pikers
/
piker
3
0
Fork 0
Code Issues 2 Pull Requests 5 Packages Projects Releases Wiki Activity

Prototype a high level `Storage` api 

Starts a wrapper around the `marketstore` client to do basic ohlcv query
and retrieval and prototypes out write methods for ohlc and tick.
Try to connect to `marketstore` automatically (which will fail if not
started currently) but we will eventually first do a service query.

Further:

- get `pikerd` working with and without `--tsdb` flag.
- support spawning `brokerd` with no real-time quotes.
- bring back in "fqsn" support that was originally not
  in this history before commits factoring.
l1_precision_fix
Tyler Goodlet 2022-03-01 12:29:49 -05:00
parent cbe74d126e
commit 706c8085f2
2 changed files with 194 additions and 42 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

84
piker/data/feed.py
View File

@ -22,6 +22,7 @@ This module is enabled for ``brokerd`` daemons.
"""
from __future__ import annotations
from dataclasses import dataclass, field
from datetime import datetime
from contextlib import asynccontextmanager
from functools import partial
from types import ModuleType
@ -42,11 +43,13 @@ from .._cacheables import maybe_open_context
from ..log import get_logger, get_console_log
from .._daemon import (
maybe_spawn_brokerd,
check_for_service,
)
from ._sharedmem import (
maybe_open_shm_array,
attach_shm_array,
ShmArray,
_secs_in_day,
)
from .ingest import get_ingestormod
from ._source import (
@ -125,7 +128,7 @@ class _FeedsBus(BaseModel):
# def cancel_task(
# self,
# task: trio.lowlevel.Task
# task: trio.lowlevel.Task,
# ) -> bool:
# ...
@ -218,7 +221,61 @@ async def manage_history(
readonly=False,
)
if opened:
log.info('Scanning for existing `marketstored`')
is_up = await check_for_service('marketstored')
if is_up and opened:
log.info('Found existing `marketstored`')
from . import marketstore
async with marketstore.open_storage_client(
fqsn,
) as (storage, tsdb_arrays):
# 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 tsdb_arrays:
log.info(f'Loaded tsdb history {tsdb_arrays}')
fastest = list(tsdb_arrays[fqsn].values())[0]
last_s = fastest['Epoch'][-1]
# TODO: see if there's faster multi-field reads:
# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
# re-index with a `time` and index field
shm.push(
fastest[-3 * _secs_in_day:],
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
prepend=True,
start=shm._len - _secs_in_day,
field_map={
'Epoch': 'time',
'Open': 'open',
'High': 'high',
'Low': 'low',
'Close': 'close',
'Volume': 'volume',
},
)
# start history anal and load missing new data via backend.
async with mod.open_history_client(fqsn) as hist:
# get latest query's worth of history
array, next_dt = await hist(end_dt='')
last_dt = datetime.fromtimestamp(last_s)
array, next_dt = await hist(end_dt=last_dt)
some_data_ready.set()
elif opened:
log.info('No existing `marketstored` found..')
# start history backfill task ``backfill_bars()`` is
@ -254,6 +311,7 @@ async def manage_history(
)
await trio.sleep_forever()
# cs.cancel()
async def allocate_persistent_feed(
@ -261,6 +319,7 @@ async def allocate_persistent_feed(
brokername: str,
symbol: str,
loglevel: str,
start_stream: bool = True,
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
@ -302,10 +361,8 @@ async def allocate_persistent_feed(
loglevel=loglevel,
)
)
# the broker-specific fully qualified symbol name,
# but ensure it is lower-cased for external use.
bfqsn = init_msg[symbol]['fqsn'].lower()
init_msg[symbol]['fqsn'] = bfqsn
# the broker-specific fully qualified symbol name
bfqsn = init_msg[symbol]['fqsn']
# HISTORY, run 2 tasks:
# - a history loader / maintainer
@ -333,6 +390,7 @@ async def allocate_persistent_feed(
# true fqsn
fqsn = '.'.join((bfqsn, brokername))
# add a fqsn entry that includes the ``.<broker>`` suffix
init_msg[fqsn] = msg
@ -364,6 +422,9 @@ async def allocate_persistent_feed(
# task_status.started((init_msg, generic_first_quotes))
task_status.started()
if not start_stream:
await trio.sleep_forever()
# backend will indicate when real-time quotes have begun.
await feed_is_live.wait()
@ -429,13 +490,12 @@ async def open_feed_bus(
bus=bus,
brokername=brokername,
# here we pass through the selected symbol in native
# "format" (i.e. upper vs. lowercase depending on
# provider).
symbol=symbol,
loglevel=loglevel,
start_stream=start_stream,
)
)
# TODO: we can remove this?
@ -446,7 +506,7 @@ async def open_feed_bus(
init_msg, first_quotes = bus.feeds[symbol]
msg = init_msg[symbol]
bfqsn = msg['fqsn'].lower()
bfqsn = msg['fqsn']
# true fqsn
fqsn = '.'.join([bfqsn, brokername])
@ -765,10 +825,7 @@ async def maybe_open_feed(
**kwargs,
) -> (
Feed,
ReceiveChannel[dict[str, Any]],
):
) -> (Feed, ReceiveChannel[dict[str, Any]]):
'''
Maybe open a data to a ``brokerd`` daemon only if there is no
local one for the broker-symbol pair, if one is cached use it wrapped
@ -789,7 +846,6 @@ async def maybe_open_feed(
'start_stream': kwargs.get('start_stream', True),
},
key=fqsn,
) as (cache_hit, feed):
if cache_hit:

152
piker/data/marketstore.py
View File

@ -28,8 +28,9 @@ from pprint import pformat
from typing import (
Any,
Optional,
Union,
# Callable,
TYPE_CHECKING,
# TYPE_CHECKING,
)
import time
from math import isnan
@ -40,12 +41,19 @@ import numpy as np
import pandas as pd
import tractor
from trio_websocket import open_websocket_url
from anyio_marketstore import open_marketstore_client, MarketstoreClient, Params
from anyio_marketstore import (
open_marketstore_client,
MarketstoreClient,
Params,
)
import purerpc
from ..log import get_logger, get_console_log
from .feed import maybe_open_feed
from ._source import mk_fqsn, Symbol
from ._source import (
mk_fqsn,
# Symbol,
)
from ..log import get_logger, get_console_log
# if TYPE_CHECKING:
# from ._sharedmem import ShmArray
@ -210,42 +218,130 @@ tf_in_1s = bidict({
})
async def manage_history(
fqsn: str,
period: int = 1, # in seconds
) -> dict[str, np.ndarray]:
class Storage:
'''
Load a series by key and deliver in ``numpy`` struct array
format.
High level storage api for both real-time and historical ingest.
'''
def __init__(
self,
client: MarketstoreClient,
) -> None:
# TODO: eventually this should be an api/interface type that
# ensures we can support multiple tsdb backends.
self.client = client
# series' cache from tsdb reads
self._arrays: dict[str, np.ndarray] = {}
async def write_ticks(self, ticks: list) -> None:
...
async def write_ohlcv(self, ohlcv: np.ndarray) -> None:
...
async def read_ohlcv(
self,
fqsn: str,
timeframe: Optional[Union[int, str]] = None,
) -> tuple[
MarketstoreClient,
Union[dict, np.ndarray]
]:
client = self.client
syms = await client.list_symbols()
if fqsn not in syms:
return {}
if timeframe is None:
log.info(f'starting {fqsn} tsdb granularity scan..')
# loop through and try to find highest granularity
for tfstr in tf_in_1s.values():
try:
log.info(f'querying for {tfstr}@{fqsn}')
result = await client.query(Params(fqsn, tfstr, 'OHLCV',))
break
except purerpc.grpclib.exceptions.UnknownError:
# XXX: this is already logged by the container and
# thus shows up through `marketstored` logs relay.
# log.warning(f'{tfstr}@{fqsn} not found')
continue
else:
return {}
else:
tfstr = tf_in_1s[timeframe]
result = await client.query(Params(fqsn, tfstr, 'OHLCV',))
# Fill out a `numpy` array-results map
arrays = {}
for fqsn, data_set in result.by_symbols().items():
arrays.setdefault(fqsn, {})[
tf_in_1s.inverse[data_set.timeframe]
] = data_set.array
return (
client,
arrays[fqsn][timeframe] if timeframe else arrays,
)
@acm
async def open_storage_client(
fqsn: str,
period: Optional[Union[int, str]] = None, # in seconds
) -> tuple[Storage, dict[str, np.ndarray]]:
'''
Load a series by key and deliver in ``numpy`` struct array format.
'''
async with get_client() as client:
tfstr = tf_in_1s[period]
result = await client.query(
Params(fqsn, tf_in_1s, 'OHLCV',)
storage_client = Storage(client)
arrays = await storage_client.read_ohlcv(
fqsn,
period,
)
# Dig out `numpy` results map
arrays = {}
# for qr in [onem, fivem]:
for name, data_set in result.by_symbols().items():
arrays[(name, qr)] = data_set.array
await tractor.breakpoint()
# # TODO: backfiller loop
# array = arrays[(fqsn, qr)]
return arrays
yield storage_client, arrays
async def backfill_history_diff(
# symbol: Symbol
) -> list[str]:
# TODO:
# - compute time-smaple step
# - take ``Symbol`` as input
# - backtrack into history using backend helper endpoint
# TODO: real-time dedicated task for ensuring
# history consistency between the tsdb, shm and real-time feed..
# update sequence design notes:
# - load existing highest frequency data from mkts
# * how do we want to offer this to the UI?
# - lazy loading?
# - try to load it all and expect graphics caching/diffing
# to hide extra bits that aren't in view?
# - compute the diff between latest data from broker and shm
# * use sql api in mkts to determine where the backend should
# start querying for data?
# * append any diff with new shm length
# * determine missing (gapped) history by scanning
# * how far back do we look?
# - begin rt update ingest and aggregation
# * could start by always writing ticks to mkts instead of
# worrying about a shm queue for now.
# * we have a short list of shm queues worth groking:
# - https://github.com/pikers/piker/issues/107
# * the original data feed arch blurb:
# - https://github.com/pikers/piker/issues/98
#
broker = 'ib'
symbol = 'mnq.globex'