Commit Graph

2335 Commits (41f24f3de6e93a8f4b4b6b1b729b5f3d07e705c5)

Author SHA1 Message Date
Tyler Goodlet a526008a95 Add github actions CI; thanks @guilledk! 2020-10-02 10:40:25 -04:00
Tyler Goodlet 2f8737af6a Fix PURE contracts lookup... 2020-09-29 17:06:28 -04:00
Tyler Goodlet 5bb11826f3 Drop unmarketable trades for now 2020-09-29 17:06:28 -04:00
Tyler Goodlet aad9cb2dd0 Support forex pair lookup on ib 2020-09-29 17:06:28 -04:00
Tyler Goodlet b499631d62 Drop to 1k bars on init load 2020-09-29 17:06:28 -04:00
Tyler Goodlet ad08cb7a66 Try to find cad stocks 2020-09-29 17:06:28 -04:00
Tyler Goodlet 103014aa58 Properly teardown data feed on cancel 2020-09-29 17:06:28 -04:00
Tyler Goodlet b7c924046a Begin to use `@tractor.msg.pub` throughout streaming API
Since the new FSP system will require time aligned data amongst actors,
it makes sense to share broker data feeds as much as possible on a local
system. There doesn't seem to be downside to this approach either since
if not fanning-out in our code, the broker (server) has to do it anyway
(and who knows how junk their implementation is) though with more
clients, sockets etc. in memory on our end. It also preps the code for
introducing a more "serious" pub-sub systems like zeromq/nanomessage.
2020-09-29 17:06:28 -04:00
Tyler Goodlet 0bf265a96f Future todo 2020-09-29 17:06:28 -04:00
Tyler Goodlet 482dc510fa Add normalization step for ticks
Start a draft normalization format for (sampled) tick data.
Ideally we move toward the dense tick format (DFT) enforced by
techtonicDB, but for now let's just get a dict of something simple
going: `{'type': 'trade', 'price': <price}` kind of thing. This
gets us started being able to real-time chart from all data feed
back-ends. Oh, and hack in support for XAUUSD..and get subactor
logging workin.
2020-09-29 17:06:28 -04:00
Tyler Goodlet aeb58c03e2 Add startup logic to handle market closure 2020-09-29 17:06:28 -04:00
Tyler Goodlet 4ce99e62e0 Override annoying stuff in ib_insync 2020-09-29 17:06:28 -04:00
Tyler Goodlet 41c6517a23 Port to new streaming api, yield whole tickers 2020-09-29 17:06:28 -04:00
Tyler Goodlet 450a39ce1c Add better contract search/lookup
Add a `Client.find_contract()` which internally takes
a <symbol>.<exchange> str as input and uses `IB.qualifyContractsAsync()`
internally to try and validate the most likely contract. Make the module
script call this using `asyncio.run()` for console testing.
2020-09-29 17:06:28 -04:00
Tyler Goodlet b8209cd506 Add a mostly actor aware API to IB backend
Infected `asyncio` support is being added to `tractor` in
goodboy/tractor#121 so delegate to all that new machinery.

Start building out an "actor-aware" api which takes care of all the
`trio`-`asyncio` interaction for data streaming and request handling.
Add a little (shudder) method proxy system which can be used to invoke
client methods from another actor. Start on a streaming api in
preparation for real-time charting.
2020-09-29 17:06:28 -04:00
Tyler Goodlet 1abadeb506 Add initial IB broker backend using ib_insync
Start working towards meeting the backend client api.
Infect `asyncio` using `trio`'s new guest mode and demonstrate
real-time ticker streaming to console.
2020-09-29 17:06:28 -04:00
goodboy 3c76a3e03d
Merge pull request #111 from pikers/unleash_the_kraken
Unleash the kraken
2020-09-29 16:43:27 -04:00
Tyler Goodlet 14a5d047c3 Copy forward stupid kraken zeroed vwaps 2020-09-29 16:42:28 -04:00
Tyler Goodlet b13da849d0 Include vwap in kraken historical bars 2020-09-29 16:42:06 -04:00
Tyler Goodlet 0b42ac1420 Normalize kraken quotes for latency tracking 2020-09-26 11:31:57 -04:00
Tyler Goodlet ea8205968c Begin to use `@tractor.msg.pub` throughout streaming API
Since the new FSP system will require time aligned data amongst actors,
it makes sense to share broker data feeds as much as possible on a local
system. There doesn't seem to be downside to this approach either since
if not fanning-out in our code, the broker (server) has to do it anyway
(and who knows how junk their implementation is) though with more
clients, sockets etc. in memory on our end. It also preps the code for
introducing a more "serious" pub-sub systems like zeromq/nanomessage.
2020-09-26 11:31:57 -04:00
Tyler Goodlet 44010abf4d Handle (far end forced) disconnects 2020-09-26 11:31:57 -04:00
Tyler Goodlet 03c5c7d2ba Trigger connection reset on slowed heartbeat 2020-09-26 11:31:57 -04:00
Tyler Goodlet e92abd376a Trace log the heartbeat 2020-09-26 11:31:57 -04:00
Tyler Goodlet bf9a0136df Make ws loop restart on connection failures 2020-09-26 11:31:57 -04:00
Tyler Goodlet d976f3d074 Generate tick data correctly using .etime 2020-09-26 11:31:57 -04:00
Tyler Goodlet ad92188703 Support new normalized ticks format with kraken
Generate tick datums in a list under a `ticks` field in each quote
kinda like how IB does it.
2020-09-26 11:31:57 -04:00
Tyler Goodlet 9976bc3a3b Fix typo 2020-09-26 11:31:57 -04:00
Tyler Goodlet 3655e449d6 Raise errors, fix module script entry 2020-09-26 11:31:57 -04:00
Tyler Goodlet ffe47acf1d Add historical bars retreival 2020-09-26 11:31:57 -04:00
Tyler Goodlet 7bccfc7b10 Convert to stream, parse into dataclass 2020-09-26 11:31:57 -04:00
Tyler Goodlet 2738b54851 Start kraken backend 2020-09-26 11:31:57 -04:00
goodboy 67a75c3080
Merge pull request #114 from pikers/facepalm
Add marketstore cli stuff; not sure how this got missed?!
2020-09-26 11:29:36 -04:00
Tyler Goodlet 53eb564f06 Add marketstore cli stuff; not sure how this got missed?! 2020-09-25 16:08:15 -04:00
goodboy f8487e250e
Merge pull request #94 from pikers/marketstore_integration
Marketstore integration
2020-09-04 10:36:53 -04:00
Tyler Goodlet 05d2985f5f Clarify some odd spots 2020-09-02 11:32:54 -04:00
Tyler Goodlet 316137fdf2 Begin to wrap marketstore as a data feed
Wrap the sync client in an async interface in anticipation of an actual
async client. This starts support for the `open_fee()`/`stream_quotes()`
api though the tick normalization isn't correct yet.
2020-09-02 00:40:35 -04:00
Tyler Goodlet 702c63f607 Define "packetizer" in specific broker mod
Allows for formatting published quotes using a broker specific
formatting callback.
2020-09-02 00:36:19 -04:00
Tyler Goodlet 312169e790 Support the `stream_quotes()` api in questrade backend 2020-09-01 20:55:24 -04:00
Tyler Goodlet 60b74ad7d1 Use new method name 2020-09-01 20:53:45 -04:00
Tyler Goodlet a6de623147 Add search command to cli 2020-09-01 20:53:27 -04:00
Tyler Goodlet 75f98276cc Add symbol search to broker api 2020-09-01 20:53:04 -04:00
Tyler Goodlet 519712e128 Add stocks search to qt client 2020-09-01 20:52:01 -04:00
Tyler Goodlet 934108a024 Add symbol-info command 2020-09-01 20:51:09 -04:00
Tyler Goodlet dcb0a30ad6 Move UI spawning cmds to new module 2020-09-01 20:47:24 -04:00
Tyler Goodlet 3c4699abef Pass broker name 2020-09-01 18:31:52 -04:00
Tyler Goodlet 78784a4bf3 Port to new data apis 2020-09-01 18:30:55 -04:00
Tyler Goodlet 57a8db8cba Start enforcing a common stream setup api
Add routines for brokerd spawning and quote stream creation.
2020-09-01 18:18:48 -04:00
Tyler Goodlet f6f6d98a95 Allow passing in tbk keys to query 2020-09-01 18:14:11 -04:00
Tyler Goodlet 167c9089f9 Who needs it ;P 2020-09-01 14:05:31 -04:00