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Merge pull request #414 from pikers/agg_feedz 

Agg feedz
dark_clearing_improvements
goodboy 2023-01-13 12:20:47 -05:00 committed by GitHub
parent 220d38b4a9 963e5bdd62
commit 8d1eb81f16
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
28 changed files with 1314 additions and 746 deletions
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21
.github/workflows/ci.yml vendored
View File

@ -14,6 +14,27 @@ on:
jobs: jobs:
# test that we can generate a software distribution and install it
# thus avoid missing file issues after packaging.
sdist-linux:
name: 'sdist'
runs-on: ubuntu-latest
steps:
- name: Checkout
uses: actions/checkout@v3
- name: Setup python
uses: actions/setup-python@v2
with:
python-version: '3.10'
- name: Build sdist
run: python setup.py sdist --formats=zip
- name: Install sdist from .zips
run: python -m pip install dist/*.zip
testing: testing:
name: 'install + test-suite' name: 'install + test-suite'
runs-on: ubuntu-latest runs-on: ubuntu-latest

62
dockering/ib/docker-compose.yml
View File

@ -62,39 +62,39 @@ services:
# - "127.0.0.1:4002:4002" # - "127.0.0.1:4002:4002"
# - "127.0.0.1:5900:5900" # - "127.0.0.1:5900:5900"
ib_gw_live: # ib_gw_live:
image: waytrade/ib-gateway:1012.2i # image: waytrade/ib-gateway:1012.2i
restart: always # restart: always
network_mode: 'host' # network_mode: 'host'
volumes: # volumes:
- type: bind # - type: bind
source: ./jts_live.ini # source: ./jts_live.ini
target: /root/jts/jts.ini # target: /root/jts/jts.ini
# don't let ibc clobber this file for # # don't let ibc clobber this file for
# the main reason of not having a stupid # # the main reason of not having a stupid
# timezone set.. # # timezone set..
read_only: true # read_only: true
# force our own ibc config # # force our own ibc config
- type: bind # - type: bind
source: ./ibc.ini # source: ./ibc.ini
target: /root/ibc/config.ini # target: /root/ibc/config.ini
# force our noop script - socat isn't needed in host mode. # # force our noop script - socat isn't needed in host mode.
- type: bind # - type: bind
source: ./fork_ports_delayed.sh # source: ./fork_ports_delayed.sh
target: /root/scripts/fork_ports_delayed.sh # target: /root/scripts/fork_ports_delayed.sh
# force our noop script - socat isn't needed in host mode. # # force our noop script - socat isn't needed in host mode.
- type: bind # - type: bind
source: ./run_x11_vnc.sh # source: ./run_x11_vnc.sh
target: /root/scripts/run_x11_vnc.sh # target: /root/scripts/run_x11_vnc.sh
read_only: true # read_only: true
# NOTE: to fill these out, define an `.env` file in the same dir as # # NOTE: to fill these out, define an `.env` file in the same dir as
# this compose file which looks something like: # # this compose file which looks something like:
environment: # environment:
TRADING_MODE: 'live' # TRADING_MODE: 'live'
VNC_SERVER_PASSWORD: 'doggy' # VNC_SERVER_PASSWORD: 'doggy'
VNC_SERVER_PORT: '3004' # VNC_SERVER_PORT: '3004'

35
piker/_daemon.py
View File

@ -35,12 +35,17 @@ log = get_logger(__name__)
_root_dname = 'pikerd' _root_dname = 'pikerd'
_registry_host: str = '127.0.0.1' _default_registry_host: str = '127.0.0.1'
_registry_port: int = 6116 _default_registry_port: int = 6116
_registry_addr = ( _default_reg_addr: tuple[str, int] = (
_registry_host, _default_registry_host,
_registry_port, _default_registry_port,
) )
# NOTE: this value is set as an actor-global once the first endpoint
# who is capable, spawns a `pikerd` service tree.
_registry_addr: tuple[str, int] | None = None
_tractor_kwargs: dict[str, Any] = { _tractor_kwargs: dict[str, Any] = {
# use a different registry addr then tractor's default # use a different registry addr then tractor's default
'arbiter_addr': _registry_addr 'arbiter_addr': _registry_addr
@ -152,13 +157,20 @@ async def open_pikerd(
''' '''
global _services global _services
global _registry_addr
if (
_registry_addr is None
or registry_addr
):
_registry_addr = registry_addr or _default_reg_addr
# XXX: this may open a root actor as well # XXX: this may open a root actor as well
async with ( async with (
tractor.open_root_actor( tractor.open_root_actor(
# passed through to ``open_root_actor`` # passed through to ``open_root_actor``
arbiter_addr=registry_addr or _registry_addr, arbiter_addr=_registry_addr,
name=_root_dname, name=_root_dname,
loglevel=loglevel, loglevel=loglevel,
debug_mode=debug_mode, debug_mode=debug_mode,
@ -197,7 +209,7 @@ async def open_piker_runtime(
# XXX: you should pretty much never want debug mode # XXX: you should pretty much never want debug mode
# for data daemons when running in production. # for data daemons when running in production.
debug_mode: bool = False, debug_mode: bool = False,
registry_addr: None | tuple[str, int] = _registry_addr, registry_addr: None | tuple[str, int] = None,
) -> tractor.Actor: ) -> tractor.Actor:
''' '''
@ -206,13 +218,20 @@ async def open_piker_runtime(
''' '''
global _services global _services
global _registry_addr
if (
_registry_addr is None
or registry_addr
):
_registry_addr = registry_addr or _default_reg_addr
# XXX: this may open a root actor as well # XXX: this may open a root actor as well
async with ( async with (
tractor.open_root_actor( tractor.open_root_actor(
# passed through to ``open_root_actor`` # passed through to ``open_root_actor``
arbiter_addr=registry_addr, arbiter_addr=_registry_addr,
name=name, name=name,
loglevel=loglevel, loglevel=loglevel,
debug_mode=debug_mode, debug_mode=debug_mode,

15
piker/brokers/__init__.py
View File

@ -26,10 +26,21 @@ asks.init('trio')
__brokers__ = [ __brokers__ = [
'binance', 'binance',
'questrade',
'robinhood',
'ib', 'ib',
'kraken', 'kraken',
# broken but used to work
# 'questrade',
# 'robinhood',
# TODO: we should get on these stat!
# alpaca
# wstrade
# iex
# deribit
# kucoin
# bitso
] ]

