Still WIP, switch to using new marketstore client, missing streaming from marketstore
Guillermo Rodriguez
Tyler Goodlet
parent
a11cee82d0
commit
d215a69049
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@ -25,11 +25,13 @@ import trio
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import tractor
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import click
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from anyio_marketstore import open_marketstore_client
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from .marketstore import (
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get_client,
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stream_quotes,
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# stream_quotes,
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ingest_quote_stream,
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_url,
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# _url,
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_tick_tbk_ids,
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mk_tbk,
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)
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@ -54,46 +56,47 @@ def ms_stream(config: dict, names: List[str], url: str):
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and print to console.
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"""
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async def main():
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async for quote in stream_quotes(symbols=names):
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log.info(f"Received quote:\n{quote}")
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# async for quote in stream_quotes(symbols=names):
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# log.info(f"Received quote:\n{quote}")
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...
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trio.run(main)
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@cli.command()
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@click.option(
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'--url',
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default=_url,
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help='HTTP URL of marketstore instance'
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)
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@click.argument('names', nargs=-1)
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@click.pass_obj
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def ms_destroy(config: dict, names: List[str], url: str) -> None:
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"""Destroy symbol entries in the local marketstore instance.
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"""
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async def main():
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nonlocal names
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async with get_client(url) as client:
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if not names:
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names = await client.list_symbols()
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# default is to wipe db entirely.
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answer = input(
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"This will entirely wipe you local marketstore db @ "
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f"{url} of the following symbols:\n {pformat(names)}"
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"\n\nDelete [N/y]?\n")
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if answer == 'y':
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for sym in names:
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# tbk = _tick_tbk.format(sym)
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tbk = tuple(sym, *_tick_tbk_ids)
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print(f"Destroying {tbk}..")
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await client.destroy(mk_tbk(tbk))
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else:
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print("Nothing deleted.")
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tractor.run(main)
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# @cli.command()
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# @click.option(
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# '--url',
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# default=_url,
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# help='HTTP URL of marketstore instance'
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# )
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# @click.argument('names', nargs=-1)
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# @click.pass_obj
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# def ms_destroy(config: dict, names: List[str], url: str) -> None:
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# """Destroy symbol entries in the local marketstore instance.
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# """
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# async def main():
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# nonlocal names
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# async with get_client(url) as client:
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#
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# if not names:
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# names = await client.list_symbols()
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#
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# # default is to wipe db entirely.
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# answer = input(
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# "This will entirely wipe you local marketstore db @ "
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# f"{url} of the following symbols:\n {pformat(names)}"
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# "\n\nDelete [N/y]?\n")
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#
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# if answer == 'y':
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# for sym in names:
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# # tbk = _tick_tbk.format(sym)
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# tbk = tuple(sym, *_tick_tbk_ids)
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# print(f"Destroying {tbk}..")
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# await client.destroy(mk_tbk(tbk))
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# else:
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# print("Nothing deleted.")
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#
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# tractor.run(main)
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@cli.command()
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@ -102,17 +105,19 @@ def ms_destroy(config: dict, names: List[str], url: str) -> None:
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is_flag=True,
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help='Enable tractor logging')
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@click.option(
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'--url',
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default=_url,
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help='HTTP URL of marketstore instance'
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'--host',
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default='localhost'
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)
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@click.option(
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'--port',
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default=5995
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)
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@click.argument('name', nargs=1, required=True)
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@click.pass_obj
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def ms_shell(config, name, tl, url):
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def ms_shell(config, tl, host, port):
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"""Start an IPython shell ready to query the local marketstore db.
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"""
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async def main():
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async with get_client(url) as client:
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async with open_marketstore_client(host, port) as client:
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query = client.query # noqa
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# TODO: write magics to query marketstore
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from IPython import embed
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@ -124,15 +129,9 @@ def ms_shell(config, name, tl, url):
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@cli.command()
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@click.option('--test-file', '-t', help='Test quote stream file')
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@click.option('--tl', is_flag=True, help='Enable tractor logging')
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@click.option('--tl', is_flag=True, help='Enable tractor logging')
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@click.option(
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'--url',
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default=_url,
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help='HTTP URL of marketstore instance'
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)
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@click.argument('name', nargs=1, required=True)
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@click.pass_obj
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def ingest(config, name, test_file, tl, url):
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def ingest(config, name, test_file, tl):
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"""Ingest real-time broker quotes and ticks to a marketstore instance.
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"""
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# global opts
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@ -14,7 +14,7 @@
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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'''
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``marketstore`` integration.
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- client management routines
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@ -22,7 +22,7 @@
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- websocket client for subscribing to write triggers
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- todo: tick sequence stream-cloning for testing
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- todo: docker container management automation
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"""
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'''
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from contextlib import asynccontextmanager
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from typing import Dict, Any, List, Callable, Tuple, Optional
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import time
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@ -31,9 +31,9 @@ from math import isnan
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import msgpack
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import numpy as np
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import pandas as pd
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import pymarketstore as pymkts
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import tractor
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from trio_websocket import open_websocket_url
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from anyio_marketstore import open_marketstore_client, MarketstoreClient
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from ..log import get_logger, get_console_log
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from ..data import open_feed
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@ -43,7 +43,7 @@ log = get_logger(__name__)
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_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
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_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
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_url: str = 'http://localhost:5993/rpc'
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_quote_dt = [
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# these two are required for as a "primary key"
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('Epoch', 'i8'),
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@ -51,34 +51,27 @@ _quote_dt = [
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('IsTrade', 'i1'),
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('IsBid', 'i1'),
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('Price', 'f8'),
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('Size', 'f8')
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('Price', 'f4'),
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('Size', 'f4')
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]
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_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
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class MarketStoreError(Exception):
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"Generic marketstore client error"
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def err_on_resp(response: dict) -> None:
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"""Raise any errors found in responses from client request.
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def mk_tbk(keys: Tuple[str, str, str]) -> str:
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"""Generate a marketstore table key from a tuple.
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Converts,
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``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
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"""
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responses = response['responses']
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if responses is not None:
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for r in responses:
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err = r['error']
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if err:
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raise MarketStoreError(err)
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return '{}/' + '/'.join(keys)
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def quote_to_marketstore_structarray(
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quote: Dict[str, Any],
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last_fill: Optional[float],
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last_fill: Optional[float]
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) -> np.array:
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"""Return marketstore writeable structarray from quote ``dict``.
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"""
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'''
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Return marketstore writeable structarray from quote ``dict``.
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'''
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if last_fill:
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# new fill bby
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now = timestamp(last_fill, unit='s')
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@ -112,82 +105,21 @@ def quote_to_marketstore_structarray(
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def timestamp(date, **kwargs) -> int:
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"""Return marketstore compatible 'Epoch' integer in nanoseconds
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'''
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Return marketstore compatible 'Epoch' integer in nanoseconds
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from a date formatted str.
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"""
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'''
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return int(pd.Timestamp(date, **kwargs).value)
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def mk_tbk(keys: Tuple[str, str, str]) -> str:
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"""Generate a marketstore table key from a tuple.
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Converts,
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``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
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"""
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return '{}/' + '/'.join(keys)
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class Client:
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"""Async wrapper around the alpaca ``pymarketstore`` sync client.
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This will server as the shell for building out a proper async client
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that isn't horribly documented and un-tested..
