Rework ohlc sampling to launch from .start()
Avoid bothering with a trio event and expect the caller to do manual shm registering with the write loop. Provide OHLC sample period indexing through a re-branded pub-sub func ``iter_ohlc_periods()``.cached_feeds
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@ -17,17 +17,25 @@
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"""
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"""
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Data buffers for fast shared humpy.
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Data buffers for fast shared humpy.
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"""
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"""
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from typing import Tuple, Callable, Dict
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from typing import Dict, List
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# import time
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import tractor
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import tractor
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import trio
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import trio
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from trio_typing import TaskStatus
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from ._sharedmem import ShmArray
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from ._sharedmem import ShmArray
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from ..log import get_logger
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_shms: Dict[int, ShmArray] = {}
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log = get_logger(__name__)
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# TODO: we could stick these in a composed type to avoid
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# angering the "i hate module scoped variables crowd" (yawn).
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_shms: Dict[int, List[ShmArray]] = {}
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_start_increment: Dict[str, trio.Event] = {}
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_start_increment: Dict[str, trio.Event] = {}
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_incrementers: Dict[int, trio.CancelScope] = {}
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_subscribers: Dict[str, tractor.Context] = {}
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def shm_incrementing(shm_token_name: str) -> trio.Event:
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def shm_incrementing(shm_token_name: str) -> trio.Event:
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@ -35,11 +43,9 @@ def shm_incrementing(shm_token_name: str) -> trio.Event:
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return _start_increment.setdefault(shm_token_name, trio.Event())
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return _start_increment.setdefault(shm_token_name, trio.Event())
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@tractor.msg.pub
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async def increment_ohlc_buffer(
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async def increment_ohlc_buffer(
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shm_token: dict,
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delay_s: int,
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get_topics: Callable[..., Tuple[str]],
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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# delay_s: Optional[float] = None,
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):
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):
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"""Task which inserts new bars into the provide shared memory array
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"""Task which inserts new bars into the provide shared memory array
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every ``delay_s`` seconds.
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every ``delay_s`` seconds.
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@ -54,14 +60,16 @@ async def increment_ohlc_buffer(
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the underlying buffers will actually be incremented.
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the underlying buffers will actually be incremented.
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"""
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"""
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# wait for brokerd to signal we should start sampling
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# # wait for brokerd to signal we should start sampling
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await shm_incrementing(shm_token['shm_name']).wait()
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# await shm_incrementing(shm_token['shm_name']).wait()
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# TODO: right now we'll spin printing bars if the last time stamp is
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# TODO: right now we'll spin printing bars if the last time stamp is
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# before a large period of no market activity. Likely the best way
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# before a large period of no market activity. Likely the best way
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# to solve this is to make this task aware of the instrument's
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# to solve this is to make this task aware of the instrument's
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# tradable hours?
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# tradable hours?
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global _incrementers
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# adjust delay to compensate for trio processing time
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# adjust delay to compensate for trio processing time
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ad = min(_shms.keys()) - 0.001
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ad = min(_shms.keys()) - 0.001
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@ -69,6 +77,12 @@ async def increment_ohlc_buffer(
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lowest = min(_shms.keys())
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lowest = min(_shms.keys())
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ad = lowest - 0.001
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ad = lowest - 0.001
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with trio.CancelScope() as cs:
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# register this time period step as active
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_incrementers[delay_s] = cs
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task_status.started(cs)
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while True:
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while True:
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# TODO: do we want to support dynamically
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# TODO: do we want to support dynamically
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# adding a "lower" lowest increment period?
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# adding a "lower" lowest increment period?
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@ -103,13 +117,35 @@ async def increment_ohlc_buffer(
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shm.push(last)
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shm.push(last)
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# broadcast the buffer index step
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# broadcast the buffer index step
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yield {'index': shm._last.value}
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# yield {'index': shm._last.value}
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for ctx in _subscribers.get(delay_s, ()):
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try:
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await ctx.send_yield({'index': shm._last.value})
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except (
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trio.BrokenResourceError,
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trio.ClosedResourceError
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):
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log.error(f'{ctx.chan.uid} dropped connection')
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def subscribe_ohlc_for_increment(
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@tractor.stream
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shm: ShmArray,
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async def iter_ohlc_periods(
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delay: int,
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ctx: tractor.Context,
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delay_s: int,
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) -> None:
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) -> None:
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"""Add an OHLC ``ShmArray`` to the increment set.
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"""
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"""
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_shms.setdefault(delay, []).append(shm)
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Subscribe to OHLC sampling "step" events: when the time
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aggregation period increments, this event stream emits an index
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event.
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"""
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# add our subscription
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global _subscribers
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subs = _subscribers.setdefault(delay_s, [])
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subs.append(ctx)
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try:
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# stream and block until cancelled
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await trio.sleep_forever()
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finally:
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subs.remove(ctx)
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