Add normalization step for ticks
Start a draft normalization format for (sampled) tick data. Ideally we move toward the dense tick format (DFT) enforced by techtonicDB, but for now let's just get a dict of something simple going: `{'type': 'trade', 'price': <price}` kind of thing. This gets us started being able to real-time chart from all data feed back-ends. Oh, and hack in support for XAUUSD..and get subactor logging workin.its_happening
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307bc87738
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e49417a4b8
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@ -97,6 +97,15 @@ class NonShittyIB(ibis.IB):
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self._logger = logging.getLogger('ib_insync.ib')
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self._logger = logging.getLogger('ib_insync.ib')
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# map of symbols to contract ids
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_adhoc_cmdty_data_map = {
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
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# NOTE: cmdtys don't have trade data:
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# https://groups.io/g/twsapi/message/44174
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'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
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}
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class Client:
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class Client:
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"""IB wrapped for our broker backend API.
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"""IB wrapped for our broker backend API.
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@ -119,20 +128,34 @@ class Client:
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) -> List[Dict[str, Any]]:
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) -> List[Dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""
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"""
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bars_kwargs = {'whatToShow': 'TRADES'}
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contract = await self.find_contract(symbol)
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contract = await self.find_contract(symbol)
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bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
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# _min = min(2000*100, count)
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# _min = min(2000*100, count)
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bars = await self.ib.reqHistoricalDataAsync(
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bars = await self.ib.reqHistoricalDataAsync(
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contract,
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contract,
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endDateTime='',
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endDateTime='',
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# durationStr='60 S',
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# durationStr='60 S',
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# durationStr='1 D',
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# durationStr='1 D',
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# time length calcs
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durationStr='{count} S'.format(count=3000 * 5),
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durationStr='{count} S'.format(count=3000 * 5),
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barSizeSetting='5 secs',
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barSizeSetting='5 secs',
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whatToShow='TRADES',
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useRTH=False
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# always use extended hours
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useRTH=False,
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# restricted per contract type
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**bars_kwargs,
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# whatToShow='MIDPOINT',
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# whatToShow='TRADES',
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)
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)
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if not bars:
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# TODO: raise underlying error here
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# TODO: raise underlying error here
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assert bars
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raise ValueError(f"No bars retreived for {symbol}?")
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# convert to pandas dataframe:
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# convert to pandas dataframe:
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df = ibis.util.df(bars)
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df = ibis.util.df(bars)
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return from_df(df)
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return from_df(df)
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@ -205,8 +228,9 @@ class Client:
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con = await self.get_cont_fute(symbol=sym, exchange=exch)
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con = await self.get_cont_fute(symbol=sym, exchange=exch)
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elif exch == 'CMDTY': # eg. XAUSUSD.CMDTY
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elif exch == 'CMDTY': # eg. XAUSUSD.CMDTY
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con = ibis.Commodity(symbol=sym)
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con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
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con = ibis.Commodity(**con_kwargs)
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con.bars_kwargs = bars_kwargs
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else:
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else:
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con = ibis.Stock(symbol=sym, exchange=exch, currency=currency)
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con = ibis.Stock(symbol=sym, exchange=exch, currency=currency)
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@ -222,12 +246,19 @@ class Client:
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symbol: str,
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symbol: str,
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to_trio,
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to_trio,
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opts: Tuple[int] = ('233', '375'),
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opts: Tuple[int] = ('233', '375'),
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# opts: Tuple[int] = ('459',),
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) -> None:
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""Stream a ticker using the std L1 api.
