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Rework data feed API to allow for caching streams 

Move all feed/stream agnostic logic and shared mem writing into a new
set of routines inside the ``data`` sub-package. This lets us move
toward a more standard API for broker and data backends to provide
cache-able persistent streams to client apps.

The data layer now takes care of
- starting a single background brokerd task to start a stream for as
  symbol if none yet exists and register that stream for later lookups
- the existing broker backend actor is now always re-used if possible
  if it can be found in a service tree
- synchronization with the brokerd stream's startup sequence is now
  oriented around fast startup concurrency such that client code gets
  a handle to historical data and quote schema as fast as possible
- historical data loading is delegated to the backend more formally by
  starting a ``backfill_bars()`` task
- write shared mem in the brokerd task and only destruct it once requested
  either from the parent actor or further clients
- fully de-duplicate stream data by using a dynamic pub-sub strategy
  where new clients register for copies of the same quote set per symbol

This new API is entirely working with the IB backend; others will need
to be ported. That's to come shortly.
cached_feeds
Tyler Goodlet 2021-03-29 08:22:27 -04:00
parent f17a26c948
commit a82f43e3a5
2 changed files with 344 additions and 335 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

219
piker/brokers/ib.py
View File

@ -34,6 +34,7 @@ import logging
import time
import trio
from trio_typing import TaskStatus
import tractor
from async_generator import aclosing
from ib_insync.wrapper import RequestError
@ -46,14 +47,9 @@ from ib_insync.wrapper import Wrapper
from ib_insync.client import Client as ib_Client
from ..log import get_logger, get_console_log
from ..data import (
maybe_spawn_brokerd,
iterticks,
attach_shm_array,
subscribe_ohlc_for_increment,
_buffer,
)
from ..data import maybe_spawn_brokerd
from ..data._source import from_df
from ..data._sharedmem import ShmArray
from ._util import SymbolNotFound
@ -781,36 +777,17 @@ def normalize(
return data
_local_buffer_writers = {}
# _local_buffer_writers = {}
@asynccontextmanager
async def activate_writer(key: str) -> (bool, trio.Nursery):
"""Mark the current actor with module var determining
whether an existing shm writer task is already active.
This avoids more then one writer resulting in data
clobbering.
"""
global _local_buffer_writers
try:
assert not _local_buffer_writers.get(key, False)
_local_buffer_writers[key] = True
async with trio.open_nursery() as n:
yield n
finally:
_local_buffer_writers.pop(key, None)
async def fill_bars(
async def backfill_bars(
sym: str,
first_bars: list,
shm: 'ShmArray', # type: ignore # noqa
# first_bars: list,
shm: ShmArray, # type: ignore # noqa
# count: int = 20, # NOTE: any more and we'll overrun underlying buffer
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Fill historical bars into shared mem / storage afap.
@ -818,6 +795,19 @@ async def fill_bars(
https://github.com/pikers/piker/issues/128
"""
first_bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
)
# write historical data to buffer
shm.push(bars_array)
# shm_token = shm.token
with trio.CancelScope() as cs:
task_status.started(cs)
next_dt = first_bars[0].date
i = 0
@ -830,6 +820,9 @@ async def fill_bars(
end_dt=next_dt,
)
if bars_array is None:
raise SymbolNotFound(sym)
shm.push(bars_array, prepend=True)
i += 1
next_dt = bars[0].date
@ -847,7 +840,9 @@ async def fill_bars(
else:
log.exception(
"Data query rate reached: Press `ctrl-alt-f` in TWS")
"Data query rate reached: Press `ctrl-alt-f`"
"in TWS"
)
# TODO: should probably create some alert on screen
# and then somehow get that to trigger an event here
@ -902,6 +897,7 @@ async def _setup_quote_stream(
# log.debug(t)
try:
to_trio.send_nowait(t)
except trio.BrokenResourceError:
# XXX: eventkit's ``Event.emit()`` for whatever redic
# reason will catch and ignore regular exceptions
@ -946,24 +942,22 @@ async def start_aio_quote_stream(
return from_aio
@tractor.stream
async def stream_quotes(
ctx: tractor.Context,
send_chan: trio.abc.SendChannel,
symbols: List[str],
shm_token: Tuple[str, str, List[tuple]],
shm: ShmArray,
feed_is_live: trio.Event,
loglevel: str = None,
# compat for @tractor.msg.pub
topics: Any = None,
get_topics: Callable = None,
) -> AsyncIterator[Dict[str, Any]]:
# startup sync
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
"""Stream symbol quotes.
This is a ``trio`` callable routine meant to be invoked
once the brokerd is up.
"""
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
# TODO: support multiple subscriptions
sym = symbols[0]
@ -975,54 +969,6 @@ async def stream_quotes(
stream = await start_aio_quote_stream(symbol=sym, contract=contract)
shm = None
async with trio.open_nursery() as ln:
# check if a writer already is alive in a streaming task,
# otherwise start one and mark it as now existing
key = shm_token['shm_name']
writer_already_exists = _local_buffer_writers.get(key, False)
# maybe load historical ohlcv in to shared mem
# check if shm has already been created by previous
# feed initialization
if not writer_already_exists:
_local_buffer_writers[key] = True
shm = attach_shm_array(
token=shm_token,
# we are the buffer writer
readonly=False,
)
# async def retrieve_and_push():
start = time.time()
bars, bars_array = await _trio_run_client_method(
method='bars',
symbol=sym,
)
log.info(f"bars_array request: {time.time() - start}")
if bars_array is None:
raise SymbolNotFound(sym)
# write historical data to buffer
shm.push(bars_array)
shm_token = shm.token
# TODO: generalize this for other brokers
# start bar filler task in bg
ln.start_soon(fill_bars, sym, bars, shm)
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
subscribe_ohlc_for_increment(shm, delay_s)
# pass back some symbol info like min_tick, trading_hours, etc.
syminfo = asdict(details)
syminfo.update(syminfo['contract'])
@ -1044,12 +990,9 @@ async def stream_quotes(
# pass back token, and bool, signalling if we're the writer
# and that history has been written
sym: {
'is_shm_writer': not writer_already_exists,
'shm_token': shm_token,
'symbol_info': syminfo,
}
}
await ctx.send_yield(init_msgs)
# check for special contract types
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
@ -1061,7 +1004,6 @@ async def stream_quotes(
# no real volume so we have to calculate the price
suffix = 'secType'
calc_price = True
# ticker = first_ticker
# pass first quote asap
quote = normalize(first_ticker, calc_price=calc_price)
@ -1071,23 +1013,19 @@ async def stream_quotes(
first_quote = {topic: quote}
# yield first quote asap
await ctx.send_yield(first_quote)
# ugh, clear ticks since we've consumed them
# (ahem, ib_insync is stateful trash)
first_ticker.ticks = []
log.debug(f"First ticker received {quote}")
task_status.started((init_msgs, first_quote))
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
suffix = 'exchange'
calc_price = False # should be real volume for contract
# with trio.move_on_after(10) as cs:
# wait for real volume on feed (trading might be closed)
async with aclosing(stream):
async for ticker in stream:
@ -1104,46 +1042,13 @@ async def stream_quotes(
# (ahem, ib_insync is truly stateful trash)
ticker.ticks = []
# tell incrementer task it can start
_buffer.shm_incrementing(key).set()
# XXX: this works because we don't use
# ``aclosing()`` above?
break
# enter stream loop
try:
async with stream:
await stream_and_write(
stream=stream,
calc_price=calc_price,
topic=topic,
write_shm=not writer_already_exists,
shm=shm,
suffix=suffix,
ctx=ctx,
)
finally:
if not writer_already_exists:
_local_buffer_writers[key] = False
# tell caller quotes are now coming in live
feed_is_live.set()
stream.close()
async def stream_and_write(
stream,
calc_price: bool,
topic: str,
write_shm: bool,
suffix: str,
ctx: tractor.Context,
shm: Optional['SharedArray'], # noqa
) -> None:
"""Core quote streaming and shm writing loop; optimize for speed!
"""
# real-time stream
async with stream:
async for ticker in stream:
# print(ticker.vwap)
@ -1151,54 +1056,12 @@ async def stream_and_write(
ticker,
calc_price=calc_price
)
quote['symbol'] = topic
# TODO: in theory you can send the IPC msg *before*
# writing to the sharedmem array to decrease latency,
# however, that will require `tractor.msg.pub` support
# here or at least some way to prevent task switching
# at the yield such that the array write isn't delayed
# while another consumer is serviced..
# if we are the lone tick writer start writing
# the buffer with appropriate trade data
if write_shm:
for tick in iterticks(quote, types=('trade', 'utrade',)):
last = tick['price']
# print(f"{quote['symbol']}: {tick}")
# update last entry
# benchmarked in the 4-5 us range
o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume']
]
new_v = tick.get('size', 0)
if v == 0 and new_v:
# no trades for this bar yet so the open
# is also the close/last trade price
o = last
shm.array[[
'open',
'high',
'low',
'close',
'volume',
]][-1] = (
o,
max(high, last),
min(low, last),
last,
v + new_v,
)
con = quote['contract']
topic = '.'.join((con['symbol'], con[suffix])).lower()
quote['symbol'] = topic
await ctx.send_yield({topic: quote})
await send_chan.send({topic: quote})
# ugh, clear ticks since we've consumed them
ticker.ticks = []

298
piker/data/__init__.py
View File

@ -23,23 +23,23 @@ sharing your feeds with other fellow pikers.
"""
from dataclasses import dataclass, field
from contextlib import asynccontextmanager
from functools import partial
from importlib import import_module
from types import ModuleType
from typing import (
Dict, Any, Sequence,
AsyncIterator, Optional,
Callable, Awaitable
List
)
import trio
from trio_typing import TaskStatus
import tractor
from pydantic import BaseModel
from ..brokers import get_brokermod
from ..log import get_logger, get_console_log
from .._daemon import (
spawn_brokerd,
maybe_open_pikerd,
maybe_spawn_brokerd,
)
from ._normalize import iterticks
@ -53,7 +53,8 @@ from ._sharedmem import (
from ._source import base_iohlc_dtype, Symbol
from ._buffer import (
increment_ohlc_buffer,
subscribe_ohlc_for_increment
subscribe_ohlc_for_increment,
shm_incrementing,
)
__all__ = [
@ -82,9 +83,8 @@ def get_ingestormod(name: str) -> ModuleType:
return module
# @dataclass
class _FeedsCache(BaseModel):
"""Data feeds manager.
class _FeedsBus(BaseModel):
"""Data feeds broadcaster and persistence management.
This is a brokerd side api used to manager persistent real-time
streams that can be allocated and left alive indefinitely.
@ -92,82 +92,248 @@ class _FeedsCache(BaseModel):
"""
brokername: str
nursery: trio.Nursery
tasks: Dict[str, trio.CancelScope] = {}
feeds: Dict[str, trio.CancelScope] = {}
subscribers: Dict[str, List[tractor.Context]] = {}
class Config:
arbitrary_types_allowed = True
# tasks: Dict[str, trio.CancelScope] = field(default_factory=dict)
async def start_feed(
symbol: str,
func: Callable[[int], Awaitable[None]],
) -> None:
"""Start a bg feed task and register a surrouding cancel scope
for it.
"""
with trio.CancelCscope() as cs:
pass
async def cancel_all(self) -> None:
for name, cs in self.tasks.item():
log.debug(f'Cancelling cached feed for {name}')
for sym, (cs, msg, quote) in self.feeds.items():
log.debug(f'Cancelling cached feed for {self.brokername}:{sym}')
cs.cancel()
_feeds: _FeedsCache = None
_bus: _FeedsBus = None
def get_feeds_manager(
def get_feed_bus(
brokername: str,
nursery: Optional[trio.Nursery] = None,
) -> _FeedsCache:
) -> _FeedsBus:
"""
Retreive data feeds manager from process global scope.
Retreive broker-daemon-local data feeds bus from process global
scope.
"""
global _feeds
global _bus
if nursery is not None:
assert _feeds is None, "Feeds manager is already setup?"
assert _bus is None, "Feeds manager is already setup?"
# this is initial setup by parent actor
_feeds = _FeedsCache(
_bus = _FeedsBus(
brokername=brokername,
nursery=nursery,
)
assert not _feeds.tasks
assert not _bus.feeds
assert _feeds.brokername == brokername, "Uhhh wtf"
return _feeds
assert _bus.brokername == brokername, "Uhhh wtf"
return _bus
async def _setup_persistent_feeds(brokername: str) -> None:
async def _setup_persistent_brokerd(brokername: str) -> None:
"""Allocate a actor-wide service nursery in ``brokerd``
such that feeds can be run in the background persistently by
the broker backend as needed.
"""
try:
async with trio.open_nursery() as service_nursery:
_feeds = get_feeds_manager(brokername, service_nursery)
# assign a nursery to the feeds bus for spawning
# background tasks from clients
bus = get_feed_bus(brokername, service_nursery)
# we pin this task to keep the feeds manager active until the
# parent actor decides to tear it down
await trio.sleep_forever()
finally:
await bus.cancel_all()
async def allocate_persistent_feed(
ctx: tractor.Context,
bus: _FeedsBus,
brokername: str,
symbol: str,
loglevel: str,
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
) -> None:
try:
mod = get_brokermod(brokername)
except ImportError:
mod = get_ingestormod(brokername)
# allocate shm array for this broker/symbol
# XXX: we should get an error here if one already exists
shm, opened = maybe_open_shm_array(
key=sym_to_shm_key(brokername, symbol),
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=False,
)
# assert opened
if not opened:
# do history validation?
pass
send, quote_stream = trio.open_memory_channel(2**8)
feed_is_live = trio.Event()
# establish broker backend quote stream
# ``stream_quotes()`` is a required backend func
init_msg, first_quote = await bus.nursery.start(
partial(
mod.stream_quotes,
send_chan=send,
feed_is_live=feed_is_live,
symbols=[symbol],
shm=shm,
loglevel=loglevel,
)
)
init_msg[symbol]['shm_token'] = shm.token
cs = trio.CancelScope()
bus.feeds[symbol] = (cs, init_msg, first_quote)
with cs:
if opened:
# start history backfill task
# ``backfill_bars()`` is a required backend func
await bus.nursery.start(mod.backfill_bars, symbol, shm)
# yield back control to starting nursery
task_status.started((init_msg, first_quote))
times = shm.array['time']
delay_s = times[-1] - times[times != times[-1]][-1]
await feed_is_live.wait()
# tell incrementer task it can start
shm_incrementing(shm.token['shm_name']).set()
# start shm incrementingn for OHLC sampling
subscribe_ohlc_for_increment(shm, delay_s)
# begin shm write loop and broadcast to subscribers
sum_tick_vlm: bool = True
async with quote_stream:
log.info("Started shared mem bar writer")
# iterate stream delivered by broker
async for quotes in quote_stream:
for sym, quote in quotes.items():
# TODO: in theory you can send the IPC msg *before*
# writing to the sharedmem array to decrease latency,
# however, that will require `tractor.msg.pub` support
# here or at least some way to prevent task switching
# at the yield such that the array write isn't delayed
# while another consumer is serviced..
# start writing the shm buffer with appropriate trade data
for tick in iterticks(quote, types=('trade', 'utrade',)):
last = tick['price']
# update last entry
# benchmarked in the 4-5 us range
o, high, low, v = shm.array[-1][
['open', 'high', 'low', 'volume']
]
new_v = tick.get('size', 0)
if v == 0 and new_v:
# no trades for this bar yet so the open
# is also the close/last trade price
o = last
if sum_tick_vlm:
volume = v + new_v
else:
volume = v
shm.array[[
'open',
'high',
'low',
'close',
'volume',
]][-1] = (
o,
max(high, last),
min(low, last),
last,
volume,
)
for ctx in bus.subscribers[sym]:
await ctx.send_yield({sym: quote})
@tractor.stream
async def allocate_cached_feed(
async def attach_feed_bus(
ctx: tractor.Context,
symbol: str
brokername: str,
symbol: str,
loglevel: str,
):
_feeds = get_feeds_manager(brokername, service_nursery)
# setup shared mem buffer
pass
if loglevel is None:
loglevel = tractor.current_actor().loglevel
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
# ensure we are who we think we are
assert 'brokerd' in tractor.current_actor().name
bus = get_feed_bus(brokername)
task_cs = bus.feeds.get(symbol)
bus.subscribers.setdefault(symbol, []).append(ctx)
# if no cached feed for this symbol has been created for this
# brokerd yet, start persistent stream and shm writer task in
# service nursery
if task_cs is None:
init_msg, first_quote = await bus.nursery.start(
partial(
allocate_persistent_feed,
ctx=ctx,
bus=bus,
brokername=brokername,
symbol=symbol,
loglevel=loglevel,
)
)
# XXX: ``first_quote`` may be outdated here if this is secondary subscriber
cs, init_msg, first_quote = bus.feeds[symbol]
# send this even to subscribers to existing feed?
await ctx.send_yield(init_msg)
await ctx.send_yield(first_quote)
try:
# just block while the stream pumps
await trio.sleep_forever()
finally:
bus.subscribers[symbol].remove(ctx)
@dataclass
@ -183,7 +349,7 @@ class Feed:
stream: AsyncIterator[Dict[str, Any]]
shm: ShmArray
mod: ModuleType
# ticks: ShmArray
_brokerd_portal: tractor._portal.Portal
_index_stream: Optional[AsyncIterator[int]] = None
_trade_stream: Optional[AsyncIterator[Dict[str, Any]]] = None
@ -262,40 +428,30 @@ async def open_feed(
# TODO: do all!
sym = symbols[0]
# Attempt to allocate (or attach to) shm array for this broker/symbol
shm, opened = maybe_open_shm_array(
key=sym_to_shm_key(brokername, sym),
# use any broker defined ohlc dtype:
dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
# we expect the sub-actor to write
readonly=True,
)
async with maybe_spawn_brokerd(
brokername,
loglevel=loglevel,
# TODO: add a cli flag for this
# debug_mode=False,
) as portal:
stream = await portal.run(
mod.stream_quotes,
# TODO: actually handy multiple symbols...
symbols=symbols,
shm_token=shm.token,
# compat with eventual ``tractor.msg.pub``
topics=symbols,
attach_feed_bus,
brokername=brokername,
symbol=sym,
loglevel=loglevel,
)
# TODO: we can't do this **and** be compate with
# ``tractor.msg.pub``, should we maybe just drop this after
# tests are in?
init_msg = await stream.receive()
shm = attach_shm_array(
token=init_msg[sym]['shm_token'],
# we are the buffer writer
readonly=False,
)
feed = Feed(
name=brokername,
stream=stream,
@ -304,11 +460,6 @@ async def open_feed(
_brokerd_portal=portal,
)
# TODO: we can't do this **and** be compate with
# ``tractor.msg.pub``, should we maybe just drop this after
# tests are in?
init_msg = await stream.receive()
for sym, data in init_msg.items():
si = data['symbol_info']
@ -324,11 +475,6 @@ async def open_feed(
feed.symbols[sym] = symbol
shm_token = data['shm_token']
if opened:
assert data['is_shm_writer']
log.info("Started shared mem bar writer")
else:
s = attach_shm_array(shm_token)
shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
assert shm_token == shm.token # sanity