Commit Graph

4403 Commits (45788b0b53f699169ca4c4d75f8d738935629489)

Author SHA1 Message Date
Tyler Goodlet e4a900168d Add timeframe key to seconds map 2022-05-09 11:15:14 -04:00
Tyler Goodlet 40753ae93c Always write newly pulled frames to tsdb 2022-05-09 11:15:14 -04:00
Tyler Goodlet 969530ba19 Fix slice logic for less-then-frame tsdb overlap
When the tsdb has a last datum that is in the past less then a "frame's
worth" of sample steps we need to slice out only the data from the
latest frame that doesn't overlap; this fixes that slice logic..
Previously i dunno wth it was doing..
2022-05-09 11:15:14 -04:00
Tyler Goodlet 9b5f052597 Handle no sampler subs case on history broadcasts
When the market isn't open the feed layer won't create a subscriber
entry in the sampler broadcast loop and so if a manual call to
``broadcast()`` is made (like when trying to update a chart from
a history prepend) we need to handle that case and just broadcast
a random `-1` for now..BD
2022-05-09 11:15:14 -04:00
Tyler Goodlet b44786e5b7 Support async-batched ohlc queries in all backends
Expect each backend to deliver a `config: dict[str, Any]` which provides
concurrency controls to `trimeter`'s batch task scheduler such that
backends can define their own concurrency limits.

The dirty deats in this patch include handling history "gaps" where
a query returns a history-frame-result which spans more then the typical
frame size (in seconds). In such cases we reset the target frame index
(datetime index sequence implemented with a `pendulum.Period`) using
a generator protocol `.send()` such that the sequence can be dynamically
re-indexed starting at the new (possibly) pre-gap datetime. The new gap
logic also allows us to detect out of order frames easier and thus wait
for the next-in-order to arrive before making more requests.
2022-05-09 11:15:14 -04:00
Tyler Goodlet 7e951f17ca Support large ohlcv writes via slicing, add struct array keymap 2022-05-09 11:15:14 -04:00
Tyler Goodlet fcb85873de Terminate early on data unavailable errors 2022-05-09 11:15:14 -04:00
Tyler Goodlet 7b1c0939bd Add first-draft `trimeter` based concurrent ohlc history fetching 2022-05-09 11:15:14 -04:00
Tyler Goodlet d77cfa3587 Add back fqsn passthrough and feed opening 2022-05-09 11:15:14 -04:00
Tyler Goodlet 49509d55d2 Implement `open_history_client()` correctly for `kraken` 2022-05-09 11:15:14 -04:00
Tyler Goodlet 6ba3c15c4e Add to signal broker won't deliver more data 2022-05-09 11:15:14 -04:00
Tyler Goodlet a3db5d1bdc Relay frame size in `NoData` due to null-result history 2022-05-09 11:15:14 -04:00
Tyler Goodlet c672493998 Add , indicates hist size to decrement to storage logic 2022-05-09 11:15:14 -04:00
Tyler Goodlet 423af37389 Truncate trade rate wma window sizes 2022-05-09 11:15:14 -04:00
Tyler Goodlet 0061fabb56 More tolerance for "stream-ended-early" conditions in quote throttler 2022-05-09 11:15:14 -04:00
Tyler Goodlet 2f04a8c939 Drop legacy back-filling logic
Use the new `open_history_client()` endpoint/API and expect backends to
provide a history "getter" routine that can be called to load historical
data into shm even when **not** using a tsdb. Add logic for filling in
data from the tsdb once the backend has provided data up to the last
recorded in the db. Add logic for avoiding overruns of the shm buffer
with more-then-necessary queries of tsdb data.
2022-05-09 11:15:14 -04:00
Tyler Goodlet 8bf40ae299 Drop legacy backfilling, load a day's worth of data by default 2022-05-09 11:15:14 -04:00
Tyler Goodlet 0f683205f4 Add 16 fetch limit if no tsdb data found 2022-05-09 11:15:14 -04:00
Tyler Goodlet d244af69c9 Don't require a symbol to subcmd 2022-05-09 11:15:13 -04:00
Tyler Goodlet b8b95f1081 Don't open a feed, write or read ohlc in for now 2022-05-09 11:15:13 -04:00
Tyler Goodlet 3056bc3143 Don't run legacy backfill when isn't up 2022-05-09 11:15:13 -04:00
Tyler Goodlet d3824c8c0b Start legacy backfill with partial too 2022-05-09 11:15:13 -04:00
Tyler Goodlet 727d3cc027 Unify backfilling logic into common task-routine 2022-05-09 11:15:13 -04:00
Tyler Goodlet 46c23e90db Add `Storage.load()` and `.write_ohlcv()` 2022-05-09 11:15:13 -04:00
Tyler Goodlet bcf3be1fe4 A bit hacky but, broadcast index streams on each history prepend 2022-05-09 11:15:13 -04:00
Tyler Goodlet 7d8cf3eaf8 Factor subscription broadcasting into a func 2022-05-09 11:15:13 -04:00
Tyler Goodlet d4e0d4463f Always update ohlc (main source chart) on `trigger_all=True` 2022-05-09 11:15:13 -04:00
Tyler Goodlet ab8629aa11 Make ib history client expect datetimes for input 2022-05-09 11:15:13 -04:00
Tyler Goodlet 2a07005c97 Add binance history client support with datetime use throughout 2022-05-09 11:15:13 -04:00
Tyler Goodlet 79160619bc Drop old type annot 2022-05-09 11:15:13 -04:00
Tyler Goodlet e1a88cb93c Only update y mxmn from L1 when last index in view 2022-05-09 11:15:13 -04:00
Tyler Goodlet a6c5902437 More reliable `marketstored` + container supervision
It turns out (i guess not so shockingly?) that `marketstore` doesn't
always teardown "gracefully" under SIGINT (seems to hang if there are
open client connections which are also in the midst of teardown?) so
this instead first tries the SIGINT and then fails over to a SIGKILL
(destroy loop) which seems to be much more reliable to ensure shutdown
without any downside - in terms of a "hard kill".

