Add a mostly actor aware API to IB backend
Infected `asyncio` support is being added to `tractor` in goodboy/tractor#121 so delegate to all that new machinery. Start building out an "actor-aware" api which takes care of all the `trio`-`asyncio` interaction for data streaming and request handling. Add a little (shudder) method proxy system which can be used to invoke client methods from another actor. Start on a streaming api in preparation for real-time charting.ib_backend
Tyler Goodlet
parent
1abadeb506
commit
b8209cd506
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@ -1,16 +1,29 @@
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"""
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Interactive Brokers API backend.
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Note the client runs under an ``asyncio`` loop (since ``ib_insync`` is
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built on it) and thus actor aware apis must be spawned with
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``infected_aio==True``.
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"""
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import asyncio
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from dataclasses import asdict
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from typing import List, Dict, Any
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from functools import partial
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import inspect
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from typing import List, Dict, Any, Tuple
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from contextlib import asynccontextmanager
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import time
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import trio
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import tractor
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from async_generator import aclosing
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import ib_insync as ibis
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from ib_insync.ticker import Ticker
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from ib_insync.contract import Contract, ContractDetails
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from ..log import get_logger, get_console_log
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log = get_logger(__name__)
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_time_frames = {
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'1s': '1 Sec',
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@ -35,14 +48,14 @@ _time_frames = {
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class Client:
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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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def __init__(
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self,
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ib: ibis.IB,
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) -> None:
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self.ib = ib
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# connect data feed callback...
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self.ib.pendingTickersEvent.connect(self.on_tickers)
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async def bars(
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self,
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@ -57,7 +70,7 @@ class Client:
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"""
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contract = ibis.ContFuture('ES', exchange='GLOBEX')
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# contract = ibis.Stock('WEED', 'SMART', 'CAD')
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bars = self.ib.reqHistoricalData(
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bars = await self.ib.reqHistoricalDataAsync(
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contract,
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endDateTime='',
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# durationStr='60 S',
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@ -88,16 +101,25 @@ class Client:
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Return a dictionary of ``upto`` entries worth of contract details.
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"""
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descriptions = self.ib.reqMatchingSymbols(pattern)
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details = {}
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for description in descriptions:
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con = description.contract
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deats = self.ib.reqContractDetails(con)
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descriptions = await self.ib.reqMatchingSymbolsAsync(pattern)
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futs = []
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for d in descriptions:
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con = d.contract
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futs.append(self.ib.reqContractDetailsAsync(con))
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# batch request all details
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results = await asyncio.gather(*futs)
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# XXX: if there is more then one entry in the details list
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details = {}
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for details_set in results:
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# then the contract is so called "ambiguous".
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for d in deats:
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for d in details_set:
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con = d.contract
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unique_sym = f'{con.symbol}.{con.primaryExchange}'
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details[unique_sym] = asdict(d) if asdicts else d
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if len(details) == upto:
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return details
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@ -118,6 +140,22 @@ class Client:
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) -> Contract:
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raise NotImplementedError
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async def stream_ticker(
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self,
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symbol: str,
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to_trio,
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opts: Tuple[int] = ('233', '375'),
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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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sym, exch = symbol.split('.')
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contract = ibis.Stock(sym.upper(), exchange=exch.upper())
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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ticker.updateEvent.connect(lambda t: to_trio.send_nowait(t))
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# let the engine run and stream
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await self.ib.disconnectedEvent
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# default config ports
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_tws_port: int = 7497
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@ -125,7 +163,7 @@ _gw_port: int = 4002
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@asynccontextmanager
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async def get_client(
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async def _aio_get_client(
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host: str = '127.0.0.1',
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port: int = None,
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client_id: int = 1,
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@ -133,8 +171,7 @@ async def get_client(
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"""Return an ``ib_insync.IB`` instance wrapped in our client API.
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"""
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ib = ibis.IB()
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# TODO: some detection magic to figure out if tws vs. the
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# gateway is up ad choose the appropriate port
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if port is None:
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ports = [_tws_port, _gw_port]
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else:
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@ -152,91 +189,170 @@ async def get_client(
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else:
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raise ConnectionRefusedError(_err)
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try:
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yield Client(ib)
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except BaseException:
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ib.disconnect()
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raise
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async def _aio_run_client_method(
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meth: str,
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to_trio,
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from_trio,
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**kwargs,
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) -> None:
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log.info("Connecting to the EYEEEEBEEEEE GATEWAYYYYYYY!")
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async with _aio_get_client() as client:
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async_meth = getattr(client, meth)
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# handle streaming methods
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args = tuple(inspect.getfullargspec(async_meth).args)
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if 'to_trio' in args:
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kwargs['to_trio'] = to_trio
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return await async_meth(**kwargs)
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async def _trio_run_client_method(
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method: str,
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**kwargs,
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) -> None:
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ca = tractor.current_actor()
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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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if inspect.isasyncgenfunction(meth):
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kwargs['_treat_as_stream'] = True
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# if the method is an async func but streams back results
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# make sure to also stream from it
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args = tuple(inspect.getfullargspec(meth).args)
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if 'to_trio' in args:
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kwargs['_treat_as_stream'] = True
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result = await tractor.to_asyncio.run_task(
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_aio_run_client_method,
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meth=method,
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**kwargs
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)
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return result
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def get_method_proxy(portal):
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class MethodProxy:
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def __init__(self, portal: tractor._portal.Portal):
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self._portal = portal
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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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__name__,
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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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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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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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return proxy
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@asynccontextmanager
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async def maybe_spawn_brokerd(
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**kwargs,
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) -> tractor._portal.Portal:
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async with tractor.find_actor('brokerd_ib') as portal:
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if portal is None: # no broker daemon created yet
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async with tractor.open_nursery() as n:
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# XXX: this needs to somehow be hidden
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portal = await n.start_actor(
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'brokerd_ib',
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rpc_module_paths=[__name__],
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infect_asyncio=True,
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)
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async with tractor.wait_for_actor(
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'brokerd_ib'
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) as portal:
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yield portal
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# client code may block indefinitely so cancel when
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# teardown is invoked
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await n.cancel()
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@asynccontextmanager
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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(**kwargs) as portal:
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yield get_method_proxy(portal)
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async def trio_stream_ticker(sym):
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get_console_log('info')
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# con_es = ibis.ContFuture('ES', exchange='GLOBEX')
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# es = ibis.Future('ES', '20200918', exchange='GLOBEX')
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stream = await tractor.to_asyncio.run_task(
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_trio_run_client_method,
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method='stream_ticker',
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symbol=sym,
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)
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async with aclosing(stream):
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async for ticker in stream:
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lft = ticker.lastFillTime
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for tick_data in ticker.ticks:
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value = tick_data._asdict()
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now = time.time()
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value['time'] = now
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value['last_fill_time'] = lft
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if lft:
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value['latency'] = now - lft
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yield value
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async def stream_from_brokerd(sym):
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async with maybe_spawn_brokerd() as portal:
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stream = await portal.run(
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__name__,
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'trio_stream_ticker',
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sym=sym,
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)
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async for tick in stream:
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print(f"trio got: {tick}")
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if __name__ == '__main__':
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import sys
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con_es = ibis.ContFuture('ES', exchange='GLOBEX')
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es = ibis.Future('ES', '20200918', exchange='GLOBEX')
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spy = ibis.Stock('SPY', exchange='ARCA')
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sym = sys.argv[1]
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# ticker = client.ib.reqTickByTickData(
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# contract,
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# tickType='Last',
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# numberOfTicks=1,
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# )
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# client.ib.reqTickByTickData(
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# contract,
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# tickType='AllLast',
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# numberOfTicks=1,
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# )
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# client.ib.reqTickByTickData(
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# contract,
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# tickType='BidAsk',
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# numberOfTicks=1,
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# )
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# ITC (inter task comms)
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from_trio = asyncio.Queue()
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to_trio, from_aio = trio.open_memory_channel(float("inf"))
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async def start_ib(from_trio, to_trio):
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print("starting the EYEEEEBEEEEE GATEWAYYYYYYY!")
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async with get_client() as client:
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# stream ticks to trio task
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def ontick(ticker: Ticker):
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for t in ticker.ticks:
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# send tick data to trio
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to_trio.send_nowait(t)
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ticker = client.ib.reqMktData(spy, '588', False, False, None)
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ticker.updateEvent += ontick
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n = await from_trio.get()
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assert n == 0
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# sleep and let the engine run
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await asyncio.sleep(float('inf'))
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# TODO: cmd processing from trio
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# while True:
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# n = await from_trio.get()
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# print(f"aio got: {n}")
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# to_trio.send_nowait(n + 1)
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async def trio_main():
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print("trio_main!")
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asyncio.create_task(
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start_ib(from_trio, to_trio)
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tractor.run(
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stream_from_brokerd,
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sym,
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# XXX: must be multiprocessing
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start_method='forkserver',
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loglevel='info'
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)
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from_trio.put_nowait(0)
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async for tick in from_aio:
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print(f"trio got: {tick}")
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# TODO: send cmds to asyncio
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# from_trio.put_nowait(n + 1)
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async def aio_main():
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loop = asyncio.get_running_loop()
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trio_done_fut = asyncio.Future()
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def trio_done_callback(main_outcome):
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print(f"trio_main finished: {main_outcome!r}")
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trio_done_fut.set_result(main_outcome)
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trio.lowlevel.start_guest_run(
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trio_main,
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run_sync_soon_threadsafe=loop.call_soon_threadsafe,
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done_callback=trio_done_callback,
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)
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(await trio_done_fut).unwrap()
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asyncio.run(aio_main())
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