Make history routines `timeframe` aware
Allow data feed sub-system to specify the timeframe (aka OHLC sample period) to the `open_history_client()` delivered history fetching API. Factor the data keycombo hack into a new routine to be used also from the history backfiller code when request latency increases; there is a first draft at trying to use the feed reset to speed up 1m frame throttling by timing out on the history frame response, but it needs a lot of fine tuning.ib_1m_hist
Tyler Goodlet
parent
220981e718
commit
2a866dde65
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@ -114,12 +114,18 @@ async def open_history_client(
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async with open_data_client() as proxy:
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async def get_hist(
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timeframe: float,
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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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out, fails = await get_bars(
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proxy,
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symbol,
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timeframe,
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end_dt=end_dt,
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)
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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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@ -145,7 +151,7 @@ async def open_history_client(
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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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yield get_hist, {'erlangs': 1, 'rate': 3}
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_pacing: str = (
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@ -154,14 +160,99 @@ _pacing: str = (
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)
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async def wait_on_data_reset(
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proxy: MethodProxy,
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tries: int = 2,
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timeout: float = 16,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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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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# 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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task_status.started()
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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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res = await data_reset_hack(reset_type='connection')
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if not res:
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log.warning(
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'NO VNC DETECTED!\n'
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'Manually press ctrl-alt-f on your IB java app'
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)
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# break
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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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async def get_bars(
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proxy: MethodProxy,
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fqsn: str,
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period: float,
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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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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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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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@ -176,157 +267,111 @@ async def get_bars(
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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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timeout: float = float('inf')
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async with trio.open_nursery() as nurse:
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for _ in range(10):
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try:
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out = None
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with trio.move_on_after(timeout) as cs:
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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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sample_period_s=period,
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)
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timeout = 3
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else:
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await tractor.breakpoint()
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if (
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cs.cancelled_caught
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and out is None
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):
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print(f"RESETTING DATA after {timeout}")
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await nurse.start(
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wait_on_data_reset,
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proxy,
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timeout=float('inf'),
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tries=100,
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)
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# scale timeout up exponentially to avoid
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# request-overruning the history farm.
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# timeout *= 2
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continue
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if bars_array is None:
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raise SymbolNotFound(fqsn)
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if out:
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bars, bars_array = out
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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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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 and
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'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 (
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# err.code == 162 and
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# 'Trading TWS session is connected from a different IP
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# address' in err.message
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# ):
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# log.warning("ignoring ip address warning")
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# continue
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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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raise NoData(
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f'{end_dt}',
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# frame_size=2000,
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)
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log.warning('Sending CONNECTION RESET')
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res = await data_reset_hack(reset_type='connection')
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if not res:
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log.warning(
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'NO VNC DETECTED!\n'
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'Manually press ctrl-alt-f on your IB java app'
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)
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# break
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if bars_array is None:
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raise SymbolNotFound(fqsn)
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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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first_dt = pendulum.from_timestamp(
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bars[0].date.timestamp())
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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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last_dt = pendulum.from_timestamp(
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bars[-1].date.timestamp())
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else:
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raise
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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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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 and
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'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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# TODO: fix this since we don't strictly use 1s
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# ohlc any more XD
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frame_size=2000,
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)
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# elif (
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# err.code == 162 and
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# 'Trading TWS session is connected from a different IP
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# address' in err.message
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# ):
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# log.warning("ignoring ip address warning")
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# continue
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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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await wait_on_data_reset(proxy)
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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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@ -337,6 +382,7 @@ async def backfill_bars(
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fqsn: str,
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shm: ShmArray, # type: ignore # noqa
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timeframe: float = 1, # in seconds
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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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@ -362,7 +408,7 @@ async def backfill_bars(
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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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out, fails = await get_bars(proxy, fqsn, timeframe)
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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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@ -380,7 +426,12 @@ async def backfill_bars(
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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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out, fails = await get_bars(
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proxy,
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fqsn,
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timeframe,
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end_dt=first_dt,
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)
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if out is None:
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# could be trying to retreive bars over weekend
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Loading…
Reference in New Issue