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Merge pull request #287 from pikers/async_hist_loading 

Async hist loading
pp_bar_fixes
goodboy 2022-03-02 10:04:25 -05:00 committed by GitHub
parent 1440e0b58f f7d03489d8
commit 5fb85d9ea0
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16 changed files with 502 additions and 289 deletions
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3
.gitignore vendored
View File

@ -97,6 +97,9 @@ ENV/
# mkdocs documentation
/site
# extra scripts dir
/snippets
# mypy
.mypy_cache/
.vscode/settings.json

7
piker/__init__.py
View File

@ -18,10 +18,3 @@
piker: trading gear for hackers.
"""
import msgpack # noqa
# TODO: remove this now right?
import msgpack_numpy
# patch msgpack for numpy arrays
msgpack_numpy.patch()

113
piker/_daemon.py
View File

@ -34,9 +34,11 @@ from .brokers import get_brokermod
log = get_logger(__name__)
_root_dname = 'pikerd'
_registry_addr = ('127.0.0.1', 6116)
_tractor_kwargs: dict[str, Any] = {
# use a different registry addr then tractor's default
'arbiter_addr': ('127.0.0.1', 6116),
'arbiter_addr': _registry_addr
}
_root_modules = [
__name__,
@ -78,7 +80,6 @@ class Services(BaseModel):
) -> Any:
with trio.CancelScope() as cs:
async with portal.open_context(
target,
**kwargs,
@ -87,19 +88,17 @@ class Services(BaseModel):
# unblock once the remote context has started
task_status.started((cs, first))
log.info(
f'`pikerd` service {name} started with value {first}'
)
# wait on any context's return value
ctx_res = await ctx.result()
log.info(
f'`pikerd` service {name} started with value {ctx_res}'
)
# wait on any error from the sub-actor
# NOTE: this will block indefinitely until cancelled
# either by error from the target context function or
# by being cancelled here by the surroundingn cancel
# scope
return await (portal.result(), ctx_res)
# either by error from the target context function or by
# being cancelled here by the surrounding cancel scope
return (await portal.result(), ctx_res)
cs, first = await self.service_n.start(open_context_in_task)
@ -109,16 +108,16 @@ class Services(BaseModel):
return cs, first
async def cancel_service(
self,
name: str,
) -> Any:
log.info(f'Cancelling `pikerd` service {name}')
cs, portal = self.service_tasks[name]
cs.cancel()
return await portal.cancel_actor()
# TODO: per service cancellation by scope, we aren't using this
# anywhere right?
# async def cancel_service(
# self,
# name: str,
# ) -> Any:
# log.info(f'Cancelling `pikerd` service {name}')
# cs, portal = self.service_tasks[name]
# cs.cancel()
# return await portal.cancel_actor()
_services: Optional[Services] = None
@ -150,7 +149,7 @@ async def open_pikerd(
tractor.open_root_actor(
# passed through to ``open_root_actor``
arbiter_addr=_tractor_kwargs['arbiter_addr'],
arbiter_addr=_registry_addr,
name=_root_dname,
loglevel=loglevel,
debug_mode=debug_mode,
@ -179,6 +178,47 @@ async def open_pikerd(
yield _services
@asynccontextmanager
async def open_piker_runtime(
name: str,
enable_modules: list[str] = [],
start_method: str = 'trio',
loglevel: Optional[str] = None,
# XXX: you should pretty much never want debug mode
# for data daemons when running in production.
debug_mode: bool = False,
) -> Optional[tractor._portal.Portal]:
'''
Start a piker actor who's runtime will automatically
sync with existing piker actors in local network
based on configuration.
'''
global _services
assert _services is None
# XXX: this may open a root actor as well
async with (
tractor.open_root_actor(
# passed through to ``open_root_actor``
arbiter_addr=_registry_addr,
name=name,
loglevel=loglevel,
debug_mode=debug_mode,
start_method=start_method,
# TODO: eventually we should be able to avoid
# having the root have more then permissions to
# spawn other specialized daemons I think?
enable_modules=_root_modules,
) as _,
):
yield tractor.current_actor()
@asynccontextmanager
async def maybe_open_runtime(
loglevel: Optional[str] = None,
@ -283,13 +323,20 @@ async def maybe_spawn_daemon(
lock = Brokerd.locks[service_name]
await lock.acquire()
log.info(f'Scanning for existing {service_name}')
# attach to existing daemon by name if possible
async with tractor.find_actor(service_name) as portal:
async with tractor.find_actor(
service_name,
arbiter_sockaddr=_registry_addr,
) as portal:
if portal is not None:
lock.release()
yield portal
return
log.warning(f"Couldn't find any existing {service_name}")
# ask root ``pikerd`` daemon to spawn the daemon we need if
# pikerd is not live we now become the root of the
# process tree
@ -447,3 +494,25 @@ async def maybe_open_emsd(
) as portal:
yield portal
# TODO: ideally we can start the tsdb "on demand" but it's
# probably going to require "rootless" docker, at least if we don't
# want to expect the user to start ``pikerd`` with root perms all the
# time.
# async def maybe_open_marketstored(
# loglevel: Optional[str] = None,
# **kwargs,
# ) -> tractor._portal.Portal: # noqa
# async with maybe_spawn_daemon(
# 'marketstored',
# service_task_target=spawn_emsd,
# spawn_args={'loglevel': loglevel},
# loglevel=loglevel,
# **kwargs,
# ) as portal:
# yield portal

1
piker/brokers/binance.py
View File

@ -386,7 +386,6 @@ async def stream_quotes(
send_chan: trio.abc.SendChannel,
symbols: List[str],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,

10
piker/brokers/ib.py
View File

@ -517,11 +517,11 @@ class Client:
contract, ticker, details = await self.get_sym_details(symbol)
# ensure a last price gets filled in before we deliver quote
for _ in range(2):
for _ in range(1):
if isnan(ticker.last):
await asyncio.sleep(0.1)
log.warning(f'Quote for {symbol} timed out: market is closed?')
ticker = await ticker.updateEvent
await asyncio.sleep(0.1)
else:
log.info(f'Got first quote for {symbol}')
break
@ -1201,12 +1201,13 @@ async def backfill_bars(
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Fill historical bars into shared mem / storage afap.
'''
Fill historical bars into shared mem / storage afap.
TODO: avoid pacing constraints:
https://github.com/pikers/piker/issues/128
"""
'''
if platform.system() == 'Windows':
log.warning(
'Decreasing history query count to 4 since, windows...')
@ -1411,7 +1412,6 @@ async def stream_quotes(
send_chan: trio.abc.SendChannel,
symbols: list[str],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,

1
piker/brokers/kraken.py
View File

@ -406,7 +406,6 @@ async def stream_quotes(
send_chan: trio.abc.SendChannel,
symbols: List[str],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,

10
piker/cli/__init__.py
View File

@ -109,13 +109,11 @@ def services(config, tl, names):
) as portal:
registry = await portal.run_from_ns('self', 'get_registry')
json_d = {}
for uid, socket in registry.items():
name, uuid = uid
for key, socket in registry.items():
# name, uuid = uid
host, port = socket
json_d[f'{name}.{uuid}'] = f'{host}:{port}'
click.echo(
f"Available `piker` services:\n{colorize_json(json_d)}"
)
json_d[key] = f'{host}:{port}'
click.echo(f"{colorize_json(json_d)}")
tractor.run(
list_services,

67
piker/data/_sampling.py
View File

@ -15,10 +15,11 @@
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
Data buffers for fast shared humpy.
Sampling and broadcast machinery for (soft) real-time delivery of
financial data flows.
"""
import time
from typing import Dict, List
import tractor
import trio
@ -31,24 +32,35 @@ from ..log import get_logger
log = get_logger(__name__)
class sampler:
'''
Global sampling engine registry.
Manages state for sampling events, shm incrementing and
sample period logic.
'''
# 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] = {}
ohlcv_shms: dict[int, list[ShmArray]] = {}
# holds one-task-per-sample-period tasks which are spawned as-needed by
# data feed requests with a given detected time step usually from
# history loading.
incrementers: dict[int, trio.CancelScope] = {}
def shm_incrementing(shm_token_name: str) -> trio.Event:
global _start_increment
return _start_increment.setdefault(shm_token_name, trio.Event())
# holds all the ``tractor.Context`` remote subscriptions for
# a particular sample period increment event: all subscribers are
# notified on a step.
subscribers: dict[int, tractor.Context] = {}
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
'''
Task which inserts new bars into the provide shared memory array
every ``delay_s`` seconds.
This task fulfills 2 purposes:
@ -59,8 +71,8 @@ async def increment_ohlc_buffer(
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()
@ -69,19 +81,17 @@ async def increment_ohlc_buffer(
# 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
ad = min(sampler.ohlcv_shms.keys()) - 0.001
total_s = 0 # total seconds counted
lowest = min(_shms.keys())
lowest = min(sampler.ohlcv_shms.keys())
ad = lowest - 0.001
with trio.CancelScope() as cs:
# register this time period step as active
_incrementers[delay_s] = cs
sampler.incrementers[delay_s] = cs
task_status.started(cs)
while True:
@ -91,8 +101,10 @@ async def increment_ohlc_buffer(
total_s += lowest
# increment all subscribed shm arrays
# TODO: this in ``numba``
for delay_s, shms in _shms.items():
# TODO:
# - this in ``numba``
# - just lookup shms for this step instead of iterating?
for delay_s, shms in sampler.ohlcv_shms.items():
if total_s % delay_s != 0:
continue
@ -117,8 +129,9 @@ async def increment_ohlc_buffer(
# write to the buffer
shm.push(last)
# broadcast the buffer index step
subs = _subscribers.get(delay_s, ())
# broadcast the buffer index step to any subscribers for
# a given sample period.
subs = sampler.subscribers.get(delay_s, ())
for ctx in subs:
try:
@ -137,15 +150,14 @@ async def iter_ohlc_periods(
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 = sampler.subscribers.setdefault(delay_s, [])
subs.append(ctx)
try:
@ -290,7 +302,10 @@ async def sample_and_broadcast(
# so far seems like no since this should all
# be single-threaded. Doing it anyway though
# since there seems to be some kinda race..
try:
subs.remove((stream, tick_throttle))
except ValueError:
log.error(f'{stream} was already removed from subs!?')
# TODO: a less naive throttler, here's some snippets:
@ -303,6 +318,8 @@ async def uniform_rate_send(
quote_stream: trio.abc.ReceiveChannel,
stream: tractor.MsgStream,
task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
) -> None:
# TODO: compute the approx overhead latency per cycle
@ -313,6 +330,8 @@ async def uniform_rate_send(
last_send = time.time()
diff = 0
task_status.started()
while True:
# compute the remaining time to sleep for this throttled cycle

28
piker/data/_source.py
View File

@ -17,7 +17,7 @@
"""
numpy data source coversion helpers.
"""
from typing import Dict, Any, List
from typing import Any
import decimal
import numpy as np
@ -59,6 +59,19 @@ tf_in_1m = {
}
def mk_fqsn(
provider: str,
symbol: str,
) -> str:
'''
Generate a "fully qualified symbol name" which is
a reverse-hierarchical cross broker/provider symbol
'''
return '.'.join([symbol, provider]).lower()
def float_digits(
value: float,
) -> int:
@ -90,13 +103,13 @@ class Symbol(BaseModel):
lot_tick_size: float # "volume" precision as min step value
tick_size_digits: int
lot_size_digits: int
broker_info: Dict[str, Dict[str, Any]] = {}
broker_info: dict[str, dict[str, Any]] = {}
# specifies a "class" of financial instrument
# ex. stock, futer, option, bond etc.
@property
def brokers(self) -> List[str]:
def brokers(self) -> list[str]:
return list(self.broker_info.keys())
def nearest_tick(self, value: float) -> float:
@ -118,6 +131,12 @@ class Symbol(BaseModel):
self.key,
)
def iterfqsns(self) -> list[str]:
return [
mk_fqsn(self.key, broker)
for broker in self.broker_info.keys()
]
@validate_arguments
def mk_symbol(
@ -129,7 +148,8 @@ def mk_symbol(
broker_info: dict[str, Any] = {},
) -> Symbol:
'''Create and return an instrument description for the
'''
Create and return an instrument description for the
"symbol" named as ``key``.
'''

336
piker/data/feed.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
# 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
@ -25,8 +25,9 @@ from contextlib import asynccontextmanager
from functools import partial
from types import ModuleType
from typing import (
Any, Sequence,
Any,
AsyncIterator, Optional,
Awaitable,
)
import trio
@ -47,11 +48,15 @@ from ._sharedmem import (
ShmArray,
)
from .ingest import get_ingestormod
from ._source import base_iohlc_dtype, mk_symbol, Symbol
from ._source import (
base_iohlc_dtype,
mk_symbol,
Symbol,
mk_fqsn,
)
from ..ui import _search
from ._sampling import (
_shms,
_incrementers,
sampler,
increment_ohlc_buffer,
iter_ohlc_periods,
sample_and_broadcast,
@ -67,12 +72,24 @@ class _FeedsBus(BaseModel):
Data feeds broadcaster and persistence management.
This is a brokerd side api used to manager persistent real-time
streams that can be allocated and left alive indefinitely.
streams that can be allocated and left alive indefinitely. A bus is
associated one-to-one with a particular broker backend where the
"bus" refers so a multi-symbol bus where quotes are interleaved in
time.
Each "entry" in the bus includes:
- a stream used to push real time quotes (up to tick rates)
which is executed as a lone task that is cancellable via
a dedicated cancel scope.
'''
class Config:
arbitrary_types_allowed = True
underscore_attrs_are_private = False
brokername: str
nursery: trio.Nursery
feeds: dict[str, tuple[trio.CancelScope, dict, dict]] = {}
feeds: dict[str, tuple[dict, dict]] = {}
task_lock: trio.StrictFIFOLock = trio.StrictFIFOLock()
@ -86,14 +103,31 @@ class _FeedsBus(BaseModel):
list[tuple[tractor.MsgStream, Optional[float]]]
] = {}
class Config:
arbitrary_types_allowed = True
underscore_attrs_are_private = False
async def start_task(
self,
target: Awaitable,
*args,
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()
) -> None:
async def start_with_cs(
task_status: TaskStatus[
trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
with trio.CancelScope() as cs:
await self.nursery.start(
target,
*args,
)
task_status.started(cs)
return await self.nursery.start(start_with_cs)
# def cancel_task(
# self,
# task: trio.lowlevel.Task
# ) -> bool:
# ...
_bus: _FeedsBus = None
@ -128,7 +162,8 @@ def get_feed_bus(
@tractor.context
async def _setup_persistent_brokerd(
ctx: tractor.Context,
brokername: str
brokername: str,
) -> None:
'''
Allocate a actor-wide service nursery in ``brokerd``
@ -136,12 +171,15 @@ async def _setup_persistent_brokerd(
the broker backend as needed.
'''
try:
async with trio.open_nursery() as service_nursery:
get_console_log(tractor.current_actor().loglevel)
global _bus
assert not _bus
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)
get_feed_bus(brokername, service_nursery)
# unblock caller
await ctx.started()
@ -149,31 +187,104 @@ async def _setup_persistent_brokerd(
# 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 manage_history(
mod: ModuleType,
shm: ShmArray,
bus: _FeedsBus,
symbol: str,
we_opened_shm: bool,
some_data_ready: trio.Event,
feed_is_live: trio.Event,
task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
) -> None:
'''
Load and manage historical data including the loading of any
available series from `marketstore` as well as conducting real-time
update of both that existing db and the allocated shared memory
buffer.
'''
task_status.started()
opened = we_opened_shm
# TODO: history validation
# assert opened, f'Persistent shm for {symbol} was already open?!'
# if not opened:
# raise RuntimeError("Persistent shm for sym was already open?!")
if opened:
# ask broker backend for new history
# start history backfill task ``backfill_bars()`` is
# a required backend func this must block until shm is
# filled with first set of ohlc bars
cs = await bus.nursery.start(mod.backfill_bars, symbol, shm)
# indicate to caller that feed can be delivered to
# remote requesting client since we've loaded history
# data that can be used.
some_data_ready.set()
# detect sample step size for sampled historical data
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
# begin real-time updates of shm and tsb once the feed
# goes live.
await feed_is_live.wait()
if opened:
sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
# start shm incrementing for OHLC sampling at the current
# detected sampling period if one dne.
if sampler.incrementers.get(delay_s) is None:
cs = await bus.start_task(
increment_ohlc_buffer,
delay_s,
)
await trio.sleep_forever()
cs.cancel()
async def allocate_persistent_feed(
bus: _FeedsBus,
brokername: str,
symbol: str,
loglevel: str,
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
'''
Create and maintain a "feed bus" which allocates tasks for real-time
streaming and optional historical data storage per broker/data provider
backend; this normally task runs *in* a `brokerd` actor.
If none exists, this allocates a ``_FeedsBus`` which manages the
lifetimes of streaming tasks created for each requested symbol.
2 tasks are created:
- a real-time streaming task which connec
'''
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
fqsn = mk_fqsn(brokername, symbol)
# (maybe) allocate shm array for this broker/symbol which will
# be used for fast near-term history capture and processing.
shm, opened = maybe_open_shm_array(
key=sym_to_shm_key(brokername, symbol),
key=fqsn,
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
@ -182,69 +293,81 @@ async def allocate_persistent_feed(
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?!")
# mem chan handed to broker backend so it can push real-time
# quotes to this task for sampling and history storage (see below).
send, quote_stream = trio.open_memory_channel(10)
# data sync signals for both history loading and market quotes
some_data_ready = trio.Event()
feed_is_live = trio.Event()
# establish broker backend quote stream
# ``stream_quotes()`` is a required backend func
# run 2 tasks:
# - a history loader / maintainer
# - a real-time streamer which consumers and sends new data to any
# consumers as well as writes to storage backends (as configured).
# XXX: neither of these will raise but will cause an inf hang due to:
# https://github.com/python-trio/trio/issues/2258
# bus.nursery.start_soon(
# await bus.start_task(
await bus.nursery.start(
manage_history,
mod,
shm,
bus,
symbol,
opened,
some_data_ready,
feed_is_live,
)
# establish broker backend quote stream by calling
# ``stream_quotes()``, which is a required broker backend endpoint.
init_msg, first_quotes = await bus.nursery.start(
partial(
mod.stream_quotes,
send_chan=send,
feed_is_live=feed_is_live,
symbols=[symbol],
shm=shm,
loglevel=loglevel,
)
)
# we hand an IPC-msg compatible shm token to the caller so it
# can read directly from the memory which will be written by
# this task.
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.
# XXX: the ``symbol`` here is put into our native piker format (i.e.
# lower case).
bus.feeds[symbol.lower()] = (cs, init_msg, first_quotes)
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]
# TODO: pretty sure we don't need this? why not just leave 1s as
# the fastest "sample period" since we'll probably always want that
# for most purposes.
# pass OHLC sample rate in seconds (be sure to use python int type)
init_msg[symbol]['sample_rate'] = int(delay_s)
# init_msg[symbol]['sample_rate'] = 1 #int(delay_s)
# yield back control to starting nursery
# yield back control to starting nursery once we receive either
# some history or a real-time quote.
log.info(f'waiting on history to load: {fqsn}')
await some_data_ready.wait()
bus.feeds[symbol.lower()] = (init_msg, first_quotes)
task_status.started((init_msg, first_quotes))
# backend will indicate when real-time quotes have begun.
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
try:
await sample_and_broadcast(bus, shm, quote_stream, sum_tick_vlm)
await sample_and_broadcast(
bus,
shm,
quote_stream,
sum_tick_vlm
)
finally:
log.warning(f'{symbol}@{brokername} feed task terminated')
@ -257,29 +380,46 @@ async def open_feed_bus(
symbol: str,
loglevel: str,
tick_throttle: Optional[float] = None,
start_stream: bool = True,
) -> None:
'''
Open a data feed "bus": an actor-persistent per-broker task-oriented
data feed registry which allows managing real-time quote streams per
symbol.
'''
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)
# local state sanity checks
# TODO: check for any stale shm entries for this symbol
# (after we also group them in a nice `/dev/shm/piker/` subdir).
# ensure we are who we think we are
assert 'brokerd' in tractor.current_actor().name
bus = get_feed_bus(brokername)
bus._subscribers.setdefault(symbol, [])
fqsn = mk_fqsn(brokername, symbol)
entry = bus.feeds.get(symbol)
bus._subscribers.setdefault(symbol, [])
# if no cached feed for this symbol has been created for this
# brokerd yet, start persistent stream and shm writer task in
# service nursery
async with bus.task_lock:
if entry is None:
if not start_stream:
raise RuntimeError(
f'No stream feed exists for {fqsn}?\n'
f'You may need a `brokerd` started first.'
)
# allocate a new actor-local stream bus which will persist for
# this `brokerd`.
async with bus.task_lock:
init_msg, first_quotes = await bus.nursery.start(
partial(
allocate_persistent_feed,
@ -295,21 +435,25 @@ async def open_feed_bus(
loglevel=loglevel,
)
)
# TODO: we can remove this?
assert isinstance(bus.feeds[symbol], tuple)
# XXX: ``first_quotes`` may be outdated here if this is secondary
# subscriber
cs, init_msg, first_quotes = bus.feeds[symbol]
init_msg, first_quotes = bus.feeds[symbol]
# send this even to subscribers to existing feed?
# deliver initial info message a first quote asap
await ctx.started((init_msg, first_quotes))
if not start_stream:
log.warning(f'Not opening real-time stream for {fqsn}')
await trio.sleep_forever()
# real-time stream loop
async with (
ctx.open_stream() as stream,
trio.open_nursery() as n,
):
if tick_throttle:
# open a bg task which receives quotes over a mem chan
@ -317,7 +461,7 @@ async def open_feed_bus(
# a max ``tick_throttle`` instantaneous rate.
send, recv = trio.open_memory_channel(2**10)
n.start_soon(
cs = await bus.start_task(
uniform_rate_send,
tick_throttle,
recv,
@ -333,7 +477,6 @@ async def open_feed_bus(
try:
uid = ctx.chan.uid
fqsn = f'{symbol}.{brokername}'
async for msg in stream:
@ -353,8 +496,11 @@ async def open_feed_bus(
finally:
log.info(
f'Stopping {symbol}.{brokername} feed for {ctx.chan.uid}')
if tick_throttle:
n.cancel_scope.cancel()
# TODO: a one-cancels-one nursery
# n.cancel_scope.cancel()
cs.cancel()
try:
bus._subscribers[symbol].remove(sub)
except ValueError:
@ -367,6 +513,7 @@ async def open_sample_step_stream(
delay_s: int,
) -> tractor.ReceiveMsgStream:
# XXX: this should be singleton on a host,
# a lone broker-daemon per provider should be
# created for all practical purposes
@ -375,8 +522,8 @@ async def open_sample_step_stream(
portal.open_stream_from,
iter_ohlc_periods,
),
kwargs={'delay_s': delay_s},
) as (cache_hit, istream):
if cache_hit:
# add a new broadcast subscription for the quote stream
@ -389,13 +536,15 @@ async def open_sample_step_stream(
@dataclass
class Feed:
"""A data feed for client-side interaction with far-process# }}}
real-time data sources.
'''
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
interacting with IPC streams and conducting automatic
memory buffer orchestration.
"""
interacting with IPC streams and storage APIs (shm and time-series
db).
'''
name: str
shm: ShmArray
mod: ModuleType
@ -407,7 +556,7 @@ class Feed:
throttle_rate: Optional[int] = None
_trade_stream: Optional[AsyncIterator[dict[str, Any]]] = None
_max_sample_rate: int = 0
_max_sample_rate: int = 1
# cache of symbol info messages received as first message when
# a stream startsc.
@ -442,13 +591,6 @@ class Feed:
await self.stream.send('resume')
def sym_to_shm_key(
broker: str,
symbol: str,
) -> str:
return f'{broker}.{symbol}'
@asynccontextmanager
async def install_brokerd_search(
@ -485,11 +627,12 @@ async def install_brokerd_search(
@asynccontextmanager
async def open_feed(
brokername: str,
symbols: Sequence[str],
symbols: list[str],
loglevel: Optional[str] = None,
backpressure: bool = True,
start_stream: bool = True,
tick_throttle: Optional[float] = None, # Hz
) -> Feed:
@ -507,18 +650,20 @@ async def open_feed(
# no feed for broker exists so maybe spawn a data brokerd
async with (
# if no `brokerd` for this backend exists yet we spawn
# and actor for one.
maybe_spawn_brokerd(
brokername,
loglevel=loglevel
) as portal,
# (allocate and) connect to any feed bus for this broker
portal.open_context(
open_feed_bus,
brokername=brokername,
symbol=sym,
loglevel=loglevel,
start_stream=start_stream,
tick_throttle=tick_throttle,
) as (ctx, (init_msg, first_quotes)),
@ -527,7 +672,7 @@ async def open_feed(
# XXX: be explicit about stream backpressure since we should
# **never** overrun on feeds being too fast, which will
# pretty much always happen with HFT XD
backpressure=True
backpressure=backpressure,
) as stream,
):
@ -546,12 +691,10 @@ async def open_feed(
_portal=portal,
throttle_rate=tick_throttle,
)
ohlc_sample_rates = []
for sym, data in init_msg.items():
si = data['symbol_info']
ohlc_sample_rates.append(data['sample_rate'])
symbol = mk_symbol(
key=sym,
@ -572,9 +715,8 @@ async def open_feed(
assert shm_token == shm.token # sanity
feed._max_sample_rate = max(ohlc_sample_rates)
feed._max_sample_rate = 1
# yield feed
try:
yield feed
finally:
@ -586,7 +728,7 @@ async def open_feed(
async def maybe_open_feed(
brokername: str,
symbols: Sequence[str],
symbols: list[str],
loglevel: Optional[str] = None,
**kwargs,
@ -607,12 +749,16 @@ async def maybe_open_feed(
'symbols': [sym],
'loglevel': loglevel,
'tick_throttle': kwargs.get('tick_throttle'),
# XXX: super critical to have bool defaults here XD
'backpressure': kwargs.get('backpressure', True),
'start_stream': kwargs.get('start_stream', True),
},
key=sym,
) as (cache_hit, feed):
if cache_hit:
print('USING CACHED FEED')
log.info(f'Using cached feed for {brokername}.{sym}')
# add a new broadcast subscription for the quote stream
# if this feed is likely already in use
async with feed.stream.subscribe() as bstream:

