First stage port of `.data.feed` to `MktPair`
Add `MktPair` handling block for when a backend delivers a `mkt_info`-field containing init msg. Adjust the original `Symbol`-style `'symbol_info'` msg processing to do `Decimal` defaults and convert to `MktPair` including slapping in a hacky `_atype: str` field XD General initial name changes to `bs_mktid` and `_fqme` throughout!pre_overruns_ctxcancelled
Tyler Goodlet
parent
da7371988a
commit
8b0aead72e
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@ -26,6 +26,7 @@ from collections import (
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Counter,
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)
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from contextlib import asynccontextmanager as acm
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from decimal import Decimal
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from datetime import datetime
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from functools import partial
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import time
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@ -71,8 +72,10 @@ from ._sharedmem import (
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from .ingest import get_ingestormod
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from .types import Struct
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from ..accounting._mktinfo import (
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Asset,
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MktPair,
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unpack_fqme,
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Symbol,
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unpack_fqsn,
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)
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from ._source import base_iohlc_dtype
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from ..ui import _search
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@ -565,7 +568,7 @@ async def tsdb_backfill(
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timeframe=timeframe,
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)
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broker, symbol, expiry = unpack_fqsn(fqsn)
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broker, symbol, expiry = unpack_fqme(fqsn)
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try:
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(
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latest_start_dt,
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@ -1009,17 +1012,44 @@ async def allocate_persistent_feed(
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# the broker-specific fully qualified symbol name,
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# but ensure it is lower-cased for external use.
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bfqsn = msg['fqsn'].lower()
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bs_mktid = msg['fqsn'].lower()
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# true fqsn including broker/provider suffix
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fqsn = '.'.join((bfqsn, brokername))
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# msg['fqsn'] = bfqsn
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# true fqme including broker/provider suffix
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fqme = '.'.join((bs_mktid, brokername))
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symbol = Symbol.from_fqsn(
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fqsn=fqsn,
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info=msg['symbol_info'],
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)
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assert symbol.type_key
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mktinfo = msg.get('mkt_info')
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if not mktinfo:
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mktinfo = msg['symbol_info']
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# TODO: read out renamed/new tick size fields in block below!
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price_tick = mktinfo.get(
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'price_tick_size',
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Decimal('0.01'),
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)
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size_tick = mktinfo.get(
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'lot_tick_size',
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Decimal('0.0'),
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)
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log.warning(f'FQME: {fqme} -> backend needs port to `MktPair`')
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mkt = MktPair.from_fqme(
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fqme,
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price_tick=price_tick,
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size_tick=size_tick,
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bs_mktid=bs_mktid,
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_atype=mktinfo['asset_type']
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)
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else:
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# the new msg-protocol is to expect an already packed
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# ``Asset`` and ``MktPair`` object from the backend
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mkt = mktinfo
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assert isinstance(mkt, MktPair)
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assert isinstance(mkt.dst, Asset)
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assert mkt.type_key
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# HISTORY storage, run 2 tasks:
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# - a history loader / maintainer
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@ -1040,17 +1070,24 @@ async def allocate_persistent_feed(
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manage_history,
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mod,
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bus,
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fqsn,
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fqme,
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some_data_ready,
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feed_is_live,
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)
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# yield back control to starting nursery once we receive either
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# some history or a real-time quote.
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log.info(f'waiting on history to load: {fqsn}')
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log.info(f'waiting on history to load: {fqme}')
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await some_data_ready.wait()
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symbol = Symbol.from_fqsn(
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fqsn=fqme,
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info=msg['symbol_info'],
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)
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flume = Flume(
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# TODO: we have to use this for now since currently the
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# MktPair above doesn't render the correct output key it seems
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# when we provide the `MktInfo` here?..?
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symbol=symbol,
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first_quote=first_quote,
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_rt_shm_token=rt_shm.token,
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@ -1061,7 +1098,7 @@ 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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bus.feeds[symstr] = bus.feeds[bfqsn] = flume
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bus.feeds[symstr] = bus.feeds[bs_mktid] = flume
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task_status.started()
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@ -1104,7 +1141,7 @@ async def allocate_persistent_feed(
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# start sample loop and shm incrementer task for OHLC style sampling
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# at the above registered step periods.
