Add first-draft `trimeter` based concurrent ohlc history fetching
Tyler Goodlet
parent
8711465d96
commit
946d554716
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@ -35,6 +35,7 @@ from typing import (
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import trio
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from trio.abc import ReceiveChannel
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from trio_typing import TaskStatus
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import trimeter
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import tractor
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from pydantic import BaseModel
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import pendulum
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@ -263,32 +264,66 @@ async def start_backfill(
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# let caller unblock and deliver latest history frame
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task_status.started((shm, start_dt, end_dt, bf_done))
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times = array['time']
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step_size_s = (
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pendulum.from_timestamp(times[-1]) -
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pendulum.from_timestamp(times[-2])
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).seconds
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frame_step_s = (end_dt - start_dt).seconds
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if last_tsdb_dt is None:
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# maybe a better default (they don't seem to define epoch?!)
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last_tsdb_dt = pendulum.now().subtract(days=1)
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# based on the sample step size load a certain amount
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# history
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if step_size_s == 1:
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last_tsdb_dt = pendulum.now().subtract(weeks=2)
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elif step_size_s == 60:
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last_tsdb_dt = pendulum.now().subtract(years=2)
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else:
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raise ValueError(
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'`piker` only needs to support 1m and 1s sampling '
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'but ur api is trying to deliver a longer '
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f'timeframe of {step_size_s} ' 'seconds.. so ye, dun '
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'do dat bruh.'
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)
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hist_period = pendulum.period(
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start_dt.subtract(seconds=step_size_s),
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last_tsdb_dt,
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)
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end_dts = list(hist_period.range('seconds', frame_step_s))
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# pull new history frames until we hit latest
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# already in the tsdb or a max count.
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# mx_fills = 16
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count = 0
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# while True:
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while (
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end_dt > last_tsdb_dt
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# and count < mx_fills
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):
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frames = {}
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async def get_ohlc_frame(
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input_end_dt: datetime,
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) -> np.ndarray:
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nonlocal count
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count += 1
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try:
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array, start_dt, end_dt = await hist(end_dt=start_dt)
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array, start_dt, end_dt = await hist(end_dt=input_end_dt)
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# if input_end_dt.timestamp() == end_dts[0].timestamp():
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# await tractor.breakpoint()
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except NoData:
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# decrement by the diff in time last delivered.
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end_dt = start_dt.subtract(seconds=(end_dt - start_dt).seconds)
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continue
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log.warning('no data for range {(end_dt - start_dt)} ?!?')
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# continue
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except DataUnavailable:
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# broker is being a bish and we can't pull
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# any more..
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break
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log.warning('backend halted on data deliver !?!?')
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# break
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to_push = diff_history(
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array,
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@ -302,18 +337,74 @@ async def start_backfill(
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print(f"PULLING {count}")
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log.info(f'Pushing {to_push.size} to shm!')
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if to_push.size < 1:
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break
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frames[input_end_dt.timestamp()] = (to_push, start_dt, end_dt)
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# bail on shm allocation overrun
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try:
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shm.push(to_push, prepend=True)
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except ValueError:
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await tractor.breakpoint()
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break
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return to_push, start_dt, end_dt
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for delay_s in sampler.subscribers:
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await broadcast(delay_s)
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# if to_push.size < 1:
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# print('UHHH SIZE <1 BREAKING!?')
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# break
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rate = erlangs = 5
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async with trimeter.amap(
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get_ohlc_frame,
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end_dts,
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capture_outcome=True,
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include_value=True,
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max_at_once=erlangs,
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max_per_second=rate,
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) as outcomes:
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# Then iterate over the return values, as they become available
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# (i.e., not necessarily in the original order)
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async for input_end_dt, outcome in outcomes:
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try:
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out = outcome.unwrap()
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except Exception:
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log.exception('uhh trimeter bail')
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raise
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else:
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to_push, start_dt, end_dt = out
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# pipeline-style pull frames until we need to wait for
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# the next in order to arrive.
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i = end_dts.index(input_end_dt)
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print(f'latest end_dt {end_dt} found at index {i}')
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for epoch in reversed(sorted(frames)):
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start = shm.array['time'][0]
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# we don't yet have the next frame to push
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# so break back to the async request loop.
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diff = epoch - start
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if abs(diff) > step_size_s:
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if len(frames) > 20:
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log.warning(
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f'there appears to be a history gap of {diff}?'
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)
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# from pprint import pprint
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# await tractor.breakpoint()
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else:
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break
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to_push, start_dt, end_dt = frames.pop(epoch)
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print(f'pushing frame ending at {end_dt}')
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if not len(to_push):
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break
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# bail on shm allocation overrun
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try:
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shm.push(to_push, prepend=True)
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except ValueError:
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await tractor.breakpoint()
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break
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for delay_s in sampler.subscribers:
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await broadcast(delay_s)
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bf_done.set()
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# update start index to include all tsdb history
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