pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Make the data feed layer "fqsn" aware 

In order to support instruments with lifetimes (aka derivatives) we need
generally need special symbol annotations which detail such meta data
(such as `MNQ.GLOBEX.20220717` for daq futes). Further there is really
no reason for the public api for this feed layer to care about getting
a special "brokername" field since generally the data is coming directly
from UIs (eg. search selection) so we might as well accept a fqsn (fully
qualified symbol name) which includes the broker name; for now a suffix
like `'.ib'`. We may change this schema (soon) but this at least gets us
to a point where we expect the full name including broker/provider.

An additional detail: for certain "generic" symbol names (like for
futes) we will pull a so called "front contract" and map this to
a specific fqsn underneath, so there is a double (cached) entry for that
entry such that other consumers can use it the same way if desired.

Some other machinery changes:
- expect the `stream_quotes()` endpoint to deliver it's `.started()` msg
  almost immediately since we now need it deliver any fqsn asap (yes
  this means the ep should no longer wait on a "live" first quote and
  instead deliver what quote data it can right away.
- expect the quotes ohlc sampler task to add in the broker name before
  broadcast to remote (actor) consumers since the backend isn't (yet)
  expected to do that add in itself.
- obviously we start using all the new fqsn related `Symbol` apis
fqsns
Tyler Goodlet 2022-03-18 14:47:28 -04:00
parent e9d64ffee8
commit 8462ea8a28
1 changed files with 106 additions and 75 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

