Begin to wrap marketstore as a data feed

Wrap the sync client in an async interface in anticipation of an actual
async client. This starts support for the `open_fee()`/`stream_quotes()`
api though the tick normalization isn't correct yet.

piker/data/__init__.py

@@ -1,7 +1,7 @@
 """
 Data feed apis and infra.
 
-We ship some tsdb integrations for retrieving
+We provide tsdb integrations for retrieving
 and storing data from your brokers as well as
 sharing your feeds with other fellow pikers.
 """
@@ -91,6 +91,8 @@ async def open_feed(
     symbols: Sequence[str],
     loglevel: str = 'info',
 ) -> AsyncIterator[Dict[str, Any]]:
+    """Open a "data feed" which provides streamed real-time quotes.
+    """
     try:
         mod = get_brokermod(name)
     except ImportError:

piker/data/marketstore.py

@@ -1,41 +1,38 @@
 """
 ``marketstore`` integration.
 
-- TICK data ingest routines
+- client management routines
+- ticK data ingest routines
 - websocket client for subscribing to write triggers
-- docker container management automation
+- todo: tick sequence stream-cloning for testing
+- todo: docker container management automation
 """
-from pprint import pformat
+from contextlib import asynccontextmanager
-from typing import Dict, Any, List
+from typing import Dict, Any, List, Callable, Tuple
-from functools import partial
 import time
+from math import isnan
 
 import msgpack
 import numpy as np
 import pandas as pd
 import pymarketstore as pymkts
-import click
-import trio
-import tractor
 from trio_websocket import open_websocket_url
 
-from . import maybe_spawn_brokerd
+from ..log import get_logger, get_console_log
-from ..cli import cli
+from ..data import open_feed
-from .. import watchlists as wl
-from ..brokers.data import DataFeed
-from ..log import get_logger
 
 
 log = get_logger(__name__)
 
-_tick_tbk_ids = ('1Sec', 'TICK')
+_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
-_tick_tbk = '{}/' + '/'.join(_tick_tbk_ids)
+_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
-
+_url: str = 'http://localhost:5993/rpc'
-
 _quote_dt = [
+    # these two are required for as a "primary key"
     ('Epoch', 'i8'),
     ('Nanoseconds', 'i4'),
-    ('Tick', 'i4'),
+
+    ('Tick', 'i4'),  # (-1, 0, 1) = (on bid, same, on ask)
     # ('fill_time', 'f4'),
     ('Last', 'f4'),
     ('Bid', 'f4'),
@@ -44,11 +41,10 @@ _quote_dt = [
     ('Ask', 'f4'),
     ('Size', 'i8'),
     ('Volume', 'i8'),
+    # ('Broker_time_ns', 'i64'),
     # ('VWAP', 'f4')
 ]
 _quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
-
-
 _tick_map = {
     'Up': 1,
     'Equal': 0,
@@ -84,7 +80,7 @@ def quote_to_marketstore_structarray(
     else:
         # this should get inserted upstream by the broker-client to
         # subtract from IPC latency
-        now = timestamp(pd.Timestamp.now())
+        now = time.time_ns()
 
     secs, ns = now / 10**9, now % 10**9
 
@@ -109,172 +105,152 @@ def quote_to_marketstore_structarray(
 
 
 def timestamp(datestr: str) -> int:
-    """Return marketstore compatible 'Epoch' integer in nanoseconds.
+    """Return marketstore compatible 'Epoch' integer in nanoseconds
+    from a date formatted str.
     """
     return int(pd.Timestamp(datestr).value)
 
 
-@cli.command()
+def mk_tbk(keys: Tuple[str, str, str]) -> str:
-@click.option('--test-file', '-t', help='Test quote stream file')
+    """Generate a marketstore table key from a tuple.
-@click.option('--tl', is_flag=True, help='Enable tractor logging')
+
-@click.option('--tl', is_flag=True, help='Enable tractor logging')
+    Converts,
-@click.option(
+        ``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
-    '--url',
-    default='http://localhost:5993/rpc',
-    help='HTTP URL of marketstore instance'
-)
-@click.argument('name', nargs=1, required=True)
-@click.pass_obj
-def ingest(config, name, test_file, tl, url):
-    """Ingest real-time broker quotes and ticks to a marketstore instance.
     """
-    # global opts
+    return '{}/' + '/'.join(keys)
-    brokermod = config['brokermod']
-    loglevel = config['loglevel']
-    log = config['log']
 
-    watchlist_from_file = wl.ensure_watchlists(config['wl_path'])
-    watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
-    symbols = watchlists[name]
 
-    async def main(tries):
+class Client:
-        async with maybe_spawn_brokerd(
+    """Async wrapper around the alpaca ``pymarketstore`` sync client.
-            brokername=brokermod.name,
+
-            tries=tries,
+    This will server as the shell for building out a proper async client
-            loglevel=loglevel
+    that isn't horribly documented and un-tested..
-        ) as portal:
+    """
-            # connect to broker data feed
+    def __init__(self, url: str):
-            feed = DataFeed(portal, brokermod)
+        self._client = pymkts.Client(url)
-            qstream, quotes = await feed.open_stream(
+
-                symbols,
+    async def _invoke(
-                'stock',
+        self,
-                rate=3,
+        meth: Callable,
-                test=test_file,
+        *args,
+        **kwargs,
+    ) -> Any:
+        return err_on_resp(meth(*args, **kwargs))
+
+    async def destroy(
+        self,
+        tbk: Tuple[str, str, str],
+    ) -> None:
+        return await self._invoke(self._client.destroy, mk_tbk(tbk))
+
+    async def list_symbols(
+        self,
+        tbk: str,
+    ) -> List[str]:
+        return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
+
+    async def write(
+        self,
+        symbol: str,
+        array: np.ndarray,
+    ) -> None:
+        start = time.time()
+        await self._invoke(
+            self._client.write,
+            array,
+            _tick_tbk.format(symbol),
+            isvariablelength=True
         )
+        log.debug(f"{symbol} write time (s): {time.time() - start}")
 
-            first_quotes, _ = feed.format_quotes(quotes)
+    def query(
+        self,
+        symbol,
+        tbk: Tuple[str, str] = _tick_tbk_ids,
+    ) -> pd.DataFrame:
+        # XXX: causes crash
+        # client.query(pymkts.Params(symbol, '*', 'OHCLV'
+        result = self._client.query(
+            pymkts.Params(symbol, *tbk),
+        )
+        return result.first().df()
 
-            if first_quotes[0].get('last') is None:
-                log.error("Broker API is down temporarily")
-                return
 
-            quote_cache = {quote['symbol']: quote for quote in first_quotes}
+@asynccontextmanager
+async def get_client(
+    url: str = _url,
+) -> Client:
+    yield Client(url)
 
-            client = pymkts.Client(endpoint=url)
+
+async def ingest_quote_stream(
+    symbols: List[str],
+    brokername: str,
+    tries: int = 1,
+    loglevel: str = None,
+) -> None:
+    """Ingest a broker quote stream into marketstore in (sampled) tick format.
+    """
+    async with open_feed(
+        brokername,
+        symbols,
+        loglevel=loglevel,
+    ) as (first_quotes, qstream):
+
+        quote_cache = first_quotes.copy()
+
+        async with get_client() as ms_client:
 
             # start ingest to marketstore
             async for quotes in qstream:
+                log.info(quotes)
                 for symbol, quote in quotes.items():
-                    fmt_quote, _ = brokermod.format_stock_quote(
-                        quote,
-                        feed._symbol_data_cache
-                    )
 
                     # remap tick strs to ints
-                    fmt_quote['tick'] = _tick_map[
+                    quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
-                        fmt_quote.get('tick', 'Equal')
-                    ]
 
                     # check for volume update (i.e. did trades happen
                     # since last quote)
-                    new_vol = fmt_quote.get('volume', None)
+                    new_vol = quote.get('volume', None)
                     if new_vol is None:
                         log.debug(f"No fills for {symbol}")
                         if new_vol == quote_cache.get('volume'):
+                            # should never happen due to field diffing
+                            # on sender side
                             log.error(
                                 f"{symbol}: got same volume as last quote?")
 
-                    quote_cache.update(fmt_quote)
+                    quote_cache.update(quote)
 
                     a = quote_to_marketstore_structarray(
-                        fmt_quote,
+                        quote,
                         # TODO: check this closer to the broker query api
-                        last_fill=fmt_quote.get('last_fill', '')
+                        last_fill=quote.get('fill_time', '')
-                    )
-                    start = time.time()
-                    err_on_resp(client.write(
-                        a, _tick_tbk.format(symbol), isvariablelength=True)
-                    )
-                    log.trace(
-                        f"{symbol} write time (s): {time.time() - start}")
-
-    tractor.run(
-        partial(main, tries=1),
-        name='ingest_marketstore',
-        loglevel=loglevel if tl else None,
-        # start_method='forkserver',
                     )
+                    await ms_client.write(symbol, a)
 
