From 54567d33dac4667cb3f939480368dfef9fd65b8c Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Wed, 28 Sep 2022 16:02:03 -0400 Subject: [PATCH] More correct no-data output handling When we get a timeout or a `NoData` condition still return a tuple of empty sequences instead of `None` from `Client.bars()`. Move the sampling period-duration table to module level. --- piker/brokers/ib/api.py | 52 +++++++++++++++++++++++++++-------------- 1 file changed, 35 insertions(+), 17 deletions(-) diff --git a/piker/brokers/ib/api.py b/piker/brokers/ib/api.py index 12af8334..e23ad50f 100644 --- a/piker/brokers/ib/api.py +++ b/piker/brokers/ib/api.py @@ -184,7 +184,8 @@ _adhoc_futes_set = { 'lb.nymex', # random len lumber # metals - 'xauusd.cmdty', # gold spot + # https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924 + 'xauusd.cmdty', # london gold spot ^ 'gc.nymex', 'mgc.nymex', # micro @@ -242,8 +243,6 @@ _exch_skip_list = { 'PSE', } -# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924 - _enters = 0 @@ -269,6 +268,19 @@ def bars_to_np(bars: list) -> np.ndarray: return nparr +# NOTE: pacing violations exist for higher sample rates: +# https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations +# Also see note on duration limits being lifted on 1m+ periods, +# but they say "use with discretion": +# https://interactivebrokers.github.io/tws-api/historical_limitations.html#non-available_hd +_samplings: dict[int, tuple[str, str]] = { + 1: ('1 secs', f'{int(2e3)} S'), + # TODO: benchmark >1 D duration on query to see if + # throughput can be made faster during backfilling. + 60: ('1 min', '1 D'), +} + + class Client: ''' IB wrapped for our broker backend API. @@ -326,6 +338,12 @@ class Client: # ohlc sample period in seconds sample_period_s: int = 1, + # optional "duration of time" equal to the + # length of the returned history frame. + duration: Optional[str] = None, + + **kwargs, + ) -> list[dict[str, Any]]: ''' Retreive OHLCV bars for a fqsn over a range to the present. @@ -334,18 +352,8 @@ class Client: # See API docs here: # https://interactivebrokers.github.io/tws-api/historical_data.html bars_kwargs = {'whatToShow': 'TRADES'} - - # NOTE: pacing violations exist for higher sample rates: - # https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations - # Also see note on duration limits being lifted on 1m+ periods, - # but they say "use with discretion": - # https://interactivebrokers.github.io/tws-api/historical_limitations.html#non-available_hd - bar_size, duration = { - 1: ('1 secs', f'{int(2e3)} S'), - # TODO: benchmark >1 D duration on query to see if - # throughput can be made faster during backfilling. - 60: ('1 min', '1 D'), - }[sample_period_s] + bars_kwargs.update(kwargs) + bar_size, duration = _samplings[sample_period_s] global _enters # log.info(f'REQUESTING BARS {_enters} @ end={end_dt}') @@ -386,8 +394,18 @@ class Client: # whatToShow='TRADES', ) if not bars: - # trigger ``NoData`` raise by ``get_bars()`` caller. - return None + # NOTE: there's 2 cases here to handle (and this should be + # read alongside the implementation of + # ``.reqHistoricalDataAsync()``): + # - no data is returned for the period likely due to + # a weekend, holiday or other non-trading period prior to + # ``end_dt`` which exceeds the ``duration``, + # - a timeout occurred in which case insync internals return + # an empty list thing with bars.clear()... + return [], np.empty(0) + # TODO: we could maybe raise ``NoData`` instead if we + # rewrite the method in the first case? right now there's no + # way to detect a timeout. nparr = bars_to_np(bars) return bars, nparr