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try:
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log.info(f'Starting sampler task for {fqsn}')
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log.info(f'Starting sampler task for {fqme}')
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await sample_and_broadcast(
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bus,
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rt_shm,
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@ -1114,7 +1151,7 @@ async def allocate_persistent_feed(
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sum_tick_vlm
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)
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finally:
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log.warning(f'{fqsn} feed task terminated')
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log.warning(f'{fqme} feed task terminated')
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@tractor.context
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@ -1197,22 +1234,22 @@ async def open_feed_bus(
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# subscriber
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flume = bus.feeds[symbol]
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sym = flume.symbol
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bfqsn = sym.key
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bs_mktid = sym.key
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fqsn = sym.fqsn # true fqsn
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assert bfqsn in fqsn and brokername in fqsn
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assert bs_mktid in fqsn and brokername in fqsn
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if sym.suffix:
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bfqsn = fqsn.removesuffix(f'.{brokername}')
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log.warning(f'{brokername} expanded symbol {symbol} -> {bfqsn}')
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bs_mktid = fqsn.removesuffix(f'.{brokername}')
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log.warning(f'{brokername} expanded symbol {symbol} -> {bs_mktid}')
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# pack for ``.started()`` sync msg
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flumes[fqsn] = flume
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# we use the broker-specific fqsn (bfqsn) for
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# the sampler subscription since the backend isn't (yet)
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# expected to append it's own name to the fqsn, so we filter
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# on keys which *do not* include that name (e.g .ib) .
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bus._subscribers.setdefault(bfqsn, set())
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# we use the broker-specific market id (bs_mktid) for the
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# sampler subscription since the backend isn't (yet) expected to
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# append it's own name to the fqsn, so we filter on keys which
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# *do not* include that name (e.g .ib) .
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bus._subscribers.setdefault(bs_mktid, set())
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# sync feed subscribers with flume handles
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await ctx.started(
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@ -1276,9 +1313,9 @@ async def open_feed_bus(
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# maybe use the current task-id to key the sub list that's
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# added / removed? Or maybe we can add a general
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# pause-resume by sub-key api?
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bfqsn = fqsn.removesuffix(f'.{brokername}')
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local_subs.setdefault(bfqsn, set()).add(sub)
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bus.add_subs(bfqsn, {sub})
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bs_mktid = fqsn.removesuffix(f'.{brokername}')
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local_subs.setdefault(bs_mktid, set()).add(sub)
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bus.add_subs(bs_mktid, {sub})
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# sync caller with all subs registered state
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sub_registered.set()
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@ -1291,16 +1328,16 @@ async def open_feed_bus(
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async for msg in stream:
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if msg == 'pause':
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for bfqsn, subs in local_subs.items():
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for bs_mktid, subs in local_subs.items():
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log.info(
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f'Pausing {bfqsn} feed for {uid}')
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bus.remove_subs(bfqsn, subs)
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f'Pausing {bs_mktid} feed for {uid}')
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bus.remove_subs(bs_mktid, subs)
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elif msg == 'resume':
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for bfqsn, subs in local_subs.items():
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for bs_mktid, subs in local_subs.items():
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log.info(
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f'Resuming {bfqsn} feed for {uid}')
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bus.add_subs(bfqsn, subs)
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f'Resuming {bs_mktid} feed for {uid}')
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bus.add_subs(bs_mktid, subs)
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else:
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raise ValueError(msg)
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@ -1314,8 +1351,8 @@ async def open_feed_bus(
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cs.cancel()
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# drop all subs for this task from the bus
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for bfqsn, subs in local_subs.items():
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bus.remove_subs(bfqsn, subs)
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for bs_mktid, subs in local_subs.items():
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bus.remove_subs(bs_mktid, subs)
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class Feed(Struct):
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@ -1512,7 +1549,7 @@ async def open_feed(
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feed = Feed()
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for fqsn in fqsns:
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brokername, key, suffix = unpack_fqsn(fqsn)
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brokername, key, suffix = unpack_fqme(fqsn)
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bfqsn = fqsn.replace('.' + brokername, '')
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try:
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