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.

piker/_daemon.py

@@ -19,7 +19,7 @@ Structured, daemon tree service management.
 
 """
 from typing import Optional, Union, Callable, Any
-from contextlib import asynccontextmanager
+from contextlib import asynccontextmanager as acm
 from collections import defaultdict
 
 from pydantic import BaseModel
@@ -130,7 +130,7 @@ class Services(BaseModel):
 _services: Optional[Services] = None
 
 
-@asynccontextmanager
+@acm
 async def open_pikerd(
     start_method: str = 'trio',
     loglevel: Optional[str] = None,
@@ -185,7 +185,7 @@ async def open_pikerd(
             yield _services
 
 
-@asynccontextmanager
+@acm
 async def open_piker_runtime(
     name: str,
     enable_modules: list[str] = [],
@@ -226,7 +226,7 @@ async def open_piker_runtime(
         yield tractor.current_actor()
 
 
-@asynccontextmanager
+@acm
 async def maybe_open_runtime(
     loglevel: Optional[str] = None,
     **kwargs,
@@ -249,7 +249,7 @@ async def maybe_open_runtime(
         yield
 
 
-@asynccontextmanager
+@acm
 async def maybe_open_pikerd(
     loglevel: Optional[str] = None,
     **kwargs,
@@ -300,7 +300,36 @@ class Brokerd:
     locks = defaultdict(trio.Lock)
 
 
-@asynccontextmanager
+@acm
+async def find_service(
+    service_name: str,
+) -> Optional[tractor.Portal]:
+
+    log.info(f'Scanning for service `{service_name}`')
+    # attach to existing daemon by name if possible
+    async with tractor.find_actor(
+        service_name,
+        arbiter_sockaddr=_registry_addr,
+    ) as maybe_portal:
+        yield maybe_portal
+
+
+async def check_for_service(
+    service_name: str,
+
+) -> bool:
+    '''
+    Service daemon "liveness" predicate.
+
+    '''
+    async with tractor.query_actor(
+        service_name,
+        arbiter_sockaddr=_registry_addr,
+    ) as sockaddr:
+        return sockaddr
+
+
+@acm
 async def maybe_spawn_daemon(
 
     service_name: str,
@@ -310,7 +339,7 @@ async def maybe_spawn_daemon(
     **kwargs,
 
 ) -> tractor.Portal:
-    """
+    '''
     If no ``service_name`` daemon-actor can be found,
     spawn one in a local subactor and return a portal to it.
 
@@ -321,7 +350,7 @@ async def maybe_spawn_daemon(
     This can be seen as a service starting api for remote-actor
     clients.
 
-    """
+    '''
     if loglevel:
         get_console_log(loglevel)
 
@@ -330,19 +359,13 @@ async def maybe_spawn_daemon(
     lock = Brokerd.locks[service_name]
     await lock.acquire()
 
-    log.info(f'Scanning for existing {service_name}')
+    async with find_service(service_name) as portal:
-    # attach to existing daemon by name if possible
-    async with tractor.find_actor(
-        service_name,
-        arbiter_sockaddr=_registry_addr,
-
-    ) as portal:
         if portal is not None:
             lock.release()
             yield portal
             return
 
-        log.warning(f"Couldn't find any existing {service_name}")
+    log.warning(f"Couldn't find any existing {service_name}")
 
     # ask root ``pikerd`` daemon to spawn the daemon we need if
     # pikerd is not live we now become the root of the
@@ -423,7 +446,7 @@ async def spawn_brokerd(
     return True
 
 
-@asynccontextmanager
+@acm
 async def maybe_spawn_brokerd(
 
     brokername: str,
@@ -431,7 +454,9 @@ async def maybe_spawn_brokerd(
     **kwargs,
 
 ) -> tractor.Portal:
-    '''Helper to spawn a brokerd service.
+    '''
+    Helper to spawn a brokerd service *from* a client
+    who wishes to use the sub-actor-daemon.
 
     '''
     async with maybe_spawn_daemon(
@@ -483,7 +508,7 @@ async def spawn_emsd(
     return True
 
 
-@asynccontextmanager
+@acm
 async def maybe_open_emsd(
 
     brokername: str,

piker/cli/__init__.py

@@ -16,29 +16,22 @@ from .. import config
 log = get_logger('cli')
 DEFAULT_BROKER = 'questrade'
 
-_config_dir = click.get_app_dir('piker')
-_watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
-_context_defaults = dict(
-    default_map={
-        # Questrade specific quote poll rates
-        'monitor': {
-            'rate': 3,
-        },
-        'optschain': {
-            'rate': 1,
-        },
-    }
-)
-
 
 @click.command()
 @click.option('--loglevel', '-l', default='warning', help='Logging level')
 @click.option('--tl', is_flag=True, help='Enable tractor logging')
 @click.option('--pdb', is_flag=True, help='Enable tractor debug mode')
 @click.option('--host', '-h', default='127.0.0.1', help='Host address to bind')
-def pikerd(loglevel, host, tl, pdb):
+@click.option(
-    """Spawn the piker broker-daemon.
+    '--tsdb',
-    """
+    is_flag=True,
+    help='Enable local ``marketstore`` instance'
+)
+def pikerd(loglevel, host, tl, pdb, tsdb):
+    '''
+    Spawn the piker broker-daemon.
+
+    '''
     from .._daemon import open_pikerd
     log = get_console_log(loglevel)
 
@@ -52,13 +45,33 @@ def pikerd(loglevel, host, tl, pdb):
         ))
 
     async def main():
-        async with open_pikerd(loglevel=loglevel, debug_mode=pdb):
+
+        async with (
+            open_pikerd(
+                loglevel=loglevel,
+                debug_mode=pdb,
+            ),  # normally delivers a ``Services`` handle
+            trio.open_nursery() as n,
+        ):
+            if tsdb:
+                # TODO:
+                # async with maybe_open_marketstored():
+
+                from piker.data._ahab import start_ahab
+                log.info('Spawning `marketstore` supervisor')
+                ctn_ready = await n.start(
+                    start_ahab,
+                    'marketstored',
+                )
+                await ctn_ready.wait()
+                log.info('`marketstore` container:{uid} up')
+
             await trio.sleep_forever()
 
     trio.run(main)
 
 
-@click.group(context_settings=_context_defaults)
+@click.group(context_settings=config._context_defaults)
 @click.option(
     '--brokers', '-b',
     default=[DEFAULT_BROKER],
@@ -87,8 +100,8 @@ def cli(ctx, brokers, loglevel, tl, configdir):
         'loglevel': loglevel,
         'tractorloglevel': None,
         'log': get_console_log(loglevel),
-        'confdir': _config_dir,
+        'confdir': config._config_dir,
-        'wl_path': _watchlists_data_path,
+        'wl_path': config._watchlists_data_path,
     })
 
     # allow enabling same loglevel in ``tractor`` machinery

piker/config.py

@@ -17,6 +17,8 @@
 """
 Broker configuration mgmt.
 """
+import platform
+import sys
 import os
 from os.path import dirname
 import shutil
@@ -24,14 +26,100 @@ from typing import Optional
 
 from bidict import bidict
 import toml
-import click
 
 from .log import get_logger
 
 log = get_logger('broker-config')
 
-_config_dir = click.get_app_dir('piker')
+
+# taken from ``click`` since apparently they have some
+# super weirdness with sigint and sudo..no clue
+def get_app_dir(app_name, roaming=True, force_posix=False):
+    r"""Returns the config folder for the application.  The default behavior
+    is to return whatever is most appropriate for the operating system.
+
+    To give you an idea, for an app called ``"Foo Bar"``, something like
+    the following folders could be returned:
+
+    Mac OS X:
+      ``~/Library/Application Support/Foo Bar``
+    Mac OS X (POSIX):
+      ``~/.foo-bar``
+    Unix:
+      ``~/.config/foo-bar``
+    Unix (POSIX):
+      ``~/.foo-bar``
+    Win XP (roaming):
+      ``C:\Documents and Settings\<user>\Local Settings\Application Data\Foo Bar``
+    Win XP (not roaming):
+      ``C:\Documents and Settings\<user>\Application Data\Foo Bar``
+    Win 7 (roaming):
+      ``C:\Users\<user>\AppData\Roaming\Foo Bar``
+    Win 7 (not roaming):
+      ``C:\Users\<user>\AppData\Local\Foo Bar``
+
+    .. versionadded:: 2.0
+
+    :param app_name: the application name.  This should be properly capitalized
+                     and can contain whitespace.
+    :param roaming: controls if the folder should be roaming or not on Windows.
+                    Has no affect otherwise.
+    :param force_posix: if this is set to `True` then on any POSIX system the
+                        folder will be stored in the home folder with a leading
+                        dot instead of the XDG config home or darwin's
+                        application support folder.
+    """
+
+    def _posixify(name):
+        return "-".join(name.split()).lower()
+
+    # if WIN:
+    if platform.system() == 'Windows':
+        key = "APPDATA" if roaming else "LOCALAPPDATA"
+        folder = os.environ.get(key)
+        if folder is None:
+            folder = os.path.expanduser("~")
+        return os.path.join(folder, app_name)
+    if force_posix:
+        return os.path.join(os.path.expanduser("~/.{}".format(_posixify(app_name))))
+    if sys.platform == "darwin":
+        return os.path.join(
+            os.path.expanduser("~/Library/Application Support"), app_name
+        )
+    return os.path.join(
+        os.environ.get("XDG_CONFIG_HOME", os.path.expanduser("~/.config")),
+        _posixify(app_name),
+    )
+
+
+_config_dir = _click_config_dir = get_app_dir('piker')
+_parent_user = os.environ.get('SUDO_USER')
+
+if _parent_user:
+    non_root_user_dir = os.path.expanduser(
+        f'~{_parent_user}'
+    )
+    root = 'root'
+    _config_dir = (
+        non_root_user_dir +
+        _click_config_dir[
+            _click_config_dir.rfind(root) + len(root):
+        ]
+    )
+
 _file_name = 'brokers.toml'
+_watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
+_context_defaults = dict(
+    default_map={
+        # Questrade specific quote poll rates
+        'monitor': {
+            'rate': 3,
+        },
+        'optschain': {
+            'rate': 1,
+        },
+    }
+)
 
 
 def _override_config_dir(

piker/data/_ahab.py

@@ -0,0 +1,469 @@
+# piker: trading gear for hackers
+# Copyright (C) 2018-present  Tyler Goodlet (in stewardship of piker0)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+
+'''
+Supervisor for docker with included specific-image service helpers.
+
+'''
+import os
+from typing import (
+    Optional,
+    # Any,
+)
+from contextlib import asynccontextmanager as acm
+
+import trio
+from trio_typing import TaskStatus
+import tractor
+import docker
+import json
+from docker.models.containers import Container as DockerContainer
+from docker.errors import DockerException, APIError
+from requests.exceptions import ConnectionError, ReadTimeout
+
+from ..log import get_logger, get_console_log
+from .. import config
+
+log = get_logger(__name__)
+
+
+_config = '''
+# piker's ``marketstore`` config.
+
+# mount this config using:
+# sudo docker run --mount \
+# type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
+# 5993:5993 alpacamarkets/marketstore:latest
+
+root_directory: data
+listen_port: 5993
+grpc_listen_port: 5995
+log_level: debug
+queryable: true
+stop_grace_period: 0
+wal_rotate_interval: 5
+stale_threshold: 5
+enable_add: true
+enable_remove: false
+
+triggers:
+  - module: ondiskagg.so
+    on: "*/1Sec/OHLCV"
+    config:
+        # filter: "nasdaq"
+        destinations:
+            - 1Min
+            - 5Min
+            - 15Min
+            - 1H
+            - 1D
+
+  - module: stream.so
+    on: '*/*/*'
+    # config:
+    #     filter: "nasdaq"
+
+'''
+
+
+class DockerNotStarted(Exception):
+    'Prolly you dint start da daemon bruh'
+
+
+@acm
+async def open_docker(
+    url: Optional[str] = None,
+    **kwargs,
+
+) -> docker.DockerClient:
+
+    client: Optional[docker.DockerClient] = None
+    try:
+        client = docker.DockerClient(
+            base_url=url,
+            **kwargs
+        ) if url else docker.from_env(**kwargs)
+
+        yield client
+
+    except (
+        DockerException,
+        APIError,
+    ) as err:
+
+        def unpack_msg(err: Exception) -> str:
+            args = getattr(err, 'args', None)
+            if args:
+                return args
+            else:
+                return str(err)
+
+        # could be more specific so let's check if it's just perms.
+        if err.args:
+            errs = err.args
+            for err in errs:
+                msg = unpack_msg(err)
+                if 'PermissionError' in msg:
+                    raise DockerException('You dint run as root yo!')
+
+                elif 'FileNotFoundError' in msg:
+                    raise DockerNotStarted('Did you start da service sister?')
+
+        # not perms?
+        raise
+
+    finally:
+        if client:
+            client.close()
+            # client.api._custom_adapter.close()
+            for c in client.containers.list():
+                c.kill()
+
+
+class Container:
+    '''
+    Wrapper around a ``docker.models.containers.Container`` to include
+    log capture and relay through our native logging system and helper
+    method(s) for cancellation/teardown.
+
+    '''
+    def __init__(
+        self,
+        cntr: DockerContainer,
+    ) -> None:
+
+        self.cntr = cntr
+        # log msg de-duplication
+        self.seen_so_far = set()
+
+    async def process_logs_until(
+        self,
+        patt: str,
+        bp_on_msg: bool = False,
+    ) -> bool:
+        '''
+        Attempt to capture container log messages and relay through our
+        native logging system.
+
+        '''
+        seen_so_far = self.seen_so_far
+
+        while True:
+            logs = self.cntr.logs()
+            entries = logs.decode().split('\n')
+            for entry in entries:
+
+                # ignore null lines
+                if not entry:
+                    continue
+
+                try:
+                    record = json.loads(entry.strip())
+                except json.JSONDecodeError:
+                    if 'Error' in entry:
+                        raise RuntimeError(entry)
+                    raise
+
+                msg = record['msg']
+                level = record['level']
+                if msg and entry not in seen_so_far:
+                    seen_so_far.add(entry)
+                    if bp_on_msg:
+                        await tractor.breakpoint()
+
+                    getattr(log, level, log.error)(f'{msg}')
+
+                if patt in msg:
+                    return True
+
+                # do a checkpoint so we don't block if cancelled B)
+                await trio.sleep(0.01)
+
+        return False
+
+    def try_signal(
+        self,
+        signal: str = 'SIGINT',
+
+    ) -> bool:
+        try:
+            # XXX: market store doesn't seem to shutdown nicely all the
+            # time with this (maybe because there are still open grpc
+            # connections?) noticably after client connections have been
+            # made or are in use/teardown. It works just fine if you
+            # just start and stop the container tho?..
+            log.cancel(f'SENDING {signal} to {self.cntr.id}')
+            self.cntr.kill(signal)
+            return True
+
+        except docker.errors.APIError as err:
+            # _err = err
+            if 'is not running' in err.explanation:
+                return False
+
+    async def cancel(
+        self,
+    ) -> None:
+
+        cid = self.cntr.id
+        self.try_signal('SIGINT')
+
+        with trio.move_on_after(0.5) as cs:
+            cs.shield = True
+            # print('PROCESSINGN LOGS')
+            await self.process_logs_until('initiating graceful shutdown')
+            # print('SHUTDOWN REPORTED BY CONTAINER')
+            await self.process_logs_until('exiting...',)
+
+        for _ in range(10):
+            with trio.move_on_after(0.5) as cs:
+                cs.shield = True
+                # print('waiting on EXITING')
+                await self.process_logs_until('exiting...',)
+                # print('got EXITING')
+                break
+
+            if cs.cancelled_caught:
+                # get out the big guns, bc apparently marketstore
+                # doesn't actually know how to terminate gracefully
+                # :eyeroll:...
+                self.try_signal('SIGKILL')
+
+                try:
+                    log.info('Waiting on container shutdown: {cid}')
+                    self.cntr.wait(
+                        timeout=0.1,
+                        condition='not-running',
+                    )
+                    break
+
+                except (
+                    ReadTimeout,
+                    ConnectionError,
+                ):
+                    log.error(f'failed to wait on container {cid}')
+                    raise
+
+        else:
+            raise RuntimeError('Failed to cancel container {cid}')
+
+        log.cancel(f'Container stopped: {cid}')
+
+
+@tractor.context
+async def open_marketstored(
+    ctx: tractor.Context,
+    **kwargs,
+
+) -> None:
+    '''
+    Start and supervise a marketstore instance with its config bind-mounted
+    in from the piker config directory on the system.
+
+    The equivalent cli cmd to this code is:
+
+        sudo docker run --mount \
+        type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
+        5993:5993 alpacamarkets/marketstore:latest
+
+    '''
+    log = get_console_log('info', name=__name__)
+
+    async with open_docker() as client:
+
+        # create a mount from user's local piker config dir into container
+        config_dir_mnt = docker.types.Mount(
+            target='/etc',
+            source=config._config_dir,
+            type='bind',
+        )
+
+        # create a user config subdir where the marketstore
+        # backing filesystem database can be persisted.
+        persistent_data_dir = os.path.join(
+            config._config_dir, 'data',
+        )
+        if not os.path.isdir(persistent_data_dir):
+            os.mkdir(persistent_data_dir)
+
+        data_dir_mnt = docker.types.Mount(
+            target='/data',
+            source=persistent_data_dir,
+            type='bind',
+        )
+
+        dcntr: DockerContainer = client.containers.run(
+            'alpacamarkets/marketstore:latest',
+            # do we need this for cmds?
+            # '-i',
+
+            # '-p 5993:5993',
+            ports={
+                '5993/tcp': 5993,  # jsonrpc
+                '5995/tcp': 5995,  # grpc
+            },
+            mounts=[config_dir_mnt, data_dir_mnt],
+            detach=True,
+            # stop_signal='SIGINT',
+            init=True,
+            # remove=True,
+        )
+        cntr = Container(dcntr)
+
+        with trio.move_on_after(1):
+            found = await cntr.process_logs_until(
+                "launching tcp listener for all services...",
+            )
+
+            if not found and cntr not in client.containers.list():
+                raise RuntimeError(
+                    'Failed to start `marketstore` check logs deats'
+                )
+
+        await ctx.started((cntr.cntr.id, os.getpid()))
+
+        # async with ctx.open_stream() as stream:
+
+        try:
+
+            # TODO: we might eventually want a proxy-style msg-prot here
+            # to allow remote control of containers without needing
+            # callers to have root perms?
+            await trio.sleep_forever()
+
+            # await cntr.cancel()
+            # with trio.CancelScope(shield=True):
+            #     # block for the expected "teardown log msg"..
+            #     # await cntr.process_logs_until('exiting...',)
+
+            #     # only msg should be to signal killing the
+            #     # container and this super daemon.
+            #     msg = await stream.receive()
+            #     # print("GOT CANCEL MSG")
+
+            #     cid = msg['cancel']
+            #     log.cancel(f'Cancelling container {cid}')
+
+            #     # print("CANCELLING CONTAINER")
+            #     await cntr.cancel()
+
+            #     # print("SENDING ACK")
+            #     await stream.send('ack')
+
+        except (
+            BaseException,
+            # trio.Cancelled,
+            # KeyboardInterrupt,
+        ):
+
+            with trio.CancelScope(shield=True):
+                await cntr.cancel()
+                # await stream.send('ack')
+
+            raise
+
+
+async def start_ahab(
+    service_name: str,
+    task_status: TaskStatus[trio.Event] = trio.TASK_STATUS_IGNORED,
+
+) -> None:
+    '''
+    Start a ``docker`` container supervisor with given service name.
+
+    Currently the actor calling this task should normally be started
+    with root permissions (until we decide to use something that doesn't
+    require this, like docker's rootless mode or some wrapper project) but
+    te root perms are de-escalated after the docker supervisor sub-actor
+    is started.
+
+    '''
+    cn_ready = trio.Event()
+    try:
+        async with tractor.open_nursery(
+            loglevel='runtime',
+        ) as tn:
+
+            portal = await tn.start_actor(
+                service_name,
+                enable_modules=[__name__]
+            )
+
+            # TODO: we have issues with this on teardown
+            # where ``tractor`` tries to issue ``os.kill()``
+            # and hits perms errors since the root process
+            # doesn't any longer have root perms..
+
+            # de-escalate root perms to the original user
+            # after the docker supervisor actor is spawned.
+            if config._parent_user:
+                import pwd
+                os.setuid(
+                    pwd.getpwnam(
+                        config._parent_user
+                    )[2]  # named user's uid
+                )
+
+            task_status.started(cn_ready)
+
+            async with portal.open_context(
+                open_marketstored,
+            ) as (ctx, first):
+
+                cid, pid = first
+
+                await trio.sleep_forever()
+                # async with ctx.open_stream() as stream:
+                #     try:
+                #         # run till cancelled
+                #         await trio.sleep_forever()
+                #     finally:
+                #         with trio.CancelScope(shield=True):
+                #             # print('SENDING CANCEL TO MARKETSTORED')
+                #             await stream.send({'cancel': (cid, pid)})
+                #         assert await stream.receive() == 'ack'
+
+    # since we demoted root perms in this parent
+    # we'll get a perms error on proc cleanup in
+    # ``tractor`` nursery exit. just make sure
+    # the child is terminated and don't raise the
+    # error if so.
+
+    # TODO: we could also consider adding
+    # a ``tractor.ZombieDetected`` or something that we could raise
+    # if we find the child didn't terminate.
+    # await tractor.breakpoint()
+    except PermissionError:
+        log.warning('Failed to cancel root permsed container')
+
+    except (
+        trio.MultiError,
+    ) as err:
+        for subexc in err.exceptions:
+            if isinstance(subexc, PermissionError):
+                log.warning('Failed to cancel root perms-ed container')
+                return
+        else:
+            raise
+
+
+async def main():
+    await start_ahab()
+    await trio.sleep_forever()
+
+
+if __name__ == '__main__':
+    trio.run(main)

piker/data/_sampling.py

@@ -22,14 +22,16 @@ financial data flows.
 from __future__ import annotations
 from collections import Counter
 import time
+from typing import TYPE_CHECKING
 
 import tractor
 import trio
 from trio_typing import TaskStatus
 
-from ._sharedmem import ShmArray
 from ..log import get_logger
 
+if TYPE_CHECKING:
+    from ._sharedmem import ShmArray
 
 log = get_logger(__name__)
 

piker/data/_source.py

@@ -22,8 +22,7 @@ from typing import Any
 import decimal
 
 import numpy as np
-import pandas as pd
+from pydantic import BaseModel
-from pydantic import BaseModel, validate_arguments
 # from numba import from_dtype
 
 
@@ -127,11 +126,11 @@ def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
 
 
 class Symbol(BaseModel):
-    """I guess this is some kinda container thing for dealing with
+    '''
+    I guess this is some kinda container thing for dealing with
     all the different meta-data formats from brokers?
 
-    Yah, i guess dats what it izz.
+    '''
-    """
     key: str
     tick_size: float = 0.01
     lot_tick_size: float = 0.0  # "volume" precision as min step value
@@ -254,61 +253,6 @@ class Symbol(BaseModel):
         return keys
 
 
-def from_df(
-
-    df: pd.DataFrame,
-    source=None,
-    default_tf=None
-
-) -> np.recarray:
-    """Convert OHLC formatted ``pandas.DataFrame`` to ``numpy.recarray``.
-
-    """
-    df.reset_index(inplace=True)
-
-    # hackery to convert field names
-    date = 'Date'
-    if 'date' in df.columns:
-        date = 'date'
-
-    # convert to POSIX time
-    df[date] = [d.timestamp() for d in df[date]]
-
-    # try to rename from some camel case
-    columns = {
-        'Date': 'time',
-        'date': 'time',
-        'Open': 'open',
-        'High': 'high',
-        'Low': 'low',
-        'Close': 'close',
-        'Volume': 'volume',
-
-        # most feeds are providing this over sesssion anchored
-        'vwap': 'bar_wap',
-
-        # XXX: ib_insync calls this the "wap of the bar"
-        # but no clue what is actually is...
-        # https://github.com/pikers/piker/issues/119#issuecomment-729120988
-        'average': 'bar_wap',
-    }
-
-    df = df.rename(columns=columns)
-
-    for name in df.columns:
-        # if name not in base_ohlc_dtype.names[1:]:
-        if name not in base_ohlc_dtype.names:
-            del df[name]
-
-    # TODO: it turns out column access on recarrays is actually slower:
-    # https://jakevdp.github.io/PythonDataScienceHandbook/02.09-structured-data-numpy.html#RecordArrays:-Structured-Arrays-with-a-Twist
-    # it might make sense to make these structured arrays?
-    array = df.to_records(index=False)
-    _nan_to_closest_num(array)
-
-    return array
-
-
 def _nan_to_closest_num(array: np.ndarray):
     """Return interpolated values instead of NaN.
 

piker/data/cli.py

@@ -16,26 +16,34 @@
 
 """
 marketstore cli.
+
 """
-from typing import List
 from functools import partial
 from pprint import pformat
 
+from anyio_marketstore import open_marketstore_client
 import trio
 import tractor
 import click
+import numpy as np
 
 from .marketstore import (
     get_client,
-    stream_quotes,
+    # stream_quotes,
     ingest_quote_stream,
-    _url,
+    # _url,
     _tick_tbk_ids,
     mk_tbk,
 )
 from ..cli import cli
 from .. import watchlists as wl
 from ..log import get_logger
+from ._sharedmem import (
+    maybe_open_shm_array,
+)
+from ._source import (
+    base_iohlc_dtype,
+)
 
 
 log = get_logger(__name__)
@@ -49,51 +57,58 @@ log = get_logger(__name__)
 )
 @click.argument('names', nargs=-1)
 @click.pass_obj
-def ms_stream(config: dict, names: List[str], url: str):
+def ms_stream(
-    """Connect to a marketstore time bucket stream for (a set of) symbols(s)
+    config: dict,
+    names: list[str],
+    url: str,
+) -> None:
+    '''
+    Connect to a marketstore time bucket stream for (a set of) symbols(s)
     and print to console.
-    """
+
+    '''
     async def main():
-        async for quote in stream_quotes(symbols=names):
+        # async for quote in stream_quotes(symbols=names):
-            log.info(f"Received quote:\n{quote}")
+        #    log.info(f"Received quote:\n{quote}")
+        ...
 
     trio.run(main)
 
 
-@cli.command()
+# @cli.command()
-@click.option(
+# @click.option(
-    '--url',
+#     '--url',
-    default=_url,
+#     default=_url,
-    help='HTTP URL of marketstore instance'
+#     help='HTTP URL of marketstore instance'
-)
+# )
-@click.argument('names', nargs=-1)
+# @click.argument('names', nargs=-1)
-@click.pass_obj
+# @click.pass_obj
-def ms_destroy(config: dict, names: List[str], url: str) -> None:
+# def ms_destroy(config: dict, names: list[str], url: str) -> None:
-    """Destroy symbol entries in the local marketstore instance.
+#     """Destroy symbol entries in the local marketstore instance.
-    """
+#     """
-    async def main():
+#     async def main():
-        nonlocal names
+#         nonlocal names
-        async with get_client(url) as client:
+#         async with get_client(url) as client:
-
+# 
-            if not names:
+#             if not names:
-                names = await client.list_symbols()
+#                 names = await client.list_symbols()
-
+# 
-            # default is to wipe db entirely.
+#             # default is to wipe db entirely.
-            answer = input(
+#             answer = input(
-                "This will entirely wipe you local marketstore db @ "
+#                 "This will entirely wipe you local marketstore db @ "
-                f"{url} of the following symbols:\n {pformat(names)}"
+#                 f"{url} of the following symbols:\n {pformat(names)}"
-                "\n\nDelete [N/y]?\n")
+#                 "\n\nDelete [N/y]?\n")
-
+# 
-            if answer == 'y':
+#             if answer == 'y':
-                for sym in names:
+#                 for sym in names:
-                    # tbk = _tick_tbk.format(sym)
+#                     # tbk = _tick_tbk.format(sym)
-                    tbk = tuple(sym, *_tick_tbk_ids)
+#                     tbk = tuple(sym, *_tick_tbk_ids)
-                    print(f"Destroying {tbk}..")
+#                     print(f"Destroying {tbk}..")
-                    await client.destroy(mk_tbk(tbk))
+#                     await client.destroy(mk_tbk(tbk))
-            else:
+#             else:
-                print("Nothing deleted.")
+#                 print("Nothing deleted.")
-
+# 
-    tractor.run(main)
+#     tractor.run(main)
 
 
 @cli.command()
@@ -102,41 +117,53 @@ def ms_destroy(config: dict, names: List[str], url: str) -> None:
     is_flag=True,
     help='Enable tractor logging')
 @click.option(
-    '--url',
+    '--host',
-    default=_url,
+    default='localhost'
-    help='HTTP URL of marketstore instance'
 )
-@click.argument('name', nargs=1, required=True)
+@click.option(
+    '--port',
+    default=5993
+)
+@click.argument('symbols', nargs=-1)
 @click.pass_obj
-def ms_shell(config, name, tl, url):
+def storesh(
-    """Start an IPython shell ready to query the local marketstore db.
+    config,
-    """
+    tl,
-    async def main():
+    host,
-        async with get_client(url) as client:
+    port,
-            query = client.query  # noqa
+    symbols: list[str],
-            # TODO: write magics to query marketstore
+):
-            from IPython import embed
+    '''
-            embed()
+    Start an IPython shell ready to query the local marketstore db.
 
-    tractor.run(main)
+    '''
+    from piker.data.marketstore import tsdb_history_update
+    from piker._daemon import open_piker_runtime
+
+    async def main():
+        nonlocal symbols
+
+        async with open_piker_runtime(
+            'storesh',
+            enable_modules=['piker.data._ahab'],
+        ):
+            symbol = symbols[0]
+            await tsdb_history_update(symbol)
+
+    trio.run(main)
 
 
 @cli.command()
 @click.option('--test-file', '-t', help='Test quote stream file')
 @click.option('--tl', is_flag=True, help='Enable tractor logging')
-@click.option('--tl', is_flag=True, help='Enable tractor logging')
-@click.option(
-    '--url',
-    default=_url,
-    help='HTTP URL of marketstore instance'
-)
 @click.argument('name', nargs=1, required=True)
 @click.pass_obj
-def ingest(config, name, test_file, tl, url):
+def ingest(config, name, test_file, tl):
-    """Ingest real-time broker quotes and ticks to a marketstore instance.
+    '''
-    """
+    Ingest real-time broker quotes and ticks to a marketstore instance.
+
+    '''
     # global opts
-    brokermod = config['brokermod']
     loglevel = config['loglevel']
     tractorloglevel = config['tractorloglevel']
     # log = config['log']
@@ -145,15 +172,25 @@ def ingest(config, name, test_file, tl, url):
     watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
     symbols = watchlists[name]
 
-    tractor.run(
+    grouped_syms = {}
-        partial(
+    for sym in symbols:
-            ingest_quote_stream,
+        symbol, _, provider = sym.rpartition('.')
-            symbols,
+        if provider not in grouped_syms:
-            brokermod.name,
+            grouped_syms[provider] = []
-            tries=1,
+
-            loglevel=loglevel,
+        grouped_syms[provider].append(symbol)
-        ),
+
-        name='ingest_marketstore',
+    async def entry_point():
-        loglevel=tractorloglevel,
+        async with tractor.open_nursery() as n:
-        debug_mode=True,
+            for provider, symbols in grouped_syms.items(): 
-    )
+                await n.run_in_actor(
+                    ingest_quote_stream,
+                    name='ingest_marketstore',
+                    symbols=symbols,
+                    brokername=provider,
+                    tries=1,
+                    actorloglevel=loglevel,
+                    loglevel=tractorloglevel
+                )
+
+    tractor.run(entry_point)

piker/data/feed.py

@@ -20,6 +20,7 @@ Data feed apis and infra.
 This module is enabled for ``brokerd`` daemons.
 
 """
+from __future__ import annotations
 from dataclasses import dataclass, field
 from contextlib import asynccontextmanager
 from functools import partial
@@ -35,12 +36,14 @@ from trio.abc import ReceiveChannel
 from trio_typing import TaskStatus
 import tractor
 from pydantic import BaseModel
+import numpy as np
 
 from ..brokers import get_brokermod
 from .._cacheables import maybe_open_context
 from ..log import get_logger, get_console_log
 from .._daemon import (
     maybe_spawn_brokerd,
+    check_for_service,
 )
 from ._sharedmem import (
     maybe_open_shm_array,
@@ -124,7 +127,7 @@ class _FeedsBus(BaseModel):
 
     # def cancel_task(
     #     self,
-    #     task: trio.lowlevel.Task
+    #     task: trio.lowlevel.Task,
     # ) -> bool:
     #     ...
 
@@ -188,6 +191,22 @@ async def _setup_persistent_brokerd(
         await trio.sleep_forever()
 
 
+async def start_backfill(
+    mod: ModuleType,
+    fqsn: str,
+    shm: ShmArray,
+
+    task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
+
+) -> int:
+
+    return await mod.backfill_bars(
+        fqsn,
+        shm,
+        task_status=task_status,
+    )
+
+
 async def manage_history(
     mod: ModuleType,
     bus: _FeedsBus,
@@ -216,50 +235,152 @@ async def manage_history(
         # we expect the sub-actor to write
         readonly=False,
     )
+    # TODO: history validation
+    if not opened:
+        raise RuntimeError(
+            "Persistent shm for sym was already open?!"
+        )
 
-    if opened:
+    log.info('Scanning for existing `marketstored`')
+
+    is_up = await check_for_service('marketstored')
+
+    # for now only do backfilling if no tsdb can be found
+    do_legacy_backfill = not is_up and opened
+
+    open_history_client = getattr(mod, 'open_history_client', None)
+
+    if is_up and opened and open_history_client:
+
+        log.info('Found existing `marketstored`')
+        from . import marketstore
+
+        async with marketstore.open_storage_client(
+            fqsn,
+        ) as storage:
+
+            tsdb_arrays = await storage.read_ohlcv(fqsn)
+
+            if not tsdb_arrays:
+                do_legacy_backfill = True
+
+            else:
+                log.info(f'Loaded tsdb history {tsdb_arrays}')
+
+                fastest = list(tsdb_arrays.values())[0]
+                times = fastest['Epoch']
+                first, last = times[0], times[-1]
+                first_tsdb_dt, last_tsdb_dt = map(
+                    pendulum.from_timestamp, [first, last]
+                )
+
+                # TODO: this should be used verbatim for the pure
+                # shm backfiller approach below.
+
+                def diff_history(
+                    array,
+                    start_dt,
+                    end_dt,
+
+                ) -> np.ndarray:
+
+                    s_diff = (last_tsdb_dt - start_dt).seconds
+
+                    # if we detect a partial frame's worth of data
+                    # that is new, slice out only that history and
+                    # write to shm.
+                    if s_diff > 0:
+                        assert last_tsdb_dt > start_dt
+                        selected = array['time'] > last_tsdb_dt.timestamp()
+                        to_push = array[selected]
+                        log.info(
+                            f'Pushing partial frame {to_push.size} to shm'
+                        )
+                        return to_push
+
+                    else:
+                        return array
+
+                # start history anal and load missing new data via backend.
+                async with open_history_client(fqsn) as hist:
+
+                    # get latest query's worth of history all the way
+                    # back to what is recorded in the tsdb
+                    array, start_dt, end_dt = await hist(end_dt='')
+                    to_push = diff_history(array, start_dt, end_dt)
+                    shm.push(to_push)
+
+                    # let caller unblock and deliver latest history frame
+                    task_status.started(shm)
+                    some_data_ready.set()
+
+                    # pull new history frames until we hit latest
+                    # already in the tsdb
+                    while start_dt > last_tsdb_dt:
+                        array, start_dt, end_dt = await hist(end_dt=start_dt)
+                        to_push = diff_history(array, start_dt, end_dt)
+                        shm.push(to_push, prepend=True)
+
+                    # TODO: see if there's faster multi-field reads:
+                    # https://numpy.org/doc/stable/user/basics.rec.html#accessing-multiple-fields
+                    # re-index  with a `time` and index field
+                    shm.push(
+                        fastest[-shm._first.value:],
+
+                        # insert the history pre a "days worth" of samples
+                        # to leave some real-time buffer space at the end.
+                        prepend=True,
+                        # start=shm._len - _secs_in_day,
+                        field_map={
+                            'Epoch': 'time',
+                            'Open': 'open',
+                            'High': 'high',
+                            'Low': 'low',
+                            'Close': 'close',
+                            'Volume': 'volume',
+                        },
+                    )
+
+                    # TODO: write new data to tsdb to be ready to for next
+                    # read.
+
+    if do_legacy_backfill:
+        # do a legacy incremental backfill from the provider.
         log.info('No existing `marketstored` found..')
 
+        bfqsn = fqsn.replace('.' + mod.name, '')
         # start history backfill task ``backfill_bars()`` is
         # a required backend func this must block until shm is
         # filled with first set of ohlc bars
-        _ = await bus.nursery.start(mod.backfill_bars, fqsn, shm)
+        await bus.nursery.start(
+            start_backfill,
+            mod,
+            bfqsn,
+            shm,
+        )
 
-    # yield back after client connect with filled shm
+        # yield back after client connect with filled shm
-    task_status.started(shm)
+        task_status.started(shm)
 
-    # indicate to caller that feed can be delivered to
+        # indicate to caller that feed can be delivered to
-    # remote requesting client since we've loaded history
+        # remote requesting client since we've loaded history
-    # data that can be used.
+        # data that can be used.
-    some_data_ready.set()
+        some_data_ready.set()
-
-    # detect sample step size for sampled historical data
-    times = shm.array['time']
-    delay_s = times[-1] - times[times != times[-1]][-1]
-
-    # begin real-time updates of shm and tsb once the feed
-    # goes live.
-    await feed_is_live.wait()
-
-    if opened:
-        sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
-
-        # start shm incrementing for OHLC sampling at the current
-        # detected sampling period if one dne.
-        if sampler.incrementers.get(delay_s) is None:
-            await bus.start_task(
-                increment_ohlc_buffer,
-                delay_s,
-            )
 
+    # history retreival loop depending on user interaction and thus
+    # a small RPC-prot for remotely controllinlg what data is loaded
+    # for viewing.
     await trio.sleep_forever()
 
 
 async def allocate_persistent_feed(
     bus: _FeedsBus,
+
     brokername: str,
     symbol: str,
+
     loglevel: str,
+    start_stream: bool = True,
 
     task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
 
@@ -277,6 +398,7 @@ async def allocate_persistent_feed(
     - a real-time streaming task which connec
 
     '''
+    # load backend module
     try:
         mod = get_brokermod(brokername)
     except ImportError:
@@ -319,7 +441,7 @@ async def allocate_persistent_feed(
         manage_history,
         mod,
         bus,
-        bfqsn,
+        '.'.join((bfqsn, brokername)),
         some_data_ready,
         feed_is_live,
     )
@@ -333,7 +455,10 @@ async def allocate_persistent_feed(
     # true fqsn
     fqsn = '.'.join((bfqsn, brokername))
     # add a fqsn entry that includes the ``.<broker>`` suffix
+    # and an entry that includes the broker-specific fqsn (including
+    # any new suffixes or elements as injected by the backend).
     init_msg[fqsn] = msg
+    init_msg[bfqsn] = msg
 
     # TODO: pretty sure we don't need this? why not just leave 1s as
     # the fastest "sample period" since we'll probably always want that
@@ -347,13 +472,14 @@ async def allocate_persistent_feed(
     await some_data_ready.wait()
 
     # append ``.<broker>`` suffix to each quote symbol
-    bsym = symbol + f'.{brokername}'
+    acceptable_not_fqsn_with_broker_suffix = symbol + f'.{brokername}'
+
     generic_first_quotes = {
-        bsym: first_quote,
+        acceptable_not_fqsn_with_broker_suffix: first_quote,
         fqsn: first_quote,
     }
 
-    bus.feeds[symbol] = bus.feeds[fqsn] = (
+    bus.feeds[symbol] = bus.feeds[bfqsn] = (
         init_msg,
         generic_first_quotes,
     )
@@ -363,9 +489,25 @@ async def allocate_persistent_feed(
     # task_status.started((init_msg,  generic_first_quotes))
     task_status.started()
 
-    # backend will indicate when real-time quotes have begun.
+    if not start_stream:
+        await trio.sleep_forever()
+
+    # begin real-time updates of shm and tsb once the feed goes live and
+    # the backend will indicate when real-time quotes have begun.
     await feed_is_live.wait()
 
+    # start shm incrementer task for OHLC style sampling
+    # at the current detected step period.
+    times = shm.array['time']
+    delay_s = times[-1] - times[times != times[-1]][-1]
+
+    sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
+    if sampler.incrementers.get(delay_s) is None:
+        await bus.start_task(
+            increment_ohlc_buffer,
+            delay_s,
+        )
+
     sum_tick_vlm: bool = init_msg.get(
         'shm_write_opts', {}
     ).get('sum_tick_vlm', True)
@@ -388,7 +530,7 @@ async def open_feed_bus(
 
     ctx: tractor.Context,
     brokername: str,
-    symbol: str,
+    symbol: str,  # normally expected to the broker-specific fqsn
     loglevel: str,
     tick_throttle:  Optional[float] = None,
     start_stream: bool = True,
@@ -410,7 +552,9 @@ async def open_feed_bus(
     # TODO: check for any stale shm entries for this symbol
     # (after we also group them in a nice `/dev/shm/piker/` subdir).
     # ensure we are who we think we are
-    assert 'brokerd' in tractor.current_actor().name
+    servicename = tractor.current_actor().name
+    assert 'brokerd' in servicename
+    assert brokername in servicename
 
     bus = get_feed_bus(brokername)
 
@@ -420,7 +564,7 @@ async def open_feed_bus(
     entry = bus.feeds.get(symbol)
     if entry is None:
         # allocate a new actor-local stream bus which
-        # will persist for this `brokerd`.
+        # will persist for this `brokerd`'s service lifetime.
         async with bus.task_lock:
             await bus.nursery.start(
                 partial(
@@ -428,13 +572,12 @@ async def open_feed_bus(
 
                     bus=bus,
                     brokername=brokername,
-
                     # here we pass through the selected symbol in native
                     # "format" (i.e. upper vs. lowercase depending on
                     # provider).
                     symbol=symbol,
-
                     loglevel=loglevel,
+                    start_stream=start_stream,
                 )
             )
             # TODO: we can remove this?
@@ -450,7 +593,7 @@ async def open_feed_bus(
     # true fqsn
     fqsn = '.'.join([bfqsn, brokername])
     assert fqsn in first_quotes
-    assert bus.feeds[fqsn]
+    assert bus.feeds[bfqsn]
 
     # broker-ambiguous symbol (provided on cli - eg. mnq.globex.ib)
     bsym = symbol + f'.{brokername}'

piker/data/marketstore.py

@@ -14,36 +14,58 @@
 # You should have received a copy of the GNU Affero General Public License
 # along with this program.  If not, see <https://www.gnu.org/licenses/>.
 
-"""
+'''
 ``marketstore`` integration.
 
 - client management routines
 - ticK data ingest routines
 - websocket client for subscribing to write triggers
 - todo: tick sequence stream-cloning for testing
-- todo: docker container management automation
+
-"""
+'''
-from contextlib import asynccontextmanager
+from contextlib import asynccontextmanager as acm
-from typing import Dict, Any, List, Callable, Tuple
+from pprint import pformat
+from typing import (
+    Any,
+    Optional,
+    Union,
+)
 import time
 from math import isnan
 
+from bidict import bidict
 import msgpack
+import pyqtgraph as pg
 import numpy as np
 import pandas as pd
-import pymarketstore as pymkts
 import tractor
 from trio_websocket import open_websocket_url
+from anyio_marketstore import (
+    open_marketstore_client,
+    MarketstoreClient,
+    Params,
+)
+import purerpc
 
+from .feed import maybe_open_feed
 from ..log import get_logger, get_console_log
-from ..data import open_feed
 
 
 log = get_logger(__name__)
 
-_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
+_tick_tbk_ids: tuple[str, str] = ('1Sec', 'TICK')
 _tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
-_url: str = 'http://localhost:5993/rpc'
+
+_tick_dt = [
+    # these two are required for as a "primary key"
+    ('Epoch', 'i8'),
+    ('Nanoseconds', 'i4'),
+    ('IsTrade', 'i1'),
+    ('IsBid', 'i1'),
+    ('Price', 'f4'),
+    ('Size', 'f4')
+]
+
 _quote_dt = [
     # these two are required for as a "primary key"
     ('Epoch', 'i8'),
@@ -61,6 +83,7 @@ _quote_dt = [
     # ('brokerd_ts', 'i64'),
     # ('VWAP', 'f4')
 ]
+
 _quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
 _tick_map = {
     'Up': 1,
@@ -69,28 +92,39 @@ _tick_map = {
     None: np.nan,
 }
 
+_ohlcv_dt = [
+    # these two are required for as a "primary key"
+    ('Epoch', 'i8'),
+    # ('Nanoseconds', 'i4'),
 
-class MarketStoreError(Exception):
+    # ohlcv sampling
-    "Generic marketstore client error"
+    ('Open', 'f4'),
+    ('High', 'f4'),
+    ('Low', 'i8'),
+    ('Close', 'i8'),
+    ('Volume', 'f4'),
+]
 
 
-def err_on_resp(response: dict) -> None:
+def mk_tbk(keys: tuple[str, str, str]) -> str:
-    """Raise any errors found in responses from client request.
+    '''
-    """
+    Generate a marketstore table key from a tuple.
-    responses = response['responses']
+    Converts,
-    if responses is not None:
+        ``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
-        for r in responses:
+
-            err = r['error']
+    '''
-            if err:
+    return '/'.join(keys)
-                raise MarketStoreError(err)
 
 
 def quote_to_marketstore_structarray(
-    quote: Dict[str, Any],
+    quote: dict[str, Any],
-    last_fill: str,
+    last_fill: Optional[float]
+
 ) -> np.array:
-    """Return marketstore writeable structarray from quote ``dict``.
+    '''
-    """
+    Return marketstore writeable structarray from quote ``dict``.
+
+    '''
     if last_fill:
         # new fill bby
         now = timestamp(last_fill)
@@ -101,7 +135,7 @@ def quote_to_marketstore_structarray(
 
     secs, ns = now / 10**9, now % 10**9
 
-    # pack into List[Tuple[str, Any]]
+    # pack into list[tuple[str, Any]]
     array_input = []
 
     # insert 'Epoch' entry first and then 'Nanoseconds'.
@@ -123,146 +157,391 @@ def quote_to_marketstore_structarray(
     return np.array([tuple(array_input)], dtype=_quote_dt)
 
 
-def timestamp(datestr: str) -> int:
+def timestamp(date, **kwargs) -> int:
-    """Return marketstore compatible 'Epoch' integer in nanoseconds
+    '''
+    Return marketstore compatible 'Epoch' integer in nanoseconds
     from a date formatted str.
-    """
+
-    return int(pd.Timestamp(datestr).value)
+    '''
+    return int(pd.Timestamp(date, **kwargs).value)
 
 
-def mk_tbk(keys: Tuple[str, str, str]) -> str:
+@acm
-    """Generate a marketstore table key from a tuple.
-
-    Converts,
-        ``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
-    """
-    return '{}/' + '/'.join(keys)
-
-
-class Client:
-    """Async wrapper around the alpaca ``pymarketstore`` sync client.
-
-    This will server as the shell for building out a proper async client
-    that isn't horribly documented and un-tested..
-    """
-    def __init__(self, url: str):
-        self._client = pymkts.Client(url)
-
-    async def _invoke(
-        self,
-        meth: Callable,
-        *args,
-        **kwargs,
-    ) -> Any:
-        return err_on_resp(meth(*args, **kwargs))
-
-    async def destroy(
-        self,
-        tbk: Tuple[str, str, str],
-    ) -> None:
-        return await self._invoke(self._client.destroy, mk_tbk(tbk))
-
-    async def list_symbols(
-        self,
-        tbk: str,
-    ) -> List[str]:
-        return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
-
-    async def write(
-        self,
-        symbol: str,
-        array: np.ndarray,
-    ) -> None:
-        start = time.time()
-        await self._invoke(
-            self._client.write,
-            array,
-            _tick_tbk.format(symbol),
-            isvariablelength=True
-        )
-        log.debug(f"{symbol} write time (s): {time.time() - start}")
-
-    def query(
-        self,
-        symbol,
-        tbk: Tuple[str, str] = _tick_tbk_ids,
-    ) -> pd.DataFrame:
-        # XXX: causes crash
-        # client.query(pymkts.Params(symbol, '*', 'OHCLV'
-        result = self._client.query(
-            pymkts.Params(symbol, *tbk),
-        )
-        return result.first().df()
-
-
-@asynccontextmanager
 async def get_client(
-    url: str = _url,
+    host: str = 'localhost',
-) -> Client:
+    port: int = 5995
-    yield Client(url)
+
+) -> MarketstoreClient:
+    '''
+    Load a ``anyio_marketstore`` grpc client connected
+    to an existing ``marketstore`` server.
+
+    '''
+    async with open_marketstore_client(
+        host,
+        port
+    ) as client:
+        yield client
+
+
+class MarketStoreError(Exception):
+    "Generic marketstore client error"
+
+
+# def err_on_resp(response: dict) -> None:
+#     """Raise any errors found in responses from client request.
+#     """
+#     responses = response['responses']
+#     if responses is not None:
+#         for r in responses:
+#             err = r['error']
+#             if err:
+#                 raise MarketStoreError(err)
+
+
+tf_in_1s = bidict({
+    1: '1Sec',
+    60: '1Min',
+    60*5: '5Min',
+    60*15: '15Min',
+    60*30: '30Min',
+    60*60: '1H',
+    60*60*24: '1D',
+})
+
+
+class Storage:
+    '''
+    High level storage api for both real-time and historical ingest.
+
+    '''
+    def __init__(
+        self,
+        client: MarketstoreClient,
+
+    ) -> None:
+        # TODO: eventually this should be an api/interface type that
+        # ensures we can support multiple tsdb backends.
+        self.client = client
+
+        # series' cache from tsdb reads
+        self._arrays: dict[str, np.ndarray] = {}
+
+    async def list_keys(self) -> list[str]:
+        return await self.client.list_symbols()
+
+    async def search_keys(self, pattern: str) -> list[str]:
+        '''
+        Search for time series key in the storage backend.
+
+        '''
+        ...
+
+    async def write_ticks(self, ticks: list) -> None:
+        ...
+
+    async def write_ohlcv(self, ohlcv: np.ndarray) -> None:
+        ...
+
+    async def read_ohlcv(
+        self,
+        fqsn: str,
+        timeframe: Optional[Union[int, str]] = None,
+
+    ) -> tuple[
+        MarketstoreClient,
+        Union[dict, np.ndarray]
+    ]:
+        client = self.client
+        syms = await client.list_symbols()
+
+        if fqsn not in syms:
+            return {}
+
+        tfstr = tf_in_1s[1]
+
+        params = Params(
+            symbols=fqsn,
+            timeframe=tfstr,
+            attrgroup='OHLCV',
+            # limit_from_start=True,
+
+            # TODO: figure the max limit here given the
+            # ``purepc`` msg size limit of purerpc: 33554432
+            limit=int(800e3),
+        )
+
+        if timeframe is None:
+            log.info(f'starting {fqsn} tsdb granularity scan..')
+            # loop through and try to find highest granularity
+            for tfstr in tf_in_1s.values():
+                try:
+                    log.info(f'querying for {tfstr}@{fqsn}')
+                    params.set('timeframe', tfstr)
+                    result = await client.query(params)
+                    break
+
+                except purerpc.grpclib.exceptions.UnknownError:
+                    # XXX: this is already logged by the container and
+                    # thus shows up through `marketstored` logs relay.
+                    # log.warning(f'{tfstr}@{fqsn} not found')
+                    continue
+            else:
+                return {}
+
+        else:
+            result = await client.query(params)
+
+        # TODO: it turns out column access on recarrays is actually slower:
+        # https://jakevdp.github.io/PythonDataScienceHandbook/02.09-structured-data-numpy.html#RecordArrays:-Structured-Arrays-with-a-Twist
+        # it might make sense to make these structured arrays?
+        # Fill out a `numpy` array-results map
+        arrays = {}
+        for fqsn, data_set in result.by_symbols().items():
+            arrays.setdefault(fqsn, {})[
+                tf_in_1s.inverse[data_set.timeframe]
+            ] = data_set.array
+
+        return arrays[fqsn][timeframe] if timeframe else arrays[fqsn]
+
+    async def delete_ts(
+        self,
+        key: str,
+        timeframe: Optional[Union[int, str]] = None,
+
+    ) -> bool:
+
+        client = self.client
+        syms = await client.list_symbols()
+        print(syms)
+        # if key not in syms:
+        #     raise KeyError(f'`{fqsn}` table key not found?')
+
+        return await client.destroy(tbk=key)
+
+
+@acm
+async def open_storage_client(
+    fqsn: str,
+    period: Optional[Union[int, str]] = None,  # in seconds
+
+) -> tuple[Storage, dict[str, np.ndarray]]:
+    '''
+    Load a series by key and deliver in ``numpy`` struct array format.
+
+    '''
+    async with (
+        # eventually a storage backend endpoint
+        get_client() as client,
+    ):
+        # slap on our wrapper api
+        yield Storage(client)
+
+
+async def tsdb_history_update(
+    fqsn: str,
+
+) -> list[str]:
+
+    # TODO: real-time dedicated task for ensuring
+    # history consistency between the tsdb, shm and real-time feed..
+
+    # update sequence design notes:
+
+    # - load existing highest frequency data from mkts
+    #   * how do we want to offer this to the UI?
+    #    - lazy loading?
+    #    - try to load it all and expect graphics caching/diffing
+    #      to  hide extra bits that aren't in view?
+
+    # - compute the diff between latest data from broker and shm
+    #   * use sql api in mkts to determine where the backend should
+    #     start querying for data?
+    #   * append any diff with new shm length
+    #   * determine missing (gapped) history by scanning
+    #   * how far back do we look?
+
+    # - begin rt update ingest and aggregation
+    #   * could start by always writing ticks to mkts instead of
+    #     worrying about a shm queue for now.
+    #   * we have a short list of shm queues worth groking:
+    #     - https://github.com/pikers/piker/issues/107
+    #   * the original data feed arch blurb:
+    #     - https://github.com/pikers/piker/issues/98
+    #
+    profiler = pg.debug.Profiler(
+        disabled=False,  # not pg_profile_enabled(),
+        delayed=False,
+    )
+
+    async with (
+        open_storage_client(fqsn) as storage,
+
+        maybe_open_feed(
+            [fqsn],
+            start_stream=False,
+
+        ) as (feed, stream),
+    ):
+        profiler(f'opened feed for {fqsn}')
+
+        symbol = feed.symbols.get(fqsn)
+        if symbol:
+            fqsn = symbol.front_fqsn()
+
+        syms = await storage.client.list_symbols()
+        log.info(f'Existing tsdb symbol set:\n{pformat(syms)}')
+        profiler(f'listed symbols {syms}')
+
+        # diff db history with shm and only write the missing portions
+        ohlcv = feed.shm.array
+
+        # TODO: use pg profiler
+        tsdb_arrays = await storage.read_ohlcv(fqsn)
+
+        to_append = feed.shm.array
+        to_prepend = None
+
+        # hist diffing
+        if tsdb_arrays:
+            onesec = tsdb_arrays[1]
+            to_append = ohlcv[ohlcv['time'] > onesec['Epoch'][-1]]
+            to_prepend = ohlcv[ohlcv['time'] < onesec['Epoch'][0]]
+
+        profiler('Finished db arrays diffs')
+
+        for array in [to_append, to_prepend]:
+            if array is None:
+                continue
+
+            log.info(
+                f'Writing datums {array.size} -> to tsdb from shm\n'
+            )
+
+            # build mkts schema compat array for writing
+            mkts_dt = np.dtype(_ohlcv_dt)
+            mkts_array = np.zeros(
+                len(array),
+                dtype=mkts_dt,
+            )
+            # copy from shm array (yes it's this easy):
+            # https://numpy.org/doc/stable/user/basics.rec.html#assignment-from-other-structured-arrays
+            mkts_array[:] = array[[
+                'time',
+                'open',
+                'high',
+                'low',
+                'close',
+                'volume',
+            ]]
+
+            # write to db
+            resp = await storage.client.write(
+                mkts_array,
+                tbk=f'{fqsn}/1Sec/OHLCV',
+
+                # NOTE: will will append duplicates
+                # for the same timestamp-index.
+                # TODO: pre deduplicate?
+                isvariablelength=True,
+            )
+
+            log.info(
+                f'Wrote {to_append.size} datums to tsdb\n'
+            )
+            profiler('Finished db writes')
+
+            for resp in resp.responses:
+                err = resp.error
+                if err:
+                    raise MarketStoreError(err)
+
+        from tractor.trionics import ipython_embed
+        await ipython_embed()
 
 
 async def ingest_quote_stream(
-    symbols: List[str],
+    symbols: list[str],
     brokername: str,
     tries: int = 1,
     loglevel: str = None,
+
 ) -> None:
-    """Ingest a broker quote stream into marketstore in (sampled) tick format.
+    '''
-    """
+    Ingest a broker quote stream into a ``marketstore`` tsdb.
-    async with open_feed(
-        brokername,
-        symbols,
-        loglevel=loglevel,
-    ) as (first_quotes, qstream):
 
-        quote_cache = first_quotes.copy()
+    '''
+    async with (
+        maybe_open_feed(brokername, symbols, loglevel=loglevel) as feed,
+        get_client() as ms_client,
+    ):
+        async for quotes in feed.stream:
+            log.info(quotes)
+            for symbol, quote in quotes.items():
+                for tick in quote.get('ticks', ()):
+                    ticktype = tick.get('type', 'n/a')
 
-        async with get_client() as ms_client:
+            # techtonic tick write
+            array = quote_to_marketstore_structarray({
+                'IsTrade': 1 if ticktype == 'trade' else 0,
+                'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
+                'Price': tick.get('price'),
+                'Size': tick.get('size')
+            }, last_fill=quote.get('broker_ts', None))
 
-            # start ingest to marketstore
+            await ms_client.write(array, _tick_tbk)
-            async for quotes in qstream:
-                log.info(quotes)
-                for symbol, quote in quotes.items():
 
-                    # remap tick strs to ints
+            # LEGACY WRITE LOOP (using old tick dt)
-                    quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
+            # quote_cache = {
+            #     'size': 0,
+            #     'tick': 0
+            # }
 
-                    # check for volume update (i.e. did trades happen
+            # async for quotes in qstream:
-                    # since last quote)
+            #     log.info(quotes)
-                    new_vol = quote.get('volume', None)
+            #     for symbol, quote in quotes.items():
-                    if new_vol is None:
-                        log.debug(f"No fills for {symbol}")
-                        if new_vol == quote_cache.get('volume'):
-                            # should never happen due to field diffing
-                            # on sender side
-                            log.error(
-                                f"{symbol}: got same volume as last quote?")
 
-                    quote_cache.update(quote)
+            #         # remap tick strs to ints
+            #         quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
 
-                    a = quote_to_marketstore_structarray(
+            #         # check for volume update (i.e. did trades happen
-                        quote,
+            #         # since last quote)
-                        # TODO: check this closer to the broker query api
+            #         new_vol = quote.get('volume', None)
-                        last_fill=quote.get('fill_time', '')
+            #         if new_vol is None:
-                    )
+            #             log.debug(f"No fills for {symbol}")
-                    await ms_client.write(symbol, a)
+            #             if new_vol == quote_cache.get('volume'):
+            #                 # should never happen due to field diffing
+            #                 # on sender side
+            #                 log.error(
+            #                     f"{symbol}: got same volume as last quote?")
+
+            #         quote_cache.update(quote)
+
+            #         a = quote_to_marketstore_structarray(
+            #             quote,
+            #             # TODO: check this closer to the broker query api
+            #             last_fill=quote.get('fill_time', '')
+            #         )
+            #         await ms_client.write(symbol, a)
 
 
 async def stream_quotes(
-    symbols: List[str],
+    symbols: list[str],
     host: str = 'localhost',
     port: int = 5993,
     diff_cached: bool = True,
     loglevel: str = None,
+
 ) -> None:
-    """Open a symbol stream from a running instance of marketstore and
+    '''
+    Open a symbol stream from a running instance of marketstore and
     log to console.
-    """
+
+    '''
     # XXX: required to propagate ``tractor`` loglevel to piker logging
     get_console_log(loglevel or tractor.current_actor().loglevel)
 
-    tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
+    tbks: dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
 
     async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
         # send subs topics to server
@@ -271,7 +550,7 @@ async def stream_quotes(
         )
         log.info(resp)
 
-        async def recv() -> Dict[str, Any]:
+        async def recv() -> dict[str, Any]:
             return msgpack.loads((await ws.get_message()), encoding='utf-8')
 
         streams = (await recv())['streams']

requirements.txt

@@ -7,3 +7,7 @@
 # pin this to a dev branch that we have more control over especially
 # as more graphics stuff gets hashed out.
 -e git+https://github.com/pikers/pyqtgraph.git@piker_pin#egg=pyqtgraph
+
+
+# our async client for ``marketstore`` (the tsdb)
+-e git+https://github.com/pikers/anyio-marketstore.git@master#egg=anyio-marketstore

scripts/ib_data_reset.py

@@ -1,5 +1,5 @@
 # piker: trading gear for hackers
-# Copyright (C) Tyler Goodlet (in stewardship for piker0)
+# Copyright (C) Tyler Goodlet (in stewardship for pikers)
 
 # This program is free software: you can redistribute it and/or modify
 # it under the terms of the GNU Affero General Public License as published by
@@ -30,11 +30,13 @@ orig_win_id = t.find_focused().window
 # for tws
 win_names: list[str] = [
     'Interactive Brokers',  # tws running in i3
-    'IB Gateway.',  # gw running in i3
+    'IB Gateway',  # gw running in i3
+    # 'IB',  # gw running in i3 (newer version?)
 ]
 
 for name in win_names:
-    results = t.find_named(name)
+    results = t.find_titled(name)
+    print(f'results for {name}: {results}')
     if results:
         con = results[0]
         print(f'Resetting data feed for {name}')
@@ -47,22 +49,32 @@ for name in win_names:
         # https://github.com/rr-/pyxdotool
         # https://github.com/ShaneHutter/pyxdotool
         # https://github.com/cphyc/pyxdotool
-        subprocess.call([
-            'xdotool',
-            'windowactivate', '--sync', win_id,
 
-            # move mouse to bottom left of window (where there should
+        # TODO: only run the reconnect (2nd) kc on a detected
-            # be nothing to click).
+        # disconnect?
-            'mousemove_relative', '--sync', str(w-4), str(h-4),
+        for key_combo, timeout in [
+            # only required if we need a connection reset.
+            # ('ctrl+alt+r', 12),
+            # data feed reset.
+            ('ctrl+alt+f', 6)
+        ]:
+            subprocess.call([
+                'xdotool',
+                'windowactivate', '--sync', win_id,
 
-            # NOTE: we may need to stick a `--retry 3` in here..
+                # move mouse to bottom left of window (where there should
-            'click', '--window', win_id, '--repeat', '3', '1',
+                # be nothing to click).
+                'mousemove_relative', '--sync', str(w-4), str(h-4),
 
-            # hackzorzes
+                # NOTE: we may need to stick a `--retry 3` in here..
-            'key', 'ctrl+alt+f',
+                'click', '--window', win_id,
-            ],
+                '--repeat', '3', '1',
-            timeout=1,
+
-        )
+                # hackzorzes
+                'key', key_combo,
+                ],
+                timeout=timeout,
+            )
 
 # re-activate and focus original window
 subprocess.call([

setup.py

@@ -77,6 +77,14 @@ setup(
         # tsdbs
         'pymarketstore',
     ],
+    extras_require={
+
+        # serialization
+        'tsdb': [
+            'docker',
+        ],
+
+    },
     tests_require=['pytest'],
     python_requires=">=3.9",  # literally for ``datetime.datetime.fromisoformat``...
     keywords=["async", "trading", "finance", "quant", "charting"],