Factor `DataFeed` client API into `brokers.data`
Tyler Goodlet
parent
e69f0b286c
commit
a4501bb0e0
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@ -112,11 +112,14 @@ async def stream_quotes(
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# TODO: at this point probably just just make this a class and
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# a lot of these functions should be methods. It will definitely
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# make stateful UI apps easier to implement
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class DataFeed(typing.NamedTuple):
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"""A per broker "data feed" container.
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class BrokerFeed(typing.NamedTuple):
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"""A per broker "client feed" container.
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A structure to keep track of components used by
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real-time data daemons.
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real-time data daemons. This is a backend "client" which pulls
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data from broker specific data lakes:
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``DataFeed`` <- tractor -> ``BrokerFeed`` <- broker IPC -> broker API
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"""
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mod: ModuleType
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client: object
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@ -129,7 +132,7 @@ class DataFeed(typing.NamedTuple):
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async def fan_out_to_chans(
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feed: DataFeed,
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feed: BrokerFeed,
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get_quotes: Coroutine,
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symbols2chans: Dict[str, tractor.Channel],
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rate: int = 5, # delay between quote requests
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@ -275,8 +278,8 @@ def modify_quote_stream(broker, feed_type, symbols, chan, cid):
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async def get_cached_feed(
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brokername: str,
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) -> DataFeed:
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"""Get/create a ``DataFeed`` from/in the current actor.
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) -> BrokerFeed:
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"""Get/create a ``BrokerFeed`` from/in the current actor.
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"""
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# check if a cached client is in the local actor's statespace
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ss = tractor.current_actor().statespace
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@ -293,7 +296,7 @@ async def get_cached_feed(
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exit_stack = contextlib.AsyncExitStack()
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client = await exit_stack.enter_async_context(
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brokermod.get_client())
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feed = DataFeed(
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feed = BrokerFeed(
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mod=brokermod,
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client=client,
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exit_stack=exit_stack,
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@ -422,6 +425,89 @@ async def start_quote_stream(
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await feed.exit_stack.aclose()
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class DataFeed(object):
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"""Data feed client for streaming symbol data from a (remote)
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``brokerd`` data daemon.
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"""
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_allowed = ('stock', 'option')
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def __init__(self, portal, brokermod):
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self.portal = portal
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self.brokermod = brokermod
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self._quote_type = None
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self._symbols = None
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self.quote_gen = None
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self._mutex = trio.StrictFIFOLock()
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self._symbol_data_cache: Dict[str, Any] = {}
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async def open_stream(self, symbols, feed_type, rate=1, test=None):
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if feed_type not in self._allowed:
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raise ValueError(f"Only feed types {self._allowed} are supported")
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self._quote_type = feed_type
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async with self._mutex:
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try:
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if self.quote_gen is not None and symbols != self._symbols:
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log.info(
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f"Stopping existing subscription for {self._symbols}")
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await self.quote_gen.aclose()
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self._symbols = symbols
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if feed_type == 'stock' and not (
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all(symbol in self._symbol_data_cache
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for symbol in symbols)
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):
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# subscribe for tickers (this performs a possible filtering
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# where invalid symbols are discarded)
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sd = await self.portal.run(
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"piker.brokers.data", 'symbol_data',
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broker=self.brokermod.name, tickers=symbols)
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self._symbol_data_cache.update(sd)
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if test:
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# stream from a local test file
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quote_gen = await self.portal.run(
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"piker.brokers.data", 'stream_from_file',
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filename=test
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)
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else:
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log.info(f"Starting new stream for {self._symbols}")
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# start live streaming from broker daemon
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quote_gen = await self.portal.run(
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"piker.brokers.data",
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'start_quote_stream',
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broker=self.brokermod.name,
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symbols=symbols,
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feed_type=feed_type,
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rate=rate,
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)
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# get first quotes response
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log.debug(f"Waiting on first quote for {symbols}...")
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quotes = {}
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# with trio.move_on_after(5):
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quotes = await quote_gen.__anext__()
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self.quote_gen = quote_gen
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self.first_quotes = quotes
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return quote_gen, quotes
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except Exception:
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if self.quote_gen:
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await self.quote_gen.aclose()
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self.quote_gen = None
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raise
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def format_quotes(self, quotes, symbol_data={}):
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self._symbol_data_cache.update(symbol_data)
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formatter = getattr(self.brokermod, f'format_{self._quote_type}_quote')
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records, displayables = zip(*[
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formatter(quote, self._symbol_data_cache)
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for quote in quotes.values()
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])
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return records, displayables
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async def stream_to_file(
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watchlist_name: str,
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filename: str,
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@ -18,6 +18,7 @@ from kivy.uix.label import Label
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from ..log import get_logger
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from ..brokers.core import contracts
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from ..brokers.data import DataFeed
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from .pager import PagerView
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from .tabular import Row, HeaderCell, Cell, TickerTable
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@ -146,67 +147,6 @@ class ExpiryButton(Cell):
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self.chain.start_displaying(self.chain.symbol, self.key)
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class DataFeed(object):
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"""Data feed client for streaming symbol data from a (remote)
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``brokerd`` data daemon.
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"""
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def __init__(self, portal, brokermod):
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self.portal = portal
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self.brokermod = brokermod
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self._symbols = None
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self.quote_gen = None
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self._mutex = trio.StrictFIFOLock()
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async def open_stream(self, symbols, rate=1, test=None):
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async with self._mutex:
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try:
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if self.quote_gen is not None and symbols != self._symbols:
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log.info(
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f"Stopping existing subscription for {self._symbols}")
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await self.quote_gen.aclose()
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self._symbols = symbols
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if test:
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# stream from a local test file
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quote_gen = await self.portal.run(
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"piker.brokers.data", 'stream_from_file',
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filename=test
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)
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else:
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log.info(f"Starting new stream for {self._symbols}")
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# start live streaming from broker daemon
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quote_gen = await self.portal.run(
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"piker.brokers.data",
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'start_quote_stream',
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broker=self.brokermod.name,
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symbols=symbols,
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feed_type='option',
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rate=rate,
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)
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# get first quotes response
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log.debug(f"Waiting on first quote for {symbols}...")
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quotes = {}
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# with trio.move_on_after(5):
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quotes = await quote_gen.__anext__()
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self.quote_gen = quote_gen
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self.first_quotes = quotes
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return quote_gen, quotes
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except Exception:
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if self.quote_gen:
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await self.quote_gen.aclose()
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self.quote_gen = None
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raise
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def format_quotes(self, quotes):
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records, displayables = zip(*[
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self.brokermod.format_option_quote(quote, {})
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for quote in quotes.values()
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])
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return records, displayables
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@asynccontextmanager
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async def find_local_monitor():
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"""Establish a portal to a local monitor for triggering
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@ -276,7 +216,7 @@ class OptionChain(object):
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self._parent_nursery = nursery
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async with trio.open_nursery() as n:
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self._nursery = n
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# fill out and start updatingn strike table
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# fill out and start updating strike table
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n.start_soon(
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partial(self._start_displaying, symbol, expiry=expiry)
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)
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@ -450,7 +390,8 @@ class OptionChain(object):
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log.debug(f"Waiting on first_quotes for {symbol}:{expiry}")
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self._quote_gen, first_quotes = await self.feed.open_stream(
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[(symbol, expiry)]
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[(symbol, expiry)],
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'option',
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)
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log.debug(f"Got first_quotes for {symbol}:{expiry}")
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records, displayables = self.feed.format_quotes(first_quotes)
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