Move data feed machinery to separate module
Tyler Goodlet
parent
31c69a5fae
commit
8fe0c40dde
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@ -1,18 +1,11 @@
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"""
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Core broker-daemon tasks and API.
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"""
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import time
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import inspect
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from functools import partial
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import socket
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from types import ModuleType
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from typing import Coroutine, Callable, List, Dict, Any
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from typing import List, Dict, Any
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import trio
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import tractor
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from ..log import get_logger, get_console_log
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from . import get_brokermod
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from ..log import get_logger
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log = get_logger('broker.core')
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@ -69,281 +62,3 @@ async def option_chain(
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async with brokermod.get_client() as client:
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return await client.option_chains(
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await client.get_contracts([symbol]))
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async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict:
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"""Wait until the network comes back up.
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"""
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down = False
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while True:
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try:
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with trio.move_on_after(1) as cancel_scope:
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quotes = await net_func()
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if down:
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log.warn("Network is back up")
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return quotes
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if cancel_scope.cancelled_caught:
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log.warn("Quote query timed out")
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continue
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except socket.gaierror:
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if not down: # only report/log network down once
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log.warn(f"Network is down waiting for re-establishment...")
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down = True
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await trio.sleep(sleep)
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async def stream_quotes(
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brokermod: ModuleType,
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get_quotes: Coroutine,
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tickers2chans: Dict[str, tractor.Channel],
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rate: int = 5, # delay between quote requests
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diff_cached: bool = True, # only deliver "new" quotes to the queue
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cid: str = None,
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) -> None:
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"""Stream quotes for a sequence of tickers at the given ``rate``
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per second.
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A stock-broker client ``get_quotes()`` async context manager must be
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provided which returns an async quote retrieval function.
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"""
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broker_limit = getattr(brokermod, '_rate_limit', float('inf'))
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if broker_limit < rate:
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rate = broker_limit
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log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec")
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sleeptime = round(1. / rate, 3)
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_cache = {} # ticker to quote caching
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while True: # use an event here to trigger exit?
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prequote_start = time.time()
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if not any(tickers2chans.values()):
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log.warn(f"No subs left for broker {brokermod.name}, exiting task")
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break
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tickers = list(tickers2chans.keys())
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with trio.move_on_after(3) as cancel_scope:
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quotes = await get_quotes(tickers)
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cancelled = cancel_scope.cancelled_caught
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if cancelled:
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log.warn("Quote query timed out after 3 seconds, retrying...")
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# handle network outages by idling until response is received
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quotes = await wait_for_network(partial(get_quotes, tickers))
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postquote_start = time.time()
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chan_payloads = {}
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for symbol, quote in quotes.items():
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if diff_cached:
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# if cache is enabled then only deliver "new" changes
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last = _cache.setdefault(symbol, {})
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new = set(quote.items()) - set(last.items())
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if new:
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log.info(
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f"New quote {quote['symbol']}:\n{new}")
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_cache[symbol] = quote
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for chan, cid in tickers2chans.get(symbol, set()):
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chan_payloads.setdefault(
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chan,
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{'yield': {}, 'cid': cid}
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)['yield'][symbol] = quote
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else:
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for chan, cid in tickers2chans[symbol]:
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chan_payloads.setdefault(
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chan,
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{'yield': {}, 'cid': cid}
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)['yield'][symbol] = quote
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# deliver to each subscriber (fan out)
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if chan_payloads:
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for chan, payload in chan_payloads.items():
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try:
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await chan.send(payload)
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except (
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# That's right, anything you can think of...
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trio.ClosedStreamError, ConnectionResetError,
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ConnectionRefusedError,
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):
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log.warn(f"{chan} went down?")
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for chanset in tickers2chans.values():
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chanset.discard((chan, cid))
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# latency monitoring
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req_time = round(postquote_start - prequote_start, 3)
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proc_time = round(time.time() - postquote_start, 3)
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tot = req_time + proc_time
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log.debug(f"Request + processing took {tot}")
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delay = sleeptime - tot
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if delay <= 0:
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log.warn(
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f"Took {req_time} (request) + {proc_time} (processing) "
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f"= {tot} secs (> {sleeptime}) for processing quotes?")
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else:
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log.debug(f"Sleeping for {delay}")
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await trio.sleep(delay)
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log.info(f"Terminating stream quoter task for {brokermod.name}")
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async def get_cached_client(broker, tickers):
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"""Get or create the current actor's cached broker client.
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"""
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# check if a cached client is in the local actor's statespace
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clients = tractor.current_actor().statespace.setdefault('clients', {})
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try:
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return clients[broker]
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except KeyError:
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log.info(f"Creating new client for broker {broker}")
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brokermod = get_brokermod(broker)
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# TODO: move to AsyncExitStack in 3.7
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client_cntxmng = brokermod.get_client()
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client = await client_cntxmng.__aenter__()
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get_quotes = await brokermod.quoter(client, tickers)
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clients[broker] = (
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brokermod, client, client_cntxmng, get_quotes)
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return brokermod, client, client_cntxmng, get_quotes
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async def symbol_data(broker, tickers):
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"""Retrieve baseline symbol info from broker.
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"""
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_, client, _, get_quotes = await get_cached_client(broker, tickers)
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return await client.symbol_data(tickers)
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async def smoke_quote(get_quotes, tickers, broker):
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"""Do an initial "smoke" request for symbols in ``tickers`` filtering
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out any symbols not supported by the broker queried in the call to
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``get_quotes()``.
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"""
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# TODO: trim out with #37
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#################################################
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# get a single quote filtering out any bad tickers
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# NOTE: this code is always run for every new client
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# subscription even when a broker quoter task is already running
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# since the new client needs to know what symbols are accepted
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log.warn(f"Retrieving smoke quote for symbols {tickers}")
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quotes = await get_quotes(tickers)
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# report any tickers that aren't returned in the first quote
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invalid_tickers = set(tickers) - set(quotes)
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for symbol in invalid_tickers:
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tickers.remove(symbol)
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log.warn(
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f"Symbol `{symbol}` not found by broker `{broker}`"
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)
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# pop any tickers that return "empty" quotes
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payload = {}
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for symbol, quote in quotes.items():
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if quote is None:
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log.warn(
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f"Symbol `{symbol}` not found by broker"
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f" `{broker}`")
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# XXX: not this mutates the input list (for now)
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tickers.remove(symbol)
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continue
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payload[symbol] = quote
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return payload
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# end of section to be trimmed out with #37
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###########################################
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def modify_quote_stream(broker, tickers, chan=None, cid=None):
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"""Absolute symbol subscription list for each quote stream.
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Effectively a consumer subscription api.
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"""
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log.info(f"{chan} changed symbol subscription to {tickers}")
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ss = tractor.current_actor().statespace
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broker2tickersubs = ss['broker2tickersubs']
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tickers2chans = broker2tickersubs.get(broker)
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# update map from each symbol to requesting client's chan
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for ticker in tickers:
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tickers2chans.setdefault(ticker, set()).add((chan, cid))
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for ticker in filter(
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lambda ticker: ticker not in tickers, tickers2chans.copy()
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):
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chanset = tickers2chans.get(ticker)
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# XXX: cid will be different on unsub call
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for item in chanset.copy():
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if chan in item:
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chanset.discard(item)
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if not chanset:
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# pop empty sets which will trigger bg quoter task termination
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tickers2chans.pop(ticker)
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async def start_quote_stream(
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broker: str,
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tickers: [str],
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chan: tractor.Channel = None,
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cid: str = None,
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) -> None:
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"""Handle per-broker quote stream subscriptions using a "lazy" pub-sub
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pattern.
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Spawns new quoter tasks for each broker backend on-demand.
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Since most brokers seems to support batch quote requests we
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limit to one task per process for now.
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"""
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actor = tractor.current_actor()
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# set log level after fork
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get_console_log(actor.loglevel)
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# pull global vars from local actor
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ss = actor.statespace
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broker2tickersubs = ss['broker2tickersubs']
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clients = ss['clients']
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dtasks = ss['dtasks']
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tickers = list(tickers)
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log.info(
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f"{chan.uid} subscribed to {broker} for tickers {tickers}")
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brokermod, client, _, get_quotes = await get_cached_client(broker, tickers)
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if broker not in broker2tickersubs:
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tickers2chans = broker2tickersubs.setdefault(broker, {})
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else:
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log.info(f"Subscribing with existing `{broker}` daemon")
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tickers2chans = broker2tickersubs[broker]
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# do a smoke quote (note this mutates the input list and filters out bad
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# symbols for now)
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payload = await smoke_quote(get_quotes, tickers, broker)
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# push initial smoke quote response for client initialization
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await chan.send({'yield': payload, 'cid': cid})
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# update map from each symbol to requesting client's chan
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modify_quote_stream(broker, tickers, chan=chan, cid=cid)
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try:
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if broker not in dtasks:
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# no quoter task yet so start a daemon task
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log.info(f"Spawning quoter task for {brokermod.name}")
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async with trio.open_nursery() as nursery:
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nursery.start_soon(partial(
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stream_quotes, brokermod, get_quotes, tickers2chans,
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cid=cid)
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)
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dtasks.add(broker)
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# unblocks when no more symbols subscriptions exist and the
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# quote streamer task terminates (usually because another call
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# was made to `modify_quoter` to unsubscribe from streaming
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# symbols)
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log.info(f"Terminated quoter task for {brokermod.name}")
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# TODO: move to AsyncExitStack in 3.7
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for _, _, cntxmng, _ in clients.values():
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# FIXME: yes I know there's no error handling..
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await cntxmng.__aexit__(None, None, None)
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finally:
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# if there are truly no more subscriptions with this broker
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# drop from broker subs dict
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if not any(tickers2chans.values()):
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log.info(f"No more subscriptions for {broker}")
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broker2tickersubs.pop(broker, None)
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dtasks.discard(broker)
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@ -0,0 +1,295 @@
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"""
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Live data feed machinery
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"""
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import time
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from functools import partial
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import socket
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from types import ModuleType
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from typing import Coroutine, Callable, Dict
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import trio
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import tractor
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from ..log import get_logger, get_console_log
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from . import get_brokermod
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log = get_logger('broker.core')
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async def wait_for_network(net_func: Callable, sleep: int = 1) -> dict:
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"""Wait until the network comes back up.
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"""
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down = False
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while True:
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try:
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with trio.move_on_after(1) as cancel_scope:
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quotes = await net_func()
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if down:
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log.warn("Network is back up")
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return quotes
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if cancel_scope.cancelled_caught:
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log.warn("Quote query timed out")
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continue
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except socket.gaierror:
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if not down: # only report/log network down once
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log.warn(f"Network is down waiting for re-establishment...")
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down = True
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await trio.sleep(sleep)
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async def stream_quotes(
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brokermod: ModuleType,
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get_quotes: Coroutine,
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tickers2chans: Dict[str, tractor.Channel],
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rate: int = 5, # delay between quote requests
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diff_cached: bool = True, # only deliver "new" quotes to the queue
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cid: str = None,
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) -> None:
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"""Stream quotes for a sequence of tickers at the given ``rate``
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per second.
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A stock-broker client ``get_quotes()`` async context manager must be
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provided which returns an async quote retrieval function.
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"""
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broker_limit = getattr(brokermod, '_rate_limit', float('inf'))
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if broker_limit < rate:
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rate = broker_limit
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log.warn(f"Limiting {brokermod.__name__} query rate to {rate}/sec")
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sleeptime = round(1. / rate, 3)
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_cache = {} # ticker to quote caching
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while True: # use an event here to trigger exit?
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prequote_start = time.time()
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if not any(tickers2chans.values()):
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log.warn(f"No subs left for broker {brokermod.name}, exiting task")
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break
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tickers = list(tickers2chans.keys())
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with trio.move_on_after(3) as cancel_scope:
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quotes = await get_quotes(tickers)
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cancelled = cancel_scope.cancelled_caught
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if cancelled:
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log.warn("Quote query timed out after 3 seconds, retrying...")
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# handle network outages by idling until response is received
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quotes = await wait_for_network(partial(get_quotes, tickers))
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postquote_start = time.time()
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chan_payloads = {}
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for symbol, quote in quotes.items():
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if diff_cached:
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# if cache is enabled then only deliver "new" changes
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last = _cache.setdefault(symbol, {})
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new = set(quote.items()) - set(last.items())
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if new:
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log.info(
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f"New quote {quote['symbol']}:\n{new}")
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_cache[symbol] = quote
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for chan, cid in tickers2chans.get(symbol, set()):
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chan_payloads.setdefault(
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chan,
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{'yield': {}, 'cid': cid}
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)['yield'][symbol] = quote
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else:
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for chan, cid in tickers2chans[symbol]:
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chan_payloads.setdefault(
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chan,
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{'yield': {}, 'cid': cid}
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)['yield'][symbol] = quote
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# deliver to each subscriber (fan out)
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if chan_payloads:
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for chan, payload in chan_payloads.items():
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try:
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await chan.send(payload)
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except (
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# That's right, anything you can think of...
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trio.ClosedStreamError, ConnectionResetError,
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ConnectionRefusedError,
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):
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log.warn(f"{chan} went down?")
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for chanset in tickers2chans.values():
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chanset.discard((chan, cid))
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# latency monitoring
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req_time = round(postquote_start - prequote_start, 3)
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proc_time = round(time.time() - postquote_start, 3)
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tot = req_time + proc_time
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log.debug(f"Request + processing took {tot}")
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delay = sleeptime - tot
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if delay <= 0:
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log.warn(
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f"Took {req_time} (request) + {proc_time} (processing) "
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f"= {tot} secs (> {sleeptime}) for processing quotes?")
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else:
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log.debug(f"Sleeping for {delay}")
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await trio.sleep(delay)
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log.info(f"Terminating stream quoter task for {brokermod.name}")
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async def get_cached_client(broker, tickers):
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"""Get or create the current actor's cached broker client.
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"""
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# check if a cached client is in the local actor's statespace
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clients = tractor.current_actor().statespace.setdefault('clients', {})
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try:
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return clients[broker]
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except KeyError:
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log.info(f"Creating new client for broker {broker}")
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brokermod = get_brokermod(broker)
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# TODO: move to AsyncExitStack in 3.7
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client_cntxmng = brokermod.get_client()
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client = await client_cntxmng.__aenter__()
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get_quotes = await brokermod.quoter(client, tickers)
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clients[broker] = (
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brokermod, client, client_cntxmng, get_quotes)
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return brokermod, client, client_cntxmng, get_quotes
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async def symbol_data(broker, tickers):
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"""Retrieve baseline symbol info from broker.
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"""
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_, client, _, get_quotes = await get_cached_client(broker, tickers)
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return await client.symbol_data(tickers)
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async def smoke_quote(get_quotes, tickers, broker):
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"""Do an initial "smoke" request for symbols in ``tickers`` filtering
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out any symbols not supported by the broker queried in the call to
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``get_quotes()``.
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"""
|
||||
# TODO: trim out with #37
|
||||
#################################################
|
||||
# get a single quote filtering out any bad tickers
|
||||
# NOTE: this code is always run for every new client
|
||||
# subscription even when a broker quoter task is already running
|
||||
# since the new client needs to know what symbols are accepted
|
||||
log.warn(f"Retrieving smoke quote for symbols {tickers}")
|
||||
quotes = await get_quotes(tickers)
|
||||
# report any tickers that aren't returned in the first quote
|
||||
invalid_tickers = set(tickers) - set(quotes)
|
||||
for symbol in invalid_tickers:
|
||||
tickers.remove(symbol)
|
||||
log.warn(
|
||||
f"Symbol `{symbol}` not found by broker `{broker}`"
|
||||
)
|
||||
|
||||
# pop any tickers that return "empty" quotes
|
||||
payload = {}
|
||||
for symbol, quote in quotes.items():
|
||||
if quote is None:
|
||||
log.warn(
|
||||
f"Symbol `{symbol}` not found by broker"
|
||||
f" `{broker}`")
|
||||
# XXX: not this mutates the input list (for now)
|
||||
tickers.remove(symbol)
|
||||
continue
|
||||
payload[symbol] = quote
|
||||
|
||||
return payload
|
||||
|
||||
# end of section to be trimmed out with #37
|
||||
###########################################
|
||||
|
||||
|
||||
def modify_quote_stream(broker, tickers, chan=None, cid=None):
|
||||
"""Absolute symbol subscription list for each quote stream.
|
||||
|
||||
Effectively a consumer subscription api.
|
||||
"""
|
||||
log.info(f"{chan} changed symbol subscription to {tickers}")
|
||||
ss = tractor.current_actor().statespace
|
||||
broker2tickersubs = ss['broker2tickersubs']
|
||||
tickers2chans = broker2tickersubs.get(broker)
|
||||
# update map from each symbol to requesting client's chan
|
||||
for ticker in tickers:
|
||||
tickers2chans.setdefault(ticker, set()).add((chan, cid))
|
||||
|
||||
for ticker in filter(
|
||||
lambda ticker: ticker not in tickers, tickers2chans.copy()
|
||||
):
|
||||
chanset = tickers2chans.get(ticker)
|
||||
# XXX: cid will be different on unsub call
|
||||
for item in chanset.copy():
|
||||
if chan in item:
|
||||
chanset.discard(item)
|
||||
|
||||
if not chanset:
|
||||
# pop empty sets which will trigger bg quoter task termination
|
||||
tickers2chans.pop(ticker)
|
||||
|
||||
|
||||
async def start_quote_stream(
|
||||
broker: str,
|
||||
tickers: [str],
|
||||
chan: tractor.Channel = None,
|
||||
cid: str = None,
|
||||
) -> None:
|
||||
"""Handle per-broker quote stream subscriptions using a "lazy" pub-sub
|
||||
pattern.
|
||||
|
||||
Spawns new quoter tasks for each broker backend on-demand.
|
||||
Since most brokers seems to support batch quote requests we
|
||||
limit to one task per process for now.
