Port `DataFeed` api to broker specific normalizer routine
Tyler Goodlet
parent
9bbf0e0d7a
commit
241b2374e8
|
|
@ -81,10 +81,10 @@ class BrokerFeed:
|
|||
|
||||
@tractor.msg.pub(tasks=['stock', 'option'])
|
||||
async def stream_poll_requests(
|
||||
get_topics: typing.Callable,
|
||||
get_topics: Callable,
|
||||
get_quotes: Coroutine,
|
||||
normalizer: Callable,
|
||||
rate: int = 3, # delay between quote requests
|
||||
diff_cached: bool = True, # only deliver "new" quotes to the queue
|
||||
) -> None:
|
||||
"""Stream requests for quotes for a set of symbols at the given
|
||||
``rate`` (per second).
|
||||
|
|
@ -129,58 +129,14 @@ async def stream_poll_requests(
|
|||
quotes = await wait_for_network(request_quotes)
|
||||
|
||||
new_quotes = {}
|
||||
if diff_cached:
|
||||
# If cache is enabled then only deliver "new" changes.
|
||||
# Useful for polling setups but obviously should be
|
||||
# disabled if you're rx-ing per-tick data.
|
||||
for quote in quotes:
|
||||
symbol = quote['symbol']
|
||||
last = _cache.setdefault(symbol, {})
|
||||
last_volume = last.get('volume', 0)
|
||||
|
||||
# find all keys that have match to a new value compared
|
||||
# to the last quote received
|
||||
new = set(quote.items()) - set(last.items())
|
||||
if new:
|
||||
log.info(f"New quote {symbol}:\n{new}")
|
||||
_cache[symbol] = quote
|
||||
|
||||
# only ship diff updates and other required fields
|
||||
payload = {k: quote[k] for k, v in new}
|
||||
payload['symbol'] = symbol
|
||||
|
||||
# if there was volume likely the last size of
|
||||
# shares traded is useful info and it's possible
|
||||
# that the set difference from above will disregard
|
||||
# a "size" value since the same # of shares were traded
|
||||
volume = payload.get('volume')
|
||||
if volume:
|
||||
volume_since_last_quote = volume - last_volume
|
||||
assert volume_since_last_quote > 0
|
||||
payload['volume_delta'] = volume_since_last_quote
|
||||
|
||||
# TODO: We can emit 2 ticks here:
|
||||
# - one for the volume differential
|
||||
# - one for the last known trade size
|
||||
# The first in theory can be unwound and
|
||||
# interpolated assuming the broker passes an
|
||||
# accurate daily VWAP value.
|
||||
# To make this work we need a universal ``size``
|
||||
# field that is normalized before hitting this logic.
|
||||
# XXX: very questrade specific
|
||||
payload['size'] = quote['lastTradeSize']
|
||||
|
||||
log.info(f"New paylod {symbol}:\n{payload}")
|
||||
|
||||
normalized = normalizer(quotes, _cache)
|
||||
for symbol, quote in normalized.items():
|
||||
# XXX: we append to a list for the options case where the
|
||||
# subscription topic (key) is the same for all
|
||||
# expiries even though this is uncessary for the
|
||||
# stock case (different topic [i.e. symbol] for each
|
||||
# quote).
|
||||
new_quotes.setdefault(quote['key'], []).append(payload)
|
||||
else:
|
||||
# log.debug(f"Delivering quotes:\n{quotes}")
|
||||
for quote in quotes:
|
||||
new_quotes.setdefault(quote['key'], []).append(quote)
|
||||
|
||||
if new_quotes:
|
||||
|
|
@ -208,53 +164,6 @@ async def symbol_data(broker: str, tickers: List[str]):
|
|||
return await feed.client.symbol_info(tickers)
|
||||
|
||||
|
||||
async def smoke_quote(get_quotes, tickers, broker):
|
||||
"""Do an initial "smoke" request for symbols in ``tickers`` filtering
|
||||
out any symbols not supported by the broker queried in the call to
|
||||
``get_quotes()``.
|
||||
"""
|
||||
# TODO: trim out with #37
|
||||
#################################################
|
||||
# get a single quote filtering out any bad tickers
|
||||
# NOTE: this code is always run for every new client
|
||||
# subscription even when a broker quoter task is already running
|
||||
# since the new client needs to know what symbols are accepted
|
||||
log.warn(f"Retrieving smoke quote for symbols {tickers}")
|
||||
quotes = await get_quotes(tickers)
|
||||
|
||||
# report any tickers that aren't returned in the first quote
|
||||
invalid_tickers = set(tickers) - set(map(itemgetter('key'), quotes))
|
||||
for symbol in invalid_tickers:
|
||||
tickers.remove(symbol)
|
||||
log.warn(
|
||||
f"Symbol `{symbol}` not found by broker `{broker}`"
|
||||
)
|
||||
|
||||
# pop any tickers that return "empty" quotes
|
||||
payload = {}
|
||||
for quote in quotes:
|
||||
symbol = quote['symbol']
|
||||
if quote is None:
|
||||
log.warn(
|
||||
f"Symbol `{symbol}` not found by broker"
|
||||
f" `{broker}`")
|
||||
# XXX: not this mutates the input list (for now)
|
||||
tickers.remove(symbol)
|
||||
continue
|
||||
|
||||
# report any unknown/invalid symbols (QT specific)
|
||||
if quote.get('low52w', False) is None:
|
||||
log.error(
|
||||
f"{symbol} seems to be defunct")
|
||||
|
||||
payload[symbol] = quote
|
||||
|
||||
return payload
|
||||
|
||||
# end of section to be trimmed out with #37
|
||||
###########################################
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def get_cached_feed(
|
||||
brokername: str,
|
||||
|
|
@ -297,7 +206,6 @@ async def start_quote_stream(
|
|||
broker: str,
|
||||
symbols: List[Any],
|
||||
feed_type: str = 'stock',
|
||||
diff_cached: bool = True,
|
||||
rate: int = 3,
|
||||
) -> None:
|
||||
"""Handle per-broker quote stream subscriptions using a "lazy" pub-sub
|
||||
|
|
@ -316,8 +224,6 @@ async def start_quote_stream(
|
|||
f"{ctx.chan.uid} subscribed to {broker} for symbols {symbols}")
|
||||
# another actor task may have already created it
|
||||
async with get_cached_feed(broker) as feed:
|
||||
# function to format packets delivered to subscribers
|
||||
packetizer = None
|
||||
|
||||
if feed_type == 'stock':
|
||||
get_quotes = feed.quoters.setdefault(
|
||||
|
|
@ -326,7 +232,7 @@ async def start_quote_stream(
|
|||
)
|
||||
# do a smoke quote (note this mutates the input list and filters
|
||||
# out bad symbols for now)
|
||||
payload = await smoke_quote(get_quotes, symbols, broker)
|
||||
first_quotes = await feed.mod.smoke_quote(get_quotes, symbols)
|
||||
formatter = feed.mod.format_stock_quote
|
||||
|
||||
elif feed_type == 'option':
|
||||
|
|
@ -338,22 +244,27 @@ async def start_quote_stream(
|
|||
await feed.mod.option_quoter(feed.client, symbols)
|
||||
)
|
||||
# packetize
|
||||
payload = {
|
||||
first_quotes = {
|
||||
quote['symbol']: quote
|
||||
for quote in await get_quotes(symbols)
|
||||
}
|
||||
formatter = feed.mod.format_option_quote
|
||||
|
||||
sd = await feed.client.symbol_info(symbols)
|
||||
# formatter = partial(formatter, symbol_data=sd)
|
||||
feed.mod._symbol_info_cache.update(sd)
|
||||
|
||||
packetizer = partial(
|
||||
feed.mod.packetizer,
|
||||
normalize = partial(
|
||||
feed.mod.normalize,
|
||||
formatter=formatter,
|
||||
symbol_data=sd,
|
||||
)
|
||||
|
||||
# push initial smoke quote response for client initialization
|
||||
# pre-process first set of quotes
|
||||
payload = {}
|
||||
for sym, quote in first_quotes.items():
|
||||
fquote, _ = formatter(quote, sd)
|
||||
assert fquote['displayable']
|
||||
payload[sym] = fquote
|
||||
|
||||
await ctx.send_yield(payload)
|
||||
|
||||
await stream_poll_requests(
|
||||
|
|
@ -362,11 +273,11 @@ async def start_quote_stream(
|
|||
task_name=feed_type,
|
||||
ctx=ctx,
|
||||
topics=symbols,
|
||||
packetizer=packetizer,
|
||||
packetizer=feed.mod.packetizer,
|
||||
|
||||
# actual func args
|
||||
get_quotes=get_quotes,
|
||||
diff_cached=diff_cached,
|
||||
normalizer=normalize,
|
||||
rate=rate,
|
||||
)
|
||||
log.info(
|
||||
|
|
@ -401,7 +312,6 @@ class DataFeed:
|
|||
symbols: Sequence[str],
|
||||
feed_type: str,
|
||||
rate: int = 1,
|
||||
diff_cached: bool = True,
|
||||
test: str = '',
|
||||
) -> (AsyncGenerator, dict):
|
||||
if feed_type not in self._allowed:
|
||||
|
|
@ -445,7 +355,6 @@ class DataFeed:
|
|||
broker=self.brokermod.name,
|
||||
symbols=symbols,
|
||||
feed_type=feed_type,
|
||||
diff_cached=diff_cached,
|
||||
rate=rate,
|
||||
)
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue