Deliver and utilise broker backend OHLC sample rate in init msg
Tyler Goodlet
parent
c05fc8991a
commit
ce4144aace
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@ -53,9 +53,10 @@ from ._sharedmem import (
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)
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from ._source import base_iohlc_dtype, Symbol
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from ._buffer import (
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_shms,
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_incrementers,
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increment_ohlc_buffer,
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subscribe_ohlc_for_increment,
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shm_incrementing,
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iter_ohlc_periods,
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)
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__all__ = [
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@ -64,7 +65,7 @@ __all__ = [
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'attach_shm_array',
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'open_shm_array',
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'get_shm_token',
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'subscribe_ohlc_for_increment',
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# 'subscribe_ohlc_for_increment',
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]
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@ -181,10 +182,10 @@ async def allocate_persistent_feed(
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readonly=False,
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)
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# assert opened
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if not opened:
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# do history validation?
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pass
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assert opened, "Persistent shm for sym was already open?!"
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# if not opened:
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# raise RuntimeError("Persistent shm for sym was already open?!")
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send, quote_stream = trio.open_memory_channel(2**8)
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feed_is_live = trio.Event()
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@ -204,34 +205,48 @@ async def allocate_persistent_feed(
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init_msg[symbol]['shm_token'] = shm.token
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cs = trio.CancelScope()
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# TODO: make this into a composed type which also
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# contains the backfiller cs for individual super-based
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# resspawns when needed.
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bus.feeds[symbol] = (cs, init_msg, first_quote)
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with cs:
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if opened:
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# start history backfill task
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# ``backfill_bars()`` is a required backend func
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await bus.nursery.start(mod.backfill_bars, symbol, shm)
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# yield back control to starting nursery
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task_status.started((init_msg, first_quote))
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# start history backfill task ``backfill_bars()`` is
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# a required backend func this must block until shm is
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# filled with first set of ohlc bars
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await bus.nursery.start(mod.backfill_bars, symbol, shm)
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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# pass OHLC sample rate in seconds
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init_msg[symbol]['sample_rate'] = delay_s
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# yield back control to starting nursery
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task_status.started((init_msg, first_quote))
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await feed_is_live.wait()
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# tell incrementer task it can start
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shm_incrementing(shm.token['shm_name']).set()
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# # tell incrementer task it can start
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# shm_incrementing(shm.token['shm_name']).set()
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# start shm incrementingn for OHLC sampling
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subscribe_ohlc_for_increment(shm, delay_s)
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# subscribe_ohlc_for_increment(shm, delay_s)
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# begin shm write loop and broadcast to subscribers
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if opened:
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_shms.setdefault(delay_s, []).append(shm)
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if _incrementers.get(delay_s) is None:
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cs = await bus.nursery.start(increment_ohlc_buffer, delay_s)
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sum_tick_vlm: bool = init_msg.get(
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'shm_write_opts', {}
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).get('sum_tick_vlm', True)
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# begin shm write loop and broadcast to subscribers
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async with quote_stream:
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log.info("Started shared mem bar writer")
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@ -372,6 +387,7 @@ class Feed:
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_brokerd_portal: tractor._portal.Portal
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_index_stream: Optional[AsyncIterator[int]] = None
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_trade_stream: Optional[AsyncIterator[Dict[str, Any]]] = None
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_max_sample_rate: int = 0
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# cache of symbol info messages received as first message when
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# a stream startsc.
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@ -380,15 +396,19 @@ class Feed:
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async def receive(self) -> dict:
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return await self.stream.__anext__()
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async def index_stream(self) -> AsyncIterator[int]:
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async def index_stream(
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self,
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delay_s: Optional[int] = None
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) -> AsyncIterator[int]:
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if not self._index_stream:
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# XXX: this should be singleton on a host,
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# a lone broker-daemon per provider should be
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# created for all practical purposes
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self._index_stream = await self._brokerd_portal.run(
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increment_ohlc_buffer,
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shm_token=self.shm.token,
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topics=['index'],
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iter_ohlc_periods,
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delay_s=delay_s or self._max_sample_rate,
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)
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return self._index_stream
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@ -459,9 +479,9 @@ async def open_feed(
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loglevel=loglevel,
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)
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# TODO: we can't do this **and** be compate with
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# ``tractor.msg.pub``, should we maybe just drop this after
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# tests are in?
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# TODO: can we make this work better with the proposed
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# context based bidirectional streaming style api proposed in:
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# https://github.com/goodboy/tractor/issues/53
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init_msg = await stream.receive()
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shm = attach_shm_array(
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@ -478,10 +498,12 @@ async def open_feed(
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mod=mod,
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_brokerd_portal=portal,
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)
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ohlc_sample_rates = []
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for sym, data in init_msg.items():
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si = data['symbol_info']
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ohlc_sample_rates.append(data['sample_rate'])
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symbol = Symbol(
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key=sym,
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@ -493,9 +515,11 @@ async def open_feed(
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feed.symbols[sym] = symbol
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# cast shm dtype to list... can't member why we need this
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shm_token = data['shm_token']
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shm_token['dtype_descr'] = list(shm_token['dtype_descr'])
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assert shm_token == shm.token # sanity
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feed._max_sample_rate = max(ohlc_sample_rates)
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yield feed
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