Add better contract search/lookup
Add a `Client.find_contract()` which internally takes a <symbol>.<exchange> str as input and uses `IB.qualifyContractsAsync()` internally to try and validate the most likely contract. Make the module script call this using `asyncio.run()` for console testing.ib_backend
Tyler Goodlet
parent
b8209cd506
commit
450a39ce1c
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@ -24,9 +24,16 @@ from ..log import get_logger, get_console_log
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log = get_logger(__name__)
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_time_units = {
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's': ' sec',
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'm': ' mins',
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'h': ' hours',
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}
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_time_frames = {
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'1s': '1 Sec',
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'5s': '5 Sec',
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'30s': '30 Sec',
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'1m': 'OneMinute',
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'2m': 'TwoMinutes',
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'3m': 'ThreeMinutes',
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@ -63,33 +70,31 @@ class Client:
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# EST in ISO 8601 format is required... below is EPOCH
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start_date: str = "1970-01-01T00:00:00.000000-05:00",
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time_frame: str = '1m',
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count: int = int(20e3), # <- max allowed per query
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count: int = int(2e3), # <- max allowed per query
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is_paid_feed: bool = False,
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) -> List[Dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""
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contract = ibis.ContFuture('ES', exchange='GLOBEX')
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# contract = ibis.Stock('WEED', 'SMART', 'CAD')
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contract = await self.find_contract(symbol)
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# _min = min(2000*100, count)
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bars = await self.ib.reqHistoricalDataAsync(
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contract,
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endDateTime='',
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# durationStr='60 S',
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durationStr='2000 S',
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barSizeSetting='1 secs',
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# durationStr='1 D',
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durationStr='{count} S'.format(count=3000*5),
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barSizeSetting='5 secs',
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whatToShow='TRADES',
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useRTH=False
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)
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assert bars
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# barSizeSetting='1 min', whatToShow='MIDPOINT', useRTH=True)
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# convert to pandas dataframe:
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df = ibis.util.df(bars)
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print(df[['date', 'open', 'high', 'low', 'close', 'volume']])
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# print(df[['date', 'open', 'high', 'low', 'close', 'volume']])
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from piker.ui._source import from_df
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a = from_df(df)
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# breakpoint()
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print(a)
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return from_df(df)
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# TODO: reimplement this using async batch requests
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# see https://github.com/erdewit/ib_insync/issues/262
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async def search_stocks(
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self,
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pattern: str,
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@ -134,11 +139,41 @@ class Client:
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) -> Dict[str, ContractDetails]:
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raise NotImplementedError
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def get_cont_fute(
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async def get_cont_fute(
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self,
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symbol: str,
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exchange: str,
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) -> Contract:
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raise NotImplementedError
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"""Get an unqualifed contract for the current "continous" future.
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"""
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contcon = ibis.ContFuture(symbol, exchange=exchange)
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frontcon = (await self.ib.qualifyContractsAsync(contcon))[0]
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return ibis.Future(conId=frontcon.conId)
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async def find_contract(
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self,
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symbol,
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currency: str = 'USD',
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**kwargs,
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) -> Contract:
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# use heuristics to figure out contract "type"
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sym, exch = symbol.upper().split('.')
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if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'):
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con = await self.get_cont_fute(symbol=sym, exchange=exch)
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elif exch == 'CMDTY': # eg. XAUSUSD.CMDTY
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con = ibis.Commodity(symbol=sym)
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else:
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con = ibis.Stock(symbol=sym, exchange=exch, currency=currency)
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try:
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exch = 'SMART' if not exch else exch
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contract = (await self.ib.qualifyContractsAsync(con))[0]
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except IndexError:
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raise ValueError(f"No contract could be found {con}")
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return contract
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async def stream_ticker(
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self,
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@ -148,8 +183,7 @@ class Client:
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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sym, exch = symbol.split('.')
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contract = ibis.Stock(sym.upper(), exchange=exch.upper())
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contract = await self.find_contract(symbol)
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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ticker.updateEvent.connect(lambda t: to_trio.send_nowait(t))
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@ -160,6 +194,8 @@ class Client:
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# default config ports
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_tws_port: int = 7497
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_gw_port: int = 4002
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# list of ports to try in order
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_try_ports = [_tws_port, _gw_port]
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@asynccontextmanager
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@ -171,21 +207,15 @@ async def _aio_get_client(
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"""Return an ``ib_insync.IB`` instance wrapped in our client API.
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"""
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ib = ibis.IB()
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if port is None:
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ports = [_tws_port, _gw_port]
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else:
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ports = [port]
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ports = _try_ports if port is None else [port]
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_err = None
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# try all default ports
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for port in ports:
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try:
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await ib.connectAsync(host, port, clientId=client_id)
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break
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except ConnectionRefusedError as ce:
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_err = ce
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print(f'failed to connect on {port}')
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log.warning(f'Failed to connect on {port}')
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else:
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raise ConnectionRefusedError(_err)
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@ -198,8 +228,8 @@ async def _aio_get_client(
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async def _aio_run_client_method(
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meth: str,
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to_trio,
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from_trio,
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to_trio=None,
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from_trio=None,
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**kwargs,
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) -> None:
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log.info("Connecting to the EYEEEEBEEEEE GATEWAYYYYYYY!")
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@ -209,7 +239,7 @@ async def _aio_run_client_method(
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# handle streaming methods
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args = tuple(inspect.getfullargspec(async_meth).args)
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if 'to_trio' in args:
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if to_trio and 'to_trio' in args:
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kwargs['to_trio'] = to_trio
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return await async_meth(**kwargs)
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@ -222,13 +252,13 @@ async def _trio_run_client_method(
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ca = tractor.current_actor()
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assert ca.is_infected_aio()
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# if the method is an async gen stream for it
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# if the method is an *async gen* stream for it
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meth = getattr(Client, method)
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if inspect.isasyncgenfunction(meth):
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kwargs['_treat_as_stream'] = True
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# if the method is an async func but streams back results
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# make sure to also stream from it
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# if the method is an *async func* but manually
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# streams back results, make sure to also stream it
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args = tuple(inspect.getfullargspec(meth).args)
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if 'to_trio' in args:
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kwargs['_treat_as_stream'] = True
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@ -241,7 +271,7 @@ async def _trio_run_client_method(
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return result
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def get_method_proxy(portal):
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def get_method_proxy(portal, target):
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class MethodProxy:
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def __init__(self, portal: tractor._portal.Portal):
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@ -264,7 +294,7 @@ def get_method_proxy(portal):
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# mock all remote methods
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for name, method in inspect.getmembers(
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Client, predicate=inspect.isfunction
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target, predicate=inspect.isfunction
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):
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if '_' == name[0]:
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continue
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@ -278,8 +308,11 @@ async def maybe_spawn_brokerd(
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**kwargs,
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) -> tractor._portal.Portal:
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async with tractor.find_actor('brokerd_ib') as portal:
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if portal is None: # no broker daemon created yet
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# WTF: why doesn't this work?
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print(__name__)
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if portal is not None:
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yield portal
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else: # no broker daemon created yet
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async with tractor.open_nursery() as n:
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# XXX: this needs to somehow be hidden
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portal = await n.start_actor(
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@ -305,15 +338,12 @@ async def get_client(
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a method proxy to it.
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"""
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async with maybe_spawn_brokerd(**kwargs) as portal:
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yield get_method_proxy(portal)
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yield get_method_proxy(portal, Client)
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async def trio_stream_ticker(sym):
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get_console_log('info')
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# con_es = ibis.ContFuture('ES', exchange='GLOBEX')
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# es = ibis.Future('ES', '20200918', exchange='GLOBEX')
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stream = await tractor.to_asyncio.run_task(
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_trio_run_client_method,
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method='stream_ticker',
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@ -321,14 +351,18 @@ async def trio_stream_ticker(sym):
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)
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async with aclosing(stream):
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async for ticker in stream:
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lft = ticker.lastFillTime
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# TODO: validate this value
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lft = ticker.rtTime
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for tick_data in ticker.ticks:
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value = tick_data._asdict()
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now = time.time()
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value['time'] = now
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value['last_fill_time'] = lft
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if lft:
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# convert from milliseconds
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lft = float(lft) / 1000.
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value['latency'] = now - lft
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yield value
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@ -346,13 +380,12 @@ async def stream_from_brokerd(sym):
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if __name__ == '__main__':
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import sys
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sym = sys.argv[1]
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tractor.run(
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stream_from_brokerd,
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sym,
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# XXX: must be multiprocessing
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start_method='forkserver',
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loglevel='info'
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contract = asyncio.run(
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_aio_run_client_method(
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'find_contract',
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symbol=sym,
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)
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)
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print(contract)
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