Unify contract->fqsn translation with new cached-helper
Tyler Goodlet
parent
070b9f3dc1
commit
a27431c34f
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@ -424,23 +424,15 @@ class Client:
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# one set per future result
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details = {}
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for details_set in results:
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# XXX: if there is more then one entry in the details list
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# then the contract is so called "ambiguous".
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for d in details_set:
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con = d.contract
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key = '.'.join([
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con.symbol,
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con.primaryExchange or con.exchange,
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])
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expiry = con.lastTradeDateOrContractMonth
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if expiry:
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key += f'.{expiry}'
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# nested dataclass we probably don't need and that
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# won't IPC serialize..
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# nested dataclass we probably don't need and that won't
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# IPC serialize..
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d.secIdList = ''
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key, calc_price = con2fqsn(d.contract)
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details[key] = d
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return details
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@ -470,7 +462,7 @@ class Client:
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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upto: int = 6,
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asdicts: bool = True,
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) -> dict[str, ContractDetails]:
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@ -522,10 +514,14 @@ class Client:
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elif sectype == 'CASH':
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dst, src = tract.localSymbol.split('.')
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pair_key = "/".join([dst, src])
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tract.exchange = 'FOREX'
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results[f'{pair_key}.forex'] = tract
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exch = tract.exchange.lower()
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results[f'{pair_key}.{exch}'] = tract
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results.pop(key)
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# XXX: again seems to trigger the weird tractor
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# bug with the debugger..
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# assert 0
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return results
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async def get_fute(
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@ -595,12 +591,11 @@ class Client:
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# another hack for forex pairs lul.
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if (
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'.forex' in symbol
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# and not '.ib' in pattern
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'.idealpro' in symbol
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# or '/' in symbol
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):
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exch = 'FOREX'
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symbol = symbol.removesuffix('.forex')
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exch = 'IDEALPRO'
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symbol = symbol.removesuffix('.idealpro')
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if '/' in symbol:
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symbol, currency = symbol.split('/')
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@ -665,7 +660,7 @@ class Client:
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)
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elif (
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exch in ('FOREX')
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exch in ('IDEALPRO')
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or sectype == 'CASH'
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):
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# if '/' in symbol:
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@ -948,6 +943,58 @@ class Client:
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return self.ib.positions(account=account)
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def con2fqsn(
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con: Contract,
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_cache: dict[int, (str, bool)] = {}
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) -> tuple[str, bool]:
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'''
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Convert contracts to fqsn-style strings to be used both in symbol-search
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matching and as feed tokens passed to the front end data deed layer.
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Previously seen contracts are cached by id.
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'''
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# should be real volume for this contract by default
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calc_price = False
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if con.conId:
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try:
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return _cache[con.conId]
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except KeyError:
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pass
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suffix = con.primaryExchange or con.exchange
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symbol = con.symbol
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expiry = con.lastTradeDateOrContractMonth or ''
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match con:
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case ibis.Commodity():
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = con.secType
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# no real volume on this tract
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calc_price = True
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case ibis.Forex() | ibis.Contract(secType='CASH'):
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dst, src = con.localSymbol.split('.')
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symbol = ''.join([dst, src])
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suffix = con.exchange
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# no real volume on forex feeds..
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calc_price = True
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# append a `.<suffix>` to the returned symbol
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# key for derivatives that normally is the expiry
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# date key.
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if expiry:
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suffix += f'.{expiry}'
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fqsn_key = '.'.join((symbol, suffix)).lower()
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_cache[con.conId] = fqsn_key, calc_price
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return fqsn_key, calc_price
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# per-actor API ep caching
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_client_cache: dict[tuple[str, int], Client] = {}
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_scan_ignore: set[tuple[str, int]] = set()
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@ -42,6 +42,7 @@ from piker.data._sharedmem import ShmArray
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from .._util import SymbolNotFound, NoData
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from .api import (
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# _adhoc_futes_set,
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con2fqsn,
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log,
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load_aio_clients,
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ibis,
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@ -559,47 +560,18 @@ async def open_aio_quote_stream(
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# TODO: cython/mypyc/numba this!
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# or we can at least cache a majority of the values
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# except for the ones we expect to change?..
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def normalize(
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ticker: Ticker,
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calc_price: bool = False
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) -> dict:
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# should be real volume for this contract by default
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calc_price = False
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# check for special contract types
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con = ticker.contract
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symbol = con.symbol
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if type(con) in (
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ibis.Commodity,
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):
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = con.secType
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# no real volume on this tract
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calc_price = True
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elif type(con) in (
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ibis.Forex,
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):
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suffix = 'forex'
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symbol = con.pair()
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# no real volume on forex feeds..
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calc_price = True
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else:
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suffix = con.primaryExchange
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if not suffix:
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suffix = con.exchange
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# append a `.<suffix>` to the returned symbol
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# key for derivatives that normally is the expiry
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# date key.
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expiry = con.lastTradeDateOrContractMonth
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if expiry:
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suffix += f'.{expiry}'
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fqsn, calc_price = con2fqsn(con)
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# convert named tuples to dicts so we send usable keys
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new_ticks = []
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@ -631,9 +603,7 @@ def normalize(
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# generate fqsn with possible specialized suffix
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# for derivatives, note the lowercase.
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data['symbol'] = data['fqsn'] = '.'.join(
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(symbol, suffix)
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).lower()
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data['symbol'] = data['fqsn'] = fqsn
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# convert named tuples to dicts for transport
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tbts = data.get('tickByTicks')
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