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Merge pull request #161 from pikers/cached_feeds 

Cached feeds
binance_backend
goodboy 2021-04-10 14:33:43 -04:00 committed by GitHub
parent 2046fe293a 8b745f440e
commit 54d272ea29
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19 changed files with 1041 additions and 818 deletions
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15
README.rst
View File

@ -103,6 +103,21 @@ bet you weren't expecting this from the foss bby::
piker -b kraken chart XBTUSD
run in distributed mode
***********************
start the service daemon::
pikerd -l info
connect yourt chart::
piker -b kraken chart XMRXBT
enjoy persistent real-time data feeds tied to daemon lifetime.
if anyone asks you what this project is about
*********************************************
you don't talk about it.

64
piker/_daemon.py
View File

@ -18,6 +18,7 @@
Structured, daemon tree service management.
"""
from functools import partial
from typing import Optional, Union
from contextlib import asynccontextmanager
@ -87,6 +88,18 @@ async def open_pikerd(
yield _services
@asynccontextmanager
async def maybe_open_runtime(
loglevel: Optional[str] = None,
**kwargs,
) -> None:
if not tractor.current_actor(err_on_no_runtime=False):
async with tractor.open_root_actor(loglevel=loglevel, **kwargs):
yield
else:
yield
@asynccontextmanager
async def maybe_open_pikerd(
loglevel: Optional[str] = None,
@ -100,23 +113,23 @@ async def maybe_open_pikerd(
if loglevel:
get_console_log(loglevel)
try:
# subtle, we must have the runtime up here or portal lookup will fail
async with maybe_open_runtime(loglevel, **kwargs):
async with tractor.find_actor(_root_dname) as portal:
assert portal is not None
yield portal
return
# assert portal is not None
if portal is not None:
yield portal
return
except (RuntimeError, AssertionError): # tractor runtime not started yet
# presume pikerd role
async with open_pikerd(
loglevel,
**kwargs,
) as _:
# in the case where we're starting up the
# tractor-piker runtime stack in **this** process
# we return no portal to self.
yield None
# presume pikerd role
async with open_pikerd(
loglevel,
**kwargs,
) as _:
# in the case where we're starting up the
# tractor-piker runtime stack in **this** process
# we return no portal to self.
yield None
# brokerd enabled modules
@ -124,7 +137,7 @@ _data_mods = [
'piker.brokers.core',
'piker.brokers.data',
'piker.data',
'piker.data._buffer'
'piker.data._sampling'
]
@ -134,6 +147,8 @@ async def spawn_brokerd(
**tractor_kwargs
) -> tractor._portal.Portal:
from .data import _setup_persistent_brokerd
log.info(f'Spawning {brokername} broker daemon')
brokermod = get_brokermod(brokername)
@ -145,13 +160,28 @@ async def spawn_brokerd(
global _services
assert _services
await _services.actor_n.start_actor(
portal = await _services.actor_n.start_actor(
dname,
enable_modules=_data_mods + [brokermod.__name__],
loglevel=loglevel,
**tractor_kwargs
)
# TODO: so i think this is the perfect use case for supporting
# a cross-actor async context manager api instead of this
# shoort-and-forget task spawned in the root nursery, we'd have an
# async exit stack that we'd register the `portal.open_context()`
# call with and then have the ability to unwind the call whenevs.
# non-blocking setup of brokerd service nursery
_services.service_n.start_soon(
partial(
portal.run,
_setup_persistent_brokerd,
brokername=brokername,
)
)
return dname

18
piker/brokers/api.py
View File

@ -22,7 +22,6 @@ from typing import Dict
from contextlib import asynccontextmanager, AsyncExitStack
import trio
import tractor
from . import get_brokermod
from ..log import get_logger
@ -30,10 +29,12 @@ from ..log import get_logger
log = get_logger(__name__)
_cache: Dict[str, 'Client'] = {}
_cache: Dict[str, 'Client'] = {} # noqa
@asynccontextmanager
async def get_cached_client(
async def open_cached_client(
brokername: str,
*args,
**kwargs,
@ -74,10 +75,11 @@ async def get_cached_client(
client._exit_stack = exit_stack
clients[brokername] = client
yield client
yield client
finally:
client._consumers -= 1
if client._consumers <= 0:
# teardown the client
await client._exit_stack.aclose()
if client is not None:
# if no more consumers, teardown the client
client._consumers -= 1
if client._consumers <= 0:
await client._exit_stack.aclose()

