Port fsp daemon to tractor's context api
Tyler Goodlet
parent
154e1f7087
commit
429b6f6891
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@ -36,7 +36,7 @@ from ..data._sharedmem import ShmArray
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log = get_logger(__name__)
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_fsps = {
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_fsp_builtins = {
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'rsi': _rsi,
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'wma': _wma,
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'vwap': _tina_vwap,
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@ -65,16 +65,39 @@ async def latency(
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yield value
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async def filter_quotes_by_sym(
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sym: str,
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quote_stream,
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) -> AsyncIterator[dict]:
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'''Filter quote stream by target symbol.
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'''
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# TODO: make this the actualy first quote from feed
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# XXX: this allows for a single iteration to run for history
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# processing without waiting on the real-time feed for a new quote
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yield {}
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# task cancellation won't kill the channel
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# since we shielded at the `open_feed()` call
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async for quotes in quote_stream:
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for symbol, quote in quotes.items():
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if symbol == sym:
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yield quote
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async def fsp_compute(
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ctx: tractor.Context,
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stream: tractor.MsgStream,
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symbol: str,
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feed: Feed,
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stream: trio.abc.ReceiveChannel,
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quote_stream: trio.abc.ReceiveChannel,
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src: ShmArray,
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dst: ShmArray,
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fsp_func_name: str,
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func_name: str,
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func: Callable,
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task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
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@ -83,25 +106,13 @@ async def fsp_compute(
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# TODO: load appropriate fsp with input args
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async def filter_by_sym(
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sym: str,
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stream,
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):
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# TODO: make this the actualy first quote from feed
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# XXX: this allows for a single iteration to run for history
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# processing without waiting on the real-time feed for a new quote
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yield {}
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# task cancellation won't kill the channel
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# since we shielded at the `open_feed()` call
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async for quotes in stream:
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for symbol, quotes in quotes.items():
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if symbol == sym:
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yield quotes
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out_stream = func(
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filter_by_sym(symbol, stream),
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# TODO: do we even need this if we do the feed api right?
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# shouldn't a local stream do this before we get a handle
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# to the async iterable? it's that or we do some kinda
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# async itertools style?
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filter_quotes_by_sym(symbol, quote_stream),
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feed.shm,
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)
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@ -129,11 +140,11 @@ async def fsp_compute(
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np.arange(len(history_output)),
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dtype=dst.array.dtype
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)
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history[fsp_func_name] = history_output
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history[func_name] = history_output
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# check for data length mis-allignment and fill missing values
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diff = len(src.array) - len(history)
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if diff >= 0:
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if diff > 0:
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log.warning(f"WTF DIFF SIGNAL to HISTORY {diff}")
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for _ in range(diff):
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dst.push(history[:1])
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@ -141,36 +152,44 @@ async def fsp_compute(
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# compare with source signal and time align
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index = dst.push(history)
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await ctx.send_yield(index)
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# setup a respawn handle
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with trio.CancelScope() as cs:
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task_status.started(cs)
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task_status.started((cs, index))
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import time
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last = time.time()
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# rt stream
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async for processed in out_stream:
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# period = time.time() - last
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# hz = 1/period if period else float('nan')
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# if hz > 60:
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# log.info(f'FSP quote too fast: {hz}')
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period = time.time() - last
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hz = 1/period if period else float('nan')
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if hz > 60:
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log.info(f'FSP quote too fast: {hz}')
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log.debug(f"{fsp_func_name}: {processed}")
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log.debug(f"{func_name}: {processed}")
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index = src.index
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dst.array[-1][fsp_func_name] = processed
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dst.array[-1][func_name] = processed
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# stream latest shm array index entry
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await ctx.send_yield(index)
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# stream latest array index entry which basically just acts
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# as trigger msg to tell the consumer to read from shm
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await stream.send(index)
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last = time.time()
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@tractor.stream
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@tractor.context
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async def cascade(
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ctx: tractor.Context,
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brokername: str,
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src_shm_token: dict,
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dst_shm_token: Tuple[str, np.dtype],
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symbol: str,
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fsp_func_name: str,
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func_name: str,
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loglevel: Optional[str] = None,
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) -> None:
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@ -184,39 +203,50 @@ async def cascade(
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src = attach_shm_array(token=src_shm_token)
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dst = attach_shm_array(readonly=False, token=dst_shm_token)
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func: Callable = _fsps[fsp_func_name]
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func: Callable = _fsp_builtins.get(func_name)
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if not func:
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# TODO: assume it's a func target path
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raise ValueError('Unknown fsp target: {func_name}')
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# open a data feed stream with requested broker
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async with data.feed.maybe_open_feed(
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brokername,
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[symbol],
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# TODO:
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# TODO throttle tick outputs from *this* daemon since
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# it'll emit tons of ticks due to the throttle only
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# limits quote arrival periods, so the consumer of *this*
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# needs to get throttled the ticks we generate.
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# tick_throttle=60,
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) as (feed, stream):
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) as (feed, quote_stream):
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assert src.token == feed.shm.token
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last_len = new_len = len(src.array)
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fsp_target = partial(
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fsp_compute,
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ctx=ctx,
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symbol=symbol,
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feed=feed,
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stream=stream,
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async with (
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ctx.open_stream() as stream,
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trio.open_nursery() as n,
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):
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src=src,
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dst=dst,
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fsp_target = partial(
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fsp_func_name=fsp_func_name,
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func=func
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)
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fsp_compute,
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stream=stream,
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symbol=symbol,
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feed=feed,
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quote_stream=quote_stream,
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async with trio.open_nursery() as n:
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# shm
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src=src,
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dst=dst,
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cs = await n.start(fsp_target)
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func_name=func_name,
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func=func
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)
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cs, index = await n.start(fsp_target)
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await ctx.started(index)
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# Increment the underlying shared memory buffer on every
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# "increment" msg received from the underlying data feed.
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@ -229,17 +259,15 @@ async def cascade(
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if new_len > last_len + 1:
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# respawn the signal compute task if the source
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# signal has been updated
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log.warning(f'Re-spawning fsp {func_name}')
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cs.cancel()
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cs = await n.start(fsp_target)
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cs, index = await n.start(fsp_target)
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# TODO: adopt an incremental update engine/approach
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# where possible here eventually!
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# read out last shm row
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# read out last shm row, copy and write new row
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array = dst.array
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last = array[-1:].copy()
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# write new row to the shm buffer
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dst.push(last)
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last_len = new_len
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