Begin formalizing `Sampler` singleton API
We're moving toward a single actor managing sampler work and distributed independently of `brokerd` services such that a user can run samplers on different hosts then real-time data feed infra. Most of the implementation details include aggregating `.data._sampling` routines into a new `Sampler` singleton type. Move the following methods to class methods: - `.increment_ohlc_buffer()` to allow a single task to increment all registered shm buffers. - `.broadcast()` for IPC relay to all registered clients/shms. Further add a new `maybe_open_global_sampler()` which allocates a service nursery and assigns it to the `Sampler.service_nursery`; this is prep for putting the step incrementer in a singleton service task higher up the data-layer actor tree.epoch_index_backup
Tyler Goodlet
parent
141f4cf018
commit
33e7e204d8
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@ -33,7 +33,10 @@ import tractor
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import trio
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from trio_typing import TaskStatus
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from ..log import get_logger
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from ..log import (
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get_logger,
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get_console_log,
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)
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if TYPE_CHECKING:
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from ._sharedmem import ShmArray
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@ -45,7 +48,7 @@ log = get_logger(__name__)
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_default_delay_s: float = 1.0
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class sampler:
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class Sampler:
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'''
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Global sampling engine registry.
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@ -53,6 +56,8 @@ class sampler:
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sample period logic.
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'''
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service_nursery: None | trio.Nursery = None
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# TODO: we could stick these in a composed type to avoid
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# angering the "i hate module scoped variables crowd" (yawn).
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ohlcv_shms: dict[int, list[ShmArray]] = {}
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@ -67,165 +72,196 @@ class sampler:
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# notified on a step.
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subscribers: dict[int, tractor.Context] = {}
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@classmethod
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async def increment_ohlc_buffer(
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self,
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delay_s: int,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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):
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'''
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Task which inserts new bars into the provide shared memory array
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every ``delay_s`` seconds.
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async def increment_ohlc_buffer(
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delay_s: int,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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):
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'''
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Task which inserts new bars into the provide shared memory array
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every ``delay_s`` seconds.
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This task fulfills 2 purposes:
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- it takes the subscribed set of shm arrays and increments them
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on a common time period
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- broadcast of this increment "signal" message to other actor
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subscribers
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This task fulfills 2 purposes:
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- it takes the subscribed set of shm arrays and increments them
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on a common time period
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- broadcast of this increment "signal" message to other actor
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subscribers
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Note that if **no** actor has initiated this task then **none** of
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the underlying buffers will actually be incremented.
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Note that if **no** actor has initiated this task then **none** of
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the underlying buffers will actually be incremented.
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'''
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# # wait for brokerd to signal we should start sampling
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# await shm_incrementing(shm_token['shm_name']).wait()
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'''
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# # wait for brokerd to signal we should start sampling
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# await shm_incrementing(shm_token['shm_name']).wait()
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# TODO: right now we'll spin printing bars if the last time stamp is
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# before a large period of no market activity. Likely the best way
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# to solve this is to make this task aware of the instrument's
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# tradable hours?
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# TODO: right now we'll spin printing bars if the last time stamp is
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# before a large period of no market activity. Likely the best way
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# to solve this is to make this task aware of the instrument's
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# tradable hours?
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# adjust delay to compensate for trio processing time
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ad = min(self.ohlcv_shms.keys()) - 0.001
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# adjust delay to compensate for trio processing time
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ad = min(sampler.ohlcv_shms.keys()) - 0.001
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total_s = 0 # total seconds counted
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lowest = min(self.ohlcv_shms.keys())
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lowest_shm = self.ohlcv_shms[lowest][0]
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ad = lowest - 0.001
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total_s = 0 # total seconds counted
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lowest = min(sampler.ohlcv_shms.keys())
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lowest_shm = sampler.ohlcv_shms[lowest][0]
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ad = lowest - 0.001
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with trio.CancelScope() as cs:
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with trio.CancelScope() as cs:
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# register this time period step as active
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self.incrementers[delay_s] = cs
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task_status.started(cs)
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# register this time period step as active
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sampler.incrementers[delay_s] = cs
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task_status.started(cs)
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while True:
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# TODO: do we want to support dynamically
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# adding a "lower" lowest increment period?
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await trio.sleep(ad)
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total_s += delay_s
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while True:
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# TODO: do we want to support dynamically
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# adding a "lower" lowest increment period?