521
piker/brokers/ib.py
View File

@ -34,10 +34,11 @@ import logging
import time
import trio
from trio_typing import TaskStatus
import tractor
from async_generator import aclosing
from ib_insync.wrapper import RequestError
from ib_insync.contract import Contract, ContractDetails
from ib_insync.contract import Contract, ContractDetails, Option
from ib_insync.order import Order
from ib_insync.ticker import Ticker
from ib_insync.objects import Position
@ -46,14 +47,9 @@ from ib_insync.wrapper import Wrapper
from ib_insync.client import Client as ib_Client
from ..log import get_logger, get_console_log
from ..data import (
maybe_spawn_brokerd,
iterticks,
attach_shm_array,
subscribe_ohlc_for_increment,
_buffer,
)
from ..data import maybe_spawn_brokerd
from ..data._source import from_df
from ..data._sharedmem import ShmArray
from ._util import SymbolNotFound
@ -168,6 +164,7 @@ class Client:
# contract cache
self._contracts: Dict[str, Contract] = {}
self._feeds: Dict[str, trio.abc.SendChannel] = {}
# NOTE: the ib.client here is "throttled" to 45 rps by default
@ -384,42 +381,6 @@ class Client:
formatDate=2, # timezone aware UTC datetime
)
async def stream_ticker(
self,
symbol: str,
to_trio,
opts: Tuple[int] = ('375', '233', '236'),
contract: Optional[Contract] = None,
) -> None:
"""Stream a ticker using the std L1 api.
"""
contract = contract or (await self.find_contract(symbol))
ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
# define a simple queue push routine that streams quote packets
# to trio over the ``to_trio`` memory channel.
def push(t):
"""Push quotes to trio task.
"""
# log.debug(t)
try:
to_trio.send_nowait(t)
except trio.BrokenResourceError:
# XXX: eventkit's ``Event.emit()`` for whatever redic
# reason will catch and ignore regular exceptions
# resulting in tracebacks spammed to console..
# Manually do the dereg ourselves.
ticker.updateEvent.disconnect(push)
log.error(f"Disconnected stream for `{symbol}`")
self.ib.cancelMktData(contract)
ticker.updateEvent.connect(push)
# let the engine run and stream
await self.ib.disconnectedEvent
async def get_quote(
self,
symbol: str,
@ -613,6 +574,8 @@ async def _aio_get_client(
client_id: Optional[int] = None,
) -> Client:
"""Return an ``ib_insync.IB`` instance wrapped in our client API.
Client instances are cached for later use.
"""
# first check cache for existing client
@ -652,8 +615,10 @@ async def _aio_get_client(
# create and cache
try:
client = Client(ib)
_client_cache[(host, port)] = client
log.debug(f"Caching client for {(host, port)}")
yield client
except BaseException:
@ -691,13 +656,14 @@ async def _trio_run_client_method(
# if the method is an *async gen* stream for it
meth = getattr(Client, method)
if inspect.isasyncgenfunction(meth):
kwargs['_treat_as_stream'] = True
# if the method is an *async func* but manually
# streams back results, make sure to also stream it
args = tuple(inspect.getfullargspec(meth).args)
if 'to_trio' in args:
if inspect.isasyncgenfunction(meth) or (
# if the method is an *async func* but manually
# streams back results, make sure to also stream it
'to_trio' in args
):
kwargs['_treat_as_stream'] = True
result = await tractor.to_asyncio.run_task(
@ -780,7 +746,7 @@ def normalize(
# convert named tuples to dicts so we send usable keys
new_ticks = []
for tick in ticker.ticks:
if tick:
if tick and not isinstance(tick, dict):
td = tick._asdict()
td['type'] = tick_types.get(td['tickType'], 'n/a')
@ -811,36 +777,13 @@ def normalize(
return data
_local_buffer_writers = {}
@asynccontextmanager
async def activate_writer(key: str) -> (bool, trio.Nursery):
"""Mark the current actor with module var determining
whether an existing shm writer task is already active.
This avoids more then one writer resulting in data
clobbering.
"""
global _local_buffer_writers
try:
assert not _local_buffer_writers.get(key, False)
_local_buffer_writers[key] = True
async with trio.open_nursery() as n:
yield n
finally:
_local_buffer_writers.pop(key, None)
async def fill_bars(
async def backfill_bars(
sym: str,
first_bars: list,
shm: 'ShmArray', # type: ignore # noqa
shm: ShmArray, # type: ignore # noqa
# count: int = 20, # NOTE: any more and we'll overrun underlying buffer
count: int = 6, # NOTE: any more and we'll overrun the underlying buffer
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Fill historical bars into shared mem / storage afap.
@ -848,41 +791,58 @@ async def fill_bars(
https://github.com/pikers/piker/issues/128
"""
next_dt = first_bars[0].date
first_bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
)
i = 0
while i < count:
# write historical data to buffer
shm.push(bars_array)
try:
bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
end_dt=next_dt,
)
with trio.CancelScope() as cs:
shm.push(bars_array, prepend=True)
i += 1
next_dt = bars[0].date
task_status.started(cs)
except RequestError as err:
# TODO: retreive underlying ``ib_insync`` error?
next_dt = first_bars[0].date
if err.code == 162:
i = 0
while i < count:
if 'HMDS query returned no data' in err.message:
# means we hit some kind of historical "dead zone"
# and further requests seem to always cause
# throttling despite the rps being low
break
try:
bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
end_dt=next_dt,
)
else:
log.exception(
"Data query rate reached: Press `ctrl-alt-f` in TWS")
if bars_array is None:
raise SymbolNotFound(sym)
# TODO: should probably create some alert on screen
# and then somehow get that to trigger an event here
# that restarts/resumes this task?
await tractor.breakpoint()
shm.push(bars_array, prepend=True)
i += 1
next_dt = bars[0].date
except RequestError as err:
# TODO: retreive underlying ``ib_insync`` error?
if err.code == 162:
if 'HMDS query returned no data' in err.message:
# means we hit some kind of historical "dead zone"
# and further requests seem to always cause
# throttling despite the rps being low
break
else:
log.exception(
"Data query rate reached: Press `ctrl-alt-f`"
"in TWS"
)
# TODO: should probably create some alert on screen
# and then somehow get that to trigger an event here
# that restarts/resumes this task?
await tractor.breakpoint()
asset_type_map = {
@ -904,27 +864,96 @@ asset_type_map = {
}
# TODO: figure out how to share quote feeds sanely despite
# the wacky ``ib_insync`` api.
# @tractor.msg.pub
@tractor.stream
_quote_streams: Dict[str, trio.abc.ReceiveStream] = {}
async def _setup_quote_stream(
symbol: str,
opts: Tuple[int] = ('375', '233', '236'),
contract: Optional[Contract] = None,
) -> None:
"""Stream a ticker using the std L1 api.
"""
global _quote_streams
async with _aio_get_client() as client:
contract = contract or (await client.find_contract(symbol))
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
# define a simple queue push routine that streams quote packets
# to trio over the ``to_trio`` memory channel.
to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
def push(t):
"""Push quotes to trio task.
"""
# log.debug(t)
try:
to_trio.send_nowait(t)
except trio.BrokenResourceError:
# XXX: eventkit's ``Event.emit()`` for whatever redic
# reason will catch and ignore regular exceptions
# resulting in tracebacks spammed to console..
# Manually do the dereg ourselves.
ticker.updateEvent.disconnect(push)
log.error(f"Disconnected stream for `{symbol}`")
client.ib.cancelMktData(contract)
# decouple broadcast mem chan
_quote_streams.pop(symbol, None)
ticker.updateEvent.connect(push)
return from_aio
async def start_aio_quote_stream(
symbol: str,
contract: Optional[Contract] = None,
) -> trio.abc.ReceiveStream:
global _quote_streams
from_aio = _quote_streams.get(symbol)
if from_aio:
# if we already have a cached feed deliver a rx side clone to consumer
return from_aio.clone()
else:
from_aio = await tractor.to_asyncio.run_task(
_setup_quote_stream,
symbol=symbol,
contract=contract,
)
# cache feed for later consumers
_quote_streams[symbol] = from_aio
return from_aio
async def stream_quotes(
ctx: tractor.Context,
send_chan: trio.abc.SendChannel,
symbols: List[str],
shm_token: Tuple[str, str, List[tuple]],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,
# compat for @tractor.msg.pub
topics: Any = None,
get_topics: Callable = None,
) -> AsyncIterator[Dict[str, Any]]:
# startup sync
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Stream symbol quotes.
This is a ``trio`` callable routine meant to be invoked
once the brokerd is up.
"""
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
# TODO: support multiple subscriptions
sym = symbols[0]
@ -934,130 +963,67 @@ async def stream_quotes(
symbol=sym,
)
stream = await _trio_run_client_method(
method='stream_ticker',
contract=contract, # small speedup
symbol=sym,
)
stream = await start_aio_quote_stream(symbol=sym, contract=contract)
shm = None
async with trio.open_nursery() as ln:
# check if a writer already is alive in a streaming task,
# otherwise start one and mark it as now existing
# pass back some symbol info like min_tick, trading_hours, etc.
syminfo = asdict(details)
syminfo.update(syminfo['contract'])
key = shm_token['shm_name']
# TODO: more consistent field translation
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
writer_already_exists = _local_buffer_writers.get(key, False)
# for stocks it seems TWS reports too small a tick size
# such that you can't submit orders with that granularity?
min_tick = 0.01 if atype == 'stock' else 0
# maybe load historical ohlcv in to shared mem
# check if shm has already been created by previous
# feed initialization
if not writer_already_exists:
_local_buffer_writers[key] = True
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
shm = attach_shm_array(
token=shm_token,
# for "traditional" assets, volume is normally discreet, not a float
syminfo['lot_tick_size'] = 0.0
# we are the buffer writer
readonly=False,
)
# async def retrieve_and_push():
start = time.time()
bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
)
log.info(f"bars_array request: {time.time() - start}")
if bars_array is None:
raise SymbolNotFound(sym)
# write historical data to buffer
shm.push(bars_array)
shm_token = shm.token
# TODO: generalize this for other brokers
# start bar filler task in bg
ln.start_soon(fill_bars, sym, bars, shm)
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
subscribe_ohlc_for_increment(shm, delay_s)
# pass back some symbol info like min_tick, trading_hours, etc.
# con = asdict(contract)
# syminfo = contract
syminfo = asdict(details)
syminfo.update(syminfo['contract'])
# TODO: more consistent field translation
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
# for stocks it seems TWS reports too small a tick size
# such that you can't submit orders with that granularity?
min_tick = 0.01 if atype == 'stock' else 0
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
# for "traditional" assets, volume is normally discreet, not a float
syminfo['lot_tick_size'] = 0.0
# TODO: for loop through all symbols passed in
init_msgs = {
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
'is_shm_writer': not writer_already_exists,
'shm_token': shm_token,
'symbol_info': syminfo,
}
# TODO: for loop through all symbols passed in
init_msgs = {
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
'symbol_info': syminfo,
}
await ctx.send_yield(init_msgs)
}
# check for special contract types
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange'
# should be real volume for this contract
calc_price = False
else:
# commodities and forex don't have an exchange name and
# no real volume so we have to calculate the price
suffix = 'secType'
calc_price = True
# ticker = first_ticker
# check for special contract types
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange'
# should be real volume for this contract
calc_price = False
else:
# commodities and forex don't have an exchange name and
# no real volume so we have to calculate the price
suffix = 'secType'
calc_price = True
# pass first quote asap
quote = normalize(first_ticker, calc_price=calc_price)
con = quote['contract']
topic = '.'.join((con['symbol'], con[suffix])).lower()
quote['symbol'] = topic
# pass first quote asap
quote = normalize(first_ticker, calc_price=calc_price)
con = quote['contract']
topic = '.'.join((con['symbol'], con[suffix])).lower()
quote['symbol'] = topic
first_quote = {topic: quote}
first_quote = {topic: quote}
# yield first quote asap
await ctx.send_yield(first_quote)
# ugh, clear ticks since we've consumed them
# (ahem, ib_insync is stateful trash)
first_ticker.ticks = []
# ticker.ticks = []
log.debug(f"First ticker received {quote}")
# ugh, clear ticks since we've consumed them
# (ahem, ib_insync is stateful trash)
first_ticker.ticks = []
task_status.started((init_msgs, first_quote))
log.debug(f"First ticker received {quote}")
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange'
calc_price = False # should be real volume for contract
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange'
calc_price = False # should be real volume for contract
# with trio.move_on_after(10) as cs:
# wait for real volume on feed (trading might be closed)
async with aclosing(stream):
async for ticker in stream:
# for a real volume contract we rait for the first
@ -1072,108 +1038,45 @@ async def stream_quotes(
# (ahem, ib_insync is truly stateful trash)
ticker.ticks = []
# tell incrementer task it can start
_buffer.shm_incrementing(key).set()
# XXX: this works because we don't use
# ``aclosing()`` above?
break
# enter stream loop
try:
await stream_and_write(
stream=stream,
calc_price=calc_price,
topic=topic,
writer_already_exists=writer_already_exists,
shm=shm,
suffix=suffix,
ctx=ctx,
)
finally:
if not writer_already_exists:
_local_buffer_writers[key] = False
# tell caller quotes are now coming in live
feed_is_live.set()
async for ticker in stream:
async def stream_and_write(
stream,
calc_price: bool,
topic: str,
writer_already_exists: bool,
suffix: str,
ctx: tractor.Context,
shm: Optional['SharedArray'], # noqa
) -> None:
"""Core quote streaming and shm writing loop; optimize for speed!
"""
# real-time stream
async for ticker in stream:
# print(ticker.vwap)
quote = normalize(
ticker,
calc_price=calc_price
)
quote['symbol'] = topic
# TODO: in theory you can send the IPC msg *before*
# writing to the sharedmem array to decrease latency,
# however, that will require `tractor.msg.pub` support
# here or at least some way to prevent task switching
# at the yield such that the array write isn't delayed
# while another consumer is serviced..
# if we are the lone tick writer start writing
# the buffer with appropriate trade data
if not writer_already_exists:
for tick in iterticks(quote, types=('trade', 'utrade',)):
last = tick['price']
# print(f"{quote['symbol']}: {tick}")
# update last entry
# benchmarked in the 4-5 us range
o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume']
]
new_v = tick.get('size', 0)
if v == 0 and new_v:
# no trades for this bar yet so the open
# is also the close/last trade price
o = last
shm.array[[
'open',
'high',
'low',
'close',
'volume',
]][-1] = (
o,
max(high, last),
min(low, last),
last,
v + new_v,
# print(ticker.vwap)
quote = normalize(
ticker,
calc_price=calc_price
)
con = quote['contract']
topic = '.'.join((con['symbol'], con[suffix])).lower()
quote['symbol'] = topic
con = quote['contract']
topic = '.'.join((con['symbol'], con[suffix])).lower()
quote['symbol'] = topic
await ctx.send_yield({topic: quote})
await send_chan.send({topic: quote})
# ugh, clear ticks since we've consumed them
ticker.ticks = []
# ugh, clear ticks since we've consumed them
ticker.ticks = []
def pack_position(pos: Position) -> Dict[str, Any]:
con = pos.contract
if isinstance(con, Option):
# TODO: option symbol parsing and sane display:
symbol = con.localSymbol.replace(' ', '')
else:
symbol = con.symbol
return {
'broker': 'ib',
'account': pos.account,
'symbol': con.symbol,
'symbol': symbol,
'currency': con.currency,
'size': float(pos.position),
'avg_price': float(pos.avgCost) / float(con.multiplier or 1.0),

133
piker/brokers/kraken.py
View File

@ -16,15 +16,17 @@
"""
Kraken backend.
"""
from contextlib import asynccontextmanager, AsyncExitStack
from dataclasses import asdict, field
from types import ModuleType
from typing import List, Dict, Any, Tuple, Optional
from typing import List, Dict, Any, Tuple
import json
import time
import trio_websocket
from trio_typing import TaskStatus
from trio_websocket._impl import (
ConnectionClosed,
DisconnectionTimeout,
@ -41,15 +43,11 @@ import tractor
from pydantic.dataclasses import dataclass
from pydantic import BaseModel
from .api import open_cached_client
from ._util import resproc, SymbolNotFound, BrokerError
from ..log import get_logger, get_console_log
from ..data import (
_buffer,
# iterticks,
attach_shm_array,
get_shm_token,
subscribe_ohlc_for_increment,
)
from ..data import ShmArray
log = get_logger(__name__)
@ -315,6 +313,7 @@ def normalize(
quote['brokerd_ts'] = time.time()
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
quote['last'] = quote['close']
quote['bar_wap'] = ohlc.vwap
# seriously eh? what's with this non-symmetry everywhere
# in subscription systems...
@ -426,17 +425,37 @@ async def open_autorecon_ws(url):
await stack.aclose()
# @tractor.msg.pub
async def backfill_bars(
sym: str,
shm: ShmArray, # type: ignore # noqa
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Fill historical bars into shared mem / storage afap.
"""
with trio.CancelScope() as cs:
async with open_cached_client('kraken') as client:
bars = await client.bars(symbol=sym)
shm.push(bars)
task_status.started(cs)
async def stream_quotes(
# get_topics: Callable,
shm_token: Tuple[str, str, List[tuple]],
symbols: List[str] = ['XBTUSD', 'XMRUSD'],
# These are the symbols not expected by the ws api
# they are looked up inside this routine.
sub_type: str = 'ohlc',
send_chan: trio.abc.SendChannel,
symbols: List[str],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,
# compat with eventual ``tractor.msg.pub``
topics: Optional[List[str]] = None,
# backend specific
sub_type: str = 'ohlc',
# startup sync
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Subscribe for ohlc stream of quotes for ``pairs``.
@ -447,7 +466,8 @@ async def stream_quotes(
ws_pairs = {}
sym_infos = {}
async with get_client() as client:
async with open_cached_client('kraken') as client, send_chan as send_chan:
# keep client cached for real-time section
for sym in symbols:
@ -458,40 +478,16 @@ async def stream_quotes(
sym_infos[sym] = syminfo
ws_pairs[sym] = si.wsname
# maybe load historical ohlcv in to shared mem
# check if shm has already been created by previous
# feed initialization
writer_exists = get_shm_token(shm_token['shm_name'])
symbol = symbols[0]
if not writer_exists:
shm = attach_shm_array(
token=shm_token,
# we are writer
readonly=False,
)
bars = await client.bars(symbol=symbol)
shm.push(bars)
shm_token = shm.token
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
subscribe_ohlc_for_increment(shm, delay_s)
# yield shm_token, not writer_exists
init_msgs = {
# pass back token, and bool, signalling if we're the writer
# and that history has been written
symbol: {
'is_shm_writer': not writer_exists,
'shm_token': shm_token,
'symbol_info': sym_infos[sym],
}
# for sym in symbols
'shm_write_opts': {'sum_tick_vml': False},
},
}
yield init_msgs
async with open_autorecon_ws('wss://ws.kraken.com/') as ws:
@ -521,15 +517,16 @@ async def stream_quotes(
# pull a first quote and deliver
msg_gen = stream_messages(ws)
# TODO: use ``anext()`` when it lands in 3.10!
typ, ohlc_last = await msg_gen.__anext__()
topic, quote = normalize(ohlc_last)
# packetize as {topic: quote}
yield {topic: quote}
first_quote = {topic: quote}
task_status.started((init_msgs, first_quote))
# tell incrementer task it can start
_buffer.shm_incrementing(shm_token['shm_name']).set()
# lol, only "closes" when they're margin squeezing clients ;P
feed_is_live.set()
# keep start of last interval for volume tracking
last_interval_start = ohlc_last.etime
@ -546,15 +543,18 @@ async def stream_quotes(
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
volume = ohlc.volume
# new interval
# new OHLC sample interval
if ohlc.etime > last_interval_start:
last_interval_start = ohlc.etime
tick_volume = volume
else:
# this is the tick volume *within the interval*
tick_volume = volume - ohlc_last.volume
ohlc_last = ohlc
last = ohlc.close
if tick_volume:
ohlc.ticks.append({
'type': 'trade',
@ -564,43 +564,10 @@ async def stream_quotes(
topic, quote = normalize(ohlc)
# if we are the lone tick writer start writing
# the buffer with appropriate trade data
if not writer_exists:
# update last entry
# benchmarked in the 4-5 us range
o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume']
]
new_v = tick_volume
if v == 0 and new_v:
# no trades for this bar yet so the open
# is also the close/last trade price
o = last
# write shm
shm.array[
['open',
'high',
'low',
'close',
'bar_wap', # in this case vwap of bar
'volume']
][-1] = (
o,
max(high, last),
min(low, last),
last,
ohlc.vwap,
volume,
)
ohlc_last = ohlc
elif typ == 'l1':
quote = ohlc
topic = quote['symbol']
# XXX: format required by ``tractor.msg.pub``
# requires a ``Dict[topic: str, quote: dict]``
yield {topic: quote}
await send_chan.send({topic: quote})

7
piker/brokers/questrade.py
View File

@ -1180,6 +1180,11 @@ def normalize(
return new
# TODO: currently this backend uses entirely different
# data feed machinery that was written earlier then the
# existing stuff used in other backends. This needs to
# be ported eventually and should *just work* despite
# being a multi-symbol, poll-style feed system.
@tractor.stream
async def stream_quotes(
ctx: tractor.Context, # marks this as a streaming func
@ -1192,7 +1197,7 @@ async def stream_quotes(
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel)
async with api.get_cached_client('questrade') as client:
async with api.open_cached_client('questrade') as client:
if feed_type == 'stock':
formatter = format_stock_quote
get_quotes = await stock_quoter(client, symbols)

13
piker/clearing/_client.py
View File

@ -181,6 +181,7 @@ async def maybe_open_emsd(
async with tractor.find_actor('pikerd') as portal:
assert portal
name = await portal.run(
spawn_emsd,
brokername=brokername,
@ -190,7 +191,6 @@ async def maybe_open_emsd(
yield portal
@asynccontextmanager
async def open_ems(
broker: str,
@ -247,4 +247,13 @@ async def open_ems(
with trio.fail_after(10):
await book._ready_to_receive.wait()
yield book, trades_stream
try:
yield book, trades_stream
finally:
# TODO: we want to eventually keep this up (by having
# the exec loop keep running in the pikerd tree) but for
# now we have to kill the context to avoid backpressure
# build-up on the shm write loop.
with trio.CancelScope(shield=True):
await trades_stream.aclose()

173
piker/clearing/_ems.py
View File

@ -40,7 +40,11 @@ log = get_logger(__name__)
# TODO: numba all of this
def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
def mk_check(
trigger_price: float,
known_last: float,
action: str,
) -> Callable[[float, float], bool]:
"""Create a predicate for given ``exec_price`` based on last known
price, ``known_last``.
@ -68,7 +72,7 @@ def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
return check_lt
else:
return None, None
return None
@dataclass
@ -230,6 +234,7 @@ async def execute_triggers(
async def exec_loop(
ctx: tractor.Context,
feed: 'Feed', # noqa
broker: str,
symbol: str,
_exec_mode: str,
@ -239,67 +244,63 @@ async def exec_loop(
to brokers.
"""
async with data.open_feed(
broker,
[symbol],
loglevel='info',
) as feed:
# TODO: get initial price quote from target broker
first_quote = await feed.receive()
# TODO: get initial price quote from target broker
first_quote = await feed.receive()
book = get_dark_book(broker)
book.lasts[(broker, symbol)] = first_quote[symbol]['last']
book = get_dark_book(broker)
book.lasts[(broker, symbol)] = first_quote[symbol]['last']
# TODO: wrap this in a more re-usable general api
client_factory = getattr(feed.mod, 'get_client_proxy', None)
# TODO: wrap this in a more re-usable general api
client_factory = getattr(feed.mod, 'get_client_proxy', None)
if client_factory is not None and _exec_mode != 'paper':
if client_factory is not None and _exec_mode != 'paper':
# we have an order API for this broker
client = client_factory(feed._brokerd_portal)
# we have an order API for this broker
client = client_factory(feed._brokerd_portal)
else:
# force paper mode
log.warning(f'Entering paper trading mode for {broker}')
else:
# force paper mode
log.warning(f'Entering paper trading mode for {broker}')
client = PaperBoi(
broker,
*trio.open_memory_channel(100),
_buys={},
_sells={},
_reqids={},
)
client = PaperBoi(
broker,
*trio.open_memory_channel(100),
_buys={},
_sells={},
# for paper mode we need to mock this trades response feed
# so we pass a duck-typed feed-looking mem chan which is fed
# fill and submission events from the exec loop
feed._trade_stream = client.trade_stream
_reqids={},
)
# init the trades stream
client._to_trade_stream.send_nowait({'local_trades': 'start'})
# for paper mode we need to mock this trades response feed
# so we pass a duck-typed feed-looking mem chan which is fed
# fill and submission events from the exec loop
feed._trade_stream = client.trade_stream
_exec_mode = 'paper'
# init the trades stream
client._to_trade_stream.send_nowait({'local_trades': 'start'})
# return control to parent task
task_status.started((first_quote, feed, client))
_exec_mode = 'paper'
# shield this field so the remote brokerd does not get cancelled
stream = feed.stream
with stream.shield():
async with trio.open_nursery() as n:
n.start_soon(
execute_triggers,
broker,
symbol,
stream,
ctx,
client,
book
)
# return control to parent task
task_status.started((first_quote, feed, client))
if _exec_mode == 'paper':
n.start_soon(simulate_fills, stream.clone(), client)
stream = feed.stream
async with trio.open_nursery() as n:
n.start_soon(
execute_triggers,
broker,
symbol,
stream,
ctx,
client,
book
)
if _exec_mode == 'paper':
# TODO: make this an actual broadcast channels as in:
# https://github.com/python-trio/trio/issues/987
n.start_soon(simulate_fills, stream, client)
# TODO: lots of cases still to handle
@ -512,7 +513,6 @@ async def process_order_cmds(
exec_mode = cmd['exec_mode']
broker = brokers[0]
last = dark_book.lasts[(broker, sym)]
if exec_mode == 'live' and action in ('buy', 'sell',):
@ -557,9 +557,10 @@ async def process_order_cmds(
# price received from the feed, instead of being
# like every other shitty tina platform that makes
# the user choose the predicate operator.
pred = mk_check(trigger_price, last)
last = dark_book.lasts[(broker, sym)]
pred = mk_check(trigger_price, last, action)
tick_slap: float = 5
spread_slap: float = 5
min_tick = feed.symbols[sym].tick_size
if action == 'buy':
@ -569,12 +570,12 @@ async def process_order_cmds(
# TODO: we probably need to scale this based
# on some near term historical spread
# measure?
abs_diff_away = tick_slap * min_tick
abs_diff_away = spread_slap * min_tick
elif action == 'sell':
tickfilter = ('bid', 'last', 'trade')
percent_away = -0.005
abs_diff_away = -tick_slap * min_tick
abs_diff_away = -spread_slap * min_tick
else: # alert
tickfilter = ('trade', 'utrade', 'last')
@ -647,35 +648,41 @@ async def _emsd_main(
async with trio.open_nursery() as n:
# TODO: eventually support N-brokers
# start the condition scan loop
quote, feed, client = await n.start(
exec_loop,
ctx,
async with data.open_feed(
broker,
symbol,
_mode,
)
[symbol],
loglevel='info',
) as feed:
await n.start(
process_broker_trades,
ctx,
feed,
dark_book,
)
# start the condition scan loop
quote, feed, client = await n.start(
exec_loop,
ctx,
feed,
broker,
symbol,
_mode,
)
# connect back to the calling actor (the one that is
# acting as an EMS client and will submit orders) to
# receive requests pushed over a tractor stream
# using (for now) an async generator.
order_stream = await portal.run(send_order_cmds)
await n.start(
process_broker_trades,
ctx,
feed,
dark_book,
)
# start inbound order request processing
await process_order_cmds(
ctx,
order_stream,
symbol,
feed,
client,
dark_book,
)
# connect back to the calling actor (the one that is
# acting as an EMS client and will submit orders) to
# receive requests pushed over a tractor stream
# using (for now) an async generator.
order_stream = await portal.run(send_order_cmds)
# start inbound order request processing
await process_order_cmds(
ctx,
order_stream,
symbol,
feed,
client,
dark_book,
)

346
piker/data/__init__.py
View File

@ -20,20 +20,29 @@ Data feed apis and infra.
We provide tsdb integrations for retrieving
and storing data from your brokers as well as
sharing your feeds with other fellow pikers.
"""
from dataclasses import dataclass, field
from contextlib import asynccontextmanager
from functools import partial
from importlib import import_module
from types import ModuleType
from typing import (
Dict, Any, Sequence, AsyncIterator, Optional
Dict, Any, Sequence,
AsyncIterator, Optional,
List
)
import trio
from trio_typing import TaskStatus
import tractor
from pydantic import BaseModel
from ..brokers import get_brokermod
from ..log import get_logger, get_console_log
from .._daemon import spawn_brokerd, maybe_open_pikerd
from .._daemon import (
maybe_spawn_brokerd,
)
from ._normalize import iterticks
from ._sharedmem import (
maybe_open_shm_array,
@ -43,9 +52,12 @@ from ._sharedmem import (
get_shm_token,
)
from ._source import base_iohlc_dtype, Symbol
from ._buffer import (
from ._sampling import (
_shms,
_incrementers,
increment_ohlc_buffer,
subscribe_ohlc_for_increment
iter_ohlc_periods,
sample_and_broadcast,
)
__all__ = [
@ -54,7 +66,7 @@ __all__ = [
'attach_shm_array',
'open_shm_array',
'get_shm_token',
'subscribe_ohlc_for_increment',
# 'subscribe_ohlc_for_increment',
]
@ -74,57 +86,229 @@ def get_ingestormod(name: str) -> ModuleType:
return module
@asynccontextmanager
async def maybe_spawn_brokerd(
brokername: str,
loglevel: Optional[str] = None,
class _FeedsBus(BaseModel):
"""Data feeds broadcaster and persistence management.
# XXX: you should pretty much never want debug mode
# for data daemons when running in production.
debug_mode: bool = True,
) -> tractor._portal.Portal:
"""If no ``brokerd.{brokername}`` daemon-actor can be found,
spawn one in a local subactor and return a portal to it.
This is a brokerd side api used to manager persistent real-time
streams that can be allocated and left alive indefinitely.
"""
if loglevel:
get_console_log(loglevel)
brokername: str
nursery: trio.Nursery
feeds: Dict[str, trio.CancelScope] = {}
subscribers: Dict[str, List[tractor.Context]] = {}
task_lock: trio.StrictFIFOLock = trio.StrictFIFOLock()
dname = f'brokerd.{brokername}'
async with tractor.find_actor(dname) as portal:
class Config:
arbitrary_types_allowed = True
# WTF: why doesn't this work?
if portal is not None:
yield portal
async def cancel_all(self) -> None:
for sym, (cs, msg, quote) in self.feeds.items():
log.debug(f'Cancelling cached feed for {self.brokername}:{sym}')
cs.cancel()
_bus: _FeedsBus = None
def get_feed_bus(
brokername: str,
nursery: Optional[trio.Nursery] = None,
) -> _FeedsBus:
"""
Retreive broker-daemon-local data feeds bus from process global
scope. Serialize task access to lock.
"""
global _bus
if nursery is not None:
assert _bus is None, "Feeds manager is already setup?"
# this is initial setup by parent actor
_bus = _FeedsBus(
brokername=brokername,
nursery=nursery,
)
assert not _bus.feeds
assert _bus.brokername == brokername, "Uhhh wtf"
return _bus
async def _setup_persistent_brokerd(brokername: str) -> None:
"""Allocate a actor-wide service nursery in ``brokerd``
such that feeds can be run in the background persistently by
the broker backend as needed.
"""
try:
async with trio.open_nursery() as service_nursery:
# assign a nursery to the feeds bus for spawning
# background tasks from clients
bus = get_feed_bus(brokername, service_nursery)
# we pin this task to keep the feeds manager active until the
# parent actor decides to tear it down
await trio.sleep_forever()
finally:
# TODO: this needs to be shielded?
await bus.cancel_all()
async def allocate_persistent_feed(
ctx: tractor.Context,
bus: _FeedsBus,
brokername: str,
symbol: str,
loglevel: str,
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
try:
mod = get_brokermod(brokername)
except ImportError:
mod = get_ingestormod(brokername)
# allocate shm array for this broker/symbol
# XXX: we should get an error here if one already exists
shm, opened = maybe_open_shm_array(
key=sym_to_shm_key(brokername, symbol),
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
)
# do history validation?
assert opened, f'Persistent shm for {symbol} was already open?!'
# if not opened:
# raise RuntimeError("Persistent shm for sym was already open?!")
send, quote_stream = trio.open_memory_channel(10)
feed_is_live = trio.Event()
# establish broker backend quote stream
# ``stream_quotes()`` is a required backend func
init_msg, first_quote = await bus.nursery.start(
partial(
mod.stream_quotes,
send_chan=send,
feed_is_live=feed_is_live,
symbols=[symbol],
shm=shm,
loglevel=loglevel,
)
)
init_msg[symbol]['shm_token'] = shm.token
cs = bus.nursery.cancel_scope
# TODO: make this into a composed type which also
# contains the backfiller cs for individual super-based
# resspawns when needed.
bus.feeds[symbol] = (cs, init_msg, first_quote)
if opened:
# start history backfill task ``backfill_bars()`` is
# a required backend func this must block until shm is
# filled with first set of ohlc bars
await bus.nursery.start(mod.backfill_bars, symbol, shm)
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
# pass OHLC sample rate in seconds
init_msg[symbol]['sample_rate'] = delay_s
# yield back control to starting nursery
task_status.started((init_msg, first_quote))
await feed_is_live.wait()
if opened:
_shms.setdefault(delay_s, []).append(shm)
# start shm incrementing for OHLC sampling
if _incrementers.get(delay_s) is None:
cs = await bus.nursery.start(increment_ohlc_buffer, delay_s)
sum_tick_vlm: bool = init_msg.get(
'shm_write_opts', {}
).get('sum_tick_vlm', True)
# start sample loop
await sample_and_broadcast(bus, shm, quote_stream, sum_tick_vlm)
@tractor.stream
async def attach_feed_bus(
ctx: tractor.Context,
brokername: str,
symbol: str,
loglevel: str,
):
# try:
if loglevel is None:
loglevel = tractor.current_actor().loglevel
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
# ensure we are who we think we are
assert 'brokerd' in tractor.current_actor().name
bus = get_feed_bus(brokername)
async with bus.task_lock:
task_cs = bus.feeds.get(symbol)
sub_only: bool = False
# if no cached feed for this symbol has been created for this
# brokerd yet, start persistent stream and shm writer task in
# service nursery
if task_cs is None:
init_msg, first_quote = await bus.nursery.start(
partial(
allocate_persistent_feed,
ctx=ctx,
bus=bus,
brokername=brokername,
symbol=symbol,
loglevel=loglevel,
)
)
bus.subscribers.setdefault(symbol, []).append(ctx)
else:
# ask root ``pikerd`` daemon to spawn the daemon we need if
# pikerd is not live we now become the root of the
# process tree
async with maybe_open_pikerd(
loglevel=loglevel
) as pikerd_portal:
sub_only = True
if pikerd_portal is None:
# we are root so spawn brokerd directly in our tree
# the root nursery is accessed through process global state
await spawn_brokerd(brokername, loglevel=loglevel)
# XXX: ``first_quote`` may be outdated here if this is secondary
# subscriber
cs, init_msg, first_quote = bus.feeds[symbol]
else:
await pikerd_portal.run(
spawn_brokerd,
brokername=brokername,
loglevel=loglevel,
debug_mode=debug_mode,
)
# send this even to subscribers to existing feed?
await ctx.send_yield(init_msg)
await ctx.send_yield(first_quote)
async with tractor.wait_for_actor(dname) as portal:
yield portal
if sub_only:
bus.subscribers[symbol].append(ctx)
try:
await trio.sleep_forever()
finally:
bus.subscribers[symbol].remove(ctx)
@dataclass
class Feed:
"""A data feed for client-side interaction with far-process
"""A data feed for client-side interaction with far-process# }}}
real-time data sources.
This is an thin abstraction on top of ``tractor``'s portals for
@ -135,10 +319,11 @@ class Feed:
stream: AsyncIterator[Dict[str, Any]]
shm: ShmArray
mod: ModuleType
# ticks: ShmArray
_brokerd_portal: tractor._portal.Portal
_index_stream: Optional[AsyncIterator[int]] = None
_trade_stream: Optional[AsyncIterator[Dict[str, Any]]] = None
_max_sample_rate: int = 0
# cache of symbol info messages received as first message when
# a stream startsc.
@ -147,15 +332,19 @@ class Feed:
async def receive(self) -> dict:
return await self.stream.__anext__()
async def index_stream(self) -> AsyncIterator[int]:
async def index_stream(
self,
delay_s: Optional[int] = None
) -> AsyncIterator[int]:
if not self._index_stream:
# XXX: this should be singleton on a host,
# a lone broker-daemon per provider should be
# created for all practical purposes
self._index_stream = await self._brokerd_portal.run(
increment_ohlc_buffer,
shm_token=self.shm.token,
topics=['index'],
iter_ohlc_periods,
delay_s=delay_s or self._max_sample_rate,
)
return self._index_stream
@ -214,40 +403,29 @@ async def open_feed(
# TODO: do all!
sym = symbols[0]
# Attempt to allocate (or attach to) shm array for this broker/symbol
shm, opened = maybe_open_shm_array(
key=sym_to_shm_key(brokername, sym),
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=True,
)
async with maybe_spawn_brokerd(
brokername,
loglevel=loglevel,
# TODO: add a cli flag for this
# debug_mode=False,
) as portal:
stream = await portal.run(
mod.stream_quotes,
# TODO: actually handy multiple symbols...
symbols=symbols,
shm_token=shm.token,
# compat with eventual ``tractor.msg.pub``
topics=symbols,
attach_feed_bus,
brokername=brokername,
symbol=sym,
loglevel=loglevel,
)
# TODO: can we make this work better with the proposed
# context based bidirectional streaming style api proposed in:
# https://github.com/goodboy/tractor/issues/53
init_msg = await stream.receive()
# we can only read from shm
shm = attach_shm_array(
token=init_msg[sym]['shm_token'],
readonly=True,
)
feed = Feed(
name=brokername,
stream=stream,
@ -255,15 +433,12 @@ async def open_feed(
mod=mod,
_brokerd_portal=portal,
)
# TODO: we can't do this **and** be compate with
# ``tractor.msg.pub``, should we maybe just drop this after
# tests are in?
init_msg = await stream.receive()
ohlc_sample_rates = []
for sym, data in init_msg.items():
si = data['symbol_info']
ohlc_sample_rates.append(data['sample_rate'])
symbol = Symbol(
key=sym,
@ -275,12 +450,17 @@ async def open_feed(
feed.symbols[sym] = symbol
# cast shm dtype to list... can't member why we need this
shm_token = data['shm_token']
if opened:
assert data['is_shm_writer']
log.info("Started shared mem bar writer")
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
assert shm_token == shm.token # sanity
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
assert shm_token == shm.token # sanity
feed._max_sample_rate = max(ohlc_sample_rates)
yield feed
try:
yield feed
finally:
# always cancel the far end producer task
with trio.CancelScope(shield=True):
await stream.aclose()

115
piker/data/_buffer.py
View File

@ -1,115 +0,0 @@
# piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
Data buffers for fast shared humpy.
"""
from typing import Tuple, Callable, Dict
# import time
import tractor
import trio
from ._sharedmem import ShmArray
_shms: Dict[int, ShmArray] = {}
_start_increment: Dict[str, trio.Event] = {}
def shm_incrementing(shm_token_name: str) -> trio.Event:
global _start_increment
return _start_increment.setdefault(shm_token_name, trio.Event())
@tractor.msg.pub
async def increment_ohlc_buffer(
shm_token: dict,
get_topics: Callable[..., Tuple[str]],
# delay_s: Optional[float] = None,
):
"""Task which inserts new bars into the provide shared memory array
every ``delay_s`` seconds.
This task fulfills 2 purposes:
- it takes the subscribed set of shm arrays and increments them
on a common time period
- broadcast of this increment "signal" message to other actor
subscribers
Note that if **no** actor has initiated this task then **none** of
the underlying buffers will actually be incremented.
"""
# wait for brokerd to signal we should start sampling
await shm_incrementing(shm_token['shm_name']).wait()
# TODO: right now we'll spin printing bars if the last time stamp is
# before a large period of no market activity. Likely the best way
# to solve this is to make this task aware of the instrument's
# tradable hours?
# adjust delay to compensate for trio processing time
ad = min(_shms.keys()) - 0.001
total_s = 0 # total seconds counted
lowest = min(_shms.keys())
ad = lowest - 0.001
while True:
# TODO: do we want to support dynamically
# adding a "lower" lowest increment period?
await trio.sleep(ad)
total_s += lowest
# increment all subscribed shm arrays
# TODO: this in ``numba``
for delay_s, shms in _shms.items():
if total_s % delay_s != 0:
continue
# TODO: numa this!
for shm in shms:
# TODO: in theory we could make this faster by copying the
# "last" readable value into the underlying larger buffer's
# next value and then incrementing the counter instead of
# using ``.push()``?
# append new entry to buffer thus "incrementing" the bar
array = shm.array
last = array[-1:][shm._write_fields].copy()
# (index, t, close) = last[0][['index', 'time', 'close']]
(t, close) = last[0][['time', 'close']]
# this copies non-std fields (eg. vwap) from the last datum
last[
['time', 'volume', 'open', 'high', 'low', 'close']
][0] = (t + delay_s, 0, close, close, close, close)
# write to the buffer
shm.push(last)
# broadcast the buffer index step
yield {'index': shm._last.value}
def subscribe_ohlc_for_increment(
shm: ShmArray,
delay: int,
) -> None:
"""Add an OHLC ``ShmArray`` to the increment set.
"""
_shms.setdefault(delay, []).append(shm)

240
piker/data/_sampling.py 100644
View File

@ -0,0 +1,240 @@
# piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
Data buffers for fast shared humpy.
"""
from typing import Dict, List
import tractor
import trio
from trio_typing import TaskStatus
from ._sharedmem import ShmArray
from ..log import get_logger
log = get_logger(__name__)
# TODO: we could stick these in a composed type to avoid
# angering the "i hate module scoped variables crowd" (yawn).
_shms: Dict[int, List[ShmArray]] = {}
_start_increment: Dict[str, trio.Event] = {}
_incrementers: Dict[int, trio.CancelScope] = {}
_subscribers: Dict[str, tractor.Context] = {}
def shm_incrementing(shm_token_name: str) -> trio.Event:
global _start_increment
return _start_increment.setdefault(shm_token_name, trio.Event())
async def increment_ohlc_buffer(
delay_s: int,
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
):
"""Task which inserts new bars into the provide shared memory array
every ``delay_s`` seconds.
This task fulfills 2 purposes:
- it takes the subscribed set of shm arrays and increments them
on a common time period
- broadcast of this increment "signal" message to other actor
subscribers
Note that if **no** actor has initiated this task then **none** of
the underlying buffers will actually be incremented.
"""
# # wait for brokerd to signal we should start sampling
# await shm_incrementing(shm_token['shm_name']).wait()
# TODO: right now we'll spin printing bars if the last time stamp is
# before a large period of no market activity. Likely the best way
# to solve this is to make this task aware of the instrument's
# tradable hours?
global _incrementers
# adjust delay to compensate for trio processing time
ad = min(_shms.keys()) - 0.001
total_s = 0 # total seconds counted
lowest = min(_shms.keys())
ad = lowest - 0.001
with trio.CancelScope() as cs:
# register this time period step as active
_incrementers[delay_s] = cs
task_status.started(cs)
while True:
# TODO: do we want to support dynamically
# adding a "lower" lowest increment period?
await trio.sleep(ad)
total_s += lowest
# increment all subscribed shm arrays
# TODO: this in ``numba``
for delay_s, shms in _shms.items():
if total_s % delay_s != 0:
continue
# TODO: ``numba`` this!
for shm in shms:
# TODO: in theory we could make this faster by copying the
# "last" readable value into the underlying larger buffer's
# next value and then incrementing the counter instead of
# using ``.push()``?
# append new entry to buffer thus "incrementing" the bar
array = shm.array
last = array[-1:][shm._write_fields].copy()
# (index, t, close) = last[0][['index', 'time', 'close']]
(t, close) = last[0][['time', 'close']]
# this copies non-std fields (eg. vwap) from the last datum
last[
['time', 'volume', 'open', 'high', 'low', 'close']
][0] = (t + delay_s, 0, close, close, close, close)
# write to the buffer
shm.push(last)
# broadcast the buffer index step
# yield {'index': shm._last.value}
for ctx in _subscribers.get(delay_s, ()):
try:
await ctx.send_yield({'index': shm._last.value})
except (
trio.BrokenResourceError,
trio.ClosedResourceError
):
log.error(f'{ctx.chan.uid} dropped connection')
@tractor.stream
async def iter_ohlc_periods(
ctx: tractor.Context,
delay_s: int,
) -> None:
"""
Subscribe to OHLC sampling "step" events: when the time
aggregation period increments, this event stream emits an index
event.
"""
# add our subscription
global _subscribers
subs = _subscribers.setdefault(delay_s, [])
subs.append(ctx)
try:
# stream and block until cancelled
await trio.sleep_forever()
finally:
subs.remove(ctx)
async def sample_and_broadcast(
bus: '_FeedBus', # noqa
shm: ShmArray,
quote_stream: trio.abc.ReceiveChannel,
sum_tick_vlm: bool = True,
) -> None:
log.info("Started shared mem bar writer")
# iterate stream delivered by broker
async for quotes in quote_stream:
# TODO: ``numba`` this!
for sym, quote in quotes.items():
# TODO: in theory you can send the IPC msg *before*
# writing to the sharedmem array to decrease latency,
# however, that will require `tractor.msg.pub` support
# here or at least some way to prevent task switching
# at the yield such that the array write isn't delayed
# while another consumer is serviced..
# start writing the shm buffer with appropriate
# trade data
for tick in quote['ticks']:
# if tick['type'] in ('utrade',):
# print(tick)
# write trade events to shm last OHLC sample
if tick['type'] in ('trade', 'utrade'):
last = tick['price']
# update last entry
# benchmarked in the 4-5 us range
o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume']
]
new_v = tick.get('size', 0)
if v == 0 and new_v:
# no trades for this bar yet so the open
# is also the close/last trade price
o = last
if sum_tick_vlm:
volume = v + new_v
else:
# presume backend takes care of summing
# it's own vlm
volume = quote['volume']
shm.array[[
'open',
'high',
'low',
'close',
'bar_wap', # can be optionally provided
'volume',
]][-1] = (
o,
max(high, last),
min(low, last),
last,
quote.get('bar_wap', 0),
volume,
)
# XXX: we need to be very cautious here that no
# context-channel is left lingering which doesn't have
# a far end receiver actor-task. In such a case you can
# end up triggering backpressure which which will
# eventually block this producer end of the feed and
# thus other consumers still attached.
subs = bus.subscribers[sym]
for ctx in subs:
# print(f'sub is {ctx.chan.uid}')
try:
await ctx.send_yield({sym: quote})
except (
trio.BrokenResourceError,
trio.ClosedResourceError
):
subs.remove(ctx)
log.error(f'{ctx.chan.uid} dropped connection')

7
piker/data/_sharedmem.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
@ -16,6 +16,7 @@
"""
NumPy compatible shared memory buffers for real-time FSP.
"""
from dataclasses import dataclass, asdict
from sys import byteorder
@ -370,7 +371,7 @@ def attach_shm_array(
key = token.shm_name
if key in _known_tokens:
assert _known_tokens[key] == token, "WTF"
assert _Token.from_msg(_known_tokens[key]) == token, "WTF"
# attach to array buffer and view as per dtype
shm = SharedMemory(name=key)
@ -426,7 +427,7 @@ def maybe_open_shm_array(
**kwargs,
) -> Tuple[ShmArray, bool]:
"""Attempt to attach to a shared memory block using a "key" lookup
to registered blocks in the users overall "system" registryt
to registered blocks in the users overall "system" registry
(presumes you don't have the block's explicit token).
This function is meant to solve the problem of discovering whether

27
piker/fsp/__init__.py
View File

@ -28,7 +28,7 @@ from ..log import get_logger
from .. import data
from ._momo import _rsi, _wma
from ._volume import _tina_vwap
from ..data import attach_shm_array, Feed
from ..data import attach_shm_array
log = get_logger(__name__)
@ -62,23 +62,6 @@ async def latency(
yield value
async def increment_signals(
feed: Feed,
dst_shm: 'SharedArray', # noqa
) -> None:
"""Increment the underlying shared memory buffer on every "increment"
msg received from the underlying data feed.
"""
async for msg in await feed.index_stream():
array = dst_shm.array
last = array[-1:].copy()
# write new slot to the buffer
dst_shm.push(last)
len(dst_shm.array)
@tractor.stream
async def cascade(
ctx: tractor.Context,
@ -150,7 +133,6 @@ async def cascade(
)
history[fsp_func_name] = history_output
# check for data length mis-allignment and fill missing values
diff = len(src.array) - len(history)
if diff >= 0:
@ -182,8 +164,8 @@ async def cascade(
cs = await n.start(fsp_compute)
# Increment the underlying shared memory buffer on every "increment"
# msg received from the underlying data feed.
# Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed.
async for msg in await feed.index_stream():
@ -198,10 +180,11 @@ async def cascade(
# TODO: adopt an incremental update engine/approach
# where possible here eventually!
# read out last shm row
array = dst.array
last = array[-1:].copy()
# write new slot to the buffer
# write new row to the shm buffer
dst.push(last)
last_len = new_len

