
|
||||
},
|
||||
'status': {
|
||||
'data_ep': f'{host}:{port}',
|
||||
},
|
||||
|
||||
}
|
||||
return init_msgs
|
||||
|
||||
init_msgs = mk_init_msgs()
|
||||
|
||||
# TODO: we should instead spawn a task that waits on a feed to start
|
||||
# and let it wait indefinitely..instead of this hard coded stuff.
|
||||
with trio.move_on_after(1):
|
||||
contract, first_ticker, details = await proxy.get_quote(symbol=sym)
|
||||
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
if isnan(first_ticker.last):
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# it's not really live but this will unblock
|
||||
# the brokerd feed task to tell the ui to update?
|
||||
feed_is_live.set()
|
||||
|
||||
# block and let data history backfill code run.
|
||||
await trio.sleep_forever()
|
||||
return # we never expect feed to come up?
|
||||
|
||||
async with open_aio_quote_stream(
|
||||
symbol=sym,
|
||||
contract=con,
|
||||
) as stream:
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is stateful trash)
|
||||
first_ticker.ticks = []
|
||||
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
async with aclosing(stream):
|
||||
if type(first_ticker.contract) not in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex
|
||||
):
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
ticker = await stream.receive()
|
||||
|
||||
# for a real volume contract we rait for the first
|
||||
# "real" trade to take place
|
||||
if (
|
||||
# not calc_price
|
||||
# and not ticker.rtTime
|
||||
not ticker.rtTime
|
||||
):
|
||||
# spin consuming tickers until we get a real
|
||||
# market datum
|
||||
log.debug(f"New unsent ticker: {ticker}")
|
||||
continue
|
||||
else:
|
||||
log.debug("Received first real volume tick")
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is truly stateful trash)
|
||||
ticker.ticks = []
|
||||
|
||||
# XXX: this works because we don't use
|
||||
# ``aclosing()`` above?
|
||||
break
|
||||
|
||||
quote = normalize(ticker)
|
||||
log.debug(f"First ticker received {quote}")
|
||||
|
||||
# tell caller quotes are now coming in live
|
||||
feed_is_live.set()
|
||||
|
||||
# last = time.time()
|
||||
async for ticker in stream:
|
||||
quote = normalize(ticker)
|
||||
await send_chan.send({quote['fqsn']: quote})
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
ticker.ticks = []
|
||||
# last = time.time()
|
||||
|
||||
|
||||
async def data_reset_hack(
|
||||
reset_type: str = 'data',
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Run key combos for resetting data feeds and yield back to caller
|
||||
when complete.
|
||||
|
||||
This is a linux-only hack around:
|
||||
|
||||
https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations
|
||||
|
||||
TODOs:
|
||||
- a return type that hopefully determines if the hack was
|
||||
successful.
|
||||
- other OS support?
|
||||
- integration with ``ib-gw`` run in docker + Xorg?
|
||||
|
||||
'''
|
||||
|
||||
async def vnc_click_hack(
|
||||
reset_type: str = 'data'
|
||||
) -> None:
|
||||
'''
|
||||
Reset the data or netowork connection for the VNC attached
|
||||
ib gateway using magic combos.
|
||||
|
||||
'''
|
||||
key = {'data': 'f', 'connection': 'r'}[reset_type]
|
||||
|
||||
import asyncvnc
|
||||
|
||||
async with asyncvnc.connect(
|
||||
'localhost',
|
||||
port=3003,
|
||||
# password='ibcansmbz',
|
||||
) as client:
|
||||
|
||||
# move to middle of screen
|
||||
# 640x1800
|
||||
client.mouse.move(
|
||||
x=500,
|
||||
y=500,
|
||||
)
|
||||
client.mouse.click()
|
||||
client.keyboard.press('Ctrl', 'Alt', key) # keys are stacked
|
||||
|
||||
await tractor.to_asyncio.run_task(vnc_click_hack)
|
||||
|
||||
# we don't really need the ``xdotool`` approach any more B)
|
||||
return True
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: load user defined symbol set locally for fast search?
|
||||
await ctx.started({})
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
last = time.time()
|
||||
|
||||
async for pattern in stream:
|
||||
log.debug(f'received {pattern}')
|
||||
now = time.time()
|
||||
|
||||
assert pattern, 'IB can not accept blank search pattern'
|
||||
|
||||
# throttle search requests to no faster then 1Hz
|
||||
diff = now - last
|
||||
if diff < 1.0:
|
||||
log.debug('throttle sleeping')
|
||||
await trio.sleep(diff)
|
||||
try:
|
||||
pattern = stream.receive_nowait()
|
||||
except trio.WouldBlock:
|
||||
pass
|
||||
|
||||
if not pattern or pattern.isspace():
|
||||
log.warning('empty pattern received, skipping..')
|
||||
|
||||
# TODO: *BUG* if nothing is returned here the client
|
||||
# side will cache a null set result and not showing
|
||||
# anything to the use on re-searches when this query
|
||||
# timed out. We probably need a special "timeout" msg
|
||||
# or something...
|
||||
|
||||
# XXX: this unblocks the far end search task which may
|
||||
# hold up a multi-search nursery block
|
||||
await stream.send({})
|
||||
|
||||
continue
|
||||
|
||||
log.debug(f'searching for {pattern}')
|
||||
|
||||
last = time.time()
|
||||
|
||||
# async batch search using api stocks endpoint and module
|
||||
# defined adhoc symbol set.
|
||||
stock_results = []
|
||||
|
||||
async def stash_results(target: Awaitable[list]):
|
||||
stock_results.extend(await target)
|
||||
|
||||
async with trio.open_nursery() as sn:
|
||||
sn.start_soon(
|
||||
stash_results,
|
||||
proxy.search_symbols(
|
||||
pattern=pattern,
|
||||
upto=5,
|
||||
),
|
||||
)
|
||||
|
||||
# trigger async request
|
||||
await trio.sleep(0)
|
||||
|
||||
# match against our ad-hoc set immediately
|
||||
adhoc_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
list(_adhoc_futes_set),
|
||||
score_cutoff=90,
|
||||
)
|
||||
log.info(f'fuzzy matched adhocs: {adhoc_matches}')
|
||||
adhoc_match_results = {}
|
||||
if adhoc_matches:
|
||||
# TODO: do we need to pull contract details?
|
||||
adhoc_match_results = {i[0]: {} for i in adhoc_matches}
|
||||
|
||||
log.debug(f'fuzzy matching stocks {stock_results}')
|
||||
stock_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
stock_results,
|
||||
score_cutoff=50,
|
||||
)
|
||||
|
||||
matches = adhoc_match_results | {
|
||||
item[0]: {} for item in stock_matches
|
||||
}
|
||||
# TODO: we used to deliver contract details
|
||||
# {item[2]: item[0] for item in stock_matches}
|
||||
|
||||
log.debug(f"sending matches: {matches.keys()}")
|
||||
await stream.send(matches)
|
||||
|
|
@ -700,6 +700,7 @@ async def manage_history(
|
|||
|
||||
bfqsn = fqsn.replace('.' + mod.name, '')
|
||||
open_history_client = getattr(mod, 'open_history_client', None)
|
||||
assert open_history_client
|
||||
|
||||
if is_up and opened and open_history_client:
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue