Add support for TICK ingest to marketstore
Tyler Goodlet
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837f4d3823
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"""
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Data infra tooling and automation.
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``piker`` ships with timeseries database integrations
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for retrieving and storing data from your brokers as well
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as sharing your feeds with other fellow pikers.
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"""
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@ -0,0 +1,256 @@
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"""
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``marketstore`` integration.
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"""
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from pprint import pformat
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from typing import Dict, Any
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from functools import partial
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import numpy as np
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import pandas as pd
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import pymarketstore as pymkts
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import click
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import tractor
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from ..cli import cli
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from .. import watchlists as wl
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from ..brokers.data import DataFeed
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from ..log import get_logger
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from ..brokers.core import maybe_spawn_brokerd_as_subactor
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log = get_logger(__name__)
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_tick_tbk_ids = ('1Sec', 'TICK')
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_tick_tbk = '{}/' + '/'.join(_tick_tbk_ids)
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_quote_dt = [
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('Epoch', 'i8'),
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('Nanoseconds', 'i4'),
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('Tick', 'i4'),
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# ('fill_time', 'f4'),
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('Last', 'f4'),
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('Bid', 'f4'),
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('Bsize', 'i8'),
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('Asize', 'i8'),
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('Ask', 'f4'),
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('Size', 'i8'),
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('Volume', 'i8'),
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# ('VWAP', 'f4')
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]
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_tick_map = {
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'Up': 1,
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'Equal': 0,
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'Down': -1
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}
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class MarketStoreError(Exception):
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"Generic marketstore client error"
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def err_on_resp(response: dict) -> None:
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"""Raise any errors found in responses from client request.
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"""
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responses = response['responses']
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if responses is not None:
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for r in responses:
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err = r['error']
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if err:
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raise MarketStoreError(err)
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def quote_to_marketstore_structarray(
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quote: Dict[str, Any],
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last_fills: Dict[str, str],
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) -> np.array:
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"""Return marketstore writeable recarray from quote ``dict``.
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"""
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# pack into List[Tuple[str, Any]]
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array_input = []
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# this should get inserted by the broker-client to subtract from
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# IPC latency
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now = timestamp(pd.Timestamp.now())
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sym = quote['symbol']
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last_fill_time = quote['fill_time']
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if last_fills.get(sym) != last_fill_time:
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# new fill
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now = timestamp(last_fill_time)
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last_fills[sym] = last_fill_time
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secs, ns = now / 10**9, now % 10**9
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# insert 'Epoch' entry first
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array_input.append(int(secs))
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# insert 'Nanoseconds' field
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array_input.append(int(ns))
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# tick mapping to int
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array_input.append(_tick_map[quote['tick']])
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# append remaining fields
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for name, dt in _quote_dt[3:]:
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array_input.append(quote[name.casefold()])
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return np.array([tuple(array_input)], dtype=_quote_dt)
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def timestamp(datestr: str) -> int:
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"""Return marketstore compatible 'Epoch' integer in nanoseconds.
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"""
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return int(pd.Timestamp(datestr).value)
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@cli.command()
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@click.option('--test-file', '-t', help='Test quote stream file')
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@click.option('--tl', is_flag=True, help='Enable tractor logging')
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@click.option('--tl', is_flag=True, help='Enable tractor logging')
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@click.option(
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'--url',
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default='http://localhost:5993/rpc',
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help='HTTP URL of marketstore instance'
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)
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@click.argument('name', nargs=1, required=True)
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@click.pass_obj
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def ingest(config, name, test_file, tl, url):
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"""Ingest real-time broker quotes and ticks to a marketstore instance.
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"""
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# global opts
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brokermod = config['brokermod']
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loglevel = config['loglevel']
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log = config['log']
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watchlist_from_file = wl.ensure_watchlists(config['wl_path'])
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watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
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symbols = watchlists[name]
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async def main(tries):
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async with maybe_spawn_brokerd_as_subactor(
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tries=tries,
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loglevel=loglevel
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) as portal:
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# connect to broker data feed
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feed = DataFeed(portal, brokermod)
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qstream, quotes = await feed.open_stream(
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symbols,
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'stock',
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rate=3,
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test=test_file,
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)
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first_quotes, _ = feed.format_quotes(quotes)
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if first_quotes[0].get('last') is None:
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log.error("Broker API is down temporarily")
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return
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client = pymkts.Client(endpoint=url)
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# keep track of last executed fill for each symbol
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last_fills = {}
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# start ingest to marketstore
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async for quotes in qstream:
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for symbol, quote in quotes.items():
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breakpoint()
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fmt_quote, _ = brokermod.format_stock_quote(
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quote,
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feed._symbol_data_cache
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)
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a = quote_to_marketstore_structarray(fmt_quote, last_fills)
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# start = time.time()
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# err_on_resp(client.write(
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# a, _tick_tbk.format(symbol), isvariablelength=True)
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# )
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# log.trace(
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# f"{symbol} write time (s): {time.time() - start}")
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tractor.run(
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partial(main, tries=1),
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name='ingest_marketstore',
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loglevel=loglevel if tl else None,
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# start_method='forkserver',
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)
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@cli.command()
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@click.option(
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'--tl',
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is_flag=True,
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help='Enable tractor logging')
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@click.option(
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'--url',
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default='http://localhost:5993/rpc',
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help='HTTP URL of marketstore instance'
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)
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@click.argument('name', nargs=1, required=True)
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@click.pass_obj
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def ms_shell(config, name, tl, url):
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"""Start an IPython shell ready to query the local marketstore db.
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"""
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client = pymkts.Client(url)
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def query(name):
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return client.query(
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pymkts.Params(name, *_tick_tbk_ids)).first().df()
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# causes crash
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# client.query(pymkts.Params(symbol, '*', 'OHCLV'
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from IPython import embed
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embed()
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@cli.command()
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@click.option(
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'--url',
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default='http://localhost:5993/rpc',
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help='HTTP URL of marketstore instance'
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)
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@click.argument('names', nargs=-1)
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@click.pass_obj
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def marketstore_destroy(config, names, url):
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"""Destroy symbol entries in the local marketstore instance.
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"""
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client = pymkts.Client(url)
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if not names:
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names = client.list_symbols()
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# default is to wipe db entirely.
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answer = input(
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"This will entirely wipe you local marketstore db @ "
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f"{url} of the following symbols:\n {pformat(names)}"
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"\n\nDelete [N/y]?\n")
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if answer == 'y':
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for sym in names:
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tbk = _tick_tbk.format(sym)
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print(f"Destroying {tbk}..")
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err_on_resp(client.destroy(_tick_tbk.format(sym)))
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else:
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print("Nothing deleted.")
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@cli.command()
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@click.option(
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'--url',
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default='ws://localhost:5993/ws',
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help='HTTP URL of marketstore instance'
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)
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@click.argument('names', nargs=-1)
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@click.pass_obj
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def marketstore_stream(config, names, url):
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"""Destroy symbol entries in the local marketstore instance.
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"""
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symbol = 'APHA'
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conn = pymkts.StreamConn('ws://localhost:5993/ws')
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@conn.on(r'^{}/'.format(symbol))
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def on_tsla(conn, msg):
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print(f'received {symbol}', msg['data'])
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conn.run(['APHA/*/*']) # runs until exception
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