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await trio.sleep(ad)
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total_s += delay_s
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# increment all subscribed shm arrays
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# TODO:
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# - this in ``numba``
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# - just lookup shms for this step instead of iterating?
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for this_delay_s, shms in self.ohlcv_shms.items():
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# increment all subscribed shm arrays
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# TODO:
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# - this in ``numba``
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# - just lookup shms for this step instead of iterating?
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for this_delay_s, shms in sampler.ohlcv_shms.items():
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# short-circuit on any not-ready because slower sample
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# rate consuming shm buffers.
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if total_s % this_delay_s != 0:
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# print(f'skipping `{this_delay_s}s` sample update')
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continue
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# short-circuit on any not-ready because slower sample
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# rate consuming shm buffers.
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if total_s % this_delay_s != 0:
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# print(f'skipping `{this_delay_s}s` sample update')
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continue
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# TODO: ``numba`` this!
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for shm in shms:
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# append new entry to buffer thus "incrementing"
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# the bar
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array = shm.array
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last = array[-1:][shm._write_fields].copy()
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# TODO: ``numba`` this!
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for shm in shms:
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# append new entry to buffer thus "incrementing" the bar
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array = shm.array
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last = array[-1:][shm._write_fields].copy()
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(t, close) = last[0][[
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'time',
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'close',
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]]
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(t, close) = last[0][[
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'time',
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'close',
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]]
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next_t = t + this_delay_s
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i_epoch = round(time.time())
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next_t = t + this_delay_s
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i_epoch = round(time.time())
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if this_delay_s <= 1:
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next_t = i_epoch
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if this_delay_s <= 1:
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next_t = i_epoch
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# print(f'epoch {shm.token["shm_name"]}: {next_t}')
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# print(f'epoch {shm.token["shm_name"]}: {next_t}')
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# this copies non-std fields (eg. vwap) from the
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# last datum
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last[[
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'time',
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# this copies non-std fields (eg. vwap) from the last datum
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last[[
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'time',
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'open',
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'high',
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'low',
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'close',
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'open',
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'high',
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'low',
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'close',
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'volume',
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]][0] = (
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# epoch timestamp
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next_t,
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'volume',
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]][0] = (
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# epoch timestamp
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next_t,
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# OHLC
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close,
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close,
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close,
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close,
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# OHLC
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close,
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close,
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close,
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close,
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0, # vlm
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)
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0, # vlm
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# TODO: in theory we could make this faster by
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# copying the "last" readable value into the
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# underlying larger buffer's next value and then
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# incrementing the counter instead of using
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# ``.push()``?
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# write to the buffer
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shm.push(last)
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await self.broadcast(delay_s, shm=lowest_shm)
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@classmethod
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async def broadcast(
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self,
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delay_s: int,
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shm: ShmArray | None = None,
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) -> None:
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'''
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Broadcast the given ``shm: ShmArray``'s buffer index step to any
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subscribers for a given sample period.
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The sent msg will include the first and last index which slice into
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the buffer's non-empty data.
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'''
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subs = self.subscribers.get(delay_s, ())
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first = last = -1
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if shm is None:
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periods = self.ohlcv_shms.keys()
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# if this is an update triggered by a history update there
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# might not actually be any sampling bus setup since there's
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# no "live feed" active yet.
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if periods:
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lowest = min(periods)
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shm = self.ohlcv_shms[lowest][0]
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first = shm._first.value
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last = shm._last.value
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for stream in subs:
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try:
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await stream.send({
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'first': first,
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'last': last,
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'index': last,
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})
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except (
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trio.BrokenResourceError,
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trio.ClosedResourceError
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):
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log.error(
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f'{stream._ctx.chan.uid} dropped connection'
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)
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try:
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subs.remove(stream)
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except ValueError:
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log.warning(
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f'{stream._ctx.chan.uid} sub already removed!?'
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)
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# TODO: in theory we could make this faster by copying the
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# "last" readable value into the underlying larger buffer's
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# next value and then incrementing the counter instead of
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# using ``.push()``?
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# write to the buffer
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shm.push(last)
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await broadcast(delay_s, shm=lowest_shm)
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@classmethod
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async def broadcast_all(self) -> None:
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for delay_s in self.subscribers:
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await self.broadcast(delay_s)
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async def broadcast(
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delay_s: int,
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shm: ShmArray | None = None,
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@tractor.context
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async def maybe_open_global_sampler(
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ctx: tractor.Context,
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brokername: str,
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) -> None:
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'''
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Broadcast the given ``shm: ShmArray``'s buffer index step to any
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subscribers for a given sample period.
