Add multi ingestor support and update to new feed API

piker/data/cli.py

@@ -136,7 +136,7 @@ def ingest(config, name, test_file, tl, url):
     """Ingest real-time broker quotes and ticks to a marketstore instance.
     """
     # global opts
-    brokermod = config['brokermod']
+    brokermods = config['brokermods']
     loglevel = config['loglevel']
     tractorloglevel = config['tractorloglevel']
     # log = config['log']
@@ -145,15 +145,25 @@ def ingest(config, name, test_file, tl, url):
     watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
     symbols = watchlists[name]
 
-    tractor.run(
+    grouped_syms = {}
-        partial(
+    for sym in symbols:
+        symbol, _, provider = sym.rpartition('.')
+        if provider not in grouped_syms:
+            grouped_syms[provider] = []
+
+        grouped_syms[provider].append(symbol)
+
+    async def entry_point():
+        async with tractor.open_nursery() as n:
+            for provider, symbols in grouped_syms.items(): 
+                await n.run_in_actor(
                     ingest_quote_stream,
-            symbols,
-            brokermod.name,
-            tries=1,
-            loglevel=loglevel,
-        ),
                     name='ingest_marketstore',
-        loglevel=tractorloglevel,
+                    symbols=symbols,
-        debug_mode=True,
+                    brokername=provider,
+                    tries=1,
+                    actorloglevel=loglevel,
+                    loglevel=tractorloglevel
                 )
+
+    tractor.run(entry_point)

piker/data/marketstore.py

@@ -24,7 +24,7 @@
 - todo: docker container management automation
 """
 from contextlib import asynccontextmanager
-from typing import Dict, Any, List, Callable, Tuple
+from typing import Dict, Any, List, Callable, Tuple, Optional
 import time
 from math import isnan
 
@@ -49,25 +49,16 @@ _quote_dt = [
     ('Epoch', 'i8'),
     ('Nanoseconds', 'i4'),
 
-    ('Tick', 'i4'),  # (-1, 0, 1) = (on bid, same, on ask)
+    ('Tick', 'i4'),
-    # ('fill_time', 'f4'),
     ('Last', 'f4'),
     ('Bid', 'f4'),
-    ('Bsize', 'i8'),
+    ('Bsize', 'f4'),
-    ('Asize', 'i8'),
+    ('Asize', 'f4'),
     ('Ask', 'f4'),
     ('Size', 'i8'),
-    ('Volume', 'i8'),
+    ('Volume', 'f4'),
-    # ('brokerd_ts', 'i64'),
-    # ('VWAP', 'f4')
 ]
 _quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
-_tick_map = {
-    'Up': 1,
-    'Equal': 0,
-    'Down': -1,
-    None: np.nan,
-}
 
 
 class MarketStoreError(Exception):
@@ -87,13 +78,15 @@ def err_on_resp(response: dict) -> None:
 
 def quote_to_marketstore_structarray(
     quote: Dict[str, Any],
-    last_fill: str,
+    last_fill: Optional[float],
+
 ) -> np.array:
     """Return marketstore writeable structarray from quote ``dict``.
     """
     if last_fill:
         # new fill bby
-        now = timestamp(last_fill)
+        now = timestamp(last_fill, unit='s')
+
     else:
         # this should get inserted upstream by the broker-client to
         # subtract from IPC latency
@@ -123,11 +116,11 @@ def quote_to_marketstore_structarray(
     return np.array([tuple(array_input)], dtype=_quote_dt)
 
 
-def timestamp(datestr: str) -> int:
+def timestamp(date, **kwargs) -> int:
     """Return marketstore compatible 'Epoch' integer in nanoseconds
     from a date formatted str.
     """
-    return int(pd.Timestamp(datestr).value)
+    return int(pd.Timestamp(date, **kwargs).value)
 
 
 def mk_tbk(keys: Tuple[str, str, str]) -> str:
@@ -206,46 +199,71 @@ async def ingest_quote_stream(
     symbols: List[str],
     brokername: str,
     tries: int = 1,
-    loglevel: str = None,
+    actorloglevel: str = None,
 ) -> None:
     """Ingest a broker quote stream into marketstore in (sampled) tick format.
     """
     async with open_feed(
         brokername,
         symbols,
-        loglevel=loglevel,
+        loglevel=actorloglevel,
-    ) as (first_quotes, qstream):
+    ) as feed:
-
-        quote_cache = first_quotes.copy()
-
         async with get_client() as ms_client:
 
+            # _quote_dt = [
+            #     # these two are required for as a "primary key"
+            #    ('Epoch', 'i8'),
+            #    ('Nanoseconds', 'i4'),
+            #    ('Tick', 'i4'),
+            #
+            #    ('Last', 'f4'),
+            #    ('Bid', 'f4'),
+            #    ('Bsize', 'f4'),
+            #    ('Asize', 'f4'),
+            #    ('Ask', 'f4'),
+            #    ('Size', 'i8'),
+            #    ('Volume', 'f4'),
+            # ]
+
+            quote_cache = {
+                'size': 0,
+                'tick': 0
+            }
             # start ingest to marketstore
-            async for quotes in qstream:
+            async for quotes in feed.stream:
                 log.info(quotes)
                 for symbol, quote in quotes.items():
 
-                    # remap tick strs to ints
+                    for tick in quote.get('ticks', ()):
-                    quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
+                        ticktype = tick.get('type')
+                        price = tick.get('price')
+                        size = tick.get('size')
 
-                    # check for volume update (i.e. did trades happen
+                        if ticktype == 'n/a' or price == -1:
-                    # since last quote)
+                            # okkk..
-                    new_vol = quote.get('volume', None)
+                            continue
-                    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(quote)
+                        # clearing price event
+                        if ticktype == 'trade':
+                            quote_cache['volume'] = quote['volume']
+                            quote_cache['last'] = price
+                            # quote_cache['broker_ts'] = quote['broker_ts']
+
+                        # l1 book events
+                        elif ticktype in ('ask', 'asize'):
+                            quote_cache['ask'] = price
+                            quote_cache['asize'] = size
+
+                        elif ticktype in ('bid', 'bsize'):
+                            quote_cache['bid'] = price
+                            quote_cache['bsize'] = size
 
                     a = quote_to_marketstore_structarray(
-                        quote,
+                        quote_cache,
-                        # TODO: check this closer to the broker query api
+                        last_fill=quote.get('broker_ts', None)
-                        last_fill=quote.get('fill_time', '')
                     )
+                    log.info(a)
+                    # breakpoint()
                     await ms_client.write(symbol, a)