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Merge pull request #169 from pikers/tractor_open_stream_from 

Port to new tractor stream api
binance_backend
goodboy 2021-05-04 10:41:49 -04:00 committed by GitHub
parent a89da98141 c08f192f77
commit 9de02321d8
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7 changed files with 699 additions and 656 deletions
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94
piker/brokers/data.py
View File

@ -20,7 +20,6 @@ Real-time data feed machinery
import time
from functools import partial
from dataclasses import dataclass, field
from itertools import cycle
import socket
import json
from types import ModuleType
@ -31,7 +30,6 @@ from typing import (
Sequence
)
import contextlib
from operator import itemgetter
import trio
import tractor
@ -182,6 +180,8 @@ async def symbol_data(broker: str, tickers: List[str]):
_feeds_cache = {}
# TODO: use the version of this from .api ?
@asynccontextmanager
async def get_cached_feed(
brokername: str,
@ -326,6 +326,7 @@ class DataFeed:
self.quote_gen = None
self._symbol_data_cache: Dict[str, Any] = {}
@asynccontextmanager
async def open_stream(
self,
symbols: Sequence[str],
@ -351,40 +352,32 @@ class DataFeed:
# subscribe for tickers (this performs a possible filtering
# where invalid symbols are discarded)
sd = await self.portal.run(
"piker.brokers.data",
'symbol_data',
symbol_data,
broker=self.brokermod.name,
tickers=symbols
)
self._symbol_data_cache.update(sd)
if test:
# stream from a local test file
quote_gen = await self.portal.run(
"piker.brokers.data",
'stream_from_file',
filename=test,
)
else:
log.info(f"Starting new stream for {symbols}")
# start live streaming from broker daemon
quote_gen = await self.portal.run(
"piker.brokers.data",
'start_quote_stream',
broker=self.brokermod.name,
symbols=symbols,
feed_type=feed_type,
rate=rate,
)
log.info(f"Starting new stream for {symbols}")
# get first quotes response
log.debug(f"Waiting on first quote for {symbols}...")
quotes = {}
quotes = await quote_gen.__anext__()
# start live streaming from broker daemon
async with self.portal.open_stream_from(
start_quote_stream,
broker=self.brokermod.name,
symbols=symbols,
feed_type=feed_type,
rate=rate,
) as quote_gen:
# get first quotes response
log.debug(f"Waiting on first quote for {symbols}...")
quotes = {}
quotes = await quote_gen.__anext__()
self.quote_gen = quote_gen
self.first_quotes = quotes
yield quote_gen, quotes
self.quote_gen = quote_gen
self.first_quotes = quotes
return quote_gen, quotes
except Exception:
if self.quote_gen:
await self.quote_gen.aclose()
@ -406,8 +399,7 @@ class DataFeed:
"""Call a broker ``Client`` method using RPC and return result.
"""
return await self.portal.run(
'piker.brokers.data',
'call_client',
call_client,
broker=self.brokermod.name,
methname=method,
**kwargs
@ -425,27 +417,29 @@ async def stream_to_file(
"""Record client side received quotes to file ``filename``.
"""
# an async generator instance
agen = await portal.run(
"piker.brokers.data", 'start_quote_stream',
broker=brokermod.name, symbols=tickers)
async with portal.open_stream_from(
start_quote_stream,
broker=brokermod.name,
symbols=tickers
) as agen:
fname = filename or f'{watchlist_name}.jsonstream'
with open(fname, 'a') as f:
async for quotes in agen:
f.write(json.dumps(quotes))
f.write('\n--\n')
fname = filename or f'{watchlist_name}.jsonstream'
with open(fname, 'a') as f:
async for quotes in agen:
f.write(json.dumps(quotes))
f.write('\n--\n')
return fname
return fname
async def stream_from_file(
filename: str,
):
with open(filename, 'r') as quotes_file:
content = quotes_file.read()
# async def stream_from_file(
# filename: str,
# ):
# with open(filename, 'r') as quotes_file:
# content = quotes_file.read()
pkts = content.split('--')[:-1] # simulate 2 separate quote packets
payloads = [json.loads(pkt) for pkt in pkts]
for payload in cycle(payloads):
yield payload
await trio.sleep(0.3)
# pkts = content.split('--')[:-1] # simulate 2 separate quote packets
# payloads = [json.loads(pkt) for pkt in pkts]
# for payload in cycle(payloads):
# yield payload
# await trio.sleep(0.3)

27
piker/clearing/_client.py
View File

@ -246,23 +246,24 @@ async def open_ems(
async with maybe_open_emsd(broker) as portal:
trades_stream = await portal.run(
async with portal.open_stream_from(
_emsd_main,
client_actor_name=actor.name,
broker=broker,
symbol=symbol.key,
)
with trio.fail_after(10):
await book._ready_to_receive.wait()
) as trades_stream:
with trio.fail_after(10):
await book._ready_to_receive.wait()
try:
yield book, trades_stream
try:
yield book, trades_stream
finally:
# TODO: we want to eventually keep this up (by having
# the exec loop keep running in the pikerd tree) but for
# now we have to kill the context to avoid backpressure
# build-up on the shm write loop.
with trio.CancelScope(shield=True):
await trades_stream.aclose()
finally:
# TODO: we want to eventually keep this up (by having
# the exec loop keep running in the pikerd tree) but for
# now we have to kill the context to avoid backpressure
# build-up on the shm write loop.
with trio.CancelScope(shield=True):
await trades_stream.aclose()

237
piker/clearing/_ems.py
View File

@ -339,130 +339,131 @@ async def process_broker_trades(
"""
broker = feed.mod.name
with trio.fail_after(5):
# in the paper engine case this is just a mem receive channel
trades_stream = await feed.recv_trades_data()
# TODO: make this a context
# in the paper engine case this is just a mem receive channel
async with feed.receive_trades_data() as trades_stream:
first = await trades_stream.__anext__()
# startup msg expected as first from broker backend
assert first['local_trades'] == 'start'
task_status.started()
# startup msg expected as first from broker backend
assert first['local_trades'] == 'start'
task_status.started()
async for event in trades_stream:
async for event in trades_stream:
name, msg = event['local_trades']
name, msg = event['local_trades']
log.info(f'Received broker trade event:\n{pformat(msg)}')
log.info(f'Received broker trade event:\n{pformat(msg)}')
if name == 'position':
msg['resp'] = 'position'
# relay through
await ctx.send_yield(msg)
continue
# Get the broker (order) request id, this **must** be normalized
# into messaging provided by the broker backend
reqid = msg['reqid']
# make response packet to EMS client(s)
oid = book._broker2ems_ids.get(reqid)
if oid is None:
# paper engine race case: ``Client.submit_limit()`` hasn't
# returned yet and provided an output reqid to register
# locally, so we need to retreive the oid that was already
# packed at submission since we already know it ahead of
# time
paper = msg.get('paper_info')
if paper:
oid = paper['oid']
else:
msg.get('external')
if not msg:
log.error(f"Unknown trade event {event}")
if name == 'position':
msg['resp'] = 'position'
# relay through
await ctx.send_yield(msg)
continue
resp = {
'resp': None, # placeholder
'oid': oid
}
# Get the broker (order) request id, this **must** be normalized
# into messaging provided by the broker backend
reqid = msg['reqid']
if name in (
'error',
):
# TODO: figure out how this will interact with EMS clients
# for ex. on an error do we react with a dark orders
# management response, like cancelling all dark orders?
# make response packet to EMS client(s)
oid = book._broker2ems_ids.get(reqid)
# This looks like a supervision policy for pending orders on
# some unexpected failure - something we need to think more
# about. In most default situations, with composed orders
# (ex. brackets), most brokers seem to use a oca policy.
if oid is None:
# paper engine race case: ``Client.submit_limit()`` hasn't
# returned yet and provided an output reqid to register
# locally, so we need to retreive the oid that was already
# packed at submission since we already know it ahead of
# time
paper = msg.get('paper_info')
if paper:
oid = paper['oid']
message = msg['message']
# XXX should we make one when it's blank?
log.error(pformat(message))
# TODO: getting this bs, prolly need to handle status messages
# 'Market data farm connection is OK:usfarm.nj'
# another stupid ib error to handle
# if 10147 in message: cancel
# don't relay message to order requester client
continue
elif name in (
'status',
):
# TODO: templating the ib statuses in comparison with other
# brokers is likely the way to go:
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
# short list:
# - PendingSubmit
# - PendingCancel
# - PreSubmitted (simulated orders)
# - ApiCancelled (cancelled by client before submission to routing)
# - Cancelled
# - Filled
# - Inactive (reject or cancelled but not by trader)
# everyone doin camel case
status = msg['status'].lower()
if status == 'filled':
# conditional execution is fully complete, no more
# fills for the noted order
if not msg['remaining']:
resp['resp'] = 'broker_executed'
log.info(f'Execution for {oid} is complete!')
# just log it
else:
log.info(f'{broker} filled {msg}')
msg.get('external')
if not msg:
log.error(f"Unknown trade event {event}")
else:
# one of (submitted, cancelled)
resp['resp'] = 'broker_' + status
continue
elif name in (
'fill',
):
# proxy through the "fill" result(s)
resp['resp'] = 'broker_filled'
resp.update(msg)
resp = {
'resp': None, # placeholder
'oid': oid
}
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
if name in (
'error',
):
# TODO: figure out how this will interact with EMS clients
# for ex. on an error do we react with a dark orders
# management response, like cancelling all dark orders?
# respond to requesting client
await ctx.send_yield(resp)
# This looks like a supervision policy for pending orders on
# some unexpected failure - something we need to think more
# about. In most default situations, with composed orders
# (ex. brackets), most brokers seem to use a oca policy.
message = msg['message']
# XXX should we make one when it's blank?
log.error(pformat(message))
# TODO: getting this bs, prolly need to handle status messages
# 'Market data farm connection is OK:usfarm.nj'
# another stupid ib error to handle
# if 10147 in message: cancel
# don't relay message to order requester client
continue
elif name in (
'status',
):
# TODO: templating the ib statuses in comparison with other
# brokers is likely the way to go:
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
# short list:
# - PendingSubmit
# - PendingCancel
# - PreSubmitted (simulated orders)
# - ApiCancelled (cancelled by client before submission
# to routing)
# - Cancelled
# - Filled
# - Inactive (reject or cancelled but not by trader)
# everyone doin camel case
status = msg['status'].lower()
if status == 'filled':
# conditional execution is fully complete, no more
# fills for the noted order
if not msg['remaining']:
resp['resp'] = 'broker_executed'
log.info(f'Execution for {oid} is complete!')
# just log it
else:
log.info(f'{broker} filled {msg}')
else:
# one of (submitted, cancelled)
resp['resp'] = 'broker_' + status
elif name in (
'fill',
):
# proxy through the "fill" result(s)
resp['resp'] = 'broker_filled'
resp.update(msg)
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
# respond to requesting client
await ctx.send_yield(resp)
async def process_order_cmds(
@ -675,17 +676,17 @@ async def _emsd_main(
# acting as an EMS client and will submit orders) to
# receive requests pushed over a tractor stream
# using (for now) an async generator.
order_stream = await portal.run(
async with portal.open_stream_from(
send_order_cmds,
symbol_key=symbol,
)
) as order_stream:
# start inbound order request processing
await process_order_cmds(
ctx,
order_stream,
symbol,
feed,
client,
dark_book,
)
# start inbound order request processing
await process_order_cmds(
ctx,
order_stream,
symbol,
feed,
client,
dark_book,
)

119
piker/data/feed.py
View File

@ -51,6 +51,7 @@ from ._sampling import (
iter_ohlc_periods,
sample_and_broadcast,
)
from .ingest import get_ingestormod
log = get_logger(__name__)
@ -302,6 +303,7 @@ class Feed:
async def receive(self) -> dict:
return await self.stream.__anext__()
@asynccontextmanager
async def index_stream(
self,
delay_s: Optional[int] = None
@ -312,14 +314,16 @@ class Feed:
# XXX: this should be singleton on a host,
# a lone broker-daemon per provider should be
# created for all practical purposes
self._index_stream = await self._brokerd_portal.run(
async with self._brokerd_portal.open_stream_from(
iter_ohlc_periods,
delay_s=delay_s or self._max_sample_rate,
)
) as self._index_stream:
yield self._index_stream
else:
yield self._index_stream
return self._index_stream
async def recv_trades_data(self) -> AsyncIterator[dict]:
@asynccontextmanager
async def receive_trades_data(self) -> AsyncIterator[dict]:
if not getattr(self.mod, 'stream_trades', False):
log.warning(
@ -333,7 +337,7 @@ class Feed:
# using the ``_.set_fake_trades_stream()`` method
if self._trade_stream is None:
self._trade_stream = await self._brokerd_portal.run(
async with self._brokerd_portal.open_stream_from(
self.mod.stream_trades,
@ -342,9 +346,10 @@ class Feed:
# in messages, though we could probably use
# more then one?
topics=['local_trades'],
)
return self._trade_stream
) as self._trade_stream:
yield self._trade_stream
else:
yield self._trade_stream
def sym_to_shm_key(
@ -373,64 +378,64 @@ async def open_feed(
# TODO: do all!
sym = symbols[0]
async with maybe_spawn_brokerd(
brokername,
loglevel=loglevel,
) as portal:
# TODO: compress these to one line with py3.9+
async with maybe_spawn_brokerd(brokername, loglevel=loglevel) as portal:
async with portal.open_stream_from(
stream = await portal.run(
attach_feed_bus,
brokername=brokername,
symbol=sym,
loglevel=loglevel,
)
loglevel=loglevel
# TODO: can we make this work better with the proposed
# context based bidirectional streaming style api proposed in:
# https://github.com/goodboy/tractor/issues/53
init_msg = await stream.receive()
) as stream:
# we can only read from shm
shm = attach_shm_array(
token=init_msg[sym]['shm_token'],
readonly=True,
)
# TODO: can we make this work better with the proposed
# context based bidirectional streaming style api proposed in:
# https://github.com/goodboy/tractor/issues/53
init_msg = await stream.receive()
feed = Feed(
name=brokername,
stream=stream,
shm=shm,
mod=mod,
_brokerd_portal=portal,
)
ohlc_sample_rates = []
for sym, data in init_msg.items():
si = data['symbol_info']
ohlc_sample_rates.append(data['sample_rate'])
symbol = Symbol(
key=sym,
type_key=si.get('asset_type', 'forex'),
tick_size=si.get('price_tick_size', 0.01),
lot_tick_size=si.get('lot_tick_size', 0.0),
# we can only read from shm
shm = attach_shm_array(
token=init_msg[sym]['shm_token'],
readonly=True,
)
symbol.broker_info[brokername] = si
feed.symbols[sym] = symbol
feed = Feed(
name=brokername,
stream=stream,
shm=shm,
mod=mod,
_brokerd_portal=portal,
)
ohlc_sample_rates = []
# cast shm dtype to list... can't member why we need this
shm_token = data['shm_token']
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
assert shm_token == shm.token # sanity
for sym, data in init_msg.items():
feed._max_sample_rate = max(ohlc_sample_rates)
si = data['symbol_info']
ohlc_sample_rates.append(data['sample_rate'])
try:
yield feed
symbol = Symbol(
key=sym,
type_key=si.get('asset_type', 'forex'),
tick_size=si.get('price_tick_size', 0.01),
lot_tick_size=si.get('lot_tick_size', 0.0),
)
symbol.broker_info[brokername] = si
finally:
# always cancel the far end producer task
with trio.CancelScope(shield=True):
await stream.aclose()
feed.symbols[sym] = symbol
# cast shm dtype to list... can't member why we need this
shm_token = data['shm_token']
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
assert shm_token == shm.token # sanity
feed._max_sample_rate = max(ohlc_sample_rates)
try:
yield feed
finally:
# always cancel the far end producer task
with trio.CancelScope(shield=True):
await stream.aclose()

31
piker/fsp/__init__.py
View File

@ -167,24 +167,25 @@ async def cascade(
# Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed.
async for msg in await feed.index_stream():
async with feed.index_stream() as stream:
async for msg in stream:
new_len = len(src.array)
new_len = len(src.array)
if new_len > last_len + 1:
# respawn the signal compute task if the source
# signal has been updated
cs.cancel()
cs = await n.start(fsp_compute)
if new_len > last_len + 1:
# respawn the signal compute task if the source
# signal has been updated
cs.cancel()
cs = await n.start(fsp_compute)
# TODO: adopt an incremental update engine/approach
# where possible here eventually!
# TODO: adopt an incremental update engine/approach
# where possible here eventually!
# read out last shm row
array = dst.array
last = array[-1:].copy()
# read out last shm row
array = dst.array
last = array[-1:].copy()
# write new row to the shm buffer
dst.push(last)
# write new row to the shm buffer
dst.push(last)
last_len = new_len
last_len = new_len

641
piker/ui/_chart.py
View File

@ -19,6 +19,7 @@ High level Qt chart widgets.
"""
from typing import Tuple, Dict, Any, Optional, Callable
from types import ModuleType
from functools import partial
from PyQt5 import QtCore, QtGui
@ -26,6 +27,7 @@ import numpy as np
import pyqtgraph as pg
import tractor
import trio
from trio_typing import TaskStatus
from ._axes import (
DynamicDateAxis,
@ -53,6 +55,7 @@ from ._style import (
_bars_to_left_in_follow_mode,
)
from ..data._source import Symbol
from ..data._sharedmem import ShmArray
from .. import brokers
from .. import data
from ..data import maybe_open_shm_array
@ -128,7 +131,8 @@ class ChartSpace(QtGui.QWidget):
# self.toolbar_layout.addWidget(self.strategy_box)
def load_symbol(
self,
symbol: Symbol,
brokername: str,
symbol_key: str,
data: np.ndarray,
ohlc: bool = True,
) -> None:
@ -136,12 +140,6 @@ class ChartSpace(QtGui.QWidget):
Expects a ``numpy`` structured array containing all the ohlcv fields.
"""
# XXX: let's see if this causes mem problems
self.window.setWindowTitle(
f'{symbol.key}@{symbol.brokers} '
f'tick:{symbol.tick_size}'
)
# TODO: symbol search
# # of course this doesn't work :eyeroll:
# h = _font.boundingRect('Ag').height()
@ -151,19 +149,18 @@ class ChartSpace(QtGui.QWidget):
# self.symbol_label.setText(f'/`{symbol}`')
linkedcharts = self._chart_cache.setdefault(
symbol.key,
LinkedSplitCharts(symbol)
symbol_key,
LinkedSplitCharts(self)
)
self.linkedcharts = linkedcharts
# remove any existing plots
if not self.v_layout.isEmpty():
self.v_layout.removeWidget(linkedcharts)
main_chart = linkedcharts.plot_ohlc_main(symbol, data)
self.v_layout.addWidget(linkedcharts)
return linkedcharts, main_chart
return linkedcharts
# TODO: add signalling painter system
# def add_signals(self):
@ -187,13 +184,14 @@ class LinkedSplitCharts(QtGui.QWidget):
def __init__(
self,
symbol: Symbol,
chart_space: ChartSpace,
) -> None:
super().__init__()
self.signals_visible: bool = False
self._cursor: Cursor = None # crosshair graphics
self.chart: ChartPlotWidget = None # main (ohlc) chart
self.subplots: Dict[Tuple[str, ...], ChartPlotWidget] = {}
self.chart_space = chart_space
self.xaxis = DynamicDateAxis(
orientation='bottom',
@ -215,7 +213,7 @@ class LinkedSplitCharts(QtGui.QWidget):
self.layout.addWidget(self.splitter)
# state tracker?
self._symbol: Symbol = symbol
self._symbol: Symbol = None
@property
def symbol(self) -> Symbol:
@ -939,135 +937,6 @@ async def test_bed(
# rlabel.setPos(vb_right - 2*w, d_coords.y())
async def _async_main(
# implicit required argument provided by ``qtractor_run()``
widgets: Dict[str, Any],
sym: str,
brokername: str,
loglevel: str,
) -> None:
"""Main Qt-trio routine invoked by the Qt loop with
the widgets ``dict``.
"""
chart_app = widgets['main']
# attempt to configure DPI aware font size
_font.configure_to_dpi(current_screen())
# chart_app.init_search()
# historical data fetch
brokermod = brokers.get_brokermod(brokername)
async with data.open_feed(
brokername,
[sym],
loglevel=loglevel,
) as feed:
ohlcv = feed.shm
bars = ohlcv.array
symbol = feed.symbols[sym]
# load in symbol's ohlc data
linked_charts, chart = chart_app.load_symbol(symbol, bars)
# plot historical vwap if available
wap_in_history = False
if brokermod._show_wap_in_history:
if 'bar_wap' in bars.dtype.fields:
wap_in_history = True
chart.draw_curve(
name='bar_wap',
data=bars,
add_label=False,
)
# size view to data once at outset
chart._set_yrange()
# TODO: a data view api that makes this less shit
chart._shm = ohlcv
# TODO: eventually we'll support some kind of n-compose syntax
fsp_conf = {
'rsi': {
'period': 14,
'chart_kwargs': {
'static_yrange': (0, 100),
},
},
}
# make sure that the instrument supports volume history
# (sometimes this is not the case for some commodities and
# derivatives)
volm = ohlcv.array['volume']
if (
np.all(np.isin(volm, -1)) or
np.all(np.isnan(volm))
):
log.warning(
f"{sym} does not seem to have volume info,"
" dropping volume signals")
else:
fsp_conf.update({
'vwap': {
'overlay': True,
'anchor': 'session',
},
})
async with trio.open_nursery() as n:
# load initial fsp chain (otherwise known as "indicators")
n.start_soon(
spawn_fsps,
linked_charts,
fsp_conf,
sym,
ohlcv,
brokermod,
loglevel,
)
# start graphics update loop(s)after receiving first live quote
n.start_soon(
chart_from_quotes,
chart,
feed.stream,
ohlcv,
wap_in_history,
)
# wait for a first quote before we start any update tasks
quote = await feed.receive()
log.info(f'Received first quote {quote}')
n.start_soon(
check_for_new_bars,
feed,
# delay,
ohlcv,
linked_charts
)
# interactive testing
# n.start_soon(
# test_bed,
# ohlcv,
# chart,
# linked_charts,
# )
await start_order_mode(chart, symbol, brokername)
async def chart_from_quotes(
chart: ChartPlotWidget,
stream,
@ -1245,7 +1114,7 @@ async def spawn_fsps(
"""
# spawns sub-processes which execute cpu bound FSP code
async with tractor.open_nursery() as n:
async with tractor.open_nursery(loglevel=loglevel) as n:
# spawns local task that consume and chart data streams from
# sub-procs
@ -1280,66 +1149,36 @@ async def spawn_fsps(
conf['shm'] = shm
# spawn closure, can probably define elsewhere
async def spawn_fsp_daemon(
fsp_name: str,
display_name: str,
conf: dict,
):
"""Start an fsp subactor async.
portal = await n.start_actor(
enable_modules=['piker.fsp'],
name=display_name,
)
"""
# print(f'FSP NAME: {fsp_name}')
portal = await n.run_in_actor(
# subactor entrypoint
fsp.cascade,
# name as title of sub-chart
name=display_name,
brokername=brokermod.name,
src_shm_token=src_shm.token,
dst_shm_token=conf['shm'].token,
symbol=sym,
fsp_func_name=fsp_name,
# tractor config
loglevel=loglevel,
)
stream = await portal.result()
# receive last index for processed historical
# data-array as first msg
_ = await stream.receive()
conf['stream'] = stream
conf['portal'] = portal
# new local task
# init async
ln.start_soon(
spawn_fsp_daemon,
run_fsp,
portal,
linked_charts,
brokermod,
sym,
src_shm,
fsp_func_name,
display_name,
conf,
)
# blocks here until all daemons up
# start and block on update loops
async with trio.open_nursery() as ln:
for fsp_func_name, conf in fsps.items():
ln.start_soon(
update_signals,
linked_charts,
fsp_func_name,
conf,
)
# blocks here until all fsp actors complete
async def update_signals(
async def run_fsp(
portal: tractor._portal.Portal,
linked_charts: LinkedSplitCharts,
brokermod: ModuleType,
sym: str,
src_shm: ShmArray,
fsp_func_name: str,
display_name: str,
conf: Dict[str, Any],
) -> None:
@ -1348,96 +1187,117 @@ async def update_signals(
This is called once for each entry in the fsp
config map.
"""
shm = conf['shm']
async with portal.open_stream_from(
if conf.get('overlay'):
chart = linked_charts.chart
chart.draw_curve(
name='vwap',
data=shm.array,
overlay=True,
)
last_val_sticky = None
# subactor entrypoint
fsp.cascade,
else:
# name as title of sub-chart
brokername=brokermod.name,
src_shm_token=src_shm.token,
dst_shm_token=conf['shm'].token,
symbol=sym,
fsp_func_name=fsp_func_name,
chart = linked_charts.add_plot(
name=fsp_func_name,
array=shm.array,
) as stream:
# curve by default
ohlc=False,
# receive last index for processed historical
# data-array as first msg
_ = await stream.receive()
# settings passed down to ``ChartPlotWidget``
**conf.get('chart_kwargs', {})
# static_yrange=(0, 100),
)
conf['stream'] = stream
conf['portal'] = portal
# display contents labels asap
chart.update_contents_labels(
len(shm.array) - 1,
# fsp_func_name
)
shm = conf['shm']
# read last value
array = shm.array
value = array[fsp_func_name][-1]
if conf.get('overlay'):
chart = linked_charts.chart
chart.draw_curve(
name='vwap',
data=shm.array,
overlay=True,
)
last_val_sticky = None
last_val_sticky = chart._ysticks[chart.name]
last_val_sticky.update_from_data(-1, value)
else:
chart.update_curve_from_array(fsp_func_name, array)
chart = linked_charts.add_plot(
name=fsp_func_name,
array=shm.array,
chart._shm = shm
# curve by default
ohlc=False,
# TODO: figure out if we can roll our own `FillToThreshold` to
# get brush filled polygons for OS/OB conditions.
# ``pg.FillBetweenItems`` seems to be one technique using
# generic fills between curve types while ``PlotCurveItem`` has
# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
# might be the best solution?
# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
# graphics.curve.setBrush(50, 50, 200, 100)
# graphics.curve.setFillLevel(50)
# settings passed down to ``ChartPlotWidget``
**conf.get('chart_kwargs', {})
# static_yrange=(0, 100),
)
if fsp_func_name == 'rsi':
# add moveable over-[sold/bought] lines
# and labels only for the 70/30 lines
level_line(chart, 20)
level_line(chart, 30, orient_v='top')
level_line(chart, 70, orient_v='bottom')
level_line(chart, 80, orient_v='top')
# display contents labels asap
chart.update_contents_labels(
len(shm.array) - 1,
# fsp_func_name
)
chart._set_yrange()
# read last value
array = shm.array
value = array[fsp_func_name][-1]
stream = conf['stream']
# update chart graphics
async for value in stream:
# TODO: provide a read sync mechanism to avoid this polling.
# the underlying issue is that a backfill and subsequent shm
# array first/last index update could result in an empty array
# read here since the stream is never torn down on the
# re-compute steps.
read_tries = 2
while read_tries > 0:
try:
# read last
array = shm.array
value = array[-1][fsp_func_name]
break
except IndexError:
read_tries -= 1
continue
if last_val_sticky:
last_val_sticky = chart._ysticks[chart.name]
last_val_sticky.update_from_data(-1, value)
# update graphics
chart.update_curve_from_array(fsp_func_name, array)
chart.update_curve_from_array(fsp_func_name, array)
chart._shm = shm
# TODO: figure out if we can roll our own `FillToThreshold` to
# get brush filled polygons for OS/OB conditions.
# ``pg.FillBetweenItems`` seems to be one technique using
# generic fills between curve types while ``PlotCurveItem`` has
# logic inside ``.paint()`` for ``self.opts['fillLevel']`` which
# might be the best solution?
# graphics = chart.update_from_array(chart.name, array[fsp_func_name])
# graphics.curve.setBrush(50, 50, 200, 100)
# graphics.curve.setFillLevel(50)
if fsp_func_name == 'rsi':
# add moveable over-[sold/bought] lines
# and labels only for the 70/30 lines
level_line(chart, 20)
level_line(chart, 30, orient_v='top')
level_line(chart, 70, orient_v='bottom')
level_line(chart, 80, orient_v='top')
chart._set_yrange()
stream = conf['stream']
# update chart graphics
async for value in stream:
# TODO: provide a read sync mechanism to avoid this polling.
# the underlying issue is that a backfill and subsequent shm
# array first/last index update could result in an empty array
# read here since the stream is never torn down on the
# re-compute steps.
read_tries = 2
while read_tries > 0:
try:
# read last
array = shm.array
value = array[-1][fsp_func_name]
break
except IndexError:
read_tries -= 1
continue
if last_val_sticky:
last_val_sticky.update_from_data(-1, value)
# update graphics
chart.update_curve_from_array(fsp_func_name, array)
async def check_for_new_bars(feed, ohlcv, linked_charts):
@ -1453,45 +1313,226 @@ async def check_for_new_bars(feed, ohlcv, linked_charts):
price_chart = linked_charts.chart
price_chart.default_view()
async for index in await feed.index_stream():
async with feed.index_stream() as stream:
async for index in stream:
# update chart historical bars graphics by incrementing
# a time step and drawing the history and new bar
# update chart historical bars graphics by incrementing
# a time step and drawing the history and new bar
# When appending a new bar, in the time between the insert
# from the writing process and the Qt render call, here,
# the index of the shm buffer may be incremented and the
# (render) call here might read the new flat bar appended
# to the buffer (since -1 index read). In that case H==L and the
# body will be set as None (not drawn) on what this render call
# *thinks* is the curent bar (even though it's reading data from
# the newly inserted flat bar.
#
# HACK: We need to therefore write only the history (not the
# current bar) and then either write the current bar manually
# or place a cursor for visual cue of the current time step.
# When appending a new bar, in the time between the insert
# from the writing process and the Qt render call, here,
# the index of the shm buffer may be incremented and the
# (render) call here might read the new flat bar appended
# to the buffer (since -1 index read). In that case H==L and the
# body will be set as None (not drawn) on what this render call
# *thinks* is the curent bar (even though it's reading data from
# the newly inserted flat bar.
#
# HACK: We need to therefore write only the history (not the
# current bar) and then either write the current bar manually
# or place a cursor for visual cue of the current time step.
# XXX: this puts a flat bar on the current time step
# TODO: if we eventually have an x-axis time-step "cursor"
# we can get rid of this since it is extra overhead.
price_chart.update_ohlc_from_array(
price_chart.name,
ohlcv.array,
just_history=False,
)
for name in price_chart._overlays:
price_chart.update_curve_from_array(
name,
price_chart._arrays[name]
# XXX: this puts a flat bar on the current time step
# TODO: if we eventually have an x-axis time-step "cursor"
# we can get rid of this since it is extra overhead.
price_chart.update_ohlc_from_array(
price_chart.name,
ohlcv.array,
just_history=False,
)
for name, chart in linked_charts.subplots.items():
chart.update_curve_from_array(chart.name, chart._shm.array)
for name in price_chart._overlays:
# shift the view if in follow mode
price_chart.increment_view()
price_chart.update_curve_from_array(
name,
price_chart._arrays[name]
)
for name, chart in linked_charts.subplots.items():
chart.update_curve_from_array(chart.name, chart._shm.array)
# shift the view if in follow mode
price_chart.increment_view()
async def chart_symbol(
chart_app: ChartSpace,
brokername: str,
sym: str,
loglevel: str,
task_status: TaskStatus[Symbol] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Spawn a real-time chart widget for this symbol and app session.
These widgets can remain up but hidden so that multiple symbols
can be viewed and switched between extremely fast.
"""
# historical data fetch
brokermod = brokers.get_brokermod(brokername)
async with data.open_feed(
brokername,
[sym],
loglevel=loglevel,
) as feed:
ohlcv: ShmArray = feed.shm
bars = ohlcv.array
symbol = feed.symbols[sym]
task_status.started(symbol)
# load in symbol's ohlc data
chart_app.window.setWindowTitle(
f'{symbol.key}@{symbol.brokers} '
f'tick:{symbol.tick_size}'
)
# await tractor.breakpoint()
linked_charts = chart_app.linkedcharts
linked_charts._symbol = symbol
chart = linked_charts.plot_ohlc_main(symbol, bars)
chart.setFocus()
# plot historical vwap if available
wap_in_history = False
if brokermod._show_wap_in_history:
if 'bar_wap' in bars.dtype.fields:
wap_in_history = True
chart.draw_curve(
name='bar_wap',
data=bars,
add_label=False,
)
# size view to data once at outset
chart._set_yrange()
# TODO: a data view api that makes this less shit
chart._shm = ohlcv
# TODO: eventually we'll support some kind of n-compose syntax
fsp_conf = {
'rsi': {
'period': 14,
'chart_kwargs': {
'static_yrange': (0, 100),
},
},
}
# make sure that the instrument supports volume history
# (sometimes this is not the case for some commodities and
# derivatives)
volm = ohlcv.array['volume']
if (
np.all(np.isin(volm, -1)) or
np.all(np.isnan(volm))
):
log.warning(
f"{sym} does not seem to have volume info,"
" dropping volume signals")
else:
fsp_conf.update({
'vwap': {
'overlay': True,
'anchor': 'session',
},
})
async with trio.open_nursery() as n:
# load initial fsp chain (otherwise known as "indicators")
n.start_soon(
spawn_fsps,
linked_charts,
fsp_conf,
sym,
ohlcv,
brokermod,
loglevel,
)
# start graphics update loop(s)after receiving first live quote
n.start_soon(
chart_from_quotes,
chart,
feed.stream,
ohlcv,
wap_in_history,
)
# wait for a first quote before we start any update tasks
quote = await feed.receive()
log.info(f'Received first quote {quote}')
n.start_soon(
check_for_new_bars,
feed,
# delay,
ohlcv,
linked_charts
)
# interactive testing
# n.start_soon(
# test_bed,
# ohlcv,
# chart,
# linked_charts,
# )
await start_order_mode(chart, symbol, brokername)
async def _async_main(
# implicit required argument provided by ``qtractor_run()``
widgets: Dict[str, Any],
symbol_key: str,
brokername: str,
loglevel: str,
) -> None:
"""
Main Qt-trio routine invoked by the Qt loop with the widgets ``dict``.
Provision the "main" widget with initial symbol data and root nursery.
"""
chart_app = widgets['main']
# attempt to configure DPI aware font size
_font.configure_to_dpi(current_screen())
async with trio.open_nursery() as root_n:
# set root nursery for spawning other charts/feeds
# that run cached in the bg
chart_app._root_n = root_n
chart_app.load_symbol(brokername, symbol_key, loglevel)
symbol = await root_n.start(
chart_symbol,
chart_app,
brokername,
symbol_key,
loglevel,
)
chart_app.window.setWindowTitle(
f'{symbol.key}@{symbol.brokers} '
f'tick:{symbol.tick_size}'
)
await trio.sleep_forever()
def _main(

206
piker/ui/kivy/monitor.py
View File

@ -179,121 +179,121 @@ async def _async_main(
This is started with cli cmd `piker monitor`.
'''
feed = DataFeed(portal, brokermod)
quote_gen, first_quotes = await feed.open_stream(
async with feed.open_stream(
symbols,
'stock',
rate=rate,
test=test,
)
first_quotes_list = list(first_quotes.copy().values())
quotes = list(first_quotes.copy().values())
) as (quote_gen, first_quotes):
first_quotes_list = list(first_quotes.copy().values())
quotes = list(first_quotes.copy().values())
# build out UI
Window.set_title(f"monitor: {name}\t(press ? for help)")
Builder.load_string(_kv)
box = BoxLayout(orientation='vertical', spacing=0)
# build out UI
Window.set_title(f"monitor: {name}\t(press ? for help)")
Builder.load_string(_kv)
box = BoxLayout(orientation='vertical', spacing=0)
# define bid-ask "stacked" cells
# (TODO: needs some rethinking and renaming for sure)
bidasks = brokermod._stock_bidasks
# define bid-ask "stacked" cells
# (TODO: needs some rethinking and renaming for sure)
bidasks = brokermod._stock_bidasks
# add header row
headers = list(first_quotes_list[0].keys())
headers.remove('displayable')
# add header row
headers = list(first_quotes_list[0].keys())
headers.remove('displayable')
header = Row(
{key: key for key in headers},
headers=headers,
bidasks=bidasks,
is_header=True,
size_hint=(1, None),
)
box.add_widget(header)
# build table
table = TickerTable(
cols=1,
size_hint=(1, None),
)
for ticker_record in first_quotes_list:
symbol = ticker_record['symbol']
table.append_row(
symbol,
Row(
ticker_record,
headers=('symbol',),
bidasks=bidasks,
no_cell=('displayable',),
table=table
)
header = Row(
{key: key for key in headers},
headers=headers,
bidasks=bidasks,
is_header=True,
size_hint=(1, None),
)
table.last_clicked_row = next(iter(table.symbols2rows.values()))
box.add_widget(header)
# associate the col headers row with the ticker table even though
# they're technically wrapped separately in containing BoxLayout
header.table = table
# mark the initial sorted column header as bold and underlined
sort_cell = header.get_cell(table.sort_key)
sort_cell.bold = sort_cell.underline = True
table.last_clicked_col_cell = sort_cell
# set up a pager view for large ticker lists
table.bind(minimum_height=table.setter('height'))
async def spawn_opts_chain():
"""Spawn an options chain UI in a new subactor.
"""
from .option_chain import _async_main
try:
async with tractor.open_nursery() as tn:
portal = await tn.run_in_actor(
'optschain',
_async_main,
symbol=table.last_clicked_row._last_record['symbol'],
brokername=brokermod.name,
loglevel=tractor.log.get_loglevel(),
# build table
table = TickerTable(
cols=1,
size_hint=(1, None),
)
for ticker_record in first_quotes_list:
symbol = ticker_record['symbol']
table.append_row(
symbol,
Row(
ticker_record,
headers=('symbol',),
bidasks=bidasks,
no_cell=('displayable',),
table=table
)
except tractor.RemoteActorError:
# don't allow option chain errors to crash this monitor
# this is, like, the most basic of resliency policies
log.exception(f"{portal.actor.name} crashed:")
)
table.last_clicked_row = next(iter(table.symbols2rows.values()))
async with trio.open_nursery() as nursery:
pager = PagerView(
container=box,
contained=table,
nursery=nursery,
# spawn an option chain on 'o' keybinding
kbctls={('o',): spawn_opts_chain},
)
box.add_widget(pager)
# associate the col headers row with the ticker table even though
# they're technically wrapped separately in containing BoxLayout
header.table = table
widgets = {
'root': box,
'table': table,
'box': box,
'header': header,
'pager': pager,
}
# mark the initial sorted column header as bold and underlined
sort_cell = header.get_cell(table.sort_key)
sort_cell.bold = sort_cell.underline = True
table.last_clicked_col_cell = sort_cell
global _widgets
_widgets = widgets
# set up a pager view for large ticker lists
table.bind(minimum_height=table.setter('height'))
nursery.start_soon(
update_quotes,
nursery,
brokermod.format_stock_quote,
widgets,
quote_gen,
feed._symbol_data_cache,
quotes
)
try:
await async_runTouchApp(widgets['root'])
finally:
# cancel remote data feed task
await quote_gen.aclose()
# cancel GUI update task
nursery.cancel_scope.cancel()
async def spawn_opts_chain():
"""Spawn an options chain UI in a new subactor.
"""
from .option_chain import _async_main
try:
async with tractor.open_nursery() as tn:
portal = await tn.run_in_actor(
'optschain',
_async_main,
symbol=table.last_clicked_row._last_record['symbol'],
brokername=brokermod.name,
loglevel=tractor.log.get_loglevel(),
)
except tractor.RemoteActorError:
# don't allow option chain errors to crash this monitor
# this is, like, the most basic of resliency policies
log.exception(f"{portal.actor.name} crashed:")
async with trio.open_nursery() as nursery:
pager = PagerView(
container=box,
contained=table,
nursery=nursery,
# spawn an option chain on 'o' keybinding
kbctls={('o',): spawn_opts_chain},
)
box.add_widget(pager)
widgets = {
'root': box,
'table': table,
'box': box,
'header': header,
'pager': pager,
}
global _widgets
_widgets = widgets
nursery.start_soon(
update_quotes,
nursery,
brokermod.format_stock_quote,
widgets,
quote_gen,
feed._symbol_data_cache,
quotes
)
try:
await async_runTouchApp(widgets['root'])
finally:
# cancel remote data feed task
await quote_gen.aclose()
# cancel GUI update task
nursery.cancel_scope.cancel()