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Factor out all history mgmt-logic into a new `.data.history`

rekt_pps
Tyler Goodlet 2023-04-20 13:36:52 -04:00
parent 3cd853cb5d
commit 9d04accf2e
2 changed files with 780 additions and 728 deletions
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738
piker/data/feed.py
View File

@ -14,31 +14,31 @@
# 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/>.
"""
'''
Data feed apis and infra.
This module is enabled for ``brokerd`` daemons.
This module is enabled for ``brokerd`` daemons and includes mostly
endpoints and middleware to support our real-time, provider agnostic,
live market quotes layer. Historical data loading and processing is also
initiated in parts of the feed bus startup but business logic and
functionality is generally located in the sibling `.data.history`
module.
"""
'''
from __future__ import annotations
from collections import (
defaultdict,
Counter,
)
from contextlib import asynccontextmanager as acm
# from decimal import Decimal
from datetime import datetime
from functools import partial
import time
from types import ModuleType
from typing import (
Any,
AsyncContextManager,
Callable,
Optional,
Awaitable,
Sequence,
TYPE_CHECKING,
Union,
)
@ -50,8 +50,6 @@ from tractor.trionics import (
maybe_open_context,
gather_contexts,
)
import pendulum
import numpy as np
from ..brokers import get_brokermod
from ..calc import humanize
@ -61,17 +59,14 @@ from ._util import (
)
from ..service import (
maybe_spawn_brokerd,
check_for_service,
)
from .flows import Flume
from .validate import (
FeedInit,
validate_backend,
)
from ._sharedmem import (
maybe_open_shm_array,
ShmArray,
_secs_in_day,
from .history import (
manage_history,
)
from .ingest import get_ingestormod
from .types import Struct
@ -79,19 +74,11 @@ from ..accounting._mktinfo import (
MktPair,
unpack_fqme,
)
from ._source import base_iohlc_dtype
from ..ui import _search
from ._sampling import (
open_sample_stream,
sample_and_broadcast,
uniform_rate_send,
)
from ..brokers._util import (
DataUnavailable,
)
if TYPE_CHECKING:
from ..service.marketstore import Storage
class _FeedsBus(Struct):
@ -230,711 +217,6 @@ def get_feed_bus(
return _bus
def diff_history(
array: np.ndarray,
timeframe: int,
start_dt: datetime,
end_dt: datetime,
last_tsdb_dt: datetime | None = None
) -> np.ndarray:
# no diffing with tsdb dt index possible..
if last_tsdb_dt is None:
return array
time = array['time']
return array[time > last_tsdb_dt.timestamp()]
async def start_backfill(
mod: ModuleType,
bfqsn: str,
shm: ShmArray,
timeframe: float,
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
last_tsdb_dt: Optional[datetime] = None,
storage: Optional[Storage] = None,
write_tsdb: bool = True,
tsdb_is_up: bool = False,
task_status: TaskStatus[tuple] = trio.TASK_STATUS_IGNORED,
) -> int:
hist: Callable[
[int, datetime, datetime],
tuple[np.ndarray, str]
]
config: dict[str, int]
async with mod.open_history_client(bfqsn) as (hist, config):
# get latest query's worth of history all the way
# back to what is recorded in the tsdb
array, start_dt, end_dt = await hist(
timeframe,
end_dt=None,
)
times = array['time']
# sample period step size in seconds
step_size_s = (
pendulum.from_timestamp(times[-1])
- pendulum.from_timestamp(times[-2])
).seconds
# if the market is open (aka we have a live feed) but the
# history sample step index seems off we report the surrounding
# data and drop into a bp. this case shouldn't really ever
# happen if we're doing history retrieval correctly.
if (
step_size_s == 60
and feed_is_live.is_set()
):
inow = round(time.time())
diff = inow - times[-1]
if abs(diff) > 60:
surr = array[-6:]
diff_in_mins = round(diff/60., ndigits=2)
log.warning(
f'STEP ERROR `{bfqsn}` for period {step_size_s}s:\n'
f'Off by `{diff}` seconds (or `{diff_in_mins}` mins)\n'
'Surrounding 6 time stamps:\n'
f'{list(surr["time"])}\n'
'Here is surrounding 6 samples:\n'
f'{surr}\nn'
)
# uncomment this for a hacker who wants to investigate
# this case manually..
# await tractor.breakpoint()
# frame's worth of sample-period-steps, in seconds
frame_size_s = len(array) * step_size_s
to_push = diff_history(
array,
timeframe,
start_dt,
end_dt,
last_tsdb_dt=last_tsdb_dt,
)
log.info(f'Pushing {to_push.size} to shm!')
shm.push(to_push, prepend=True)
# TODO: *** THIS IS A BUG ***
# we need to only broadcast to subscribers for this fqsn..
# otherwise all fsps get reset on every chart..
await sampler_stream.send('broadcast_all')
# signal that backfilling to tsdb's end datum is complete
bf_done = trio.Event()
# let caller unblock and deliver latest history frame
task_status.started((
start_dt,
end_dt,
bf_done,
))
# based on the sample step size, maybe load a certain amount history
if last_tsdb_dt is None:
if step_size_s not in (1, 60):
raise ValueError(
'`piker` only needs to support 1m and 1s sampling '
'but ur api is trying to deliver a longer '
f'timeframe of {step_size_s} seconds..\n'
'So yuh.. dun do dat brudder.'
)
# when no tsdb "last datum" is provided, we just load
# some near-term history.
periods = {
1: {'days': 1},
60: {'days': 14},
}
if tsdb_is_up:
# do a decently sized backfill and load it into storage.
periods = {
1: {'days': 6},
60: {'years': 6},
}
period_duration = periods[step_size_s]
# NOTE: manually set the "latest" datetime which we intend to
# backfill history "until" so as to adhere to the history
# settings above when the tsdb is detected as being empty.
last_tsdb_dt = start_dt.subtract(**period_duration)
# configure async query throttling
# rate = config.get('rate', 1)
# XXX: legacy from ``trimeter`` code but unsupported now.
# erlangs = config.get('erlangs', 1)
# avoid duplicate history frames with a set of datetime frame
# starts and associated counts of how many duplicates we see
# per time stamp.
starts: Counter[datetime] = Counter()
# inline sequential loop where we simply pass the
# last retrieved start dt to the next request as
# it's end dt.
while end_dt > last_tsdb_dt:
log.debug(
f'Requesting {step_size_s}s frame ending in {start_dt}'
)
try:
array, next_start_dt, end_dt = await hist(
timeframe,
end_dt=start_dt,
)
# broker says there never was or is no more history to pull
except DataUnavailable:
log.warning(
f'NO-MORE-DATA: backend {mod.name} halted history!?'
)
# ugh, what's a better way?
# TODO: fwiw, we probably want a way to signal a throttle
# condition (eg. with ib) so that we can halt the
# request loop until the condition is resolved?
return
if (
next_start_dt in starts
and starts[next_start_dt] <= 6
):
start_dt = min(starts)
log.warning(
f"{bfqsn}: skipping duplicate frame @ {next_start_dt}"
)
starts[start_dt] += 1
continue
elif starts[next_start_dt] > 6:
log.warning(
f'NO-MORE-DATA: backend {mod.name} before {next_start_dt}?'
)
return
# only update new start point if not-yet-seen
start_dt = next_start_dt
starts[start_dt] += 1
assert array['time'][0] == start_dt.timestamp()
diff = end_dt - start_dt
frame_time_diff_s = diff.seconds
expected_frame_size_s = frame_size_s + step_size_s
if frame_time_diff_s > expected_frame_size_s:
# XXX: query result includes a start point prior to our
# expected "frame size" and thus is likely some kind of
# history gap (eg. market closed period, outage, etc.)
# so just report it to console for now.
log.warning(
f'History frame ending @ {end_dt} appears to have a gap:\n'
f'{diff} ~= {frame_time_diff_s} seconds'
)
to_push = diff_history(
array,
timeframe,
start_dt,
end_dt,
last_tsdb_dt=last_tsdb_dt,
)
ln = len(to_push)
if ln:
log.info(f'{ln} bars for {start_dt} -> {end_dt}')
else:
log.warning(
f'{ln} BARS TO PUSH after diff?!: {start_dt} -> {end_dt}'
)
# bail gracefully on shm allocation overrun/full condition
try:
shm.push(to_push, prepend=True)
except ValueError:
log.info(
f'Shm buffer overrun on: {start_dt} -> {end_dt}?'
)
# can't push the entire frame? so
# push only the amount that can fit..
break
log.info(
f'Shm pushed {ln} frame:\n'
f'{start_dt} -> {end_dt}'
)
if (
storage is not None
and write_tsdb
):
log.info(
f'Writing {ln} frame to storage:\n'
f'{start_dt} -> {end_dt}'
)
await storage.write_ohlcv(
f'{bfqsn}.{mod.name}', # lul..
to_push,
timeframe,
)
# TODO: can we only trigger this if the respective
# history in "in view"?!?
# XXX: extremely important, there can be no checkpoints
# in the block above to avoid entering new ``frames``
# values while we're pipelining the current ones to
# memory...
await sampler_stream.send('broadcast_all')
# short-circuit (for now)
bf_done.set()
async def basic_backfill(
bus: _FeedsBus,
mod: ModuleType,
bfqsn: str,
shms: dict[int, ShmArray],
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
) -> None:
# do a legacy incremental backfill from the provider.
log.info('No TSDB (marketstored) found, doing basic backfill..')
