fsp: intro a `Cascade` type that connects `Flume`s of streams
Tyler Goodlet
parent
b8065a413b
commit
656e2c6a88
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@ -42,26 +42,6 @@ if TYPE_CHECKING:
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from .feed import Feed
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# TODO: ideas for further abstractions as per
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# https://github.com/pikers/piker/issues/216 and
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# https://github.com/pikers/piker/issues/270:
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# - a ``Cascade`` would be the minimal "connection" of 2 ``Flumes``
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# as per circuit parlance:
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# https://en.wikipedia.org/wiki/Two-port_network#Cascade_connection
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# - could cover the combination of our `FspAdmin` and the
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# backend `.fsp._engine` related machinery to "connect" one flume
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# to another?
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# - a (financial signal) ``Flow`` would be the a "collection" of such
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# minmial cascades. Some engineering based jargon concepts:
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# - https://en.wikipedia.org/wiki/Signal_chain
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# - https://en.wikipedia.org/wiki/Daisy_chain_(electrical_engineering)
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# - https://en.wikipedia.org/wiki/Audio_signal_flow
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# - https://en.wikipedia.org/wiki/Digital_signal_processing#Implementation
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# - https://en.wikipedia.org/wiki/Dataflow_programming
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# - https://en.wikipedia.org/wiki/Signal_programming
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# - https://en.wikipedia.org/wiki/Incremental_computing
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class Flume(Struct):
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'''
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Composite reference type which points to all the addressing handles
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@ -18,7 +18,8 @@
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core task logic for processing chains
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'''
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from dataclasses import dataclass
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from __future__ import annotations
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from contextlib import asynccontextmanager as acm
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from functools import partial
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from typing import (
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AsyncIterator,
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@ -33,6 +34,7 @@ from trio_typing import TaskStatus
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import tractor
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from tractor.msg import NamespacePath
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from piker.types import Struct
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from ..log import get_logger, get_console_log
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from .. import data
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from ..data import attach_shm_array
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@ -56,12 +58,6 @@ from ..toolz import Profiler
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log = get_logger(__name__)
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@dataclass
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class TaskTracker:
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complete: trio.Event
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cs: trio.CancelScope
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async def filter_quotes_by_sym(
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sym: str,
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@ -82,9 +78,133 @@ async def filter_quotes_by_sym(
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if quote:
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yield quote
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# TODO: unifying the abstractions in this FSP subsys/layer:
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# -[ ] move the `.data.flows.Flume` type into this
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# module/subsys/pkg?
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# -[ ] ideas for further abstractions as per
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# - https://github.com/pikers/piker/issues/216,
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# - https://github.com/pikers/piker/issues/270:
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# - a (financial signal) ``Flow`` would be the a "collection" of such
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# minmial cascades. Some engineering based jargon concepts:
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# - https://en.wikipedia.org/wiki/Signal_chain
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# - https://en.wikipedia.org/wiki/Daisy_chain_(electrical_engineering)
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# - https://en.wikipedia.org/wiki/Audio_signal_flow
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# - https://en.wikipedia.org/wiki/Digital_signal_processing#Implementation
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# - https://en.wikipedia.org/wiki/Dataflow_programming
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# - https://en.wikipedia.org/wiki/Signal_programming
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# - https://en.wikipedia.org/wiki/Incremental_computing
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# - https://en.wikipedia.org/wiki/Signal-flow_graph
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# - https://en.wikipedia.org/wiki/Signal-flow_graph#Basic_components
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async def fsp_compute(
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# -[ ] we probably want to eval THE BELOW design and unify with the
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# proto `TaskManager` in the `tractor` dev branch as well as with
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# our below idea for `Cascade`:
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# - https://github.com/goodboy/tractor/pull/363
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class Cascade(Struct):
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'''
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As per sig-proc engineering parlance, this is a chaining of
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`Flume`s, which are themselves collections of "Streams"
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implemented currently via `ShmArray`s.
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A `Cascade` is be the minimal "connection" of 2 `Flumes`
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as per circuit parlance:
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https://en.wikipedia.org/wiki/Two-port_network#Cascade_connection
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TODO:
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-[ ] could cover the combination of our `FspAdmin` and the
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backend `.fsp._engine` related machinery to "connect" one flume
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to another?
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'''
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# TODO: make these `Flume`s
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src: ShmArray
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dst: ShmArray
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tn: trio.Nursery
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fsp: Fsp # UI-side middleware ctl API
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# filled during cascade/.bind_func() (fsp_compute) init phases
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bind_func: Callable | None = None
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complete: trio.Event | None = None
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cs: trio.CancelScope | None = None
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client_stream: tractor.MsgStream | None = None
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async def resync(self) -> int:
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# TODO: adopt an incremental update engine/approach
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# where possible here eventually!
