Commit Graph

718 Commits (9930430721365a8ff92388ce9201d503eee68f1f)

Author SHA1 Message Date
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
Tyler Goodlet 31b4d5c6a7 Add glue link in readme 2020-09-01 13:25:41 -04:00
Tyler Goodlet bc9af977a4 Update quote cache on each loop 2020-09-01 13:25:41 -04:00
Tyler Goodlet 436e4d2df4 Add tbk tick streaming with trio-websocket 2020-09-01 13:25:41 -04:00
Tyler Goodlet acd32341e2 Fix assignment out of order 2020-09-01 13:25:41 -04:00
Tyler Goodlet 3cfb15ed6e Make monitor handle non-full quote messages 2020-09-01 13:25:41 -04:00
Tyler Goodlet d66cfb8fa0 Push only new key value pairs over quote streams
This is something I've been meaning to try for a while and will likely
make writing tick data to a db more straight forward (filling in NaN
values is more matter of fact) plus it should minimize bandwidth usage.
Note, it'll require stream consumers to be considerate of non-full
quotes arriving and thus using the first "full" quote message to fill
out dynamically formatted systems or displays.
2020-09-01 13:25:41 -04:00
Tyler Goodlet 335cee63b2 Make stock quote formatter work with diff streams 2020-09-01 13:25:41 -04:00
Tyler Goodlet 213a19b191 Update version and deps 2020-09-01 13:25:40 -04:00
Tyler Goodlet a6c692fb8b Add support for TICK ingest to marketstore 2020-09-01 13:25:09 -04:00
goodboy 837f4d3823
Merge pull request #97 from pikers/relicense_as_agplv3
Relicense to AGPLv3
2020-06-16 10:20:15 -05:00
Tyler Goodlet b58820e297 Relicense to AGPLv3 2020-06-16 00:12:19 -04:00
Tyler Goodlet 2c93bb0302 Drop use of deprecated `trio.Event.clear()` 2020-06-02 10:33:57 -04:00
Tyler Goodlet eccd9e2ffb It's not markdown bub 2020-06-02 10:32:04 -04:00
goodboy 9eddfa7b3b
Merge pull request #92 from pikers/questrade_candles
Questrade candles
2020-06-01 13:44:54 -05:00
Tyler Goodlet 882f4a28d1 Add privacy note 2020-06-01 14:43:39 -04:00
Tyler Goodlet 64993666fa Pull 100 bars by default 2020-05-26 14:49:50 -04:00
Tyler Goodlet 5f200b8db1 Always delay bars 15m; rename to volume 2020-05-26 14:49:50 -04:00