Still WIP, switch to using new marketstore client, missing streaming from marketstore
Guillermo Rodriguez
Tyler Goodlet
parent
b0401b91c1
commit
d367d68fc2
|
|
@ -25,11 +25,13 @@ import trio
|
|||
import tractor
|
||||
import click
|
||||
|
||||
from anyio_marketstore import open_marketstore_client
|
||||
|
||||
from .marketstore import (
|
||||
get_client,
|
||||
stream_quotes,
|
||||
# stream_quotes,
|
||||
ingest_quote_stream,
|
||||
_url,
|
||||
# _url,
|
||||
_tick_tbk_ids,
|
||||
mk_tbk,
|
||||
)
|
||||
|
|
@ -54,46 +56,47 @@ def ms_stream(config: dict, names: List[str], url: str):
|
|||
and print to console.
|
||||
"""
|
||||
async def main():
|
||||
async for quote in stream_quotes(symbols=names):
|
||||
log.info(f"Received quote:\n{quote}")
|
||||
# async for quote in stream_quotes(symbols=names):
|
||||
# log.info(f"Received quote:\n{quote}")
|
||||
...
|
||||
|
||||
trio.run(main)
|
||||
|
||||
|
||||
@cli.command()
|
||||
@click.option(
|
||||
'--url',
|
||||
default=_url,
|
||||
help='HTTP URL of marketstore instance'
|
||||
)
|
||||
@click.argument('names', nargs=-1)
|
||||
@click.pass_obj
|
||||
def ms_destroy(config: dict, names: List[str], url: str) -> None:
|
||||
"""Destroy symbol entries in the local marketstore instance.
|
||||
"""
|
||||
async def main():
|
||||
nonlocal names
|
||||
async with get_client(url) as client:
|
||||
|
||||
if not names:
|
||||
names = await client.list_symbols()
|
||||
|
||||
# default is to wipe db entirely.
|
||||
answer = input(
|
||||
"This will entirely wipe you local marketstore db @ "
|
||||
f"{url} of the following symbols:\n {pformat(names)}"
|
||||
"\n\nDelete [N/y]?\n")
|
||||
|
||||
if answer == 'y':
|
||||
for sym in names:
|
||||
# tbk = _tick_tbk.format(sym)
|
||||
tbk = tuple(sym, *_tick_tbk_ids)
|
||||
print(f"Destroying {tbk}..")
|
||||
await client.destroy(mk_tbk(tbk))
|
||||
else:
|
||||
print("Nothing deleted.")
|
||||
|
||||
tractor.run(main)