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log.info(f're-syncing fsp {self.fsp.name} to source')
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self.cs.cancel()
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await self.complete.wait()
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index: int = await self.tn.start(self.bind_func)
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# always trigger UI refresh after history update,
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# see ``piker.ui._fsp.FspAdmin.open_chain()`` and
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# ``piker.ui._display.trigger_update()``.
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await self.client_stream.send({
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'fsp_update': {
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'key': self.dst.token,
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'first': self.dst._first.value,
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'last': self.dst._last.value,
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}
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})
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return index
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def is_synced(self) -> tuple[bool, int, int]:
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'''
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Predicate to dertmine if a destination FSP
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output array is aligned to its source array.
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'''
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src: ShmArray = self.src
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dst: ShmArray = self.dst
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step_diff = src.index - dst.index
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len_diff = abs(len(src.array) - len(dst.array))
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synced: bool = not (
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# the source is likely backfilling and we must
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# sync history calculations
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len_diff > 2
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# we aren't step synced to the source and may be
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# leading/lagging by a step
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or step_diff > 1
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or step_diff < 0
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)
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if not synced:
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fsp: Fsp = self.fsp
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log.warning(
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'***DESYNCED FSP***\n'
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f'{fsp.ns_path}@{src.token}\n'
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f'step_diff: {step_diff}\n'
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f'len_diff: {len_diff}\n'
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)
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return (
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synced,
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step_diff,
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len_diff,
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)
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async def poll_and_sync_to_step(self) -> int:
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synced, step_diff, _ = self.is_synced() #src, dst)
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while not synced:
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await self.resync()
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synced, step_diff, _ = self.is_synced() #src, dst)
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return step_diff
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@acm
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async def open_edge(
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self,
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bind_func: Callable,
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) -> int:
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self.bind_func = bind_func
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index = await self.tn.start(bind_func)
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yield index
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# TODO: what do we want on teardown/error?
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# -[ ] dynamic reconnection after update?
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async def connect_streams(
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casc: Cascade,
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mkt: MktPair,
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flume: Flume,
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quote_stream: trio.abc.ReceiveChannel,
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@ -98,13 +218,27 @@ async def fsp_compute(
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task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Stream and per-sample compute and write the cascade of
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2 `Flumes`/streams given some operating `func`.
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https://en.wikipedia.org/wiki/Signal-flow_graph#Basic_components
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Not literally, but something like:
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func(Flume_in) -> Flume_out
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'''
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profiler = Profiler(
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delayed=False,
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disabled=True
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)
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fqme = mkt.fqme
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fqme: str = mkt.fqme
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# TODO: dynamic introspection of what the underlying (vertex)
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# function actually requires from input node (flumes) then
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# deliver those inputs as part of a graph "compilation" step?
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out_stream = func(
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# TODO: do we even need this if we do the feed api right?
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@ -113,7 +247,8 @@ async def fsp_compute(
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# async itertools style?
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filter_quotes_by_sym(fqme, quote_stream),
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# XXX: currently the ``ohlcv`` arg
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# XXX: currently the ``ohlcv`` arg, but we should allow
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# (dynamic) requests for src flume (node) streams?
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flume.rt_shm,
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)
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@ -216,12 +351,9 @@ async def fsp_compute(
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# setup a respawn handle
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with trio.CancelScope() as cs:
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# TODO: might be better to just make a "restart" method where
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# the target task is spawned implicitly and then the event is
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# set via some higher level api? At that poing we might as well
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# be writing a one-cancels-one nursery though right?
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tracker = TaskTracker(trio.Event(), cs)
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task_status.started((tracker, index))
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casc.cs = cs
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casc.complete = trio.Event()
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task_status.started(index)
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profiler(f'{func_name} yield last index')
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@ -262,7 +394,7 @@ async def fsp_compute(
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# log.info(f'FSP quote too fast: {hz}')
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# last = time.time()
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finally:
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tracker.complete.set()
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casc.complete.set()
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@tractor.context
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@ -273,6 +405,7 @@ async def cascade(
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# data feed key
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fqme: str,
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# TODO: expect and attach from `Flume.to_msg()`s!
