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.
ib_1m_hist
Tyler Goodlet 2022-09-28 16:02:03 -04:00
parent 61ca5f7e19
commit 54567d33da
1 changed files with 35 additions and 17 deletions

View File

@ -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