52
piker/brokers/binance.py
View File

@ -41,10 +41,15 @@ from ._util import (
SymbolNotFound, SymbolNotFound,
DataUnavailable, DataUnavailable,
) )
from ..log import get_logger, get_console_log from ..log import (
from ..data import ShmArray get_logger,
get_console_log,
)
from ..data.types import Struct from ..data.types import Struct
from ..data._web_bs import open_autorecon_ws, NoBsWs from ..data._web_bs import (
open_autorecon_ws,
NoBsWs,
)
log = get_logger(__name__) log = get_logger(__name__)
@ -142,7 +147,9 @@ class OHLC(Struct):
# convert datetime obj timestamp to unixtime in milliseconds # convert datetime obj timestamp to unixtime in milliseconds
def binance_timestamp(when): def binance_timestamp(
when: datetime
) -> int:
return int((when.timestamp() * 1000) + (when.microsecond / 1000)) return int((when.timestamp() * 1000) + (when.microsecond / 1000))
@ -181,7 +188,7 @@ class Client:
params = {} params = {}
if sym is not None: if sym is not None:
sym = sym.upper() sym = sym.lower()
params = {'symbol': sym} params = {'symbol': sym}
resp = await self._api( resp = await self._api(
@ -238,7 +245,7 @@ class Client:
) -> dict: ) -> dict:
if end_dt is None: if end_dt is None:
end_dt = pendulum.now('UTC') end_dt = pendulum.now('UTC').add(minutes=1)
if start_dt is None: if start_dt is None:
start_dt = end_dt.start_of( start_dt = end_dt.start_of(
@ -396,8 +403,8 @@ async def open_history_client(
async def get_ohlc( async def get_ohlc(
timeframe: float, timeframe: float,
end_dt: Optional[datetime] = None, end_dt: datetime | None = None,
start_dt: Optional[datetime] = None, start_dt: datetime | None = None,
) -> tuple[ ) -> tuple[
np.ndarray, np.ndarray,
@ -412,27 +419,22 @@ async def open_history_client(
start_dt=start_dt, start_dt=start_dt,
end_dt=end_dt, end_dt=end_dt,
) )
start_dt = pendulum.from_timestamp(array[0]['time']) times = array['time']
end_dt = pendulum.from_timestamp(array[-1]['time']) if (
end_dt is None
):
inow = round(time.time())
if (inow - times[-1]) > 60:
await tractor.breakpoint()
start_dt = pendulum.from_timestamp(times[0])
end_dt = pendulum.from_timestamp(times[-1])
return array, start_dt, end_dt return array, start_dt, end_dt
yield get_ohlc, {'erlangs': 3, 'rate': 3} yield get_ohlc, {'erlangs': 3, 'rate': 3}
async def backfill_bars(
sym: str,
shm: ShmArray, # type: ignore # noqa
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Fill historical bars into shared mem / storage afap.
"""
with trio.CancelScope() as cs:
async with open_cached_client('binance') as client:
bars = await client.bars(symbol=sym)
shm.push(bars)
task_status.started(cs)
async def stream_quotes( async def stream_quotes(
send_chan: trio.abc.SendChannel, send_chan: trio.abc.SendChannel,
@ -465,7 +467,7 @@ async def stream_quotes(
si = sym_infos[sym] = syminfo.to_dict() si = sym_infos[sym] = syminfo.to_dict()
filters = {} filters = {}
for entry in syminfo.filters: for entry in syminfo.filters:
ftype = entry.pop('filterType') ftype = entry['filterType']
filters[ftype] = entry filters[ftype] = entry
# XXX: after manually inspecting the response format we # XXX: after manually inspecting the response format we

9
piker/brokers/ib/broker.py
View File

@ -371,8 +371,8 @@ async def update_and_audit_msgs(
else: else:
entry = f'split_ratio = 1/{int(reverse_split_ratio)}' entry = f'split_ratio = 1/{int(reverse_split_ratio)}'
raise ValueError( # raise ValueError(
# log.error( log.error(
f'POSITION MISMATCH ib <-> piker ledger:\n' f'POSITION MISMATCH ib <-> piker ledger:\n'
f'ib: {ibppmsg}\n' f'ib: {ibppmsg}\n'
f'piker: {msg}\n' f'piker: {msg}\n'
@ -575,8 +575,9 @@ async def trades_dialogue(
# if new trades are detected from the API, prepare # if new trades are detected from the API, prepare
# them for the ledger file and update the pptable. # them for the ledger file and update the pptable.
if api_to_ledger_entries: if api_to_ledger_entries:
trade_entries = api_to_ledger_entries[acctid] trade_entries = api_to_ledger_entries.get(acctid)
if trade_entries:
# write ledger with all new trades **AFTER** # write ledger with all new trades **AFTER**
# we've updated the `pps.toml` from the # we've updated the `pps.toml` from the
# original ledger state! (i.e. this is # original ledger state! (i.e. this is
@ -883,7 +884,7 @@ async def deliver_trade_events(
# execdict.pop('acctNumber') # execdict.pop('acctNumber')
fill_msg = BrokerdFill( fill_msg = BrokerdFill(
# should match the value returned from # NOTE: should match the value returned from
# `.submit_limit()` # `.submit_limit()`
reqid=execu.orderId, reqid=execu.orderId,
time_ns=time.time_ns(), # cuz why not time_ns=time.time_ns(), # cuz why not

8
piker/brokers/ib/feed.py
View File

@ -1047,7 +1047,13 @@ async def open_symbol_search(
stock_results = [] stock_results = []
async def stash_results(target: Awaitable[list]): async def stash_results(target: Awaitable[list]):
stock_results.extend(await target) try:
results = await target
except tractor.trionics.Lagged:
print("IB SYM-SEARCH OVERRUN?!?")
return
stock_results.extend(results)
for i in range(10): for i in range(10):
with trio.move_on_after(3) as cs: with trio.move_on_after(3) as cs:

39
piker/clearing/_ems.py
View File

@ -27,6 +27,7 @@ from contextlib import asynccontextmanager as acm
from math import isnan from math import isnan
from pprint import pformat from pprint import pformat
import time import time
from types import ModuleType
from typing import ( from typing import (
AsyncIterator, AsyncIterator,
Any, Any,
@ -48,6 +49,7 @@ from ..data._source import (
) )
from ..data.feed import ( from ..data.feed import (
Feed, Feed,
Flume,
maybe_open_feed, maybe_open_feed,
) )
from ..ui._notify import notify_from_ems_status_msg from ..ui._notify import notify_from_ems_status_msg
@ -380,14 +382,15 @@ class Router(Struct):
@acm @acm
async def maybe_open_brokerd_dialog( async def maybe_open_brokerd_dialog(
self, self,
feed: Feed, brokermod: ModuleType,
portal: tractor.Portal,
exec_mode: str, exec_mode: str,
symbol: str, symbol: str,
loglevel: str, loglevel: str,
) -> None: ) -> None:
brokermod = feed.mod
broker = brokermod.name broker = brokermod.name
relay: TradesRelay = self.relays.get(broker) relay: TradesRelay = self.relays.get(broker)
if ( if (
relay relay
@ -426,7 +429,7 @@ class Router(Struct):
else: else:
# open live brokerd trades endpoint # open live brokerd trades endpoint
open_trades_endpoint = feed.portal.open_context( open_trades_endpoint = portal.open_context(
trades_endpoint, trades_endpoint,
loglevel=loglevel, loglevel=loglevel,
) )
@ -523,18 +526,22 @@ class Router(Struct):
maybe_open_feed( maybe_open_feed(
[fqsn], [fqsn],
loglevel=loglevel, loglevel=loglevel,
) as (feed, quote_stream), ) as feed,
): ):
brokermod = feed.mod brokername, _, _ = unpack_fqsn(fqsn)
brokermod = feed.mods[brokername]
broker = brokermod.name broker = brokermod.name
portal = feed.portals[brokermod]
# XXX: this should be initial price quote from target provider # XXX: this should be initial price quote from target provider
first_quote: dict = feed.first_quotes[fqsn] flume = feed.flumes[fqsn]
first_quote: dict = flume.first_quote
book: DarkBook = self.get_dark_book(broker) book: DarkBook = self.get_dark_book(broker)
book.lasts[fqsn]: float = first_quote['last'] book.lasts[fqsn]: float = first_quote['last']
async with self.maybe_open_brokerd_dialog( async with self.maybe_open_brokerd_dialog(
feed=feed, brokermod=brokermod,
portal=portal,
exec_mode=exec_mode, exec_mode=exec_mode,
symbol=symbol, symbol=symbol,
loglevel=loglevel, loglevel=loglevel,
@ -547,14 +554,16 @@ class Router(Struct):
clear_dark_triggers, clear_dark_triggers,
self, self,
relay.brokerd_stream, relay.brokerd_stream,
quote_stream, flume.stream,
broker, broker,
fqsn, # form: <name>.<venue>.<suffix>.<broker> fqsn, # form: <name>.<venue>.<suffix>.<broker>
book book
) )
client_ready = trio.Event() client_ready = trio.Event()
task_status.started((relay, feed, client_ready)) task_status.started(
(relay, feed, client_ready)
)
# sync to the client side by waiting for the stream # sync to the client side by waiting for the stream
# connection setup before relaying any existing live # connection setup before relaying any existing live
@ -1014,7 +1023,7 @@ async def process_client_order_cmds(
brokerd_order_stream: tractor.MsgStream, brokerd_order_stream: tractor.MsgStream,
fqsn: str, fqsn: str,
feed: Feed, flume: Flume,
dark_book: DarkBook, dark_book: DarkBook,
router: Router, router: Router,
@ -1212,7 +1221,7 @@ async def process_client_order_cmds(
'size': size, 'size': size,
'exec_mode': exec_mode, 'exec_mode': exec_mode,
'action': action, 'action': action,
'brokers': brokers, # list 'brokers': _, # list
} if ( } if (
# "DARK" triggers # "DARK" triggers
# submit order to local EMS book and scan loop, # submit order to local EMS book and scan loop,
@ -1234,13 +1243,12 @@ async def process_client_order_cmds(
# sometimes the real-time feed hasn't come up # sometimes the real-time feed hasn't come up
# so just pull from the latest history. # so just pull from the latest history.
if isnan(last): if isnan(last):
last = feed.rt_shm.array[-1]['close'] last = flume.rt_shm.array[-1]['close']
pred = mk_check(trigger_price, last, action) pred = mk_check(trigger_price, last, action)
spread_slap: float = 5 spread_slap: float = 5
sym = fqsn.replace(f'.{brokers[0]}', '') min_tick = flume.symbol.tick_size
min_tick = feed.symbols[sym].tick_size
if action == 'buy': if action == 'buy':
tickfilter = ('ask', 'last', 'trade') tickfilter = ('ask', 'last', 'trade')
@ -1453,11 +1461,12 @@ async def _emsd_main(
# start inbound (from attached client) order request processing # start inbound (from attached client) order request processing
# main entrypoint, run here until cancelled. # main entrypoint, run here until cancelled.
try: try:
flume = feed.flumes[fqsn]
await process_client_order_cmds( await process_client_order_cmds(
client_stream, client_stream,
brokerd_stream, brokerd_stream,
fqsn, fqsn,
feed, flume,
dark_book, dark_book,
_router, _router,
) )

