Been hitting wayy too many cases like this so, finally put my foot down
and stuck in a buncha helper code to figure why (especially for gappy
ass pennies) this can/is happening XD
inside the `.ib.api.Client()`:
- in `.bars()` pack all `.reqHistoricalDataAsync()` kwargs into a dict such that
wen/if we rx a blank frame we can enter pdb and make sync calls using
a little `get_hist()` closure from the REPL.
- tidy up type annots a bit too.
- add a new `.maybe_get_head_time()` meth which will return `None` when
the dt can't be retrieved for the contract.
inside `.feed.open_history_client()`:
- use new `Client.maybe_get_head_time()` and only do `DataUnavailable`
raises when the request `end_dt` is actually earlier.
- when `get_bars()` returns a `None` and the `head_dt` is not earlier
then the `end_dt` submitted, raise a `NoData` with more `.info: dict`.
- deliver a new `frame_types: dict[int, pendulum.Duration]` as part
of the yielded `config: dict`.
- in `.get_bars()` always assume a `tuple` returned from
`Client.bars()`.
- return a `None` on empty frames instead of raising `NoData` at this
call frame.
- do more explicit imports from `pendulum` for brevity.
inside `.brokers._util`:
- make `NoData` take an `info: dict` as input to allow backends to pack
in empty frame meta-data for (eventual) use in the tsp back-filling
layer.
We might as well start standardizing on `brokerd` init such that it can
be used more generally in client code (such as the `.accounting.cli`
stuff).
Deats of `broker_init()` impl:
- loads appropriate py pkg module,
- reads any declared `__enable_modules__: listr[str]` which will be
passed to `tractor.ActorNursery.start_actor(enabled_modules=<this>)`
- loads the `.brokers._daemon._setup_persistent_brokerd
As expected the `accounting.cli` tools can now import directly from this
new location and use the common daemon fixture definition.
Since there are indeed multiple futures (perp swaps) contracts including
a set with expiry, we need a way to distinguish through search and
`FutesPair` lookup which contract we're requesting. To solve this extend
the `FutesPair` and `SpotPair` to include a `.bs_fqme` field similar to
`MktPair` and key the `Client._pairs: ChainMap`'s backing tables with
these expanded fqmes. For example the perp swap now expands to
`btcusdt.usdtm.perp` which fills in the venue as `'usdtm'` (the
usd-margined fututes market) and the expiry as `'perp'` (as before).
This allows distinguishing explicitly from, for ex., coin-margined
contracts which could instead (since we haven't added the support yet)
fqmes of the sort `btcusdt.<coin>m.perp.binance` thus making it explicit
and obvious which contract is which B)
Further we interpolate the venue token to `spot` for spot markets going
forward, which again makes cex spot markets explicit in symbology; we'll
need to add this as well to other cex backends ;)
Other misc detalles:
- change USD-M futes `MarketType` key to `'usdtm_futes'`.
- add `Pair.bs_fqme: str` for all pair subtypes with particular
special contract handling for futes including quarterlies, perps and
the weird "DEFI" ones..
- drop `OHLC.bar_wap` since it's no longer in the default time-series
schema and we weren't filling it in here anyway..
- `Client._pairs: ChainMap` is now a read-only fqme-re-keyed view into
the underlying pairs tables (which themselves are ideally keyed
identically cross-venue) which we populate inside `Client.exch_info()`
which itself now does concurrent pairs info fetching via a new
`._cache_pairs()` using a `trio` task per API-venue.
- support klines history query across all venues using same
`Client.mkt_mode_req[Client.mkt_mode]` style as we're doing for
`.exch_info()` B)
- use the venue specific klines history query limits where documented.
- handle new FQME venue / expiry fields inside `get_mkt_info()` ep such
that again the correct `Client.mkt_mode` is selected based on parsing
the desired spot vs. derivative contract.
- do venue-specific-WSS-addr lookup based on output from
`get_mkt_info()`; use usdtm venue WSS addr if a `FutesPair` is loaded.
- set `topic: str` to the `.bs_fqme` value in live feed quotes!
- use `Pair.bs_fqme: str` values for fuzzy-search input set.
Since it's a bit weird having service specific implementation details
inside the general service `._daemon` mod, and since i'd mentioned
trying this re-org; let's do it B)
Requires enabling the new mod in both `pikerd` and `brokerd` and
obviously a bit more runtime-loading of the service modules in the
`brokerd` service eps to avoid import cycles.
Also moved `_setup_persistent_brokerd()` into the new mod since the
naming would place it there even though the implementation really
wouldn't (longer run) since we want to split up `.data.feed` layer
backend-invoked eps into a separate actor eventually from the "actual"
`brokerd` which will be the actor running **only** the trade control eps
(eg. trades_dialogue()` and friends).
Tyler Goodlet
Tyler Goodlet