2
piker/ui/_chart.py
View File

@ -138,7 +138,7 @@ class ChartSpace(QtGui.QWidget):
"""
# XXX: let's see if this causes mem problems
self.window.setWindowTitle(
f'piker chart {symbol.key}@{symbol.brokers} '
f'{symbol.key}@{symbol.brokers} '
f'tick:{symbol.tick_size}'
)

19
piker/ui/_exec.py
View File

@ -22,6 +22,7 @@ All global Qt runtime settings are mostly defined here.
"""
from typing import Tuple, Callable, Dict, Any
import os
import platform
import signal
import time
import traceback
@ -87,16 +88,19 @@ def current_screen() -> QtGui.QScreen:
assert screen, "Wow Qt is dumb as shit and has no screen..."
return screen
# XXX: pretty sure none of this shit works
# XXX: pretty sure none of this shit works on linux as per:
# https://bugreports.qt.io/browse/QTBUG-53022
# it seems to work on windows.. no idea wtf is up.
if platform.system() == "Windows":
# Proper high DPI scaling is available in Qt >= 5.6.0. This attibute
# must be set before creating the application
# if hasattr(Qt, 'AA_EnableHighDpiScaling'):
# QCoreApplication.setAttribute(Qt.AA_EnableHighDpiScaling, True)
# Proper high DPI scaling is available in Qt >= 5.6.0. This attibute
# must be set before creating the application
if hasattr(Qt, 'AA_EnableHighDpiScaling'):
QCoreApplication.setAttribute(Qt.AA_EnableHighDpiScaling, True)
# if hasattr(Qt, 'AA_UseHighDpiPixmaps'):
# QCoreApplication.setAttribute(Qt.AA_UseHighDpiPixmaps, True)
if hasattr(Qt, 'AA_UseHighDpiPixmaps'):
QCoreApplication.setAttribute(Qt.AA_UseHighDpiPixmaps, True)
class MainWindow(QtGui.QMainWindow):
@ -196,7 +200,6 @@ def run_qtractor(
async def main():
async with maybe_open_pikerd(
name='qtractor',
start_method='trio',
**tractor_kwargs,
):

8
piker/ui/_graphics/_cursor.py
View File

@ -90,16 +90,11 @@ class LineDot(pg.CurvePoint):
self,
ev: QtCore.QEvent,
) -> None:
# print((ev, type(ev)))
if not isinstance(
ev, QtCore.QDynamicPropertyChangeEvent
) or self.curve() is None:
return False
# if ev.propertyName() == 'index':
# print(ev)
# # self.setProperty
(x, y) = self.curve().getData()
index = self.property('index')
# first = self._plot._ohlc[0]['index']
@ -172,8 +167,6 @@ class ContentsLabel(pg.LabelItem):
if inspect.isfunction(margins[1]):
margins = margins[0], ydim(anchor_font_size)
print(f'margins: {margins}')
self.anchor(itemPos=index, parentPos=index, offset=margins)
def update_from_ohlc(
@ -403,7 +396,6 @@ class Cursor(pg.GraphicsObject):
# update all trackers
for item in self._trackers:
# print(f'setting {item} with {(ix, y)}')
item.on_tracked_source(ix, iy)
if ix != last_ix:

2
piker/ui/_l1.py
View File

@ -155,6 +155,8 @@ class LevelLabel(YAxisLabel):
self._h_shift * (w + self._x_offset),
abs_pos.y() + self._v_shift * h
))
# XXX: definitely need this!
self.update()
def set_fmt_str(
self,

1
piker/ui/cli.py
View File

@ -148,6 +148,7 @@ def chart(config, symbol, profile):
tractor_kwargs={
'debug_mode': True,
'loglevel': tractorloglevel,
'name': 'chart',
'enable_modules': [
'piker.clearing._client'
],

148
piker/ui/order_mode.py
View File

@ -321,97 +321,95 @@ async def start_order_mode(
async with open_ems(
brokername,
symbol,
) as (book, trades_stream):
) as (book, trades_stream), open_order_mode(
symbol,
chart,
book,
) as order_mode:
async with open_order_mode(
symbol,
chart,
book,
) as order_mode:
def get_index(time: float):
def get_index(time: float):
# XXX: not sure why the time is so off here
# looks like we're gonna have to do some fixing..
# XXX: not sure why the time is so off here
# looks like we're gonna have to do some fixing..
ohlc = chart._shm.array
indexes = ohlc['time'] >= time
ohlc = chart._shm.array
indexes = ohlc['time'] >= time
if any(indexes):
return ohlc['index'][indexes[-1]]
else:
return ohlc['index'][-1]
if any(indexes):
return ohlc['index'][indexes[-1]]
else:
return ohlc['index'][-1]
# Begin order-response streaming
# Begin order-response streaming
# this is where we receive **back** messages
# about executions **from** the EMS actor
async for msg in trades_stream:
# this is where we receive **back** messages
# about executions **from** the EMS actor
async for msg in trades_stream:
fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}')
fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}')
resp = msg['resp']
resp = msg['resp']
if resp in (
'position',
):
# show line label once order is live
order_mode.on_position_update(msg)
continue
if resp in (
'position',
):
# show line label once order is live
order_mode.on_position_update(msg)
continue
# delete the line from view
oid = msg['oid']
# delete the line from view
oid = msg['oid']
# response to 'action' request (buy/sell)
if resp in (
'dark_submitted',
'broker_submitted'
):
# response to 'action' request (buy/sell)
if resp in (
'dark_submitted',
'broker_submitted'
):
# show line label once order is live
order_mode.on_submit(oid)
# show line label once order is live
order_mode.on_submit(oid)
# resp to 'cancel' request or error condition
# for action request
elif resp in (
'broker_cancelled',
'broker_inactive',
'dark_cancelled'
):
# delete level line from view
order_mode.on_cancel(oid)
# resp to 'cancel' request or error condition
# for action request
elif resp in (
'broker_cancelled',
'broker_inactive',
'dark_cancelled'
):
# delete level line from view
order_mode.on_cancel(oid)
elif resp in (
'dark_executed'
):
log.info(f'Dark order triggered for {fmsg}')
elif resp in (
'dark_executed'
):
log.info(f'Dark order triggered for {fmsg}')
# for alerts add a triangle and remove the
# level line
if msg['cmd']['action'] == 'alert':
# for alerts add a triangle and remove the
# level line
if msg['cmd']['action'] == 'alert':
# should only be one "fill" for an alert
order_mode.on_fill(
oid,
price=msg['trigger_price'],
arrow_index=get_index(time.time())
)
await order_mode.on_exec(oid, msg)
# response to completed 'action' request for buy/sell
elif resp in (
'broker_executed',
):
await order_mode.on_exec(oid, msg)
# each clearing tick is responded individually
elif resp in ('broker_filled',):
action = msg['action']
# TODO: some kinda progress system
# should only be one "fill" for an alert
order_mode.on_fill(
oid,
price=msg['price'],
arrow_index=get_index(msg['broker_time']),
pointing='up' if action == 'buy' else 'down',
price=msg['trigger_price'],
arrow_index=get_index(time.time())
)
await order_mode.on_exec(oid, msg)
# response to completed 'action' request for buy/sell
elif resp in (
'broker_executed',
):
await order_mode.on_exec(oid, msg)
# each clearing tick is responded individually
elif resp in ('broker_filled',):
action = msg['action']
# TODO: some kinda progress system
order_mode.on_fill(
oid,
price=msg['price'],
arrow_index=get_index(msg['broker_time']),
pointing='up' if action == 'buy' else 'down',
)