|
||||
# @cli.command()
|
||||
# @click.option(
|
||||
# '--url',
|
||||
# default=_url,
|
||||
# help='HTTP URL of marketstore instance'
|
||||
# )
|
||||
# @click.argument('names', nargs=-1)
|
||||
# @click.pass_obj
|
||||
# def ms_destroy(config: dict, names: List[str], url: str) -> None:
|
||||
# """Destroy symbol entries in the local marketstore instance.
|
||||
# """
|
||||
# async def main():
|
||||
# nonlocal names
|
||||
# async with get_client(url) as client:
|
||||
#
|
||||
# if not names:
|
||||
# names = await client.list_symbols()
|
||||
#
|
||||
# # default is to wipe db entirely.
|
||||
# answer = input(
|
||||
# "This will entirely wipe you local marketstore db @ "
|
||||
# f"{url} of the following symbols:\n {pformat(names)}"
|
||||
# "\n\nDelete [N/y]?\n")
|
||||
#
|
||||
# if answer == 'y':
|
||||
# for sym in names:
|
||||
# # tbk = _tick_tbk.format(sym)
|
||||
# tbk = tuple(sym, *_tick_tbk_ids)
|
||||
# print(f"Destroying {tbk}..")
|
||||
# await client.destroy(mk_tbk(tbk))
|
||||
# else:
|
||||
# print("Nothing deleted.")
|
||||
#
|
||||
# tractor.run(main)
|
||||
|
||||
|
||||
@cli.command()
|
||||
|
|
@ -102,17 +105,19 @@ def ms_destroy(config: dict, names: List[str], url: str) -> None:
|
|||
is_flag=True,
|
||||
help='Enable tractor logging')
|
||||
@click.option(
|
||||
'--url',
|
||||
default=_url,
|
||||
help='HTTP URL of marketstore instance'
|
||||
'--host',
|
||||
default='localhost'
|
||||
)
|
||||
@click.option(
|
||||
'--port',
|
||||
default=5995
|
||||
)
|
||||
@click.argument('name', nargs=1, required=True)
|
||||
@click.pass_obj
|
||||
def ms_shell(config, name, tl, url):
|
||||
def ms_shell(config, tl, host, port):
|
||||
"""Start an IPython shell ready to query the local marketstore db.
|
||||
"""
|
||||
async def main():
|
||||
async with get_client(url) as client:
|
||||
async with open_marketstore_client(host, port) as client:
|
||||
query = client.query # noqa
|
||||
# TODO: write magics to query marketstore
|
||||
from IPython import embed
|
||||
|
|
@ -124,15 +129,9 @@ def ms_shell(config, name, tl, url):
|
|||
@cli.command()
|
||||
@click.option('--test-file', '-t', help='Test quote stream file')
|
||||
@click.option('--tl', is_flag=True, help='Enable tractor logging')
|
||||
@click.option('--tl', is_flag=True, help='Enable tractor logging')
|
||||
@click.option(
|
||||
'--url',
|
||||
default=_url,
|
||||
help='HTTP URL of marketstore instance'
|
||||
)
|
||||
@click.argument('name', nargs=1, required=True)
|
||||
@click.pass_obj
|
||||
def ingest(config, name, test_file, tl, url):
|
||||
def ingest(config, name, test_file, tl):
|
||||
"""Ingest real-time broker quotes and ticks to a marketstore instance.
|
||||
"""
|
||||
# global opts
|
||||
|
|
|
|||
|
|
@ -14,7 +14,7 @@
|
|||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
'''
|
||||
``marketstore`` integration.
|
||||
|
||||
- client management routines
|
||||
|
|
@ -22,7 +22,7 @@
|
|||
- websocket client for subscribing to write triggers
|
||||
- todo: tick sequence stream-cloning for testing
|
||||
- todo: docker container management automation
|
||||
"""
|
||||
'''
|
||||
from contextlib import asynccontextmanager
|
||||
from typing import Dict, Any, List, Callable, Tuple, Optional
|
||||
import time
|
||||
|
|
@ -31,9 +31,9 @@ from math import isnan
|
|||
import msgpack
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import pymarketstore as pymkts
|
||||
import tractor
|
||||
from trio_websocket import open_websocket_url
|
||||
from anyio_marketstore import open_marketstore_client, MarketstoreClient
|
||||
|
||||
from ..log import get_logger, get_console_log
|
||||
from ..data import open_feed
|
||||
|
|
@ -43,7 +43,7 @@ log = get_logger(__name__)
|
|||
|
||||
_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
|
||||
_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
|
||||
_url: str = 'http://localhost:5993/rpc'
|
||||
|
||||
_quote_dt = [
|
||||
# these two are required for as a "primary key"
|
||||
('Epoch', 'i8'),
|
||||
|
|
@ -51,34 +51,27 @@ _quote_dt = [
|
|||
|
||||
('IsTrade', 'i1'),
|
||||
('IsBid', 'i1'),
|
||||
('Price', 'f8'),
|
||||
('Size', 'f8')
|
||||
('Price', 'f4'),
|
||||
('Size', 'f4')
|
||||
]
|
||||
_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
|
||||
|
||||
|
||||
class MarketStoreError(Exception):
|
||||
"Generic marketstore client error"
|
||||
|
||||
|
||||
def err_on_resp(response: dict) -> None:
|
||||
"""Raise any errors found in responses from client request.
|
||||
def mk_tbk(keys: Tuple[str, str, str]) -> str:
|
||||
"""Generate a marketstore table key from a tuple.
