Add symbol search to ib

piker/brokers/ib.py

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