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"""
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def __init__(self, url: str):
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self._client = pymkts.Client(url)
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async def _invoke(
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self,
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meth: Callable,
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*args,
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**kwargs,
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) -> Any:
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return err_on_resp(meth(*args, **kwargs))
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async def destroy(
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self,
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tbk: Tuple[str, str, str],
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) -> None:
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return await self._invoke(self._client.destroy, mk_tbk(tbk))
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async def list_symbols(
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self,
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tbk: str,
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) -> List[str]:
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return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
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async def write(
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self,
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symbol: str,
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array: np.ndarray,
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) -> None:
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start = time.time()
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await self._invoke(
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self._client.write,
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array,
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_tick_tbk.format(symbol),
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isvariablelength=True
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)
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log.debug(f"{symbol} write time (s): {time.time() - start}")
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def query(
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self,
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symbol,
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tbk: Tuple[str, str] = _tick_tbk_ids,
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) -> pd.DataFrame:
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# XXX: causes crash
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# client.query(pymkts.Params(symbol, '*', 'OHCLV'
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result = self._client.query(
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pymkts.Params(symbol, *tbk),
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)
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return result.first().df()
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@asynccontextmanager
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async def get_client(
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url: str = _url,
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) -> Client:
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yield Client(url)
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host: str = 'localhost',
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port: int = 5995
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) -> MarketstoreClient:
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async with open_marketstore_client(host, port) as client:
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yield client
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async def ingest_quote_stream(
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@ -196,8 +128,9 @@ async def ingest_quote_stream(
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tries: int = 1,
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actorloglevel: str = None,
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) -> None:
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"""Ingest a broker quote stream into marketstore in (sampled) tick format.
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"""
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'''
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Ingest a broker quote stream into marketstore.
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'''
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async with (
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open_feed(brokername, symbols, loglevel=actorloglevel) as feed,
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get_client() as ms_client
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@ -212,107 +145,125 @@ async def ingest_quote_stream(
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# okkk..
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continue
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a = quote_to_marketstore_structarray({
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array = quote_to_marketstore_structarray({
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'IsTrade': 1 if ticktype == 'trade' else 0,
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'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
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'Price': tick.get('price'),
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'Size': tick.get('size')
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}, last_fill=quote.get('broker_ts', None))
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log.info(a)
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await ms_client.write(symbol, a)
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await ms_client.write(
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array, _tick_tbk)
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async def stream_quotes(
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symbols: List[str],
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timeframe: str = '1Min',
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attr_group: str = 'TICK',
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host: str = 'localhost',
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port: int = 5993,
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diff_cached: bool = True,
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loglevel: str = None,
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loglevel: str = None
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) -> None:
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"""Open a symbol stream from a running instance of marketstore and
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'''
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Open a symbol stream from a running instance of marketstore and
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log to console.
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"""
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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'''
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tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
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tbks: Dict[str, str] = {
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sym: f'{sym}/{timeframe}/{attr_group}' for sym in symbols}
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async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
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# send subs topics to server
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resp = await ws.send_message(
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msgpack.dumps({'streams': list(tbks.values())})
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)
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log.info(resp)
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async def recv() -> Dict[str, Any]:
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return msgpack.loads((await ws.get_message()), encoding='utf-8')
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streams = (await recv())['streams']
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log.info(f"Subscribed to {streams}")
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_cache = {}
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while True:
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msg = await recv()
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# unpack symbol and quote data
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# key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
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symbol = msg['key'].split('/')[0]
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data = msg['data']
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# calc time stamp(s)
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s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
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ts = s * 10**9 + ns
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data['broker_fill_time_ns'] = ts
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quote = {}
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for k, v in data.items():
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if isnan(v):
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continue
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quote[k.lower()] = v
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quote['symbol'] = symbol
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quotes = {}
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if diff_cached:
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last = _cache.setdefault(symbol, {})
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new = set(quote.items()) - set(last.items())
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if new:
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log.info(f"New quote {quote['symbol']}:\n{new}")
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# only ship diff updates and other required fields
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payload = {k: quote[k] for k, v in new}
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payload['symbol'] = symbol
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# if there was volume likely the last size of
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# shares traded is useful info and it's possible
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# that the set difference from above will disregard
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# a "size" value since the same # of shares were traded
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size = quote.get('size')
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volume = quote.get('volume')
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if size and volume:
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new_volume_since_last = max(
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volume - last.get('volume', 0), 0)
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log.warning(
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f"NEW VOLUME {symbol}:{new_volume_since_last}")
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payload['size'] = size
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payload['last'] = quote.get('last')
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# XXX: we append to a list for the options case where the
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# subscription topic (key) is the same for all
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# expiries even though this is uncessary for the
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# stock case (different topic [i.e. symbol] for each
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# quote).
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quotes.setdefault(symbol, []).append(payload)
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# update cache
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_cache[symbol].update(quote)
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else:
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quotes = {
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symbol: [{key.lower(): val for key, val in quote.items()}]}
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if quotes:
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yield quotes
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# async def stream_quotes(
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# symbols: List[str],
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# host: str = 'localhost',
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# port: int = 5993,
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# diff_cached: bool = True,
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# loglevel: str = None,
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# ) -> None:
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# """Open a symbol stream from a running instance of marketstore and
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# log to console.
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# """
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# # XXX: required to propagate ``tractor`` loglevel to piker logging
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# get_console_log(loglevel or tractor.current_actor().loglevel)
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#
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# tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
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#
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# async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
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# # send subs topics to server
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# resp = await ws.send_message(
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# msgpack.dumps({'streams': list(tbks.values())})
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# )
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# log.info(resp)
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#
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# async def recv() -> Dict[str, Any]:
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# return msgpack.loads((await ws.get_message()), encoding='utf-8')
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#
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# streams = (await recv())['streams']
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# log.info(f"Subscribed to {streams}")
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#
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# _cache = {}
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#
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# while True:
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# msg = await recv()
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#
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# # unpack symbol and quote data
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# # key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
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# symbol = msg['key'].split('/')[0]
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# data = msg['data']
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#
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# # calc time stamp(s)
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||||
# s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
|
||||
# ts = s * 10**9 + ns
|
||||
# data['broker_fill_time_ns'] = ts
|
||||
#
|
||||
# quote = {}
|
||||
# for k, v in data.items():
|
||||
# if isnan(v):
|
||||
# continue
|
||||
#
|
||||
# quote[k.lower()] = v
|
||||
#
|
||||
# quote['symbol'] = symbol
|
||||
#
|
||||
# quotes = {}
|
||||
#
|
||||
# if diff_cached:
|
||||
# last = _cache.setdefault(symbol, {})
|
||||
# new = set(quote.items()) - set(last.items())
|
||||
# if new:
|
||||
# log.info(f"New quote {quote['symbol']}:\n{new}")
|
||||
#
|
||||
# # only ship diff updates and other required fields
|
||||
# payload = {k: quote[k] for k, v in new}
|
||||
# payload['symbol'] = symbol
|
||||
#
|
||||
# # if there was volume likely the last size of
|
||||
# # shares traded is useful info and it's possible
|
||||
# # that the set difference from above will disregard
|
||||
# # a "size" value since the same # of shares were traded
|
||||
# size = quote.get('size')
|
||||
# volume = quote.get('volume')
|
||||
# if size and volume:
|
||||
# new_volume_since_last = max(
|
||||
# volume - last.get('volume', 0), 0)
|
||||
# log.warning(
|
||||
# f"NEW VOLUME {symbol}:{new_volume_since_last}")
|
||||
# payload['size'] = size
|
||||
# payload['last'] = quote.get('last')
|
||||
#
|
||||
# # XXX: we append to a list for the options case where the
|
||||
# # subscription topic (key) is the same for all
|
||||
# # expiries even though this is uncessary for the
|
||||
# # stock case (different topic [i.e. symbol] for each
|
||||
# # quote).
|
||||
# quotes.setdefault(symbol, []).append(payload)
|
||||
#
|
||||
# # update cache
|
||||
# _cache[symbol].update(quote)
|
||||
# else:
|
||||
# quotes = {
|
||||
# symbol: [{key.lower(): val for key, val in quote.items()}]}
|
||||
#
|
||||
# if quotes:
|
||||
# yield quotes
|
||||
|
|
|
|||
Loading…
Reference in New Issue