pikers
/
piker
3
0
Fork 0
Code Issues 2 Pull Requests 5 Packages Projects Releases Wiki Activity

Add draft, commented tickbytick for ib

windows_fixes_yo
Tyler Goodlet 2022-02-04 17:02:02 -05:00
parent 8d432e1988
commit e3c46a5d4d
1 changed files with 20 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

20
piker/brokers/ib.py
View File

@ -1076,6 +1076,10 @@ def normalize(
new_ticks.append(td) new_ticks.append(td)
tbt = ticker.tickByTicks
if tbt:
print(f'tickbyticks:\n {ticker.tickByTicks}')
ticker.ticks = new_ticks ticker.ticks = new_ticks
# some contracts don't have volume so we may want to calculate # some contracts don't have volume so we may want to calculate
@ -1088,6 +1092,11 @@ def normalize(
# serialize for transport # serialize for transport
data = asdict(ticker) data = asdict(ticker)
# convert named tuples to dicts for transport
tbts = data.get('tickByTicks')
if tbts:
data['tickByTicks'] = [tbt._asdict() for tbt in tbts]
# add time stamps for downstream latency measurements # add time stamps for downstream latency measurements
data['brokerd_ts'] = time.time() data['brokerd_ts'] = time.time()
@ -1274,6 +1283,11 @@ async def _setup_quote_stream(
'375', # RT trade volume (excludes utrades) '375', # RT trade volume (excludes utrades)
'233', # RT trade volume (includes utrades) '233', # RT trade volume (includes utrades)
'236', # Shortable shares '236', # Shortable shares
# these all appear to only be updated every 25s thus
# making them mostly useless and explains why the scanner
# is always slow XD
# '293', # Trade count for day
'294', # Trade rate / minute '294', # Trade rate / minute
'295', # Vlm rate / minute '295', # Vlm rate / minute
), ),
@ -1294,6 +1308,12 @@ async def _setup_quote_stream(
contract = contract or (await client.find_contract(symbol)) contract = contract or (await client.find_contract(symbol))
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts)) ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
# NOTE: it's batch-wise and slow af but I guess could
# be good for backchecking? Seems to be every 5s maybe?
# ticker: Ticker = client.ib.reqTickByTickData(
# contract, 'Last',
# )
# # define a simple queue push routine that streams quote packets # # define a simple queue push routine that streams quote packets
# # to trio over the ``to_trio`` memory channel. # # to trio over the ``to_trio`` memory channel.
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore # to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore