Introduce piker protocol in stream_messages
parent
a0b415095a
commit
e558e5837e
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@ -271,7 +271,6 @@ async def get_client() -> Client:
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async def open_aio_cryptofeed_relay(
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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event_consumers: dict[str, trio.Event],
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instruments: List[str] = []
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) -> None:
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@ -300,31 +299,39 @@ async def open_aio_cryptofeed_relay(
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instruments = [format_sym(i) for i in instruments]
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async def trade_cb(data: dict, receipt_timestamp):
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to_trio.send_nowait({
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'type': 'trade',
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data.symbol: data.to_dict(),
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'receipt': receipt_timestamp})
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breakpoint()
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# to_trio.send_nowait(('trade', {
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# 'symbol': data.symbol.lower(),
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# 'last': data.
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# 'broker_ts': time.time(),
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# 'data': data.to_dict(),
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# 'receipt': receipt_timestamp}))
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async def l1_book_cb(data: dict, receipt_timestamp):
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to_trio.send_nowait({
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'type': 'l1_book',
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data.symbol: data.to_dict(),
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'receipt': receipt_timestamp})
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to_trio.send_nowait(('l1', {
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'symbol': data.symbol.lower(),
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'ticks': [
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{'type': 'bid',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'bsize',
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'price': float(data.bid_price), 'size': float(data.bid_size)},
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{'type': 'ask',
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'price': float(data.ask_price), 'size': float(data.ask_size)},
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{'type': 'asize',
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'price': float(data.ask_price), 'size': float(data.ask_size)}
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]}))
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fh = FeedHandler(config=conf)
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fh.run(start_loop=False)
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fh.add_feed(
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DERIBIT,
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channels=[TRADES],
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channels=[L1_BOOK, TRADES],
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symbols=instruments,
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callbacks={TRADES: TradeCallback(trade_cb)})
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fh.add_feed(
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DERIBIT,
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channels=[L1_BOOK],
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symbols=instruments,
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callbacks={L1_BOOK: L1BookCallback(l1_book_cb)})
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callbacks={
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L1_BOOK: L1BookCallback(l1_book_cb),
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TRADES: TradeCallback(trade_cb)
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})
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# sync with trio
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to_trio.send_nowait(None)
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@ -332,33 +339,26 @@ async def open_aio_cryptofeed_relay(
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await from_trio.get()
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@acm
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async def open_cryptofeeds(instruments: List[str]):
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async def open_cryptofeeds(
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instruments: List[str],
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to_chart: trio.abc.SendChannel,
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# try:
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event_table = {}
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async with (
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to_asyncio.open_channel_from(
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open_aio_cryptofeed_relay,
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event_consumers=event_table,
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instruments=instruments
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) as (first, chan),
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trio.open_nursery() as n,
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):
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# startup sync
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task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
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):
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async with to_asyncio.open_channel_from(
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open_aio_cryptofeed_relay,
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instruments=instruments,
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) as (first, chan):
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assert first is None
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async def relay_events():
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async with chan.subscribe() as msg_stream:
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async for msg in msg_stream:
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print(msg)
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n.start_soon(relay_events)
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yield chan
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await chan.send(None)
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async with chan.subscribe() as msg_stream:
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task_status.started()
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async for msg in msg_stream:
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await to_chart.send(msg)
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@acm
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async def open_history_client(
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@ -391,12 +391,13 @@ async def open_history_client(
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async def backfill_bars(
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instrument: str,
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symbol: str,
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shm: ShmArray, # type: ignore # noqa
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Fill historical bars into shared mem / storage afap.
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"""
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instrument = symbol
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with trio.CancelScope() as cs:
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async with open_cached_client('deribit') as client:
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bars = await client.bars(instrument)
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@ -418,21 +419,41 @@ async def stream_quotes(
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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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sym_infos = {}
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uid = 0
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sym = symbols[0]
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to_chart, from_feed = trio.open_memory_channel(1)
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async with (
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open_cached_client('deribit') as client,
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send_chan as send_chan,
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open_cryptofeeds(symbols) as feed_chan
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trio.open_nursery() as n
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):
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await n.start(
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open_cryptofeeds, symbols, to_chart)
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init_msgs = {
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# pass back token, and bool, signalling if we're the writer
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# and that history has been written
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sym: {
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'symbol_info': {},
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'shm_write_opts': {'sum_tick_vml': False},
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'fqsn': sym,
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},
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}
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# keep client cached for real-time section
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cache = await client.cache_symbols()
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async with feed_chan.subscribe() as msg_stream:
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async for msg in msg_stream:
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print(msg)
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async with from_feed:
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typ, quote = await anext(from_feed)
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while typ != 'trade':
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typ, quote = await anext(from_feed)
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task_status.started((init_msgs, quote))
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async for typ, msg in from_feed:
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topic = msg['symbol']
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await send_chan.send({topic: msg})
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@tractor.context
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