Begin to use `@tractor.msg.pub` throughout streaming API

Since the new FSP system will require time aligned data amongst actors,
it makes sense to share broker data feeds as much as possible on a local
system. There doesn't seem to be downside to this approach either since
if not fanning-out in our code, the broker (server) has to do it anyway
(and who knows how junk their implementation is) though with more
clients, sockets etc. in memory on our end. It also preps the code for
introducing a more "serious" pub-sub systems like zeromq/nanomessage.

piker/brokers/ib.py

@@ -8,7 +8,7 @@ built on it) and thus actor aware API calls must be spawned with
 from contextlib import asynccontextmanager
 from dataclasses import asdict
 from functools import partial
-from typing import List, Dict, Any, Tuple, Optional, AsyncGenerator
+from typing import List, Dict, Any, Tuple, Optional, AsyncGenerator, Callable
 import asyncio
 import logging
 import inspect
@@ -224,10 +224,14 @@ class Client:
         # use heuristics to figure out contract "type"
         sym, exch = symbol.upper().split('.')
 
+        # TODO: metadata system for all these exchange rules..
+        if exch in ('PURE',):
+            currency = 'CAD'
+
         if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'):
             con = await self.get_cont_fute(symbol=sym, exchange=exch)
 
-        elif exch == 'CMDTY':  # eg. XAUSUSD.CMDTY
+        elif exch == 'CMDTY':  # eg. XAUUSD.CMDTY
             con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
             con = ibis.Commodity(**con_kwargs)
             con.bars_kwargs = bars_kwargs
@@ -356,7 +360,10 @@ async def _trio_run_client_method(
 
 
 class _MethodProxy:
-    def __init__(self, portal: tractor._portal.Portal):
+    def __init__(
+        self,
+        portal: tractor._portal.Portal
+    ) -> None:
         self._portal = portal
 
     async def _run_method(
@@ -420,9 +427,8 @@ def normalize(
 
     ticker.ticks = new_ticks
 
-    # some contracts don't have volume so we may want to 
+    # some contracts don't have volume so we may want to calculate
-    # calculate a midpoint price based on data we can acquire
+    # a midpoint price based on data we can acquire (such as bid / ask)
-    # (such as bid / ask)
     if calc_price:
         ticker.ticks.append(
             {'type': 'trade', 'price': ticker.marketPrice()}
@@ -439,7 +445,9 @@ def normalize(
     return data
 
 
+@tractor.msg.pub
 async def stream_quotes(
+    get_topics: Callable,
     symbols: List[str],
     loglevel: str = None,
 ) -> AsyncGenerator[str, Dict[str, Any]]:
@@ -451,24 +459,29 @@ async def stream_quotes(
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
+    # TODO: support multiple subscriptions
+    sym = symbols[0]
+
     stream = await tractor.to_asyncio.run_task(
         _trio_run_client_method,
         method='stream_ticker',
-        symbol=symbols[0],
+        symbol=sym,
     )
     async with aclosing(stream):
         # first quote can be ignored as a 2nd with newer data is sent?
         first_ticker = await stream.__anext__()
-        # quote_cache = {}
 
         if type(first_ticker.contract) not in (ibis.Commodity,):
+            suffix = 'exchange'
 
             calc_price = False  # should be real volume for contract
 
-            data = normalize(first_ticker)
+            quote = normalize(first_ticker)
+            log.debug(f"First ticker received {quote}")
 
-            log.debug(f"First ticker received {data}")
+            con = quote['contract']
-            yield data
+            topic = '.'.join((con['symbol'], con[suffix])).lower()
+            yield {topic: quote}
 
             async for ticker in stream:
                 # spin consuming tickers until we get a real market datum
@@ -476,19 +489,27 @@ async def stream_quotes(
                     log.debug(f"New unsent ticker: {ticker}")
                     continue
                 else:
-                    yield normalize(ticker)
                     log.debug("Received first real volume tick")
+                    quote = normalize(ticker)
+                    topic = '.'.join((con['symbol'], con[suffix])).lower()
+                    yield {topic: quote}
+
                     # XXX: this works because we don't use
                     # ``aclosing()`` above?
                     break
         else:
+            # commodities don't have an exchange name for some reason?
+            suffix = 'secType'
             calc_price = True
 
         async for ticker in stream:
-            yield normalize(
+            quote = normalize(
                 ticker,
                 calc_price=calc_price
             )
+            con = quote['contract']
+            topic = '.'.join((con['symbol'], con[suffix])).lower()
+            yield {topic: quote}
 
             # ugh, clear ticks since we've consumed them
             ticker.ticks = []

piker/brokers/kraken.py

@@ -4,7 +4,7 @@ Kraken backend.
 from contextlib import asynccontextmanager
 from dataclasses import dataclass, asdict, field
 from itertools import starmap
-from typing import List, Dict, Any
+from typing import List, Dict, Any, Callable
 import json
 import time
 
@@ -144,7 +144,9 @@ class OHLC:
             setattr(self, f, val.type(getattr(self, f)))
 
 
+@tractor.msg.pub
 async def stream_quotes(
+    get_topics: Callable,
     # These are the symbols not expected by the ws api
     # they are looked up inside this routine.
     symbols: List[str] = ['XBTUSD', 'XMRUSD'],
@@ -181,6 +183,10 @@ async def stream_quotes(
                         # 'depth': '25',
                     },
                 }
+                # TODO: we want to eventually allow unsubs which should
+                # be completely fine to request from a separate task
+                # since internally the ws methods appear to be FIFO
+                # locked.
                 await ws.send_message(json.dumps(subs))
 
                 async def recv():
@@ -222,7 +228,14 @@ async def stream_quotes(
                 # pull a first quote and deliver
                 ohlc_gen = recv_ohlc()
                 ohlc_last = await ohlc_gen.__anext__()
-                yield asdict(ohlc_last)
+
+                # seriously eh? what's with this non-symmetry everywhere
+                # in subscription systems...
+                quote = asdict(ohlc_last)
+                topic = quote['pair'].replace('/', '')
+
+                # packetize as {topic: quote}
+                yield {topic: quote}
 
                 # keep start of last interval for volume tracking
                 last_interval_start = ohlc_last.etime
@@ -246,8 +259,16 @@ async def stream_quotes(
                             'price': ohlc.close,
                             'size': tick_volume,
                         })
-                    yield asdict(ohlc)
+
+                    # XXX: format required by ``tractor.msg.pub``
+                    # requires a ``Dict[topic: str, quote: dict]``
+                    quote = asdict(ohlc)
+                    print(quote)
+                    topic = quote['pair'].replace('/', '')
+                    yield {topic: quote}
+
                     ohlc_last = ohlc
+
         except (ConnectionClosed, DisconnectionTimeout):
             log.exception("Good job kraken...reconnecting")
 

piker/data/__init__.py

@@ -62,7 +62,6 @@ async def maybe_spawn_brokerd(
     dname = f'brokerd.{brokername}'
     async with tractor.find_actor(dname) as portal:
         # WTF: why doesn't this work?
-        log.info(f"YOYOYO {__name__}")
         if portal is not None:
             yield portal
         else:
@@ -89,7 +88,7 @@ async def maybe_spawn_brokerd(
 async def open_feed(
     name: str,
     symbols: Sequence[str],
-    loglevel: str = 'info',
+    loglevel: Optional[str] = None,
 ) -> AsyncIterator[Dict[str, Any]]:
     """Open a "data feed" which provides streamed real-time quotes.
     """
@@ -98,6 +97,9 @@ async def open_feed(
     except ImportError:
         mod = get_ingestormod(name)
 
+    if loglevel is None:
+        loglevel = tractor.current_actor().loglevel
+
     async with maybe_spawn_brokerd(
         mod.name,
         loglevel=loglevel,
@@ -106,6 +108,7 @@ async def open_feed(
             mod.__name__,
             'stream_quotes',
             symbols=symbols,
+            topics=symbols,
         )
         # Feed is required to deliver an initial quote asap.
         # TODO: should we timeout and raise a more explicit error?