2
piker/clearing/_paper_engine.py
View File

@ -578,7 +578,7 @@ async def trades_dialogue(
) )
# paper engine simulator clearing task # paper engine simulator clearing task
await simulate_fills(feed.stream, client) await simulate_fills(feed.streams[broker], client)
@asynccontextmanager @asynccontextmanager

24
piker/cli/__init__.py
View File

@ -29,14 +29,13 @@ from ..log import get_console_log, get_logger, colorize_json
from ..brokers import get_brokermod from ..brokers import get_brokermod
from .._daemon import ( from .._daemon import (
_tractor_kwargs, _tractor_kwargs,
_registry_host, _default_registry_host,
_registry_port, _default_registry_port,
) )
from .. import config from .. import config
log = get_logger('cli') log = get_logger('cli')
DEFAULT_BROKER = 'questrade'
@click.command() @click.command()
@ -77,8 +76,8 @@ def pikerd(
reg_addr: None | tuple[str, int] = None reg_addr: None | tuple[str, int] = None
if host or port: if host or port:
reg_addr = ( reg_addr = (
host or _registry_host, host or _default_registry_host,
int(port) or _registry_port, int(port) or _default_registry_port,
) )
async def main(): async def main():
@ -118,7 +117,7 @@ def pikerd(
@click.group(context_settings=config._context_defaults) @click.group(context_settings=config._context_defaults)
@click.option( @click.option(
'--brokers', '-b', '--brokers', '-b',
default=[DEFAULT_BROKER], default=None,
multiple=True, multiple=True,
help='Broker backend to use' help='Broker backend to use'
) )
@ -144,16 +143,19 @@ def cli(
ctx.ensure_object(dict) ctx.ensure_object(dict)
if len(brokers) == 1: if not brokers:
brokermods = [get_brokermod(brokers[0])] # (try to) load all (supposedly) supported data/broker backends
else: from piker.brokers import __brokers__
brokers = __brokers__
brokermods = [get_brokermod(broker) for broker in brokers] brokermods = [get_brokermod(broker) for broker in brokers]
assert brokermods
reg_addr: None | tuple[str, int] = None reg_addr: None | tuple[str, int] = None
if host or port: if host or port:
reg_addr = ( reg_addr = (
host or _registry_host, host or _default_registry_host,
int(port) or _registry_port, int(port) or _default_registry_port,
) )
ctx.obj.update({ ctx.obj.update({

7
piker/config.py
View File

@ -197,6 +197,9 @@ def load(
''' '''
path = path or get_conf_path(conf_name) path = path or get_conf_path(conf_name)
if not os.path.isdir(_config_dir):
os.mkdir(_config_dir)
if not os.path.isfile(path): if not os.path.isfile(path):
fn = _conf_fn_w_ext(conf_name) fn = _conf_fn_w_ext(conf_name)
@ -210,8 +213,8 @@ def load(
if os.path.isfile(template): if os.path.isfile(template):
shutil.copyfile(template, path) shutil.copyfile(template, path)
else: else:
with open(path, 'w'): with open(path, 'r'):
pass # touch pass # touch it
config = toml.load(path, **tomlkws) config = toml.load(path, **tomlkws)
log.debug(f"Read config file {path}") log.debug(f"Read config file {path}")

72
piker/data/_sampling.py
View File

@ -22,7 +22,9 @@ financial data flows.
from __future__ import annotations from __future__ import annotations
from collections import Counter from collections import Counter
import time import time
from typing import TYPE_CHECKING, Optional, Union from typing import (
TYPE_CHECKING,
)
import tractor import tractor
import trio import trio
@ -147,7 +149,7 @@ async def increment_ohlc_buffer(
async def broadcast( async def broadcast(
delay_s: int, delay_s: int,
shm: Optional[ShmArray] = None, shm: ShmArray | None = None,
) -> None: ) -> None:
''' '''
@ -241,6 +243,8 @@ async def sample_and_broadcast(
# iterate stream delivered by broker # iterate stream delivered by broker
async for quotes in quote_stream: async for quotes in quote_stream:
# print(quotes)
# TODO: ``numba`` this! # TODO: ``numba`` this!
for broker_symbol, quote in quotes.items(): for broker_symbol, quote in quotes.items():
# TODO: in theory you can send the IPC msg *before* writing # TODO: in theory you can send the IPC msg *before* writing
@ -304,29 +308,29 @@ async def sample_and_broadcast(
volume, volume,
) )
# TODO: PUT THIS IN A ``_FeedsBus.broadcast()`` method!
# XXX: we need to be very cautious here that no # XXX: we need to be very cautious here that no
# context-channel is left lingering which doesn't have # context-channel is left lingering which doesn't have
# a far end receiver actor-task. In such a case you can # a far end receiver actor-task. In such a case you can
# end up triggering backpressure which which will # end up triggering backpressure which which will
# eventually block this producer end of the feed and # eventually block this producer end of the feed and
# thus other consumers still attached. # thus other consumers still attached.
sub_key: str = broker_symbol.lower()
subs: list[ subs: list[
tuple[ tuple[
Union[tractor.MsgStream, trio.MemorySendChannel], tractor.MsgStream | trio.MemorySendChannel,
tractor.Context, float | None, # tick throttle in Hz
Optional[float], # tick throttle in Hz
] ]
] = bus._subscribers[broker_symbol.lower()] ] = bus.get_subs(sub_key)
# NOTE: by default the broker backend doesn't append # NOTE: by default the broker backend doesn't append
# it's own "name" into the fqsn schema (but maybe it # it's own "name" into the fqsn schema (but maybe it
# should?) so we have to manually generate the correct # should?) so we have to manually generate the correct
# key here. # key here.
bsym = f'{broker_symbol}.{brokername}' fqsn = f'{broker_symbol}.{brokername}'
lags: int = 0 lags: int = 0
for (stream, ctx, tick_throttle) in subs: for (stream, tick_throttle) in subs.copy():
try: try:
with trio.move_on_after(0.2) as cs: with trio.move_on_after(0.2) as cs:
if tick_throttle: if tick_throttle:
@ -334,47 +338,39 @@ async def sample_and_broadcast(
# pushes to the ``uniform_rate_send()`` below. # pushes to the ``uniform_rate_send()`` below.
try: try:
stream.send_nowait( stream.send_nowait(
(bsym, quote) (fqsn, quote)
) )
except trio.WouldBlock: except trio.WouldBlock:
overruns[sub_key] += 1
ctx = stream._ctx
chan = ctx.chan chan = ctx.chan
if ctx:
log.warning( log.warning(
f'Feed overrun {bus.brokername} ->' f'Feed OVERRUN {sub_key}'
f'{chan.uid} !!!' '@{bus.brokername} -> \n'
f'feed @ {chan.uid}\n'
f'throttle = {tick_throttle} Hz'
) )
else:
key = id(stream) if overruns[sub_key] > 6:
overruns[key] += 1
log.warning(
f'Feed overrun {broker_symbol}'
'@{bus.brokername} -> '
f'feed @ {tick_throttle} Hz'
)
if overruns[key] > 6:
# TODO: should we check for the # TODO: should we check for the
# context being cancelled? this # context being cancelled? this
# could happen but the # could happen but the
# channel-ipc-pipe is still up. # channel-ipc-pipe is still up.
if not chan.connected(): if (
not chan.connected()
or ctx._cancel_called
):
log.warning( log.warning(
'Dropping broken consumer:\n' 'Dropping broken consumer:\n'
f'{broker_symbol}:' f'{sub_key}:'
f'{ctx.cid}@{chan.uid}' f'{ctx.cid}@{chan.uid}'
) )
await stream.aclose() await stream.aclose()
raise trio.BrokenResourceError raise trio.BrokenResourceError
else:
log.warning(
'Feed getting overrun bro!\n'
f'{broker_symbol}:'
f'{ctx.cid}@{chan.uid}'
)
continue
else: else:
await stream.send( await stream.send(
{bsym: quote} {fqsn: quote}
) )
if cs.cancelled_caught: if cs.cancelled_caught:
@ -402,13 +398,9 @@ async def sample_and_broadcast(
# so far seems like no since this should all # so far seems like no since this should all
# be single-threaded. Doing it anyway though # be single-threaded. Doing it anyway though
# since there seems to be some kinda race.. # since there seems to be some kinda race..
try: bus.remove_subs(
subs.remove((stream, tick_throttle)) sub_key,
except ValueError: {(stream, tick_throttle)},
log.error(
f'Stream was already removed from subs!?\n'
f'{broker_symbol}:'
f'{ctx.cid}@{chan.uid}'
) )

