Allocate 2 shm buffers for history and real-time
As part of supporting a "history view" chart which shows downsampled datums alongside our 1s (or higher) sampled OHLC we need a separate buffer to store a the slower history from broker backends. This begins that design by allocating 2 buffers: - `rt_shm: ShmArray` which maps to a `/dev/shm/` file with `_rt` suffix - `hist_shm: ShmArray` which maps to a file with `_hist` suffix Deliver both of these shms back from both `manage_history()` and load them as `Feed.rt_shm`/`.hist_shm` on the client side. Impl deats: - init the rt buffer with the first datum from loaded history and assign all OHLC values to that row's 'close' and the vlm to 0. - pass the hist buffer to the backfiller task - only spawn **one** global sampler array-row increment task per `brokerd` and pass in the 1s delay which we presume is our lowest OHLC sample rate for now. - drop `open_sample_step_stream()` and just move its body contents into `Feed.index_stream()`history_view
Tyler Goodlet
parent
60052ff73a
commit
861fe791eb
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@ -56,6 +56,7 @@ from ._sharedmem import (
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maybe_open_shm_array,
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attach_shm_array,
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ShmArray,
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_secs_in_day,
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)
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from .ingest import get_ingestormod
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from .types import Struct
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@ -72,6 +73,7 @@ from ._sampling import (
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iter_ohlc_periods,
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sample_and_broadcast,
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uniform_rate_send,
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_default_delay_s,
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)
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from ..brokers._util import (
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NoData,
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@ -256,7 +258,7 @@ async def start_backfill(
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write_tsdb: bool = True,
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tsdb_is_up: bool = False,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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task_status: TaskStatus[tuple] = trio.TASK_STATUS_IGNORED,
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) -> int:
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@ -294,7 +296,7 @@ async def start_backfill(
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bf_done = trio.Event()
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# let caller unblock and deliver latest history frame
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task_status.started((shm, start_dt, end_dt, bf_done))
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task_status.started((start_dt, end_dt, bf_done))
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# based on the sample step size, maybe load a certain amount history
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if last_tsdb_dt is None:
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@ -544,7 +546,6 @@ async def start_backfill(
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)
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frames.pop(epoch)
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continue
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# await tractor.breakpoint()
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if diff > step_size_s:
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@ -672,8 +673,8 @@ async def manage_history(
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'''
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# (maybe) allocate shm array for this broker/symbol which will
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# be used for fast near-term history capture and processing.
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shm, opened = maybe_open_shm_array(
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key=fqsn,
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hist_shm, opened = maybe_open_shm_array(
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key=f'{fqsn}_hist',
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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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@ -687,6 +688,21 @@ async def manage_history(
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"Persistent shm for sym was already open?!"
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)
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rt_shm, opened = maybe_open_shm_array(
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key=f'{fqsn}_rt',
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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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size=3*_secs_in_day,
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)
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if not opened:
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raise RuntimeError(
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"Persistent shm for sym was already open?!"
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)
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log.info('Scanning for existing `marketstored`')
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is_up = await check_for_service('marketstored')
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@ -714,7 +730,6 @@ async def manage_history(
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broker, symbol, expiry = unpack_fqsn(fqsn)
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(
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shm,
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latest_start_dt,
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latest_end_dt,
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bf_done,
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@ -723,14 +738,14 @@ async def manage_history(
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start_backfill,
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mod,
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bfqsn,
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shm,
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hist_shm,
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last_tsdb_dt=last_tsdb_dt,
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tsdb_is_up=True,
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storage=storage,
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)
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)
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# if len(shm.array) < 2:
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# if len(hist_shm.array) < 2:
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# TODO: there's an edge case here to solve where if the last
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# frame before market close (at least on ib) was pushed and
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# there was only "1 new" row pushed from the first backfill
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@ -740,7 +755,7 @@ async def manage_history(
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# the tsdb series and stash that somewhere as meta data on
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# the shm buffer?.. no se.
