pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Add back in legacy write loop for reference

l1_precision_fix
Tyler Goodlet 2022-02-18 08:21:17 -05:00
parent 8047714101
commit 445b82283d
1 changed files with 43 additions and 57 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

100
piker/data/marketstore.py
View File

@ -59,15 +59,25 @@ _quote_dt = [
('Epoch', 'i8'), ('Epoch', 'i8'),
('Nanoseconds', 'i4'), ('Nanoseconds', 'i4'),
('Tick', 'i4'), # do we need this? ('Tick', 'i4'), # (-1, 0, 1) = (on bid, same, on ask)
# ('fill_time', 'f4'),
('Last', 'f4'), ('Last', 'f4'),
('Bid', 'f4'), ('Bid', 'f4'),
('Bsize', 'f4'), ('Bsize', 'i8'),
('Asize', 'f4'), ('Asize', 'i8'),
('Ask', 'f4'), ('Ask', 'f4'),
('Size', 'i8'), ('Size', 'i8'),
('Volume', 'f4'), ('Volume', 'i8'),
# ('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,
}
def mk_tbk(keys: tuple[str, str, str]) -> str: def mk_tbk(keys: tuple[str, str, str]) -> str:
@ -91,8 +101,7 @@ def quote_to_marketstore_structarray(
''' '''
if last_fill: if last_fill:
# new fill bby # new fill bby
now = timestamp(last_fill, unit='s') now = timestamp(last_fill)
else: else:
# this should get inserted upstream by the broker-client to # this should get inserted upstream by the broker-client to
# subtract from IPC latency # subtract from IPC latency
@ -126,8 +135,8 @@ def timestamp(date, **kwargs) -> int:
''' '''
Return marketstore compatible 'Epoch' integer in nanoseconds Return marketstore compatible 'Epoch' integer in nanoseconds
from a date formatted str. from a date formatted str.
'''
'''
return int(pd.Timestamp(date, **kwargs).value) return int(pd.Timestamp(date, **kwargs).value)
@ -162,21 +171,6 @@ async def ingest_quote_stream(
for tick in quote.get('ticks', ()): for tick in quote.get('ticks', ()):
ticktype = tick.get('type', 'n/a') ticktype = tick.get('type', 'n/a')
# _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'),
# ]
# techtonic tick write # techtonic tick write
array = quote_to_marketstore_structarray({ array = quote_to_marketstore_structarray({
'IsTrade': 1 if ticktype == 'trade' else 0, 'IsTrade': 1 if ticktype == 'trade' else 0,
@ -187,46 +181,38 @@ async def ingest_quote_stream(
await ms_client.write(array, _tick_tbk) await ms_client.write(array, _tick_tbk)
quote_cache = { # LEGACY WRITE LOOP (using old tick dt)
'size': 0, # quote_cache = {
'tick': 0 # 'size': 0,
} # 'tick': 0
# start ingest to marketstore # }
async for quotes in feed.stream:
log.info(quotes)
for symbol, quote in quotes.items():
for tick in quote.get('ticks', ()): # async for quotes in qstream:
ticktype = tick.get('type') # log.info(quotes)
price = tick.get('price') # for symbol, quote in quotes.items():
size = tick.get('size')
if ticktype == 'n/a' or price == -1: # # remap tick strs to ints
# okkk.. # quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
continue
# clearing price event # # check for volume update (i.e. did trades happen
if ticktype == 'trade': # # since last quote)
quote_cache['volume'] = quote['volume'] # new_vol = quote.get('volume', None)
quote_cache['last'] = price # if new_vol is None:
# quote_cache['broker_ts'] = quote['broker_ts'] # 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?")
# l1 book events # quote_cache.update(quote)
elif ticktype in ('ask', 'asize'):
quote_cache['ask'] = price
quote_cache['asize'] = size
elif ticktype in ('bid', 'bsize'): # a = quote_to_marketstore_structarray(
quote_cache['bid'] = price # quote,
quote_cache['bsize'] = size # # TODO: check this closer to the broker query api
# last_fill=quote.get('fill_time', '')
a = quote_to_marketstore_structarray( # )
quote_cache, # await ms_client.write(symbol, a)
last_fill=quote.get('broker_ts', None)
)
log.info(a)
# breakpoint()
await ms_client.write(symbol, a)
# async def stream_quotes( # async def stream_quotes(