7
piker/data/_source.py
View File

@ -23,7 +23,8 @@ import decimal
from bidict import bidict from bidict import bidict
import numpy as np import numpy as np
from msgspec import Struct
from .types import Struct
# from numba import from_dtype # from numba import from_dtype
@ -217,6 +218,10 @@ class Symbol(Struct):
else: else:
return (key, broker) return (key, broker)
@property
def fqsn(self) -> str:
return '.'.join(self.tokens()).lower()
def front_fqsn(self) -> str: def front_fqsn(self) -> str:
''' '''
fqsn = "fully qualified symbol name" fqsn = "fully qualified symbol name"

1032
piker/data/feed.py
View File

File diff suppressed because it is too large Load Diff

16
piker/data/marketstore.py
View File

@ -38,7 +38,7 @@ from math import isnan
from bidict import bidict from bidict import bidict
from msgspec.msgpack import encode, decode from msgspec.msgpack import encode, decode
import pyqtgraph as pg # import pyqtgraph as pg
import numpy as np import numpy as np
import tractor import tractor
from trio_websocket import open_websocket_url from trio_websocket import open_websocket_url
@ -429,10 +429,7 @@ class Storage:
end: Optional[int] = None, end: Optional[int] = None,
limit: int = int(800e3), limit: int = int(800e3),
) -> dict[ ) -> np.ndarray:
int,
Union[dict, np.ndarray],
]:
client = self.client client = self.client
syms = await client.list_symbols() syms = await client.list_symbols()
@ -661,7 +658,7 @@ async def tsdb_history_update(
[fqsn], [fqsn],
start_stream=False, start_stream=False,
) as (feed, stream), ) as feed,
): ):
profiler(f'opened feed for {fqsn}') profiler(f'opened feed for {fqsn}')
@ -669,12 +666,13 @@ async def tsdb_history_update(
# to_prepend = None # to_prepend = None
if fqsn: if fqsn:
symbol = feed.symbols.get(fqsn) flume = feed.flumes[fqsn]
symbol = flume.symbol
if symbol: if symbol:
fqsn = symbol.front_fqsn() fqsn = symbol.fqsn
# diff db history with shm and only write the missing portions # diff db history with shm and only write the missing portions
# ohlcv = feed.hist_shm.array # ohlcv = flume.hist_shm.array
# TODO: use pg profiler # TODO: use pg profiler
# for secs in (1, 60): # for secs in (1, 60):

19
piker/data/types.py
View File

@ -42,16 +42,17 @@ class Struct(
for f in self.__struct_fields__ for f in self.__struct_fields__
} }
def __repr__(self): # Lul, doesn't seem to work that well..
# only turn on pprint when we detect a python REPL # def __repr__(self):
# at runtime B) # # only turn on pprint when we detect a python REPL
if ( # # at runtime B)
hasattr(sys, 'ps1') # if (
# TODO: check if we're in pdb # hasattr(sys, 'ps1')
): # # TODO: check if we're in pdb
return self.pformat() # ):
# return self.pformat()
return super().__repr__() # return super().__repr__()
def pformat(self) -> str: def pformat(self) -> str:
return f'Struct({pformat(self.to_dict())})' return f'Struct({pformat(self.to_dict())})'

23
piker/fsp/_engine.py
View File

@ -26,7 +26,6 @@ from typing import (
) )
import numpy as np import numpy as np
import pyqtgraph as pg
import trio import trio
from trio_typing import TaskStatus from trio_typing import TaskStatus
import tractor import tractor
@ -35,7 +34,9 @@ from tractor.msg import NamespacePath
from ..log import get_logger, get_console_log from ..log import get_logger, get_console_log
from .. import data from .. import data
from ..data import attach_shm_array from ..data import attach_shm_array
from ..data.feed import Feed from ..data.feed import (
Flume,
)
from ..data._sharedmem import ShmArray from ..data._sharedmem import ShmArray
from ..data._sampling import _default_delay_s from ..data._sampling import _default_delay_s
from ..data._source import Symbol from ..data._source import Symbol
@ -79,7 +80,7 @@ async def filter_quotes_by_sym(
async def fsp_compute( async def fsp_compute(
symbol: Symbol, symbol: Symbol,
feed: Feed, flume: Flume,
quote_stream: trio.abc.ReceiveChannel, quote_stream: trio.abc.ReceiveChannel,
src: ShmArray, src: ShmArray,
@ -107,7 +108,7 @@ async def fsp_compute(
filter_quotes_by_sym(fqsn, quote_stream), filter_quotes_by_sym(fqsn, quote_stream),
# XXX: currently the ``ohlcv`` arg # XXX: currently the ``ohlcv`` arg
feed.rt_shm, flume.rt_shm,
) )
# Conduct a single iteration of fsp with historical bars input # Conduct a single iteration of fsp with historical bars input
@ -310,12 +311,12 @@ async def cascade(
# needs to get throttled the ticks we generate. # needs to get throttled the ticks we generate.
# tick_throttle=60, # tick_throttle=60,
) as (feed, quote_stream): ) as feed:
symbol = feed.symbols[fqsn]
flume = feed.flumes[fqsn]
symbol = flume.symbol
assert src.token == flume.rt_shm.token
profiler(f'{func}: feed up') profiler(f'{func}: feed up')
assert src.token == feed.rt_shm.token
# last_len = new_len = len(src.array) # last_len = new_len = len(src.array)
func_name = func.__name__ func_name = func.__name__
@ -327,8 +328,8 @@ async def cascade(
fsp_compute, fsp_compute,
symbol=symbol, symbol=symbol,
feed=feed, flume=flume,
quote_stream=quote_stream, quote_stream=flume.stream,
# shm # shm
src=src, src=src,
@ -430,7 +431,7 @@ async def cascade(
# Increment the underlying shared memory buffer on every # Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed. # "increment" msg received from the underlying data feed.
async with feed.index_stream( async with flume.index_stream(
int(delay_s) int(delay_s)
) as istream: ) as istream:

49
piker/ui/_app.py
View File

@ -19,15 +19,16 @@ Main app startup and run.
''' '''
from functools import partial from functools import partial
from types import ModuleType
from PyQt5.QtCore import QEvent from PyQt5.QtCore import QEvent
import trio import trio
from .._daemon import maybe_spawn_brokerd from .._daemon import maybe_spawn_brokerd
from ..brokers import get_brokermod
from . import _event from . import _event
from ._exec import run_qtractor from ._exec import run_qtractor
from ..data.feed import install_brokerd_search from ..data.feed import install_brokerd_search
from ..data._source import unpack_fqsn
from . import _search from . import _search
from ._chart import GodWidget from ._chart import GodWidget
from ..log import get_logger from ..log import get_logger
@ -36,27 +37,26 @@ log = get_logger(__name__)
async def load_provider_search( async def load_provider_search(
brokermod: str,
broker: str,
loglevel: str, loglevel: str,
) -> None: ) -> None:
log.info(f'loading brokerd for {broker}..') name = brokermod.name
log.info(f'loading brokerd for {name}..')
async with ( async with (
maybe_spawn_brokerd( maybe_spawn_brokerd(
broker, name,
loglevel=loglevel loglevel=loglevel
) as portal, ) as portal,
install_brokerd_search( install_brokerd_search(
portal, portal,
get_brokermod(broker), brokermod,
), ),
): ):
# keep search engine stream up until cancelled # keep search engine stream up until cancelled
await trio.sleep_forever() await trio.sleep_forever()
@ -66,8 +66,8 @@ async def _async_main(
# implicit required argument provided by ``qtractor_run()`` # implicit required argument provided by ``qtractor_run()``
main_widget: GodWidget, main_widget: GodWidget,
sym: str, syms: list[str],
brokernames: str, brokers: dict[str, ModuleType],
loglevel: str, loglevel: str,
) -> None: ) -> None:
@ -99,6 +99,11 @@ async def _async_main(
sbar = godwidget.window.status_bar sbar = godwidget.window.status_bar
starting_done = sbar.open_status('starting ze sexy chartz') starting_done = sbar.open_status('starting ze sexy chartz')
needed_brokermods: dict[str, ModuleType] = {}
for fqsn in syms:
brokername, *_ = unpack_fqsn(fqsn)
needed_brokermods[brokername] = brokers[brokername]
async with ( async with (
trio.open_nursery() as root_n, trio.open_nursery() as root_n,
): ):
@ -113,12 +118,16 @@ async def _async_main(
# godwidget.hbox.addWidget(search) # godwidget.hbox.addWidget(search)
godwidget.search = search godwidget.search = search
symbols: list[str] = []
for sym in syms:
symbol, _, provider = sym.rpartition('.') symbol, _, provider = sym.rpartition('.')
symbols.append(symbol)
# this internally starts a ``display_symbol_data()`` task above # this internally starts a ``display_symbol_data()`` task above
order_mode_ready = await godwidget.load_symbol( order_mode_ready = await godwidget.load_symbols(
provider, provider,
symbol, symbols,
loglevel loglevel
) )
@ -136,8 +145,12 @@ async def _async_main(
): ):
# load other providers into search **after** # load other providers into search **after**
# the chart's select cache # the chart's select cache
for broker in brokernames: for brokername, mod in needed_brokermods.items():
root_n.start_soon(load_provider_search, broker, loglevel) root_n.start_soon(
load_provider_search,
mod,
loglevel,
)
await order_mode_ready.wait() await order_mode_ready.wait()
@ -166,8 +179,8 @@ async def _async_main(
def _main( def _main(
sym: str, syms: list[str],
brokernames: [str], brokermods: list[ModuleType],
piker_loglevel: str, piker_loglevel: str,
tractor_kwargs, tractor_kwargs,
) -> None: ) -> None:
@ -178,7 +191,11 @@ def _main(
''' '''
run_qtractor( run_qtractor(
func=_async_main, func=_async_main,
args=(sym, brokernames, piker_loglevel), args=(
syms,
{mod.name: mod for mod in brokermods},
piker_loglevel,
),
main_widget_type=GodWidget, main_widget_type=GodWidget,
tractor_kwargs=tractor_kwargs, tractor_kwargs=tractor_kwargs,
) )

22
piker/ui/_chart.py
View File

@ -186,10 +186,10 @@ class GodWidget(QWidget):
) -> tuple[LinkedSplits, LinkedSplits]: # type: ignore ) -> tuple[LinkedSplits, LinkedSplits]: # type: ignore
return self._chart_cache.get(symbol_key) return self._chart_cache.get(symbol_key)
async def load_symbol( async def load_symbols(
self, self,
providername: str, providername: str,
symbol_key: str, symbol_keys: list[str],
loglevel: str, loglevel: str,
reset: bool = False, reset: bool = False,
@ -200,12 +200,20 @@ class GodWidget(QWidget):
Expects a ``numpy`` structured array containing all the ohlcv fields. Expects a ``numpy`` structured array containing all the ohlcv fields.
''' '''
fqsns: list[str] = []
# our symbol key style is always lower case # our symbol key style is always lower case
symbol_key = symbol_key.lower() for key in list(map(str.lower, symbol_keys)):
# fully qualified symbol name (SNS i guess is what we're making?) # fully qualified symbol name (SNS i guess is what we're making?)
fqsn = '.'.join([symbol_key, providername]) fqsn = '.'.join([key, providername])
all_linked = self.get_chart_symbol(fqsn) fqsns.append(fqsn)
# NOTE: for now we use the first symbol in the set as the "key"
# for the overlay of feeds on the chart.
group_key = fqsns[0]
all_linked = self.get_chart_symbol(group_key)
order_mode_started = trio.Event() order_mode_started = trio.Event()
if not self.vbox.isEmpty(): if not self.vbox.isEmpty():
@ -238,7 +246,7 @@ class GodWidget(QWidget):
display_symbol_data, display_symbol_data,
self, self,
providername, providername,
symbol_key, fqsns,
loglevel, loglevel,
order_mode_started, order_mode_started,
) )
@ -907,6 +915,7 @@ class ChartPlotWidget(pg.PlotWidget):
def resume_all_feeds(self): def resume_all_feeds(self):
try: try:
for feed in self._feeds.values(): for feed in self._feeds.values():
for flume in feed.flumes.values():
self.linked.godwidget._root_n.start_soon(feed.resume) self.linked.godwidget._root_n.start_soon(feed.resume)
except RuntimeError: except RuntimeError:
# TODO: cancel the qtractor runtime here? # TODO: cancel the qtractor runtime here?
@ -914,6 +923,7 @@ class ChartPlotWidget(pg.PlotWidget):
def pause_all_feeds(self): def pause_all_feeds(self):
for feed in self._feeds.values(): for feed in self._feeds.values():
for flume in feed.flumes.values():
self.linked.godwidget._root_n.start_soon(feed.pause) self.linked.godwidget._root_n.start_soon(feed.pause)
@property @property

73
piker/ui/_display.py
View File

@ -33,6 +33,7 @@ import pyqtgraph as pg
from ..data.feed import ( from ..data.feed import (
open_feed, open_feed,
Feed, Feed,
Flume,
) )
from ..data.types import Struct from ..data.types import Struct
from ._axes import YAxisLabel from ._axes import YAxisLabel
@ -228,7 +229,7 @@ async def graphics_update_loop(
nurse: trio.Nursery, nurse: trio.Nursery,
godwidget: GodWidget, godwidget: GodWidget,
feed: Feed, flume: Flume,
wap_in_history: bool = False, wap_in_history: bool = False,
vlm_chart: Optional[ChartPlotWidget] = None, vlm_chart: Optional[ChartPlotWidget] = None,
@ -255,8 +256,8 @@ async def graphics_update_loop(
fast_chart = linked.chart fast_chart = linked.chart
hist_chart = godwidget.hist_linked.chart hist_chart = godwidget.hist_linked.chart
ohlcv = feed.rt_shm ohlcv = flume.rt_shm
hist_ohlcv = feed.hist_shm hist_ohlcv = flume.hist_shm
# update last price sticky # update last price sticky
last_price_sticky = fast_chart._ysticks[fast_chart.name] last_price_sticky = fast_chart._ysticks[fast_chart.name]
@ -347,9 +348,9 @@ async def graphics_update_loop(
'i_last_append': i_last, 'i_last_append': i_last,
'i_last': i_last, 'i_last': i_last,
} }
_, hist_step_size_s, _ = feed.get_ds_info() _, hist_step_size_s, _ = flume.get_ds_info()
async with feed.index_stream( async with flume.index_stream(
# int(hist_step_size_s) # int(hist_step_size_s)
# TODO: seems this is more reliable at keeping the slow # TODO: seems this is more reliable at keeping the slow
# chart incremented in view more correctly? # chart incremented in view more correctly?
@ -393,7 +394,7 @@ async def graphics_update_loop(
nurse.start_soon(increment_history_view) nurse.start_soon(increment_history_view)
# main real-time quotes update loop # main real-time quotes update loop
stream: tractor.MsgStream = feed.stream stream: tractor.MsgStream = flume.stream
async for quotes in stream: async for quotes in stream:
ds.quotes = quotes ds.quotes = quotes
@ -813,13 +814,13 @@ def graphics_update_cycle(
async def link_views_with_region( async def link_views_with_region(
rt_chart: ChartPlotWidget, rt_chart: ChartPlotWidget,
hist_chart: ChartPlotWidget, hist_chart: ChartPlotWidget,
feed: Feed, flume: Flume,
) -> None: ) -> None:
# these value are be only pulled once during shm init/startup # these value are be only pulled once during shm init/startup
izero_hist = feed.izero_hist izero_hist = flume.izero_hist
izero_rt = feed.izero_rt izero_rt = flume.izero_rt
# Add the LinearRegionItem to the ViewBox, but tell the ViewBox # Add the LinearRegionItem to the ViewBox, but tell the ViewBox
# to exclude this item when doing auto-range calculations. # to exclude this item when doing auto-range calculations.
@ -846,7 +847,7 @@ async def link_views_with_region(
# poll for datums load and timestep detection # poll for datums load and timestep detection
for _ in range(100): for _ in range(100):
try: try:
_, _, ratio = feed.get_ds_info() _, _, ratio = flume.get_ds_info()
break break
except IndexError: except IndexError:
await trio.sleep(0.01) await trio.sleep(0.01)
@ -947,7 +948,7 @@ async def link_views_with_region(
async def display_symbol_data( async def display_symbol_data(
godwidget: GodWidget, godwidget: GodWidget,
provider: str, provider: str,
sym: str, fqsns: list[str],
loglevel: str, loglevel: str,
order_mode_started: trio.Event, order_mode_started: trio.Event,
@ -961,11 +962,6 @@ async def display_symbol_data(
''' '''
sbar = godwidget.window.status_bar sbar = godwidget.window.status_bar
loading_sym_key = sbar.open_status(
f'loading {sym}.{provider} ->',
group_key=True
)
# historical data fetch # historical data fetch
# brokermod = brokers.get_brokermod(provider) # brokermod = brokers.get_brokermod(provider)
@ -974,10 +970,17 @@ async def display_symbol_data(
# clear_on_next=True, # clear_on_next=True,
# group_key=loading_sym_key, # group_key=loading_sym_key,
# ) # )
fqsn = '.'.join((sym, provider))
for fqsn in fqsns:
loading_sym_key = sbar.open_status(
f'loading {fqsn} ->',
group_key=True
)
feed: Feed
async with open_feed( async with open_feed(
[fqsn], fqsns,
loglevel=loglevel, loglevel=loglevel,
# limit to at least display's FPS # limit to at least display's FPS
@ -985,11 +988,17 @@ async def display_symbol_data(
tick_throttle=_quote_throttle_rate, tick_throttle=_quote_throttle_rate,
) as feed: ) as feed:
ohlcv: ShmArray = feed.rt_shm
hist_ohlcv: ShmArray = feed.hist_shm
symbol = feed.symbols[sym] # TODO: right now we only show one symbol on charts, but
fqsn = symbol.front_fqsn() # overlays are coming muy pronto guey..
assert len(feed.flumes) == 1
flume = list(feed.flumes.values())[0]
ohlcv: ShmArray = flume.rt_shm
hist_ohlcv: ShmArray = flume.hist_shm
symbol = flume.symbol
fqsn = symbol.fqsn
step_size_s = 1 step_size_s = 1
tf_key = tf_in_1s[step_size_s] tf_key = tf_in_1s[step_size_s]
@ -1009,7 +1018,7 @@ async def display_symbol_data(
hist_linked._symbol = symbol hist_linked._symbol = symbol
hist_chart = hist_linked.plot_ohlc_main( hist_chart = hist_linked.plot_ohlc_main(
symbol, symbol,
feed.hist_shm, hist_ohlcv,
# in the case of history chart we explicitly set `False` # in the case of history chart we explicitly set `False`
# to avoid internal pane creation. # to avoid internal pane creation.
# sidepane=False, # sidepane=False,
@ -1025,7 +1034,7 @@ async def display_symbol_data(
godwidget.pp_pane = pp_pane godwidget.pp_pane = pp_pane
# create main OHLC chart # create main OHLC chart
chart = rt_linked.plot_ohlc_main( ohlc_chart = rt_linked.plot_ohlc_main(
symbol, symbol,
ohlcv, ohlcv,
# in the case of history chart we explicitly set `False` # in the case of history chart we explicitly set `False`
@ -1033,8 +1042,8 @@ async def display_symbol_data(
sidepane=pp_pane, sidepane=pp_pane,
) )
chart._feeds[symbol.key] = feed ohlc_chart._feeds[symbol.key] = feed
chart.setFocus() ohlc_chart.setFocus()
# XXX: FOR SOME REASON THIS IS CAUSING HANGZ!?! # XXX: FOR SOME REASON THIS IS CAUSING HANGZ!?!
# plot historical vwap if available # plot historical vwap if available
@ -1044,7 +1053,7 @@ async def display_symbol_data(
# and 'bar_wap' in bars.dtype.fields # and 'bar_wap' in bars.dtype.fields
# ): # ):
# wap_in_history = True # wap_in_history = True
# chart.draw_curve( # ohlc_chart.draw_curve(
# name='bar_wap', # name='bar_wap',
# shm=ohlcv, # shm=ohlcv,
# color='default_light', # color='default_light',
@ -1097,7 +1106,7 @@ async def display_symbol_data(
graphics_update_loop, graphics_update_loop,
ln, ln,
godwidget, godwidget,
feed, flume,
wap_in_history, wap_in_history,
vlm_chart, vlm_chart,
) )
@ -1105,7 +1114,7 @@ async def display_symbol_data(
await trio.sleep(0) await trio.sleep(0)
# size view to data prior to order mode init # size view to data prior to order mode init
chart.default_view() ohlc_chart.default_view()
rt_linked.graphics_cycle() rt_linked.graphics_cycle()
await trio.sleep(0) await trio.sleep(0)
@ -1119,9 +1128,9 @@ async def display_symbol_data(
godwidget.resize_all() godwidget.resize_all()
await link_views_with_region( await link_views_with_region(
chart, ohlc_chart,
hist_chart, hist_chart,
feed, flume,
) )
mode: OrderMode mode: OrderMode
@ -1135,7 +1144,7 @@ async def display_symbol_data(
): ):
if not vlm_chart: if not vlm_chart:
# trigger another view reset if no sub-chart # trigger another view reset if no sub-chart
chart.default_view() ohlc_chart.default_view()
rt_linked.mode = mode rt_linked.mode = mode