10
piker/fsp/_engine.py
View File

@ -123,7 +123,6 @@ async def fsp_compute(
# TODO: push using a[['f0', 'f1', .., 'fn']] = .. syntax no?
# if the output array is multi-field then push
# each respective field.
# await tractor.breakpoint()
fields = getattr(dst.array.dtype, 'fields', None).copy()
fields.pop('index')
# TODO: nptyping here!
@ -381,14 +380,19 @@ async def cascade(
s, step, ld = is_synced(src, dst)
# detect sample period step for subscription to increment
# signal
times = src.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
# Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed.
async with feed.index_stream() as stream:
async with feed.index_stream(int(delay_s)) as istream:
profiler(f'{func_name}: sample stream up')
profiler.finish()
async for msg in stream:
async for _ in istream:
# respawn the compute task if the source
# array has been updated such that we compute

20
piker/ui/_chart.py
View File

@ -818,11 +818,18 @@ class ChartPlotWidget(pg.PlotWidget):
def default_view(
self,
index: int = -1,
) -> None:
"""Set the view box to the "default" startup view of the scene.
"""
) -> None:
'''
Set the view box to the "default" startup view of the scene.
'''
try:
xlast = self._arrays[self.name][index]['index']
except IndexError:
log.warning(f'array for {self.name} not loaded yet?')
return
begin = xlast - _bars_to_left_in_follow_mode
end = xlast + _bars_from_right_in_follow_mode
@ -840,6 +847,8 @@ class ChartPlotWidget(pg.PlotWidget):
def increment_view(
self,
steps: int = 1,
) -> None:
"""
Increment the data view one step to the right thus "following"
@ -848,8 +857,8 @@ class ChartPlotWidget(pg.PlotWidget):
"""
l, r = self.view_range()
self.view.setXRange(
min=l + 1,
max=r + 1,
min=l + steps,
max=r + steps,
# TODO: holy shit, wtf dude... why tf would this not be 0 by
# default... speechless.
@ -858,7 +867,6 @@ class ChartPlotWidget(pg.PlotWidget):
def draw_ohlc(
self,
name: str,
data: np.ndarray,

19
piker/ui/_curve.py
View File

@ -108,7 +108,6 @@ class FastAppendCurve(pg.PlotCurveItem):
path redraw.
'''
def __init__(
self,
*args,
@ -167,7 +166,13 @@ class FastAppendCurve(pg.PlotCurveItem):
y: np.ndarray,
) -> QtGui.QPainterPath:
'''
Update curve from input 2-d data.
Compare with a cached "x-range" state and (pre/a)ppend based on
a length diff.
'''
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
flip_cache = False
@ -316,12 +321,19 @@ class FastAppendCurve(pg.PlotCurveItem):
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
def disable_cache(self) -> None:
'''
Disable the use of the pixel coordinate cache and trigger a geo event.
'''
# XXX: pretty annoying but, without this there's little
# artefacts on the append updates to the curve...
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
self.prepareGeometryChange()
def boundingRect(self):
'''
Compute and then cache our rect.
'''
if self.path is None:
return QtGui.QPainterPath().boundingRect()
else:
@ -331,9 +343,10 @@ class FastAppendCurve(pg.PlotCurveItem):
return self._br()
def _br(self):
"""Post init ``.boundingRect()```.
'''
Post init ``.boundingRect()```.
"""
'''
hb = self.path.controlPointRect()
hb_size = hb.size()
# print(f'hb_size: {hb_size}')

117
piker/ui/_display.py
View File

@ -30,7 +30,7 @@ import tractor
import trio
from .. import brokers
from ..data.feed import open_feed, Feed
from ..data.feed import open_feed
from ._chart import (
ChartPlotWidget,
LinkedSplits,
@ -43,7 +43,7 @@ from ._fsp import (
has_vlm,
open_vlm_displays,
)
from ..data._sharedmem import ShmArray, try_read
from ..data._sharedmem import ShmArray
from ._forms import (
FieldsForm,
mk_order_pane_layout,
@ -90,7 +90,10 @@ def chart_maxmin(
l, lbar, rbar, r = last_bars_range
in_view = array[lbar - ifirst:rbar - ifirst + 1]
assert in_view.size
if not in_view.size:
log.warning('Resetting chart to data')
chart.default_view()
return (last_bars_range, 0, 0, 0)
mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
@ -107,6 +110,7 @@ def chart_maxmin(
async def graphics_update_loop(
linked: LinkedSplits,
stream: tractor.MsgStream,
ohlcv: np.ndarray,
@ -131,6 +135,7 @@ async def graphics_update_loop(
# of copying it from last bar's close
# - 1-5 sec bar lookback-autocorrection like tws does?
# (would require a background history checker task)
display_rate = linked.godwidget.window.current_screen().refreshRate()
chart = linked.chart
@ -145,9 +150,8 @@ async def graphics_update_loop(
vlm_view = vlm_chart.view
maxmin = partial(chart_maxmin, chart, vlm_chart)
chart.default_view()
last_bars_range: tuple[float, float]
(
last_bars_range,
last_mx,
@ -181,6 +185,7 @@ async def graphics_update_loop(
chart.show()
view = chart.view
last_quote = time.time()
i_last = ohlcv.index
# async def iter_drain_quotes():
# # NOTE: all code below this loop is expected to be synchronous
@ -215,7 +220,8 @@ async def graphics_update_loop(
# in the absolute worst case we shouldn't see more then
# twice the expected throttle rate right!?
and quote_rate >= _quote_throttle_rate * 1.5
# and quote_rate >= _quote_throttle_rate * 2
and quote_rate >= display_rate
):
log.warning(f'High quote rate {symbol.key}: {quote_rate}')
@ -244,6 +250,22 @@ async def graphics_update_loop(
# https://github.com/pikers/piker/issues/116
array = ohlcv.array
# NOTE: this used to be implemented in a dedicated
# "increment tas": ``check_for_new_bars()`` but it doesn't
# make sense to do a whole task switch when we can just do
# this simple index-diff and all the fsp sub-curve graphics
# are diffed on each draw cycle anyway; so updates to the
# "curve" length is already automatic.
# increment the view position by the sample offset.
i_step = ohlcv.index
i_diff = i_step - i_last
if i_diff > 0:
chart.increment_view(
steps=i_diff,
)
i_last = i_step
if vlm_chart:
vlm_chart.update_curve_from_array('volume', array)
vlm_sticky.update_from_data(*array[-1][['index', 'volume']])
@ -425,79 +447,7 @@ async def graphics_update_loop(
)
# chart.view._set_yrange()
async def check_for_new_bars(
feed: Feed,
ohlcv: np.ndarray,
linkedsplits: LinkedSplits,
) -> None:
'''
Task which updates from new bars in the shared ohlcv buffer every
``delay_s`` seconds.
'''
# 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?
price_chart = linkedsplits.chart
price_chart.default_view()
async with feed.index_stream() as stream:
async for index in stream:
# update chart historical bars graphics by incrementing
# a time step and drawing the history and new bar
# When appending a new bar, in the time between the insert
# from the writing process and the Qt render call, here,
# the index of the shm buffer may be incremented and the
# (render) call here might read the new flat bar appended
# to the buffer (since -1 index read). In that case H==L and the
# body will be set as None (not drawn) on what this render call
# *thinks* is the curent bar (even though it's reading data from
# the newly inserted flat bar.
#
# HACK: We need to therefore write only the history (not the
# current bar) and then either write the current bar manually
# or place a cursor for visual cue of the current time step.
array = ohlcv.array
# avoid unreadable race case on backfills
while not try_read(array):
await trio.sleep(0.01)
# XXX: this puts a flat bar on the current time step
# TODO: if we eventually have an x-axis time-step "cursor"
# we can get rid of this since it is extra overhead.
price_chart.update_ohlc_from_array(
price_chart.name,
array,
just_history=False,
)
# main chart overlays
# for name in price_chart._flows:
for curve_name in price_chart._flows:
price_chart.update_curve_from_array(
curve_name,
price_chart._arrays[curve_name]
)
# each subplot
for name, chart in linkedsplits.subplots.items():
# TODO: do we need the same unreadable guard as for the
# price chart (above) here?
chart.update_curve_from_array(
chart.name,
chart._shm.array,
array_key=chart.data_key
)
# shift the view if in follow mode
price_chart.increment_view()
# loop end
async def display_symbol_data(
@ -549,6 +499,7 @@ async def display_symbol_data(
godwidget.window.setWindowTitle(
f'{symbol.key}@{symbol.brokers} '
f'tick:{symbol.tick_size} '
f'step:1s '
)
linkedsplits = godwidget.linkedsplits
@ -627,14 +578,6 @@ async def display_symbol_data(
vlm_chart,
)
# start sample step incrementer
ln.start_soon(
check_for_new_bars,
feed,
ohlcv,
linkedsplits
)
async with (
open_order_mode(
feed,

2
piker/ui/_fsp.py
View File

@ -813,7 +813,7 @@ async def open_vlm_displays(
flow_rates,
{ # fsp engine conf
'func_name': 'flow_rates',
'zero_on_step': True,
'zero_on_step': False,
},
# loglevel,
)

1
setup.py
View File

@ -66,7 +66,6 @@ setup(
'numpy',
'numba',
'pandas',
'msgpack-numpy',
# UI
'PyQt5',