# start history backfill task ``backfill_bars()`` is
# a required backend func this must block until shm is
# filled with first set of ohlc bars
for timeframe, shm in shms.items():
try:
await bus.nursery.start(
partial(
start_backfill,
mod,
bfqsn,
shm,
timeframe,
sampler_stream,
feed_is_live,
)
)
except DataUnavailable:
# XXX: timeframe not supported for backend
continue
async def tsdb_backfill(
mod: ModuleType,
marketstore: ModuleType,
bus: _FeedsBus,
storage: Storage,
fqsn: str,
bfqsn: str,
shms: dict[int, ShmArray],
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
task_status: TaskStatus[
tuple[ShmArray, ShmArray]
] = trio.TASK_STATUS_IGNORED,
) -> None:
# TODO: this should be used verbatim for the pure
# shm backfiller approach below.
dts_per_tf: dict[int, datetime] = {}
# start history anal and load missing new data via backend.
for timeframe, shm in shms.items():
# loads a (large) frame of data from the tsdb depending
# on the db's query size limit.
tsdb_history, first_tsdb_dt, last_tsdb_dt = await storage.load(
fqsn,
timeframe=timeframe,
)
broker, *_ = unpack_fqme(fqsn)
try:
(
latest_start_dt,
latest_end_dt,
bf_done,
) = await bus.nursery.start(
partial(
start_backfill,
mod,
bfqsn,
shm,
timeframe,
sampler_stream,
feed_is_live,
last_tsdb_dt=last_tsdb_dt,
tsdb_is_up=True,
storage=storage,
)
)
except DataUnavailable:
# XXX: timeframe not supported for backend
dts_per_tf[timeframe] = (
tsdb_history,
last_tsdb_dt,
None,
None,
None,
)
continue
# tsdb_history = series.get(timeframe)
dts_per_tf[timeframe] = (
tsdb_history,
last_tsdb_dt,
latest_start_dt,
latest_end_dt,
bf_done,
)
# if len(hist_shm.array) < 2:
# TODO: there's an edge case here to solve where if the last
# frame before market close (at least on ib) was pushed and
# there was only "1 new" row pushed from the first backfill
# query-iteration, then the sample step sizing calcs will
# break upstream from here since you can't diff on at least
# 2 steps... probably should also add logic to compute from
# the tsdb series and stash that somewhere as meta data on
# the shm buffer?.. no se.
# unblock the feed bus management task
# assert len(shms[1].array)
task_status.started()
async def back_load_from_tsdb(
timeframe: int,
shm: ShmArray,
):
(
tsdb_history,
last_tsdb_dt,
latest_start_dt,
latest_end_dt,
bf_done,
) = dts_per_tf[timeframe]
# sync to backend history task's query/load completion
if bf_done:
await bf_done.wait()
# TODO: eventually it'd be nice to not require a shm array/buffer
# to accomplish this.. maybe we can do some kind of tsdb direct to
# graphics format eventually in a child-actor?
# TODO: see if there's faster multi-field reads:
# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
# re-index with a `time` and index field
prepend_start = shm._first.value
array = shm.array
if len(array):
shm_last_dt = pendulum.from_timestamp(shm.array[0]['time'])
else:
shm_last_dt = None
if last_tsdb_dt:
assert shm_last_dt >= last_tsdb_dt
# do diff against start index of last frame of history and only
# fill in an amount of datums from tsdb allows for most recent
# to be loaded into mem *before* tsdb data.
if (
last_tsdb_dt
and latest_start_dt
):
backfilled_size_s = (
latest_start_dt - last_tsdb_dt
).seconds
# if the shm buffer len is not large enough to contain
# all missing data between the most recent backend-queried frame
# and the most recent dt-index in the db we warn that we only
# want to load a portion of the next tsdb query to fill that
# space.
log.info(
f'{backfilled_size_s} seconds worth of {timeframe}s loaded'
)
# Load TSDB history into shm buffer (for display) if there is
# remaining buffer space.
if (
len(tsdb_history)
):
# load the first (smaller) bit of history originally loaded
# above from ``Storage.load()``.
to_push = tsdb_history[-prepend_start:]
shm.push(
to_push,
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
prepend=True,
# update_first=False,
# start=prepend_start,
field_map=marketstore.ohlc_key_map,
)
tsdb_last_frame_start = tsdb_history['Epoch'][0]
if timeframe == 1:
times = shm.array['time']
assert (times[1] - times[0]) == 1
# load as much from storage into shm possible (depends on
# user's shm size settings).
while shm._first.value > 0:
tsdb_history = await storage.read_ohlcv(
fqsn,
timeframe=timeframe,
end=tsdb_last_frame_start,
)
# empty query
if not len(tsdb_history):
break
next_start = tsdb_history['Epoch'][0]
if next_start >= tsdb_last_frame_start:
# no earlier data detected
break
else:
tsdb_last_frame_start = next_start
prepend_start = shm._first.value
to_push = tsdb_history[-prepend_start:]
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
shm.push(
to_push,
prepend=True,
field_map=marketstore.ohlc_key_map,
)
log.info(f'Loaded {to_push.shape} datums from storage')
# manually trigger step update to update charts/fsps
# which need an incremental update.
# NOTE: the way this works is super duper
# un-intuitive right now:
# - the broadcaster fires a msg to the fsp subsystem.
# - fsp subsys then checks for a sample step diff and
# possibly recomputes prepended history.
# - the fsp then sends back to the parent actor
# (usually a chart showing graphics for said fsp)
# which tells the chart to conduct a manual full
# graphics loop cycle.
await sampler_stream.send('broadcast_all')
# TODO: write new data to tsdb to be ready to for next read.
# backload from db (concurrently per timeframe) once backfilling of
# recent dat a loaded from the backend provider (see
# ``bf_done.wait()`` call).
async with trio.open_nursery() as nurse:
for timeframe, shm in shms.items():
nurse.start_soon(
back_load_from_tsdb,
timeframe,
shm,
)
async def manage_history(
mod: ModuleType,
bus: _FeedsBus,
fqsn: str,
some_data_ready: trio.Event,
feed_is_live: trio.Event,
timeframe: float = 60, # in seconds
task_status: TaskStatus[
tuple[ShmArray, ShmArray]
] = trio.TASK_STATUS_IGNORED,
) -> None:
'''
Load and manage historical data including the loading of any
available series from `marketstore` as well as conducting real-time
update of both that existing db and the allocated shared memory
buffer.
'''
# TODO: is there a way to make each shm file key
# actor-tree-discovery-addr unique so we avoid collisions
# when doing tests which also allocate shms for certain instruments
# that may be in use on the system by some other running daemons?
# from tractor._state import _runtime_vars
# port = _runtime_vars['_root_mailbox'][1]
uid = tractor.current_actor().uid
name, uuid = uid
service = name.rstrip(f'.{mod.name}')
# (maybe) allocate shm array for this broker/symbol which will
# be used for fast near-term history capture and processing.
hist_shm, opened = maybe_open_shm_array(
# key=f'{fqsn}_hist_p{port}',
key=f'piker.{service}[{uuid[:16]}.{fqsn}.hist',
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
)
hist_zero_index = hist_shm.index - 1
# TODO: history validation
if not opened:
raise RuntimeError(
"Persistent shm for sym was already open?!"
)
rt_shm, opened = maybe_open_shm_array(
# key=f'{fqsn}_rt_p{port}',
# key=f'piker.{service}.{fqsn}_rt.{uuid}',
key=f'piker.{service}[{uuid[:16]}.{fqsn}.rt',
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
size=3*_secs_in_day,
)
# (for now) set the rt (hft) shm array with space to prepend
# only a few days worth of 1s history.
days = 2
start_index = days*_secs_in_day
rt_shm._first.value = start_index
rt_shm._last.value = start_index
rt_zero_index = rt_shm.index - 1
if not opened:
raise RuntimeError(
"Persistent shm for sym was already open?!"
)
# register 1s and 1m buffers with the global incrementer task
async with open_sample_stream(
period_s=1.,
shms_by_period={
1.: rt_shm.token,
60.: hist_shm.token,
},
# NOTE: we want to only open a stream for doing broadcasts on
# backfill operations, not receive the sample index-stream
# (since there's no code in this data feed layer that needs to
# consume it).
open_index_stream=True,
sub_for_broadcasts=False,
) as sample_stream:
log.info('Scanning for existing `marketstored`')
tsdb_is_up = await check_for_service('marketstored')
bfqsn = fqsn.replace('.' + mod.name, '')
open_history_client = getattr(mod, 'open_history_client', None)
assert open_history_client
if (
tsdb_is_up
and opened
and open_history_client
):
log.info('Found existing `marketstored`')
from ..service import marketstore
async with (
marketstore.open_storage_client(fqsn)as storage,
):
# TODO: drop returning the output that we pass in?
await bus.nursery.start(
tsdb_backfill,
mod,
marketstore,
bus,
storage,
fqsn,
bfqsn,
{
1: rt_shm,
60: hist_shm,
},
sample_stream,
feed_is_live,
)
# yield back after client connect with filled shm
task_status.started((
hist_zero_index,
hist_shm,
rt_zero_index,
rt_shm,
))
# indicate to caller that feed can be delivered to
# remote requesting client since we've loaded history
# data that can be used.
some_data_ready.set()
# history retreival loop depending on user interaction
# and thus a small RPC-prot for remotely controllinlg
# what data is loaded for viewing.
await trio.sleep_forever()
# load less history if no tsdb can be found
elif (
not tsdb_is_up
and opened
):
await basic_backfill(
bus,
mod,
bfqsn,
{
1: rt_shm,
60: hist_shm,
},
sample_stream,
feed_is_live,
)
task_status.started((
hist_zero_index,
hist_shm,
rt_zero_index,
rt_shm,
))
some_data_ready.set()
await trio.sleep_forever()
async def allocate_persistent_feed(
bus: _FeedsBus,
sub_registered: trio.Event,

770
piker/data/history.py 100644
View File

@ -0,0 +1,770 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# 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/>.
'''
Historical data business logic for load, backfill and tsdb storage.
'''
from __future__ import annotations
from collections import (
Counter,
)
from datetime import datetime
from functools import partial
import time
from types import ModuleType
from typing import (
Callable,
Optional,
TYPE_CHECKING,
)
import trio
from trio_typing import TaskStatus
import tractor
import pendulum
import numpy as np
from ._util import (
log,
)
from ..service import (
check_for_service,
)
from ._sharedmem import (
maybe_open_shm_array,
ShmArray,
_secs_in_day,
)
from ..accounting._mktinfo import (
unpack_fqme,
)
from ._source import base_iohlc_dtype
from ._sampling import (
open_sample_stream,
)
from ..brokers._util import (
DataUnavailable,
)
if TYPE_CHECKING:
from ..service.marketstore import Storage
from .feed import _FeedsBus
def diff_history(
array: np.ndarray,
timeframe: int,
start_dt: datetime,
end_dt: datetime,
last_tsdb_dt: datetime | None = None
) -> np.ndarray:
# no diffing with tsdb dt index possible..
if last_tsdb_dt is None:
return array
time = array['time']
return array[time > last_tsdb_dt.timestamp()]
async def start_backfill(
mod: ModuleType,
bfqsn: str,
shm: ShmArray,
timeframe: float,
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
last_tsdb_dt: Optional[datetime] = None,
storage: Optional[Storage] = None,
write_tsdb: bool = True,
tsdb_is_up: bool = False,
task_status: TaskStatus[tuple] = trio.TASK_STATUS_IGNORED,
) -> int:
hist: Callable[
[int, datetime, datetime],
tuple[np.ndarray, str]
]
config: dict[str, int]
async with mod.open_history_client(bfqsn) as (hist, config):
# get latest query's worth of history all the way
# back to what is recorded in the tsdb
array, start_dt, end_dt = await hist(
timeframe,
end_dt=None,
)
times = array['time']
# sample period step size in seconds
step_size_s = (
pendulum.from_timestamp(times[-1])
- pendulum.from_timestamp(times[-2])
).seconds
# if the market is open (aka we have a live feed) but the
# history sample step index seems off we report the surrounding
# data and drop into a bp. this case shouldn't really ever
# happen if we're doing history retrieval correctly.
if (
step_size_s == 60
and feed_is_live.is_set()
):
inow = round(time.time())
diff = inow - times[-1]
if abs(diff) > 60:
surr = array[-6:]
diff_in_mins = round(diff/60., ndigits=2)
log.warning(
f'STEP ERROR `{bfqsn}` for period {step_size_s}s:\n'
f'Off by `{diff}` seconds (or `{diff_in_mins}` mins)\n'
'Surrounding 6 time stamps:\n'
f'{list(surr["time"])}\n'
'Here is surrounding 6 samples:\n'
f'{surr}\nn'
)
# uncomment this for a hacker who wants to investigate
# this case manually..
# await tractor.breakpoint()
# frame's worth of sample-period-steps, in seconds
frame_size_s = len(array) * step_size_s
to_push = diff_history(
array,
timeframe,
start_dt,
end_dt,
last_tsdb_dt=last_tsdb_dt,
)
log.info(f'Pushing {to_push.size} to shm!')
shm.push(to_push, prepend=True)
# TODO: *** THIS IS A BUG ***
# we need to only broadcast to subscribers for this fqsn..
# otherwise all fsps get reset on every chart..
await sampler_stream.send('broadcast_all')
# signal that backfilling to tsdb's end datum is complete
bf_done = trio.Event()
# let caller unblock and deliver latest history frame
task_status.started((
start_dt,
end_dt,
bf_done,
))
# based on the sample step size, maybe load a certain amount history
if last_tsdb_dt is None:
if step_size_s not in (1, 60):
raise ValueError(
'`piker` only needs to support 1m and 1s sampling '
'but ur api is trying to deliver a longer '
f'timeframe of {step_size_s} seconds..\n'
'So yuh.. dun do dat brudder.'
)
# when no tsdb "last datum" is provided, we just load
# some near-term history.
periods = {
1: {'days': 1},
60: {'days': 14},
}
if tsdb_is_up:
# do a decently sized backfill and load it into storage.
periods = {
1: {'days': 6},
60: {'years': 6},
}
period_duration = periods[step_size_s]
# NOTE: manually set the "latest" datetime which we intend to
# backfill history "until" so as to adhere to the history
# settings above when the tsdb is detected as being empty.
last_tsdb_dt = start_dt.subtract(**period_duration)
# configure async query throttling
# rate = config.get('rate', 1)
# XXX: legacy from ``trimeter`` code but unsupported now.
# erlangs = config.get('erlangs', 1)
# avoid duplicate history frames with a set of datetime frame
# starts and associated counts of how many duplicates we see
# per time stamp.
starts: Counter[datetime] = Counter()
# inline sequential loop where we simply pass the
# last retrieved start dt to the next request as
# it's end dt.
while end_dt > last_tsdb_dt:
log.debug(
f'Requesting {step_size_s}s frame ending in {start_dt}'
)
try:
array, next_start_dt, end_dt = await hist(
timeframe,
end_dt=start_dt,
)
# broker says there never was or is no more history to pull
except DataUnavailable:
log.warning(
f'NO-MORE-DATA: backend {mod.name} halted history!?'
)
# ugh, what's a better way?
# TODO: fwiw, we probably want a way to signal a throttle
# condition (eg. with ib) so that we can halt the
# request loop until the condition is resolved?
return
if (
next_start_dt in starts
and starts[next_start_dt] <= 6
):
start_dt = min(starts)
log.warning(
f"{bfqsn}: skipping duplicate frame @ {next_start_dt}"
)
starts[start_dt] += 1
continue
elif starts[next_start_dt] > 6:
log.warning(
f'NO-MORE-DATA: backend {mod.name} before {next_start_dt}?'
)
return
# only update new start point if not-yet-seen
start_dt = next_start_dt
starts[start_dt] += 1
assert array['time'][0] == start_dt.timestamp()
diff = end_dt - start_dt
frame_time_diff_s = diff.seconds
expected_frame_size_s = frame_size_s + step_size_s
if frame_time_diff_s > expected_frame_size_s:
# XXX: query result includes a start point prior to our
# expected "frame size" and thus is likely some kind of
# history gap (eg. market closed period, outage, etc.)
# so just report it to console for now.
log.warning(
f'History frame ending @ {end_dt} appears to have a gap:\n'
f'{diff} ~= {frame_time_diff_s} seconds'
)
to_push = diff_history(
array,
timeframe,
start_dt,
end_dt,
last_tsdb_dt=last_tsdb_dt,
)
ln = len(to_push)
if ln:
log.info(f'{ln} bars for {start_dt} -> {end_dt}')
else:
log.warning(
f'{ln} BARS TO PUSH after diff?!: {start_dt} -> {end_dt}'
)
# bail gracefully on shm allocation overrun/full condition
try:
shm.push(to_push, prepend=True)
except ValueError:
log.info(
f'Shm buffer overrun on: {start_dt} -> {end_dt}?'
)
# can't push the entire frame? so
# push only the amount that can fit..
break
log.info(
f'Shm pushed {ln} frame:\n'
f'{start_dt} -> {end_dt}'
)
if (
storage is not None
and write_tsdb
):
log.info(
f'Writing {ln} frame to storage:\n'
f'{start_dt} -> {end_dt}'
)
await storage.write_ohlcv(
f'{bfqsn}.{mod.name}', # lul..
to_push,
timeframe,
)
# TODO: can we only trigger this if the respective
# history in "in view"?!?
# XXX: extremely important, there can be no checkpoints
# in the block above to avoid entering new ``frames``
# values while we're pipelining the current ones to
# memory...
await sampler_stream.send('broadcast_all')
# short-circuit (for now)
bf_done.set()
async def basic_backfill(
bus: _FeedsBus,
mod: ModuleType,
bfqsn: str,
shms: dict[int, ShmArray],
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
) -> None:
# do a legacy incremental backfill from the provider.
log.info('No TSDB (marketstored) found, doing basic backfill..')
# start history backfill task ``backfill_bars()`` is
# a required backend func this must block until shm is
# filled with first set of ohlc bars
for timeframe, shm in shms.items():
try:
await bus.nursery.start(
partial(
start_backfill,
mod,
bfqsn,
shm,
timeframe,
sampler_stream,
feed_is_live,
)
)
except DataUnavailable:
# XXX: timeframe not supported for backend
continue
async def tsdb_backfill(
mod: ModuleType,
marketstore: ModuleType,
bus: _FeedsBus,
storage: Storage,
fqsn: str,
bfqsn: str,
shms: dict[int, ShmArray],
sampler_stream: tractor.MsgStream,
feed_is_live: trio.Event,
task_status: TaskStatus[
tuple[ShmArray, ShmArray]
] = trio.TASK_STATUS_IGNORED,
) -> None:
# TODO: this should be used verbatim for the pure
# shm backfiller approach below.
dts_per_tf: dict[int, datetime] = {}
# start history anal and load missing new data via backend.
for timeframe, shm in shms.items():
# loads a (large) frame of data from the tsdb depending
# on the db's query size limit.
tsdb_history, first_tsdb_dt, last_tsdb_dt = await storage.load(
fqsn,
timeframe=timeframe,
)
broker, *_ = unpack_fqme(fqsn)
try:
(
latest_start_dt,
latest_end_dt,
bf_done,
) = await bus.nursery.start(
partial(
start_backfill,
mod,
bfqsn,
shm,
timeframe,
sampler_stream,
feed_is_live,
last_tsdb_dt=last_tsdb_dt,
tsdb_is_up=True,
storage=storage,
)
)
except DataUnavailable:
# XXX: timeframe not supported for backend
dts_per_tf[timeframe] = (
tsdb_history,
last_tsdb_dt,
None,
None,
None,
)
continue
# tsdb_history = series.get(timeframe)
dts_per_tf[timeframe] = (
tsdb_history,
last_tsdb_dt,
latest_start_dt,
latest_end_dt,
bf_done,
)
# if len(hist_shm.array) < 2:
# TODO: there's an edge case here to solve where if the last
# frame before market close (at least on ib) was pushed and
# there was only "1 new" row pushed from the first backfill
# query-iteration, then the sample step sizing calcs will
# break upstream from here since you can't diff on at least
# 2 steps... probably should also add logic to compute from
# the tsdb series and stash that somewhere as meta data on
# the shm buffer?.. no se.
# unblock the feed bus management task
# assert len(shms[1].array)
task_status.started()
async def back_load_from_tsdb(
timeframe: int,
shm: ShmArray,
):
(
tsdb_history,
last_tsdb_dt,
latest_start_dt,
latest_end_dt,
bf_done,
) = dts_per_tf[timeframe]
# sync to backend history task's query/load completion
if bf_done:
await bf_done.wait()
# TODO: eventually it'd be nice to not require a shm array/buffer
# to accomplish this.. maybe we can do some kind of tsdb direct to
# graphics format eventually in a child-actor?
# TODO: see if there's faster multi-field reads:
# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
# re-index with a `time` and index field
prepend_start = shm._first.value
array = shm.array
if len(array):
shm_last_dt = pendulum.from_timestamp(shm.array[0]['time'])
else:
shm_last_dt = None
if last_tsdb_dt:
assert shm_last_dt >= last_tsdb_dt
# do diff against start index of last frame of history and only
# fill in an amount of datums from tsdb allows for most recent
# to be loaded into mem *before* tsdb data.
if (
last_tsdb_dt
and latest_start_dt
):
backfilled_size_s = (
latest_start_dt - last_tsdb_dt
).seconds
# if the shm buffer len is not large enough to contain
# all missing data between the most recent backend-queried frame
# and the most recent dt-index in the db we warn that we only
# want to load a portion of the next tsdb query to fill that
# space.
log.info(
f'{backfilled_size_s} seconds worth of {timeframe}s loaded'
)
# Load TSDB history into shm buffer (for display) if there is
# remaining buffer space.
if (
len(tsdb_history)
):
# load the first (smaller) bit of history originally loaded
# above from ``Storage.load()``.
to_push = tsdb_history[-prepend_start:]
shm.push(
to_push,
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
prepend=True,
# update_first=False,
# start=prepend_start,
field_map=marketstore.ohlc_key_map,
)
tsdb_last_frame_start = tsdb_history['Epoch'][0]
if timeframe == 1:
times = shm.array['time']
assert (times[1] - times[0]) == 1
# load as much from storage into shm possible (depends on
# user's shm size settings).
while shm._first.value > 0:
tsdb_history = await storage.read_ohlcv(
fqsn,
timeframe=timeframe,
end=tsdb_last_frame_start,
)
# empty query
if not len(tsdb_history):
break
next_start = tsdb_history['Epoch'][0]
if next_start >= tsdb_last_frame_start:
# no earlier data detected
break
else:
tsdb_last_frame_start = next_start
prepend_start = shm._first.value
to_push = tsdb_history[-prepend_start:]
# insert the history pre a "days worth" of samples
# to leave some real-time buffer space at the end.
shm.push(
to_push,
prepend=True,
field_map=marketstore.ohlc_key_map,
)
log.info(f'Loaded {to_push.shape} datums from storage')
# manually trigger step update to update charts/fsps
# which need an incremental update.
# NOTE: the way this works is super duper
# un-intuitive right now:
# - the broadcaster fires a msg to the fsp subsystem.
# - fsp subsys then checks for a sample step diff and
# possibly recomputes prepended history.
# - the fsp then sends back to the parent actor
# (usually a chart showing graphics for said fsp)
# which tells the chart to conduct a manual full
# graphics loop cycle.
await sampler_stream.send('broadcast_all')
# TODO: write new data to tsdb to be ready to for next read.
# backload from db (concurrently per timeframe) once backfilling of
# recent dat a loaded from the backend provider (see
# ``bf_done.wait()`` call).
async with trio.open_nursery() as nurse:
for timeframe, shm in shms.items():
nurse.start_soon(
back_load_from_tsdb,
timeframe,
shm,
)
async def manage_history(
mod: ModuleType,
bus: _FeedsBus,
fqsn: str,
some_data_ready: trio.Event,
feed_is_live: trio.Event,
timeframe: float = 60, # in seconds
task_status: TaskStatus[
tuple[ShmArray, ShmArray]
] = trio.TASK_STATUS_IGNORED,
) -> None:
'''
Load and manage historical data including the loading of any
available series from `marketstore` as well as conducting real-time
update of both that existing db and the allocated shared memory
buffer.
'''
# TODO: is there a way to make each shm file key
# actor-tree-discovery-addr unique so we avoid collisions
# when doing tests which also allocate shms for certain instruments
# that may be in use on the system by some other running daemons?
# from tractor._state import _runtime_vars
# port = _runtime_vars['_root_mailbox'][1]
uid = tractor.current_actor().uid
name, uuid = uid
service = name.rstrip(f'.{mod.name}')
# (maybe) allocate shm array for this broker/symbol which will
# be used for fast near-term history capture and processing.
hist_shm, opened = maybe_open_shm_array(
# key=f'{fqsn}_hist_p{port}',
key=f'piker.{service}[{uuid[:16]}.{fqsn}.hist',
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
)
hist_zero_index = hist_shm.index - 1
# TODO: history validation
if not opened:
raise RuntimeError(
"Persistent shm for sym was already open?!"
)
rt_shm, opened = maybe_open_shm_array(
# key=f'{fqsn}_rt_p{port}',
# key=f'piker.{service}.{fqsn}_rt.{uuid}',
key=f'piker.{service}[{uuid[:16]}.{fqsn}.rt',
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
size=3*_secs_in_day,
)
# (for now) set the rt (hft) shm array with space to prepend
# only a few days worth of 1s history.
days = 2
start_index = days*_secs_in_day
rt_shm._first.value = start_index
rt_shm._last.value = start_index
rt_zero_index = rt_shm.index - 1
if not opened:
raise RuntimeError(
"Persistent shm for sym was already open?!"
)
# register 1s and 1m buffers with the global incrementer task
async with open_sample_stream(
period_s=1.,
shms_by_period={
1.: rt_shm.token,
60.: hist_shm.token,
},
# NOTE: we want to only open a stream for doing broadcasts on
# backfill operations, not receive the sample index-stream
# (since there's no code in this data feed layer that needs to
# consume it).
open_index_stream=True,
sub_for_broadcasts=False,
) as sample_stream:
log.info('Scanning for existing `marketstored`')
tsdb_is_up = await check_for_service('marketstored')
bfqsn = fqsn.replace('.' + mod.name, '')
open_history_client = getattr(mod, 'open_history_client', None)
assert open_history_client
if (
tsdb_is_up
and opened
and open_history_client
):
log.info('Found existing `marketstored`')
from ..service import marketstore
async with (
marketstore.open_storage_client(fqsn)as storage,
):
# TODO: drop returning the output that we pass in?
await bus.nursery.start(
tsdb_backfill,
mod,
marketstore,
bus,
storage,
fqsn,
bfqsn,
{
1: rt_shm,
60: hist_shm,
},
sample_stream,
feed_is_live,
)
# yield back after client connect with filled shm
task_status.started((
hist_zero_index,
hist_shm,
rt_zero_index,
rt_shm,
))
# indicate to caller that feed can be delivered to
# remote requesting client since we've loaded history
# data that can be used.
some_data_ready.set()
# history retreival loop depending on user interaction
# and thus a small RPC-prot for remotely controllinlg
# what data is loaded for viewing.
await trio.sleep_forever()
# load less history if no tsdb can be found
elif (
not tsdb_is_up
and opened
):
await basic_backfill(
bus,
mod,
bfqsn,
{
1: rt_shm,
60: hist_shm,
},
sample_stream,
feed_is_live,
)
task_status.started((
hist_zero_index,
hist_shm,
rt_zero_index,
rt_shm,
))
some_data_ready.set()
await trio.sleep_forever()