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Still WIP, switch to using new marketstore client, missing streaming from marketstore

l1_precision_fix
Guillermo Rodriguez 2022-01-17 17:47:20 -03:00 committed by Tyler Goodlet
parent 897a5cf2f6
commit 943b02573d
2 changed files with 183 additions and 233 deletions
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101
piker/data/cli.py
View File

@ -25,11 +25,13 @@ import trio
import tractor import tractor
import click import click
from anyio_marketstore import open_marketstore_client
from .marketstore import ( from .marketstore import (
get_client, get_client,
stream_quotes, # stream_quotes,
ingest_quote_stream, ingest_quote_stream,
_url, # _url,
_tick_tbk_ids, _tick_tbk_ids,
mk_tbk, mk_tbk,
) )
@ -54,46 +56,47 @@ def ms_stream(config: dict, names: List[str], url: str):
and print to console. and print to console.
""" """
async def main(): async def main():
async for quote in stream_quotes(symbols=names): # async for quote in stream_quotes(symbols=names):
log.info(f"Received quote:\n{quote}") # log.info(f"Received quote:\n{quote}")
...
trio.run(main) trio.run(main)
@cli.command() # @cli.command()
@click.option( # @click.option(
'--url', # '--url',
default=_url, # default=_url,
help='HTTP URL of marketstore instance' # help='HTTP URL of marketstore instance'
) # )
@click.argument('names', nargs=-1) # @click.argument('names', nargs=-1)
@click.pass_obj # @click.pass_obj
def ms_destroy(config: dict, names: List[str], url: str) -> None: # def ms_destroy(config: dict, names: List[str], url: str) -> None:
"""Destroy symbol entries in the local marketstore instance. # """Destroy symbol entries in the local marketstore instance.
""" # """
async def main(): # async def main():
nonlocal names # nonlocal names
async with get_client(url) as client: # async with get_client(url) as client:
#
if not names: # if not names:
names = await client.list_symbols() # names = await client.list_symbols()
#
# default is to wipe db entirely. # # default is to wipe db entirely.
answer = input( # answer = input(
"This will entirely wipe you local marketstore db @ " # "This will entirely wipe you local marketstore db @ "
f"{url} of the following symbols:\n {pformat(names)}" # f"{url} of the following symbols:\n {pformat(names)}"
"\n\nDelete [N/y]?\n") # "\n\nDelete [N/y]?\n")
#
if answer == 'y': # if answer == 'y':
for sym in names: # for sym in names:
# tbk = _tick_tbk.format(sym) # # tbk = _tick_tbk.format(sym)
tbk = tuple(sym, *_tick_tbk_ids) # tbk = tuple(sym, *_tick_tbk_ids)
print(f"Destroying {tbk}..") # print(f"Destroying {tbk}..")
await client.destroy(mk_tbk(tbk)) # await client.destroy(mk_tbk(tbk))
else: # else:
print("Nothing deleted.") # print("Nothing deleted.")
#
tractor.run(main) # tractor.run(main)
@cli.command() @cli.command()
@ -102,17 +105,19 @@ def ms_destroy(config: dict, names: List[str], url: str) -> None:
is_flag=True, is_flag=True,
help='Enable tractor logging') help='Enable tractor logging')
@click.option( @click.option(
'--url', '--host',
default=_url, default='localhost'
help='HTTP URL of marketstore instance' )
@click.option(
'--port',
default=5995
) )
@click.argument('name', nargs=1, required=True)
@click.pass_obj @click.pass_obj
def ms_shell(config, name, tl, url): def ms_shell(config, tl, host, port):
"""Start an IPython shell ready to query the local marketstore db. """Start an IPython shell ready to query the local marketstore db.
""" """
async def main(): async def main():
async with get_client(url) as client: async with open_marketstore_client(host, port) as client:
query = client.query # noqa query = client.query # noqa
# TODO: write magics to query marketstore # TODO: write magics to query marketstore
from IPython import embed from IPython import embed
@ -124,15 +129,9 @@ def ms_shell(config, name, tl, url):
@cli.command() @cli.command()
@click.option('--test-file', '-t', help='Test quote stream file') @click.option('--test-file', '-t', help='Test quote stream file')
@click.option('--tl', is_flag=True, help='Enable tractor logging') @click.option('--tl', is_flag=True, help='Enable tractor logging')
@click.option('--tl', is_flag=True, help='Enable tractor logging')
@click.option(
'--url',
default=_url,
help='HTTP URL of marketstore instance'
)
@click.argument('name', nargs=1, required=True) @click.argument('name', nargs=1, required=True)
@click.pass_obj @click.pass_obj
def ingest(config, name, test_file, tl, url): def ingest(config, name, test_file, tl):
"""Ingest real-time broker quotes and ticks to a marketstore instance. """Ingest real-time broker quotes and ticks to a marketstore instance.
""" """
# global opts # global opts

315
piker/data/marketstore.py
View File

@ -14,7 +14,7 @@
# You should have received a copy of the GNU Affero General Public License # You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>. # along with this program. If not, see <https://www.gnu.org/licenses/>.
""" '''
``marketstore`` integration. ``marketstore`` integration.
- client management routines - client management routines
@ -22,7 +22,7 @@
- websocket client for subscribing to write triggers - websocket client for subscribing to write triggers
- todo: tick sequence stream-cloning for testing - todo: tick sequence stream-cloning for testing
- todo: docker container management automation - todo: docker container management automation
""" '''
from contextlib import asynccontextmanager from contextlib import asynccontextmanager
from typing import Dict, Any, List, Callable, Tuple, Optional from typing import Dict, Any, List, Callable, Tuple, Optional
import time import time
@ -31,9 +31,9 @@ from math import isnan
import msgpack import msgpack
import numpy as np import numpy as np
import pandas as pd import pandas as pd
import pymarketstore as pymkts
import tractor import tractor
from trio_websocket import open_websocket_url from trio_websocket import open_websocket_url
from anyio_marketstore import open_marketstore_client, MarketstoreClient
from ..log import get_logger, get_console_log from ..log import get_logger, get_console_log
from ..data import open_feed from ..data import open_feed
@ -43,7 +43,7 @@ log = get_logger(__name__)
_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK') _tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids) _tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
_url: str = 'http://localhost:5993/rpc'
_quote_dt = [ _quote_dt = [
# these two are required for as a "primary key" # these two are required for as a "primary key"
('Epoch', 'i8'), ('Epoch', 'i8'),
@ -51,34 +51,27 @@ _quote_dt = [
('IsTrade', 'i1'), ('IsTrade', 'i1'),
('IsBid', 'i1'), ('IsBid', 'i1'),
('Price', 'f8'), ('Price', 'f4'),
('Size', 'f8') ('Size', 'f4')
] ]
_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
class MarketStoreError(Exception): def mk_tbk(keys: Tuple[str, str, str]) -> str:
"Generic marketstore client error" """Generate a marketstore table key from a tuple.
Converts,
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
def err_on_resp(response: dict) -> None:
"""Raise any errors found in responses from client request.
""" """
responses = response['responses'] return '{}/' + '/'.join(keys)
if responses is not None:
for r in responses:
err = r['error']
if err:
raise MarketStoreError(err)
def quote_to_marketstore_structarray( def quote_to_marketstore_structarray(
quote: Dict[str, Any], quote: Dict[str, Any],
last_fill: Optional[float], last_fill: Optional[float]
) -> np.array: ) -> np.array:
"""Return marketstore writeable structarray from quote ``dict``. '''
""" Return marketstore writeable structarray from quote ``dict``.
'''
if last_fill: if last_fill:
# new fill bby # new fill bby
now = timestamp(last_fill, unit='s') now = timestamp(last_fill, unit='s')
@ -112,82 +105,21 @@ def quote_to_marketstore_structarray(
def timestamp(date, **kwargs) -> int: def timestamp(date, **kwargs) -> int:
"""Return marketstore compatible 'Epoch' integer in nanoseconds '''
Return marketstore compatible 'Epoch' integer in nanoseconds
from a date formatted str. from a date formatted str.
""" '''
return int(pd.Timestamp(date, **kwargs).value) return int(pd.Timestamp(date, **kwargs).value)
def mk_tbk(keys: Tuple[str, str, str]) -> str:
"""Generate a marketstore table key from a tuple.
Converts,
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
"""
return '{}/' + '/'.join(keys)
class Client:
"""Async wrapper around the alpaca ``pymarketstore`` sync client.
This will server as the shell for building out a proper async client
that isn't horribly documented and un-tested..
"""
def __init__(self, url: str):
self._client = pymkts.Client(url)
async def _invoke(
self,
meth: Callable,
*args,
**kwargs,
) -> Any:
return err_on_resp(meth(*args, **kwargs))
async def destroy(
self,
tbk: Tuple[str, str, str],
) -> None:
return await self._invoke(self._client.destroy, mk_tbk(tbk))
async def list_symbols(
self,
tbk: str,
) -> List[str]:
return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
async def write(
self,
symbol: str,
array: np.ndarray,
) -> None:
start = time.time()
await self._invoke(
self._client.write,
array,
_tick_tbk.format(symbol),
isvariablelength=True
)
log.debug(f"{symbol} write time (s): {time.time() - start}")
def query(
self,
symbol,
tbk: Tuple[str, str] = _tick_tbk_ids,
) -> pd.DataFrame:
# XXX: causes crash
# client.query(pymkts.Params(symbol, '*', 'OHCLV'
result = self._client.query(
pymkts.Params(symbol, *tbk),
)
return result.first().df()
@asynccontextmanager @asynccontextmanager
async def get_client( async def get_client(
url: str = _url, host: str = 'localhost',
) -> Client: port: int = 5995
yield Client(url) ) -> MarketstoreClient:
async with open_marketstore_client(host, port) as client:
yield client
async def ingest_quote_stream( async def ingest_quote_stream(
@ -196,8 +128,9 @@ async def ingest_quote_stream(
tries: int = 1, tries: int = 1,
actorloglevel: str = None, actorloglevel: str = None,
) -> None: ) -> None:
"""Ingest a broker quote stream into marketstore in (sampled) tick format. '''
""" Ingest a broker quote stream into marketstore.
'''
async with ( async with (
open_feed(brokername, symbols, loglevel=actorloglevel) as feed, open_feed(brokername, symbols, loglevel=actorloglevel) as feed,
get_client() as ms_client get_client() as ms_client
@ -212,107 +145,125 @@ async def ingest_quote_stream(
# okkk.. # okkk..
continue continue
a = quote_to_marketstore_structarray({ array = quote_to_marketstore_structarray({
'IsTrade': 1 if ticktype == 'trade' else 0, 'IsTrade': 1 if ticktype == 'trade' else 0,
'IsBid': 1 if ticktype in ('bid', 'bsize') else 0, 'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
'Price': tick.get('price'), 'Price': tick.get('price'),
'Size': tick.get('size') 'Size': tick.get('size')
}, last_fill=quote.get('broker_ts', None)) }, last_fill=quote.get('broker_ts', None))
log.info(a) await ms_client.write(
await ms_client.write(symbol, a) array, _tick_tbk)
async def stream_quotes( async def stream_quotes(
symbols: List[str], symbols: List[str],
timeframe: str = '1Min',
attr_group: str = 'TICK',
host: str = 'localhost', host: str = 'localhost',
port: int = 5993, port: int = 5993,
diff_cached: bool = True, loglevel: str = None
loglevel: str = None,
) -> None: ) -> None:
"""Open a symbol stream from a running instance of marketstore and '''
Open a symbol stream from a running instance of marketstore and
log to console. log to console.
""" '''
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols} tbks: Dict[str, str] = {
sym: f'{sym}/{timeframe}/{attr_group}' for sym in symbols}
async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
# send subs topics to server
resp = await ws.send_message(
msgpack.dumps({'streams': list(tbks.values())})
)
log.info(resp)
async def recv() -> Dict[str, Any]:
return msgpack.loads((await ws.get_message()), encoding='utf-8')
streams = (await recv())['streams'] # async def stream_quotes(
log.info(f"Subscribed to {streams}") # symbols: List[str],
# host: str = 'localhost',
_cache = {} # port: int = 5993,
# diff_cached: bool = True,
while True: # loglevel: str = None,
msg = await recv() # ) -> None:
# """Open a symbol stream from a running instance of marketstore and
# unpack symbol and quote data # log to console.
# key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>`` # """
symbol = msg['key'].split('/')[0] # # XXX: required to propagate ``tractor`` loglevel to piker logging
data = msg['data'] # get_console_log(loglevel or tractor.current_actor().loglevel)
#
# calc time stamp(s) # tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
s, ns = data.pop('Epoch'), data.pop('Nanoseconds') #
ts = s * 10**9 + ns # async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
data['broker_fill_time_ns'] = ts # # send subs topics to server
# resp = await ws.send_message(
quote = {} # msgpack.dumps({'streams': list(tbks.values())})
for k, v in data.items(): # )
if isnan(v): # log.info(resp)
continue #
# async def recv() -> Dict[str, Any]:
quote[k.lower()] = v # return msgpack.loads((await ws.get_message()), encoding='utf-8')
#
quote['symbol'] = symbol # streams = (await recv())['streams']
# log.info(f"Subscribed to {streams}")
quotes = {} #
# _cache = {}
if diff_cached: #
last = _cache.setdefault(symbol, {}) # while True:
new = set(quote.items()) - set(last.items()) # msg = await recv()
if new: #
log.info(f"New quote {quote['symbol']}:\n{new}") # # unpack symbol and quote data
# # key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
# only ship diff updates and other required fields # symbol = msg['key'].split('/')[0]
payload = {k: quote[k] for k, v in new} # data = msg['data']
payload['symbol'] = symbol #
# # calc time stamp(s)
# if there was volume likely the last size of # s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
# shares traded is useful info and it's possible # ts = s * 10**9 + ns
# that the set difference from above will disregard # data['broker_fill_time_ns'] = ts
# a "size" value since the same # of shares were traded #
size = quote.get('size') # quote = {}
volume = quote.get('volume') # for k, v in data.items():
if size and volume: # if isnan(v):
new_volume_since_last = max( # continue
volume - last.get('volume', 0), 0) #
log.warning( # quote[k.lower()] = v
f"NEW VOLUME {symbol}:{new_volume_since_last}") #
payload['size'] = size # quote['symbol'] = symbol
payload['last'] = quote.get('last') #
# quotes = {}
# XXX: we append to a list for the options case where the #
# subscription topic (key) is the same for all # if diff_cached:
# expiries even though this is uncessary for the # last = _cache.setdefault(symbol, {})
# stock case (different topic [i.e. symbol] for each # new = set(quote.items()) - set(last.items())
# quote). # if new:
quotes.setdefault(symbol, []).append(payload) # log.info(f"New quote {quote['symbol']}:\n{new}")
#
# update cache # # only ship diff updates and other required fields
_cache[symbol].update(quote) # payload = {k: quote[k] for k, v in new}
else: # payload['symbol'] = symbol
quotes = { #
symbol: [{key.lower(): val for key, val in quote.items()}]} # # if there was volume likely the last size of
# # shares traded is useful info and it's possible
if quotes: # # that the set difference from above will disregard
yield quotes # # a "size" value since the same # of shares were traded
# size = quote.get('size')
# volume = quote.get('volume')
# if size and volume:
# new_volume_since_last = max(
# volume - last.get('volume', 0), 0)
# log.warning(
# f"NEW VOLUME {symbol}:{new_volume_since_last}")
# payload['size'] = size
# payload['last'] = quote.get('last')
#
# # XXX: we append to a list for the options case where the
# # subscription topic (key) is the same for all
# # expiries even though this is uncessary for the
# # stock case (different topic [i.e. symbol] for each
# # quote).
# quotes.setdefault(symbol, []).append(payload)
#
# # update cache
# _cache[symbol].update(quote)
# else:
# quotes = {
# symbol: [{key.lower(): val for key, val in quote.items()}]}
#
# if quotes:
# yield quotes