Add multi ingestor support and update to new feed API
Guillermo Rodriguez
Tyler Goodlet
parent
c849bb9c4c
commit
3c09bfba57
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@ -136,7 +136,7 @@ def ingest(config, name, test_file, tl, url):
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"""Ingest real-time broker quotes and ticks to a marketstore instance.
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"""
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# global opts
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brokermod = config['brokermod']
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brokermods = config['brokermods']
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loglevel = config['loglevel']
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tractorloglevel = config['tractorloglevel']
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# log = config['log']
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@ -145,15 +145,25 @@ def ingest(config, name, test_file, tl, url):
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watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
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symbols = watchlists[name]
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tractor.run(
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partial(
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ingest_quote_stream,
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symbols,
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brokermod.name,
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tries=1,
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loglevel=loglevel,
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),
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name='ingest_marketstore',
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loglevel=tractorloglevel,
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debug_mode=True,
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)
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grouped_syms = {}
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for sym in symbols:
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symbol, _, provider = sym.rpartition('.')
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if provider not in grouped_syms:
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grouped_syms[provider] = []
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grouped_syms[provider].append(symbol)
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async def entry_point():
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async with tractor.open_nursery() as n:
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for provider, symbols in grouped_syms.items():
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await n.run_in_actor(
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ingest_quote_stream,
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name='ingest_marketstore',
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symbols=symbols,
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brokername=provider,
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tries=1,
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actorloglevel=loglevel,
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loglevel=tractorloglevel
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)
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tractor.run(entry_point)
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@ -24,7 +24,7 @@
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- todo: docker container management automation
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"""
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from contextlib import asynccontextmanager
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from typing import Dict, Any, List, Callable, Tuple
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from typing import Dict, Any, List, Callable, Tuple, Optional
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import time
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from math import isnan
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@ -49,25 +49,16 @@ _quote_dt = [
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('Epoch', 'i8'),
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('Nanoseconds', 'i4'),
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('Tick', 'i4'), # (-1, 0, 1) = (on bid, same, on ask)
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# ('fill_time', 'f4'),
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('Tick', 'i4'),
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('Last', 'f4'),
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('Bid', 'f4'),
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('Bsize', 'i8'),
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('Asize', 'i8'),
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('Bsize', 'f4'),
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('Asize', 'f4'),
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('Ask', 'f4'),
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('Size', 'i8'),
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('Volume', 'i8'),
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# ('brokerd_ts', 'i64'),
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# ('VWAP', 'f4')
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('Volume', 'f4'),
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]
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_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
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_tick_map = {
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'Up': 1,
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'Equal': 0,
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'Down': -1,
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None: np.nan,
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}
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class MarketStoreError(Exception):
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@ -87,13 +78,15 @@ def err_on_resp(response: dict) -> None:
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def quote_to_marketstore_structarray(
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quote: Dict[str, Any],
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last_fill: str,
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last_fill: Optional[float],
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) -> np.array:
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"""Return marketstore writeable structarray from quote ``dict``.
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"""
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if last_fill:
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# new fill bby
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now = timestamp(last_fill)
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now = timestamp(last_fill, unit='s')
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else:
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# this should get inserted upstream by the broker-client to
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# subtract from IPC latency
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@ -123,11 +116,11 @@ def quote_to_marketstore_structarray(
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return np.array([tuple(array_input)], dtype=_quote_dt)
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def timestamp(datestr: str) -> int:
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def timestamp(date, **kwargs) -> int:
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"""Return marketstore compatible 'Epoch' integer in nanoseconds
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from a date formatted str.
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"""
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return int(pd.Timestamp(datestr).value)
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return int(pd.Timestamp(date, **kwargs).value)
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def mk_tbk(keys: Tuple[str, str, str]) -> str:
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@ -206,46 +199,71 @@ async def ingest_quote_stream(
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symbols: List[str],
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brokername: str,
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tries: int = 1,
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loglevel: str = None,
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actorloglevel: str = None,
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) -> None:
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"""Ingest a broker quote stream into marketstore in (sampled) tick format.
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"""
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async with open_feed(
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brokername,
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symbols,
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loglevel=loglevel,
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) as (first_quotes, qstream):
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quote_cache = first_quotes.copy()
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loglevel=actorloglevel,
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) as feed:
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async with get_client() as ms_client:
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# _quote_dt = [
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# # these two are required for as a "primary key"
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# ('Epoch', 'i8'),
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# ('Nanoseconds', 'i4'),
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# ('Tick', 'i4'),
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#
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# ('Last', 'f4'),
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# ('Bid', 'f4'),
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# ('Bsize', 'f4'),
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# ('Asize', 'f4'),
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# ('Ask', 'f4'),
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# ('Size', 'i8'),
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# ('Volume', 'f4'),
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# ]
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quote_cache = {
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'size': 0,
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'tick': 0
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}
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# start ingest to marketstore
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async for quotes in qstream:
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async for quotes in feed.stream:
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log.info(quotes)
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for symbol, quote in quotes.items():
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# remap tick strs to ints
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quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
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for tick in quote.get('ticks', ()):
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ticktype = tick.get('type')
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price = tick.get('price')
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size = tick.get('size')
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# check for volume update (i.e. did trades happen
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# since last quote)
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new_vol = quote.get('volume', None)
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if new_vol is None:
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log.debug(f"No fills for {symbol}")
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if new_vol == quote_cache.get('volume'):
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# should never happen due to field diffing
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# on sender side
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log.error(
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f"{symbol}: got same volume as last quote?")
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if ticktype == 'n/a' or price == -1:
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# okkk..
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continue
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quote_cache.update(quote)
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# clearing price event
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if ticktype == 'trade':
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quote_cache['volume'] = quote['volume']
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quote_cache['last'] = price
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# quote_cache['broker_ts'] = quote['broker_ts']
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# l1 book events
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elif ticktype in ('ask', 'asize'):
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quote_cache['ask'] = price
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quote_cache['asize'] = size
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elif ticktype in ('bid', 'bsize'):
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quote_cache['bid'] = price
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quote_cache['bsize'] = size
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a = quote_to_marketstore_structarray(
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quote,
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# TODO: check this closer to the broker query api
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last_fill=quote.get('fill_time', '')
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quote_cache,
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last_fill=quote.get('broker_ts', None)
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)
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log.info(a)
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# breakpoint()
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await ms_client.write(symbol, a)
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