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"""
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"""
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contract = await self.find_contract(symbol)
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contract = await self.find_contract(symbol)
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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ticker: Ticker = self.ib.reqMktData(contract, ','.join(opts))
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ticker.updateEvent.connect(lambda t: to_trio.send_nowait(t))
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# ticker.updateEvent.connect(lambda t: to_trio.send_nowait(t))
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def push(t):
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log.debug(t)
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to_trio.send_nowait(t)
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ticker.updateEvent.connect(push)
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# let the engine run and stream
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# let the engine run and stream
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await self.ib.disconnectedEvent
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await self.ib.disconnectedEvent
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@ -371,32 +402,31 @@ async def get_client(
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yield get_method_proxy(portal, Client)
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yield get_method_proxy(portal, Client)
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async def stream_quotes(
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def normalize(
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symbols: List[str],
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ticker: Ticker,
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) -> AsyncGenerator[str, Dict[str, Any]]:
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calc_price: bool = False
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"""Stream symbol quotes.
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) -> dict:
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This is a ``trio`` callable routine meant to be invoked
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once the brokerd is up.
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"""
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get_console_log('info')
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stream = await tractor.to_asyncio.run_task(
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_trio_run_client_method,
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method='stream_ticker',
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symbol=symbols[0],
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)
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async with aclosing(stream):
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# first quote can be ignored as a 2nd with newer data is sent?
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first_ticker = await stream.__anext__()
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data = asdict(first_ticker)
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log.debug(f"First ticker received {data}")
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yield data
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quote_cache = {}
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def proc_ticker(ticker: Ticker) -> dict:
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# convert named tuples to dicts so we send usable keys
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# convert named tuples to dicts so we send usable keys
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ticker.ticks = [td._asdict() for td in ticker.ticks]
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new_ticks = []
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for tick in ticker.ticks:
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td = tick._asdict()
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if td['tickType'] in (48, 77):
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td['type'] = 'trade'
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new_ticks.append(td)
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ticker.ticks = new_ticks
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# some contracts don't have volume so we may want to
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# calculate a midpoint price based on data we can acquire
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# (such as bid / ask)
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if calc_price:
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ticker.ticks.append(
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{'type': 'trade', 'price': ticker.marketPrice()}
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)
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# serialize for transport
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data = asdict(ticker)
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data = asdict(ticker)
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# add time stamps for downstream latency measurements
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# add time stamps for downstream latency measurements
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@ -406,19 +436,57 @@ async def stream_quotes(
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return data
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return data
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async def stream_quotes(
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symbols: List[str],
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loglevel: str = None,
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) -> AsyncGenerator[str, Dict[str, Any]]:
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"""Stream symbol quotes.
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This is a ``trio`` callable routine meant to be invoked
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once the brokerd is up.
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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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stream = await tractor.to_asyncio.run_task(
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_trio_run_client_method,
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method='stream_ticker',
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symbol=symbols[0],
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)
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async with aclosing(stream):
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# first quote can be ignored as a 2nd with newer data is sent?
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first_ticker = await stream.__anext__()
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# quote_cache = {}
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if type(first_ticker.contract) not in (ibis.Commodity,):
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calc_price = False # should be real volume for contract
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data = normalize(first_ticker)
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log.debug(f"First ticker received {data}")
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yield data
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async for ticker in stream:
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async for ticker in stream:
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# spin consuming tickers until we get a real market datum
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# spin consuming tickers until we get a real market datum
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if not ticker.rtTime:
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if not ticker.rtTime:
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log.debug(f"New unsent ticker: {ticker}")
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log.debug(f"New unsent ticker: {ticker}")
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continue
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continue
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else:
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else:
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yield proc_ticker(ticker)
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yield normalize(ticker)
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log.debug("Received first real volume tick")
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log.debug("Received first real volume tick")
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# XXX: this works because we don't use ``aclosing()`` above?
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# XXX: this works because we don't use
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# ``aclosing()`` above?
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break
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break
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else:
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calc_price = True
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async for ticker in stream:
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async for ticker in stream:
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yield proc_ticker(ticker)
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yield normalize(
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ticker,
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calc_price=calc_price
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)
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# ugh, clear ticks since we've consumed them
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# ugh, clear ticks since we've consumed them
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ticker.ticks = []
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ticker.ticks = []
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