Move feed api(s) into new submodule
Also add a --pdb flag to chart app.order_mode_finesse
Tyler Goodlet
parent
0b10c8d6d6
commit
7d6bc4d856
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@ -152,6 +152,7 @@ _data_mods = [
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'piker.brokers.core',
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'piker.brokers.data',
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'piker.data',
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'piker.data.feed',
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'piker.data._sampling'
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]
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@ -30,7 +30,7 @@ import tractor
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from ..cli import cli
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from .. import watchlists as wl
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from ..log import get_console_log, colorize_json, get_logger
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from ..data import maybe_spawn_brokerd
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from .._daemon import maybe_spawn_brokerd
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from ..brokers import core, get_brokermod, data
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log = get_logger('cli')
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@ -15,452 +15,35 @@
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Data feed apis and infra.
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Data infra.
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We provide tsdb integrations for retrieving
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and storing data from your brokers as well as
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sharing your feeds with other fellow pikers.
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sharing live streams over a network.
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"""
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from dataclasses import dataclass, field
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from contextlib import asynccontextmanager
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from functools import partial
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from importlib import import_module
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from types import ModuleType
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from typing import (
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Dict, Any, Sequence,
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AsyncIterator, Optional,
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List
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)
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import trio
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from trio_typing import TaskStatus
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import tractor
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from pydantic import BaseModel
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from ..brokers import get_brokermod
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from ..log import get_logger, get_console_log
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from .._daemon import (
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maybe_spawn_brokerd,
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)
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from ._normalize import iterticks
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from ._sharedmem import (
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maybe_open_shm_array,
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attach_shm_array,
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open_shm_array,
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ShmArray,
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get_shm_token,
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ShmArray,
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)
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from ._source import base_iohlc_dtype, Symbol
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from ._sampling import (
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_shms,
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_incrementers,
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increment_ohlc_buffer,
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iter_ohlc_periods,
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sample_and_broadcast,
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from .feed import (
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open_feed,
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_setup_persistent_brokerd,
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)
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__all__ = [
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'open_feed',
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'maybe_spawn_brokerd',
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'ShmArray',
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'iterticks',
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'maybe_open_shm_array',
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'attach_shm_array',
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'open_shm_array',
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'get_shm_token',
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# 'subscribe_ohlc_for_increment',
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'_setup_persistent_brokerd',
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]
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log = get_logger(__name__)
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__ingestors__ = [
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'marketstore',
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]
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def get_ingestormod(name: str) -> ModuleType:
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"""Return the imported ingestor module by name.
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"""
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module = import_module('.' + name, 'piker.data')
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# we only allow monkeying because it's for internal keying
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module.name = module.__name__.split('.')[-1]
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return module
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class _FeedsBus(BaseModel):
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"""Data feeds broadcaster and persistence management.
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This is a brokerd side api used to manager persistent real-time
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streams that can be allocated and left alive indefinitely.
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"""
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brokername: str
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nursery: trio.Nursery
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feeds: Dict[str, trio.CancelScope] = {}
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subscribers: Dict[str, List[tractor.Context]] = {}
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task_lock: trio.StrictFIFOLock = trio.StrictFIFOLock()
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class Config:
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arbitrary_types_allowed = True
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async def cancel_all(self) -> None:
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for sym, (cs, msg, quote) in self.feeds.items():
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log.debug(f'Cancelling cached feed for {self.brokername}:{sym}')
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cs.cancel()
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_bus: _FeedsBus = None
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def get_feed_bus(
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brokername: str,
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nursery: Optional[trio.Nursery] = None,
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) -> _FeedsBus:
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"""
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Retreive broker-daemon-local data feeds bus from process global
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scope. Serialize task access to lock.
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"""
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global _bus
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if nursery is not None:
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assert _bus is None, "Feeds manager is already setup?"
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# this is initial setup by parent actor
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_bus = _FeedsBus(
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brokername=brokername,
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nursery=nursery,
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)
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assert not _bus.feeds
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assert _bus.brokername == brokername, "Uhhh wtf"
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return _bus
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async def _setup_persistent_brokerd(brokername: str) -> None:
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"""Allocate a actor-wide service nursery in ``brokerd``
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such that feeds can be run in the background persistently by
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the broker backend as needed.
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"""
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try:
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async with trio.open_nursery() as service_nursery:
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# assign a nursery to the feeds bus for spawning
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# background tasks from clients
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bus = get_feed_bus(brokername, service_nursery)
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# we pin this task to keep the feeds manager active until the
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# parent actor decides to tear it down
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await trio.sleep_forever()
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finally:
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# TODO: this needs to be shielded?
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await bus.cancel_all()
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async def allocate_persistent_feed(
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ctx: tractor.Context,
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bus: _FeedsBus,
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brokername: str,
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symbol: str,
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loglevel: str,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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try:
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mod = get_brokermod(brokername)
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except ImportError:
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mod = get_ingestormod(brokername)
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# allocate shm array for this broker/symbol
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# XXX: we should get an error here if one already exists
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shm, opened = maybe_open_shm_array(
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key=sym_to_shm_key(brokername, symbol),
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# use any broker defined ohlc dtype:
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dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
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# we expect the sub-actor to write
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readonly=False,
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)
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# do history validation?
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assert opened, f'Persistent shm for {symbol} was already open?!'
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# if not opened:
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# raise RuntimeError("Persistent shm for sym was already open?!")
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send, quote_stream = trio.open_memory_channel(10)
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feed_is_live = trio.Event()
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# establish broker backend quote stream
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# ``stream_quotes()`` is a required backend func
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init_msg, first_quote = await bus.nursery.start(
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partial(
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mod.stream_quotes,
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send_chan=send,
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feed_is_live=feed_is_live,
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symbols=[symbol],
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shm=shm,
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loglevel=loglevel,
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)
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)
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init_msg[symbol]['shm_token'] = shm.token
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cs = bus.nursery.cancel_scope
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# TODO: make this into a composed type which also
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# contains the backfiller cs for individual super-based
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# resspawns when needed.
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bus.feeds[symbol] = (cs, init_msg, first_quote)
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if opened:
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# start history backfill task ``backfill_bars()`` is
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# a required backend func this must block until shm is
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# filled with first set of ohlc bars
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await bus.nursery.start(mod.backfill_bars, symbol, shm)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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# pass OHLC sample rate in seconds
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init_msg[symbol]['sample_rate'] = delay_s
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# yield back control to starting nursery
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task_status.started((init_msg, first_quote))
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await feed_is_live.wait()
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if opened:
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_shms.setdefault(delay_s, []).append(shm)
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# start shm incrementing for OHLC sampling
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if _incrementers.get(delay_s) is None:
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cs = await bus.nursery.start(increment_ohlc_buffer, delay_s)
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sum_tick_vlm: bool = init_msg.get(
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'shm_write_opts', {}
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).get('sum_tick_vlm', True)
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# start sample loop
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await sample_and_broadcast(bus, shm, quote_stream, sum_tick_vlm)
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@tractor.stream
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async def attach_feed_bus(
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ctx: tractor.Context,
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brokername: str,
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symbol: str,
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loglevel: str,
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):
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# try:
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if loglevel is None:
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loglevel = tractor.current_actor().loglevel
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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# ensure we are who we think we are
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assert 'brokerd' in tractor.current_actor().name
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bus = get_feed_bus(brokername)
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async with bus.task_lock:
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task_cs = bus.feeds.get(symbol)
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sub_only: bool = False
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# if no cached feed for this symbol has been created for this
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# brokerd yet, start persistent stream and shm writer task in
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# service nursery
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if task_cs is None:
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init_msg, first_quote = await bus.nursery.start(
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partial(
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allocate_persistent_feed,
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ctx=ctx,
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bus=bus,
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brokername=brokername,
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symbol=symbol,
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loglevel=loglevel,
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)
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)
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bus.subscribers.setdefault(symbol, []).append(ctx)
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else:
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sub_only = True
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# XXX: ``first_quote`` may be outdated here if this is secondary
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# subscriber
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cs, init_msg, first_quote = bus.feeds[symbol]
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# send this even to subscribers to existing feed?
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await ctx.send_yield(init_msg)
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await ctx.send_yield(first_quote)
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if sub_only:
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bus.subscribers[symbol].append(ctx)
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try:
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await trio.sleep_forever()
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finally:
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bus.subscribers[symbol].remove(ctx)
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@dataclass
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class Feed:
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"""A data feed for client-side interaction with far-process# }}}
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real-time data sources.
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This is an thin abstraction on top of ``tractor``'s portals for
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interacting with IPC streams and conducting automatic
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memory buffer orchestration.
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"""
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name: str
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stream: AsyncIterator[Dict[str, Any]]
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shm: ShmArray
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mod: ModuleType
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_brokerd_portal: tractor._portal.Portal
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_index_stream: Optional[AsyncIterator[int]] = None
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_trade_stream: Optional[AsyncIterator[Dict[str, Any]]] = None
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_max_sample_rate: int = 0
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# cache of symbol info messages received as first message when
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# a stream startsc.
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symbols: Dict[str, Symbol] = field(default_factory=dict)
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async def receive(self) -> dict:
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return await self.stream.__anext__()
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async def index_stream(
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self,
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delay_s: Optional[int] = None
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) -> AsyncIterator[int]:
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if not self._index_stream:
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# XXX: this should be singleton on a host,
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# a lone broker-daemon per provider should be
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# created for all practical purposes
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self._index_stream = await self._brokerd_portal.run(
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iter_ohlc_periods,
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delay_s=delay_s or self._max_sample_rate,
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)
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return self._index_stream
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async def recv_trades_data(self) -> AsyncIterator[dict]:
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if not getattr(self.mod, 'stream_trades', False):
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log.warning(
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f"{self.mod.name} doesn't have trade data support yet :(")
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if not self._trade_stream:
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raise RuntimeError(
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f'Can not stream trade data from {self.mod.name}')
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# NOTE: this can be faked by setting a rx chan
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# using the ``_.set_fake_trades_stream()`` method
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if self._trade_stream is None:
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self._trade_stream = await self._brokerd_portal.run(
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self.mod.stream_trades,
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# do we need this? -> yes
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# the broker side must declare this key
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# in messages, though we could probably use
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# more then one?
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topics=['local_trades'],
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)
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return self._trade_stream
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def sym_to_shm_key(
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broker: str,
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symbol: str,
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) -> str:
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return f'{broker}.{symbol}'
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@asynccontextmanager
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async def open_feed(
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brokername: str,
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symbols: Sequence[str],
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loglevel: Optional[str] = None,
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) -> AsyncIterator[Dict[str, Any]]:
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"""Open a "data feed" which provides streamed real-time quotes.
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"""
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try:
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mod = get_brokermod(brokername)
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except ImportError:
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mod = get_ingestormod(brokername)
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if loglevel is None:
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loglevel = tractor.current_actor().loglevel
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# TODO: do all!
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sym = symbols[0]
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async with maybe_spawn_brokerd(
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brokername,
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loglevel=loglevel,
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) as portal:
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stream = await portal.run(
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attach_feed_bus,
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brokername=brokername,
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symbol=sym,
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loglevel=loglevel,
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)
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# TODO: can we make this work better with the proposed
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# context based bidirectional streaming style api proposed in:
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# https://github.com/goodboy/tractor/issues/53
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init_msg = await stream.receive()
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# we can only read from shm
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shm = attach_shm_array(
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token=init_msg[sym]['shm_token'],
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readonly=True,
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)
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feed = Feed(
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name=brokername,
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stream=stream,
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shm=shm,
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mod=mod,
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_brokerd_portal=portal,
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)
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ohlc_sample_rates = []
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for sym, data in init_msg.items():
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si = data['symbol_info']
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ohlc_sample_rates.append(data['sample_rate'])
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symbol = Symbol(
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key=sym,
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type_key=si.get('asset_type', 'forex'),
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tick_size=si.get('price_tick_size', 0.01),
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lot_tick_size=si.get('lot_tick_size', 0.0),
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)
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symbol.broker_info[brokername] = si
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feed.symbols[sym] = symbol
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# cast shm dtype to list... can't member why we need this
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shm_token = data['shm_token']
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shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
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assert shm_token == shm.token # sanity
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feed._max_sample_rate = max(ohlc_sample_rates)
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try:
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yield feed
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finally:
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# always cancel the far end producer task
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with trio.CancelScope(shield=True):
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await stream.aclose()
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@ -0,0 +1,436 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Data feed apis and infra.
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"""
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from dataclasses import dataclass, field
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from contextlib import asynccontextmanager
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from functools import partial
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from types import ModuleType
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from typing import (
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Dict, Any, Sequence,
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AsyncIterator, Optional,
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List
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)
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import trio
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from trio_typing import TaskStatus
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import tractor
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from pydantic import BaseModel
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from ..brokers import get_brokermod
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from ..log import get_logger, get_console_log
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from .._daemon import (
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maybe_spawn_brokerd,
|
||||
)
|
||||
from ._sharedmem import (
|
||||
maybe_open_shm_array,
|
||||
attach_shm_array,
|
||||
ShmArray,
|
||||
)
|
||||
from ._source import base_iohlc_dtype, Symbol
|
||||
from ._sampling import (
|
||||
_shms,
|
||||
_incrementers,
|
||||
increment_ohlc_buffer,
|
||||
iter_ohlc_periods,
|
||||
sample_and_broadcast,
|
||||
)
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
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.
|
||||
|
||||
"""
|
||||
brokername: str
|
||||
nursery: trio.Nursery
|
||||
feeds: Dict[str, trio.CancelScope] = {}
|
||||
subscribers: Dict[str, List[tractor.Context]] = {}
|
||||
task_lock: trio.StrictFIFOLock = trio.StrictFIFOLock()
|
||||
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
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()
|
||||
|
||||
|
||||
_bus: _FeedsBus = None
|
||||
|
||||
|
||||
def get_feed_bus(
|
||||
brokername: str,
|
||||
nursery: Optional[trio.Nursery] = None,
|
||||
) -> _FeedsBus:
|
||||
"""
|
||||
Retreive broker-daemon-local data feeds bus from process global
|
||||
scope. Serialize task access to lock.
|
||||
|
||||
"""
|
||||
|
||||
global _bus
|
||||
|
||||
if nursery is not None:
|
||||
assert _bus is None, "Feeds manager is already setup?"
|
||||
|
||||
# this is initial setup by parent actor
|
||||
_bus = _FeedsBus(
|
||||
brokername=brokername,
|
||||
nursery=nursery,
|
||||
)
|
||||
assert not _bus.feeds
|
||||
|
||||
assert _bus.brokername == brokername, "Uhhh wtf"
|
||||
return _bus
|
||||
|
||||
|
||||
async def _setup_persistent_brokerd(brokername: str) -> None:
|
||||
"""Allocate a actor-wide service nursery in ``brokerd``
|
||||
such that feeds can be run in the background persistently by
|
||||
the broker backend as needed.
|
||||
|
||||
"""
|
||||
try:
|
||||
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)
|
||||
|
||||
# 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 allocate_persistent_feed(
|
||||
ctx: tractor.Context,
|
||||
bus: _FeedsBus,
|
||||
brokername: str,
|
||||
symbol: str,
|
||||
loglevel: str,
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
) -> None:
|
||||
|
||||
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
|
||||
|
||||
shm, opened = maybe_open_shm_array(
|
||||
key=sym_to_shm_key(brokername, symbol),
|
||||
|
||||
# use any broker defined ohlc dtype:
|
||||
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
|
||||
|
||||
# we expect the sub-actor to write
|
||||
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?!")
|
||||
|
||||
send, quote_stream = trio.open_memory_channel(10)
|
||||
feed_is_live = trio.Event()
|
||||
|
||||
# establish broker backend quote stream
|
||||
# ``stream_quotes()`` is a required backend func
|
||||
init_msg, first_quote = await bus.nursery.start(
|
||||
partial(
|
||||
mod.stream_quotes,
|
||||
send_chan=send,
|
||||
feed_is_live=feed_is_live,
|
||||
symbols=[symbol],
|
||||
shm=shm,
|
||||
loglevel=loglevel,
|
||||
)
|
||||
)
|
||||
|
||||
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.
|
||||
bus.feeds[symbol] = (cs, init_msg, first_quote)
|
||||
|
||||
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]
|
||||
|
||||
# pass OHLC sample rate in seconds
|
||||
init_msg[symbol]['sample_rate'] = delay_s
|
||||
|
||||
# yield back control to starting nursery
|
||||
task_status.started((init_msg, first_quote))
|
||||
|
||||
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
|
||||
await sample_and_broadcast(bus, shm, quote_stream, sum_tick_vlm)
|
||||
|
||||
|
||||
@tractor.stream
|
||||
async def attach_feed_bus(
|
||||
ctx: tractor.Context,
|
||||
brokername: str,
|
||||
symbol: str,
|
||||
loglevel: str,
|
||||
):
|
||||
|
||||
# try:
|
||||
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)
|
||||
|
||||
# ensure we are who we think we are
|
||||
assert 'brokerd' in tractor.current_actor().name
|
||||
|
||||
bus = get_feed_bus(brokername)
|
||||
|
||||
async with bus.task_lock:
|
||||
task_cs = bus.feeds.get(symbol)
|
||||
sub_only: bool = False
|
||||
|
||||
# if no cached feed for this symbol has been created for this
|
||||
# brokerd yet, start persistent stream and shm writer task in
|
||||
# service nursery
|
||||
if task_cs is None:
|
||||
init_msg, first_quote = await bus.nursery.start(
|
||||
partial(
|
||||
allocate_persistent_feed,
|
||||
ctx=ctx,
|
||||
bus=bus,
|
||||
brokername=brokername,
|
||||
symbol=symbol,
|
||||
loglevel=loglevel,
|
||||
)
|
||||
)
|
||||
bus.subscribers.setdefault(symbol, []).append(ctx)
|
||||
else:
|
||||
sub_only = True
|
||||
|
||||
# XXX: ``first_quote`` may be outdated here if this is secondary
|
||||
# subscriber
|
||||
cs, init_msg, first_quote = bus.feeds[symbol]
|
||||
|
||||
# send this even to subscribers to existing feed?
|
||||
await ctx.send_yield(init_msg)
|
||||
await ctx.send_yield(first_quote)
|
||||
|
||||
if sub_only:
|
||||
bus.subscribers[symbol].append(ctx)
|
||||
|
||||
try:
|
||||
await trio.sleep_forever()
|
||||
finally:
|
||||
bus.subscribers[symbol].remove(ctx)
|
||||
|
||||
|
||||
@dataclass
|
||||
class Feed:
|
||||
"""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.
|
||||
"""
|
||||
name: str
|
||||
stream: AsyncIterator[Dict[str, Any]]
|
||||
shm: ShmArray
|
||||
mod: ModuleType
|
||||
|
||||
_brokerd_portal: tractor._portal.Portal
|
||||
_index_stream: Optional[AsyncIterator[int]] = None
|
||||
_trade_stream: Optional[AsyncIterator[Dict[str, Any]]] = None
|
||||
_max_sample_rate: int = 0
|
||||
|
||||
# cache of symbol info messages received as first message when
|
||||
# a stream startsc.
|
||||
symbols: Dict[str, Symbol] = field(default_factory=dict)
|
||||
|
||||
async def receive(self) -> dict:
|
||||
return await self.stream.__anext__()
|
||||
|
||||
async def index_stream(
|
||||
self,
|
||||
delay_s: Optional[int] = None
|
||||
|
||||
) -> AsyncIterator[int]:
|
||||
|
||||
if not self._index_stream:
|
||||
# XXX: this should be singleton on a host,
|
||||
# a lone broker-daemon per provider should be
|
||||
# created for all practical purposes
|
||||
self._index_stream = await self._brokerd_portal.run(
|
||||
iter_ohlc_periods,
|
||||
delay_s=delay_s or self._max_sample_rate,
|
||||
)
|
||||
|
||||
return self._index_stream
|
||||
|
||||
async def recv_trades_data(self) -> AsyncIterator[dict]:
|
||||
|
||||
if not getattr(self.mod, 'stream_trades', False):
|
||||
log.warning(
|
||||
f"{self.mod.name} doesn't have trade data support yet :(")
|
||||
|
||||
if not self._trade_stream:
|
||||
raise RuntimeError(
|
||||
f'Can not stream trade data from {self.mod.name}')
|
||||
|
||||
# NOTE: this can be faked by setting a rx chan
|
||||
# using the ``_.set_fake_trades_stream()`` method
|
||||
if self._trade_stream is None:
|
||||
|
||||
self._trade_stream = await self._brokerd_portal.run(
|
||||
|
||||
self.mod.stream_trades,
|
||||
|
||||
# do we need this? -> yes
|
||||
# the broker side must declare this key
|
||||
# in messages, though we could probably use
|
||||
# more then one?
|
||||
topics=['local_trades'],
|
||||
)
|
||||
|
||||
return self._trade_stream
|
||||
|
||||
|
||||
def sym_to_shm_key(
|
||||
broker: str,
|
||||
symbol: str,
|
||||
) -> str:
|
||||
return f'{broker}.{symbol}'
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def open_feed(
|
||||
brokername: str,
|
||||
symbols: Sequence[str],
|
||||
loglevel: Optional[str] = None,
|
||||
) -> AsyncIterator[Dict[str, Any]]:
|
||||
"""Open a "data feed" which provides streamed real-time quotes.
|
||||
"""
|
||||
try:
|
||||
mod = get_brokermod(brokername)
|
||||
except ImportError:
|
||||
mod = get_ingestormod(brokername)
|
||||
|
||||
if loglevel is None:
|
||||
loglevel = tractor.current_actor().loglevel
|
||||
|
||||
# TODO: do all!
|
||||
sym = symbols[0]
|
||||
|
||||
async with maybe_spawn_brokerd(
|
||||
brokername,
|
||||
loglevel=loglevel,
|
||||
) as portal:
|
||||
|
||||
stream = await portal.run(
|
||||
attach_feed_bus,
|
||||
brokername=brokername,
|
||||
symbol=sym,
|
||||
loglevel=loglevel,
|
||||
)
|
||||
|
||||
# TODO: can we make this work better with the proposed
|
||||
# context based bidirectional streaming style api proposed in:
|
||||
# https://github.com/goodboy/tractor/issues/53
|
||||
init_msg = await stream.receive()
|
||||
|
||||
# we can only read from shm
|
||||
shm = attach_shm_array(
|
||||
token=init_msg[sym]['shm_token'],
|
||||
readonly=True,
|
||||
)
|
||||
|
||||
feed = Feed(
|
||||
name=brokername,
|
||||
stream=stream,
|
||||
shm=shm,
|
||||
mod=mod,
|
||||
_brokerd_portal=portal,
|
||||
)
|
||||
ohlc_sample_rates = []
|
||||
|
||||
for sym, data in init_msg.items():
|
||||
|
||||
si = data['symbol_info']
|
||||
ohlc_sample_rates.append(data['sample_rate'])
|
||||
|
||||
symbol = Symbol(
|
||||
key=sym,
|
||||
type_key=si.get('asset_type', 'forex'),
|
||||
tick_size=si.get('price_tick_size', 0.01),
|
||||
lot_tick_size=si.get('lot_tick_size', 0.0),
|
||||
)
|
||||
symbol.broker_info[brokername] = si
|
||||
|
||||
feed.symbols[sym] = symbol
|
||||
|
||||
# cast shm dtype to list... can't member why we need this
|
||||
shm_token = data['shm_token']
|
||||
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
|
||||
assert shm_token == shm.token # sanity
|
||||
|
||||
feed._max_sample_rate = max(ohlc_sample_rates)
|
||||
|
||||
try:
|
||||
yield feed
|
||||
|
||||
finally:
|
||||
# always cancel the far end producer task
|
||||
with trio.CancelScope(shield=True):
|
||||
await stream.aclose()
|
||||
|
|
@ -0,0 +1,41 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
|
||||
|
||||
# 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
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Ingestion, for dataz.
|
||||
|
||||
Api layer likely in here...
|
||||
|
||||
"""
|
||||
from types import ModuleType
|
||||
from importlib import import_module
|
||||
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
__ingestors__ = [
|
||||
'marketstore',
|
||||
]
|
||||
|
||||
|
||||
def get_ingestormod(name: str) -> ModuleType:
|
||||
"""Return the imported ingestor module by name.
|
||||
"""
|
||||
module = import_module('.' + name, 'piker.data')
|
||||
# we only allow monkeying because it's for internal keying
|
||||
module.name = module.__name__.split('.')[-1]
|
||||
return module
|
||||
|
|
@ -24,7 +24,7 @@ import tractor
|
|||
|
||||
from ..cli import cli
|
||||
from .. import watchlists as wl
|
||||
from ..data import maybe_spawn_brokerd
|
||||
from .._daemon import maybe_spawn_brokerd
|
||||
|
||||
|
||||
_config_dir = click.get_app_dir('piker')
|
||||
|
|
@ -125,9 +125,14 @@ def optschain(config, symbol, date, rate, test):
|
|||
is_flag=True,
|
||||
help='Enable pyqtgraph profiling'
|
||||
)
|
||||
@click.option(
|
||||
'--pdb',
|
||||
is_flag=True,
|
||||
help='Enable tractor debug mode'
|
||||
)
|
||||
@click.argument('symbol', required=True)
|
||||
@click.pass_obj
|
||||
def chart(config, symbol, profile):
|
||||
def chart(config, symbol, profile, pdb):
|
||||
"""Start a real-time chartng UI
|
||||
"""
|
||||
from .. import _profile
|
||||
|
|
@ -146,7 +151,7 @@ def chart(config, symbol, profile):
|
|||
brokername=brokername,
|
||||
piker_loglevel=pikerloglevel,
|
||||
tractor_kwargs={
|
||||
'debug_mode': True,
|
||||
'debug_mode': pdb,
|
||||
'loglevel': tractorloglevel,
|
||||
'name': 'chart',
|
||||
'enable_modules': [
|
||||
|
|
|
|||
Loading…
Reference in New Issue