Originally i was thinking the issue was root perms related (which get
relegated solely to the `marketstored` daemon actor after spawn) but
actually it was indeed the signalling / application layer causing the
hold-up/latency on teardown. There's a bunch of lingering (now
commented) code which tried to solve this non-problem as well as a bunch
logging/prints to help decipher the root of the issue - this will all
get cleaned out shortly.
2022-05-09 11:15:13 -04:00
Tyler Goodlet a10dc4fe77 Add `docker` as `tsdb` extras dep 2022-05-09 11:15:13 -04:00
Tyler Goodlet 71416f5752 Add `anyio-marketstore` client as dev dep 2022-05-09 11:15:13 -04:00
Tyler Goodlet 9fe5cd647a Handle non-fqsn for derivs and don't put brokername in 2022-05-09 11:15:13 -04:00
Tyler Goodlet 15630f465d Limit ohlc queries to 800k datums to avoid `purepc` size error 2022-05-09 11:15:13 -04:00
Tyler Goodlet ce3229df7d Get sync-to-marketstore-tsdb history retrieval workinnn 2022-05-09 11:15:13 -04:00
Tyler Goodlet 53ad5e6f65 Handle "fatal" level log msgs in docker super 2022-05-09 11:15:13 -04:00
Tyler Goodlet 41325ad418 Add basic tsdb history loading
If `marketstore` is detected try to only load most recent missing data
from the data provider (broker) and the rest from the tsdb and push it
all to shm for display in the UI. If the provider/broker doesn't have
the history client endpoint, just use the old one for now so we can
start to incrementally add support. Don't start the ohlc step
incrementer task until the backend signals that the feed is live.
2022-05-09 11:15:13 -04:00
Tyler Goodlet a971de2b67 Drop `ms-shell`, add `piker storesh` cmd 2022-05-09 11:15:13 -04:00
Tyler Goodlet ca48577c60 Add diffing logic to `tsdb_history_update()`
Add some basic `numpy` epoch slice logic to generate append and prepend
arrays to write to the db.

Mooar cool things,
- add a `Storage.delete_ts()` method to wipe a column series from the db
  easily.
- don't attempt to read in any OHLC series by default on client load
- add some `pyqtgraph` profiling and drop manual latency measures
- if no db series for the fqsn exists write the entire shm array
2022-05-09 11:15:13 -04:00
Tyler Goodlet 950cb03e07 Drop `pandas` to `numpy` converter 2022-05-09 11:15:13 -04:00
Tyler Goodlet 907b7dd5c6 Disable re-connect for now in ib script 2022-05-09 11:15:13 -04:00
Tyler Goodlet 6cdd017cd6 Ensure bfqsn is lower cased for feed api consumers
Also, Start tinkering with `tractor.trionics.ipython_embed()`

In effort to get back to a usable REPL around the mkts client
this adds usage of the new `tractor` integration api as well as logic
for skipping backfilling if existing tsdb arrays are found.
2022-05-09 11:15:13 -04:00
Tyler Goodlet 6dc6d00a9b Try downsampling mkts data 2022-05-09 11:15:13 -04:00
Tyler Goodlet ba250c7197 Comment each special key combo 2022-05-09 11:15:13 -04:00
Tyler Goodlet 565573b609 Load any symbol-matching shm array if no `marketstored` found 2022-05-09 11:15:13 -04:00
Tyler Goodlet 39b4d2684a Get ib key hack script to work with reconnect 2022-05-09 11:15:13 -04:00
Tyler Goodlet 25dfe4115d Move ib data reset script into a new `scripts/` dir 2022-05-09 11:15:13 -04:00
Tyler Goodlet 6c6f2abd06 Use new `tractor.query_actor()` for service checking 2022-05-09 11:15:13 -04:00