|
||||
Converts,
|
||||
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
|
||||
"""
|
||||
responses = response['responses']
|
||||
if responses is not None:
|
||||
for r in responses:
|
||||
err = r['error']
|
||||
if err:
|
||||
raise MarketStoreError(err)
|
||||
return '{}/' + '/'.join(keys)
|
||||
|
||||
|
||||
def quote_to_marketstore_structarray(
|
||||
quote: Dict[str, Any],
|
||||
last_fill: Optional[float],
|
||||
|
||||
last_fill: Optional[float]
|
||||
) -> np.array:
|
||||
"""Return marketstore writeable structarray from quote ``dict``.
|
||||
"""
|
||||
'''
|
||||
Return marketstore writeable structarray from quote ``dict``.
|
||||
'''
|
||||
|
||||
if last_fill:
|
||||
# new fill bby
|
||||
now = timestamp(last_fill, unit='s')
|
||||
|
|
@ -112,82 +105,21 @@ def quote_to_marketstore_structarray(
|
|||
|
||||
|
||||
def timestamp(date, **kwargs) -> int:
|
||||
"""Return marketstore compatible 'Epoch' integer in nanoseconds
|
||||
'''
|
||||
Return marketstore compatible 'Epoch' integer in nanoseconds
|
||||
from a date formatted str.
|
||||
"""
|
||||
'''
|
||||
|
||||
return int(pd.Timestamp(date, **kwargs).value)
|
||||
|
||||
|
||||
def mk_tbk(keys: Tuple[str, str, str]) -> str:
|
||||
"""Generate a marketstore table key from a tuple.
|
||||
|
||||
Converts,
|
||||
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
|
||||
"""
|
||||
return '{}/' + '/'.join(keys)
|
||||
|
||||
|
||||
class Client:
|
||||
"""Async wrapper around the alpaca ``pymarketstore`` sync client.
|
||||
|
||||
This will server as the shell for building out a proper async client
|
||||
that isn't horribly documented and un-tested..
|
||||
"""
|
||||
def __init__(self, url: str):
|
||||
self._client = pymkts.Client(url)
|
||||
|
||||
async def _invoke(
|
||||
self,
|
||||
meth: Callable,
|
||||
*args,
|
||||
**kwargs,
|
||||
) -> Any:
|
||||
return err_on_resp(meth(*args, **kwargs))
|
||||
|
||||
async def destroy(
|
||||
self,
|
||||
tbk: Tuple[str, str, str],
|
||||
) -> None:
|
||||
return await self._invoke(self._client.destroy, mk_tbk(tbk))
|
||||
|
||||
async def list_symbols(
|
||||
self,
|
||||
tbk: str,
|
||||
) -> List[str]:
|
||||
return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
|
||||
|
||||
async def write(
|
||||
self,
|
||||
symbol: str,
|
||||
array: np.ndarray,
|
||||
) -> None:
|
||||
start = time.time()
|
||||
await self._invoke(
|
||||
self._client.write,
|
||||
array,
|
||||
_tick_tbk.format(symbol),
|
||||
isvariablelength=True
|
||||
)
|
||||
log.debug(f"{symbol} write time (s): {time.time() - start}")
|
||||
|
||||
def query(
|
||||
self,
|
||||
symbol,
|
||||
tbk: Tuple[str, str] = _tick_tbk_ids,
|
||||
) -> pd.DataFrame:
|
||||
# XXX: causes crash
|
||||
# client.query(pymkts.Params(symbol, '*', 'OHCLV'
|
||||
result = self._client.query(
|
||||
pymkts.Params(symbol, *tbk),
|
||||
)
|
||||
return result.first().df()
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def get_client(
|
||||
url: str = _url,
|
||||
) -> Client:
|
||||
yield Client(url)
|
||||
host: str = 'localhost',
|
||||
port: int = 5995
|
||||
) -> MarketstoreClient:
|
||||
async with open_marketstore_client(host, port) as client:
|
||||
yield client
|
||||
|
||||
|
||||
async def ingest_quote_stream(
|
||||
|
|
@ -196,8 +128,9 @@ async def ingest_quote_stream(
|
|||
tries: int = 1,
|
||||
actorloglevel: str = None,
|
||||
) -> None:
|
||||
"""Ingest a broker quote stream into marketstore in (sampled) tick format.
|
||||
"""
|
||||
'''
|
||||
Ingest a broker quote stream into marketstore.
|
||||
'''
|
||||
async with (
|
||||
open_feed(brokername, symbols, loglevel=actorloglevel) as feed,
|
||||
get_client() as ms_client
|
||||
|
|
@ -212,107 +145,125 @@ async def ingest_quote_stream(
|
|||
# okkk..
|
||||
continue
|
||||
|
||||
a = quote_to_marketstore_structarray({
|
||||
array = quote_to_marketstore_structarray({
|
||||
'IsTrade': 1 if ticktype == 'trade' else 0,
|
||||
'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
|
||||
'Price': tick.get('price'),
|
||||
'Size': tick.get('size')
|
||||
}, last_fill=quote.get('broker_ts', None))
|
||||
|
||||
log.info(a)
|
||||
await ms_client.write(symbol, a)
|
||||
|
||||
await ms_client.write(
|
||||
array, _tick_tbk)
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
symbols: List[str],
|
||||
timeframe: str = '1Min',
|
||||
attr_group: str = 'TICK',
|
||||
host: str = 'localhost',
|
||||
port: int = 5993,
|
||||
diff_cached: bool = True,
|
||||
loglevel: str = None,
|
||||
loglevel: str = None
|
||||
) -> None:
|
||||
"""Open a symbol stream from a running instance of marketstore and
|
||||
'''
|
||||
Open a symbol stream from a running instance of marketstore and
|
||||
log to console.
|
||||
"""
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
'''
|
||||
|
||||
tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
|
||||
tbks: Dict[str, str] = {
|
||||
sym: f'{sym}/{timeframe}/{attr_group}' for sym in symbols}
|
||||
|
||||
async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
|
||||
# send subs topics to server
|
||||
resp = await ws.send_message(
|
||||
msgpack.dumps({'streams': list(tbks.values())})
|
||||
)
|
||||
log.info(resp)
|
||||
|
||||
async def recv() -> Dict[str, Any]:
|
||||
return msgpack.loads((await ws.get_message()), encoding='utf-8')
|
||||
|
||||
streams = (await recv())['streams']
|
||||
log.info(f"Subscribed to {streams}")
|
||||
|
||||
_cache = {}
|
||||
|
||||
while True:
|
||||
msg = await recv()
|
||||
|
||||
# unpack symbol and quote data
|
||||
# key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
|
||||
symbol = msg['key'].split('/')[0]
|
||||
data = msg['data']
|
||||
|
||||
# calc time stamp(s)
|
||||
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
|
||||
# async def stream_quotes(
|
||||
# symbols: List[str],
|
||||
# host: str = 'localhost',
|
||||
# port: int = 5993,
|
||||
# diff_cached: bool = True,
|
||||
# loglevel: str = None,
|
||||
# ) -> None:
|
||||
# """Open a symbol stream from a running instance of marketstore and
|
||||
# log to console.
|
||||
# """
|
||||
# # XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
# get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
#
|
||||
# tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
|
||||
#
|
||||
# async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
|
||||
# # send subs topics to server
|
||||
# resp = await ws.send_message(
|
||||
# msgpack.dumps({'streams': list(tbks.values())})
|
||||
# )
|
||||
# log.info(resp)
|
||||
#
|
||||
# async def recv() -> Dict[str, Any]:
|
||||
# return msgpack.loads((await ws.get_message()), encoding='utf-8')
|
||||
#
|
||||
# streams = (await recv())['streams']
|
||||
# log.info(f"Subscribed to {streams}")
|
||||
#
|
||||
# _cache = {}
|
||||
#
|
||||
# while True:
|
||||
# msg = await recv()
|
||||
#
|
||||
# # unpack symbol and quote data
|
||||
# # key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
|
||||
# symbol = msg['key'].split('/')[0]
|
||||
# data = msg['data']
|
||||
#
|
||||
# # calc time stamp(s)
|
||||
# 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