Drop `pandas` use in ib backend for history
Found an issue (that was predictably brushed aside XD) where the `ib_insync.util.df()` helper was changing the timestamps on bars data to be way off (probably a `pandas.Timestamp` timezone thing?). Anyway, dropped all that (which will hopefully let us drop `pandas` as a hard dep) and added a buncha timestamp checking as well as start/end datetime return values using `pendulum` so that consumer code can know which "slice" is output. Also added some WIP code to work around "no history found" request errors where instead now we try to increment backward another 200 seconds - not sure if this actually correct yet.mkts_backup
Tyler Goodlet
parent
3c5a799e97
commit
e7b1d77b08
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@ -23,7 +23,7 @@ built on it) and thus actor aware API calls must be spawned with
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"""
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from contextlib import asynccontextmanager as acm
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from dataclasses import asdict
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from dataclasses import asdict, astuple
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from datetime import datetime
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from functools import partial
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import itertools
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@ -41,6 +41,7 @@ import platform
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from random import randint
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import time
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import trio
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from trio_typing import TaskStatus
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import tractor
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@ -60,7 +61,7 @@ import numpy as np
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from .. import config
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from ..log import get_logger, get_console_log
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from ..data._source import from_df
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from ..data._source import base_ohlc_dtype
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from ..data._sharedmem import ShmArray
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from ._util import SymbolNotFound, NoData
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from ..clearing._messages import (
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@ -229,6 +230,28 @@ _exch_skip_list = {
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_enters = 0
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def bars_to_np(bars: list) -> np.ndarray:
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'''
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Convert a "bars list thing" (``BarsList`` type from ibis)
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into a numpy struct array.
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'''
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# TODO: maybe rewrite this faster with ``numba``
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np_ready = []
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for bardata in bars:
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ts = bardata.date.timestamp()
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t = astuple(bardata)[:7]
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np_ready.append((ts, ) + t[1:7])
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nparr = np.array(
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np_ready,
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dtype=base_ohlc_dtype,
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)
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assert nparr['time'][0] == bars[0].date.timestamp()
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assert nparr['time'][-1] == bars[-1].date.timestamp()
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return nparr
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class Client:
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'''
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IB wrapped for our broker backend API.
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@ -255,6 +278,7 @@ class Client:
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async def bars(
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self,
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fqsn: str,
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# EST in ISO 8601 format is required... below is EPOCH
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start_dt: Union[datetime, str] = "1970-01-01T00:00:00.000000-05:00",
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end_dt: Union[datetime, str] = "",
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@ -262,7 +286,6 @@ class Client:
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sample_period_s: str = 1, # ohlc sample period
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period_count: int = int(2e3), # <- max per 1s sample query
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is_paid_feed: bool = False, # placeholder
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) -> list[dict[str, Any]]:
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'''
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Retreive OHLCV bars for a fqsn over a range to the present.
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@ -313,10 +336,8 @@ class Client:
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# TODO: raise underlying error here
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raise ValueError(f"No bars retreived for {fqsn}?")
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# TODO: rewrite this faster with ``numba``
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# convert to pandas dataframe:
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df = ibis.util.df(bars)
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return bars, from_df(df)
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nparr = bars_to_np(bars)
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return bars, nparr
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async def con_deats(
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self,
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@ -1214,7 +1235,6 @@ async def open_client_proxy() -> MethodProxy:
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code = getattr(err, 'code', None)
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if code:
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msg = err.message
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# await tractor.breakpoint()
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# TODO: retreive underlying ``ib_insync`` error?
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if (
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@ -1362,7 +1382,9 @@ async def get_bars(
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proxy: MethodProxy,
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fqsn: str,
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end_dt: str = "",
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# blank to start which tells ib to look up the latest datum
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end_dt: str = '',
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) -> (dict, np.ndarray):
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'''
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@ -1370,73 +1392,68 @@ async def get_bars(
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a ``MethoProxy``.
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'''
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_err: Optional[Exception] = None
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import pendulum
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fails = 0
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bars: Optional[list] = None
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in_throttle: bool = False
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first_dt: datetime = None
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last_dt: datetime = None
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async def get():
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if end_dt:
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last_dt = pendulum.from_timestamp(end_dt.timestamp())
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for _ in range(10):
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try:
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bars, bars_array = await proxy.bars(
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fqsn=fqsn,
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end_dt=end_dt,
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)
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if bars_array is None:
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raise SymbolNotFound(fqsn)
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next_dt = bars[0].date
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log.info(f'ib datetime {next_dt}')
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first_dt = pendulum.from_timestamp(
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bars[0].date.timestamp())
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return (bars, bars_array, next_dt), fails
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last_dt = pendulum.from_timestamp(
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bars[-1].date.timestamp())
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in_throttle: bool = False
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time = bars_array['time']
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assert time[-1] == last_dt.timestamp()
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assert time[0] == first_dt.timestamp()
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log.info(f'bars retreived for dts {first_dt}:{last_dt}')
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for _ in range(10):
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try:
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return await get()
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return (bars, bars_array, first_dt, last_dt), fails
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except RequestError as err:
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msg = err.message
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# why do we always need to rebind this?
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_err = err
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# TODO: retreive underlying ``ib_insync`` error?
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if err.code == 162:
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# TODO: so this error is normally raised (it seems) if
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# we try to retrieve history for a time range for which
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# there is none. in that case we should not only report
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# the "empty range" but also do a iteration on the time
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# step for ``next_dt`` to see if we can pull older
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# history.
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if 'HMDS query returned no data' in err.message:
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# means we hit some kind of historical "empty space"
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# and further requests will need to decrement the
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# start time dt in order to not receive a further
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# error?
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# OLDER: seem to always cause throttling despite low rps
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# TODO: if there is not bars returned from the first
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# query we need to manually calculate the next step
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# back and convert to an expected datetime format.
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# if not bars:
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# raise
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# try to decrement start point and look further back
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next_dt = bars[0].date
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log.info(f'ib datetime {next_dt}')
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continue
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elif 'No market data permissions for' in err.message:
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# _err = err
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if 'No market data permissions for' in msg:
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# TODO: signalling for no permissions searches
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raise NoData(f'Symbol: {fqsn}')
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break
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elif (
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err.code == 162
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and 'HMDS query returned no data' in err.message
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):
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# try to decrement start point and look further back
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end_dt = last_dt = last_dt.subtract(seconds=2000)
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log.warning(
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f'No data found ending @ {end_dt}\n'
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f'Starting another request for {end_dt}'
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)
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continue
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else:
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log.exception(
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"Data query rate reached: Press `ctrl-alt-f`"
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"in TWS"
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)
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print(_err)
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# TODO: should probably create some alert on screen
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# and then somehow get that to trigger an event here
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@ -1452,6 +1469,7 @@ async def get_bars(
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fails += 1
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continue
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return None, None
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# else: # throttle wasn't fixed so error out immediately
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# raise _err
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@ -1480,14 +1498,14 @@ async def open_history_client(
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log.error(f"Can't grab bars starting at {end_dt}!?!?")
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raise NoData(f'{end_dt}')
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bars, bars_array, next_dt = out
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bars, bars_array, first_dt, last_dt = out
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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return bars_array, next_dt
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return bars_array, first_dt, last_dt
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yield get_hist
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@ -1503,7 +1521,7 @@ async def backfill_bars(
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# case the shm size will be driven by user config and available sys
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# memory.
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# count: int = 120,
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count: int = 22,
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count: int = 36,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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@ -1515,6 +1533,9 @@ async def backfill_bars(
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https://github.com/pikers/piker/issues/128
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'''
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# last_dt1 = None
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last_dt = None
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with trio.CancelScope() as cs:
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# async with open_history_client(fqsn) as proxy:
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@ -1530,9 +1551,10 @@ async def backfill_bars(
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if out is None:
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raise RuntimeError("Could not pull currrent history?!")
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(first_bars, bars_array, next_dt) = out
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(first_bars, bars_array, first_dt, last_dt) = out
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vlm = bars_array['volume']
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vlm[vlm < 0] = 0
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last_dt = first_dt
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# write historical data to buffer
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shm.push(bars_array)
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@ -1542,7 +1564,7 @@ async def backfill_bars(
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i = 0
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while i < count:
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out, fails = await get_bars(proxy, fqsn, end_dt=next_dt)
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out, fails = await get_bars(proxy, fqsn, end_dt=first_dt)
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if fails is None or fails > 1:
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break
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@ -1551,10 +1573,12 @@ async def backfill_bars(
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# could be trying to retreive bars over weekend
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# TODO: add logic here to handle tradable hours and
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# only grab valid bars in the range
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log.error(f"Can't grab bars starting at {next_dt}!?!?")
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log.error(f"Can't grab bars starting at {first_dt}!?!?")
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continue
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bars, bars_array, next_dt = out
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(first_bars, bars_array, first_dt, last_dt) = out
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# last_dt1 = last_dt
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# last_dt = first_dt
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# volume cleaning since there's -ve entries,
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# wood luv to know what crookery that is..
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@ -1787,7 +1811,7 @@ async def stream_quotes(
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# TODO: we should instead spawn a task that waits on a feed to start
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# and let it wait indefinitely..instead of this hard coded stuff.
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with trio.move_on_after(6):
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with trio.move_on_after(1):
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contract, first_ticker, details = await _trio_run_client_method(
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method='get_quote',
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symbol=sym,
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