Drop `trimeter`-ized concurrent history querying
It doesn't seem to be any slower on our least throttled backend (binance) and it removes a bunch of hard to get correct frame re-ordering logic that i'm not sure really ever fully worked XD Commented some issues we still need to resolve as well.clears_table_events
Tyler Goodlet
parent
c939e75ef9
commit
d5c3124722
|
|
@ -21,18 +21,19 @@ This module is enabled for ``brokerd`` daemons.
|
|||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from dataclasses import dataclass, field
|
||||
from datetime import datetime
|
||||
from contextlib import asynccontextmanager
|
||||
from dataclasses import (
|
||||
dataclass,
|
||||
field,
|
||||
)
|
||||
from datetime import datetime
|
||||
from functools import partial
|
||||
from pprint import pformat
|
||||
from types import ModuleType
|
||||
from typing import (
|
||||
Any,
|
||||
AsyncIterator,
|
||||
Callable,
|
||||
Optional,
|
||||
Generator,
|
||||
Awaitable,
|
||||
TYPE_CHECKING,
|
||||
Union,
|
||||
|
|
@ -41,7 +42,6 @@ from typing import (
|
|||
import trio
|
||||
from trio.abc import ReceiveChannel
|
||||
from trio_typing import TaskStatus
|
||||
import trimeter
|
||||
import tractor
|
||||
from tractor.trionics import maybe_open_context
|
||||
import pendulum
|
||||
|
|
@ -300,6 +300,9 @@ async def start_backfill(
|
|||
log.info(f'Pushing {to_push.size} to shm!')
|
||||
shm.push(to_push)
|
||||
|
||||
# TODO: *** THIS IS A BUG ***
|
||||
# we need to only broadcast to subscribers for this fqsn..
|
||||
# otherwise all fsps get reset on every chart..
|
||||
for delay_s in sampler.subscribers:
|
||||
await broadcast(delay_s)
|
||||
|
||||
|
|
@ -337,79 +340,31 @@ async def start_backfill(
|
|||
last_tsdb_dt = start_dt.subtract(**kwargs)
|
||||
|
||||
# configure async query throttling
|
||||
erlangs = config.get('erlangs', 1)
|
||||
rate = config.get('rate', 1)
|
||||
frames = {}
|
||||
# rate = config.get('rate', 1)
|
||||
# XXX: legacy from ``trimeter`` code but unsupported now.
|
||||
# erlangs = config.get('erlangs', 1)
|
||||
|
||||
def iter_dts(start: datetime):
|
||||
# inline sequential loop where we simply pass the
|
||||
# last retrieved start dt to the next request as
|
||||
# it's end dt.
|
||||
starts: set[datetime] = set()
|
||||
|
||||
while True:
|
||||
|
||||
hist_period = pendulum.period(
|
||||
start,
|
||||
last_tsdb_dt,
|
||||
)
|
||||
dtrange = list(hist_period.range('seconds', frame_size_s))
|
||||
log.debug(f'New datetime index:\n{pformat(dtrange)}')
|
||||
|
||||
for end_dt in dtrange:
|
||||
log.info(f'Yielding next frame start {end_dt}')
|
||||
start = yield end_dt
|
||||
|
||||
# if caller sends a new start date, reset to that
|
||||
if start is not None:
|
||||
log.warning(f'Resetting date range: {start}')
|
||||
break
|
||||
else:
|
||||
# from while
|
||||
return
|
||||
|
||||
# pull new history frames until we hit latest
|
||||
# already in the tsdb or a max count.
|
||||
count = 0
|
||||
|
||||
# NOTE: when gaps are detected in the retreived history (by
|
||||
# comparisor of the end - start versus the expected "frame size"
|
||||
# in seconds) we need a way to alert the async request code not
|
||||
# to continue to query for data "within the gap". This var is
|
||||
# set in such cases such that further requests in that period
|
||||
# are discarded and further we reset the "datetimem query frame
|
||||
# index" in such cases to avoid needless noop requests.
|
||||
earliest_end_dt: Optional[datetime] = start_dt
|
||||
|
||||
async def get_ohlc_frame(
|
||||
input_end_dt: datetime,
|
||||
iter_dts_gen: Generator[datetime],
|
||||
|
||||
) -> np.ndarray:
|
||||
|
||||
nonlocal count, frames, earliest_end_dt, frame_size_s
|
||||
count += 1
|
||||
|
||||
if input_end_dt > earliest_end_dt:
|
||||
# if a request comes in for an inter-gap frame we
|
||||
# discard it since likely this request is still
|
||||
# lingering from before the reset of ``iter_dts()`` via
|
||||
# ``.send()`` below.
|
||||
log.info(f'Discarding request history ending @ {input_end_dt}')
|
||||
|
||||
# signals to ``trimeter`` loop to discard and
|
||||
# ``continue`` in it's schedule loop.
|
||||
return None
|
||||
while start_dt > last_tsdb_dt:
|
||||
|
||||
print(f"QUERY end_dt={start_dt}")
|
||||
try:
|
||||
log.info(
|
||||
f'Requesting {step_size_s}s frame ending in {input_end_dt}'
|
||||
f'Requesting {step_size_s}s frame ending in {start_dt}'
|
||||
)
|
||||
array, start_dt, end_dt = await hist(
|
||||
timeframe,
|
||||
end_dt=input_end_dt,
|
||||
end_dt=start_dt,
|
||||
)
|
||||
assert array['time'][0] == start_dt.timestamp()
|
||||
|
||||
except NoData:
|
||||
log.warning(
|
||||
f'NO DATA for {frame_size_s}s frame @ {input_end_dt} ?!?'
|
||||
f'NO DATA for {frame_size_s}s frame @ {start_dt} ?!?'
|
||||
)
|
||||
return None # discard signal
|
||||
|
||||
|
|
@ -433,41 +388,27 @@ async def start_backfill(
|
|||
# XXX: query result includes a start point prior to our
|
||||
# expected "frame size" and thus is likely some kind of
|
||||
# history gap (eg. market closed period, outage, etc.)
|
||||
# so indicate to the request loop that this gap is
|
||||
# expected by both,
|
||||
# - resetting the ``iter_dts()`` generator to start at
|
||||
# the new start point delivered in this result
|
||||
# - setting the non-locally scoped ``earliest_end_dt``
|
||||
# to this new value so that the request loop doesn't
|
||||
# get tripped up thinking there's an out of order
|
||||
# request-result condition.
|
||||
|
||||
# so just report it to console for now.
|
||||
log.warning(
|
||||
f'History frame ending @ {end_dt} appears to have a gap:\n'
|
||||
f'{diff} ~= {frame_time_diff_s} seconds'
|
||||
)
|
||||
|
||||
# reset dtrange gen to new start point
|
||||
try:
|
||||
next_end = iter_dts_gen.send(start_dt)
|
||||
log.info(
|
||||
f'Reset frame index to start at {start_dt}\n'
|
||||
f'Was at {next_end}'
|
||||
array, _start_dt, end_dt = await hist(
|
||||
timeframe,
|
||||
end_dt=start_dt,
|
||||
)
|
||||
|
||||
# NOTE: manually set "earliest end datetime" index-value
|
||||
# to avoid the request loop getting confused about
|
||||
# new frames that are earlier in history - i.e. this
|
||||
# **is not** the case of out-of-order frames from
|
||||
# an async batch request.
|
||||
earliest_end_dt = start_dt
|
||||
if (
|
||||
_start_dt in starts
|
||||
):
|
||||
print("SKIPPING DUPLICATE FRAME @ {_start_dt}")
|
||||
start_dt = min(starts)
|
||||
continue
|
||||
|
||||
except StopIteration:
|
||||
# gen already terminated meaning we probably already
|
||||
# exhausted it via frame requests.
|
||||
log.info(
|
||||
"Datetime index already exhausted, can't reset.."
|
||||
)
|
||||
# only update new start point if new
|
||||
start_dt = _start_dt
|
||||
starts.add(start_dt)
|
||||
|
||||
to_push = diff_history(
|
||||
array,
|
||||
|
|
@ -478,152 +419,11 @@ async def start_backfill(
|
|||
ln = len(to_push)
|
||||
if ln:
|
||||
log.info(f'{ln} bars for {start_dt} -> {end_dt}')
|
||||
frames[input_end_dt.timestamp()] = (to_push, start_dt, end_dt)
|
||||
return to_push, start_dt, end_dt
|
||||
|
||||
else:
|
||||
log.warning(
|
||||
f'{ln} BARS TO PUSH after diff?!: {start_dt} -> {end_dt}'
|
||||
)
|
||||
return None
|
||||
|
||||
# initial dt index starts at the start of the first query result
|
||||
idts = iter_dts(start_dt)
|
||||
|
||||
async with trimeter.amap(
|
||||
partial(
|
||||
get_ohlc_frame,
|
||||
# we close in the ``iter_dt()`` gen in so we can send
|
||||
# reset signals as needed for gap dection in the
|
||||
# history.
|
||||
iter_dts_gen=idts,
|
||||
),
|
||||
idts,
|
||||
|
||||
capture_outcome=True,
|
||||
include_value=True,
|
||||
|
||||
# better technical names bruv...
|
||||
max_at_once=erlangs,
|
||||
max_per_second=rate,
|
||||
|
||||
) as outcomes:
|
||||
|
||||
# Then iterate over the return values, as they become available
|
||||
# (i.e., not necessarily in the original order)
|
||||
async for input_end_dt, outcome in outcomes:
|
||||
|
||||
try:
|
||||
out = outcome.unwrap()
|
||||
|
||||
if out is None:
|
||||
# skip signal
|
||||
continue
|
||||
|
||||
elif isinstance(out, DataUnavailable):
|
||||
# no data available case signal.. so just kill
|
||||
# further requests and basically just stop
|
||||
# trying...
|
||||
break
|
||||
|
||||
except Exception:
|
||||
log.exception('uhh trimeter bail')
|
||||
raise
|
||||
else:
|
||||
to_push, start_dt, end_dt = out
|
||||
|
||||
if not len(to_push):
|
||||
# diff returned no new data (i.e. we probablyl hit
|
||||
# the ``last_tsdb_dt`` point).
|
||||
# TODO: raise instead?
|
||||
log.warning(f'No history for range {start_dt} -> {end_dt}')
|
||||
continue
|
||||
|
||||
# pipeline-style pull frames until we need to wait for
|
||||
# the next in order to arrive.
|
||||
# i = end_dts.index(input_end_dt)
|
||||
# print(f'latest end_dt {end_dt} found at index {i}')
|
||||
|
||||
epochs = list(reversed(sorted(frames)))
|
||||
for epoch in epochs:
|
||||
|
||||
start = shm.array['time'][0]
|
||||
last_shm_prepend_dt = pendulum.from_timestamp(start)
|
||||
earliest_frame_queue_dt = pendulum.from_timestamp(epoch)
|
||||
|
||||
diff = start - epoch
|
||||
|
||||
if diff < 0:
|
||||
log.warning(
|
||||
'Discarding out of order frame:\n'
|
||||
f'{earliest_frame_queue_dt}'
|
||||
)
|
||||
frames.pop(epoch)
|
||||
continue
|
||||
|
||||
if diff > step_size_s:
|
||||
|
||||
if earliest_end_dt < earliest_frame_queue_dt:
|
||||
# XXX: an expected gap was encountered (see
|
||||
# logic in ``get_ohlc_frame()``, so allow
|
||||
# this frame through to the storage layer.
|
||||
log.warning(
|
||||
f'Expected history gap of {diff}s:\n'
|
||||
f'{earliest_frame_queue_dt} <- '
|
||||
f'{earliest_end_dt}'
|
||||
)
|
||||
|
||||
elif (
|
||||
erlangs > 1
|
||||
):
|
||||
# we don't yet have the next frame to push
|
||||
# so break back to the async request loop
|
||||
# while we wait for more async frame-results
|
||||
# to arrive.
|
||||
if len(frames) >= erlangs:
|
||||
log.warning(
|
||||
'Frame count in async-queue is greater '
|
||||
'then erlangs?\n'
|
||||
'There seems to be a gap between:\n'
|
||||
f'{earliest_frame_queue_dt} <- '
|
||||
f'{last_shm_prepend_dt}\n'
|
||||
'Conducting manual call for frame ending: '
|
||||
f'{last_shm_prepend_dt}'
|
||||
)
|
||||
(
|
||||
to_push,
|
||||
start_dt,
|
||||
end_dt,
|
||||
) = await get_ohlc_frame(
|
||||
input_end_dt=last_shm_prepend_dt,
|
||||
iter_dts_gen=idts,
|
||||
)
|
||||
last_epoch = to_push['time'][-1]
|
||||
diff = start - last_epoch
|
||||
|
||||
if diff > step_size_s:
|
||||
await tractor.breakpoint()
|
||||
raise DataUnavailable(
|
||||
'An awkward frame was found:\n'
|
||||
f'{start_dt} -> {end_dt}:\n{to_push}'
|
||||
)
|
||||
|
||||
else:
|
||||
frames[last_epoch] = (
|
||||
to_push, start_dt, end_dt)
|
||||
break
|
||||
|
||||
expect_end = pendulum.from_timestamp(start)
|
||||
expect_start = expect_end.subtract(
|
||||
seconds=frame_size_s)
|
||||
log.warning(
|
||||
'waiting on out-of-order history frame:\n'
|
||||
f'{expect_end - expect_start}'
|
||||
)
|
||||
break
|
||||
|
||||
to_push, start_dt, end_dt = frames.pop(epoch)
|
||||
ln = len(to_push)
|
||||
|
||||
# bail gracefully on shm allocation overrun/full condition
|
||||
try:
|
||||
|
|
@ -638,10 +438,6 @@ async def start_backfill(
|
|||
f'Shm pushed {ln} frame:\n'
|
||||
f'{start_dt} -> {end_dt}'
|
||||
)
|
||||
# keep track of most recent "prepended" ``start_dt``
|
||||
# both for detecting gaps and ensuring async
|
||||
# frame-result order.
|
||||
earliest_end_dt = start_dt
|
||||
|
||||
if (
|
||||
storage is not None
|
||||
|
|
@ -659,6 +455,7 @@ async def start_backfill(
|
|||
|
||||
# TODO: can we only trigger this if the respective
|
||||
# history in "in view"?!?
|
||||
|
||||
# XXX: extremely important, there can be no checkpoints
|
||||
# in the block above to avoid entering new ``frames``
|
||||
# values while we're pipelining the current ones to
|
||||
|
|
@ -666,7 +463,9 @@ async def start_backfill(
|
|||
for delay_s in sampler.subscribers:
|
||||
await broadcast(delay_s)
|
||||
|
||||
# short-circuit (for now)
|
||||
bf_done.set()
|
||||
return
|
||||
|
||||
|
||||
async def manage_history(
|
||||
|
|
@ -789,7 +588,6 @@ async def manage_history(
|
|||
else:
|
||||
dt_diff_s = 0
|
||||
|
||||
# await trio.sleep_forever()
|
||||
# TODO: see if there's faster multi-field reads:
|
||||
# https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
|
||||
# re-index with a `time` and index field
|
||||
|
|
|
|||
Loading…
Reference in New Issue