4
piker/ui/_overlay.py
View File

@ -304,7 +304,7 @@ class PlotItemOverlay:
# NOTE: required for scene layering/relaying; this guarantees # NOTE: required for scene layering/relaying; this guarantees
# the "root" plot receives priority for interaction # the "root" plot receives priority for interaction
# events/signals. # events/signals.
root_plotitem.vb.setZValue(1000) root_plotitem.vb.setZValue(10)
self.overlays: list[PlotItem] = [] self.overlays: list[PlotItem] = []
self.layout = ComposedGridLayout(root_plotitem) self.layout = ComposedGridLayout(root_plotitem)
@ -494,6 +494,8 @@ class PlotItemOverlay:
root.vb.setFocus() root.vb.setFocus()
assert root.vb.focusWidget() assert root.vb.focusWidget()
vb.setZValue(100)
def get_axis( def get_axis(
self, self,
plot: PlotItem, plot: PlotItem,

15
piker/ui/_position.py
View File

@ -45,7 +45,10 @@ from ..calc import humanize, pnl, puterize
from ..clearing._allocate import Allocator from ..clearing._allocate import Allocator
from ..pp import Position from ..pp import Position
from ..data._normalize import iterticks from ..data._normalize import iterticks
from ..data.feed import Feed from ..data.feed import (
Feed,
Flume,
)
from ..data.types import Struct from ..data.types import Struct
from ._label import Label from ._label import Label
from ._lines import LevelLine, order_line from ._lines import LevelLine, order_line
@ -64,7 +67,7 @@ _pnl_tasks: dict[str, bool] = {}
async def update_pnl_from_feed( async def update_pnl_from_feed(
feed: Feed, flume: Flume,
order_mode: OrderMode, # noqa order_mode: OrderMode, # noqa
tracker: PositionTracker, tracker: PositionTracker,
@ -95,7 +98,7 @@ async def update_pnl_from_feed(
# real-time update pnl on the status pane # real-time update pnl on the status pane
try: try:
async with feed.stream.subscribe() as bstream: async with flume.stream.subscribe() as bstream:
# last_tick = time.time() # last_tick = time.time()
async for quotes in bstream: async for quotes in bstream:
@ -390,12 +393,12 @@ class SettingsPane:
mode = self.order_mode mode = self.order_mode
sym = mode.chart.linked.symbol sym = mode.chart.linked.symbol
size = tracker.live_pp.size size = tracker.live_pp.size
feed = mode.quote_feed flume: Feed = mode.feed.flumes[sym.fqsn]
pnl_value = 0 pnl_value = 0
if size: if size:
# last historical close price # last historical close price
last = feed.rt_shm.array[-1][['close']][0] last = flume.rt_shm.array[-1][['close']][0]
pnl_value = copysign(1, size) * pnl( pnl_value = copysign(1, size) * pnl(
tracker.live_pp.ppu, tracker.live_pp.ppu,
last, last,
@ -408,7 +411,7 @@ class SettingsPane:
_pnl_tasks[fqsn] = True _pnl_tasks[fqsn] = True
self.order_mode.nursery.start_soon( self.order_mode.nursery.start_soon(
update_pnl_from_feed, update_pnl_from_feed,
feed, flume,
mode, mode,
tracker, tracker,
) )

4
piker/ui/_search.py
View File

@ -665,9 +665,9 @@ class SearchWidget(QtWidgets.QWidget):
log.info(f'Requesting symbol: {symbol}.{provider}') log.info(f'Requesting symbol: {symbol}.{provider}')
await godw.load_symbol( await godw.load_symbols(
provider, provider,
symbol, [symbol],
'info', 'info',
) )

8
piker/ui/cli.py
View File

@ -166,16 +166,16 @@ def chart(
)) ))
return return
# global opts # global opts
brokernames = config['brokers'] brokernames = config['brokers']
brokermods = config['brokermods']
assert brokermods
tractorloglevel = config['tractorloglevel'] tractorloglevel = config['tractorloglevel']
pikerloglevel = config['loglevel'] pikerloglevel = config['loglevel']
_main( _main(
sym=symbols[0], syms=symbols,
brokernames=brokernames, brokermods=brokermods,
piker_loglevel=pikerloglevel, piker_loglevel=pikerloglevel,
tractor_kwargs={ tractor_kwargs={
'debug_mode': pdb, 'debug_mode': pdb,

14
piker/ui/order_mode.py
View File

@ -44,7 +44,10 @@ from ..clearing._allocate import (
) )
from ._style import _font from ._style import _font
from ..data._source import Symbol from ..data._source import Symbol
from ..data.feed import Feed from ..data.feed import (
Feed,
Flume,
)
from ..data.types import Struct from ..data.types import Struct
from ..log import get_logger from ..log import get_logger
from ._editors import LineEditor, ArrowEditor from ._editors import LineEditor, ArrowEditor
@ -118,7 +121,6 @@ class OrderMode:
chart: ChartPlotWidget # type: ignore # noqa chart: ChartPlotWidget # type: ignore # noqa
hist_chart: ChartPlotWidget # type: ignore # noqa hist_chart: ChartPlotWidget # type: ignore # noqa
nursery: trio.Nursery # used by ``ui._position`` code? nursery: trio.Nursery # used by ``ui._position`` code?
quote_feed: Feed
book: OrderBook book: OrderBook
lines: LineEditor lines: LineEditor
arrows: ArrowEditor arrows: ArrowEditor
@ -514,12 +516,13 @@ class OrderMode:
# XXX: seems to fail on certain types of races? # XXX: seems to fail on certain types of races?
# assert len(lines) == 2 # assert len(lines) == 2
if lines: if lines:
_, _, ratio = self.feed.get_ds_info() flume: Flume = self.feed.flumes[self.chart.linked.symbol.fqsn]
_, _, ratio = flume.get_ds_info()
for i, chart in [ for i, chart in [
(arrow_index, self.chart), (arrow_index, self.chart),
(self.feed.izero_hist (flume.izero_hist
+ +
round((arrow_index - self.feed.izero_rt)/ratio), round((arrow_index - flume.izero_rt)/ratio),
self.hist_chart) self.hist_chart)
]: ]:
self.arrows.add( self.arrows.add(
@ -801,7 +804,6 @@ async def open_order_mode(
chart, chart,
hist_chart, hist_chart,
tn, tn,
feed,
book, book,
lines, lines,
arrows, arrows,

2
requirements.txt
View File

@ -1,7 +1,7 @@
# we require a pinned dev branch to get some edge features that # we require a pinned dev branch to get some edge features that
# are often untested in tractor's CI and/or being tested by us # are often untested in tractor's CI and/or being tested by us
# first before committing as core features in tractor's base. # first before committing as core features in tractor's base.
-e git+https://github.com/goodboy/tractor.git@master#egg=tractor -e git+https://github.com/goodboy/tractor.git@piker_pin#egg=tractor
# `pyqtgraph` peeps keep breaking, fixing, improving so might as well # `pyqtgraph` peeps keep breaking, fixing, improving so might as well
# pin this to a dev branch that we have more control over especially # pin this to a dev branch that we have more control over especially

166
tests/conftest.py
View File

@ -1,10 +1,12 @@
from contextlib import asynccontextmanager as acm
import os import os
import pytest import pytest
import tractor import tractor
import trio from piker import (
from piker import log, config # log,
from piker.brokers import questrade config,
)
def pytest_addoption(parser): def pytest_addoption(parser):
@ -14,15 +16,6 @@ def pytest_addoption(parser):
help="Use a practice API account") help="Use a practice API account")
@pytest.fixture(scope='session', autouse=True)
def loglevel(request):
orig = tractor.log._default_loglevel
level = tractor.log._default_loglevel = request.config.option.loglevel
log.get_console_log(level)
yield level
tractor.log._default_loglevel = orig
@pytest.fixture(scope='session') @pytest.fixture(scope='session')
def test_config(): def test_config():
dirname = os.path.dirname dirname = os.path.dirname
@ -37,9 +30,11 @@ def test_config():
@pytest.fixture(scope='session', autouse=True) @pytest.fixture(scope='session', autouse=True)
def confdir(request, test_config): def confdir(request, test_config):
"""If the `--confdir` flag is not passed use the '''
If the `--confdir` flag is not passed use the
broker config file found in that dir. broker config file found in that dir.
"""
'''
confdir = request.config.option.confdir confdir = request.config.option.confdir
if confdir is not None: if confdir is not None:
config._override_config_dir(confdir) config._override_config_dir(confdir)
@ -47,49 +42,61 @@ def confdir(request, test_config):
return confdir return confdir
@pytest.fixture(scope='session', autouse=True) # @pytest.fixture(scope='session', autouse=True)
def travis(confdir): # def travis(confdir):
is_travis = os.environ.get('TRAVIS', False) # is_travis = os.environ.get('TRAVIS', False)
if is_travis: # if is_travis:
# this directory is cached, see .travis.yaml # # this directory is cached, see .travis.yaml
conf_file = config.get_broker_conf_path() # conf_file = config.get_broker_conf_path()
refresh_token = os.environ['QT_REFRESH_TOKEN'] # refresh_token = os.environ['QT_REFRESH_TOKEN']
def write_with_token(token): # def write_with_token(token):
# XXX don't pass the dir path here since may be # # XXX don't pass the dir path here since may be
# written behind the scenes in the `confdir fixture` # # written behind the scenes in the `confdir fixture`
if not os.path.isfile(conf_file): # if not os.path.isfile(conf_file):
open(conf_file, 'w').close() # open(conf_file, 'w').close()
conf, path = config.load() # conf, path = config.load()
conf.setdefault('questrade', {}).update( # conf.setdefault('questrade', {}).update(
{'refresh_token': token, # {'refresh_token': token,
'is_practice': 'True'} # 'is_practice': 'True'}
) # )
config.write(conf, path) # config.write(conf, path)
async def ensure_config(): # async def ensure_config():
# try to refresh current token using cached brokers config # # try to refresh current token using cached brokers config
# if it fails fail try using the refresh token provided by the # # if it fails fail try using the refresh token provided by the
# env var and if that fails stop the test run here. # # env var and if that fails stop the test run here.
try: # try:
async with questrade.get_client(ask_user=False): # async with questrade.get_client(ask_user=False):
pass # pass
except ( # except (
FileNotFoundError, ValueError, # FileNotFoundError, ValueError,
questrade.BrokerError, questrade.QuestradeError, # questrade.BrokerError, questrade.QuestradeError,
trio.MultiError, # trio.MultiError,
): # ):
# 3 cases: # # 3 cases:
# - config doesn't have a ``refresh_token`` k/v # # - config doesn't have a ``refresh_token`` k/v
# - cache dir does not exist yet # # - cache dir does not exist yet
# - current token is expired; take it form env var # # - current token is expired; take it form env var
write_with_token(refresh_token) # write_with_token(refresh_token)
async with questrade.get_client(ask_user=False): # async with questrade.get_client(ask_user=False):
pass # pass
# XXX ``pytest_trio`` doesn't support scope or autouse # # XXX ``pytest_trio`` doesn't support scope or autouse
trio.run(ensure_config) # trio.run(ensure_config)
_ci_env: bool = os.environ.get('CI', False)
@pytest.fixture(scope='session')
def ci_env() -> bool:
'''
Detect CI envoirment.
'''
return _ci_env
@pytest.fixture @pytest.fixture
@ -105,3 +112,56 @@ def tmx_symbols():
@pytest.fixture @pytest.fixture
def cse_symbols(): def cse_symbols():
return ['TRUL.CN', 'CWEB.CN', 'SNN.CN'] return ['TRUL.CN', 'CWEB.CN', 'SNN.CN']
@acm
async def _open_test_pikerd(
reg_addr: tuple[str, int] | None = None,
**kwargs,
) -> tuple[
str,
int,
tractor.Portal
]:
'''
Testing helper to startup the service tree and runtime on
a different port then the default to allow testing alongside
a running stack.
'''
import random
from piker._daemon import maybe_open_pikerd
if reg_addr is None:
port = random.randint(6e3, 7e3)
reg_addr = ('127.0.0.1', port)
async with (
maybe_open_pikerd(
registry_addr=reg_addr,
**kwargs,
),
):
async with tractor.wait_for_actor(
'pikerd',
arbiter_sockaddr=reg_addr,
) as portal:
raddr = portal.channel.raddr
assert raddr == reg_addr
yield (
raddr[0],
raddr[1],
portal,
)
@pytest.fixture
def open_test_pikerd():
yield _open_test_pikerd
# TODO: teardown checks such as,
# - no leaked subprocs or shm buffers
# - all requested container service are torn down
# - certain ``tractor`` runtime state?

128
tests/test_feeds.py 100644
View File

@ -0,0 +1,128 @@
'''
Data feed layer APIs, performance, msg throttling.
'''
from collections import Counter
from pprint import pprint
from typing import AsyncContextManager
import pytest
# import tractor
import trio
from piker.data import (
ShmArray,
open_feed,
)
from piker.data._source import (
unpack_fqsn,
)
@pytest.mark.parametrize(
'fqsns',
[
# binance
(100, {'btcusdt.binance', 'ethusdt.binance'}, False),
# kraken
(20, {'ethusdt.kraken', 'xbtusd.kraken'}, True),
# binance + kraken
(100, {'btcusdt.binance', 'xbtusd.kraken'}, False),
],
ids=lambda param: f'quotes={param[0]}@fqsns={param[1]}',
)
def test_multi_fqsn_feed(
open_test_pikerd: AsyncContextManager,
fqsns: set[str],
ci_env: bool
):
'''
Start a real-time data feed for provided fqsn and pull
a few quotes then simply shut down.
'''
max_quotes, fqsns, run_in_ci = fqsns
if (
ci_env
and not run_in_ci
):
pytest.skip('Skipping CI disabled test due to feed restrictions')
brokers = set()
for fqsn in fqsns:
brokername, key, suffix = unpack_fqsn(fqsn)
brokers.add(brokername)
async def main():
async with (
open_test_pikerd(),
open_feed(
fqsns,
loglevel='info',
# TODO: ensure throttle rate is applied
# limit to at least display's FPS
# avoiding needless Qt-in-guest-mode context switches
# tick_throttle=_quote_throttle_rate,
) as feed
):
# verify shm buffers exist
for fqin in fqsns:
flume = feed.flumes[fqin]
ohlcv: ShmArray = flume.rt_shm
hist_ohlcv: ShmArray = flume.hist_shm
async with feed.open_multi_stream(brokers) as stream:
# pull the first startup quotes, one for each fqsn, and
# ensure they match each flume's startup quote value.
fqsns_copy = fqsns.copy()
with trio.fail_after(0.5):
for _ in range(1):
first_quotes = await stream.receive()
for fqsn, quote in first_quotes.items():
# XXX: TODO: WTF apparently this error will get
# supressed and only show up in the teardown
# excgroup if we don't have the fix from
# <tractorbugurl>
# assert 0
fqsns_copy.remove(fqsn)
flume = feed.flumes[fqsn]
assert quote['last'] == flume.first_quote['last']
cntr = Counter()
with trio.fail_after(6):
async for quotes in stream:
for fqsn, quote in quotes.items():
cntr[fqsn] += 1
# await tractor.breakpoint()
flume = feed.flumes[fqsn]
ohlcv: ShmArray = flume.rt_shm
hist_ohlcv: ShmArray = flume.hist_shm
# print quote msg, rt and history
# buffer values on console.
rt_row = ohlcv.array[-1]
hist_row = hist_ohlcv.array[-1]
# last = quote['last']
# assert last == rt_row['close']
# assert last == hist_row['close']
pprint(
f'{fqsn}: {quote}\n'
f'rt_ohlc: {rt_row}\n'
f'hist_ohlc: {hist_row}\n'
)
if cntr.total() >= max_quotes:
break
assert set(cntr.keys()) == fqsns
trio.run(main)