pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Move top level fsp pkg code into an `_engine` module

fsp_drunken_alignment
Tyler Goodlet 2021-09-25 10:06:37 -04:00
parent 33d1f56440
commit d4b00d74f8
3 changed files with 260 additions and 233 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

240
piker/fsp/__init__.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
# Copyright (C) Tyler Goodlet (in stewardship of piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
@ -14,33 +14,17 @@
# 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/>.
"""
Financial signal processing for the peeps.
"""
from functools import partial
from typing import AsyncIterator, Callable, Tuple, Optional
'''
Fin-sig-proc for the peeps!
'''
from typing import AsyncIterator
import trio
from trio_typing import TaskStatus
import tractor
import numpy as np
from ..log import get_logger, get_console_log
from .. import data
from ._momo import _rsi, _wma
from ._volume import _tina_vwap
from ..data import attach_shm_array
from ..data.feed import Feed
from ..data._sharedmem import ShmArray
from ._engine import cascade
log = get_logger(__name__)
_fsp_builtins = {
'rsi': _rsi,
'wma': _wma,
'vwap': _tina_vwap,
}
__all__ = ['cascade']
async def latency(
@ -63,211 +47,3 @@ async def latency(
# stack tracing.
value = quote['brokerd_ts'] - quote['broker_ts']
yield value
async def filter_quotes_by_sym(
sym: str,
quote_stream,
) -> AsyncIterator[dict]:
'''Filter quote stream by target symbol.
'''
# TODO: make this the actualy first quote from feed
# XXX: this allows for a single iteration to run for history
# processing without waiting on the real-time feed for a new quote
yield {}
# task cancellation won't kill the channel
# since we shielded at the `open_feed()` call
async for quotes in quote_stream:
for symbol, quote in quotes.items():
if symbol == sym:
yield quote
async def fsp_compute(
stream: tractor.MsgStream,
symbol: str,
feed: Feed,
quote_stream: trio.abc.ReceiveChannel,
src: ShmArray,
dst: ShmArray,
func_name: str,
func: Callable,
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
) -> None:
# TODO: load appropriate fsp with input args
out_stream = func(
# TODO: do we even need this if we do the feed api right?
# shouldn't a local stream do this before we get a handle
# to the async iterable? it's that or we do some kinda
# async itertools style?
filter_quotes_by_sym(symbol, quote_stream),
feed.shm,
)
# TODO: XXX:
# THERE'S A BIG BUG HERE WITH THE `index` field since we're
# prepending a copy of the first value a few times to make
# sub-curves align with the parent bar chart.
# This likely needs to be fixed either by,
# - manually assigning the index and historical data
# seperately to the shm array (i.e. not using .push())
# - developing some system on top of the shared mem array that
# is `index` aware such that historical data can be indexed
# relative to the true first datum? Not sure if this is sane
# for incremental compuations.
dst._first.value = src._first.value
dst._last.value = src._first.value
# Conduct a single iteration of fsp with historical bars input
# and get historical output
history_output = await out_stream.__anext__()
# build a struct array which includes an 'index' field to push
# as history
history = np.array(
np.arange(len(history_output)),
dtype=dst.array.dtype
)
history[func_name] = history_output
# check for data length mis-allignment and fill missing values
diff = len(src.array) - len(history)
if diff > 0:
log.warning(f"WTF DIFF SIGNAL to HISTORY {diff}")
for _ in range(diff):
dst.push(history[:1])
# compare with source signal and time align
index = dst.push(history)
# setup a respawn handle
with trio.CancelScope() as cs:
task_status.started((cs, index))
import time
last = time.time()
# rt stream
async for processed in out_stream:
period = time.time() - last
hz = 1/period if period else float('nan')
if hz > 60:
log.info(f'FSP quote too fast: {hz}')
log.debug(f"{func_name}: {processed}")
index = src.index
dst.array[-1][func_name] = processed
# stream latest array index entry which basically just acts
# as trigger msg to tell the consumer to read from shm
await stream.send(index)
last = time.time()
@tractor.context
async def cascade(
ctx: tractor.Context,
brokername: str,
src_shm_token: dict,
dst_shm_token: Tuple[str, np.dtype],
symbol: str,
func_name: str,
loglevel: Optional[str] = None,
) -> None:
'''Chain streaming signal processors and deliver output to
destination mem buf.
'''
if loglevel:
get_console_log(loglevel)
src = attach_shm_array(token=src_shm_token)
dst = attach_shm_array(readonly=False, token=dst_shm_token)
func: Callable = _fsp_builtins.get(func_name)
if not func:
# TODO: assume it's a func target path
raise ValueError('Unknown fsp target: {func_name}')
# open a data feed stream with requested broker
async with data.feed.maybe_open_feed(
brokername,
[symbol],
# TODO throttle tick outputs from *this* daemon since
# it'll emit tons of ticks due to the throttle only
# limits quote arrival periods, so the consumer of *this*
# needs to get throttled the ticks we generate.
# tick_throttle=60,
) as (feed, quote_stream):
assert src.token == feed.shm.token
last_len = new_len = len(src.array)
async with (
ctx.open_stream() as stream,
trio.open_nursery() as n,
):
fsp_target = partial(
fsp_compute,
stream=stream,
symbol=symbol,
feed=feed,
quote_stream=quote_stream,
# shm
src=src,
dst=dst,
func_name=func_name,
func=func
)
cs, index = await n.start(fsp_target)
await ctx.started(index)
# Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed.
async with feed.index_stream() as stream:
async for msg in stream:
new_len = len(src.array)
if new_len > last_len + 1:
# respawn the signal compute task if the source
# signal has been updated
log.warning(f'Re-spawning fsp {func_name}')
cs.cancel()
cs, index = await n.start(fsp_target)
# TODO: adopt an incremental update engine/approach
# where possible here eventually!
# read out last shm row, copy and write new row
array = dst.array
last = array[-1:].copy()
dst.push(last)
last_len = new_len

251
piker/fsp/_engine.py 100644
View File

@ -0,0 +1,251 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship of piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# 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/>.
'''
core task logic for processing chains
'''
from functools import partial
from typing import AsyncIterator, Callable, Optional
import trio
from trio_typing import TaskStatus
import tractor
import numpy as np
from ..log import get_logger, get_console_log
from .. import data
from ..data import attach_shm_array
from ..data.feed import Feed
from ..data._sharedmem import ShmArray
from ._momo import _rsi, _wma
from ._volume import _tina_vwap
log = get_logger(__name__)
_fsp_builtins = {
'rsi': _rsi,
'wma': _wma,
'vwap': _tina_vwap,
}
async def filter_quotes_by_sym(
sym: str,
quote_stream,
) -> AsyncIterator[dict]:
'''Filter quote stream by target symbol.
'''
# TODO: make this the actual first quote from feed
# XXX: this allows for a single iteration to run for history
# processing without waiting on the real-time feed for a new quote
yield {}
async for quotes in quote_stream:
quote = quotes.get(sym)
if quote:
yield quote
# for symbol, quote in quotes.items():
# if symbol == sym:
async def fsp_compute(
stream: tractor.MsgStream,
symbol: str,
feed: Feed,
quote_stream: trio.abc.ReceiveChannel,
src: ShmArray,
dst: ShmArray,
func_name: str,
func: Callable,
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
) -> None:
# TODO: load appropriate fsp with input args
out_stream = func(
# TODO: do we even need this if we do the feed api right?
# shouldn't a local stream do this before we get a handle
# to the async iterable? it's that or we do some kinda
# async itertools style?
filter_quotes_by_sym(symbol, quote_stream),
feed.shm,
)
# TODO: XXX:
# THERE'S A BIG BUG HERE WITH THE `index` field since we're
# prepending a copy of the first value a few times to make
# sub-curves align with the parent bar chart.
# This likely needs to be fixed either by,
# - manually assigning the index and historical data
# seperately to the shm array (i.e. not using .push())
# - developing some system on top of the shared mem array that
# is `index` aware such that historical data can be indexed
# relative to the true first datum? Not sure if this is sane
# for incremental compuations.
dst._first.value = src._first.value
dst._last.value = src._first.value
# Conduct a single iteration of fsp with historical bars input
# and get historical output
history_output = await out_stream.__anext__()
# build a struct array which includes an 'index' field to push
# as history
history = np.array(
np.arange(len(history_output)),
dtype=dst.array.dtype
)
history[func_name] = history_output
# check for data length mis-allignment and fill missing values
diff = len(src.array) - len(history)
if diff > 0:
log.warning(f"WTF DIFF SIGNAL to HISTORY {diff}")
for _ in range(diff):
dst.push(history[:1])
# compare with source signal and time align
index = dst.push(history)
# setup a respawn handle
with trio.CancelScope() as cs:
task_status.started((cs, index))
import time
last = time.time()
# rt stream
async for processed in out_stream:
period = time.time() - last
hz = 1/period if period else float('nan')
if hz > 60:
log.info(f'FSP quote too fast: {hz}')
log.debug(f"{func_name}: {processed}")
index = src.index
dst.array[-1][func_name] = processed
# stream latest array index entry which basically just acts
# as trigger msg to tell the consumer to read from shm
await stream.send(index)
last = time.time()
@tractor.context
async def cascade(
ctx: tractor.Context,
brokername: str,
src_shm_token: dict,
dst_shm_token: tuple[str, np.dtype],
symbol: str,
func_name: str,
loglevel: Optional[str] = None,
) -> None:
'''Chain streaming signal processors and deliver output to
destination mem buf.
'''
if loglevel:
get_console_log(loglevel)
src = attach_shm_array(token=src_shm_token)
dst = attach_shm_array(readonly=False, token=dst_shm_token)
func: Callable = _fsp_builtins.get(func_name)
if not func:
# TODO: assume it's a func target path
raise ValueError('Unknown fsp target: {func_name}')
# open a data feed stream with requested broker
async with data.feed.maybe_open_feed(
brokername,
[symbol],
# TODO throttle tick outputs from *this* daemon since
# it'll emit tons of ticks due to the throttle only
# limits quote arrival periods, so the consumer of *this*
# needs to get throttled the ticks we generate.
# tick_throttle=60,
) as (feed, quote_stream):
assert src.token == feed.shm.token
last_len = new_len = len(src.array)
async with (
ctx.open_stream() as stream,
trio.open_nursery() as n,
):
fsp_target = partial(
fsp_compute,
stream=stream,
symbol=symbol,
feed=feed,
quote_stream=quote_stream,
# shm
src=src,
dst=dst,
func_name=func_name,
func=func
)
cs, index = await n.start(fsp_target)
await ctx.started(index)
# Increment the underlying shared memory buffer on every
# "increment" msg received from the underlying data feed.
async with feed.index_stream() as stream:
async for msg in stream:
new_len = len(src.array)
if new_len > last_len + 1:
# respawn the signal compute task if the source
# signal has been updated
log.warning(f'Re-spawning fsp {func_name}')
cs.cancel()
cs, index = await n.start(fsp_target)
# TODO: adopt an incremental update engine/approach
# where possible here eventually!
# read out last shm row, copy and write new row
array = dst.array
last = array[-1:].copy()
dst.push(last)
last_len = new_len

2
piker/ui/_display.py
View File

@ -323,7 +323,7 @@ async def fan_out_spawn_fsp_daemons(
conf['shm'] = shm
portal = await n.start_actor(
enable_modules=['piker.fsp'],
enable_modules=['piker.fsp._engine'],
name='fsp.' + display_name,
)