Commit Graph

3548 Commits (068f5d8eab8695820ca97cf18b6af4ff65b3e62a)

Author SHA1 Message Date
Tyler Goodlet 715e693564 Improved clearing-tick-burst-oriented throttling
Instead of uniformly distributing the msg send rate for a given
aggregate subscription, choose to be more bursty around clearing ticks
so as to avoid saturating the consumer with L1 book updates and vs.
delivering real trade data as-fast-as-possible.

Presuming the consumer is in the "UI land of slow" (eg. modern display
frame rates) such an approach serves more useful for seeing "material
changes" in the market as-bursty-as-possible (i.e. more short lived fast
changes in last clearing price vs. many slower changes in the bid-ask
spread queues). Such an approach also lends better to multi-feed
overlays which in aggregate tend to scale linearly with the number of
feeds/overlays; centralization of bursty arrival rates allows for
a higher overall throttle rate if used cleverly with framing.
2023-01-13 13:21:15 -05:00
Tyler Goodlet 43717c92d9 Type annot-declare fsp-engine data `Feed` 2023-01-13 13:21:15 -05:00
Tyler Goodlet f370685c62 Init msg keys are always lower case 2023-01-13 13:21:15 -05:00
Tyler Goodlet 4300470786 Fix for empty tsdb query result case 2023-01-13 13:21:15 -05:00
Tyler Goodlet b89fd9652c `binance`: always request an extra 1min OHLC bar
Seems that by default their history indexing rounds down/back to the
previous time step, so make sure we add a minute inside `Client.bars()`
when the `end_dt=None`, indicating "get the latest bar". Add
a breakpoint block that should trigger whenever the latest bar vs. the
latest epoch time is mismatched; we'll remove this after some testing
verifying the history bars issue is resolved.

Further this drops the legacy `backfill_bars()` endpoint which has been
deprecated and unused for a while.
2023-01-13 13:14:35 -05:00
Tyler Goodlet 51f4afbd88 Don't raise on quote feed lags to dark clearing loop 2023-01-13 12:51:07 -05:00
Tyler Goodlet 7ef8111381 Provide `datetime`-sorted clears table iteration
Likely pertains to helping with stuff in issues #345 and #373 and just
generally is handy to have when processing ledgers / clearing event
tables.

Adds the following helper methods:
- `iter_by_dt()` to iter-sort an arbitrary `Transaction`-like table of
  clear entries.
- `Position.iter_clears()` as a convenience wrapper for the above.
2023-01-13 12:51:01 -05:00
Tyler Goodlet 35b097469b Round spread (slap) offset to min tick digits 2023-01-13 12:51:01 -05:00
Tyler Goodlet 94290c7d8b `kraken`: ignore mismatched zero-ed pps (for now)
See more details in the GH comment:
https://github.com/pikers/piker/issues/373#issuecomment-1380988581

More or less we need to pull and include the transfer fees for
withdrawals in our ledger tracking but this serves as a sloppy
workaround for the moment.
2023-01-13 12:48:18 -05:00
Tyler Goodlet 73379d3627 Run CI on all PRs 2023-01-13 12:39:17 -05:00
Tyler Goodlet 23835f2c08 `deribit`: drop old `backfill_bars()` ep 2023-01-13 12:39:17 -05:00
Tyler Goodlet d2aee00a56 `kraken`: only do unsub if connected
Trying to send a message in the `NoBsWs.fixture()` exit when the ws is
not currently disconnected causes a double `._stack.close()` call which
will corrupt `trio`'s coro stack. Instead only do the unsub if we detect
the ws is still up.

Also drops the legacy `backfill_bars()` module endpoint.

Fixes #437
2023-01-13 12:39:17 -05:00
Tyler Goodlet cf6e44cb9c Add `NoBsWs.connected()` predicate 2023-01-13 12:39:17 -05:00
Tyler Goodlet a146ad9e69 Never restart `ib-gw` containers on boot 2023-01-13 12:37:49 -05:00
Tyler Goodlet 70ad1a1860 `kraken`: don't presume src fiat symbol size in pos predicate 2023-01-13 12:37:49 -05:00
Tyler Goodlet f3ef73ef41 `kraken`: drop symbol token size =6 check 2023-01-13 12:37:49 -05:00
Tyler Goodlet a9832dc0cb `ib`: fix position log msg 2023-01-13 12:37:49 -05:00
Tyler Goodlet 9be245e955 `ib`: Add treasury yield futs to adhoc fqsn set 2023-01-13 12:37:49 -05:00
Tyler Goodlet 800773e585 ib: ignore throttles on `.get_head_time()` 2023-01-13 12:37:49 -05:00
goodboy 8d1eb81f16
Merge pull request #414 from pikers/agg_feedz
Agg feedz
2023-01-13 12:20:47 -05:00
Tyler Goodlet 963e5bdd62 Go back to `Feed.pause/resume()`, new flume APIs coming later 2023-01-10 11:09:19 -05:00
Tyler Goodlet 55de9abc41 Adjust cli mod imports of daemon sockaddr vars 2023-01-10 11:09:19 -05:00
Tyler Goodlet 593db0ed0d Only run `kraken` feed tests in CI, use `open_test_pikerd()` 2023-01-10 11:09:19 -05:00
Tyler Goodlet 06622105cd Add a `open_test_pikerd()` acm fixture for easy booting of the service stack 2023-01-10 11:09:19 -05:00
Tyler Goodlet 008ae47e14 Reset `._registry_addr` to any passed in value from caller 2023-01-10 11:09:19 -05:00
Tyler Goodlet 81585d9e6e Set global registry addr after first entry point spawns `pikerd` 2023-01-10 11:09:19 -05:00
Tyler Goodlet f6b7057b0d `binance`: always request an extra 1min OHLC bar
Seems that by default their history indexing rounds down/back to the
previous time step, so make sure we add a minute inside `Client.bars()`
when the `end_dt=None`, indicating "get the latest bar". Add
a breakpoint block that should trigger whenever the latest bar vs. the
latest epoch time is mismatched; we'll remove this after some testing
verifying the history bars issue is resolved.

Further this drops the legacy `backfill_bars()` endpoint which has been
deprecated and unused for a while.
2023-01-10 11:09:19 -05:00
Tyler Goodlet 76f920a16b Always force lowercase on `binance` symbol keys
Hopefully helps resolve #435
2023-01-10 11:09:19 -05:00
Tyler Goodlet f232d6d4ee Add `ci_env` detector fixture 2023-01-10 11:09:19 -05:00
Tyler Goodlet b7e1443618 Use ETH on kraken to ensure enough quotes 2023-01-10 11:09:19 -05:00
Tyler Goodlet 5d021ffb85 Bump up timeout on multi-feed test for CI 2023-01-10 11:09:19 -05:00
Tyler Goodlet 28fd795280 Only require `-b <brokername>` for filtering
Instead of requiring any `-b` try to import all built-in broker backend
python modules by default and only load those detected from the input symbol
list's fqsn values. In other words the `piker chart` cmd can be run sin
`-b` now and that flag is only required if you only want to load
a subset of the built-ins or are trying to load a specific
not-yet-builtin backend.
2023-01-10 11:09:19 -05:00
Tyler Goodlet c944db5f02 Revert "Fix `_main()` arg back to `sym: str`"
This reverts commit 02fbc0a0ed.
2023-01-10 11:09:19 -05:00
Tyler Goodlet 967e28b7ac Adjust built-in backend list to known working 2023-01-10 11:09:19 -05:00
Tyler Goodlet 2a158aea2c Rework `_FeedsBus` subscriptions mgmt using `set`
Allows using `set` ops for subscription management and guarantees no
duplicates per `brokerd` actor. New API is simpler for dynamic
pause/resume changes per `Feed`:
- `_FeedsBus.add_subs()`, `.get_subs()`, `.remove_subs()` all accept multi-sub
  `set` inputs.
- `Feed.pause()` / `.resume()` encapsulates management of *only* sending
  a msg on each unique underlying IPC msg stream.

Use new api in sampler task.
2023-01-10 11:09:19 -05:00
Tyler Goodlet 88870fdda7 Set `brokers: list[st]` from mods when not provided.. 2023-01-10 11:09:19 -05:00
Tyler Goodlet 326f153a47 Catch overruns on throttled feed subs too
Previously we would only detect overruns and drop subscriptions on
non-throttled feed subs, however you can get the same issue with
a wrapping throttler task:
- the intermediate mem chan can be blocked either by the throttler task
  being too slow, in which case we still want to warn about it
- the stream's IPC channel actually breaks and we still want to drop
  the connection and subscription so it doesn't be come a source of
  stale backpressure.
2023-01-10 11:09:19 -05:00
Tyler Goodlet f5cd63ad35 Ensure correct stream is set on each `Flume`
Set each quote-stream by matching the provider for each `Flume` and thus
results in some flumes mapping to the same (multiplexed) stream.
Monkey-patch the equivalent `tractor.MsgStream._ctx: tractor.Context` on
each broadcast-receiver subscription to allow use by feed bus methods as
well as other internals which need to reference IPC channel/portal info.

Start a `_FeedsBus` subscription management API:
- add `.get_subs()` which returns the list of tuples registered for the
  given key (normally the fqsn).
- add `.remove_sub()` which allows removing by key and tuple value and
  provides encapsulation for sampler task(s) which deal with dropped
  connections/subscribers.
2023-01-10 11:09:19 -05:00
Tyler Goodlet 1e96ca32df Move `maybe_open_feed()` above for readability 2023-01-10 11:09:19 -05:00
Tyler Goodlet c088963cf2 Always touch config file dir if dne 2023-01-10 11:09:19 -05:00
Tyler Goodlet 79fcbcc281 Add an sdist job to CI 2023-01-10 11:09:19 -05:00
Tyler Goodlet ddbba76095 Use (a new) `piker_pin` branch in `tractor` (again) 2023-01-10 11:09:19 -05:00
Tyler Goodlet 0a959c1c74 Not all accounts will have API trade transactions this session.. 2023-01-10 11:09:19 -05:00
Tyler Goodlet e348968113 Add multi-broker streaming test using both `binance` and `kraken` 2023-01-10 11:09:19 -05:00
Tyler Goodlet 7bbe86d6fb Unpack broker mod and portal from fqsn for brokerd-trade-dialogs 2023-01-10 11:09:19 -05:00
Tyler Goodlet 7b9db86753 Multi-`broker` quotes with `Feed.open_multi_stream()`
Adds provider-list-filtered (quote) stream multiplexing support allowing
for merged real-time `tractor.MsgStream`s using an `@acm` interface.
Behind the scenes we are just doing a classic multi-task push to common
mem chan approach.

Details to make it work on `Feed`:
- add `Feed.mods: dict[str, Moduletype]` and
  `Feed.portals[ModuleType, tractor.Portal]` which are both populated
  during init in `open_feed()`
- drop `Feed.portal` and `Feed.name`

Also fix a final lingering tsdb history loading loop termination bug.
2023-01-10 11:09:19 -05:00
Tyler Goodlet 20a396270e `Storage.read_ohlcv()` now returns a `numpy` array 2023-01-10 11:09:19 -05:00
Tyler Goodlet 81516c5204 Finally fix tsdb -> shm backfill loading
A slight facepalm but, the main issue was a simple indexing logic error:
we need to slice with `tsdb_history[-shm._first.value:]` to push most
recent history not oldest.. This allows cleanup of tsdb backfill loop as
well.

Further, greatly simply `diff_history()` time slicing by using the
classic `numpy` conditional slice on the epoch field.
2023-01-10 11:09:19 -05:00
Tyler Goodlet d6fb6fe3ae Just drop the pretty repr from our struct for now 2023-01-10 11:09:19 -05:00
Tyler Goodlet 8476d8d056 Fix partial-frame-missing backfill logic
This had a bug prior where the end of a frame (a partial) wasn't being
sliced correctly and we'd get odd gaps showing up in the backfilled from
`brokerd` vs. tsdb end index. Repair this by doing timeframe aware index
diffing in `diff_history()` which seems to resolve it. Also, use the
frame-result's `end_dt: datetime` for the loop exit condition.
2023-01-10 11:09:19 -05:00