|
||||
"""
|
||||
actor = tractor.current_actor()
|
||||
# set log level after fork
|
||||
get_console_log(actor.loglevel)
|
||||
# pull global vars from local actor
|
||||
ss = actor.statespace
|
||||
broker2tickersubs = ss['broker2tickersubs']
|
||||
clients = ss['clients']
|
||||
dtasks = ss['dtasks']
|
||||
tickers = list(tickers)
|
||||
log.info(
|
||||
f"{chan.uid} subscribed to {broker} for tickers {tickers}")
|
||||
|
||||
brokermod, client, _, get_quotes = await get_cached_client(broker, tickers)
|
||||
if broker not in broker2tickersubs:
|
||||
tickers2chans = broker2tickersubs.setdefault(broker, {})
|
||||
else:
|
||||
log.info(f"Subscribing with existing `{broker}` daemon")
|
||||
tickers2chans = broker2tickersubs[broker]
|
||||
|
||||
# do a smoke quote (note this mutates the input list and filters out bad
|
||||
# symbols for now)
|
||||
payload = await smoke_quote(get_quotes, tickers, broker)
|
||||
# push initial smoke quote response for client initialization
|
||||
await chan.send({'yield': payload, 'cid': cid})
|
||||
|
||||
# update map from each symbol to requesting client's chan
|
||||
modify_quote_stream(broker, tickers, chan=chan, cid=cid)
|
||||
|
||||
try:
|
||||
if broker not in dtasks:
|
||||
# no quoter task yet so start a daemon task
|
||||
log.info(f"Spawning quoter task for {brokermod.name}")
|
||||
async with trio.open_nursery() as nursery:
|
||||
nursery.start_soon(partial(
|
||||
stream_quotes, brokermod, get_quotes, tickers2chans,
|
||||
cid=cid)
|
||||
)
|
||||
dtasks.add(broker)
|
||||
|
||||
# unblocks when no more symbols subscriptions exist and the
|
||||
# quote streamer task terminates (usually because another call
|
||||
# was made to `modify_quoter` to unsubscribe from streaming
|
||||
# symbols)
|
||||
log.info(f"Terminated quoter task for {brokermod.name}")
|
||||
|
||||
# TODO: move to AsyncExitStack in 3.7
|
||||
for _, _, cntxmng, _ in clients.values():
|
||||
# FIXME: yes I know there's no error handling..
|
||||
await cntxmng.__aexit__(None, None, None)
|
||||
finally:
|
||||
# if there are truly no more subscriptions with this broker
|
||||
# drop from broker subs dict
|
||||
if not any(tickers2chans.values()):
|
||||
log.info(f"No more subscriptions for {broker}")
|
||||
broker2tickersubs.pop(broker, None)
|
||||
dtasks.discard(broker)
|
||||
|
|
@ -29,7 +29,7 @@ def pikerd(loglevel, host):
|
|||
"""
|
||||
get_console_log(loglevel)
|
||||
tractor.run_daemon(
|
||||
rpc_module_paths=['piker.brokers.core'],
|
||||
rpc_module_paths=['piker.brokers.data'],
|
||||
statespace={
|
||||
'broker2tickersubs': {},
|
||||
'clients': {},
|
||||
|
|
@ -123,7 +123,7 @@ def quote(loglevel, broker, tickers, df_output):
|
|||
@click.option('--df-output', '-df', flag_value=True,
|
||||
help='Output in `pandas.DataFrame` format')
|
||||
@click.argument('symbol', required=True)
|
||||
def option_chain(loglevel, broker, symbol, df_output):
|
||||
def option_chain_quote(loglevel, broker, symbol, df_output):
|
||||
"""Retreive symbol quotes on the console in either json or dataframe
|
||||
format.
|
||||
"""
|
||||
|
|
@ -131,7 +131,7 @@ def option_chain(loglevel, broker, symbol, df_output):
|
|||
get_console_log(loglevel)
|
||||
quotes = trio.run(partial(core.option_chain, brokermod, symbol))[symbol]
|
||||
if not quotes:
|
||||
log.error(f"No quotes could be found for {tickers}?")
|
||||
log.error(f"No quotes could be found for {symbol}?")
|
||||
return
|
||||
|
||||
if df_output:
|
||||
|
|
@ -181,7 +181,7 @@ def monitor(loglevel, broker, rate, name, dhost):
|
|||
'clients': {},
|
||||
'dtasks': set(),
|
||||
},
|
||||
rpc_module_paths=['piker.brokers.core'],
|
||||
rpc_module_paths=['piker.brokers.data'],
|
||||
loglevel=loglevel,
|
||||
)
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue