Add context-styled `asyncio` client proxy for ib
This adds a new client manager-factory: `open_client_proxy()` which uses the newer `tractor.to_asyncio.open_channel_from()` (and thus the inter-loop-task-channel style) a `aio_client_method_relay()` and a re-implemented `MethodProxy` wrapper to allow transparently calling `asyncio` client methods from `trio` tasks. Use this proxy in the history backfiller task and add a new (prototype) `open_history_client()` which will be used in the new storage management layer. Drop `get_client()` which was the portal wrapping equivalent of the same proxy but with a one-task-per-call approach. Oh, and `Client.bars()` can take `datetime`, so let's use it B)broker_bumpz
Tyler Goodlet
parent
7936dcafbf
commit
b26b66cc66
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@ -29,8 +29,9 @@ from functools import partial
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import itertools
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from math import isnan
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from typing import (
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Any, Optional,
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Any, Callable, Optional,
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AsyncIterator, Awaitable,
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Union,
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)
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import asyncio
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from pprint import pformat
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@ -43,6 +44,7 @@ import time
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import trio
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from trio_typing import TaskStatus
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import tractor
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from tractor import to_asyncio
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from async_generator import aclosing
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails, Option
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@ -58,7 +60,7 @@ import numpy as np
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from .. import config
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from ..log import get_logger, get_console_log
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from .._daemon import maybe_spawn_brokerd
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# from .._daemon import maybe_spawn_brokerd
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from ..data._source import from_df
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from ..data._sharedmem import ShmArray
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from ._util import SymbolNotFound, NoData
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@ -217,11 +219,12 @@ _enters = 0
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class Client:
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"""IB wrapped for our broker backend API.
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'''
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IB wrapped for our broker backend API.
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Note: this client requires running inside an ``asyncio`` loop.
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"""
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'''
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_contracts: dict[str, Contract] = {}
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def __init__(
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@ -242,20 +245,22 @@ class Client:
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self,
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symbol: str,
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# EST in ISO 8601 format is required... below is EPOCH
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start_dt: str = "1970-01-01T00:00:00.000000-05:00",
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end_dt: str = "",
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start_dt: Union[datetime, str] = "1970-01-01T00:00:00.000000-05:00",
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end_dt: Union[datetime, str ] = "",
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sample_period_s: str = 1, # ohlc sample period
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period_count: int = int(2e3), # <- max per 1s sample query
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is_paid_feed: bool = False, # placeholder
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) -> list[dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""
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'''
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Retreive OHLCV bars for a symbol over a range to the present.
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'''
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bars_kwargs = {'whatToShow': 'TRADES'}
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global _enters
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print(f'ENTER BARS {_enters}')
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print(f'ENTER BARS {_enters} @ end={end_dt}')
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_enters += 1
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contract = await self.find_contract(symbol)
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@ -984,7 +989,7 @@ async def _trio_run_client_method(
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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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return await to_asyncio.run_task(
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_aio_run_client_method,
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meth=method,
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client=client,
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@ -992,60 +997,119 @@ async def _trio_run_client_method(
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)
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class _MethodProxy:
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class MethodProxy:
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def __init__(
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self,
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portal: tractor.Portal
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chan: to_asyncio.LinkedTaskChannel,
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) -> None:
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self._portal = portal
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self.chan = chan
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async def _run_method(
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self,
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*,
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meth: str = None,
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**kwargs
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) -> Any:
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return await self._portal.run(
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_trio_run_client_method,
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method=meth,
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**kwargs
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)
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'''
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Make a ``Client`` method call by requesting through the
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``tractor.to_asyncio`` layer.
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'''
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chan = self.chan
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# send through method + ``kwargs: dict`` as pair
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await chan.send((meth, kwargs))
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return await chan.receive()
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def get_client_proxy(
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async def open_aio_client_method_relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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portal: tractor.Portal,
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target=Client,
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) -> None:
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) -> _MethodProxy:
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proxy = _MethodProxy(portal)
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# mock all remote methods
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for name, method in inspect.getmembers(
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target, predicate=inspect.isfunction
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async with load_aio_clients() as (
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client,
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clients,
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accts2clients,
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):
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if '_' == name[0]:
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continue
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setattr(proxy, name, partial(proxy._run_method, meth=name))
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to_trio.send_nowait(client)
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return proxy
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# relay all method requests to ``asyncio``-side client and
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# deliver back results
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while True:
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msg = await from_trio.get()
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meth_name, kwargs = msg
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meth = getattr(client, meth_name)
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resp = await meth(**kwargs)
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# echo the msg back
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to_trio.send_nowait(resp)
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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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"""Init the ``ib_insync`` client in another actor and return
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a method proxy to it.
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"""
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async with maybe_spawn_brokerd(
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brokername='ib',
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infect_asyncio=True,
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**kwargs
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) as portal:
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proxy_client = get_client_proxy(portal)
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yield proxy_client
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async def open_client_proxy() -> MethodProxy:
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try:
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async with to_asyncio.open_channel_from(
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open_aio_client_method_relay,
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) as (first, chan):
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assert isinstance(first, Client)
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proxy = MethodProxy(chan)
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# mock all remote methods on ib ``Client``.
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for name, method in inspect.getmembers(
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Client, predicate=inspect.isfunction
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):
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if '_' == name[0]:
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continue
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setattr(proxy, name, partial(proxy._run_method, meth=name))
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yield proxy
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except RequestError as err:
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code, msg = err.code, err.message
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# TODO: retreive underlying ``ib_insync`` error?
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if (
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code == 162 and (
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'HMDS query returned no data' in msg
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or 'No market data permissions for' in msg
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)
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):
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# these cases should not cause a task crash
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log.warning(msg)
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else:
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raise
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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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# '''
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# Init the ``ib_insync`` client in another actor and return
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# a method proxy to it.
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# '''
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# async with (
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# maybe_spawn_brokerd(
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# brokername='ib',
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# infect_asyncio=True,
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# **kwargs
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# ) as portal,
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# ):
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# assert 0
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# TODO: the IPC via portal relay layer for when this current
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# actor isn't in aio mode.
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# open_client_proxy() as proxy,
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# yield proxy
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# https://interactivebrokers.github.io/tws-api/tick_types.html
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@ -1126,27 +1190,32 @@ def normalize(
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async def get_bars(
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proxy: MethodProxy,
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sym: str,
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end_dt: str = "",
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) -> (dict, np.ndarray):
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'''
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Retrieve historical data from a ``trio``-side task using
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a ``MethoProxy``.
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'''
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_err: Optional[Exception] = None
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fails = 0
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bars: Optional[list] = None
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for _ in range(2):
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try:
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bars, bars_array = await _trio_run_client_method(
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method='bars',
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bars, bars_array = await proxy.bars(
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symbol=sym,
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end_dt=end_dt,
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)
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if bars_array is None:
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raise SymbolNotFound(sym)
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next_dt = bars[0].date
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print(f'ib datetime {next_dt}')
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return (bars, bars_array, next_dt), fails
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@ -1169,8 +1238,16 @@ async def get_bars(
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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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# TODO: if there is not bars returned from the first
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# query we need to manually calculate the next step
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# back and convert to an expected datetime format.
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# if not bars:
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# raise
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# try to decrement start point and look further back
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next_dt = bars[0].date
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print(f'ib datetime {next_dt}')
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continue
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elif 'No market data permissions for' in err.message:
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@ -1197,6 +1274,41 @@ async def get_bars(
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# raise _err
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@acm
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async def open_history_client(
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symbol: str,
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) -> tuple[Callable, int]:
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async with open_client_proxy() as proxy:
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async def get_hist(
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end_dt: str,
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start_dt: str = '',
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) -> tuple[np.ndarray, str]:
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out, fails = await get_bars(proxy, symbol, end_dt=end_dt)
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# TODO: add logic here to handle tradable hours and only grab
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# valid bars in the range
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if out == (None, None):
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# could be trying to retreive bars over weekend
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log.error(f"Can't grab bars starting at {end_dt}!?!?")
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raise NoData(f'{end_dt}')
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bars, bars_array, next_dt = out
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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return bars_array, next_dt
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yield get_hist
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async def backfill_bars(
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sym: str,
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@ -1219,56 +1331,60 @@ async def backfill_bars(
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https://github.com/pikers/piker/issues/128
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'''
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if platform.system() == 'Windows':
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log.warning(
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'Decreasing history query count to 4 since, windows...')
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count = 4
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# async with open_history_client(sym) as proxy:
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async with open_client_proxy() as proxy:
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out, fails = await get_bars(sym)
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if platform.system() == 'Windows':
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log.warning(
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'Decreasing history query count to 4 since, windows...')
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count = 4
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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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out, fails = await get_bars(proxy, sym)
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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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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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# write historical data to buffer
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shm.push(bars_array)
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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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with trio.CancelScope() as cs:
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# write historical data to buffer
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shm.push(bars_array)
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task_status.started(cs)
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with trio.CancelScope() as cs:
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i = 0
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while i < count:
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task_status.started(cs)
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out, fails = await get_bars(sym, end_dt=next_dt)
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i = 0
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while i < count:
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if fails is None or fails > 1:
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break
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out, fails = await get_bars(proxy, sym, end_dt=next_dt)
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if out == (None, None):
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# could be trying to retreive bars over weekend
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# TODO: add logic here to handle tradable hours and only grab
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# valid bars in the range
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log.error(f"Can't grab bars starting at {next_dt}!?!?")
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continue
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if fails is None or fails > 1:
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break
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bars, bars_array, next_dt = out
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if out == (None, None):
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# could be trying to retreive bars over weekend
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# TODO: add logic here to handle tradable hours and
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# only grab valid bars in the range
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log.error(f"Can't grab bars starting at {next_dt}!?!?")
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continue
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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# TODO we should probably dig into forums to see what peeps
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# think this data "means" and then use it as an indicator of
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# sorts? dinkus has mentioned that $vlms for the day dont'
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# match other platforms nor the summary stat tws shows in
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# the monitor - it's probably worth investigating.
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bars, bars_array, next_dt = out
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shm.push(bars_array, prepend=True)
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i += 1
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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# TODO we should probably dig into forums to see what peeps
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# think this data "means" and then use it as an indicator of
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# sorts? dinkus has mentioned that $vlms for the day dont'
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# match other platforms nor the summary stat tws shows in
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# the monitor - it's probably worth investigating.
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shm.push(bars_array, prepend=True)
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i += 1
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asset_type_map = {
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Loading…
Reference in New Issue