Commit Graph

9 Commits (e0613675c789deb5bfbc75fed5fab3f0c20f776b)

Author SHA1 Message Date
Tyler Goodlet 8a4528c006 Always ask backend for ohlc dtype 2020-10-02 12:13:50 -04:00
Tyler Goodlet e3e219aa4b Add multi-symbol-buffer increment support 2020-10-02 12:13:50 -04:00
Tyler Goodlet b1093dc71d Add a `data.Feed` type
Wraps the growing tuple of items being delivered by `open_feed()`.
Add lazy loading of the broker's signal step stream with
a `Feed.index_stream()` method.
2020-10-02 12:13:50 -04:00
Tyler Goodlet f872fbecf8 Hook IB up to shared memory system
Adjust the `data.open_feed()` api to take a shm token so the
broker-daemon can attach a previously created (by the parent actor) mem
buf and push real-time tick data. There's still some sloppiness here in
terms of ensuring only one mem buf per symbol (can be seen in
`stream_quotes()`) which should really managed at the data api level.
Add a bar incrementing stream-task which delivers increment msgs to any
consumers.
2020-10-02 12:13:50 -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 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 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 a6c692fb8b Add support for TICK ingest to marketstore 2020-09-01 13:25:09 -04:00