ib: don't bother with recursive not-enough-bars queries for now, causes more problems then it solves..
Tyler Goodlet
parent
97e2403fb1
commit
ba154ef413
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@ -401,7 +401,15 @@ class Client:
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# => we recursively call this method until we get at least
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# as many bars such that they sum in aggregate to the the
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# desired total time (duration) at most.
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if end_dt:
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# XXX XXX XXX
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# WHY DID WE EVEN NEED THIS ORIGINALLY!?
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# XXX XXX XXX
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# - if you query over a gap and get no data
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# that may short circuit the history
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if (
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end_dt
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and False
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):
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nparr: np.ndarray = bars_to_np(bars)
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times: np.ndarray = nparr['time']
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first: float = times[0]
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@ -410,6 +418,7 @@ class Client:
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if (
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# len(bars) * sample_period_s) < dt_duration.in_seconds()
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tdiff < dt_duration.in_seconds()
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# and False
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):
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end_dt: DateTime = from_timestamp(first)
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log.warning(
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@ -859,6 +868,9 @@ class Client:
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timeout=timeout,
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)
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except TimeoutError:
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import pdbp
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pdbp.set_trace()
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if raise_on_timeout:
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raise
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return None
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@ -174,8 +174,15 @@ async def open_history_client(
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start_dt: datetime | None = None,
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) -> tuple[np.ndarray, str]:
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nonlocal max_timeout, mean, count
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if (
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start_dt
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and start_dt.timestamp() == 0
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):
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await tractor.pause()
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query_start = time.time()
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out, timedout = await get_bars(
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proxy,
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@ -403,35 +410,55 @@ async def get_bars(
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bars, bars_array, dt_duration = out
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# not enough bars signal, likely due to venue
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# operational gaps.
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too_little: bool = False
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if (
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end_dt
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and (
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not bars
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or (too_little :=
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start_dt
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and (len(bars) * timeframe)
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< dt_duration.in_seconds()
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)
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)
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):
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if (
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end_dt
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or too_little
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):
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log.warning(
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f'History is blank for {dt_duration} from {end_dt}'
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)
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end_dt -= dt_duration
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continue
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raise NoData(f'{end_dt}')
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if bars_array is None:
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raise SymbolNotFound(fqme)
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# not enough bars signal, likely due to venue
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# operational gaps.
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# too_little: bool = False
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if end_dt:
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if not bars:
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# no data returned?
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log.warning(
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'History frame is blank?\n'
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f'start_dt: {start_dt}\n'
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f'end_dt: {end_dt}\n'
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f'duration: {dt_duration}\n'
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)
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raise NoData(f'{end_dt}')
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else:
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dur_s: float = len(bars) * timeframe
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bars_dur = pendulum.Duration(seconds=dur_s)
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dt_dur_s: float = dt_duration.in_seconds()
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if dur_s < dt_dur_s:
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log.warning(
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'History frame is shorter then expected?\n'
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f'start_dt: {start_dt}\n'
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f'end_dt: {end_dt}\n'
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f'duration: {dt_dur_s}\n'
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f'frame duration seconds: {dur_s}\n'
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f'dur diff: {dt_duration - bars_dur}\n'
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)
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# NOTE: we used to try to get a minimal
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# set of bars by recursing but this ran
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# into possible infinite query loops
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# when logic in the `Client.bars()` dt
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# diffing went bad. So instead for now
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# we just return the
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# shorter-then-expected history with
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# a warning.
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# TODO: in the future it prolly makes
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# the most send to do venue operating
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# hours lookup and
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# timestamp-in-operating-range set
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# checking to know for sure if we can
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# safely and quickly ignore non-uniform history
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# frame timestamp gaps..
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# end_dt -= dt_duration
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# continue
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# await tractor.pause()
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first_dt = pendulum.from_timestamp(
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bars[0].date.timestamp())
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@ -854,7 +881,13 @@ async def stream_quotes(
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init_msgs.append(init_msg)
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con: Contract = details.contract
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first_ticker: Ticker = await proxy.get_quote(contract=con)
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first_ticker: Ticker | None = None
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with trio.move_on_after(1):
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first_ticker: Ticker = await proxy.get_quote(
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contract=con,
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raise_on_timeout=False,
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)
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if first_ticker:
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first_quote: dict = normalize(first_ticker)
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log.info(
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@ -862,18 +895,6 @@ async def stream_quotes(
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f'{pformat(first_quote)}'
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)
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# TODO: we should instead spawn a task that waits on a feed
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# to start and let it wait indefinitely..instead of this
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# hard coded stuff.
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# async def wait_for_first_quote():
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# with trio.CancelScope() as cs:
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with trio.move_on_after(1):
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first_ticker = await proxy.get_quote(
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contract=con,
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raise_on_timeout=True,
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)
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# NOTE: it might be outside regular trading hours for
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# assets with "standard venue operating hours" so we
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# only "pretend the feed is live" when the dst asset
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@ -884,6 +905,8 @@ async def stream_quotes(
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# (equitiies, futes, bonds etc.) we at least try to
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# grab the OHLC history.
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if (
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first_ticker
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and
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isnan(first_ticker.last)
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# SO, if the last quote price value is NaN we ONLY
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# "pretend to do" `feed_is_live.set()` if it's a known
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@ -907,6 +930,19 @@ async def stream_quotes(
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await trio.sleep_forever()
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return # we never expect feed to come up?
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# TODO: we should instead spawn a task that waits on a feed
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# to start and let it wait indefinitely..instead of this
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# hard coded stuff.
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# async def wait_for_first_quote():
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# with trio.CancelScope() as cs:
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# XXX: MUST acquire a ticker + first quote before starting
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# the live quotes loop!
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# with trio.move_on_after(1):
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first_ticker = await proxy.get_quote(
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contract=con,
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raise_on_timeout=True,
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)
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cs: trio.CancelScope | None = None
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startup: bool = True
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while (
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