Compare commits
No commits in common. "310_plus" and "dark_vlm" have entirely different histories.
|
|
@ -1,6 +1,5 @@
|
|||
name: CI
|
||||
|
||||
|
||||
on:
|
||||
# Triggers the workflow on push or pull request events but only for the master branch
|
||||
push:
|
||||
|
|
@ -11,21 +10,41 @@ on:
|
|||
# Allows you to run this workflow manually from the Actions tab
|
||||
workflow_dispatch:
|
||||
|
||||
|
||||
jobs:
|
||||
|
||||
testing:
|
||||
name: 'install + test-suite'
|
||||
basic_install:
|
||||
name: 'pip install'
|
||||
runs-on: ubuntu-latest
|
||||
steps:
|
||||
|
||||
- name: Checkout
|
||||
uses: actions/checkout@v3
|
||||
uses: actions/checkout@v2
|
||||
with:
|
||||
ref: master
|
||||
|
||||
- name: Setup python
|
||||
uses: actions/setup-python@v3
|
||||
uses: actions/setup-python@v2
|
||||
with:
|
||||
python-version: '3.10'
|
||||
python-version: '3.9'
|
||||
|
||||
- name: Install dependencies
|
||||
run: pip install -e . --upgrade-strategy eager -r requirements.txt
|
||||
|
||||
- name: Run piker cli
|
||||
run: piker
|
||||
|
||||
testing:
|
||||
name: 'test suite'
|
||||
runs-on: ubuntu-latest
|
||||
steps:
|
||||
|
||||
- name: Checkout
|
||||
uses: actions/checkout@v2
|
||||
|
||||
- name: Setup python
|
||||
uses: actions/setup-python@v2
|
||||
with:
|
||||
python-version: '3.9'
|
||||
|
||||
- name: Install dependencies
|
||||
run: pip install -U . -r requirements-test.txt -r requirements.txt --upgrade-strategy eager
|
||||
|
|
|
|||
|
|
@ -97,9 +97,6 @@ ENV/
|
|||
# mkdocs documentation
|
||||
/site
|
||||
|
||||
# extra scripts dir
|
||||
/snippets
|
||||
|
||||
# mypy
|
||||
.mypy_cache/
|
||||
.vscode/settings.json
|
||||
|
|
|
|||
61
README.rst
61
README.rst
|
|
@ -74,57 +74,23 @@ for a development install::
|
|||
|
||||
install for tinas
|
||||
*****************
|
||||
for windows peeps you can start by installing all the prerequisite software:
|
||||
|
||||
- install git with all default settings - https://git-scm.com/download/win
|
||||
- install anaconda all default settings - https://www.anaconda.com/products/individual
|
||||
- install microsoft build tools (check the box for Desktop development for C++, you might be able to uncheck some optional downloads) - https://visualstudio.microsoft.com/visual-cpp-build-tools/
|
||||
- install visual studio code default settings - https://code.visualstudio.com/download
|
||||
|
||||
for windows peeps you can start by getting `conda installed`_
|
||||
and the `C++ build toolz`_ on your system.
|
||||
|
||||
then, `crack a conda shell`_ and run the following commands::
|
||||
|
||||
mkdir code # create code directory
|
||||
cd code # change directory to code
|
||||
git clone https://github.com/pikers/piker.git # downloads piker installation package from github
|
||||
cd piker # change directory to piker
|
||||
conda create piker --python=3.9
|
||||
conda activate piker
|
||||
conda install pip
|
||||
pip install --upgrade setuptools
|
||||
cd dIreCToRieZ\oF\cODez\piker\
|
||||
pip install -r requirements -e .
|
||||
|
||||
conda create -n pikonda # creates conda environment named pikonda
|
||||
conda activate pikonda # activates pikonda
|
||||
|
||||
conda install -c conda-forge python-levenshtein # in case it is not already installed
|
||||
conda install pip # may already be installed
|
||||
pip # will show if pip is installed
|
||||
|
||||
pip install -e . -r requirements.txt # install piker in editable mode
|
||||
|
||||
test Piker to see if it is working::
|
||||
|
||||
piker -b binance chart btcusdt.binance # formatting for loading a chart
|
||||
piker -b kraken -b binance chart xbtusdt.kraken
|
||||
piker -b kraken -b binance -b ib chart qqq.nasdaq.ib
|
||||
piker -b ib chart tsla.nasdaq.ib
|
||||
|
||||
potential error::
|
||||
|
||||
FileNotFoundError: [Errno 2] No such file or directory: 'C:\\Users\\user\\AppData\\Roaming\\piker\\brokers.toml'
|
||||
|
||||
solution:
|
||||
|
||||
- navigate to file directory above (may be different on your machine, location should be listed in the error code)
|
||||
- copy and paste file from 'C:\\Users\\user\\code\\data/brokers.toml' or create a blank file using notepad at the location above
|
||||
|
||||
Visual Studio Code setup:
|
||||
|
||||
- now that piker is installed we can set up vscode as the default terminal for running piker and editing the code
|
||||
- open Visual Studio Code
|
||||
- file --> Add Folder to Workspace --> C:\Users\user\code\piker (adds piker directory where all piker files are located)
|
||||
- file --> Save Workspace As --> save it wherever you want and call it whatever you want, this is going to be your default workspace for running and editing piker code
|
||||
- ctrl + shift + p --> start typing Python: Select Interpetter --> when the option comes up select it --> Select at the workspace level --> select the one that shows ('pikonda')
|
||||
- change the default terminal to cmd.exe instead of powershell (default)
|
||||
- now when you create a new terminal VScode should automatically activate you conda env so that piker can be run as the first command after a new terminal is created
|
||||
|
||||
also, try out fancyzones as part of powertoyz for a decent tiling windows manager to manage all the cool new software you are going to be running.
|
||||
in order to look coolio in front of all ur tina friends (and maybe
|
||||
want to help us with testin, hackzing or configgin), install
|
||||
`vscode`_ and `setup a coolio tiled wm console`_ so you can start
|
||||
living the life of the tech literate..
|
||||
|
||||
.. _conda installed: https://
|
||||
.. _C++ build toolz: https://
|
||||
|
|
@ -138,7 +104,7 @@ provider support
|
|||
****************
|
||||
for live data feeds the in-progress set of supported brokers is:
|
||||
|
||||
- IB_ via ``ib_insync``, also see our `container docs`_
|
||||
- IB_ via ``ib_insync``
|
||||
- binance_ and kraken_ for crypto over their public websocket API
|
||||
- questrade_ (ish) which comes with effectively free L1
|
||||
|
||||
|
|
@ -150,7 +116,6 @@ coming soon...
|
|||
if you want your broker supported and they have an API let us know.
|
||||
|
||||
.. _IB: https://interactivebrokers.github.io/tws-api/index.html
|
||||
.. _container docs: https://github.com/pikers/piker/tree/master/dockering/ib
|
||||
.. _questrade: https://www.questrade.com/api/documentation
|
||||
.. _kraken: https://www.kraken.com/features/api#public-market-data
|
||||
.. _binance: https://github.com/pikers/piker/pull/182
|
||||
|
|
|
|||
|
|
@ -8,45 +8,20 @@ expires_at = 1616095326.355846
|
|||
|
||||
[kraken]
|
||||
key_descr = "api_0"
|
||||
api_key = ""
|
||||
secret = ""
|
||||
public_key = ""
|
||||
private_key = ""
|
||||
|
||||
[ib]
|
||||
hosts = [
|
||||
"127.0.0.1",
|
||||
]
|
||||
# XXX: the order in which ports will be scanned
|
||||
# (by the `brokerd` daemon-actor)
|
||||
# is determined # by the line order here.
|
||||
# TODO: when we eventually spawn gateways in our
|
||||
# container, we can just dynamically allocate these
|
||||
# using IBC.
|
||||
ports = [
|
||||
4002, # gw
|
||||
7497, # tws
|
||||
]
|
||||
host = "127.0.0.1"
|
||||
|
||||
# XXX: for a paper account the flex web query service
|
||||
# is not supported so you have to manually download
|
||||
# and XML report and put it in a location that can be
|
||||
# accessed by the ``brokerd.ib`` backend code for parsing.
|
||||
flex_token = '666666666666666666666666'
|
||||
flex_trades_query_id = '666666' # live account
|
||||
ports.gw = 4002
|
||||
ports.tws = 7497
|
||||
ports.order = ["gw", "tws",]
|
||||
|
||||
# when clients are being scanned this determines
|
||||
# which clients are preferred to be used for data
|
||||
# feeds based on the order of account names, if
|
||||
# detected as active on an API client.
|
||||
prefer_data_account = [
|
||||
'paper',
|
||||
'margin',
|
||||
'ira',
|
||||
]
|
||||
accounts.margin = "X0000000"
|
||||
accounts.ira = "X0000000"
|
||||
accounts.paper = "XX0000000"
|
||||
|
||||
[ib.accounts]
|
||||
# the order in which accounts will be selectable
|
||||
# in the order mode UI (if found via clients during
|
||||
# API-app scanning)when a new symbol is loaded.
|
||||
paper = "XX0000000"
|
||||
margin = "X0000000"
|
||||
ira = "X0000000"
|
||||
# the order in which accounts will be selected (if found through
|
||||
# `brokerd`) when a new symbol is loaded
|
||||
accounts_order = ['paper', 'margin', 'ira']
|
||||
|
|
|
|||
|
|
@ -1,30 +0,0 @@
|
|||
running ``ib`` gateway in ``docker``
|
||||
------------------------------------
|
||||
We have a config based on the (now defunct)
|
||||
image from "waytrade":
|
||||
|
||||
https://github.com/waytrade/ib-gateway-docker
|
||||
|
||||
To startup this image with our custom settings
|
||||
simply run the command::
|
||||
|
||||
docker compose up
|
||||
|
||||
And you should have the following socket-available services:
|
||||
|
||||
- ``x11vnc1@127.0.0.1:3003``
|
||||
- ``ib-gw@127.0.0.1:4002``
|
||||
|
||||
You can attach to the container via a VNC client
|
||||
without password auth.
|
||||
|
||||
SECURITY STUFF!?!?!
|
||||
-------------------
|
||||
Though "``ib``" claims they host filter connections outside
|
||||
localhost (aka ``127.0.0.1``) it's probably better if you filter
|
||||
the socket at the OS level using a stateless firewall rule::
|
||||
|
||||
ip rule add not unicast iif lo to 0.0.0.0/0 dport 4002
|
||||
|
||||
We will soon have this baked into our own custom image but for
|
||||
now you'll have to do it urself dawgy.
|
||||
|
|
@ -1,64 +0,0 @@
|
|||
# rework from the original @
|
||||
# https://github.com/waytrade/ib-gateway-docker/blob/master/docker-compose.yml
|
||||
version: "3.5"
|
||||
|
||||
services:
|
||||
ib-gateway:
|
||||
# other image tags available:
|
||||
# https://github.com/waytrade/ib-gateway-docker#supported-tags
|
||||
image: waytrade/ib-gateway:981.3j
|
||||
restart: always
|
||||
network_mode: 'host'
|
||||
|
||||
volumes:
|
||||
- type: bind
|
||||
source: ./jts.ini
|
||||
target: /root/Jts/jts.ini
|
||||
# don't let IBC clobber this file for
|
||||
# the main reason of not having a stupid
|
||||
# timezone set..
|
||||
read_only: true
|
||||
|
||||
# force our own IBC config
|
||||
- type: bind
|
||||
source: ./ibc.ini
|
||||
target: /root/ibc/config.ini
|
||||
|
||||
# force our noop script - socat isn't needed in host mode.
|
||||
- type: bind
|
||||
source: ./fork_ports_delayed.sh
|
||||
target: /root/scripts/fork_ports_delayed.sh
|
||||
|
||||
# force our noop script - socat isn't needed in host mode.
|
||||
- type: bind
|
||||
source: ./run_x11_vnc.sh
|
||||
target: /root/scripts/run_x11_vnc.sh
|
||||
read_only: true
|
||||
|
||||
# NOTE:to fill these out, define an `.env` file in the same dir as
|
||||
# this compose file which looks something like:
|
||||
# TWS_USERID='myuser'
|
||||
# TWS_PASSWORD='guest'
|
||||
# TRADING_MODE=paper (or live)
|
||||
# VNC_SERVER_PASSWORD='diggity'
|
||||
|
||||
environment:
|
||||
TWS_USERID: ${TWS_USERID}
|
||||
TWS_PASSWORD: ${TWS_PASSWORD}
|
||||
TRADING_MODE: ${TRADING_MODE:-paper}
|
||||
VNC_SERVER_PASSWORD: ${VNC_SERVER_PASSWORD:-}
|
||||
|
||||
# ports:
|
||||
# - target: 4002
|
||||
# host_ip: 127.0.0.1
|
||||
# published: 4002
|
||||
# protocol: tcp
|
||||
|
||||
# original mappings for use in non-host-mode
|
||||
# which we won't really need going forward since
|
||||
# ideally we just pick the port to have ib-gw listen
|
||||
# on **when** we spawn the container - i.e. everything
|
||||
# will be driven by a ``brokers.toml`` def.
|
||||
# - "127.0.0.1:4001:4001"
|
||||
# - "127.0.0.1:4002:4002"
|
||||
# - "127.0.0.1:5900:5900"
|
||||
|
|
@ -1,6 +0,0 @@
|
|||
#!/bin/sh
|
||||
|
||||
# we now just set this is to a noop script
|
||||
# since we can just run the container in
|
||||
# `network_mode: 'host'` and get literally
|
||||
# the exact same behaviour XD
|
||||
|
|
@ -1,711 +0,0 @@
|
|||
# Note that in the comments in this file, TWS refers to both the Trader
|
||||
# Workstation and the IB Gateway, unless explicitly stated otherwise.
|
||||
#
|
||||
# When referred to below, the default value for a setting is the value
|
||||
# assumed if either the setting is included but no value is specified, or
|
||||
# the setting is not included at all.
|
||||
#
|
||||
# IBC may also be used to start the FIX CTCI Gateway. All settings
|
||||
# relating to this have names prefixed with FIX.
|
||||
#
|
||||
# The IB API Gateway and the FIX CTCI Gateway share the same code. Which
|
||||
# gateway actually runs is governed by an option on the initial gateway
|
||||
# login screen. The FIX setting described under IBC Startup
|
||||
# Settings below controls this.
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 1. IBC Startup Settings
|
||||
# =============================================================================
|
||||
|
||||
|
||||
# IBC may be used to start the IB Gateway for the FIX CTCI. This
|
||||
# setting must be set to 'yes' if you want to run the FIX CTCI gateway. The
|
||||
# default is 'no'.
|
||||
|
||||
FIX=no
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 2. Authentication Settings
|
||||
# =============================================================================
|
||||
|
||||
# TWS and the IB API gateway require a single username and password.
|
||||
# You may specify the username and password using the following settings:
|
||||
#
|
||||
# IbLoginId
|
||||
# IbPassword
|
||||
#
|
||||
# Alternatively, you can specify the username and password in the command
|
||||
# files used to start TWS or the Gateway, but this is not recommended for
|
||||
# security reasons.
|
||||
#
|
||||
# If you don't specify them, you will be prompted for them in the usual
|
||||
# login dialog when TWS starts (but whatever you have specified will be
|
||||
# included in the dialog automatically: for example you may specify the
|
||||
# username but not the password, and then you will be prompted for the
|
||||
# password via the login dialog). Note that if you specify either
|
||||
# the username or the password (or both) in the command file, then
|
||||
# IbLoginId and IbPassword settings defined in this file are ignored.
|
||||
#
|
||||
#
|
||||
# The FIX CTCI gateway requires one username and password for FIX order
|
||||
# routing, and optionally a separate username and password for market
|
||||
# data connections. You may specify the usernames and passwords using
|
||||
# the following settings:
|
||||
#
|
||||
# FIXLoginId
|
||||
# FIXPassword
|
||||
# IbLoginId (optional - for market data connections)
|
||||
# IbPassword (optional - for market data connections)
|
||||
#
|
||||
# Alternatively you can specify the FIX username and password in the
|
||||
# command file used to start the FIX CTCI Gateway, but this is not
|
||||
# recommended for security reasons.
|
||||
#
|
||||
# If you don't specify them, you will be prompted for them in the usual
|
||||
# login dialog when FIX CTCI gateway starts (but whatever you have
|
||||
# specified will be included in the dialog automatically: for example
|
||||
# you may specify the usernames but not the passwords, and then you will
|
||||
# be prompted for the passwords via the login dialog). Note that if you
|
||||
# specify either the FIX username or the FIX password (or both) on the
|
||||
# command line, then FIXLoginId and FIXPassword settings defined in this
|
||||
# file are ignored; he same applies to the market data username and
|
||||
# password.
|
||||
|
||||
# IB API Authentication Settings
|
||||
# ------------------------------
|
||||
|
||||
# Your TWS username:
|
||||
|
||||
IbLoginId=
|
||||
|
||||
|
||||
# Your TWS password:
|
||||
|
||||
IbPassword=
|
||||
|
||||
|
||||
# FIX CTCI Authentication Settings
|
||||
# --------------------------------
|
||||
|
||||
# Your FIX CTCI username:
|
||||
|
||||
FIXLoginId=
|
||||
|
||||
|
||||
# Your FIX CTCI password:
|
||||
|
||||
FIXPassword=
|
||||
|
||||
|
||||
# Second Factor Authentication Settings
|
||||
# -------------------------------------
|
||||
|
||||
# If you have enabled more than one second factor authentication
|
||||
# device, TWS presents a list from which you must select the device
|
||||
# you want to use for this login. You can use this setting to
|
||||
# instruct IBC to select a particular item in the list on your
|
||||
# behalf. Note that you must spell this value exactly as it appears
|
||||
# in the list. If no value is set, you must manually select the
|
||||
# relevant list entry.
|
||||
|
||||
SecondFactorDevice=
|
||||
|
||||
|
||||
# If you use the IBKR Mobile app for second factor authentication,
|
||||
# and you fail to complete the process before the time limit imposed
|
||||
# by IBKR, you can use this setting to tell IBC to exit: arrangements
|
||||
# can then be made to automatically restart IBC in order to initiate
|
||||
# the login sequence afresh. Otherwise, manual intervention at TWS's
|
||||
# Second Factor Authentication dialog is needed to complete the
|
||||
# login.
|
||||
#
|
||||
# Permitted values are 'yes' and 'no'. The default is 'no'.
|
||||
#
|
||||
# Note that the scripts provided with the IBC zips for Windows and
|
||||
# Linux provide options to automatically restart in these
|
||||
# circumstances, but only if this setting is also set to 'yes'.
|
||||
|
||||
ExitAfterSecondFactorAuthenticationTimeout=no
|
||||
|
||||
|
||||
# This setting is only relevant if
|
||||
# ExitAfterSecondFactorAuthenticationTimeout is set to 'yes'.
|
||||
#
|
||||
# It controls how long (in seconds) IBC waits for login to complete
|
||||
# after the user acknowledges the second factor authentication
|
||||
# alert at the IBKR Mobile app. If login has not completed after
|
||||
# this time, IBC terminates.
|
||||
# The default value is 40.
|
||||
|
||||
SecondFactorAuthenticationExitInterval=
|
||||
|
||||
|
||||
# Trading Mode
|
||||
# ------------
|
||||
#
|
||||
# TWS 955 introduced a new Trading Mode combo box on its login
|
||||
# dialog. This indicates whether the live account or the paper
|
||||
# trading account corresponding to the supplied credentials is
|
||||
# to be used. The allowed values are 'live' (the default) and
|
||||
# 'paper'. For earlier versions of TWS this setting has no
|
||||
# effect.
|
||||
|
||||
TradingMode=
|
||||
|
||||
|
||||
# Paper-trading Account Warning
|
||||
# -----------------------------
|
||||
#
|
||||
# Logging in to a paper-trading account results in TWS displaying
|
||||
# a dialog asking the user to confirm that they are aware that this
|
||||
# is not a brokerage account. Until this dialog has been accepted,
|
||||
# TWS will not allow API connections to succeed. Setting this
|
||||
# to 'yes' (the default) will cause IBC to automatically
|
||||
# confirm acceptance. Setting it to 'no' will leave the dialog
|
||||
# on display, and the user will have to deal with it manually.
|
||||
|
||||
AcceptNonBrokerageAccountWarning=yes
|
||||
|
||||
|
||||
# Login Dialog Display Timeout
|
||||
#-----------------------------
|
||||
#
|
||||
# In some circumstances, starting TWS may result in failure to display
|
||||
# the login dialog. Restarting TWS may help to resolve this situation,
|
||||
# and IBC does this automatically.
|
||||
#
|
||||
# This setting controls how long (in seconds) IBC waits for the login
|
||||
# dialog to appear before restarting TWS.
|
||||
#
|
||||
# Note that in normal circumstances with a reasonably specified
|
||||
# computer the time to displaying the login dialog is typically less
|
||||
# than 20 seconds, and frequently much less. However many factors can
|
||||
# influence this, and it is unwise to set this value too low.
|
||||
#
|
||||
# The default value is 60.
|
||||
|
||||
LoginDialogDisplayTimeout = 60
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 3. TWS Startup Settings
|
||||
# =============================================================================
|
||||
|
||||
# Path to settings store
|
||||
# ----------------------
|
||||
#
|
||||
# Path to the directory where TWS should store its settings. This is
|
||||
# normally the folder in which TWS is installed. However you may set
|
||||
# it to some other location if you wish (for example if you want to
|
||||
# run multiple instances of TWS with different settings).
|
||||
#
|
||||
# It is recommended for clarity that you use an absolute path. The
|
||||
# effect of using a relative path is undefined.
|
||||
#
|
||||
# Linux and macOS users should use the appropriate path syntax.
|
||||
#
|
||||
# Note that, for Windows users, you MUST use double separator
|
||||
# characters to separate the elements of the folder path: for
|
||||
# example, IbDir=C:\\IBLiveSettings is valid, but
|
||||
# IbDir=C:\IBLiveSettings is NOT valid and will give unexpected
|
||||
# results. Linux and macOS users need not use double separators,
|
||||
# but they are acceptable.
|
||||
#
|
||||
# The default is the current working directory when IBC is
|
||||
# started.
|
||||
|
||||
IbDir=/root/Jts
|
||||
|
||||
|
||||
# Store settings on server
|
||||
# ------------------------
|
||||
#
|
||||
# If you wish to store a copy of your TWS settings on IB's
|
||||
# servers as well as locally on your computer, set this to
|
||||
# 'yes': this enables you to run TWS on different computers
|
||||
# with the same configuration, market data lines, etc. If set
|
||||
# to 'no', running TWS on different computers will not share the
|
||||
# same settings. If no value is specified, TWS will obtain its
|
||||
# settings from the same place as the last time this user logged
|
||||
# in (whether manually or using IBC).
|
||||
|
||||
StoreSettingsOnServer=
|
||||
|
||||
|
||||
# Minimize TWS on startup
|
||||
# -----------------------
|
||||
#
|
||||
# Set to 'yes' to minimize TWS when it starts:
|
||||
|
||||
MinimizeMainWindow=no
|
||||
|
||||
|
||||
# Existing Session Detected Action
|
||||
# --------------------------------
|
||||
#
|
||||
# When a user logs on to an IBKR account for trading purposes by any means, the
|
||||
# IBKR account server checks to see whether the account is already logged in
|
||||
# elsewhere. If so, a dialog is displayed to both the users that enables them
|
||||
# to determine what happens next. The 'ExistingSessionDetectedAction' setting
|
||||
# instructs TWS how to proceed when it displays this dialog:
|
||||
#
|
||||
# * If the new TWS session is set to 'secondary', the existing session continues
|
||||
# and the new session terminates. Thus a secondary TWS session can never
|
||||
# override any other session.
|
||||
#
|
||||
# * If the existing TWS session is set to 'primary', the existing session
|
||||
# continues and the new session terminates (even if the new session is also
|
||||
# set to primary). Thus a primary TWS session can never be overridden by
|
||||
# any new session).
|
||||
#
|
||||
# * If both the existing and the new TWS sessions are set to 'primaryoverride',
|
||||
# the existing session terminates and the new session proceeds.
|
||||
#
|
||||
# * If the existing TWS session is set to 'manual', the user must handle the
|
||||
# dialog.
|
||||
#
|
||||
# The difference between 'primary' and 'primaryoverride' is that a
|
||||
# 'primaryoverride' session can be overriden over by a new 'primary' session,
|
||||
# but a 'primary' session cannot be overriden by any other session.
|
||||
#
|
||||
# When set to 'primary', if another TWS session is started and manually told to
|
||||
# end the 'primary' session, the 'primary' session is automatically reconnected.
|
||||
#
|
||||
# The default is 'manual'.
|
||||
|
||||
ExistingSessionDetectedAction=primary
|
||||
|
||||
|
||||
# Override TWS API Port Number
|
||||
# ----------------------------
|
||||
#
|
||||
# If OverrideTwsApiPort is set to an integer, IBC changes the
|
||||
# 'Socket port' in TWS's API configuration to that number shortly
|
||||
# after startup. Leaving the setting blank will make no change to
|
||||
# the current setting. This setting is only intended for use in
|
||||
# certain specialized situations where the port number needs to
|
||||
# be set dynamically at run-time: most users will never need it,
|
||||
# so don't use it unless you know you need it.
|
||||
|
||||
OverrideTwsApiPort=4002
|
||||
|
||||
|
||||
# Read-only Login
|
||||
# ---------------
|
||||
#
|
||||
# If ReadOnlyLogin is set to 'yes', and the user is enrolled in IB's
|
||||
# account security programme, the user will not be asked to perform
|
||||
# the second factor authentication action, and login to TWS will
|
||||
# occur automatically in read-only mode: in this mode, placing or
|
||||
# managing orders is not allowed. If set to 'no', and the user is
|
||||
# enrolled in IB's account security programme, the user must perform
|
||||
# the relevant second factor authentication action to complete the
|
||||
# login.
|
||||
|
||||
# If the user is not enrolled in IB's account security programme,
|
||||
# this setting is ignored. The default is 'no'.
|
||||
|
||||
ReadOnlyLogin=no
|
||||
|
||||
|
||||
# Read-only API
|
||||
# -------------
|
||||
#
|
||||
# If ReadOnlyApi is set to 'yes', API programs cannot submit, modify
|
||||
# or cancel orders. If set to 'no', API programs can do these things.
|
||||
# If not set, the existing TWS/Gateway configuration is unchanged.
|
||||
# NB: this setting is really only supplied for the benefit of new TWS
|
||||
# or Gateway instances that are being automatically installed and
|
||||
# started without user intervention (eg Docker containers). Where
|
||||
# a user is involved, they should use the Global Configuration to
|
||||
# set the relevant checkbox (this only needs to be done once) and
|
||||
# not provide a value for this setting.
|
||||
|
||||
ReadOnlyApi=no
|
||||
|
||||
|
||||
# Market data size for US stocks - lots or shares
|
||||
# -----------------------------------------------
|
||||
#
|
||||
# Since IB introduced the option of market data for US stocks showing
|
||||
# bid, ask and last sizes in shares rather than lots, TWS and Gateway
|
||||
# display a dialog immediately after login notifying the user about
|
||||
# this and requiring user input before allowing market data to be
|
||||
# accessed. The user can request that the dialog not be shown again.
|
||||
#
|
||||
# It is recommended that the user should handle this dialog manually
|
||||
# rather than using these settings, which are provided for situations
|
||||
# where the user interface is not easily accessible, or where user
|
||||
# settings are not preserved between sessions (eg some Docker images).
|
||||
#
|
||||
# - If this setting is set to 'accept', the dialog will be handled
|
||||
# automatically and the option to not show it again will be
|
||||
# selected.
|
||||
#
|
||||
# Note that in this case, the only way to allow the dialog to be
|
||||
# displayed again is to manually enable the 'Bid, Ask and Last
|
||||
# Size Display Update' message in the 'Messages' section of the TWS
|
||||
# configuration dialog. So you should only use 'Accept' if you are
|
||||
# sure you really don't want the dialog to be displayed again, or
|
||||
# you have easy access to the user interface.
|
||||
#
|
||||
# - If set to 'defer', the dialog will be handled automatically (so
|
||||
# that market data will start), but the option to not show it again
|
||||
# will not be selected, and it will be shown again after the next
|
||||
# login.
|
||||
#
|
||||
# - If set to 'ignore', the user has to deal with the dialog manually.
|
||||
#
|
||||
# The default value is 'ignore'.
|
||||
#
|
||||
# Note if set to 'accept' or 'defer', TWS also automatically sets
|
||||
# the API settings checkbox labelled 'Send market data in lots for
|
||||
# US stocks for dual-mode API clients'. IBC cannot prevent this.
|
||||
# However you can change this immmediately by setting
|
||||
# SendMarketDataInLotsForUSstocks (see below) to 'no' .
|
||||
|
||||
AcceptBidAskLastSizeDisplayUpdateNotification=accept
|
||||
|
||||
|
||||
# This setting determines whether the API settings checkbox labelled
|
||||
# 'Send market data in lots for US stocks for dual-mode API clients'
|
||||
# is set or cleared. If set to 'yes', the checkbox is set. If set to
|
||||
# 'no' the checkbox is cleared. If defaulted, the checkbox is
|
||||
# unchanged.
|
||||
|
||||
SendMarketDataInLotsForUSstocks=
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 4. TWS Auto-Closedown
|
||||
# =============================================================================
|
||||
#
|
||||
# IMPORTANT NOTE: Starting with TWS 974, this setting no longer
|
||||
# works properly, because IB have changed the way TWS handles its
|
||||
# autologoff mechanism.
|
||||
#
|
||||
# You should now configure the TWS autologoff time to something
|
||||
# convenient for you, and restart IBC each day.
|
||||
#
|
||||
# Alternatively, discontinue use of IBC and use the auto-relogin
|
||||
# mechanism within TWS 974 and later versions (note that the
|
||||
# auto-relogin mechanism provided by IB is not available if you
|
||||
# use IBC).
|
||||
|
||||
# Set to yes or no (lower case).
|
||||
#
|
||||
# yes means allow TWS to shut down automatically at its
|
||||
# specified shutdown time, which is set via the TWS
|
||||
# configuration menu.
|
||||
#
|
||||
# no means TWS never shuts down automatically.
|
||||
#
|
||||
# NB: IB recommends that you do not keep TWS running
|
||||
# continuously. If you set this setting to 'no', you may
|
||||
# experience incorrect TWS operation.
|
||||
#
|
||||
# NB: the default for this setting is 'no'. Since this will
|
||||
# only work properly with TWS versions earlier than 974, you
|
||||
# should explicitly set this to 'yes' for version 974 and later.
|
||||
|
||||
IbAutoClosedown=yes
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 5. TWS Tidy Closedown Time
|
||||
# =============================================================================
|
||||
#
|
||||
# NB: starting with TWS 974 this is no longer a useful option
|
||||
# because both TWS and Gateway now have the same auto-logoff
|
||||
# mechanism, and IBC can no longer avoid this.
|
||||
#
|
||||
# Note that giving this setting a value does not change TWS's
|
||||
# auto-logoff in any way: any setting will be additional to the
|
||||
# TWS auto-logoff.
|
||||
#
|
||||
# To tell IBC to tidily close TWS at a specified time every
|
||||
# day, set this value to <hh:mm>, for example:
|
||||
# ClosedownAt=22:00
|
||||
#
|
||||
# To tell IBC to tidily close TWS at a specified day and time
|
||||
# each week, set this value to <dayOfWeek hh:mm>, for example:
|
||||
# ClosedownAt=Friday 22:00
|
||||
#
|
||||
# Note that the day of the week must be specified using your
|
||||
# default locale. Also note that Java will only accept
|
||||
# characters encoded to ISO 8859-1 (Latin-1). This means that
|
||||
# if the day name in your default locale uses any non-Latin-1
|
||||
# characters you need to encode them using Unicode escapes
|
||||
# (see http://java.sun.com/docs/books/jls/third_edition/html/lexical.html#3.3
|
||||
# for details). For example, to tidily close TWS at 12:00 on
|
||||
# Saturday where the default locale is Simplified Chinese,
|
||||
# use the following:
|
||||
# #ClosedownAt=\u661F\u671F\u516D 12:00
|
||||
|
||||
ClosedownAt=
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 6. Other TWS Settings
|
||||
# =============================================================================
|
||||
|
||||
# Accept Incoming Connection
|
||||
# --------------------------
|
||||
#
|
||||
# If set to 'accept', IBC automatically accepts incoming
|
||||
# API connection dialogs. If set to 'reject', IBC
|
||||
# automatically rejects incoming API connection dialogs. If
|
||||
# set to 'manual', the user must decide whether to accept or reject
|
||||
# incoming API connection dialogs. The default is 'manual'.
|
||||
# NB: it is recommended to set this to 'reject', and to explicitly
|
||||
# configure which IP addresses can connect to the API in TWS's API
|
||||
# configuration page, as this is much more secure (in this case, no
|
||||
# incoming API connection dialogs will occur for those IP addresses).
|
||||
|
||||
AcceptIncomingConnectionAction=reject
|
||||
|
||||
|
||||
# Allow Blind Trading
|
||||
# -------------------
|
||||
#
|
||||
# If you attempt to place an order for a contract for which
|
||||
# you have no market data subscription, TWS displays a dialog
|
||||
# to warn you against such blind trading.
|
||||
#
|
||||
# yes means the dialog is dismissed as though the user had
|
||||
# clicked the 'Ok' button: this means that you accept
|
||||
# the risk and want the order to be submitted.
|
||||
#
|
||||
# no means the dialog remains on display and must be
|
||||
# handled by the user.
|
||||
|
||||
AllowBlindTrading=yes
|
||||
|
||||
|
||||
# Save Settings on a Schedule
|
||||
# ---------------------------
|
||||
#
|
||||
# You can tell TWS to automatically save its settings on a schedule
|
||||
# of your choosing. You can specify one or more specific times,
|
||||
# like this:
|
||||
#
|
||||
# SaveTwsSettingsAt=HH:MM [ HH:MM]...
|
||||
#
|
||||
# for example:
|
||||
# SaveTwsSettingsAt=08:00 12:30 17:30
|
||||
#
|
||||
# Or you can specify an interval at which settings are to be saved,
|
||||
# optionally starting at a specific time and continuing until another
|
||||
# time, like this:
|
||||
#
|
||||
#SaveTwsSettingsAt=Every n [{mins | hours}] [hh:mm] [hh:mm]
|
||||
#
|
||||
# where the first hh:mm is the start time and the second is the end
|
||||
# time. If you don't specify the end time, settings are saved regularly
|
||||
# from the start time till midnight. If you don't specify the start time.
|
||||
# settings are saved regularly all day, beginning at 00:00. Note that
|
||||
# settings will always be saved at the end time, even if that is not
|
||||
# exactly one interval later than the previous time. If neither 'mins'
|
||||
# nor 'hours' is specified, 'mins' is assumed. Examples:
|
||||
#
|
||||
# To save every 30 minutes all day starting at 00:00
|
||||
#SaveTwsSettingsAt=Every 30
|
||||
#SaveTwsSettingsAt=Every 30 mins
|
||||
#
|
||||
# To save every hour starting at 08:00 and ending at midnight
|
||||
#SaveTwsSettingsAt=Every 1 hours 08:00
|
||||
#SaveTwsSettingsAt=Every 1 hours 08:00 00:00
|
||||
#
|
||||
# To save every 90 minutes starting at 08:00 up to and including 17:43
|
||||
#SaveTwsSettingsAt=Every 90 08:00 17:43
|
||||
|
||||
SaveTwsSettingsAt=
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 7. Settings Specific to Indian Versions of TWS
|
||||
# =============================================================================
|
||||
|
||||
# Indian versions of TWS may display a password expiry
|
||||
# notification dialog and a NSE Compliance dialog. These can be
|
||||
# dismissed by setting the following to yes. By default the
|
||||
# password expiry notice is not dismissed, but the NSE Compliance
|
||||
# notice is dismissed.
|
||||
|
||||
# Warning: setting DismissPasswordExpiryWarning=yes will mean
|
||||
# you will not be notified when your password is about to expire.
|
||||
# You must then take other measures to ensure that your password
|
||||
# is changed within the expiry period, otherwise IBC will
|
||||
# not be able to login successfully.
|
||||
|
||||
DismissPasswordExpiryWarning=no
|
||||
DismissNSEComplianceNotice=yes
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 8. IBC Command Server Settings
|
||||
# =============================================================================
|
||||
|
||||
# Do NOT CHANGE THE FOLLOWING SETTINGS unless you
|
||||
# intend to issue commands to IBC (for example
|
||||
# using telnet). Note that these settings have nothing to
|
||||
# do with running programs that use the TWS API.
|
||||
|
||||
# Command Server Port Number
|
||||
# --------------------------
|
||||
#
|
||||
# The port number that IBC listens on for commands
|
||||
# such as "STOP". DO NOT set this to the port number
|
||||
# used for TWS API connections. There is no good reason
|
||||
# to change this setting unless the port is used by
|
||||
# some other application (typically another instance of
|
||||
# IBC). The default value is 0, which tells IBC not to
|
||||
# start the command server
|
||||
|
||||
#CommandServerPort=7462
|
||||
|
||||
|
||||
# Permitted Command Sources
|
||||
# -------------------------
|
||||
#
|
||||
# A comma separated list of IP addresses, or host names,
|
||||
# which are allowed addresses for sending commands to
|
||||
# IBC. Commands can always be sent from the
|
||||
# same host as IBC is running on.
|
||||
|
||||
ControlFrom=127.0.0.1
|
||||
|
||||
|
||||
# Address for Receiving Commands
|
||||
# ------------------------------
|
||||
#
|
||||
# Specifies the IP address on which the Command Server
|
||||
# is so listen. For a multi-homed host, this can be used
|
||||
# to specify that connection requests are only to be
|
||||
# accepted on the specified address. The default is to
|
||||
# accept connection requests on all local addresses.
|
||||
|
||||
BindAddress=127.0.0.1
|
||||
|
||||
|
||||
# Command Prompt
|
||||
# --------------
|
||||
#
|
||||
# The specified string is output by the server when
|
||||
# the connection is first opened and after the completion
|
||||
# of each command. This can be useful if sending commands
|
||||
# using an interactive program such as telnet. The default
|
||||
# is that no prompt is output.
|
||||
# For example:
|
||||
#
|
||||
# CommandPrompt=>
|
||||
|
||||
CommandPrompt=
|
||||
|
||||
|
||||
# Suppress Command Server Info Messages
|
||||
# -------------------------------------
|
||||
#
|
||||
# Some commands can return intermediate information about
|
||||
# their progress. This setting controls whether such
|
||||
# information is sent. The default is that such information
|
||||
# is not sent.
|
||||
|
||||
SuppressInfoMessages=no
|
||||
|
||||
|
||||
|
||||
# =============================================================================
|
||||
# 9. Diagnostic Settings
|
||||
# =============================================================================
|
||||
#
|
||||
# IBC can log information about the structure of windows
|
||||
# displayed by TWS. This information is useful when adding
|
||||
# new features to IBC or when behaviour is not as expected.
|
||||
#
|
||||
# The logged information shows the hierarchical organisation
|
||||
# of all the components of the window, and includes the
|
||||
# current values of text boxes and labels.
|
||||
#
|
||||
# Note that this structure logging has a small performance
|
||||
# impact, and depending on the settings can cause the logfile
|
||||
# size to be significantly increased. It is therefore
|
||||
# recommended that the LogStructureWhen setting be set to
|
||||
# 'never' (the default) unless there is a specific reason
|
||||
# that this information is needed.
|
||||
|
||||
|
||||
# Scope of Structure Logging
|
||||
# --------------------------
|
||||
#
|
||||
# The LogStructureScope setting indicates which windows are
|
||||
# eligible for structure logging:
|
||||
#
|
||||
# - if set to 'known', only windows that IBC recognizes
|
||||
# are eligible - these are windows that IBC has some
|
||||
# interest in monitoring, usually to take some action
|
||||
# on the user's behalf;
|
||||
#
|
||||
# - if set to 'unknown', only windows that IBC does not
|
||||
# recognize are eligible. Most windows displayed by
|
||||
# TWS fall into this category;
|
||||
#
|
||||
# - if set to 'untitled', only windows that IBC does not
|
||||
# recognize and that have no title are eligible. These
|
||||
# are usually message boxes or similar small windows,
|
||||
#
|
||||
# - if set to 'all', then every window displayed by TWS
|
||||
# is eligible.
|
||||
#
|
||||
# The default value is 'known'.
|
||||
|
||||
LogStructureScope=all
|
||||
|
||||
|
||||
# When to Log Window Structure
|
||||
# ----------------------------
|
||||
#
|
||||
# The LogStructureWhen setting specifies the circumstances
|
||||
# when eligible TWS windows have their structure logged:
|
||||
#
|
||||
# - if set to 'open' or 'yes' or 'true', IBC logs the
|
||||
# structure of an eligible window the first time it
|
||||
# is encountered;
|
||||
#
|
||||
# - if set to 'activate', the structure is logged every
|
||||
# time an eligible window is made active;
|
||||
#
|
||||
# - if set to 'never' or 'no' or 'false', structure
|
||||
# information is never logged.
|
||||
#
|
||||
# The default value is 'never'.
|
||||
|
||||
LogStructureWhen=never
|
||||
|
||||
|
||||
# DEPRECATED SETTING
|
||||
# ------------------
|
||||
#
|
||||
# LogComponents - THIS SETTING WILL BE REMOVED IN A FUTURE
|
||||
# RELEASE
|
||||
#
|
||||
# If LogComponents is set to any value, this is equivalent
|
||||
# to setting LogStructureWhen to that same value and
|
||||
# LogStructureScope to 'all': the actual values of those
|
||||
# settings are ignored. The default is that the values
|
||||
# of LogStructureScope and LogStructureWhen are honoured.
|
||||
|
||||
#LogComponents=
|
||||
|
||||
|
||||
|
||||
|
|
@ -1,33 +0,0 @@
|
|||
[IBGateway]
|
||||
ApiOnly=true
|
||||
LocalServerPort=4002
|
||||
# NOTE: must be set if using IBC's "reject" mode
|
||||
TrustedIPs=127.0.0.1
|
||||
; RemoteHostOrderRouting=ndc1.ibllc.com
|
||||
; WriteDebug=true
|
||||
; RemotePortOrderRouting=4001
|
||||
; useRemoteSettings=false
|
||||
; tradingMode=p
|
||||
; Steps=8
|
||||
; colorPalletName=dark
|
||||
|
||||
# window geo, this may be useful for sending `xdotool` commands?
|
||||
; MainWindow.Width=1986
|
||||
; screenHeight=3960
|
||||
|
||||
|
||||
[Logon]
|
||||
Locale=en
|
||||
# most markets are oriented around this zone
|
||||
# so might as well hard code it.
|
||||
TimeZone=America/New_York
|
||||
UseSSL=true
|
||||
displayedproxymsg=1
|
||||
os_titlebar=true
|
||||
s3store=true
|
||||
useRemoteSettings=false
|
||||
|
||||
[Communication]
|
||||
ctciAutoEncrypt=true
|
||||
Region=usr
|
||||
; Peer=cdc1.ibllc.com:4001
|
||||
|
|
@ -1,16 +0,0 @@
|
|||
#!/bin/sh
|
||||
|
||||
# start VNC server
|
||||
x11vnc \
|
||||
-ncache_cr \
|
||||
-listen localhost \
|
||||
-display :1 \
|
||||
-forever \
|
||||
-shared \
|
||||
-logappend /var/log/x11vnc.log \
|
||||
-bg \
|
||||
-noipv6 \
|
||||
-autoport 3003 \
|
||||
# can't use this because of ``asyncvnc`` issue:
|
||||
# https://github.com/barneygale/asyncvnc/issues/1
|
||||
# -passwd 'ibcansmbz'
|
||||
|
|
@ -18,3 +18,10 @@
|
|||
piker: trading gear for hackers.
|
||||
|
||||
"""
|
||||
import msgpack # noqa
|
||||
|
||||
# TODO: remove this now right?
|
||||
import msgpack_numpy
|
||||
|
||||
# patch msgpack for numpy arrays
|
||||
msgpack_numpy.patch()
|
||||
|
|
|
|||
168
piker/_daemon.py
168
piker/_daemon.py
|
|
@ -19,7 +19,7 @@ Structured, daemon tree service management.
|
|||
|
||||
"""
|
||||
from typing import Optional, Union, Callable, Any
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from contextlib import asynccontextmanager
|
||||
from collections import defaultdict
|
||||
|
||||
from pydantic import BaseModel
|
||||
|
|
@ -34,11 +34,9 @@ from .brokers import get_brokermod
|
|||
log = get_logger(__name__)
|
||||
|
||||
_root_dname = 'pikerd'
|
||||
|
||||
_registry_addr = ('127.0.0.1', 6116)
|
||||
_tractor_kwargs: dict[str, Any] = {
|
||||
# use a different registry addr then tractor's default
|
||||
'arbiter_addr': _registry_addr
|
||||
'arbiter_addr': ('127.0.0.1', 6116),
|
||||
}
|
||||
_root_modules = [
|
||||
__name__,
|
||||
|
|
@ -80,6 +78,7 @@ class Services(BaseModel):
|
|||
) -> Any:
|
||||
|
||||
with trio.CancelScope() as cs:
|
||||
|
||||
async with portal.open_context(
|
||||
target,
|
||||
**kwargs,
|
||||
|
|
@ -88,21 +87,19 @@ class Services(BaseModel):
|
|||
|
||||
# unblock once the remote context has started
|
||||
task_status.started((cs, first))
|
||||
log.info(
|
||||
f'`pikerd` service {name} started with value {first}'
|
||||
)
|
||||
try:
|
||||
|
||||
# wait on any context's return value
|
||||
ctx_res = await ctx.result()
|
||||
except tractor.ContextCancelled:
|
||||
return await self.cancel_service(name)
|
||||
else:
|
||||
log.info(
|
||||
f'`pikerd` service {name} started with value {ctx_res}'
|
||||
)
|
||||
|
||||
# wait on any error from the sub-actor
|
||||
# NOTE: this will block indefinitely until
|
||||
# cancelled either by error from the target
|
||||
# context function or by being cancelled here by
|
||||
# the surrounding cancel scope
|
||||
return (await portal.result(), ctx_res)
|
||||
# NOTE: this will block indefinitely until cancelled
|
||||
# either by error from the target context function or
|
||||
# by being cancelled here by the surroundingn cancel
|
||||
# scope
|
||||
return await (portal.result(), ctx_res)
|
||||
|
||||
cs, first = await self.service_n.start(open_context_in_task)
|
||||
|
||||
|
|
@ -112,17 +109,14 @@ class Services(BaseModel):
|
|||
|
||||
return cs, first
|
||||
|
||||
# TODO: per service cancellation by scope, we aren't using this
|
||||
# anywhere right?
|
||||
async def cancel_service(
|
||||
self,
|
||||
name: str,
|
||||
|
||||
) -> Any:
|
||||
|
||||
log.info(f'Cancelling `pikerd` service {name}')
|
||||
cs, portal = self.service_tasks[name]
|
||||
# XXX: not entirely sure why this is required,
|
||||
# and should probably be better fine tuned in
|
||||
# ``tractor``?
|
||||
cs.cancel()
|
||||
return await portal.cancel_actor()
|
||||
|
||||
|
|
@ -130,7 +124,7 @@ class Services(BaseModel):
|
|||
_services: Optional[Services] = None
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def open_pikerd(
|
||||
start_method: str = 'trio',
|
||||
loglevel: Optional[str] = None,
|
||||
|
|
@ -156,7 +150,7 @@ async def open_pikerd(
|
|||
tractor.open_root_actor(
|
||||
|
||||
# passed through to ``open_root_actor``
|
||||
arbiter_addr=_registry_addr,
|
||||
arbiter_addr=_tractor_kwargs['arbiter_addr'],
|
||||
name=_root_dname,
|
||||
loglevel=loglevel,
|
||||
debug_mode=debug_mode,
|
||||
|
|
@ -185,48 +179,7 @@ async def open_pikerd(
|
|||
yield _services
|
||||
|
||||
|
||||
@acm
|
||||
async def open_piker_runtime(
|
||||
name: str,
|
||||
enable_modules: list[str] = [],
|
||||
start_method: str = 'trio',
|
||||
loglevel: Optional[str] = None,
|
||||
|
||||
# XXX: you should pretty much never want debug mode
|
||||
# for data daemons when running in production.
|
||||
debug_mode: bool = False,
|
||||
|
||||
) -> Optional[tractor._portal.Portal]:
|
||||
'''
|
||||
Start a piker actor who's runtime will automatically
|
||||
sync with existing piker actors in local network
|
||||
based on configuration.