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task_status.started(shm)
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task_status.started((hist_shm, rt_shm))
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some_data_ready.set()
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await bf_done.wait()
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@ -758,7 +773,7 @@ async def manage_history(
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# TODO: see if there's faster multi-field reads:
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# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
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# re-index with a `time` and index field
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prepend_start = shm._first.value
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prepend_start = hist_shm._first.value
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# sanity check on most-recent-data loading
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assert prepend_start > dt_diff_s
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@ -768,7 +783,7 @@ async def manage_history(
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fastest = history[0]
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to_push = fastest[:prepend_start]
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shm.push(
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hist_shm.push(
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to_push,
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# insert the history pre a "days worth" of samples
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@ -784,7 +799,7 @@ async def manage_history(
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count = 0
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end = fastest['Epoch'][0]
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while shm._first.value > 0:
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while hist_shm._first.value > 0:
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count += 1
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series = await storage.read_ohlcv(
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fqsn,
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@ -796,7 +811,7 @@ async def manage_history(
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prepend_start -= len(to_push)
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to_push = fastest[:prepend_start]
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shm.push(
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hist_shm.push(
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to_push,
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# insert the history pre a "days worth" of samples
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@ -840,12 +855,12 @@ async def manage_history(
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start_backfill,
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mod,
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bfqsn,
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shm,
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hist_shm,
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)
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)
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# yield back after client connect with filled shm
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task_status.started(shm)
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task_status.started((hist_shm, rt_shm))
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# indicate to caller that feed can be delivered to
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# remote requesting client since we've loaded history
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@ -922,7 +937,7 @@ async def allocate_persistent_feed(
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# https://github.com/python-trio/trio/issues/2258
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# bus.nursery.start_soon(
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# await bus.start_task(
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shm = await bus.nursery.start(
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hist_shm, rt_shm = await bus.nursery.start(
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manage_history,
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mod,
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bus,
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@ -935,7 +950,8 @@ async def allocate_persistent_feed(
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# can read directly from the memory which will be written by
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# this task.
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msg = init_msg[symbol]
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msg['shm_token'] = shm.token
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msg['hist_shm_token'] = hist_shm.token
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msg['rt_shm_token'] = rt_shm.token
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# true fqsn
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fqsn = '.'.join((bfqsn, brokername))
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@ -971,6 +987,25 @@ async def allocate_persistent_feed(
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# for ambiguous names we simply apply the retreived
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# feed to that name (for now).
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sampler.ohlcv_shms.setdefault(
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1,
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[]
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).append(rt_shm)
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ohlckeys = ['open', 'high', 'low', 'close']
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# set the rt (hft) shm array as append only
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# (for now).
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rt_shm._first.value = 0
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rt_shm._last.value = 0
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# push last sample from history to rt buffer just as a filler datum
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# but we don't want a history sized datum outlier so set vlm to zero
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# and ohlc to the close value.
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rt_shm.push(hist_shm.array[-2:-1])
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rt_shm.array[ohlckeys] = hist_shm.array['close'][-1]
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rt_shm._array['volume'] = 0
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task_status.started()
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if not start_stream:
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@ -982,14 +1017,18 @@ async def allocate_persistent_feed(
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# start shm incrementer task for OHLC style sampling
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# at the current detected step period.
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times = shm.array['time']
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delay_s = 1 #times[-1] - times[times != times[-1]][-1]
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times = hist_shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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sampler.ohlcv_shms.setdefault(delay_s, []).append(hist_shm)
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sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
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if sampler.incrementers.get(delay_s) is None:
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# create buffer a single incrementer task broker backend
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# (aka `brokerd`) using the lowest sampler period.
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# await tractor.breakpoint()
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# for delay_s in sampler.ohlcv_shms:
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if sampler.incrementers.get(_default_delay_s) is None:
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await bus.start_task(
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increment_ohlc_buffer,
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1,
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_default_delay_s,
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)
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sum_tick_vlm: bool = init_msg.get(
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@ -1000,7 +1039,7 @@ async def allocate_persistent_feed(
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try:
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await sample_and_broadcast(
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bus,
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shm,
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rt_shm,
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quote_stream,
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brokername,
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sum_tick_vlm
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@ -1163,35 +1202,6 @@ async def open_feed_bus(
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log.warning(f'{sub} for {symbol} was already removed?')
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@asynccontextmanager
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async def open_sample_step_stream(
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portal: tractor.Portal,
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delay_s: int,
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) -> tractor.ReceiveMsgStream:
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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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async with maybe_open_context(
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acm_func=partial(
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portal.open_context,
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iter_ohlc_periods,
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),
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# kwargs={'delay_s': delay_s},
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kwargs={'delay_s': 1},
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) as (cache_hit, (ctx, first)):
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async with ctx.open_stream() as istream:
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if cache_hit:
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# add a new broadcast subscription for the quote stream
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# if this feed is likely already in use
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async with istream.subscribe() as bistream:
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yield bistream
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else:
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yield istream
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@dataclass
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class Feed:
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'''
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@ -1204,7 +1214,8 @@ class Feed:
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'''
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name: str
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shm: ShmArray
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hist_shm: ShmArray
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rt_shm: ShmArray
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mod: ModuleType
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first_quotes: dict # symbol names to first quote dicts
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_portal: tractor.Portal
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@ -1236,11 +1247,24 @@ class Feed:
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delay_s = 1 #delay_s or self._max_sample_rate
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async with open_sample_step_stream(
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self.portal,
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delay_s,
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) as istream:
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yield istream
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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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async with maybe_open_context(
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acm_func=partial(
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self.portal.open_context,
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iter_ohlc_periods,
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),
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kwargs={'delay_s': delay_s},
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) as (cache_hit, (ctx, first)):
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async with ctx.open_stream() as istream:
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if cache_hit:
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# add a new broadcast subscription for the quote stream
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# if this feed is likely already in use
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async with istream.subscribe() as bistream:
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yield bistream
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else:
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yield istream
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async def pause(self) -> None:
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await self.stream.send('pause')
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@ -1338,15 +1362,21 @@ async def open_feed(
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):
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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[bfqsn]['shm_token'],
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hist_shm = attach_shm_array(
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token=init_msg[bfqsn]['hist_shm_token'],
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readonly=True,
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)
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rt_shm = attach_shm_array(
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token=init_msg[bfqsn]['rt_shm_token'],
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readonly=True,
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)
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assert fqsn in first_quotes
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feed = Feed(
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name=brokername,
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shm=shm,
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hist_shm=hist_shm,
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rt_shm=rt_shm,
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mod=mod,
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first_quotes=first_quotes,
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stream=stream,
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@ -1364,7 +1394,7 @@ async def open_feed(
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'actor_name': feed.portal.channel.uid[0],
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'host': host,
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'port': port,
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'shm': f'{humanize(feed.shm._shm.size)}',
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'shm': f'{humanize(feed.hist_shm._shm.size)}',
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'throttle_rate': feed.throttle_rate,
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})
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feed.status.update(init_msg.pop('status', {}))
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@ -1382,13 +1412,17 @@ async def open_feed(
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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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for shm_key, shm in [
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('rt_shm_token', rt_shm),
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('hist_shm_token', hist_shm),
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]:
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shm_token = data[shm_key]
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# XXX: msgspec won't relay through the tuples XD
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shm_token['dtype_descr'] = tuple(
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map(tuple, shm_token['dtype_descr']))
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# XXX: msgspec won't relay through the tuples XD
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shm_token['dtype_descr'] = tuple(
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map(tuple, shm_token['dtype_descr']))
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assert shm_token == shm.token # sanity
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assert shm_token == shm.token # sanity
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feed._max_sample_rate = 1
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Loading…
Reference in New Issue