Add symbol search to ib
Tyler Goodlet
parent
82a8e0a7b6
commit
ef1b0911f3
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@ -45,7 +45,9 @@ from ib_insync.objects import Position
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import ib_insync as ibis
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from ib_insync.wrapper import Wrapper
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from ib_insync.client import Client as ib_Client
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from fuzzywuzzy import process as fuzzy
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from .api import open_cached_client
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from ..log import get_logger, get_console_log
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from .._daemon import maybe_spawn_brokerd
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from ..data._source import from_df
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@ -322,7 +324,7 @@ class Client:
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sym, exch = symbol.upper().rsplit('.', maxsplit=1)
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except ValueError:
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# likely there's an embedded `.` for a forex pair
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await tractor.breakpoint()
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breakpoint()
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# futes
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if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'):
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@ -350,10 +352,13 @@ class Client:
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if exch in ('PURE', 'TSE'): # non-yankee
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currency = 'CAD'
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if exch in ('PURE', 'TSE'):
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# stupid ib...
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primaryExchange = exch
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exch = 'SMART'
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# stupid ib...
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primaryExchange = exch
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exch = 'SMART'
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else:
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exch = 'SMART'
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primaryExchange = exch
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con = ibis.Stock(
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symbol=sym,
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@ -994,23 +999,31 @@ async def stream_quotes(
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}
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}
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con = first_ticker.contract
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# should be real volume for this contract by default
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calc_price = False
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# check for special contract types
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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# should be real volume for this contract
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calc_price = False
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suffix = con.primaryExchange
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if not suffix:
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suffix = con.exchange
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else:
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# commodities and forex don't have an exchange name and
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# no real volume so we have to calculate the price
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suffix = 'secType'
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suffix = con.secType
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# no real volume on this tract
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calc_price = True
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# pass first quote asap
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quote = normalize(first_ticker, calc_price=calc_price)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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topic = '.'.join((con['symbol'], suffix)).lower()
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quote['symbol'] = topic
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# pass first quote asap
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first_quote = {topic: quote}
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# ugh, clear ticks since we've consumed them
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@ -1022,50 +1035,50 @@ async def stream_quotes(
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task_status.started((init_msgs, first_quote))
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if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
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suffix = 'exchange'
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calc_price = False # should be real volume for contract
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# suffix = 'exchange'
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# calc_price = False # should be real volume for contract
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# wait for real volume on feed (trading might be closed)
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async with aclosing(stream):
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while True:
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async for ticker in stream:
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# for a real volume contract we rait for the first
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# "real" trade to take place
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if not calc_price and not ticker.rtTime:
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# spin consuming tickers until we get a real market datum
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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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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# tell caller quotes are now coming in live
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feed_is_live.set()
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async for ticker in stream:
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# print(ticker.vwap)
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quote = normalize(
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ticker,
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calc_price=calc_price
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)
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con = quote['contract']
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topic = '.'.join((con['symbol'], con[suffix])).lower()
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quote['symbol'] = topic
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await send_chan.send({topic: quote})
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ticker = await stream.receive()
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# for a real volume contract we rait for the first
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# "real" trade to take place
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if not calc_price and not ticker.rtTime:
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# spin consuming tickers until we get a real market datum
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log.debug(f"New unsent ticker: {ticker}")
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continue
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else:
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log.debug("Received first real volume tick")
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# ugh, clear ticks since we've consumed them
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# (ahem, ib_insync is truly stateful trash)
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ticker.ticks = []
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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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# tell caller quotes are now coming in live
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feed_is_live.set()
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async with aclosing(stream):
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async for ticker in stream:
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# print(ticker.vwap)
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quote = normalize(
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ticker,
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calc_price=calc_price
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)
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# con = quote['contract']
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# topic = '.'.join((con['symbol'], suffix)).lower()
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quote['symbol'] = topic
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await send_chan.send({topic: quote})
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# ugh, clear ticks since we've consumed them
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ticker.ticks = []
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def pack_position(pos: Position) -> Dict[str, Any]:
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con = pos.contract
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@ -1183,3 +1196,33 @@ async def stream_trades(
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continue
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yield {'local_trades': (event_name, msg)}
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@tractor.context
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async def open_symbol_search(
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ctx: tractor.Context,
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) -> Client:
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async with open_cached_client('ib') as client:
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# load all symbols locally for fast search
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await ctx.started({})
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async with ctx.open_stream() as stream:
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async for pattern in stream:
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if not pattern:
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# will get error on empty request
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continue
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results = await client.search_stocks(pattern=pattern, upto=5)
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matches = fuzzy.extractBests(
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pattern,
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results,
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score_cutoff=50,
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)
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await stream.send(
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{item[2]: item[0]
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for item in matches}
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)
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