ib: Allow history backfilling even when markets are closed
Tyler Goodlet
parent
43b39d3b6b
commit
a9d42b374f
|
|
@ -507,6 +507,7 @@ class Client:
|
|||
async def get_quote(
|
||||
self,
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Contract, Ticker, ContractDetails]:
|
||||
'''
|
||||
Return a single quote for symbol.
|
||||
|
|
@ -515,10 +516,14 @@ class Client:
|
|||
contract, ticker, details = await self.get_sym_details(symbol)
|
||||
|
||||
# ensure a last price gets filled in before we deliver quote
|
||||
for _ in range(25):
|
||||
for _ in range(2):
|
||||
if isnan(ticker.last):
|
||||
log.warning(f'Quote for {symbol} timed out: market is closed?')
|
||||
ticker = await ticker.updateEvent
|
||||
await asyncio.sleep(0.2)
|
||||
await asyncio.sleep(0.1)
|
||||
else:
|
||||
log.info(f'Got first quote for {symbol}')
|
||||
break
|
||||
else:
|
||||
log.warning(
|
||||
f'Symbol {symbol} is not returning a quote '
|
||||
|
|
@ -1311,7 +1316,8 @@ async def _setup_quote_stream(
|
|||
# Manually do the dereg ourselves.
|
||||
teardown()
|
||||
except trio.WouldBlock:
|
||||
log.warning(f'channel is blocking symbol feed for {symbol}?'
|
||||
log.warning(
|
||||
f'channel is blocking symbol feed for {symbol}?'
|
||||
f'\n{to_trio.statistics}'
|
||||
)
|
||||
|
||||
|
|
@ -1372,12 +1378,13 @@ async def stream_quotes(
|
|||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
"""Stream symbol quotes.
|
||||
'''
|
||||
Stream symbol quotes.
|
||||
|
||||
This is a ``trio`` callable routine meant to be invoked
|
||||
once the brokerd is up.
|
||||
"""
|
||||
|
||||
'''
|
||||
# TODO: support multiple subscriptions
|
||||
sym = symbols[0]
|
||||
|
||||
|
|
@ -1418,8 +1425,6 @@ async def stream_quotes(
|
|||
return init_msgs
|
||||
|
||||
if cs.cancelled_caught:
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
|
||||
contract, first_ticker, details = await _trio_run_client_method(
|
||||
method='get_sym_details',
|
||||
|
|
@ -1435,42 +1440,60 @@ async def stream_quotes(
|
|||
symbol=sym,
|
||||
)
|
||||
|
||||
# else:
|
||||
init_msgs = mk_init_msgs()
|
||||
|
||||
con = first_ticker.contract
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
|
||||
# check for special contract types
|
||||
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
||||
|
||||
suffix = con.primaryExchange
|
||||
if not suffix:
|
||||
suffix = con.exchange
|
||||
|
||||
else:
|
||||
init_msgs = mk_init_msgs()
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
quote = normalize(first_ticker, calc_price=calc_price)
|
||||
con = quote['contract']
|
||||
topic = '.'.join((con['symbol'], suffix)).lower()
|
||||
quote['symbol'] = topic
|
||||
|
||||
# pass first quote asap
|
||||
first_quote = {topic: quote}
|
||||
|
||||
if isnan(first_ticker.last):
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
# quote = normalize(first_ticker, calc_price=calc_price)
|
||||
# con = quote['contract']
|
||||
# topic = '.'.join((con['symbol'], suffix)).lower()
|
||||
# quote['symbol'] = topic
|
||||
|
||||
# # pass first quote asap
|
||||
# first_quote = {topic: quote}
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# it's not really live but this will unblock
|
||||
# the brokerd feed task to tell the ui to update?
|
||||
feed_is_live.set()
|
||||
|
||||
# block and let data history backfill code run.
|
||||
await trio.sleep_forever()
|
||||
return # we never expect feed to come up?
|
||||
|
||||
# stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
||||
async with open_aio_quote_stream(
|
||||
symbol=sym, contract=contract
|
||||
) as stream:
|
||||
|
||||
con = first_ticker.contract
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
|
||||
# check for special contract types
|
||||
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
||||
|
||||
suffix = con.primaryExchange
|
||||
if not suffix:
|
||||
suffix = con.exchange
|
||||
|
||||
else:
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
quote = normalize(first_ticker, calc_price=calc_price)
|
||||
con = quote['contract']
|
||||
topic = '.'.join((con['symbol'], suffix)).lower()
|
||||
quote['symbol'] = topic
|
||||
|
||||
# pass first quote asap
|
||||
first_quote = {topic: quote}
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is stateful trash)
|
||||
first_ticker.ticks = []
|
||||
|
|
|
|||
Loading…
Reference in New Issue