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src_shm_token: dict,
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dst_shm_token: tuple[str, np.dtype],
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@ -297,8 +430,8 @@ async def cascade(
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if loglevel:
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get_console_log(loglevel)
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src = attach_shm_array(token=src_shm_token)
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dst = attach_shm_array(readonly=False, token=dst_shm_token)
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src: ShmArray = attach_shm_array(token=src_shm_token)
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dst: ShmArray = attach_shm_array(readonly=False, token=dst_shm_token)
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reg = _load_builtins()
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lines = '\n'.join([f'{key.rpartition(":")[2]} => {key}' for key in reg])
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@ -320,7 +453,7 @@ async def cascade(
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fsp: Fsp = reg.get(
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NamespacePath(ns_path)
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)
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func = fsp.func
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func: Callable = fsp.func
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if not func:
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# TODO: assume it's a func target path
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@ -341,17 +474,32 @@ async def cascade(
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flume = feed.flumes[fqme]
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mkt = flume.mkt
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# TODO: make an equivalent `Flume` around the Fsp output
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# streams and chain them using a `Cascade` Bo
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assert src.token == flume.rt_shm.token
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profiler(f'{func}: feed up')
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func_name = func.__name__
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func_name: str = func.__name__
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async with (
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trio.open_nursery() as n,
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trio.open_nursery() as tn,
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):
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# TODO: might be better to just make a "restart" method where
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# the target task is spawned implicitly and then the event is
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# set via some higher level api? At that poing we might as well
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# be writing a one-cancels-one nursery though right?
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casc = Cascade(
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src,
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dst,
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tn,
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fsp,
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)
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# TODO: this seems like it should be wrapped somewhere?
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fsp_target = partial(
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fsp_compute,
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connect_streams,
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casc=casc,
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mkt=mkt,
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flume=flume,
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quote_stream=flume.stream,
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@ -360,156 +508,95 @@ async def cascade(
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src=src,
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dst=dst,
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# target
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# chain function which takes src flume input(s)
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# and renders dst flume output(s)
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func=func
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)
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async with casc.open_edge(
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bind_func=fsp_target,
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) as index:
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# casc.bind_func = fsp_target
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# index = await tn.start(fsp_target)
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tracker, index = await n.start(fsp_target)
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if zero_on_step:
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last = dst.array[-1:]
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zeroed = np.zeros(last.shape, dtype=last.dtype)
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if zero_on_step:
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last = dst.array[-1:]
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zeroed = np.zeros(last.shape, dtype=last.dtype)
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profiler(f'{func_name}: fsp up')
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profiler(f'{func_name}: fsp up')
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# sync client
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await ctx.started(index)
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# sync client
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await ctx.started(index)
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# XXX: rt stream with client which we MUST
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# open here (and keep it open) in order to make
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# incremental "updates" as history prepends take
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# place.
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async with ctx.open_stream() as client_stream:
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casc.client_stream = client_stream
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# XXX: rt stream with client which we MUST
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# open here (and keep it open) in order to make
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# incremental "updates" as history prepends take
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# place.
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async with ctx.open_stream() as client_stream:
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s, step, ld = casc.is_synced() #src, dst)
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# TODO: these likely should all become
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# methods of this ``TaskLifetime`` or wtv
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# abstraction..
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async def resync(
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tracker: TaskTracker,
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# detect sample period step for subscription to increment
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# signal
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times = src.array['time']
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if len(times) > 1:
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last_ts = times[-1]
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delay_s = float(last_ts - times[times != last_ts][-1])
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else:
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# our default "HFT" sample rate.
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delay_s = _default_delay_s
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) -> tuple[TaskTracker, int]:
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# TODO: adopt an incremental update engine/approach
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# where possible here eventually!
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log.info(f're-syncing fsp {func_name} to source')
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tracker.cs.cancel()
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await tracker.complete.wait()
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tracker, index = await n.start(fsp_target)
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# sub and increment the underlying shared memory buffer
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# on every step msg received from the global `samplerd`
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# service.
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async with open_sample_stream(float(delay_s)) as istream:
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# always trigger UI refresh after history update,
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# see ``piker.ui._fsp.FspAdmin.open_chain()`` and
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# ``piker.ui._display.trigger_update()``.
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await client_stream.send({
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'fsp_update': {
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'key': dst_shm_token,
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'first': dst._first.value,
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'last': dst._last.value,
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}
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})
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return tracker, index
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profiler(f'{func_name}: sample stream up')
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profiler.finish()
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def is_synced(
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src: ShmArray,
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dst: ShmArray
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) -> tuple[bool, int, int]:
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'''
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Predicate to dertmine if a destination FSP
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output array is aligned to its source array.
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async for i in istream:
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# print(f'FSP incrementing {i}')
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'''
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step_diff = src.index - dst.index
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len_diff = abs(len(src.array) - len(dst.array))
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return not (
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# the source is likely backfilling and we must
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# sync history calculations
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len_diff > 2
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# respawn the compute task if the source
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# array has been updated such that we compute
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# new history from the (prepended) source.
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synced, step_diff, _ = casc.is_synced() #src, dst)
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if not synced:
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step_diff: int = await casc.poll_and_sync_to_step()
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# we aren't step synced to the source and may be
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# leading/lagging by a step
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or step_diff > 1
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or step_diff < 0
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), step_diff, len_diff
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# skip adding a last bar since we should already
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# be step alinged
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if step_diff == 0:
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continue
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async def poll_and_sync_to_step(
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tracker: TaskTracker,
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src: ShmArray,
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dst: ShmArray,
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# read out last shm row, copy and write new row
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array = dst.array
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) -> tuple[TaskTracker, int]:
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# some metrics like vlm should be reset
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# to zero every step.
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if zero_on_step:
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last = zeroed
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else:
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last = array[-1:].copy()
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synced, step_diff, _ = is_synced(src, dst)
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while not synced:
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tracker, index = await resync(tracker)
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synced, step_diff, _ = is_synced(src, dst)
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dst.push(last)
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return tracker, step_diff
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# sync with source buffer's time step
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src_l2 = src.array[-2:]
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src_li, src_lt = src_l2[-1][['index', 'time']]
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src_2li, src_2lt = src_l2[-2][['index', 'time']]
|
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dst._array['time'][src_li] = src_lt
|
||||
dst._array['time'][src_2li] = src_2lt
|
||||
|
||||
s, step, ld = is_synced(src, dst)
|
||||
|
||||
# detect sample period step for subscription to increment
|
||||
# signal
|
||||
times = src.array['time']
|
||||
if len(times) > 1:
|
||||
last_ts = times[-1]
|
||||
delay_s = float(last_ts - times[times != last_ts][-1])
|
||||
else:
|
||||
# our default "HFT" sample rate.
|
||||
delay_s = _default_delay_s
|
||||
|
||||
# sub and increment the underlying shared memory buffer
|
||||
# on every step msg received from the global `samplerd`
|
||||
# service.
|
||||
async with open_sample_stream(float(delay_s)) as istream:
|
||||
|
||||
profiler(f'{func_name}: sample stream up')
|
||||
profiler.finish()
|
||||
|
||||
async for i in istream:
|
||||
# print(f'FSP incrementing {i}')
|
||||
|
||||
# respawn the compute task if the source
|
||||
# array has been updated such that we compute
|
||||
# new history from the (prepended) source.
|
||||
synced, step_diff, _ = is_synced(src, dst)
|
||||
if not synced:
|
||||
tracker, step_diff = await poll_and_sync_to_step(
|
||||
tracker,
|
||||
src,
|
||||
dst,
|
||||
)
|
||||
|
||||
# skip adding a last bar since we should already
|
||||
# be step alinged
|
||||
if step_diff == 0:
|
||||
continue
|
||||
|
||||
# read out last shm row, copy and write new row
|
||||
array = dst.array
|
||||
|
||||
# some metrics like vlm should be reset
|
||||
# to zero every step.
|
||||
if zero_on_step:
|
||||
last = zeroed
|
||||
else:
|
||||
last = array[-1:].copy()
|
||||
|
||||
dst.push(last)
|
||||
|
||||
# sync with source buffer's time step
|
||||
src_l2 = src.array[-2:]
|
||||
src_li, src_lt = src_l2[-1][['index', 'time']]
|
||||
src_2li, src_2lt = src_l2[-2][['index', 'time']]
|
||||
dst._array['time'][src_li] = src_lt
|
||||
dst._array['time'][src_2li] = src_2lt
|
||||
|
||||
# last2 = dst.array[-2:]
|
||||
# if (
|
||||
# last2[-1]['index'] != src_li
|
||||
# or last2[-2]['index'] != src_2li
|
||||
# ):
|
||||
# dstl2 = list(last2)
|
||||
# srcl2 = list(src_l2)
|
||||
# print(
|
||||
# # f'{dst.token}\n'
|
||||
# f'src: {srcl2}\n'
|
||||
# f'dst: {dstl2}\n'
|
||||
# )
|
||||
# last2 = dst.array[-2:]
|
||||
# if (
|
||||
# last2[-1]['index'] != src_li
|
||||
# or last2[-2]['index'] != src_2li
|
||||
# ):
|
||||
# dstl2 = list(last2)
|
||||
# srcl2 = list(src_l2)
|
||||
# print(
|
||||
# # f'{dst.token}\n'
|
||||
# f'src: {srcl2}\n'
|
||||
# f'dst: {dstl2}\n'
|
||||
# )
|
||||
|
|
|
|||
Loading…
Reference in New Issue