pikers
/
piker
3
0
Fork 0
Code Issues 2 Pull Requests 4 Packages Projects Releases Wiki Activity

Pass backfiller explicit symbol str, don't require volume ticks

vwap_fsp
Tyler Goodlet 2020-12-26 18:04:32 -05:00
parent bc96c5847c
commit 42761438f6
1 changed files with 11 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

20
piker/brokers/ib.py
View File

@ -192,6 +192,7 @@ class Client:
# barSizeSetting='5 secs', # barSizeSetting='5 secs',
durationStr='{count} S'.format(count=period_count), durationStr='{count} S'.format(count=period_count),
# barSizeSetting='5 secs',
barSizeSetting='1 secs', barSizeSetting='1 secs',
# barSizeSetting='1 min', # barSizeSetting='1 min',
@ -328,8 +329,9 @@ class Client:
exch = 'SMART' if not exch else exch exch = 'SMART' if not exch else exch
contract = (await self.ib.qualifyContractsAsync(con))[0] contract = (await self.ib.qualifyContractsAsync(con))[0]
head = await self.get_head_time(contract) # head = await self.get_head_time(contract)
print(head) # print(head)
except IndexError: except IndexError:
raise ValueError(f"No contract could be found {con}") raise ValueError(f"No contract could be found {con}")
return contract return contract
@ -617,9 +619,11 @@ async def activate_writer(key: str) -> (bool, trio.Nursery):
async def fill_bars( async def fill_bars(
first_bars, sym: str,
shm, first_bars: list,
shm: 'ShmArray', # type: ignore # noqa
count: int = 21, count: int = 21,
# count: int = 1,
) -> None: ) -> None:
"""Fill historical bars into shared mem / storage afap. """Fill historical bars into shared mem / storage afap.
@ -635,9 +639,7 @@ async def fill_bars(
try: try:
bars, bars_array = await _trio_run_client_method( bars, bars_array = await _trio_run_client_method(
method='bars', method='bars',
symbol='.'.join( symbol=sym,
(first_bars.contract.symbol, first_bars.contract.exchange)
),
end_dt=next_dt, end_dt=next_dt,
) )
@ -723,7 +725,7 @@ async def stream_quotes(
# TODO: generalize this for other brokers # TODO: generalize this for other brokers
# start bar filler task in bg # start bar filler task in bg
ln.start_soon(fill_bars, bars, shm) ln.start_soon(fill_bars, sym, bars, shm)
times = shm.array['time'] times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1] delay_s = times[-1] - times[times != times[-1]][-1]
@ -808,7 +810,7 @@ async def stream_quotes(
['open', 'high', 'low', 'volume'] ['open', 'high', 'low', 'volume']
] ]
new_v = tick['size'] new_v = tick.get('size', 0)
if v == 0 and new_v: if v == 0 and new_v:
# no trades for this bar yet so the open # no trades for this bar yet so the open