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get_console_log(tractor.current_actor().loglevel)
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The sent msg will include the first and last index which slice into
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the buffer's non-empty data.
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global Sampler
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'''
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subs = sampler.subscribers.get(delay_s, ())
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first = last = -1
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async with trio.open_nursery() as service_nursery:
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Sampler.service_nursery = service_nursery
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if shm is None:
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periods = sampler.ohlcv_shms.keys()
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# if this is an update triggered by a history update there
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# might not actually be any sampling bus setup since there's
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# no "live feed" active yet.
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if periods:
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lowest = min(periods)
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shm = sampler.ohlcv_shms[lowest][0]
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first = shm._first.value
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last = shm._last.value
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# unblock caller
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await ctx.started()
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for stream in subs:
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try:
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await stream.send({
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'first': first,
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'last': last,
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'index': last,
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})
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except (
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trio.BrokenResourceError,
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trio.ClosedResourceError
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):
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log.error(
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f'{stream._ctx.chan.uid} dropped connection'
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)
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try:
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subs.remove(stream)
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except ValueError:
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log.warning(
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f'{stream._ctx.chan.uid} sub already removed!?'
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)
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# we pin this task to keep the feeds manager active until the
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# parent actor decides to tear it down
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await trio.sleep_forever()
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@tractor.context
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@ -241,7 +277,7 @@ async def iter_ohlc_periods(
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'''
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# add our subscription
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subs = sampler.subscribers.setdefault(delay_s, [])
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subs = Sampler.subscribers.setdefault(delay_s, [])
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await ctx.started()
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async with ctx.open_stream() as stream:
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subs.append(stream)
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@ -74,9 +74,7 @@ from ._source import (
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)
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from ..ui import _search
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from ._sampling import (
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sampler,
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broadcast,
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increment_ohlc_buffer,
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Sampler,
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sample_and_broadcast,
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uniform_rate_send,
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_default_delay_s,
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@ -327,8 +325,7 @@ async def start_backfill(
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# TODO: *** THIS IS A BUG ***
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# we need to only broadcast to subscribers for this fqsn..
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# otherwise all fsps get reset on every chart..
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for delay_s in sampler.subscribers:
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await broadcast(delay_s)
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await Sampler.broadcast_all()
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# signal that backfilling to tsdb's end datum is complete
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bf_done = trio.Event()
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@ -496,8 +493,7 @@ async def start_backfill(
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# in the block above to avoid entering new ``frames``
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# values while we're pipelining the current ones to
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# memory...
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for delay_s in sampler.subscribers:
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await broadcast(delay_s)
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await Sampler.broadcast_all()
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# short-circuit (for now)
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bf_done.set()
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@ -738,8 +734,7 @@ async def tsdb_backfill(
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# (usually a chart showing graphics for said fsp)
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# which tells the chart to conduct a manual full
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# graphics loop cycle.
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for delay_s in sampler.subscribers:
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await broadcast(delay_s)
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await Sampler.broadcast_all()
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# TODO: write new data to tsdb to be ready to for next read.
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@ -1036,7 +1031,7 @@ async def allocate_persistent_feed(
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# insert 1s ohlc into the increment buffer set
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# to update and shift every second
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sampler.ohlcv_shms.setdefault(
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Sampler.ohlcv_shms.setdefault(
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1,
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[]
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).append(rt_shm)
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@ -1052,13 +1047,13 @@ async def allocate_persistent_feed(
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# insert 1m ohlc into the increment buffer set
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# to shift every 60s.
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sampler.ohlcv_shms.setdefault(60, []).append(hist_shm)
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Sampler.ohlcv_shms.setdefault(60, []).append(hist_shm)
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# create buffer a single incrementer task broker backend
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# (aka `brokerd`) using the lowest sampler period.
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if sampler.incrementers.get(_default_delay_s) is None:
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if Sampler.incrementers.get(_default_delay_s) is None:
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await bus.start_task(
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increment_ohlc_buffer,
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Sampler.increment_ohlc_buffer,
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_default_delay_s,
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)
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Loading…
Reference in New Issue