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Add basic tsdb history loading 

If `marketstore` is detected try to only load most recent missing data
from the data provider (broker) and the rest from the tsdb and push it
all to shm for display in the UI. If the provider/broker doesn't have
the history client endpoint, just use the old one for now so we can
start to incrementally add support. Don't start the ohlc step
incrementer task until the backend signals that the feed is live.
l1_precision_fix
Tyler Goodlet 2022-03-29 14:06:28 -04:00
parent a971de2b67
commit 41325ad418
1 changed files with 113 additions and 81 deletions
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160
piker/data/feed.py
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@ -22,7 +22,6 @@ This module is enabled for ``brokerd`` daemons.
"""
from __future__ import annotations
from dataclasses import dataclass, field
from datetime import datetime
from contextlib import asynccontextmanager
from functools import partial
from types import ModuleType
@ -49,7 +48,6 @@ from ._sharedmem import (
maybe_open_shm_array,
attach_shm_array,
ShmArray,
_secs_in_day,
)
from .ingest import get_ingestormod
from ._source import (
@ -236,50 +234,97 @@ async def manage_history(
# we expect the sub-actor to write
readonly=False,
)
# TODO: history validation
if not opened:
raise RuntimeError(
"Persistent shm for sym was already open?!"
)
log.info('Scanning for existing `marketstored`')
is_up = await check_for_service('marketstored')
# for now only do backfilling if no tsdb can be found
do_backfill = not is_up and opened
do_legacy_backfill = not is_up and opened
open_history_client = getattr(mod, 'open_history_client', None)
if is_up and opened and open_history_client:
if is_up and opened:
log.info('Found existing `marketstored`')
from . import marketstore
async with marketstore.open_storage_client(
fqsn,
) as (storage, tsdb_arrays):
) as storage:
# TODO: get this shit workin
from tractor.trionics import ipython_embed
await ipython_embed()
# await ipython_embed(ns=locals())
tsdb_arrays = await storage.read_ohlcv(fqsn)
# TODO: history validation
# assert opened, f'Persistent shm for {symbol} was already open?!'
# if not opened:
# raise RuntimeError(
# "Persistent shm for sym was already open?!"
# )
if not tsdb_arrays:
do_legacy_backfill = True
if tsdb_arrays:
else:
log.info(f'Loaded tsdb history {tsdb_arrays}')
fastest = list(tsdb_arrays[fqsn].values())[0]
last_s = fastest['Epoch'][-1]
fastest = list(tsdb_arrays.values())[0]
times = fastest['Epoch']
first, last = times[0], times[-1]
first_tsdb_dt, last_tsdb_dt = map(
pendulum.from_timestamp, [first, last]
)
# TODO: this should be used verbatim for the pure
# shm backfiller approach below.
# start history anal and load missing new data via backend.
async with open_history_client(fqsn) as hist:
# get latest query's worth of history all the way
# back to what is recorded in the tsdb
array, start_dt, end_dt = await hist(end_dt='')
shm.push(array)
# let caller unblock and deliver latest history frame
task_status.started(shm)
some_data_ready.set()
# pull new history frames until we hit latest
# already in the tsdb
while start_dt > last_tsdb_dt:
array, start_dt, end_dt = await hist(end_dt=start_dt)
s_diff = (last_tsdb_dt - start_dt).seconds
# if we detect a partial frame's worth of data
# that is new, slice out only that history and
# write to shm.
if s_diff > 0:
assert last_tsdb_dt > start_dt
selected = array['time'] > last_tsdb_dt.timestamp()
to_push = array[selected]
log.info(
f'Pushing partial frame {to_push.size} to shm'
)
shm.push(to_push, prepend=True)
break
else:
# write to shm
log.info(f'Pushing {array.size} datums to shm')
shm.push(array, prepend=True)
# TODO: see if there's faster multi-field reads:
# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
# re-index with a `time` and index field
# await tractor.breakpoint()
shm.push(
fastest[-3 * _secs_in_day:],
fastest[-shm._first.value:],
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
prepend=True,
start=shm._len - _secs_in_day,
# start=shm._len - _secs_in_day,
field_map={
'Epoch': 'time',
'Open': 'open',
@ -290,36 +335,24 @@ async def manage_history(
},
)
# start history anal and load missing new data via backend.
async with mod.open_history_client(fqsn) as hist:
