Add tbk tick streaming with trio-websocket
Tyler Goodlet
parent
c47df8811b
commit
9173f22f3b
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@ -1,15 +1,23 @@
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"""
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``marketstore`` integration.
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- TICK data ingest routines
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- websocket client for subscribing to write triggers
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- docker container management automation
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"""
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from pprint import pformat
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from typing import Dict, Any
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from typing import Dict, Any, List
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from functools import partial
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import time
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import msgpack
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import numpy as np
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import pandas as pd
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import pymarketstore as pymkts
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import click
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import trio
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import tractor
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from trio_websocket import open_websocket_url
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from ..cli import cli
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from .. import watchlists as wl
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@ -38,12 +46,14 @@ _quote_dt = [
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('Volume', 'i8'),
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# ('VWAP', 'f4')
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]
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_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
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_tick_map = {
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'Up': 1,
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'Equal': 0,
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'Down': -1
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'Down': -1,
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None: np.nan,
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}
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@ -64,37 +74,36 @@ def err_on_resp(response: dict) -> None:
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def quote_to_marketstore_structarray(
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quote: Dict[str, Any],
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last_fills: Dict[str, str],
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last_fill: str,
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) -> np.array:
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"""Return marketstore writeable recarray from quote ``dict``.
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"""Return marketstore writeable structarray from quote ``dict``.
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"""
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if last_fill:
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# new fill bby
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now = timestamp(last_fill)
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else:
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# this should get inserted upstream by the broker-client to
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# subtract from IPC latency
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now = timestamp(pd.Timestamp.now())
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secs, ns = now / 10**9, now % 10**9
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# pack into List[Tuple[str, Any]]
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array_input = []
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# this should get inserted by the broker-client to subtract from
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# IPC latency
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now = timestamp(pd.Timestamp.now())
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sym = quote['symbol']
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last_fill_time = quote['fill_time']
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if last_fills.get(sym) != last_fill_time:
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# new fill
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now = timestamp(last_fill_time)
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last_fills[sym] = last_fill_time
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secs, ns = now / 10**9, now % 10**9
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# insert 'Epoch' entry first
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array_input.append(int(secs))
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# insert 'Nanoseconds' field
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array_input.append(int(ns))
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# tick mapping to int
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array_input.append(_tick_map[quote['tick']])
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# append remaining fields
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for name, dt in _quote_dt[3:]:
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array_input.append(quote[name.casefold()])
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for name, dt in _quote_dt[2:]:
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if 'f' in dt:
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none = np.nan
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else:
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none = 0
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val = quote.get(name.casefold(), none)
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array_input.append(val)
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return np.array([tuple(array_input)], dtype=_quote_dt)
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@ -148,26 +157,43 @@ def ingest(config, name, test_file, tl, url):
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log.error("Broker API is down temporarily")
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return
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client = pymkts.Client(endpoint=url)
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quote_cache = {quote['symbol']: quote for quote in first_quotes}
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# keep track of last executed fill for each symbol
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last_fills = {}
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client = pymkts.Client(endpoint=url)
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# start ingest to marketstore
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async for quotes in qstream:
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for symbol, quote in quotes.items():
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breakpoint()
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fmt_quote, _ = brokermod.format_stock_quote(
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quote,
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feed._symbol_data_cache
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)
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a = quote_to_marketstore_structarray(fmt_quote, last_fills)
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# start = time.time()
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# err_on_resp(client.write(
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# a, _tick_tbk.format(symbol), isvariablelength=True)
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# )
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# log.trace(
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# f"{symbol} write time (s): {time.time() - start}")
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# remap tick strs to ints
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fmt_quote['tick'] = _tick_map[
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fmt_quote.get('tick', 'Equal')
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]
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# check for volume update (i.e. did trades happen
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# since last quote)
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new_vol = fmt_quote.get('volume', None)
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if new_vol is None:
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log.info(f"NO trades for {symbol}")
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if new_vol == quote_cache.get('volume'):
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log.error(
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f"{symbol}: got same volume as last quote?")
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a = quote_to_marketstore_structarray(
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fmt_quote,
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# TODO: check this closer to the broker query api
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last_fill=fmt_quote.get('last_fill', '')
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)
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start = time.time()
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err_on_resp(client.write(
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a, _tick_tbk.format(symbol), isvariablelength=True)
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)
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log.trace(
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f"{symbol} write time (s): {time.time() - start}")
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tractor.run(
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partial(main, tries=1),
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@ -213,7 +239,7 @@ def ms_shell(config, name, tl, url):
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)
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@click.argument('names', nargs=-1)
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@click.pass_obj
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def marketstore_destroy(config, names, url):
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def marketstore_destroy(config: dict, names: List[str], url: str) -> None:
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"""Destroy symbol entries in the local marketstore instance.
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"""
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client = pymkts.Client(url)
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@ -235,6 +261,29 @@ def marketstore_destroy(config, names, url):
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print("Nothing deleted.")
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async def open_quote_stream(
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tbks: List[str],
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host: str = 'localhost',
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port: int = 5993
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) -> None:
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"""Open a symbol stream from a running instance of marketstore and
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log to console.
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"""
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async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
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# send subs topics to server
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await ws.send_message(msgpack.dumps({'streams': tbks}))
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async def recv() -> Dict[str, Any]:
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return msgpack.loads((await ws.get_message()), encoding='utf-8')
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streams = (await recv())['streams']
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log.info(f"Subscribed to {streams}")
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while True:
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msg = await recv()
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log.info(f"Received quote:\n{msg}")
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@cli.command()
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@click.option(
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'--url',
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@ -243,14 +292,8 @@ def marketstore_destroy(config, names, url):
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)
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@click.argument('names', nargs=-1)
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@click.pass_obj
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def marketstore_stream(config, names, url):
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"""Destroy symbol entries in the local marketstore instance.
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def marketstore_stream(config: dict, names: List[str], url: str):
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"""Connect to a marketstore time bucket stream for (a set of) symbols(s)
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and print to console.
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"""
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symbol = 'APHA'
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conn = pymkts.StreamConn('ws://localhost:5993/ws')
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@conn.on(r'^{}/'.format(symbol))
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def on_tsla(conn, msg):
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print(f'received {symbol}', msg['data'])
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conn.run(['APHA/*/*']) # runs until exception
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trio.run(open_quote_stream, names)
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