177
piker/data/feed.py
View File

@ -50,9 +50,8 @@ from ._sharedmem import (
from .ingest import get_ingestormod
from ._source import (
base_iohlc_dtype,
mk_symbol,
Symbol,
mk_fqsn,
uncons_fqsn,
)
from ..ui import _search
from ._sampling import (
@ -192,7 +191,7 @@ async def _setup_persistent_brokerd(
async def manage_history(
mod: ModuleType,
bus: _FeedsBus,
symbol: str,
fqsn: str,
some_data_ready: trio.Event,
feed_is_live: trio.Event,
@ -206,8 +205,6 @@ async def manage_history(
buffer.
'''
fqsn = mk_fqsn(mod.name, symbol)
# (maybe) allocate shm array for this broker/symbol which will
# be used for fast near-term history capture and processing.
shm, opened = maybe_open_shm_array(
@ -226,7 +223,7 @@ async def manage_history(
# 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)
_ = await bus.nursery.start(mod.backfill_bars, fqsn, shm)
# yield back after client connect with filled shm
task_status.started(shm)
@ -285,8 +282,6 @@ async def allocate_persistent_feed(
except ImportError:
mod = get_ingestormod(brokername)
fqsn = mk_fqsn(brokername, symbol)
# mem chan handed to broker backend so it can push real-time
# quotes to this task for sampling and history storage (see below).
send, quote_stream = trio.open_memory_channel(10)
@ -295,28 +290,9 @@ async def allocate_persistent_feed(
some_data_ready = trio.Event()
feed_is_live = trio.Event()
# run 2 tasks:
# - a history loader / maintainer
# - a real-time streamer which consumers and sends new data to any
# consumers as well as writes to storage backends (as configured).
# XXX: neither of these will raise but will cause an inf hang due to:
# https://github.com/python-trio/trio/issues/2258
# bus.nursery.start_soon(
# await bus.start_task(
shm = await bus.nursery.start(
manage_history,
mod,
bus,
symbol,
some_data_ready,
feed_is_live,
)
# establish broker backend quote stream by calling
# ``stream_quotes()``, which is a required broker backend endpoint.
init_msg, first_quotes = await bus.nursery.start(
init_msg, first_quote = await bus.nursery.start(
partial(
mod.stream_quotes,
send_chan=send,
@ -325,11 +301,38 @@ async def allocate_persistent_feed(
loglevel=loglevel,
)
)
# the broker-specific fully qualified symbol name
bfqsn = init_msg[symbol]['fqsn']
# HISTORY, run 2 tasks:
# - a history loader / maintainer
# - a real-time streamer which consumers and sends new data to any
# consumers as well as writes to storage backends (as configured).
# XXX: neither of these will raise but will cause an inf hang due to:
# https://github.com/python-trio/trio/issues/2258
# bus.nursery.start_soon(
# await bus.start_task(
shm = await bus.nursery.start(
manage_history,
mod,
bus,
bfqsn,
some_data_ready,
feed_is_live,
)
# we hand an IPC-msg compatible shm token to the caller so it
# can read directly from the memory which will be written by
# this task.
init_msg[symbol]['shm_token'] = shm.token
msg = init_msg[symbol]
msg['shm_token'] = shm.token
# true fqsn
fqsn = '.'.join((bfqsn, brokername))
# add a fqsn entry that includes the ``.<broker>`` suffix
init_msg[fqsn] = msg
# TODO: pretty sure we don't need this? why not just leave 1s as
# the fastest "sample period" since we'll probably always want that
@ -342,8 +345,22 @@ async def allocate_persistent_feed(
log.info(f'waiting on history to load: {fqsn}')
await some_data_ready.wait()
bus.feeds[symbol.lower()] = (init_msg, first_quotes)
task_status.started((init_msg, first_quotes))
# append ``.<broker>`` suffix to each quote symbol
bsym = symbol + f'.{brokername}'
generic_first_quotes = {
bsym: first_quote,
fqsn: first_quote,
}
bus.feeds[symbol] = bus.feeds[fqsn] = (
init_msg,
generic_first_quotes,
)
# for ambiguous names we simply apply the retreived
# feed to that name (for now).
# task_status.started((init_msg, generic_first_quotes))
task_status.started()
# backend will indicate when real-time quotes have begun.
await feed_is_live.wait()
@ -358,10 +375,11 @@ async def allocate_persistent_feed(
bus,
shm,
quote_stream,
brokername,
sum_tick_vlm
)
finally:
log.warning(f'{symbol}@{brokername} feed task terminated')
log.warning(f'{fqsn} feed task terminated')
@tractor.context
@ -394,25 +412,16 @@ async def open_feed_bus(
assert 'brokerd' in tractor.current_actor().name
bus = get_feed_bus(brokername)
bus._subscribers.setdefault(symbol, [])
fqsn = mk_fqsn(brokername, symbol)
entry = bus.feeds.get(symbol)
# if no cached feed for this symbol has been created for this
# brokerd yet, start persistent stream and shm writer task in
# service nursery
entry = bus.feeds.get(symbol)
if entry is None:
if not start_stream:
raise RuntimeError(
f'No stream feed exists for {fqsn}?\n'
f'You may need a `brokerd` started first.'
)
# allocate a new actor-local stream bus which will persist for
# this `brokerd`.
# allocate a new actor-local stream bus which
# will persist for this `brokerd`.
async with bus.task_lock:
init_msg, first_quotes = await bus.nursery.start(
await bus.nursery.start(
partial(
allocate_persistent_feed,
@ -434,9 +443,30 @@ async def open_feed_bus(
# subscriber
init_msg, first_quotes = bus.feeds[symbol]
msg = init_msg[symbol]
bfqsn = msg['fqsn']
# true fqsn
fqsn = '.'.join([bfqsn, brokername])
assert fqsn in first_quotes
assert bus.feeds[fqsn]
# broker-ambiguous symbol (provided on cli - eg. mnq.globex.ib)
bsym = symbol + f'.{brokername}'
assert bsym in first_quotes
# we use the broker-specific fqsn (bfqsn) for
# the sampler subscription since the backend isn't (yet)
# expected to append it's own name to the fqsn, so we filter
# on keys which *do not* include that name (e.g .ib) .
bus._subscribers.setdefault(bfqsn, [])
# send this even to subscribers to existing feed?
# deliver initial info message a first quote asap
await ctx.started((init_msg, first_quotes))
await ctx.started((
init_msg,
first_quotes,
))
if not start_stream:
log.warning(f'Not opening real-time stream for {fqsn}')
@ -449,14 +479,12 @@ async def open_feed_bus(
# re-send to trigger display loop cycle (necessary especially
# when the mkt is closed and no real-time messages are
# expected).
await stream.send(first_quotes)
if tick_throttle:
await stream.send({fqsn: first_quotes})
# open a bg task which receives quotes over a mem chan
# and only pushes them to the target actor-consumer at
# a max ``tick_throttle`` instantaneous rate.
if tick_throttle:
send, recv = trio.open_memory_channel(2**10)
cs = await bus.start_task(
uniform_rate_send,
@ -469,12 +497,15 @@ async def open_feed_bus(
else:
sub = (stream, tick_throttle)
subs = bus._subscribers[symbol]
subs = bus._subscribers[bfqsn]
subs.append(sub)
try:
uid = ctx.chan.uid
# ctrl protocol for start/stop of quote streams based on UI
# state (eg. don't need a stream when a symbol isn't being
# displayed).
async for msg in stream:
if msg == 'pause':
@ -499,7 +530,7 @@ async def open_feed_bus(
# n.cancel_scope.cancel()
cs.cancel()
try:
bus._subscribers[symbol].remove(sub)
bus._subscribers[bfqsn].remove(sub)
except ValueError:
log.warning(f'{sub} for {symbol} was already removed?')
@ -625,10 +656,10 @@ async def install_brokerd_search(
@asynccontextmanager
async def open_feed(
brokername: str,
symbols: list[str],
loglevel: Optional[str] = None,
fqsns: list[str],
loglevel: Optional[str] = None,
backpressure: bool = True,
start_stream: bool = True,
tick_throttle: Optional[float] = None, # Hz
@ -638,7 +669,10 @@ async def open_feed(
Open a "data feed" which provides streamed real-time quotes.
'''
sym = symbols[0].lower()
fqsn = fqsns[0].lower()
brokername, key, suffix = uncons_fqsn(fqsn)
bfqsn = fqsn.replace('.' + brokername, '')
try:
mod = get_brokermod(brokername)
@ -659,7 +693,7 @@ async def open_feed(
portal.open_context(
open_feed_bus,
brokername=brokername,
symbol=sym,
symbol=bfqsn,
loglevel=loglevel,
start_stream=start_stream,
tick_throttle=tick_throttle,
@ -676,9 +710,10 @@ async def open_feed(
):
# we can only read from shm
shm = attach_shm_array(
token=init_msg[sym]['shm_token'],
token=init_msg[bfqsn]['shm_token'],
readonly=True,
)
assert fqsn in first_quotes
feed = Feed(
name=brokername,
@ -691,17 +726,15 @@ async def open_feed(
)
for sym, data in init_msg.items():
si = data['symbol_info']
symbol = mk_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),
fqsn = data['fqsn'] + f'.{brokername}'
symbol = Symbol.from_fqsn(
fqsn,
info=si,
)
symbol.broker_info[brokername] = si
# symbol.broker_info[brokername] = si
feed.symbols[fqsn] = symbol
feed.symbols[sym] = symbol
# cast shm dtype to list... can't member why we need this
@ -725,8 +758,7 @@ async def open_feed(
@asynccontextmanager
async def maybe_open_feed(
brokername: str,
symbols: list[str],
fqsns: list[str],
loglevel: Optional[str] = None,
**kwargs,
@ -738,13 +770,12 @@ async def maybe_open_feed(
in a tractor broadcast receiver.
'''
sym = symbols[0].lower()
fqsn = fqsns[0]
async with maybe_open_context(
acm_func=open_feed,
kwargs={
'brokername': brokername,
'symbols': [sym],
'fqsns': fqsns,
'loglevel': loglevel,
'tick_throttle': kwargs.get('tick_throttle'),
@ -752,11 +783,11 @@ async def maybe_open_feed(
'backpressure': kwargs.get('backpressure', True),
'start_stream': kwargs.get('start_stream', True),
},
key=sym,
key=fqsn,
) as (cache_hit, feed):
if cache_hit:
log.info(f'Using cached feed for {brokername}.{sym}')
log.info(f'Using cached feed for {fqsn}')
# add a new broadcast subscription for the quote stream
# if this feed is likely already in use
async with feed.stream.subscribe() as bstream: