Use `tractor.to_asyncio.open_channel_from()` in ib backend
Tyler Goodlet
parent
980a6dde05
commit
af0503956a
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@ -21,7 +21,7 @@ Note the client runs under an ``asyncio`` loop (since ``ib_insync`` is
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built on it) and thus actor aware API calls must be spawned with
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``infected_aio==True``.
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"""
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict
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from datetime import datetime
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from functools import partial
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@ -570,66 +570,6 @@ class Client:
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)
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)
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async def recv_trade_updates(
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self,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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self.inline_errors(to_trio)
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def push_tradesies(eventkit_obj, obj, fill=None):
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"""Push events to trio task.
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"""
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if fill is not None:
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# execution details event
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item = ('fill', (obj, fill))
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elif eventkit_obj.name() == 'positionEvent':
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item = ('position', obj)
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else:
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item = ('status', obj)
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log.info(f'eventkit event ->\n{pformat(item)}')
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try:
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to_trio.send_nowait(item)
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except trio.BrokenResourceError:
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log.exception(f'Disconnected from {eventkit_obj} updates')
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eventkit_obj.disconnect(push_tradesies)
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# hook up to the weird eventkit object - event stream api
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for ev_name in [
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'orderStatusEvent', # all order updates
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'execDetailsEvent', # all "fill" updates
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'positionEvent', # avg price updates per symbol per account
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# 'commissionReportEvent',
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# XXX: ugh, it is a separate event from IB and it's
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# emitted as follows:
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# self.ib.commissionReportEvent.emit(trade, fill, report)
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# XXX: not sure yet if we need these
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# 'updatePortfolioEvent',
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# XXX: these all seem to be weird ib_insync intrernal
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# events that we probably don't care that much about
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# given the internal design is wonky af..
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# 'newOrderEvent',
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# 'orderModifyEvent',
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# 'cancelOrderEvent',
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# 'openOrderEvent',
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]:
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eventkit_obj = getattr(self.ib, ev_name)
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handler = partial(push_tradesies, eventkit_obj)
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eventkit_obj.connect(handler)
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# let the engine run and stream
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await self.ib.disconnectedEvent
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def inline_errors(
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self,
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to_trio: trio.abc.SendChannel,
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@ -675,6 +615,71 @@ class Client:
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return self.ib.positions(account=account)
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async def recv_trade_updates(
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client: Client,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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client.inline_errors(to_trio)
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# sync with trio task
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to_trio.send_nowait(None)
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def push_tradesies(eventkit_obj, obj, fill=None):
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"""Push events to trio task.
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"""
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if fill is not None:
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# execution details event
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item = ('fill', (obj, fill))
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elif eventkit_obj.name() == 'positionEvent':
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item = ('position', obj)
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else:
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item = ('status', obj)
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log.info(f'eventkit event ->\n{pformat(item)}')
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try:
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to_trio.send_nowait(item)
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except trio.BrokenResourceError:
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log.exception(f'Disconnected from {eventkit_obj} updates')
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eventkit_obj.disconnect(push_tradesies)
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# hook up to the weird eventkit object - event stream api
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for ev_name in [
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'orderStatusEvent', # all order updates
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'execDetailsEvent', # all "fill" updates
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'positionEvent', # avg price updates per symbol per account
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# 'commissionReportEvent',
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# XXX: ugh, it is a separate event from IB and it's
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# emitted as follows:
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# self.ib.commissionReportEvent.emit(trade, fill, report)
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# XXX: not sure yet if we need these
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# 'updatePortfolioEvent',
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# XXX: these all seem to be weird ib_insync intrernal
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# events that we probably don't care that much about
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# given the internal design is wonky af..
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# 'newOrderEvent',
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# 'orderModifyEvent',
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# 'cancelOrderEvent',
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# 'openOrderEvent',
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]:
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eventkit_obj = getattr(client.ib, ev_name)
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handler = partial(push_tradesies, eventkit_obj)
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eventkit_obj.connect(handler)
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# let the engine run and stream
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await client.ib.disconnectedEvent
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# default config ports
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_tws_port: int = 7497
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_gw_port: int = 4002
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@ -705,7 +710,7 @@ def get_config() -> dict[str, Any]:
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_accounts2clients: dict[str, Client] = {}
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@asynccontextmanager
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@acm
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async def load_aio_clients(
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host: str = '127.0.0.1',
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@ -756,119 +761,136 @@ async def load_aio_clients(
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accounts_def = config.load_accounts(['ib'])
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try_ports = list(ports.values())
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ports = try_ports if port is None else [port]
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we_connected = []
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# we_connected = []
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connect_timeout = 0.5 if platform.system() != 'Windows' else 1
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combos = list(itertools.product(hosts, ports))
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# allocate new and/or reload disconnected but cached clients
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try:
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# TODO: support multiple clients allowing for execution on
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# multiple accounts (including a paper instance running on the
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# same machine) and switching between accounts in the EMs
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# try:
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# TODO: support multiple clients allowing for execution on
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# multiple accounts (including a paper instance running on the
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# same machine) and switching between accounts in the EMs
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_err = None
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_err = None
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# (re)load any and all clients that can be found
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# from connection details in ``brokers.toml``.
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for host, port in combos:
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# (re)load any and all clients that can be found
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# from connection details in ``brokers.toml``.
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for host, port in combos:
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sockaddr = (host, port)
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client = _client_cache.get(sockaddr)
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accounts_found: dict[str, Client] = {}
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sockaddr = (host, port)
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client = _client_cache.get(sockaddr)
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accounts_found: dict[str, Client] = {}
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if (
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client and client.ib.isConnected() or
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sockaddr in _scan_ignore
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):
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continue
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if (
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client and client.ib.isConnected() or
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sockaddr in _scan_ignore
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):
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continue
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try:
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ib = NonShittyIB()
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try:
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ib = NonShittyIB()
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# if this is a persistent brokerd, try to allocate
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# a new id for each client
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client_id = next(_client_ids)
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# XXX: not sure if we ever really need to increment the
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# client id if teardown is sucessful.
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client_id = 616
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await ib.connectAsync(
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host,
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port,
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clientId=client_id,
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await ib.connectAsync(
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host,
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port,
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clientId=client_id,
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# this timeout is sensative on windows and will
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# fail without a good "timeout error" so be
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# careful.
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timeout=connect_timeout,
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)
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# this timeout is sensative on windows and will
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# fail without a good "timeout error" so be
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# careful.
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timeout=connect_timeout,
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)
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# create and cache client
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client = Client(ib)
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# create and cache client
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client = Client(ib)
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# Pre-collect all accounts available for this
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# connection and map account names to this client
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# instance.
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pps = ib.positions()
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if pps:
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for pp in pps:
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accounts_found[
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accounts_def.inverse[pp.account]
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] = client
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# Pre-collect all accounts available for this
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# connection and map account names to this client
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# instance.
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pps = ib.positions()
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if pps:
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for pp in pps:
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accounts_found[
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accounts_def.inverse[pp.account]
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] = client
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# if there are no positions or accounts
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# without positions we should still register
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# them for this client
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for value in ib.accountValues():
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acct = value.account
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if acct not in accounts_found:
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accounts_found[
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accounts_def.inverse[acct]
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] = client
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# if there are no positions or accounts
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# without positions we should still register
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# them for this client
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for value in ib.accountValues():
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acct = value.account
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if acct not in accounts_found:
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accounts_found[
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accounts_def.inverse[acct]
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] = client
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log.info(
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f'Loaded accounts for client @ {host}:{port}\n'
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f'{pformat(accounts_found)}'
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)
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log.info(
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f'Loaded accounts for client @ {host}:{port}\n'
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f'{pformat(accounts_found)}'
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)
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# update all actor-global caches
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log.info(f"Caching client for {(host, port)}")
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_client_cache[(host, port)] = client
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we_connected.append(client)
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_accounts2clients.update(accounts_found)
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# update all actor-global caches
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log.info(f"Caching client for {(host, port)}")
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_client_cache[(host, port)] = client
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except (
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ConnectionRefusedError,
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# we_connected.append((host, port, client))
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# TODO: if trying to scan for remote api clients
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# pretty sure we need to catch this, though it
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# definitely needs a shorter timeout since it hangs
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# for like 5s..
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asyncio.exceptions.TimeoutError,
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OSError,
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) as ce:
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_err = ce
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log.warning(f'Failed to connect on {port}')
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# TODO: don't do it this way, get a gud to_asyncio
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# context / .start() system goin..
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def pop_and_discon():
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log.info(f'Disconnecting client {client}')
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client.ib.disconnect()
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_client_cache.pop((host, port), None)
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# cache logic to avoid rescanning if we already have all
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# clients loaded.
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_scan_ignore.add(sockaddr)
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else:
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if not _client_cache:
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raise ConnectionError(
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'No ib APIs could be found scanning @:\n'
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f'{pformat(combos)}\n'
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'Check your `brokers.toml` and/or network'
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) from _err
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# NOTE: the above callback **CAN'T FAIL** or shm won't get
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# torn down correctly ...
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tractor._actor._lifetime_stack.callback(pop_and_discon)
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# retreive first loaded client
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clients = list(_client_cache.values())
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if clients:
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client = clients[0]
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_accounts2clients.update(accounts_found)
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yield client, _client_cache, _accounts2clients
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except (
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ConnectionRefusedError,
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except BaseException:
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for client in we_connected:
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client.ib.disconnect()
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raise
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# TODO: if trying to scan for remote api clients
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# pretty sure we need to catch this, though it
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# definitely needs a shorter timeout since it hangs
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# for like 5s..
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asyncio.exceptions.TimeoutError,
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OSError,
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) as ce:
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_err = ce
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log.warning(f'Failed to connect on {port}')
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# cache logic to avoid rescanning if we already have all
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# clients loaded.
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_scan_ignore.add(sockaddr)
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else:
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if not _client_cache:
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raise ConnectionError(
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'No ib APIs could be found scanning @:\n'
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f'{pformat(combos)}\n'
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'Check your `brokers.toml` and/or network'
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) from _err
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# retreive first loaded client
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clients = list(_client_cache.values())
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if clients:
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client = clients[0]
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yield client, _client_cache, _accounts2clients
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# TODO: this in a way that works xD
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# finally:
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# pass
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# # async with trio.CancelScope(shield=True):
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# for host, port, client in we_connected:
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# client.ib.disconnect()
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# _client_cache.pop((host, port))
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# raise
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async def _aio_run_client_method(
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@ -909,16 +931,16 @@ async def _trio_run_client_method(
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assert ca.is_infected_aio()
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# if the method is an *async gen* stream for it
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meth = getattr(Client, method)
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# meth = getattr(Client, method)
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args = tuple(inspect.getfullargspec(meth).args)
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# args = tuple(inspect.getfullargspec(meth).args)
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if inspect.isasyncgenfunction(meth) or (
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# if the method is an *async func* but manually
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# streams back results, make sure to also stream it
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'to_trio' in args
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):
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kwargs['_treat_as_stream'] = True
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# if inspect.isasyncgenfunction(meth) or (
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# # if the method is an *async func* but manually
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# # streams back results, make sure to also stream it
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# 'to_trio' in args
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# ):
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# kwargs['_treat_as_stream'] = True
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return await tractor.to_asyncio.run_task(
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_aio_run_client_method,
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@ -968,7 +990,7 @@ def get_client_proxy(
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return proxy
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@asynccontextmanager
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@acm
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async def get_client(
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**kwargs,
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) -> Client:
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@ -1037,8 +1059,10 @@ def normalize(
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async def get_bars(
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sym: str,
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end_dt: str = "",
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) -> (dict, np.ndarray):
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_err: Optional[Exception] = None
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@ -1066,10 +1090,20 @@ async def get_bars(
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# TODO: retreive underlying ``ib_insync`` error?
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if err.code == 162:
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# TODO: so this error is normally raised (it seems) if
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# we try to retrieve history for a time range for which
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# there is none. in that case we should not only report
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# the "empty range" but also do a iteration on the time
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# step for ``next_dt`` to see if we can pull older
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# history.
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if 'HMDS query returned no data' in err.message:
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# means we hit some kind of historical "dead zone"
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# and further requests seem to always cause
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# throttling despite the rps being low
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# means we hit some kind of historical "empty space"
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# and further requests will need to decrement the
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# start time dt in order to not receive a further
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# error?
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# OLDER: seem to always cause throttling despite low rps
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# raise err
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break
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elif 'No market data permissions for' in err.message:
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@ -1092,8 +1126,7 @@ async def get_bars(
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fails += 1
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continue
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return (None, None)
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return None, None
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# else: # throttle wasn't fixed so error out immediately
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# raise _err
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@ -1108,7 +1141,7 @@ async def backfill_bars(
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# on that until we have the `marketstore` daemon in place in which
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# case the shm size will be driven by user config and available sys
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# memory.
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count: int = 24,
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count: int = 16,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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@ -1119,7 +1152,13 @@ async def backfill_bars(
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https://github.com/pikers/piker/issues/128
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"""
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(first_bars, bars_array, next_dt), fails = await get_bars(sym)
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out, fails = await get_bars(sym)
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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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(first_bars, bars_array, next_dt) = out
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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# write historical data to buffer
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shm.push(bars_array)
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@ -1182,14 +1221,21 @@ _quote_streams: dict[str, trio.abc.ReceiveStream] = {}
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async def _setup_quote_stream(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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symbol: str,
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opts: tuple[int] = ('375', '233', '236'),
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contract: Optional[Contract] = None,
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) -> None:
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) -> trio.abc.ReceiveChannel:
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"""Stream a ticker using the std L1 api.
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"""
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global _quote_streams
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to_trio.send_nowait(None)
|
||||
|
||||
async with load_aio_clients() as (
|
||||
client,
|
||||
clients,
|
||||
|
|
@ -1198,29 +1244,40 @@ async def _setup_quote_stream(
|
|||
contract = contract or (await client.find_contract(symbol))
|
||||
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
||||
|
||||
# define a simple queue push routine that streams quote packets
|
||||
# to trio over the ``to_trio`` memory channel.
|
||||
to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||
# # define a simple queue push routine that streams quote packets
|
||||
# # to trio over the ``to_trio`` memory channel.
|
||||
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||
def teardown():
|
||||
ticker.updateEvent.disconnect(push)
|
||||
log.error(f"Disconnected stream for `{symbol}`")
|
||||
client.ib.cancelMktData(contract)
|
||||
|
||||
def push(t):
|
||||
"""Push quotes to trio task.
|
||||
# decouple broadcast mem chan
|
||||
_quote_streams.pop(symbol, None)
|
||||
|
||||
def push(t: Ticker) -> None:
|
||||
"""
|
||||
Push quotes to trio task.
|
||||
|
||||
"""
|
||||
# log.debug(t)
|
||||
try:
|
||||
to_trio.send_nowait(t)
|
||||
|
||||
except trio.BrokenResourceError:
|
||||
except (
|
||||
trio.BrokenResourceError,
|
||||
|
||||
# XXX: HACK, not sure why this gets left stale (probably
|
||||
# due to our terrible ``tractor.to_asyncio``
|
||||
# implementation for streams.. but if the mem chan
|
||||
# gets left here and starts blocking just kill the feed?
|
||||
# trio.WouldBlock,
|
||||
):
|
||||
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
||||
# reason will catch and ignore regular exceptions
|
||||
# resulting in tracebacks spammed to console..
|
||||
# Manually do the dereg ourselves.
|
||||
ticker.updateEvent.disconnect(push)
|
||||
log.error(f"Disconnected stream for `{symbol}`")
|
||||
client.ib.cancelMktData(contract)
|
||||
|
||||
# decouple broadcast mem chan
|
||||
_quote_streams.pop(symbol, None)
|
||||
teardown()
|
||||
|
||||
# except trio.WouldBlock:
|
||||
# # for slow debugging purposes to avoid clobbering prompt
|
||||
|
|
@ -1228,35 +1285,43 @@ async def _setup_quote_stream(
|
|||
# pass
|
||||
|
||||
ticker.updateEvent.connect(push)
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
finally:
|
||||
teardown()
|
||||
|
||||
return from_aio
|
||||
# return from_aio
|
||||
|
||||
|
||||
async def start_aio_quote_stream(
|
||||
@acm
|
||||
async def open_aio_quote_stream(
|
||||
|
||||
symbol: str,
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
from tractor.trionics import broadcast_receiver
|
||||
global _quote_streams
|
||||
|
||||
from_aio = _quote_streams.get(symbol)
|
||||
if from_aio:
|
||||
|
||||
# if we already have a cached feed deliver a rx side clone to consumer
|
||||
return from_aio.clone()
|
||||
async with broadcast_receiver(from_aio) as from_aio:
|
||||
yield from_aio
|
||||
return
|
||||
|
||||
else:
|
||||
|
||||
from_aio = await tractor.to_asyncio.run_task(
|
||||
_setup_quote_stream,
|
||||
symbol=symbol,
|
||||
contract=contract,
|
||||
)
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
_setup_quote_stream,
|
||||
symbol=symbol,
|
||||
contract=contract,
|
||||
) as (first, from_aio):
|
||||
|
||||
# cache feed for later consumers
|
||||
_quote_streams[symbol] = from_aio
|
||||
|
||||
return from_aio
|
||||
yield from_aio
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
|
@ -1285,116 +1350,120 @@ async def stream_quotes(
|
|||
symbol=sym,
|
||||
)
|
||||
|
||||
stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
||||
# stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
||||
async with open_aio_quote_stream(
|
||||
symbol=sym, contract=contract
|
||||
) as stream:
|
||||
|
||||
# pass back some symbol info like min_tick, trading_hours, etc.
|
||||
syminfo = asdict(details)
|
||||
syminfo.update(syminfo['contract'])
|
||||
# pass back some symbol info like min_tick, trading_hours, etc.
|
||||
syminfo = asdict(details)
|
||||
syminfo.update(syminfo['contract'])
|
||||
|
||||
# nested dataclass we probably don't need and that won't IPC serialize
|
||||
syminfo.pop('secIdList')
|
||||
# nested dataclass we probably don't need and that won't IPC serialize
|
||||
syminfo.pop('secIdList')
|
||||
|
||||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
|
||||
# for "traditional" assets, volume is normally discreet, not a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
# for "traditional" assets, volume is normally discreet, not a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
|
||||
# TODO: for loop through all symbols passed in
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': syminfo,
|
||||
# TODO: for loop through all symbols passed in
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': syminfo,
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
con = first_ticker.contract
|
||||
con = first_ticker.contract
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
# 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):
|
||||
# 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
|
||||
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
|
||||
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
|
||||
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}
|
||||
# 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 = []
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is stateful trash)
|
||||
first_ticker.ticks = []
|
||||
|
||||
log.debug(f"First ticker received {quote}")
|
||||
log.debug(f"First ticker received {quote}")
|
||||
|
||||
task_status.started((init_msgs, first_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
|
||||
async with aclosing(stream):
|
||||
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
||||
# suffix = 'exchange'
|
||||
# calc_price = False # should be real volume for contract
|
||||
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
|
||||
ticker = await stream.receive()
|
||||
ticker = await stream.receive()
|
||||
|
||||
# for a real volume contract we rait for the first
|
||||
# "real" trade to take place
|
||||
if not calc_price and not ticker.rtTime:
|
||||
# spin consuming tickers until we get a real market datum
|
||||
log.debug(f"New unsent ticker: {ticker}")
|
||||
continue
|
||||
else:
|
||||
log.debug("Received first real volume tick")
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is truly stateful trash)
|
||||
ticker.ticks = []
|
||||
# for a real volume contract we rait for the first
|
||||
# "real" trade to take place
|
||||
if not calc_price and not ticker.rtTime:
|
||||
# spin consuming tickers until we get a real
|
||||
# market datum
|
||||
log.debug(f"New unsent ticker: {ticker}")
|
||||
continue
|
||||
else:
|
||||
log.debug("Received first real volume tick")
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is truly stateful trash)
|
||||
ticker.ticks = []
|
||||
|
||||
# XXX: this works because we don't use
|
||||
# ``aclosing()`` above?
|
||||
break
|
||||
# XXX: this works because we don't use
|
||||
# ``aclosing()`` above?
|
||||
break
|
||||
|
||||
# tell caller quotes are now coming in live
|
||||
feed_is_live.set()
|
||||
# tell caller quotes are now coming in live
|
||||
feed_is_live.set()
|
||||
|
||||
# last = time.time()
|
||||
async with aclosing(stream):
|
||||
async for ticker in stream:
|
||||
# print(f'ticker rate: {1/(time.time() - last)}')
|
||||
|
||||
# print(ticker.vwap)
|
||||
quote = normalize(
|
||||
ticker,
|
||||
calc_price=calc_price
|
||||
)
|
||||
|
||||
quote['symbol'] = topic
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
ticker.ticks = []
|
||||
# last = time.time()
|
||||
async for ticker in stream:
|
||||
# print(f'ticker rate: {1/(time.time() - last)}')
|
||||
|
||||
# print(ticker.vwap)
|
||||
quote = normalize(
|
||||
ticker,
|
||||
calc_price=calc_price
|
||||
)
|
||||
|
||||
quote['symbol'] = topic
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
ticker.ticks = []
|
||||
# last = time.time()
|
||||
|
||||
|
||||
def pack_position(
|
||||
|
|
@ -1536,14 +1605,25 @@ async def trades_dialogue(
|
|||
accounts = set()
|
||||
|
||||
clients: list[tuple[Client, trio.MemoryReceiveChannel]] = []
|
||||
for account, client in _accounts2clients.items():
|
||||
async with trio.open_nursery() as nurse:
|
||||
for account, client in _accounts2clients.items():
|
||||
|
||||
# each client to an api endpoint will have it's own event stream
|
||||
trade_event_stream = await _trio_run_client_method(
|
||||
method='recv_trade_updates',
|
||||
client=client,
|
||||
)
|
||||
clients.append((client, trade_event_stream))
|
||||
async def open_stream(
|
||||
task_status: TaskStatus[
|
||||
trio.abc.ReceiveChannel
|
||||
] = trio.TASK_STATUS_IGNORED,
|
||||
):
|
||||
# each api client has a unique event stream
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
recv_trade_updates,
|
||||
client=client,
|
||||
) as (first, trade_event_stream):
|
||||
task_status.started(trade_event_stream)
|
||||
await trio.sleep_forever()
|
||||
|
||||
trade_event_stream = await nurse.start(open_stream)
|
||||
|
||||
clients.append((client, trade_event_stream))
|
||||
|
||||
for client in _client_cache.values():
|
||||
for pos in client.positions():
|
||||
|
|
@ -1552,26 +1632,29 @@ async def trades_dialogue(
|
|||
accounts.add(msg.account)
|
||||
all_positions.append(msg.dict())
|
||||
|
||||
await ctx.started((all_positions, accounts))
|
||||
await ctx.started((
|
||||
all_positions,
|
||||
tuple(name for name in accounts_def if name in accounts),
|
||||
))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
# start order request handler **before** local trades event loop
|
||||
n.start_soon(handle_order_requests, ems_stream, accounts_def)
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
# start order request handler **before** local trades event loop
|
||||
n.start_soon(handle_order_requests, ems_stream, accounts_def)
|
||||
|
||||
# allocate event relay tasks for each client connection
|
||||
for client, stream in clients:
|
||||
n.start_soon(
|
||||
deliver_trade_events,
|
||||
stream,
|
||||
ems_stream,
|
||||
accounts_def
|
||||
)
|
||||
# allocate event relay tasks for each client connection
|
||||
for client, stream in clients:
|
||||
n.start_soon(
|
||||
deliver_trade_events,
|
||||
stream,
|
||||
ems_stream,
|
||||
accounts_def
|
||||
)
|
||||
|
||||
# block until cancelled
|
||||
await trio.sleep_forever()
|
||||
# block until cancelled
|
||||
await trio.sleep_forever()
|
||||
|
||||
|
||||
async def deliver_trade_events(
|
||||
|
|
|
|||
Loading…
Reference in New Issue