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Merge pull request #204 from pikers/ib_adhoc_derivs 

Ib adhoc derivs search
pause_feeds_on_sym_switch
goodboy 2021-09-02 12:57:12 -04:00 committed by GitHub
parent 07e35d3ff5 d3838c2a8b
commit ad174c5c21
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GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 171 additions and 70 deletions
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2
piker/_daemon.py
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@ -283,7 +283,7 @@ async def maybe_spawn_daemon(
lock = Brokerd.locks[service_name] lock = Brokerd.locks[service_name]
await lock.acquire() await lock.acquire()
# attach to existing brokerd if possible # attach to existing daemon by name if possible
async with tractor.find_actor(service_name) as portal: async with tractor.find_actor(service_name) as portal:
if portal is not None: if portal is not None:
lock.release() lock.release()

203
piker/brokers/ib.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers # piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for piker0) # Copyright (C) Tyler Goodlet (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify # This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by # it under the terms of the GNU Affero General Public License as published by
@ -25,7 +25,10 @@ from contextlib import asynccontextmanager
from dataclasses import asdict from dataclasses import asdict
from datetime import datetime from datetime import datetime
from functools import partial from functools import partial
from typing import List, Dict, Any, Tuple, Optional, AsyncIterator from typing import (
Any, Optional,
AsyncIterator, Awaitable,
)
import asyncio import asyncio
from pprint import pformat from pprint import pformat
import inspect import inspect
@ -171,6 +174,7 @@ _adhoc_futes_set = {
# equities # equities
'nq.globex', 'nq.globex',
'mnq.globex', 'mnq.globex',
'es.globex', 'es.globex',
'mes.globex', 'mes.globex',
@ -178,8 +182,20 @@ _adhoc_futes_set = {
'brr.cmecrypto', 'brr.cmecrypto',
'ethusdrr.cmecrypto', 'ethusdrr.cmecrypto',
# agriculture
'he.globex', # lean hogs
'le.globex', # live cattle (geezers)
'gf.globex', # feeder cattle (younguns)
# raw
'lb.globex', # random len lumber
# metals # metals
'xauusd.cmdty', 'xauusd.cmdty', # gold spot
'gc.nymex',
'mgc.nymex',
'xagusd.cmdty', # silver spot
} }
# exchanges we don't support at the moment due to not knowing # exchanges we don't support at the moment due to not knowing
@ -210,8 +226,8 @@ class Client:
self.ib.RaiseRequestErrors = True self.ib.RaiseRequestErrors = True
# contract cache # contract cache
self._contracts: Dict[str, Contract] = {} self._contracts: dict[str, Contract] = {}
self._feeds: Dict[str, trio.abc.SendChannel] = {} self._feeds: dict[str, trio.abc.SendChannel] = {}
# NOTE: the ib.client here is "throttled" to 45 rps by default # NOTE: the ib.client here is "throttled" to 45 rps by default
@ -226,7 +242,7 @@ class Client:
period_count: int = int(2e3), # <- max per 1s sample query period_count: int = int(2e3), # <- max per 1s sample query
is_paid_feed: bool = False, # placeholder is_paid_feed: bool = False, # placeholder
) -> List[Dict[str, Any]]: ) -> list[dict[str, Any]]:
"""Retreive OHLCV bars for a symbol over a range to the present. """Retreive OHLCV bars for a symbol over a range to the present.
""" """
bars_kwargs = {'whatToShow': 'TRADES'} bars_kwargs = {'whatToShow': 'TRADES'}
@ -279,23 +295,14 @@ class Client:
df = ibis.util.df(bars) df = ibis.util.df(bars)
return bars, from_df(df) return bars, from_df(df)
async def search_stocks( async def con_deats(
self, self,
pattern: str, contracts: list[Contract],
# how many contracts to search "up to"
upto: int = 3,
) -> Dict[str, ContractDetails]:
"""Search for stocks matching provided ``str`` pattern.
Return a dictionary of ``upto`` entries worth of contract details. ) -> dict[str, ContractDetails]:
"""
descriptions = await self.ib.reqMatchingSymbolsAsync(pattern)
if descriptions is not None:
futs = [] futs = []
for d in descriptions: for con in contracts:
con = d.contract
if con.primaryExchange not in _exch_skip_list: if con.primaryExchange not in _exch_skip_list:
futs.append(self.ib.reqContractDetailsAsync(con)) futs.append(self.ib.reqContractDetailsAsync(con))
@ -318,11 +325,40 @@ class Client:
details[unique_sym] = as_dict details[unique_sym] = as_dict
if len(details) == upto:
return details return details
return details async def search_stocks(
self,
pattern: str,
get_details: bool = False,
# how many contracts to search "up to"
upto: int = 3,
) -> dict[str, ContractDetails]:
"""Search for stocks matching provided ``str`` pattern.
Return a dictionary of ``upto`` entries worth of contract details.
"""
descriptions = await self.ib.reqMatchingSymbolsAsync(pattern)
if descriptions is not None:
descrs = descriptions[:upto]
if get_details:
return await self.con_deats([d.contract for d in descrs])
else:
results = {}
for d in descrs:
con = d.contract
# sometimes there's a weird extra suffix returned
# from search?
exch = con.primaryExchange.rsplit('.')[0]
unique_sym = f'{con.symbol}.{exch}'
results[unique_sym] = {}
return results
else: else:
return {} return {}
@ -332,20 +368,12 @@ class Client:
# how many contracts to search "up to" # how many contracts to search "up to"
upto: int = 3, upto: int = 3,
asdicts: bool = True, asdicts: bool = True,
) -> Dict[str, ContractDetails]:
) -> dict[str, ContractDetails]:
# TODO add search though our adhoc-locally defined symbol set # TODO add search though our adhoc-locally defined symbol set
# for futes/cmdtys/ # for futes/cmdtys/
return await self.search_stocks(pattern, upto, asdicts) return await self.search_stocks(pattern, upto, get_details=True)
async def search_futes(
self,
pattern: str,
# how many contracts to search "up to"
upto: int = 3,
asdicts: bool = True,
) -> Dict[str, ContractDetails]:
raise NotImplementedError
async def get_cont_fute( async def get_cont_fute(
self, self,
@ -371,7 +399,7 @@ class Client:
# ``wrapper.starTicker()`` currently cashes ticker instances # ``wrapper.starTicker()`` currently cashes ticker instances
# which means getting a singel quote will potentially look up # which means getting a singel quote will potentially look up
# a quote for a ticker that it already streaming and thus run # a quote for a ticker that it already streaming and thus run
# into state clobbering (eg. List: Ticker.ticks). It probably # into state clobbering (eg. list: Ticker.ticks). It probably
# makes sense to try this once we get the pub-sub working on # makes sense to try this once we get the pub-sub working on
# individual symbols... # individual symbols...
@ -483,6 +511,7 @@ class Client:
price: float, price: float,
action: str, action: str,
size: int, size: int,
account: str = '', # if blank the "default" tws account is used
# XXX: by default 0 tells ``ib_insync`` methods that there is no # XXX: by default 0 tells ``ib_insync`` methods that there is no
# existing order so ask the client to create a new one (which it # existing order so ask the client to create a new one (which it
@ -505,6 +534,7 @@ class Client:
Order( Order(
orderId=reqid or 0, # stupid api devs.. orderId=reqid or 0, # stupid api devs..
action=action.upper(), # BUY/SELL action=action.upper(), # BUY/SELL
account=account,
orderType='LMT', orderType='LMT',
lmtPrice=price, lmtPrice=price,
totalQuantity=size, totalQuantity=size,
@ -556,7 +586,7 @@ class Client:
else: else:
item = ('status', obj) item = ('status', obj)
log.info(f'eventkit event -> {eventkit_obj}: {item}') log.info(f'eventkit event ->\n{pformat(item)}')
try: try:
to_trio.send_nowait(item) to_trio.send_nowait(item)
@ -630,7 +660,7 @@ class Client:
async def positions( async def positions(
self, self,
account: str = '', account: str = '',
) -> List[Position]: ) -> list[Position]:
""" """
Retrieve position info for ``account``. Retrieve position info for ``account``.
""" """
@ -688,6 +718,10 @@ async def _aio_get_client(
# grab first cached client # grab first cached client
client = list(_client_cache.values())[0] client = list(_client_cache.values())[0]
if not client.ib.isConnected():
# we have a stale client to re-allocate
raise KeyError
yield client yield client
except (KeyError, IndexError): except (KeyError, IndexError):
@ -767,7 +801,6 @@ async def _aio_run_client_method(
kwargs['to_trio'] = to_trio kwargs['to_trio'] = to_trio
log.runtime(f'Running {meth}({kwargs})') log.runtime(f'Running {meth}({kwargs})')
return await async_meth(**kwargs) return await async_meth(**kwargs)
@ -1034,12 +1067,12 @@ asset_type_map = {
} }
_quote_streams: Dict[str, trio.abc.ReceiveStream] = {} _quote_streams: dict[str, trio.abc.ReceiveStream] = {}
async def _setup_quote_stream( async def _setup_quote_stream(
symbol: str, symbol: str,
opts: Tuple[int] = ('375', '233', '236'), opts: tuple[int] = ('375', '233', '236'),
contract: Optional[Contract] = None, contract: Optional[Contract] = None,
) -> None: ) -> None:
"""Stream a ticker using the std L1 api. """Stream a ticker using the std L1 api.
@ -1075,6 +1108,11 @@ async def _setup_quote_stream(
# decouple broadcast mem chan # decouple broadcast mem chan
_quote_streams.pop(symbol, None) _quote_streams.pop(symbol, None)
# except trio.WouldBlock:
# # for slow debugging purposes to avoid clobbering prompt
# # with log msgs
# pass
ticker.updateEvent.connect(push) ticker.updateEvent.connect(push)
return from_aio return from_aio
@ -1110,13 +1148,13 @@ async def start_aio_quote_stream(
async def stream_quotes( async def stream_quotes(
send_chan: trio.abc.SendChannel, send_chan: trio.abc.SendChannel,
symbols: List[str], symbols: list[str],
shm: ShmArray, shm: ShmArray,
feed_is_live: trio.Event, feed_is_live: trio.Event,
loglevel: str = None, loglevel: str = None,
# startup sync # startup sync
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED, task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
) -> None: ) -> None:
"""Stream symbol quotes. """Stream symbol quotes.
@ -1247,7 +1285,7 @@ async def stream_quotes(
# last = time.time() # last = time.time()
def pack_position(pos: Position) -> Dict[str, Any]: def pack_position(pos: Position) -> dict[str, Any]:
con = pos.contract con = pos.contract
if isinstance(con, Option): if isinstance(con, Option):
@ -1329,7 +1367,7 @@ async def trades_dialogue(
ctx: tractor.Context, ctx: tractor.Context,
loglevel: str = None, loglevel: str = None,
) -> AsyncIterator[Dict[str, Any]]: ) -> AsyncIterator[dict[str, Any]]:
# XXX: required to propagate ``tractor`` loglevel to piker logging # XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel) get_console_log(loglevel or tractor.current_actor().loglevel)
@ -1362,12 +1400,35 @@ async def trades_dialogue(
# ib-gw goes down? Not sure exactly how that's happening looking # ib-gw goes down? Not sure exactly how that's happening looking
# at the eventkit code above but we should probably handle it... # at the eventkit code above but we should probably handle it...
async for event_name, item in ib_trade_events_stream: async for event_name, item in ib_trade_events_stream:
print(f' ib sending {item}')
# 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)
# XXX: here's some other sucky cases from the api
# - short-sale but securities haven't been located, in this
# case we should probably keep the order in some kind of
# weird state or cancel it outright?
# status='PendingSubmit', message=''),
# status='Cancelled', message='Error 404,
# reqId 1550: Order held while securities are located.'),
# status='PreSubmitted', message='')],
if event_name == 'status':
# XXX: begin normalization of nonsense ib_insync internal # XXX: begin normalization of nonsense ib_insync internal
# object-state tracking representations... # object-state tracking representations...
if event_name == 'status':
# unwrap needed data from ib_insync internal types # unwrap needed data from ib_insync internal types
trade: Trade = item trade: Trade = item
status: OrderStatus = trade.orderStatus status: OrderStatus = trade.orderStatus
@ -1378,10 +1439,13 @@ async def trades_dialogue(
reqid=trade.order.orderId, reqid=trade.order.orderId,
time_ns=time.time_ns(), # cuz why not time_ns=time.time_ns(), # cuz why not
# everyone doin camel case..
status=status.status.lower(), # force lower case status=status.status.lower(), # force lower case
filled=status.filled, filled=status.filled,
reason=status.whyHeld, reason=status.whyHeld,
# this seems to not be necessarily up to date in the # this seems to not be necessarily up to date in the
# execDetails event.. so we have to send it here I guess? # execDetails event.. so we have to send it here I guess?
remaining=status.remaining, remaining=status.remaining,
@ -1500,6 +1564,12 @@ async def open_symbol_search(
if not pattern or pattern.isspace(): if not pattern or pattern.isspace():
log.warning('empty pattern received, skipping..') log.warning('empty pattern received, skipping..')
# TODO: *BUG* if nothing is returned here the client
# side will cache a null set result and not showing
# anything to the use on re-searches when this query
# timed out. We probably need a special "timeout" msg
# or something...
# XXX: this unblocks the far end search task which may # XXX: this unblocks the far end search task which may
# hold up a multi-search nursery block # hold up a multi-search nursery block
await stream.send({}) await stream.send({})
@ -1507,22 +1577,53 @@ async def open_symbol_search(
continue continue
log.debug(f'searching for {pattern}') log.debug(f'searching for {pattern}')
# await tractor.breakpoint()
last = time.time() last = time.time()
results = await _trio_run_client_method(
# async batch search using api stocks endpoint and module
# defined adhoc symbol set.
stock_results = []
async def stash_results(target: Awaitable[list]):
stock_results.extend(await target)
async with trio.open_nursery() as sn:
sn.start_soon(
stash_results,
_trio_run_client_method(
method='search_stocks', method='search_stocks',
pattern=pattern, pattern=pattern,
upto=5, upto=5,
) )
log.debug(f'got results {results.keys()}') )
log.debug("fuzzy matching") # trigger async request
matches = fuzzy.extractBests( await trio.sleep(0)
# match against our ad-hoc set immediately
adhoc_matches = fuzzy.extractBests(
pattern, pattern,
results, list(_adhoc_futes_set),
score_cutoff=90,
)
log.info(f'fuzzy matched adhocs: {adhoc_matches}')
adhoc_match_results = {}
if adhoc_matches:
# TODO: do we need to pull contract details?
adhoc_match_results = {i[0]: {} for i in adhoc_matches}
log.debug(f'fuzzy matching stocks {stock_results}')
stock_matches = fuzzy.extractBests(
pattern,
stock_results,
score_cutoff=50, score_cutoff=50,
) )
matches = {item[2]: item[0] for item in matches} matches = adhoc_match_results | {
item[0]: {} for item in stock_matches
}
# TODO: we used to deliver contract details
# {item[2]: item[0] for item in stock_matches}
log.debug(f"sending matches: {matches.keys()}") log.debug(f"sending matches: {matches.keys()}")
await stream.send(matches) await stream.send(matches)