# TODO: write new data to tsdb to be ready to for next
# read.
# get latest query's worth of history
array, next_dt = await hist(end_dt='')
last_dt = datetime.fromtimestamp(last_s)
array, next_dt = await hist(end_dt=last_dt)
else:
do_backfill = True
# await tractor.breakpoint()
some_data_ready.set()
if do_backfill:
if do_legacy_backfill:
# do a legacy incremental backfill from the provider.
log.info('No existing `marketstored` found..')
bfqsn = fqsn.replace('.' + mod.name, '')
# start history backfill task ``backfill_bars()`` is
# a required backend func this must block until shm is
# filled with first set of ohlc bars
await bus.nursery.start(
start_backfill,
mod,
fqsn,
bfqsn,
shm,
)
# _ = await bus.nursery.start(mod.backfill_bars, fqsn, shm)
# yield back after client connect with filled shm
task_status.started(shm)
@ -328,27 +361,10 @@ async def manage_history(
# data that can be used.
some_data_ready.set()
# detect sample step size for sampled historical data
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
# begin real-time updates of shm and tsb once the feed
# goes live.
await feed_is_live.wait()
if opened:
sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
# start shm incrementing for OHLC sampling at the current
# detected sampling period if one dne.
if sampler.incrementers.get(delay_s) is None:
await bus.start_task(
increment_ohlc_buffer,
delay_s,
)
# history retreival loop depending on user interaction and thus
# a small RPC-prot for remotely controllinlg what data is loaded
# for viewing.
await trio.sleep_forever()
# cs.cancel()
async def allocate_persistent_feed(
@ -416,7 +432,7 @@ async def allocate_persistent_feed(
manage_history,
mod,
bus,
bfqsn,
'.'.join((bfqsn, brokername)),
some_data_ready,
feed_is_live,
)
@ -429,7 +445,6 @@ async def allocate_persistent_feed(
# true fqsn
fqsn = '.'.join((bfqsn, brokername))
# add a fqsn entry that includes the ``.<broker>`` suffix
init_msg[fqsn] = msg
@ -464,9 +479,22 @@ async def allocate_persistent_feed(
if not start_stream:
await trio.sleep_forever()
# backend will indicate when real-time quotes have begun.
# begin real-time updates of shm and tsb once the feed goes live and
# the backend will indicate when real-time quotes have begun.
await feed_is_live.wait()
# start shm incrementer task for OHLC style sampling
# at the current detected step period.
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
if sampler.incrementers.get(delay_s) is None:
await bus.start_task(
increment_ohlc_buffer,
delay_s,
)
sum_tick_vlm: bool = init_msg.get(
'shm_write_opts', {}
).get('sum_tick_vlm', True)
@ -545,7 +573,7 @@ async def open_feed_bus(
init_msg, first_quotes = bus.feeds[symbol]
msg = init_msg[symbol]
bfqsn = msg['fqsn']
bfqsn = msg['fqsn'].lower()
# true fqsn
fqsn = '.'.join([bfqsn, brokername])
@ -864,7 +892,10 @@ async def maybe_open_feed(
**kwargs,
) -> (Feed, ReceiveChannel[dict[str, Any]]):
) -> (
Feed,
ReceiveChannel[dict[str, Any]],
):
'''
Maybe open a data to a ``brokerd`` daemon only if there is no
local one for the broker-symbol pair, if one is cached use it wrapped
@ -885,6 +916,7 @@ async def maybe_open_feed(
'start_stream': kwargs.get('start_stream', True),
},
key=fqsn,
) as (cache_hit, feed):
if cache_hit: