Add trades data streaming support
Tyler Goodlet
parent
620f5fee6e
commit
280739b51a
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@ -35,6 +35,7 @@ import time
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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
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from ib_insync.order import Order
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from ib_insync.ticker import Ticker
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import ib_insync as ibis
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from ib_insync.wrapper import Wrapper
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@ -53,7 +54,6 @@ from ..data import (
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)
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from ..data._source import from_df
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from ._util import SymbolNotFound
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from .._async_utils import maybe_with_if
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log = get_logger(__name__)
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@ -150,6 +150,9 @@ class Client:
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self.ib = ib
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self.ib.RaiseRequestErrors = True
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# contract cache
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self._contracts: Dict[str, Contract] = {}
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# NOTE: the ib.client here is "throttled" to 45 rps by default
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async def bars(
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@ -283,6 +286,20 @@ class Client:
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currency: str = 'USD',
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**kwargs,
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) -> Contract:
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# TODO: we can't use this currently because
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# ``wrapper.starTicker()`` currently cashes ticker instances
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# which means getting a singel quote will potentially look up
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# a quote for a ticker that it already streaming and thus run
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# into state clobbering (eg. List: Ticker.ticks). It probably
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# makes sense to try this once we get the pub-sub working on
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# individual symbols...
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# try:
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# # give the cache a go
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# return self._contracts[symbol]
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# except KeyError:
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# log.debug(f'Looking up contract for {symbol}')
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# use heuristics to figure out contract "type"
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try:
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sym, exch = symbol.upper().rsplit('.', maxsplit=1)
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@ -336,6 +353,8 @@ class Client:
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except IndexError:
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raise ValueError(f"No contract could be found {con}")
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self._contracts[symbol] = contract
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return contract
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async def get_head_time(
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@ -401,7 +420,65 @@ class Client:
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contract,
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snapshot=True,
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)
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return contract, (await ticker.updateEvent)
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ticker = await ticker.updateEvent
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return contract, ticker
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async def submit_limit(
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self,
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contract: Contract,
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price: float,
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action: str = 'BUY',
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quantity: int = 100,
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) -> None:
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self.ib.placeOrder(
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Order(
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self,
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orderType='LMT',
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action=action,
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totalQuantity=quantity,
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lmtPrice=price,
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# **kwargs
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)
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)
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async def recv_trade_updates(
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self,
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to_trio,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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# contract = contract or (await self.find_contract(symbol))
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def push(eventkit_obj, trade):
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"""Push events to trio task.
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"""
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print(f'{eventkit_obj}: {trade}')
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log.debug(trade)
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if trade is None:
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print("YO WTF NONE")
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try:
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to_trio.send_nowait(trade)
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except trio.BrokenResourceError:
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# XXX: eventkit's ``Event.emit()`` for whatever redic
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# reason will catch and ignore regular exceptions
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# resulting in tracebacks spammed to console..
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# Manually do the dereg ourselves.
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log.exception(f'Disconnected from {eventkit_obj} updates')
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eventkit_obj.disconnect(push)
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# hook up to the weird eventkit object - event stream api
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for ev_name in [
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# 'newOrderEvent', 'orderModifyEvent', 'cancelOrderEvent',
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'openOrderEvent', 'orderStatusEvent', 'execDetailsEvent',
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# 'commissionReportEvent', 'updatePortfolioEvent', 'positionEvent',
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]:
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eventkit_obj = getattr(self.ib, ev_name)
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handler = partial(push, eventkit_obj)
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eventkit_obj.connect(handler)
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# let the engine run and stream
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await self.ib.disconnectedEvent
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# default config ports
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@ -586,10 +663,11 @@ def normalize(
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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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td = tick._asdict()
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td['type'] = tick_types.get(td['tickType'], 'n/a')
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if tick:
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td = tick._asdict()
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td['type'] = tick_types.get(td['tickType'], 'n/a')
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new_ticks.append(td)
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new_ticks.append(td)
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ticker.ticks = new_ticks
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@ -788,7 +866,7 @@ async def stream_quotes(
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# no real volume so we have to calculate the price
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suffix = 'secType'
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calc_price = True
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ticker = first_ticker
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# ticker = first_ticker
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# pass first quote asap
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quote = normalize(first_ticker, calc_price=calc_price)
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@ -814,27 +892,32 @@ async def stream_quotes(
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calc_price = False # should be real volume for contract
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# wait for real volume on feed (trading might be closed)
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async for ticker in stream:
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with trio.move_on_after(10) as cs:
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# wait for real volume on feed (trading might be closed)
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async for ticker in stream:
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# for a real volume contract we rait for the first
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# "real" trade to take place
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if not calc_price and not ticker.rtTime:
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# spin consuming tickers until we get a real market datum
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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# for a real volume contract we rait for the first
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# "real" trade to take place
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if not calc_price and not ticker.rtTime:
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# spin consuming tickers until we get a real market datum
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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# tell incrementer task it can start
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_buffer.shm_incrementing(key).set()
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# tell incrementer task it can start
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_buffer.shm_incrementing(key).set()
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# XXX: this works because we don't use
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# ``aclosing()`` above?
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break
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if cs.cancelled_caught:
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await tractor.breakpoint()
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# XXX: this works because we don't use
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# ``aclosing()`` above?
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break
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# real-time stream
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async for ticker in stream:
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@ -895,3 +978,28 @@ async def stream_quotes(
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# ugh, clear ticks since we've consumed them
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ticker.ticks = []
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@tractor.msg.pub
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async def stream_trades(
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loglevel: str = None,
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get_topics: Callable = None,
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) -> AsyncIterator[Dict[str, Any]]:
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log.error('startedddd daa tradeeeez feeeedddzzz')
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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stream = await _trio_run_client_method(
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method='recv_trade_updates',
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)
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# more great work by our friend ib_insync...
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# brutallll bby.
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none = await stream.__anext__()
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print(f'Cuz sending {none} makes sense..')
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async for trade_event in stream:
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msg = asdict(trade_event)
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yield {'all': msg}
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