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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.
its_happening
Tyler Goodlet 2020-08-19 07:42:49 -04:00
parent 2f89979d8c
commit 20250961a6
3 changed files with 63 additions and 18 deletions
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47
piker/brokers/ib.py
View File

@ -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
# calculate a midpoint price based on data we can acquire
# (such as bid / ask)
# 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()}
@ -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}")
yield data
con = quote['contract']
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 = []

27
piker/brokers/kraken.py
View File

@ -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")

7
piker/data/__init__.py
View File

@ -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?