 
-@cli.command()
+async def stream_quotes(
-@click.option(
+    symbols: List[str],
-    '--tl',
-    is_flag=True,
-    help='Enable tractor logging')
-@click.option(
-    '--url',
-    default='http://localhost:5993/rpc',
-    help='HTTP URL of marketstore instance'
-)
-@click.argument('name', nargs=1, required=True)
-@click.pass_obj
-def ms_shell(config, name, tl, url):
-    """Start an IPython shell ready to query the local marketstore db.
-    """
-    client = pymkts.Client(url)
-
-    def query(name, tbk=_tick_tbk_ids):
-        return client.query(
-            pymkts.Params(name, *tbk)).first().df()
-
-    # causes crash
-    # client.query(pymkts.Params(symbol, '*', 'OHCLV'
-
-    from IPython import embed
-    embed()
-
-
-@cli.command()
-@click.option(
-    '--url',
-    default='http://localhost:5993/rpc',
-    help='HTTP URL of marketstore instance'
-)
-@click.argument('names', nargs=-1)
-@click.pass_obj
-def marketstore_destroy(config: dict, names: List[str], url: str) -> None:
-    """Destroy symbol entries in the local marketstore instance.
-    """
-    client = pymkts.Client(url)
-    if not names:
-        names = client.list_symbols()
-
-    # default is to wipe db entirely.
-    answer = input(
-        "This will entirely wipe you local marketstore db @ "
-        f"{url} of the following symbols:\n {pformat(names)}"
-        "\n\nDelete [N/y]?\n")
-
-    if answer == 'y':
-        for sym in names:
-            tbk = _tick_tbk.format(sym)
-            print(f"Destroying {tbk}..")
-            err_on_resp(client.destroy(_tick_tbk.format(sym)))
-    else:
-        print("Nothing deleted.")
-
-
-async def open_quote_stream(
-    tbks: List[str],
     host: str = 'localhost',
-    port: int = 5993
+    port: int = 5993,
+    diff_cached: bool = True,
+    loglevel: str = None,
 ) -> None:
     """Open a symbol stream from a running instance of marketstore and
     log to console.
     """
+    # XXX: required to propagate ``tractor`` loglevel to piker logging
+    get_console_log(loglevel or tractor.current_actor().loglevel)
+
+    tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
+
     async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
         # send subs topics to server
-        await ws.send_message(msgpack.dumps({'streams': tbks}))
+        resp = await ws.send_message(
+            msgpack.dumps({'streams': list(tbks.values())})
+        )
+        log.info(resp)
 
         async def recv() -> Dict[str, Any]:
             return msgpack.loads((await ws.get_message()), encoding='utf-8')
@@ -282,21 +258,67 @@ async def open_quote_stream(
         streams = (await recv())['streams']
         log.info(f"Subscribed to {streams}")
 
+        _cache = {}
+
         while True:
             msg = await recv()
-            log.info(f"Received quote:\n{msg}")
 
+            # unpack symbol and quote data
+            # key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
+            symbol = msg['key'].split('/')[0]
+            data = msg['data']
 
-@cli.command()
+            # calc time stamp(s)
-@click.option(
+            s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
-    '--url',
+            ts = s * 10**9 + ns
-    default='ws://localhost:5993/ws',
+            data['broker_fill_time_ns'] = ts
-    help='HTTP URL of marketstore instance'
+
-)
+            quote = {}
-@click.argument('names', nargs=-1)
+            for k, v in data.items():
-@click.pass_obj
+                if isnan(v):
-def marketstore_stream(config: dict, names: List[str], url: str):
+                    continue
-    """Connect to a marketstore time bucket stream for (a set of) symbols(s)
+
-    and print to console.
+                quote[k.lower()] = v
-    """
+
-    trio.run(open_quote_stream, names)
+            quote['symbol'] = symbol
+
+            quotes = {}
+
+            if diff_cached:
+                last = _cache.setdefault(symbol, {})
+                new = set(quote.items()) - set(last.items())
+                if new:
+                    log.info(f"New quote {quote['symbol']}:\n{new}")
+
+                    # 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
+                    size = quote.get('size')
+                    volume = quote.get('volume')
+                    if size and volume:
+                        new_volume_since_last = max(
+                            volume - last.get('volume', 0), 0)
+                        log.warning(
+                            f"NEW VOLUME {symbol}:{new_volume_since_last}")
+                        payload['size'] = size
+                        payload['last'] = quote.get('last')
+
+                    # 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).
+                    quotes.setdefault(symbol, []).append(payload)
+
+                    # update cache
+                    _cache[symbol].update(quote)
+            else:
+                quotes = {symbol: [{key.lower(): val for key, val in quote.items()}]}
+
+            if quotes:
+                yield quotes