Graph snap quote immediately on ib spin up
Tyler Goodlet
parent
c030b63101
commit
c7ff0804db
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@ -49,9 +49,11 @@ from ..data import (
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attach_shm_array,
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# get_shm_token,
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subscribe_ohlc_for_increment,
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_buffer,
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)
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from ..data._source import from_df
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from ._util import SymbolNotFound
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from .._async_utils import maybe_with_if
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log = get_logger(__name__)
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@ -355,11 +357,12 @@ class Client:
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symbol: str,
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to_trio,
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opts: Tuple[int] = ('375', '233',),
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contract: Optional[Contract] = None,
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# opts: Tuple[int] = ('459',),
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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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contract = await self.find_contract(symbol)
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contract = contract or (await self.find_contract(symbol))
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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# define a simple queue push routine that streams quote packets
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@ -386,6 +389,20 @@ class Client:
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# let the engine run and stream
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await self.ib.disconnectedEvent
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async def get_quote(
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self,
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symbol: str,
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) -> Ticker:
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"""Return a single quote for symbol.
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"""
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contract = await self.find_contract(symbol)
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ticker: Ticker = self.ib.reqMktData(
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contract,
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snapshot=True,
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)
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return contract, (await ticker.updateEvent)
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# default config ports
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_tws_port: int = 7497
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@ -604,16 +621,21 @@ _local_buffer_writers = {}
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@asynccontextmanager
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async def activate_writer(key: str) -> (bool, trio.Nursery):
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"""Mark the current actor with module var determining
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whether an existing shm writer task is already active.
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This avoids more then one writer resulting in data
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clobbering.
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"""
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global _local_buffer_writers
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try:
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writer_already_exists = _local_buffer_writers.get(key, False)
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assert not _local_buffer_writers.get(key, False)
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if not writer_already_exists:
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_local_buffer_writers[key] = True
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_local_buffer_writers[key] = True
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async with trio.open_nursery() as n:
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yield writer_already_exists, n
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else:
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yield writer_already_exists, None
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async with trio.open_nursery() as n:
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yield n
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finally:
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_local_buffer_writers.pop(key, None)
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@ -622,7 +644,7 @@ async def fill_bars(
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sym: str,
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first_bars: list,
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shm: 'ShmArray', # type: ignore # noqa
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# count: int = 20, # NOTE: any more and we'll overrun the underlying buffer
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# count: int = 20, # NOTE: any more and we'll overrun underlying buffer
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count: int = 2, # NOTE: any more and we'll overrun the underlying buffer
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) -> None:
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"""Fill historical bars into shared mem / storage afap.
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@ -692,8 +714,14 @@ async def stream_quotes(
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# TODO: support multiple subscriptions
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sym = symbols[0]
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contract, first_ticker = await _trio_run_client_method(
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method='get_quote',
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symbol=sym,
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)
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stream = await _trio_run_client_method(
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method='stream_ticker',
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contract=contract, # small speedup
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symbol=sym,
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)
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@ -701,14 +729,17 @@ async def stream_quotes(
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# check if a writer already is alive in a streaming task,
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# otherwise start one and mark it as now existing
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async with activate_writer(
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shm_token['shm_name']
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) as (writer_already_exists, ln):
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# maybe load historical ohlcv in to shared mem
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# check if shm has already been created by previous
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# feed initialization
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key = shm_token['shm_name']
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writer_already_exists = _local_buffer_writers.get(key, False)
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# maybe load historical ohlcv in to shared mem
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# check if shm has already been created by previous
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# feed initialization
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async with trio.open_nursery() as ln:
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if not writer_already_exists:
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_local_buffer_writers[key] = True
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shm = attach_shm_array(
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token=shm_token,
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@ -744,12 +775,33 @@ async def stream_quotes(
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subscribe_ohlc_for_increment(shm, delay_s)
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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await ctx.send_yield((shm_token, not writer_already_exists))
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# first quote can be ignored as a 2nd with newer data is sent?
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first_ticker = await stream.__anext__()
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# check for special contract types
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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# should be real volume for this contract
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calc_price = False
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else:
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = 'secType'
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calc_price = True
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ticker = first_ticker
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quote = normalize(first_ticker)
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# pass first quote asap
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quote = normalize(first_ticker, calc_price=calc_price)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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first_quote = {topic: quote}
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# yield first quote asap
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await ctx.send_yield(first_quote)
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# ticker.ticks = []
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is stateful trash)
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@ -762,39 +814,31 @@ async def stream_quotes(
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calc_price = False # should be real volume for contract
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async for ticker in stream:
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# wait for real volume on feed (trading might be closed)
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async for ticker in stream:
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# for a real volume contract we rait for the first
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# "real" trade to take place
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if not calc_price and not ticker.rtTime:
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# spin consuming tickers until we get a real market datum
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if not ticker.rtTime:
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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# XXX: this works because we don't use
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# ``aclosing()`` above?
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break
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else:
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# commodities don't have an exchange name for some reason?
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suffix = 'secType'
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calc_price = True
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ticker = first_ticker
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# tell incrementer task it can start
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_buffer.shm_incrementing(key).set()
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quote = normalize(ticker, calc_price=calc_price)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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first_quote = {topic: quote}
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ticker.ticks = []
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# yield first quote asap
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await ctx.send_yield(first_quote)
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# XXX: this works because we don't use
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# ``aclosing()`` above?
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break
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# real-time stream
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async for ticker in stream:
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# print(ticker.vwap)
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quote = normalize(
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ticker,
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