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.
Fixes to `tractor` that resolve issues with async generators being
non-task safe make the need for the mutex lock in
`DataFeed.open_stream()` unnecessary. Also, don't bother pushing empty
quotes from the publisher; avoids hitting the network when possible.
Adjust feed locking around internal manager `yields` to make this work.
Also, change quote publisher to deliver a list of quotes for each
retrieved batch. This was actually broken for option streaming since
each quote was being overwritten due to a common `key` value for all
expiries. Asjust the `packetizer` function accordingly to work for
both options and stocks.
The pub-sub data feed system was factored into `tractor` as an
experimental api / subsystem. Move to using that which greatly
simplifies the data feed architecture.
Start working toward a more general (on-demand) pub-sub system which
can be brought into ``tractor``. Right now this just means making
the code in the `fan_out_to_ctxs()` less specific but, eventually
I think this function should be coupled with a decorator and shipped
as a standard "message pattern".
Additionally,
- try out making `BrokerFeed` a `@dataclass`
- strip out all the `trio.Event` / uneeded nursery / extra task crap
from `start_quote_stream()`
Well that was a doozy; had to rejig pretty much all of it.
The deats:
- Track broker components in a new `DataFeed` namedtuple
- port to new list based batch quotes (not dicts any more)
- lock access to cached broker-client / data-feed instantiation
- respawn tasks that fail due to the network
Add a couple functions for storing and retrieving live json data feed
recordings to disk using a very rudimentary character + newline delimited
format.
Also, split out the pub-sub logic from `stream_quotes()` into a new
func, `fan_out_to_chans()`. Eventually I want to formalize this pattern
into a decorator exposed through `tractor`.
Tyler Goodlet
Tyler Goodlet