ib: fix mega borked hist queries on gappy assets
Explains why stuff always seemed wrong before XD Previously whenever a time-gappy asset (like a stock due to it's venue operating hours) was being loaded, we weren't querying for a "durations worth" of bars and this was causing all sorts of actual gaps in our data set that shouldn't exist.. Fix that by always attempting to retrieve a min aggregate-time's worth/duration of bars/datums in the history manager. Actually, i implemented this in both the feed and api layers for this backend since it doesn't seem to strictly work just implementing it at the `Client.bars()` level, not sure why but.. Also, buncha `ruff` linting cleanups and fix the logger nameeee, lel.basic_buy_bot
Tyler Goodlet
parent
c8f8724887
commit
75ff3921b6
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@ -21,22 +21,14 @@ runnable script-programs.
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'''
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from __future__ import annotations
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from functools import partial
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from typing import (
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Literal,
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TYPE_CHECKING,
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)
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from typing import Literal
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import subprocess
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import tractor
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from .._util import log
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if TYPE_CHECKING:
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from .api import (
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MethodProxy,
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ib_Client
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)
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from .._util import get_logger
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log = get_logger('piker.brokers.ib')
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_reset_tech: Literal[
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'vnc',
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@ -423,7 +423,7 @@ class Client:
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# optional "duration of time" equal to the
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# length of the returned history frame.
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duration: Optional[str] = None,
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duration: str | None = None,
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**kwargs,
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@ -475,6 +475,8 @@ class Client:
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# whatToShow='MIDPOINT',
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# whatToShow='TRADES',
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)
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# tail case if no history for range or none prior.
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if not bars:
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# NOTE: there's 2 cases here to handle (and this should be
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# read alongside the implementation of
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@ -489,6 +491,32 @@ class Client:
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# rewrite the method in the first case? right now there's no
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# way to detect a timeout.
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# NOTE XXX: ensure minimum duration in bars B)
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# => we recursively call this method until we get at least
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# as many bars such that they sum in aggregate to the the
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# desired total time (duration) at most.
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elif (
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end_dt
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and (
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(len(bars) * sample_period_s) < dt_duration.in_seconds()
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)
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):
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log.warning(
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f'Recursing to get more bars from {end_dt} for {dt_duration}'
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)
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end_dt -= dt_duration
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(
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r_bars,
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r_arr,
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r_duration,
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) = await self.bars(
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fqme,
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start_dt=start_dt,
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end_dt=end_dt,
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)
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r_bars.extend(bars)
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bars = r_bars
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nparr = bars_to_np(bars)
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return bars, nparr, dt_duration
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@ -921,7 +949,7 @@ class Client:
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done, pending = await asyncio.wait(
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[ready],
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timeout=0.1,
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timeout=0.01,
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)
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if ready in done:
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break
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@ -1401,7 +1429,7 @@ async def open_client_proxies() -> tuple[
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# TODO: maybe this should be the default in tractor?
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key=tractor.current_actor().uid,
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) as (cache_hit, (clients, from_aio)),
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) as (cache_hit, (clients, _)),
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AsyncExitStack() as stack
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):
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@ -30,8 +30,8 @@ from functools import partial
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from math import isnan
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import time
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from typing import (
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Any,
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Callable,
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Optional,
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Awaitable,
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)
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@ -180,8 +180,8 @@ async def open_history_client(
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async def get_hist(
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timeframe: float,
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end_dt: Optional[datetime] = None,
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start_dt: Optional[datetime] = None,
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end_dt: datetime | None = None,
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start_dt: datetime | None = None,
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) -> tuple[np.ndarray, str]:
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nonlocal max_timeout, mean, count
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@ -192,6 +192,7 @@ async def open_history_client(
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fqme,
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timeframe,
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end_dt=end_dt,
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start_dt=start_dt,
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)
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latency = time.time() - query_start
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if (
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@ -325,6 +326,7 @@ async def wait_on_data_reset(
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_data_resetter_task: trio.Task | None = None
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_failed_resets: int = 0
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async def get_bars(
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proxy: MethodProxy,
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@ -333,6 +335,7 @@ async def get_bars(
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# blank to start which tells ib to look up the latest datum
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end_dt: str = '',
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start_dt: str | None = '',
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# TODO: make this more dynamic based on measured frame rx latency?
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# how long before we trigger a feed reset (seconds)
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@ -387,9 +390,23 @@ async def get_bars(
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bars, bars_array, dt_duration = out
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# not enough bars signal, likely due to venue
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# operational gaps.
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too_little: bool = False
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if (
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end_dt
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and (
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not bars
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and end_dt
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or (too_little :=
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start_dt
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and (len(bars) * timeframe)
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< dt_duration.in_seconds()
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)
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)
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):
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if (
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end_dt
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or too_little
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):
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log.warning(
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f'History is blank for {dt_duration} from {end_dt}'
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@ -397,6 +414,8 @@ async def get_bars(
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end_dt -= dt_duration
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continue
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raise NoData(f'{end_dt}')
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if bars_array is None:
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raise SymbolNotFound(fqme)
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@ -544,6 +563,7 @@ async def get_bars(
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await reset_done.wait()
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_data_resetter_task = None if unset_resetter else _data_resetter_task
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assert result
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return result, data_cs is not None
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@ -602,13 +622,12 @@ async def _setup_quote_stream(
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'''
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global _quote_streams
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to_trio.send_nowait(None)
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async with load_aio_clients(
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disconnect_on_exit=False,
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) as accts2clients:
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caccount_name, client = get_preferred_data_client(accts2clients)
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contract = contract or (await client.find_contract(symbol))
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to_trio.send_nowait(contract) # cuz why not
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ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
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# NOTE: it's batch-wise and slow af but I guess could
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@ -700,7 +719,9 @@ async def open_aio_quote_stream(
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symbol=symbol,
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contract=contract,
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) as (first, from_aio):
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) as (contract, from_aio):
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assert contract
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# cache feed for later consumers
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_quote_streams[symbol] = from_aio
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@ -783,7 +804,6 @@ async def get_mkt_info(
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# bs_fqme, _, broker = fqme.partition('.')
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proxy: MethodProxy
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get_details: bool = False
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if proxy is not None:
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client_ctx = nullcontext(proxy)
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else:
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@ -800,7 +820,6 @@ async def get_mkt_info(
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raise
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# TODO: more consistent field translation
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init_info: dict = {}
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atype = _asset_type_map[con.secType]
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if atype == 'commodity':
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@ -912,7 +931,8 @@ async def stream_quotes(
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con: Contract = details.contract
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first_ticker: Ticker = await proxy.get_quote(contract=con)
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first_quote: dict = normalize(first_ticker)
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log.runtime(f'FIRST QUOTE: {first_quote}')
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log.warning(f'FIRST QUOTE: {first_quote}')
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# TODO: we should instead spawn a task that waits on a feed to start
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# and let it wait indefinitely..instead of this hard coded stuff.
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@ -1045,7 +1065,7 @@ async def open_symbol_search(
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await ctx.started({})
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async with (
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open_client_proxies() as (proxies, clients),
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open_client_proxies() as (proxies, _),
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open_data_client() as data_proxy,
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):
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async with ctx.open_stream() as stream:
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