|
||||
|
||||
'''
|
||||
global _services
|
||||
assert _services is None
|
||||
|
||||
# XXX: this may open a root actor as well
|
||||
async with (
|
||||
tractor.open_root_actor(
|
||||
|
||||
# passed through to ``open_root_actor``
|
||||
arbiter_addr=_registry_addr,
|
||||
name=name,
|
||||
loglevel=loglevel,
|
||||
debug_mode=debug_mode,
|
||||
start_method=start_method,
|
||||
|
||||
# TODO: eventually we should be able to avoid
|
||||
# having the root have more then permissions to
|
||||
# spawn other specialized daemons I think?
|
||||
enable_modules=_root_modules,
|
||||
) as _,
|
||||
):
|
||||
yield tractor.current_actor()
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def maybe_open_runtime(
|
||||
loglevel: Optional[str] = None,
|
||||
**kwargs,
|
||||
|
|
@ -249,7 +202,7 @@ async def maybe_open_runtime(
|
|||
yield
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def maybe_open_pikerd(
|
||||
loglevel: Optional[str] = None,
|
||||
**kwargs,
|
||||
|
|
@ -300,36 +253,7 @@ class Brokerd:
|
|||
locks = defaultdict(trio.Lock)
|
||||
|
||||
|
||||
@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
|
||||
@asynccontextmanager
|
||||
async def maybe_spawn_daemon(
|
||||
|
||||
service_name: str,
|
||||
|
|
@ -339,7 +263,7 @@ 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.
|
||||
|
||||
|
|
@ -350,7 +274,7 @@ async def maybe_spawn_daemon(
|
|||
This can be seen as a service starting api for remote-actor
|
||||
clients.
|
||||
|
||||
'''
|
||||
"""
|
||||
if loglevel:
|
||||
get_console_log(loglevel)
|
||||
|
||||
|
|
@ -359,14 +283,13 @@ async def maybe_spawn_daemon(
|
|||
lock = Brokerd.locks[service_name]
|
||||
await lock.acquire()
|
||||
|
||||
async with find_service(service_name) as portal:
|
||||
# attach to existing daemon by name if possible
|
||||
async with tractor.find_actor(service_name) as portal:
|
||||
if portal is not None:
|
||||
lock.release()
|
||||
yield portal
|
||||
return
|
||||
|
||||
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
|
||||
# process tree
|
||||
|
|
@ -402,7 +325,6 @@ async def maybe_spawn_daemon(
|
|||
async with tractor.wait_for_actor(service_name) as portal:
|
||||
lock.release()
|
||||
yield portal
|
||||
await portal.cancel_actor()
|
||||
|
||||
|
||||
async def spawn_brokerd(
|
||||
|
|
@ -426,19 +348,9 @@ async def spawn_brokerd(
|
|||
|
||||
# ask `pikerd` to spawn a new sub-actor and manage it under its
|
||||
# actor nursery
|
||||
modpath = brokermod.__name__
|
||||
broker_enable = [modpath]
|
||||
for submodname in getattr(
|
||||
brokermod,
|
||||
'__enable_modules__',
|
||||
[],
|
||||
):
|
||||
subpath = f'{modpath}.{submodname}'
|
||||
broker_enable.append(subpath)
|
||||
|
||||
portal = await _services.actor_n.start_actor(
|
||||
dname,
|
||||
enable_modules=_data_mods + broker_enable,
|
||||
enable_modules=_data_mods + [brokermod.__name__],
|
||||
loglevel=loglevel,
|
||||
debug_mode=_services.debug_mode,
|
||||
**tractor_kwargs
|
||||
|
|
@ -456,7 +368,7 @@ async def spawn_brokerd(
|
|||
return True
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def maybe_spawn_brokerd(
|
||||
|
||||
brokername: str,
|
||||
|
|
@ -464,9 +376,7 @@ async def maybe_spawn_brokerd(
|
|||
**kwargs,
|
||||
|
||||
) -> tractor.Portal:
|
||||
'''
|
||||
Helper to spawn a brokerd service *from* a client
|
||||
who wishes to use the sub-actor-daemon.
|
||||
'''Helper to spawn a brokerd service.
|
||||
|
||||
'''
|
||||
async with maybe_spawn_daemon(
|
||||
|
|
@ -518,7 +428,7 @@ async def spawn_emsd(
|
|||
return True
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def maybe_open_emsd(
|
||||
|
||||
brokername: str,
|
||||
|
|
@ -537,25 +447,3 @@ async def maybe_open_emsd(
|
|||
|
||||
) as portal:
|
||||
yield portal
|
||||
|
||||
|
||||
# TODO: ideally we can start the tsdb "on demand" but it's
|
||||
# probably going to require "rootless" docker, at least if we don't
|
||||
# want to expect the user to start ``pikerd`` with root perms all the
|
||||
# time.
|
||||
# async def maybe_open_marketstored(
|
||||
# loglevel: Optional[str] = None,
|
||||
# **kwargs,
|
||||
|
||||
# ) -> tractor._portal.Portal: # noqa
|
||||
|
||||
# async with maybe_spawn_daemon(
|
||||
|
||||
# 'marketstored',
|
||||
# service_task_target=spawn_emsd,
|
||||
# spawn_args={'loglevel': loglevel},
|
||||
# loglevel=loglevel,
|
||||
# **kwargs,
|
||||
|
||||
# ) as portal:
|
||||
# yield portal
|
||||
|
|
|
|||
|
|
@ -21,10 +21,7 @@ Profiling wrappers for internal libs.
|
|||
import time
|
||||
from functools import wraps
|
||||
|
||||
# NOTE: you can pass a flag to enable this:
|
||||
# ``piker chart <args> --profile``.
|
||||
_pg_profile: bool = False
|
||||
ms_slower_then: float = 0
|
||||
_pg_profile: bool = True
|
||||
|
||||
|
||||
def pg_profile_enabled() -> bool:
|
||||
|
|
|
|||
|
|
@ -33,49 +33,13 @@ class SymbolNotFound(BrokerError):
|
|||
|
||||
|
||||
class NoData(BrokerError):
|
||||
'''
|
||||
Symbol data not permitted or no data
|
||||
for time range found.
|
||||
|
||||
'''
|
||||
def __init__(
|
||||
self,
|
||||
*args,
|
||||
frame_size: int = 1000,
|
||||
|
||||
) -> None:
|
||||
super().__init__(*args)
|
||||
|
||||
# when raised, machinery can check if the backend
|
||||
# set a "frame size" for doing datetime calcs.
|
||||
self.frame_size: int = 1000
|
||||
|
||||
|
||||
class DataUnavailable(BrokerError):
|
||||
'''
|
||||
Signal storage requests to terminate.
|
||||
|
||||
'''
|
||||
# TODO: add in a reason that can be displayed in the
|
||||
# UI (for eg. `kraken` is bs and you should complain
|
||||
# to them that you can't pull more OHLC data..)
|
||||
|
||||
|
||||
class DataThrottle(BrokerError):
|
||||
'''
|
||||
Broker throttled request rate for data.
|
||||
|
||||
'''
|
||||
# TODO: add in throttle metrics/feedback
|
||||
|
||||
"Symbol data not permitted"
|
||||
|
||||
|
||||
def resproc(
|
||||
resp: asks.response_objects.Response,
|
||||
log: logging.Logger,
|
||||
return_json: bool = True,
|
||||
log_resp: bool = False,
|
||||
|
||||
return_json: bool = True
|
||||
) -> asks.response_objects.Response:
|
||||
"""Process response and return its json content.
|
||||
|
||||
|
|
@ -84,12 +48,11 @@ def resproc(
|
|||
if not resp.status_code == 200:
|
||||
raise BrokerError(resp.body)
|
||||
try:
|
||||
msg = resp.json()
|
||||
json = resp.json()
|
||||
except json.decoder.JSONDecodeError:
|
||||
log.exception(f"Failed to process {resp}:\n{resp.text}")
|
||||
raise BrokerError(resp.text)
|
||||
else:
|
||||
log.debug(f"Received json contents:\n{colorize_json(json)}")
|
||||
|
||||
if log_resp:
|
||||
log.debug(f"Received json contents:\n{colorize_json(msg)}")
|
||||
|
||||
return msg if return_json else resp
|
||||
return json if return_json else resp
|
||||
|
|
|
|||
|
|
@ -18,17 +18,13 @@
|
|||
Binance backend
|
||||
|
||||
"""
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from typing import (
|
||||
Any, Union, Optional,
|
||||
AsyncGenerator, Callable,
|
||||
)
|
||||
from contextlib import asynccontextmanager
|
||||
from typing import List, Dict, Any, Tuple, Union, Optional, AsyncGenerator
|
||||
import time
|
||||
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
import pendulum
|
||||
import arrow
|
||||
import asks
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
|
|
@ -92,7 +88,7 @@ class Pair(BaseModel):
|
|||
baseCommissionPrecision: int
|
||||
quoteCommissionPrecision: int
|
||||
|
||||
orderTypes: list[str]
|
||||
orderTypes: List[str]
|
||||
|
||||
icebergAllowed: bool
|
||||
ocoAllowed: bool
|
||||
|
|
@ -100,8 +96,8 @@ class Pair(BaseModel):
|
|||
isSpotTradingAllowed: bool
|
||||
isMarginTradingAllowed: bool
|
||||
|
||||
filters: list[dict[str, Union[str, int, float]]]
|
||||
permissions: list[str]
|
||||
filters: List[Dict[str, Union[str, int, float]]]
|
||||
permissions: List[str]
|
||||
|
||||
|
||||
@dataclass
|
||||
|
|
@ -133,7 +129,7 @@ class OHLC:
|
|||
bar_wap: float = 0.0
|
||||
|
||||
|
||||
# convert datetime obj timestamp to unixtime in milliseconds
|
||||
# convert arrow timestamp to unixtime in miliseconds
|
||||
def binance_timestamp(when):
|
||||
return int((when.timestamp() * 1000) + (when.microsecond / 1000))
|
||||
|
||||
|
|
@ -149,7 +145,7 @@ class Client:
|
|||
self,
|
||||
method: str,
|
||||
params: dict,
|
||||
) -> dict[str, Any]:
|
||||
) -> Dict[str, Any]:
|
||||
resp = await self._sesh.get(
|
||||
path=f'/api/v3/{method}',
|
||||
params=params,
|
||||
|
|
@ -204,7 +200,7 @@ class Client:
|
|||
self,
|
||||
pattern: str,
|
||||
limit: int = None,
|
||||
) -> dict[str, Any]:
|
||||
) -> Dict[str, Any]:
|
||||
if self._pairs is not None:
|
||||
data = self._pairs
|
||||
else:
|
||||
|
|
@ -222,22 +218,20 @@ class Client:
|
|||
async def bars(
|
||||
self,
|
||||
symbol: str,
|
||||
start_dt: Optional[datetime] = None,
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_time: int = None,
|
||||
end_time: int = None,
|
||||
limit: int = 1000, # <- max allowed per query
|
||||
as_np: bool = True,
|
||||
|
||||
) -> dict:
|
||||
|
||||
if end_dt is None:
|
||||
end_dt = pendulum.now('UTC')
|
||||
if start_time is None:
|
||||
start_time = binance_timestamp(
|
||||
arrow.utcnow().floor('minute').shift(minutes=-limit)
|
||||
)
|
||||
|
||||
if start_dt is None:
|
||||
start_dt = end_dt.start_of(
|
||||
'minute').subtract(minutes=limit)
|
||||
|
||||
start_time = binance_timestamp(start_dt)
|
||||
end_time = binance_timestamp(end_dt)
|
||||
if end_time is None:
|
||||
end_time = binance_timestamp(arrow.utcnow())
|
||||
|
||||
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
|
||||
bars = await self._api(
|
||||
|
|
@ -279,7 +273,7 @@ class Client:
|
|||
return array
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def get_client() -> Client:
|
||||
client = Client()
|
||||
await client.cache_symbols()
|
||||
|
|
@ -359,7 +353,7 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
|
|||
}
|
||||
|
||||
|
||||
def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
|
||||
def make_sub(pairs: List[str], sub_name: str, uid: int) -> Dict[str, str]:
|
||||
"""Create a request subscription packet dict.
|
||||
|
||||
https://binance-docs.github.io/apidocs/spot/en/#live-subscribing-unsubscribing-to-streams
|
||||
|
|
@ -374,37 +368,6 @@ def make_sub(pairs: list[str], sub_name: str, uid: int) -> dict[str, str]:
|
|||
}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
|
||||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('binance') as client:
|
||||
|
||||
async def get_ohlc(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
datetime, # start
|
||||
datetime, # end
|
||||
]:
|
||||
|
||||
array = await client.bars(
|
||||
symbol,
|
||||
start_dt=start_dt,
|
||||
end_dt=end_dt,
|
||||
)
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
return array, start_dt, end_dt
|
||||
|
||||
yield get_ohlc, {'erlangs': 3, 'rate': 3}
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
sym: str,
|
||||
shm: ShmArray, # type: ignore # noqa
|
||||
|
|
@ -422,12 +385,13 @@ async def backfill_bars(
|
|||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
symbols: List[str],
|
||||
shm: ShmArray,
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
|
|
@ -452,8 +416,8 @@ async def stream_quotes(
|
|||
|
||||
# XXX: after manually inspecting the response format we
|
||||
# just directly pick out the info we need
|
||||
si['price_tick_size'] = float(syminfo.filters[0]['tickSize'])
|
||||
si['lot_tick_size'] = float(syminfo.filters[2]['stepSize'])
|
||||
si['price_tick_size'] = syminfo.filters[0]['tickSize']
|
||||
si['lot_tick_size'] = syminfo.filters[2]['stepSize']
|
||||
si['asset_type'] = 'crypto'
|
||||
|
||||
symbol = symbols[0]
|
||||
|
|
@ -464,11 +428,10 @@ async def stream_quotes(
|
|||
symbol: {
|
||||
'symbol_info': sym_infos[sym],
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
},
|
||||
}
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def subscribe(ws: wsproto.WSConnection):
|
||||
# setup subs
|
||||
|
||||
|
|
@ -518,7 +481,8 @@ async def stream_quotes(
|
|||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, quote = await msg_gen.__anext__()
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
first_quote = {quote['symbol'].lower(): quote}
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# signal to caller feed is ready for consumption
|
||||
feed_is_live.set()
|
||||
|
|
|
|||
|
|
@ -23,6 +23,7 @@ from operator import attrgetter
|
|||
from operator import itemgetter
|
||||
|
||||
import click
|
||||
import pandas as pd
|
||||
import trio
|
||||
import tractor
|
||||
|
||||
|
|
@ -46,10 +47,8 @@ _watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
|
|||
@click.argument('kwargs', nargs=-1)
|
||||
@click.pass_obj
|
||||
def api(config, meth, kwargs, keys):
|
||||
'''
|
||||
Make a broker-client API method call
|
||||
|
||||
'''
|
||||
"""Make a broker-client API method call
|
||||
"""
|
||||
# global opts
|
||||
broker = config['brokers'][0]
|
||||
|
||||
|
|
@ -80,13 +79,13 @@ def api(config, meth, kwargs, keys):
|
|||
|
||||
|
||||
@cli.command()
|
||||
@click.option('--df-output', '-df', flag_value=True,
|
||||
help='Output in `pandas.DataFrame` format')
|
||||
@click.argument('tickers', nargs=-1, required=True)
|
||||
@click.pass_obj
|
||||
def quote(config, tickers):
|
||||
'''
|
||||
Print symbol quotes to the console
|
||||
|
||||
'''
|
||||
def quote(config, tickers, df_output):
|
||||
"""Print symbol quotes to the console
|
||||
"""
|
||||
# global opts
|
||||
brokermod = config['brokermods'][0]
|
||||
|
||||
|
|
@ -101,19 +100,28 @@ def quote(config, tickers):
|
|||
if ticker not in syms:
|
||||
brokermod.log.warn(f"Could not find symbol {ticker}?")
|
||||
|
||||
if df_output:
|
||||
cols = next(filter(bool, quotes)).copy()
|
||||
cols.pop('symbol')
|
||||
df = pd.DataFrame(
|
||||
(quote or {} for quote in quotes),
|
||||
columns=cols,
|
||||
)
|
||||
click.echo(df)
|
||||
else:
|
||||
click.echo(colorize_json(quotes))
|
||||
|
||||
|
||||
@cli.command()
|
||||
@click.option('--df-output', '-df', flag_value=True,
|
||||
help='Output in `pandas.DataFrame` format')
|
||||
@click.option('--count', '-c', default=1000,
|
||||
help='Number of bars to retrieve')
|
||||
@click.argument('symbol', required=True)
|
||||
@click.pass_obj
|
||||
def bars(config, symbol, count):
|
||||
'''
|
||||
Retreive 1m bars for symbol and print on the console
|
||||
|
||||
'''
|
||||
def bars(config, symbol, count, df_output):
|
||||
"""Retreive 1m bars for symbol and print on the console
|
||||
"""
|
||||
# global opts
|
||||
brokermod = config['brokermods'][0]
|
||||
|
||||
|
|
@ -125,7 +133,7 @@ def bars(config, symbol, count):
|
|||
brokermod,
|
||||
symbol,
|
||||
count=count,
|
||||
as_np=False,
|
||||
as_np=df_output
|
||||
)
|
||||
)
|
||||
|
||||
|
|
@ -133,6 +141,9 @@ def bars(config, symbol, count):
|
|||
log.error(f"No quotes could be found for {symbol}?")
|
||||
return
|
||||
|
||||
if df_output:
|
||||
click.echo(pd.DataFrame(bars))
|
||||
else:
|
||||
click.echo(colorize_json(bars))
|
||||
|
||||
|
||||
|
|
@ -145,10 +156,8 @@ def bars(config, symbol, count):
|
|||
@click.argument('name', nargs=1, required=True)
|
||||
@click.pass_obj
|
||||
def record(config, rate, name, dhost, filename):
|
||||
'''
|
||||
Record client side quotes to a file on disk
|
||||
|
||||
'''
|
||||
"""Record client side quotes to a file on disk
|
||||
"""
|
||||
# global opts
|
||||
brokermod = config['brokermods'][0]
|
||||
loglevel = config['loglevel']
|
||||
|
|
@ -186,10 +195,8 @@ def record(config, rate, name, dhost, filename):
|
|||
@click.argument('symbol', required=True)
|
||||
@click.pass_context
|
||||
def contracts(ctx, loglevel, broker, symbol, ids):
|
||||
'''
|
||||
Get list of all option contracts for symbol
|
||||
|
||||
'''
|
||||
"""Get list of all option contracts for symbol
|
||||
"""
|
||||
brokermod = get_brokermod(broker)
|
||||
get_console_log(loglevel)
|
||||
|
||||
|
|
@ -206,14 +213,14 @@ def contracts(ctx, loglevel, broker, symbol, ids):
|
|||
|
||||
|
||||
@cli.command()
|
||||
@click.option('--df-output', '-df', flag_value=True,
|
||||
help='Output in `pandas.DataFrame` format')
|
||||
@click.option('--date', '-d', help='Contracts expiry date')
|
||||
@click.argument('symbol', required=True)
|
||||
@click.pass_obj
|
||||
def optsquote(config, symbol, date):
|
||||
'''
|
||||
Retreive symbol option quotes on the console
|
||||
|
||||
'''
|
||||
def optsquote(config, symbol, df_output, date):
|
||||
"""Retreive symbol option quotes on the console
|
||||
"""
|
||||
# global opts
|
||||
brokermod = config['brokermods'][0]
|
||||
|
||||
|
|
@ -226,6 +233,13 @@ def optsquote(config, symbol, date):
|
|||
log.error(f"No option quotes could be found for {symbol}?")
|
||||
return
|
||||
|
||||
if df_output:
|
||||
df = pd.DataFrame(
|
||||
(quote.values() for quote in quotes),
|
||||
columns=quotes[0].keys(),
|
||||
)
|
||||
click.echo(df)
|
||||
else:
|
||||
click.echo(colorize_json(quotes))
|
||||
|
||||
|
||||
|
|
@ -233,10 +247,8 @@ def optsquote(config, symbol, date):
|
|||
@click.argument('tickers', nargs=-1, required=True)
|
||||
@click.pass_obj
|
||||
def symbol_info(config, tickers):
|
||||
'''
|
||||
Print symbol quotes to the console
|
||||
|
||||
'''
|
||||
"""Print symbol quotes to the console
|
||||
"""
|
||||
# global opts
|
||||
brokermod = config['brokermods'][0]
|
||||
|
||||
|
|
@ -258,10 +270,8 @@ def symbol_info(config, tickers):
|
|||
@click.argument('pattern', required=True)
|
||||
@click.pass_obj
|
||||
def search(config, pattern):
|
||||
'''
|
||||
Search for symbols from broker backend(s).
|
||||
|
||||
'''
|
||||
"""Search for symbols from broker backend(s).
|
||||
"""
|
||||
# global opts
|
||||
brokermods = config['brokermods']
|
||||
|
||||
|
|
|
|||
|
|
@ -142,23 +142,15 @@ async def symbol_search(
|
|||
brokermods: list[ModuleType],
|
||||
pattern: str,
|
||||
**kwargs,
|
||||
|
||||
) -> Dict[str, Dict[str, Dict[str, Any]]]:
|
||||
'''
|
||||
Return symbol info from broker.
|
||||
|
||||
'''
|
||||
"""Return symbol info from broker.
|
||||
"""
|
||||
results = []
|
||||
|
||||
async def search_backend(
|
||||
brokermod: ModuleType
|
||||
) -> None:
|
||||
|
||||
brokername: str = mod.name
|
||||
async def search_backend(brokername: str) -> None:
|
||||
|
||||
async with maybe_spawn_brokerd(
|
||||
mod.name,
|
||||
infect_asyncio=getattr(mod, '_infect_asyncio', False),
|
||||
brokername,
|
||||
) as portal:
|
||||
|
||||
results.append((
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -1,67 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# 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
|
||||
# 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/>.
|
||||
|
||||
"""
|
||||
Interactive Brokers API backend.
|
||||
|
||||
Sub-modules within break into the core functionalities:
|
||||
|
||||
- ``broker.py`` part for orders / trading endpoints
|
||||
- ``data.py`` for real-time data feed endpoints
|
||||
|
||||
- ``client.py`` for the core API machinery which is ``trio``-ized
|
||||
wrapping around ``ib_insync``.
|
||||
|
||||
- ``report.py`` for the hackery to build manual pp calcs
|
||||
to avoid ib's absolute bullshit FIFO style position
|
||||
tracking..
|
||||
|
||||
"""
|
||||
from .api import (
|
||||
get_client,
|
||||
)
|
||||
from .feed import (
|
||||
open_history_client,
|
||||
open_symbol_search,
|
||||
stream_quotes,
|
||||
)
|
||||
from .broker import trades_dialogue
|
||||
|
||||
__all__ = [
|
||||
'get_client',
|
||||
'trades_dialogue',
|
||||
'open_history_client',
|
||||
'open_symbol_search',
|
||||
'stream_quotes',
|
||||
]
|
||||
|
||||
|
||||
# tractor RPC enable arg
|
||||
__enable_modules__: list[str] = [
|
||||
'api',
|
||||
'feed',
|
||||
'broker',
|
||||
]
|
||||
|
||||
# passed to ``tractor.ActorNursery.start_actor()``
|
||||
_spawn_kwargs = {
|
||||
'infect_asyncio': True,
|
||||
}
|
||||
|
||||
# annotation to let backend agnostic code
|
||||
# know if ``brokerd`` should be spawned with
|
||||
# ``tractor``'s aio mode.
|
||||
_infect_asyncio: bool = True
|
||||
File diff suppressed because it is too large
Load Diff
|
|
@ -1,590 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# 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
|
||||
# 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/>.
|
||||
"""
|
||||
Order and trades endpoints for use with ``piker``'s EMS.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from dataclasses import asdict
|
||||
from functools import partial
|
||||
from pprint import pformat
|
||||
import time
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
AsyncIterator,
|
||||
)
|
||||
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
from ib_insync.contract import (
|
||||
Contract,
|
||||
Option,
|
||||
)
|
||||
from ib_insync.order import (
|
||||
Trade,
|
||||
OrderStatus,
|
||||
)
|
||||
from ib_insync.objects import (
|
||||
Fill,
|
||||
Execution,
|
||||
)
|
||||
from ib_insync.objects import Position
|
||||
|
||||
from piker import config
|
||||
from piker.log import get_console_log
|
||||
from piker.clearing._messages import (
|
||||
BrokerdOrder,
|
||||
BrokerdOrderAck,
|
||||
BrokerdStatus,
|
||||
BrokerdPosition,
|
||||
BrokerdCancel,
|
||||
BrokerdFill,
|
||||
BrokerdError,
|
||||
)
|
||||
from .api import (
|
||||
_accounts2clients,
|
||||
_adhoc_futes_set,
|
||||
log,
|
||||
get_config,
|
||||
open_client_proxies,
|
||||
Client,
|
||||
)
|
||||
|
||||
|
||||
def pack_position(
|
||||
pos: Position
|
||||
|
||||
) -> dict[str, Any]:
|
||||
con = pos.contract
|
||||
|
||||
if isinstance(con, Option):
|
||||
# TODO: option symbol parsing and sane display:
|
||||
symbol = con.localSymbol.replace(' ', '')
|
||||
|
||||
else:
|
||||
# TODO: lookup fqsn even for derivs.
|
||||
symbol = con.symbol.lower()
|
||||
|
||||
exch = (con.primaryExchange or con.exchange).lower()
|
||||
symkey = '.'.join((symbol, exch))
|
||||
if not exch:
|
||||
# attempt to lookup the symbol from our
|
||||
# hacked set..
|
||||
for sym in _adhoc_futes_set:
|
||||
if symbol in sym:
|
||||
symkey = sym
|
||||
break
|
||||
|
||||
expiry = con.lastTradeDateOrContractMonth
|
||||
if expiry:
|
||||
symkey += f'.{expiry}'
|
||||
|
||||
# TODO: options contracts into a sane format..
|
||||
|
||||
return BrokerdPosition(
|
||||
broker='ib',
|
||||
account=pos.account,
|
||||
symbol=symkey,
|
||||
currency=con.currency,
|
||||
size=float(pos.position),
|
||||
avg_price=float(pos.avgCost) / float(con.multiplier or 1.0),
|
||||
)
|
||||
|
||||
|
||||
async def handle_order_requests(
|
||||
|
||||
ems_order_stream: tractor.MsgStream,
|
||||
accounts_def: dict[str, str],
|
||||
|
||||
) -> None:
|
||||
|
||||
request_msg: dict
|
||||
async for request_msg in ems_order_stream:
|
||||
log.info(f'Received order request {request_msg}')
|
||||
|
||||
action = request_msg['action']
|
||||
account = request_msg['account']
|
||||
|
||||
acct_number = accounts_def.get(account)
|
||||
if not acct_number:
|
||||
log.error(
|
||||
f'An IB account number for name {account} is not found?\n'
|
||||
'Make sure you have all TWS and GW instances running.'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'No account found: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
client = _accounts2clients.get(account)
|
||||
if not client:
|
||||
log.error(
|
||||
f'An IB client for account name {account} is not found.\n'
|
||||
'Make sure you have all TWS and GW instances running.'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'No api client loaded for account: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
if action in {'buy', 'sell'}:
|
||||
# validate
|
||||
order = BrokerdOrder(**request_msg)
|
||||
|
||||
# call our client api to submit the order
|
||||
reqid = client.submit_limit(
|
||||
oid=order.oid,
|
||||
symbol=order.symbol,
|
||||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
account=acct_number,
|
||||
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||
# there is no existing order so ask the client to create
|
||||
# a new one (which it seems to do by allocating an int
|
||||
# counter - collision prone..)
|
||||
reqid=order.reqid,
|
||||
)
|
||||
if reqid is None:
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason='Order already active?',
|
||||
).dict())
|
||||
|
||||
# deliver ack that order has been submitted to broker routing
|
||||
await ems_order_stream.send(
|
||||
BrokerdOrderAck(
|
||||
# ems order request id
|
||||
oid=order.oid,
|
||||
# broker specific request id
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
account=account,
|
||||
).dict()
|
||||
)
|
||||
|
||||
elif action == 'cancel':
|
||||
msg = BrokerdCancel(**request_msg)
|
||||
client.submit_cancel(reqid=msg.reqid)
|
||||
|
||||
else:
|
||||
log.error(f'Unknown order command: {request_msg}')
|
||||
|
||||
|
||||
async def recv_trade_updates(
|
||||
|
||||
client: Client,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
|
||||
) -> None:
|
||||
"""Stream a ticker using the std L1 api.
|
||||
"""
|
||||
client.inline_errors(to_trio)
|
||||
|
||||
# sync with trio task
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
def push_tradesies(eventkit_obj, obj, fill=None):
|
||||
"""Push events to trio task.
|
||||
|
||||
"""
|
||||
if fill is not None:
|
||||
# execution details event
|
||||
item = ('fill', (obj, fill))
|
||||
|
||||
elif eventkit_obj.name() == 'positionEvent':
|
||||
item = ('position', obj)
|
||||
|
||||
else:
|
||||
item = ('status', obj)
|
||||
|
||||
log.info(f'eventkit event ->\n{pformat(item)}')
|
||||
|
||||
try:
|
||||
to_trio.send_nowait(item)
|
||||
except trio.BrokenResourceError:
|
||||
log.exception(f'Disconnected from {eventkit_obj} updates')
|
||||
eventkit_obj.disconnect(push_tradesies)
|
||||
|
||||
# hook up to the weird eventkit object - event stream api
|
||||
for ev_name in [
|
||||
'orderStatusEvent', # all order updates
|
||||
'execDetailsEvent', # all "fill" updates
|
||||
'positionEvent', # avg price updates per symbol per account
|
||||
|
||||
# 'commissionReportEvent',
|
||||
# XXX: ugh, it is a separate event from IB and it's
|
||||
# emitted as follows:
|
||||
# self.ib.commissionReportEvent.emit(trade, fill, report)
|
||||
|
||||
# XXX: not sure yet if we need these
|
||||
# 'updatePortfolioEvent',
|
||||
|
||||
# XXX: these all seem to be weird ib_insync intrernal
|
||||
# events that we probably don't care that much about
|
||||
# given the internal design is wonky af..
|
||||
# 'newOrderEvent',
|
||||
# 'orderModifyEvent',
|
||||
# 'cancelOrderEvent',
|
||||
# 'openOrderEvent',
|
||||
]:
|
||||
eventkit_obj = getattr(client.ib, ev_name)
|
||||
handler = partial(push_tradesies, eventkit_obj)
|
||||
eventkit_obj.connect(handler)
|
||||
|
||||
# let the engine run and stream
|
||||
await client.ib.disconnectedEvent
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def trades_dialogue(
|
||||
|
||||
ctx: tractor.Context,
|
||||
loglevel: str = None,
|
||||
|
||||
) -> AsyncIterator[dict[str, Any]]:
|
||||
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
accounts_def = config.load_accounts(['ib'])
|
||||
|
||||
global _client_cache
|
||||
|
||||
# deliver positions to subscriber before anything else
|
||||
all_positions = []
|
||||
accounts = set()
|
||||
clients: list[tuple[Client, trio.MemoryReceiveChannel]] = []
|
||||
|
||||
async with (
|
||||
trio.open_nursery() as nurse,
|
||||
open_client_proxies() as (proxies, aioclients),
|
||||
):
|
||||
for account, proxy in proxies.items():
|
||||
|
||||
client = aioclients[account]
|
||||
|
||||
async def open_stream(
|
||||
task_status: TaskStatus[
|
||||
trio.abc.ReceiveChannel
|
||||
] = trio.TASK_STATUS_IGNORED,
|
||||
):
|
||||
# each api client has a unique event stream
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
recv_trade_updates,
|
||||
client=client,
|
||||
) as (first, trade_event_stream):
|
||||
|
||||
task_status.started(trade_event_stream)
|
||||
await trio.sleep_forever()
|
||||
|
||||
trade_event_stream = await nurse.start(open_stream)
|
||||
|
||||
clients.append((client, trade_event_stream))
|
||||
|
||||
assert account in accounts_def
|
||||
accounts.add(account)
|
||||
|
||||
for client in aioclients.values():
|
||||
for pos in client.positions():
|
||||
|
||||
msg = pack_position(pos)
|
||||
msg.account = accounts_def.inverse[msg.account]
|
||||
|
||||
assert msg.account in accounts, (
|
||||
f'Position for unknown account: {msg.account}')
|
||||
|
||||
all_positions.append(msg.dict())
|
||||
|
||||
trades: list[dict] = []
|
||||
for proxy in proxies.values():
|
||||
trades.append(await proxy.trades())
|
||||
|
||||
log.info(f'Loaded {len(trades)} from this session')
|
||||
# TODO: write trades to local ``trades.toml``
|
||||
# - use above per-session trades data and write to local file
|
||||
# - get the "flex reports" working and pull historical data and
|
||||
# also save locally.
|
||||
|
||||
await ctx.started((
|
||||
all_positions,
|
||||
tuple(name for name in accounts_def if name in accounts),
|
||||
))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
# start order request handler **before** local trades event loop
|
||||
n.start_soon(handle_order_requests, ems_stream, accounts_def)
|
||||
|
||||
# allocate event relay tasks for each client connection
|
||||
for client, stream in clients:
|
||||
n.start_soon(
|
||||
deliver_trade_events,
|
||||
stream,
|
||||
ems_stream,
|
||||
accounts_def
|
||||
)
|
||||
|
||||
# block until cancelled
|
||||
await trio.sleep_forever()
|
||||
|
||||
|
||||
async def deliver_trade_events(
|
||||
|
||||
trade_event_stream: trio.MemoryReceiveChannel,
|
||||
ems_stream: tractor.MsgStream,
|
||||
accounts_def: dict[str, str],
|
||||
|
||||
) -> None:
|
||||
'''Format and relay all trade events for a given client to the EMS.
|
||||
|
||||
'''
|
||||
action_map = {'BOT': 'buy', 'SLD': 'sell'}
|
||||
|
||||
# TODO: for some reason we can receive a ``None`` here when the
|
||||
# ib-gw goes down? Not sure exactly how that's happening looking
|
||||
# at the eventkit code above but we should probably handle it...
|
||||
async for event_name, item in trade_event_stream:
|
||||
|
||||
log.info(f'ib sending {event_name}:\n{pformat(item)}')
|
||||
|
||||
# TODO: templating the ib statuses in comparison with other
|
||||
# brokers is likely the way to go:
|
||||
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
|
||||
# short list:
|
||||
# - PendingSubmit
|
||||
# - PendingCancel
|
||||
# - PreSubmitted (simulated orders)
|
||||
# - ApiCancelled (cancelled by client before submission
|
||||
# to routing)
|
||||
# - Cancelled
|
||||
# - Filled
|
||||
# - Inactive (reject or cancelled but not by trader)
|
||||
|
||||
# XXX: here's some other sucky cases from the api
|
||||
# - short-sale but securities haven't been located, in this
|
||||
# case we should probably keep the order in some kind of
|
||||
# weird state or cancel it outright?
|
||||
|
||||
# status='PendingSubmit', message=''),
|
||||
# status='Cancelled', message='Error 404,
|
||||
# reqId 1550: Order held while securities are located.'),
|
||||
# status='PreSubmitted', message='')],
|
||||
|
||||
if event_name == 'status':
|
||||
|
||||
# XXX: begin normalization of nonsense ib_insync internal
|
||||
# object-state tracking representations...
|
||||
|
||||
# unwrap needed data from ib_insync internal types
|
||||
trade: Trade = item
|
||||
status: OrderStatus = trade.orderStatus
|
||||
|
||||
# skip duplicate filled updates - we get the deats
|
||||
# from the execution details event
|
||||
msg = BrokerdStatus(
|
||||
|
||||
reqid=trade.order.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
account=accounts_def.inverse[trade.order.account],
|
||||
|
||||
# everyone doin camel case..
|
||||
status=status.status.lower(), # force lower case
|
||||
|
||||
filled=status.filled,
|
||||
reason=status.whyHeld,
|
||||
|
||||
# this seems to not be necessarily up to date in the
|
||||
# execDetails event.. so we have to send it here I guess?
|
||||
remaining=status.remaining,
|
||||
|
||||
broker_details={'name': 'ib'},
|
||||
)
|
||||
|
||||
elif event_name == 'fill':
|
||||
|
||||
# for wtv reason this is a separate event type
|
||||
# from IB, not sure why it's needed other then for extra
|
||||
# complexity and over-engineering :eyeroll:.
|
||||
# we may just end up dropping these events (or
|
||||
# translating them to ``Status`` msgs) if we can
|
||||
# show the equivalent status events are no more latent.
|
||||
|
||||
# unpack ib_insync types
|
||||
# pep-0526 style:
|
||||
# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
|
||||
trade: Trade
|
||||
fill: Fill
|
||||
trade, fill = item
|
||||
execu: Execution = fill.execution
|
||||
|
||||
# TODO: normalize out commissions details?
|
||||
details = {
|
||||
'contract': asdict(fill.contract),
|
||||
'execution': asdict(fill.execution),
|
||||
'commissions': asdict(fill.commissionReport),
|
||||
'broker_time': execu.time, # supposedly server fill time
|
||||
'name': 'ib',
|
||||
}
|
||||
|
||||
msg = BrokerdFill(
|
||||
# should match the value returned from `.submit_limit()`
|
||||
reqid=execu.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
|
||||
action=action_map[execu.side],
|
||||
size=execu.shares,
|
||||
price=execu.price,
|
||||
|
||||
broker_details=details,
|
||||
# XXX: required by order mode currently
|
||||
broker_time=details['broker_time'],
|
||||
|
||||
)
|
||||
|
||||
elif event_name == 'error':
|
||||
|
||||
err: dict = item
|
||||
|
||||
# f$#$% gawd dammit insync..
|
||||
con = err['contract']
|
||||
if isinstance(con, Contract):
|
||||
err['contract'] = asdict(con)
|
||||
|
||||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
|
||||
# TODO: what schema for this msg if we're going to make it
|
||||
# portable across all backends?
|
||||
# msg = BrokerdError(**err)
|
||||
continue
|
||||
|
||||
elif event_name == 'position':
|
||||
msg = pack_position(item)
|
||||
msg.account = accounts_def.inverse[msg.account]
|
||||
|
||||
elif event_name == 'event':
|
||||
|
||||
# it's either a general system status event or an external
|
||||
# trade event?
|
||||
log.info(f"TWS system status: \n{pformat(item)}")
|
||||
|
||||
# TODO: support this again but needs parsing at the callback
|
||||
# level...
|
||||
# reqid = item.get('reqid', 0)
|
||||
# if getattr(msg, 'reqid', 0) < -1:
|
||||
# log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
||||
|
||||
continue
|
||||
|
||||
# msg.reqid = 'tws-' + str(-1 * reqid)
|
||||
|
||||
# mark msg as from "external system"
|
||||
# TODO: probably something better then this.. and start
|
||||
# considering multiplayer/group trades tracking
|
||||
# msg.broker_details['external_src'] = 'tws'
|
||||
|
||||
# XXX: we always serialize to a dict for msgpack
|
||||
# translations, ideally we can move to an msgspec (or other)
|
||||
# encoder # that can be enabled in ``tractor`` ahead of
|
||||
# time so we can pass through the message types directly.
|
||||
await ems_stream.send(msg.dict())
|
||||
|
||||
|
||||
def load_flex_trades(
|
||||
path: Optional[str] = None,
|
||||
|
||||
) -> dict[str, str]:
|
||||
|
||||
from pprint import pprint
|
||||
from ib_insync import flexreport, util
|
||||
|
||||
conf = get_config()
|
||||
|
||||
if not path:
|
||||
# load ``brokers.toml`` and try to get the flex
|
||||
# token and query id that must be previously defined
|
||||
# by the user.
|
||||
token = conf.get('flex_token')
|
||||
if not token:
|
||||
raise ValueError(
|
||||
'You must specify a ``flex_token`` field in your'
|
||||
'`brokers.toml` in order load your trade log, see our'
|
||||
'intructions for how to set this up here:\n'
|
||||
'PUT LINK HERE!'
|
||||
)
|
||||
|
||||
qid = conf['flex_trades_query_id']
|
||||
|
||||
# TODO: hack this into our logging
|
||||
# system like we do with the API client..
|
||||
util.logToConsole()
|
||||
|
||||
# TODO: rewrite the query part of this with async..httpx?
|
||||
report = flexreport.FlexReport(
|
||||
token=token,
|
||||
queryId=qid,
|
||||
)
|
||||
|
||||
else:
|
||||
# XXX: another project we could potentially look at,
|
||||
# https://pypi.org/project/ibflex/
|
||||
report = flexreport.FlexReport(path=path)
|
||||
|
||||
trade_entries = report.extract('Trade')
|
||||
trades = {
|
||||
# XXX: LOL apparently ``toml`` has a bug
|
||||
# where a section key error will show up in the write
|
||||
# if you leave this as an ``int``?
|
||||
str(t.__dict__['tradeID']): t.__dict__
|
||||
for t in trade_entries
|
||||
}
|
||||
|
||||
ln = len(trades)
|
||||
log.info(f'Loaded {ln} trades from flex query')
|
||||
|
||||
trades_by_account = {}
|
||||
for tid, trade in trades.items():
|
||||
trades_by_account.setdefault(
|
||||
# oddly for some so-called "BookTrade" entries
|
||||
# this field seems to be blank, no cuckin clue.
|
||||
# trade['ibExecID']
|
||||
str(trade['accountId']), {}
|
||||
)[tid] = trade
|
||||
|
||||
section = {'ib': trades_by_account}
|
||||
pprint(section)
|
||||
|
||||
# TODO: load the config first and append in
|
||||
# the new trades loaded here..
|
||||
try:
|
||||
config.write(section, 'trades')
|
||||
except KeyError:
|
||||
import pdbpp; pdbpp.set_trace() # noqa
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
load_flex_trades()
|
||||
|
|
@ -1,938 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# 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
|
||||
# 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/>.
|
||||
"""
|
||||
Data feed endpoints pre-wrapped and ready for use with ``tractor``/``trio``.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
import asyncio
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from dataclasses import asdict
|
||||
from datetime import datetime
|
||||
from math import isnan
|
||||
import time
|
||||
from typing import (
|
||||
Callable,
|
||||
Optional,
|
||||
Awaitable,
|
||||
)
|
||||
|
||||
from async_generator import aclosing
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import pendulum
|
||||
import tractor
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
|
||||
from piker.data._sharedmem import ShmArray
|
||||
from .._util import SymbolNotFound, NoData
|
||||
from .api import (
|
||||
_adhoc_futes_set,
|
||||
log,
|
||||
load_aio_clients,
|
||||
ibis,
|
||||
MethodProxy,
|
||||
open_client_proxies,
|
||||
get_preferred_data_client,
|
||||
Ticker,
|
||||
RequestError,
|
||||
Contract,
|
||||
)
|
||||
|
||||
|
||||
# https://interactivebrokers.github.io/tws-api/tick_types.html
|
||||
tick_types = {
|
||||
77: 'trade',
|
||||
|
||||
# a "utrade" aka an off exchange "unreportable" (dark) vlm:
|
||||
# https://interactivebrokers.github.io/tws-api/tick_types.html#rt_volume
|
||||
48: 'dark_trade',
|
||||
|
||||
# standard L1 ticks
|
||||
0: 'bsize',
|
||||
1: 'bid',
|
||||
2: 'ask',
|
||||
3: 'asize',
|
||||
4: 'last',
|
||||
5: 'size',
|
||||
8: 'volume',
|
||||
|
||||
# ``ib_insync`` already packs these into
|
||||
# quotes under the following fields.
|
||||
# 55: 'trades_per_min', # `'tradeRate'`
|
||||
# 56: 'vlm_per_min', # `'volumeRate'`
|
||||
# 89: 'shortable', # `'shortableShares'`
|
||||
}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_data_client() -> MethodProxy:
|
||||
'''
|
||||
Open the first found preferred "data client" as defined in the
|
||||
user's ``brokers.toml`` in the ``ib.prefer_data_account`` variable
|
||||
and deliver that client wrapped in a ``MethodProxy``.
|
||||
|
||||
'''
|
||||
async with (
|
||||
open_client_proxies() as (proxies, clients),
|
||||
):
|
||||
account_name, client = get_preferred_data_client(clients)
|
||||
proxy = proxies.get(f'ib.{account_name}')
|
||||
if not proxy:
|
||||
raise ValueError(
|
||||
f'No preferred data client could be found for {account_name}!'
|
||||
)
|
||||
|
||||
yield proxy
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
'''
|
||||
History retreival endpoint - delivers a historical frame callble
|
||||
that takes in ``pendulum.datetime`` and returns ``numpy`` arrays.
|
||||
|
||||
'''
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
async def get_hist(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[np.ndarray, str]:
|
||||
|
||||
out, fails = await get_bars(proxy, symbol, end_dt=end_dt)
|
||||
|
||||
# TODO: add logic here to handle tradable hours and only grab
|
||||
# valid bars in the range
|
||||
if out is None:
|
||||
# could be trying to retreive bars over weekend
|
||||
log.error(f"Can't grab bars starting at {end_dt}!?!?")
|
||||
raise NoData(
|
||||
f'{end_dt}',
|
||||
frame_size=2000,
|
||||
)
|
||||
|
||||
bars, bars_array, first_dt, last_dt = out
|
||||
|
||||
# volume cleaning since there's -ve entries,
|
||||
# wood luv to know what crookery that is..
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
|
||||
return bars_array, first_dt, last_dt
|
||||
|
||||
# TODO: it seems like we can do async queries for ohlc
|
||||
# but getting the order right still isn't working and I'm not
|
||||
# quite sure why.. needs some tinkering and probably
|
||||
# a lookthrough of the ``ib_insync`` machinery, for eg. maybe
|
||||
# we have to do the batch queries on the `asyncio` side?
|
||||
yield get_hist, {'erlangs': 1, 'rate': 6}
|
||||
|
||||
|
||||
_pacing: str = (
|
||||
'Historical Market Data Service error '
|
||||
'message:Historical data request pacing violation'
|
||||
)
|
||||
|
||||
|
||||
async def get_bars(
|
||||
|
||||
proxy: MethodProxy,
|
||||
fqsn: str,
|
||||
|
||||
# blank to start which tells ib to look up the latest datum
|
||||
end_dt: str = '',
|
||||
|
||||
) -> (dict, np.ndarray):
|
||||
'''
|
||||
Retrieve historical data from a ``trio``-side task using
|
||||
a ``MethoProxy``.
|
||||
|
||||
'''
|
||||
fails = 0
|
||||
bars: Optional[list] = None
|
||||
first_dt: datetime = None
|
||||
last_dt: datetime = None
|
||||
|
||||
if end_dt:
|
||||
last_dt = pendulum.from_timestamp(end_dt.timestamp())
|
||||
|
||||
for _ in range(10):
|
||||
try:
|
||||
out = await proxy.bars(
|
||||
fqsn=fqsn,
|
||||
end_dt=end_dt,
|
||||
)
|
||||
if out:
|
||||
bars, bars_array = out
|
||||
|
||||
else:
|
||||
await tractor.breakpoint()
|
||||
|
||||
if bars_array is None:
|
||||
raise SymbolNotFound(fqsn)
|
||||
|
||||
first_dt = pendulum.from_timestamp(
|
||||
bars[0].date.timestamp())
|
||||
|
||||
last_dt = pendulum.from_timestamp(
|
||||
bars[-1].date.timestamp())
|
||||
|
||||
time = bars_array['time']
|
||||
assert time[-1] == last_dt.timestamp()
|
||||
assert time[0] == first_dt.timestamp()
|
||||
log.info(
|
||||
f'{len(bars)} bars retreived for {first_dt} -> {last_dt}'
|
||||
)
|
||||
|
||||
return (bars, bars_array, first_dt, last_dt), fails
|
||||
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
# why do we always need to rebind this?
|
||||
# _err = err
|
||||
|
||||
if 'No market data permissions for' in msg:
|
||||
# TODO: signalling for no permissions searches
|
||||
raise NoData(
|
||||
f'Symbol: {fqsn}',
|
||||
)
|
||||
|
||||
elif (
|
||||
err.code == 162
|
||||
and 'HMDS query returned no data' in err.message
|
||||
):
|
||||
# XXX: this is now done in the storage mgmt layer
|
||||
# and we shouldn't implicitly decrement the frame dt
|
||||
# index since the upper layer may be doing so
|
||||
# concurrently and we don't want to be delivering frames
|
||||
# that weren't asked for.
|
||||
log.warning(
|
||||
f'NO DATA found ending @ {end_dt}\n'
|
||||
)
|
||||
|
||||
# try to decrement start point and look further back
|
||||
# end_dt = last_dt = last_dt.subtract(seconds=2000)
|
||||
|
||||
raise NoData(
|
||||
f'Symbol: {fqsn}',
|
||||
frame_size=2000,
|
||||
)
|
||||
|
||||
elif _pacing in msg:
|
||||
|
||||
log.warning(
|
||||
'History throttle rate reached!\n'
|
||||
'Resetting farms with `ctrl-alt-f` hack\n'
|
||||
)
|
||||
# TODO: we might have to put a task lock around this
|
||||
# method..
|
||||
hist_ev = proxy.status_event(
|
||||
'HMDS data farm connection is OK:ushmds'
|
||||
)
|
||||
|
||||
# XXX: other event messages we might want to try and
|
||||
# wait for but i wasn't able to get any of this
|
||||
# reliable..
|
||||
# reconnect_start = proxy.status_event(
|
||||
# 'Market data farm is connecting:usfuture'
|
||||
# )
|
||||
# live_ev = proxy.status_event(
|
||||
# 'Market data farm connection is OK:usfuture'
|
||||
# )
|
||||
|
||||
# try to wait on the reset event(s) to arrive, a timeout
|
||||
# will trigger a retry up to 6 times (for now).
|
||||
tries: int = 2
|
||||
timeout: float = 10
|
||||
|
||||
# try 3 time with a data reset then fail over to
|
||||
# a connection reset.
|
||||
for i in range(1, tries):
|
||||
|
||||
log.warning('Sending DATA RESET request')
|
||||
await data_reset_hack(reset_type='data')
|
||||
|
||||
with trio.move_on_after(timeout) as cs:
|
||||
for name, ev in [
|
||||
# TODO: not sure if waiting on other events
|
||||
# is all that useful here or not. in theory
|
||||
# you could wait on one of the ones above
|
||||
# first to verify the reset request was
|
||||
# sent?
|
||||
('history', hist_ev),
|
||||
]:
|
||||
await ev.wait()
|
||||
log.info(f"{name} DATA RESET")
|
||||
break
|
||||
|
||||
if cs.cancelled_caught:
|
||||
fails += 1
|
||||
log.warning(
|
||||
f'Data reset {name} timeout, retrying {i}.'
|
||||
)
|
||||
|
||||
continue
|
||||
else:
|
||||
|
||||
log.warning('Sending CONNECTION RESET')
|
||||
await data_reset_hack(reset_type='connection')
|
||||
|
||||
with trio.move_on_after(timeout) as cs:
|
||||
for name, ev in [
|
||||
# TODO: not sure if waiting on other events
|
||||
# is all that useful here or not. in theory
|
||||
# you could wait on one of the ones above
|
||||
# first to verify the reset request was
|
||||
# sent?
|
||||
('history', hist_ev),
|
||||
]:
|
||||
await ev.wait()
|
||||
log.info(f"{name} DATA RESET")
|
||||
|
||||
if cs.cancelled_caught:
|
||||
fails += 1
|
||||
log.warning('Data CONNECTION RESET timeout!?')
|
||||
|
||||
else:
|
||||
raise
|
||||
|
||||
return None, None
|
||||
# else: # throttle wasn't fixed so error out immediately
|
||||
# raise _err
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
|
||||
fqsn: str,
|
||||
shm: ShmArray, # type: ignore # noqa
|
||||
|
||||
# TODO: we want to avoid overrunning the underlying shm array buffer
|
||||
# and we should probably calc the number of calls to make depending
|
||||
# on that until we have the `marketstore` daemon in place in which
|
||||
# case the shm size will be driven by user config and available sys
|
||||
# memory.
|
||||
count: int = 16,
|
||||
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Fill historical bars into shared mem / storage afap.
|
||||
|
||||
TODO: avoid pacing constraints:
|
||||
https://github.com/pikers/piker/issues/128
|
||||
|
||||
'''
|
||||
# last_dt1 = None
|
||||
last_dt = None
|
||||
|
||||
with trio.CancelScope() as cs:
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
out, fails = await get_bars(proxy, fqsn)
|
||||
|
||||
if out is None:
|
||||
raise RuntimeError("Could not pull currrent history?!")
|
||||
|
||||
(first_bars, bars_array, first_dt, last_dt) = out
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
last_dt = first_dt
|
||||
|
||||
# write historical data to buffer
|
||||
shm.push(bars_array)
|
||||
|
||||
task_status.started(cs)
|
||||
|
||||
i = 0
|
||||
while i < count:
|
||||
|
||||
out, fails = await get_bars(proxy, fqsn, end_dt=first_dt)
|
||||
|
||||
if out is None:
|
||||
# could be trying to retreive bars over weekend
|
||||
# TODO: add logic here to handle tradable hours and
|
||||
# only grab valid bars in the range
|
||||
log.error(f"Can't grab bars starting at {first_dt}!?!?")
|
||||
|
||||
# XXX: get_bars() should internally decrement dt by
|
||||
# 2k seconds and try again.
|
||||
continue
|
||||
|
||||
(first_bars, bars_array, first_dt, last_dt) = out
|
||||
# last_dt1 = last_dt
|
||||
# last_dt = first_dt
|
||||
|
||||
# volume cleaning since there's -ve entries,
|
||||
# wood luv to know what crookery that is..
|
||||
vlm = bars_array['volume']
|
||||
vlm[vlm < 0] = 0
|
||||
|
||||
# TODO we should probably dig into forums to see what peeps
|
||||
# think this data "means" and then use it as an indicator of
|
||||
# sorts? dinkus has mentioned that $vlms for the day dont'
|
||||
# match other platforms nor the summary stat tws shows in
|
||||
# the monitor - it's probably worth investigating.
|
||||
|
||||
shm.push(bars_array, prepend=True)
|
||||
i += 1
|
||||
|
||||
|
||||
asset_type_map = {
|
||||
'STK': 'stock',
|
||||
'OPT': 'option',
|
||||
'FUT': 'future',
|
||||
'CONTFUT': 'continuous_future',
|
||||
'CASH': 'forex',
|
||||
'IND': 'index',
|
||||
'CFD': 'cfd',
|
||||
'BOND': 'bond',
|
||||
'CMDTY': 'commodity',
|
||||
'FOP': 'futures_option',
|
||||
'FUND': 'mutual_fund',
|
||||
'WAR': 'warrant',
|
||||
'IOPT': 'warran',
|
||||
'BAG': 'bag',
|
||||
# 'NEWS': 'news',
|
||||
}
|
||||
|
||||
|
||||
_quote_streams: dict[str, trio.abc.ReceiveStream] = {}
|
||||
|
||||
|
||||
async def _setup_quote_stream(
|
||||
|
||||
from_trio: asyncio.Queue,
|
||||
to_trio: trio.abc.SendChannel,
|
||||
|
||||
symbol: str,
|
||||
opts: tuple[int] = (
|
||||
'375', # RT trade volume (excludes utrades)
|
||||
'233', # RT trade volume (includes utrades)
|
||||
'236', # Shortable shares
|
||||
|
||||
# these all appear to only be updated every 25s thus
|
||||
# making them mostly useless and explains why the scanner
|
||||
# is always slow XD
|
||||
# '293', # Trade count for day
|
||||
'294', # Trade rate / minute
|
||||
'295', # Vlm rate / minute
|
||||
),
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveChannel:
|
||||
'''
|
||||
Stream a ticker using the std L1 api.
|
||||
|
||||
This task is ``asyncio``-side and must be called from
|
||||
``tractor.to_asyncio.open_channel_from()``.
|
||||
|
||||
'''
|
||||
global _quote_streams
|
||||
|
||||
to_trio.send_nowait(None)
|
||||
|
||||
async with load_aio_clients() as accts2clients:
|
||||
caccount_name, client = get_preferred_data_client(accts2clients)
|
||||
contract = contract or (await client.find_contract(symbol))
|
||||
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
||||
|
||||
# NOTE: it's batch-wise and slow af but I guess could
|
||||
# be good for backchecking? Seems to be every 5s maybe?
|
||||
# ticker: Ticker = client.ib.reqTickByTickData(
|
||||
# contract, 'Last',
|
||||
# )
|
||||
|
||||
# # define a simple queue push routine that streams quote packets
|
||||
# # to trio over the ``to_trio`` memory channel.
|
||||
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||
def teardown():
|
||||
ticker.updateEvent.disconnect(push)
|
||||
log.error(f"Disconnected stream for `{symbol}`")
|
||||
client.ib.cancelMktData(contract)
|
||||
|
||||
# decouple broadcast mem chan
|
||||
_quote_streams.pop(symbol, None)
|
||||
|
||||
def push(t: Ticker) -> None:
|
||||
"""
|
||||
Push quotes to trio task.
|
||||
|
||||
"""
|
||||
# log.debug(t)
|
||||
try:
|
||||
to_trio.send_nowait(t)
|
||||
|
||||
except (
|
||||
trio.BrokenResourceError,
|
||||
|
||||
# XXX: HACK, not sure why this gets left stale (probably
|
||||
# due to our terrible ``tractor.to_asyncio``
|
||||
# implementation for streams.. but if the mem chan
|
||||
# gets left here and starts blocking just kill the feed?
|
||||
# trio.WouldBlock,
|
||||
):
|
||||
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
||||
# reason will catch and ignore regular exceptions
|
||||
# resulting in tracebacks spammed to console..
|
||||
# Manually do the dereg ourselves.
|
||||
teardown()
|
||||
except trio.WouldBlock:
|
||||
log.warning(
|
||||
f'channel is blocking symbol feed for {symbol}?'
|
||||
f'\n{to_trio.statistics}'
|
||||
)
|
||||
|
||||
# except trio.WouldBlock:
|
||||
# # for slow debugging purposes to avoid clobbering prompt
|
||||
# # with log msgs
|
||||
# pass
|
||||
|
||||
ticker.updateEvent.connect(push)
|
||||
try:
|
||||
await asyncio.sleep(float('inf'))
|
||||
finally:
|
||||
teardown()
|
||||
|
||||
# return from_aio
|
||||
|
||||
|
||||
@acm
|
||||
async def open_aio_quote_stream(
|
||||
|
||||
symbol: str,
|
||||
contract: Optional[Contract] = None,
|
||||
|
||||
) -> trio.abc.ReceiveStream:
|
||||
|
||||
from tractor.trionics import broadcast_receiver
|
||||
global _quote_streams
|
||||
|
||||
from_aio = _quote_streams.get(symbol)
|
||||
if from_aio:
|
||||
|
||||
# if we already have a cached feed deliver a rx side clone to consumer
|
||||
async with broadcast_receiver(
|
||||
from_aio,
|
||||
2**6,
|
||||
) as from_aio:
|
||||
yield from_aio
|
||||
return
|
||||
|
||||
async with tractor.to_asyncio.open_channel_from(
|
||||
_setup_quote_stream,
|
||||
symbol=symbol,
|
||||
contract=contract,
|
||||
|
||||
) as (first, from_aio):
|
||||
|
||||
# cache feed for later consumers
|
||||
_quote_streams[symbol] = from_aio
|
||||
|
||||
yield from_aio
|
||||
|
||||
|
||||
# TODO: cython/mypyc/numba this!
|
||||
def normalize(
|
||||
ticker: Ticker,
|
||||
calc_price: bool = False
|
||||
|
||||
) -> dict:
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
|
||||
# check for special contract types
|
||||
con = ticker.contract
|
||||
if type(con) in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex,
|
||||
):
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
else:
|
||||
suffix = con.primaryExchange
|
||||
if not suffix:
|
||||
suffix = con.exchange
|
||||
|
||||
# append a `.<suffix>` to the returned symbol
|
||||
# key for derivatives that normally is the expiry
|
||||
# date key.
|
||||
expiry = con.lastTradeDateOrContractMonth
|
||||
if expiry:
|
||||
suffix += f'.{expiry}'
|
||||
|
||||
# convert named tuples to dicts so we send usable keys
|
||||
new_ticks = []
|
||||
for tick in ticker.ticks:
|
||||
if tick and not isinstance(tick, dict):
|
||||
td = tick._asdict()
|
||||
td['type'] = tick_types.get(
|
||||
td['tickType'],
|
||||
'n/a',
|
||||
)
|
||||
|
||||
new_ticks.append(td)
|
||||
|
||||
tbt = ticker.tickByTicks
|
||||
if tbt:
|
||||
print(f'tickbyticks:\n {ticker.tickByTicks}')
|
||||
|
||||
ticker.ticks = new_ticks
|
||||
|
||||
# some contracts don't have volume so we may want to calculate
|
||||
# a midpoint price based on data we can acquire (such as bid / ask)
|
||||
if calc_price:
|
||||
ticker.ticks.append(
|
||||
{'type': 'trade', 'price': ticker.marketPrice()}
|
||||
)
|
||||
|
||||
# serialize for transport
|
||||
data = asdict(ticker)
|
||||
|
||||
# generate fqsn with possible specialized suffix
|
||||
# for derivatives, note the lowercase.
|
||||
data['symbol'] = data['fqsn'] = '.'.join(
|
||||
(con.symbol, suffix)
|
||||
).lower()
|
||||
|
||||
# convert named tuples to dicts for transport
|
||||
tbts = data.get('tickByTicks')
|
||||
if tbts:
|
||||
data['tickByTicks'] = [tbt._asdict() for tbt in tbts]
|
||||
|
||||
# add time stamps for downstream latency measurements
|
||||
data['brokerd_ts'] = time.time()
|
||||
|
||||
# stupid stupid shit...don't even care any more..
|
||||
# leave it until we do a proper latency study
|
||||
# if ticker.rtTime is not None:
|
||||
# data['broker_ts'] = data['rtTime_s'] = float(
|
||||
# ticker.rtTime.timestamp) / 1000.
|
||||
data.pop('rtTime')
|
||||
|
||||
return data
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Stream symbol quotes.
|
||||
|
||||
This is a ``trio`` callable routine meant to be invoked
|
||||
once the brokerd is up.
|
||||
|
||||
'''
|
||||
# TODO: support multiple subscriptions
|
||||
sym = symbols[0]
|
||||
log.info(f'request for real-time quotes: {sym}')
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
|
||||
con, first_ticker, details = await proxy.get_sym_details(symbol=sym)
|
||||
first_quote = normalize(first_ticker)
|
||||
# print(f'first quote: {first_quote}')
|
||||
|
||||
def mk_init_msgs() -> dict[str, dict]:
|
||||
'''
|
||||
Collect a bunch of meta-data useful for feed startup and
|
||||
pack in a `dict`-msg.
|
||||
|
||||
'''
|
||||
# pass back some symbol info like min_tick, trading_hours, etc.
|
||||
syminfo = asdict(details)
|
||||
syminfo.update(syminfo['contract'])
|
||||
|
||||
# nested dataclass we probably don't need and that won't IPC
|
||||
# serialize
|
||||
syminfo.pop('secIdList')
|
||||
|
||||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
|
||||
# for "traditional" assets, volume is normally discreet, not
|
||||
# a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
|
||||
ibclient = proxy._aio_ns.ib.client
|
||||
host, port = ibclient.host, ibclient.port
|
||||
|
||||
# TODO: for loop through all symbols passed in
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
sym: {
|
||||
'symbol_info': syminfo,
|
||||
'fqsn': first_quote['fqsn'],
|
||||
},
|
||||
'status': {
|
||||
'data_ep': f'{host}:{port}',
|
||||
},
|
||||
|
||||
}
|
||||
return init_msgs
|
||||
|
||||
init_msgs = mk_init_msgs()
|
||||
|
||||
# TODO: we should instead spawn a task that waits on a feed to start
|
||||
# and let it wait indefinitely..instead of this hard coded stuff.
|
||||
with trio.move_on_after(1):
|
||||
contract, first_ticker, details = await proxy.get_quote(symbol=sym)
|
||||
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
if isnan(first_ticker.last):
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# it's not really live but this will unblock
|
||||
# the brokerd feed task to tell the ui to update?
|
||||
feed_is_live.set()
|
||||
|
||||
# block and let data history backfill code run.
|
||||
await trio.sleep_forever()
|
||||
return # we never expect feed to come up?
|
||||
|
||||
async with open_aio_quote_stream(
|
||||
symbol=sym,
|
||||
contract=con,
|
||||
) as stream:
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is stateful trash)
|
||||
first_ticker.ticks = []
|
||||
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
async with aclosing(stream):
|
||||
if type(first_ticker.contract) not in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex
|
||||
):
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
ticker = await stream.receive()
|
||||
|
||||
# for a real volume contract we rait for the first
|
||||
# "real" trade to take place
|
||||
if (
|
||||
# not calc_price
|
||||
# and not ticker.rtTime
|
||||
not ticker.rtTime
|
||||
):
|
||||
# spin consuming tickers until we get a real
|
||||
# market datum
|
||||
log.debug(f"New unsent ticker: {ticker}")
|
||||
continue
|
||||
else:
|
||||
log.debug("Received first real volume tick")
|
||||
# ugh, clear ticks since we've consumed them
|
||||
# (ahem, ib_insync is truly stateful trash)
|
||||
ticker.ticks = []
|
||||
|
||||
# XXX: this works because we don't use
|
||||
# ``aclosing()`` above?
|
||||
break
|
||||
|
||||
quote = normalize(ticker)
|
||||
log.debug(f"First ticker received {quote}")
|
||||
|
||||
# tell caller quotes are now coming in live
|
||||
feed_is_live.set()
|
||||
|
||||
# last = time.time()
|
||||
async for ticker in stream:
|
||||
quote = normalize(ticker)
|
||||
await send_chan.send({quote['fqsn']: quote})
|
||||
|
||||
# ugh, clear ticks since we've consumed them
|
||||
ticker.ticks = []
|
||||
# last = time.time()
|
||||
|
||||
|
||||
async def data_reset_hack(
|
||||
reset_type: str = 'data',
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Run key combos for resetting data feeds and yield back to caller
|
||||
when complete.
|
||||
|
||||
This is a linux-only hack around:
|
||||
|
||||
https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations
|
||||
|
||||
TODOs:
|
||||
- a return type that hopefully determines if the hack was
|
||||
successful.
|
||||
- other OS support?
|
||||
- integration with ``ib-gw`` run in docker + Xorg?
|
||||
|
||||
'''
|
||||
|
||||
async def vnc_click_hack(
|
||||
reset_type: str = 'data'
|
||||
) -> None:
|
||||
'''
|
||||
Reset the data or netowork connection for the VNC attached
|
||||
ib gateway using magic combos.
|
||||
|
||||
'''
|
||||
key = {'data': 'f', 'connection': 'r'}[reset_type]
|
||||
|
||||
import asyncvnc
|
||||
|
||||
async with asyncvnc.connect(
|
||||
'localhost',
|
||||
port=3003,
|
||||
# password='ibcansmbz',
|
||||
) as client:
|
||||
|
||||
# move to middle of screen
|
||||
# 640x1800
|
||||
client.mouse.move(
|
||||
x=500,
|
||||
y=500,
|
||||
)
|
||||
client.mouse.click()
|
||||
client.keyboard.press('Ctrl', 'Alt', key) # keys are stacked
|
||||
|
||||
await tractor.to_asyncio.run_task(vnc_click_hack)
|
||||
|
||||
# we don't really need the ``xdotool`` approach any more B)
|
||||
return True
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: load user defined symbol set locally for fast search?
|
||||
await ctx.started({})
|
||||
|
||||
async with open_data_client() as proxy:
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
last = time.time()
|
||||
|
||||
async for pattern in stream:
|
||||
log.debug(f'received {pattern}')
|
||||
now = time.time()
|
||||
|
||||
assert pattern, 'IB can not accept blank search pattern'
|
||||
|
||||
# throttle search requests to no faster then 1Hz
|
||||
diff = now - last
|
||||
if diff < 1.0:
|
||||
log.debug('throttle sleeping')
|
||||
await trio.sleep(diff)
|
||||
try:
|
||||
pattern = stream.receive_nowait()
|
||||
except trio.WouldBlock:
|
||||
pass
|
||||
|
||||
if not pattern or pattern.isspace():
|
||||
log.warning('empty pattern received, skipping..')
|
||||
|
||||
# TODO: *BUG* if nothing is returned here the client
|
||||
# side will cache a null set result and not showing
|
||||
# anything to the use on re-searches when this query
|
||||
# timed out. We probably need a special "timeout" msg
|
||||
# or something...
|
||||
|
||||
# XXX: this unblocks the far end search task which may
|
||||
# hold up a multi-search nursery block
|
||||
await stream.send({})
|
||||
|
||||
continue
|
||||
|
||||
log.debug(f'searching for {pattern}')
|
||||
|
||||
last = time.time()
|
||||
|
||||
# async batch search using api stocks endpoint and module
|
||||
# defined adhoc symbol set.
|
||||
stock_results = []
|
||||
|
||||
async def stash_results(target: Awaitable[list]):
|
||||
stock_results.extend(await target)
|
||||
|
||||
async with trio.open_nursery() as sn:
|
||||
sn.start_soon(
|
||||
stash_results,
|
||||
proxy.search_symbols(
|
||||
pattern=pattern,
|
||||
upto=5,
|
||||
),
|
||||
)
|
||||
|
||||
# trigger async request
|
||||
await trio.sleep(0)
|
||||
|
||||
# match against our ad-hoc set immediately
|
||||
adhoc_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
list(_adhoc_futes_set),
|
||||
score_cutoff=90,
|
||||
)
|
||||
log.info(f'fuzzy matched adhocs: {adhoc_matches}')
|
||||
adhoc_match_results = {}
|
||||
if adhoc_matches:
|
||||
# TODO: do we need to pull contract details?
|
||||
adhoc_match_results = {i[0]: {} for i in adhoc_matches}
|
||||
|
||||
log.debug(f'fuzzy matching stocks {stock_results}')
|
||||
stock_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
stock_results,
|
||||
score_cutoff=50,
|
||||
)
|
||||
|
||||
matches = adhoc_match_results | {
|
||||
item[0]: {} for item in stock_matches
|
||||
}
|
||||
# TODO: we used to deliver contract details
|
||||
# {item[2]: item[0] for item in stock_matches}
|
||||
|
||||
log.debug(f"sending matches: {matches.keys()}")
|
||||
await stream.send(matches)
|
||||
|
|
@ -14,20 +14,18 @@
|
|||
# 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/>.
|
||||
|
||||
'''
|
||||
"""
|
||||
Kraken backend.
|
||||
|
||||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
"""
|
||||
from contextlib import asynccontextmanager
|
||||
from dataclasses import asdict, field
|
||||
from datetime import datetime
|
||||
from pprint import pformat
|
||||
from typing import Any, Optional, AsyncIterator, Callable, Union
|
||||
from typing import List, Dict, Any, Tuple, Optional
|
||||
import time
|
||||
|
||||
from trio_typing import TaskStatus
|
||||
import trio
|
||||
import pendulum
|
||||
import arrow
|
||||
import asks
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
|
|
@ -35,30 +33,12 @@ import tractor
|
|||
from pydantic.dataclasses import dataclass
|
||||
from pydantic import BaseModel
|
||||
import wsproto
|
||||
import urllib.parse
|
||||
import hashlib
|
||||
import hmac
|
||||
import base64
|
||||
|
||||
from .. import config
|
||||
from .._cacheables import open_cached_client
|
||||
from ._util import (
|
||||
resproc,
|
||||
SymbolNotFound,
|
||||
BrokerError,
|
||||
DataThrottle,
|
||||
DataUnavailable,
|
||||
)
|
||||
from ._util import resproc, SymbolNotFound, BrokerError
|
||||
from ..log import get_logger, get_console_log
|
||||
from ..data import ShmArray
|
||||
from ..data._web_bs import open_autorecon_ws, NoBsWs
|
||||
from ..clearing._paper_engine import PaperBoi
|
||||
from ..clearing._messages import (
|
||||
BrokerdPosition, BrokerdOrder, BrokerdStatus,
|
||||
BrokerdOrderAck, BrokerdError, BrokerdCancel,
|
||||
BrokerdFill,
|
||||
)
|
||||
|
||||
from ..data._web_bs import open_autorecon_ws
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
|
@ -87,7 +67,7 @@ ohlc_dtype = np.dtype(_ohlc_dtype)
|
|||
_show_wap_in_history = True
|
||||
|
||||
|
||||
_symbol_info_translation: dict[str, str] = {
|
||||
_symbol_info_translation: Dict[str, str] = {
|
||||
'tick_decimals': 'pair_decimals',
|
||||
}
|
||||
|
||||
|
|
@ -109,16 +89,16 @@ class Pair(BaseModel):
|
|||
lot_multiplier: float
|
||||
|
||||
# array of leverage amounts available when buying
|
||||
leverage_buy: list[int]
|
||||
leverage_buy: List[int]
|
||||
# array of leverage amounts available when selling
|
||||
leverage_sell: list[int]
|
||||
leverage_sell: List[int]
|
||||
|
||||
# fee schedule array in [volume, percent fee] tuples
|
||||
fees: list[tuple[int, float]]
|
||||
fees: List[Tuple[int, float]]
|
||||
|
||||
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||
# maker/taker)
|
||||
fees_maker: list[tuple[int, float]]
|
||||
fees_maker: List[Tuple[int, float]]
|
||||
|
||||
fee_volume_currency: str # volume discount currency
|
||||
margin_call: str # margin call level
|
||||
|
|
@ -126,27 +106,13 @@ class Pair(BaseModel):
|
|||
ordermin: float # minimum order volume for pair
|
||||
|
||||
|
||||
class Trade(BaseModel):
|
||||
'''
|
||||
Trade class that helps parse and validate ownTrades stream
|
||||
|
||||
'''
|
||||
reqid: str # kraken order transaction id
|
||||
action: str # buy or sell
|
||||
price: str # price of asset
|
||||
size: str # vol of asset
|
||||
broker_time: str # e.g GTC, GTD
|
||||
|
||||
|
||||
@dataclass
|
||||
class OHLC:
|
||||
'''
|
||||
Description of the flattened OHLC quote format.
|
||||
"""Description of the flattened OHLC quote format.
|
||||
|
||||
For schema details see:
|
||||
https://docs.kraken.com/websockets/#message-ohlc
|
||||
|
||||
'''
|
||||
"""
|
||||
chan_id: int # internal kraken id
|
||||
chan_name: str # eg. ohlc-1 (name-interval)
|
||||
pair: str # fx pair
|
||||
|
|
@ -160,54 +126,12 @@ class OHLC:
|
|||
volume: float # Accumulated volume **within interval**
|
||||
count: int # Number of trades within interval
|
||||
# (sampled) generated tick data
|
||||
ticks: list[Any] = field(default_factory=list)
|
||||
|
||||
|
||||
def get_config() -> dict[str, Any]:
|
||||
|
||||
conf, path = config.load()
|
||||
section = conf.get('kraken')
|
||||
|
||||
if section is None:
|
||||
log.warning(f'No config section found for kraken in {path}')
|
||||
return {}
|
||||
|
||||
return section
|
||||
|
||||
|
||||
def get_kraken_signature(
|
||||
urlpath: str,
|
||||
data: dict[str, Any],
|
||||
secret: str
|
||||
) -> str:
|
||||
postdata = urllib.parse.urlencode(data)
|
||||
encoded = (str(data['nonce']) + postdata).encode()
|
||||
message = urlpath.encode() + hashlib.sha256(encoded).digest()
|
||||
|
||||
mac = hmac.new(base64.b64decode(secret), message, hashlib.sha512)
|
||||
sigdigest = base64.b64encode(mac.digest())
|
||||
return sigdigest.decode()
|
||||
|
||||
|
||||
class InvalidKey(ValueError):
|
||||
'''
|
||||
EAPI:Invalid key
|
||||
This error is returned when the API key used for the call is
|
||||
either expired or disabled, please review the API key in your
|
||||
Settings -> API tab of account management or generate a new one
|
||||
and update your application.
|
||||
|
||||
'''
|
||||
ticks: List[Any] = field(default_factory=list)
|
||||
|
||||
|
||||
class Client:
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
name: str = '',
|
||||
api_key: str = '',
|
||||
secret: str = ''
|
||||
) -> None:
|
||||
def __init__(self) -> None:
|
||||
self._sesh = asks.Session(connections=4)
|
||||
self._sesh.base_location = _url
|
||||
self._sesh.headers.update({
|
||||
|
|
@ -215,12 +139,9 @@ class Client:
|
|||
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
|
||||
})
|
||||
self._pairs: list[str] = []
|
||||
self._name = name
|
||||
self._api_key = api_key
|
||||
self._secret = secret
|
||||
|
||||
@property
|
||||
def pairs(self) -> dict[str, Any]:
|
||||
def pairs(self) -> Dict[str, Any]:
|
||||
if self._pairs is None:
|
||||
raise RuntimeError(
|
||||
"Make sure to run `cache_symbols()` on startup!"
|
||||
|
|
@ -233,7 +154,7 @@ class Client:
|
|||
self,
|
||||
method: str,
|
||||
data: dict,
|
||||
) -> dict[str, Any]:
|
||||
) -> Dict[str, Any]:
|
||||
resp = await self._sesh.post(
|
||||
path=f'/public/{method}',
|
||||
json=data,
|
||||
|
|
@ -241,112 +162,6 @@ class Client:
|
|||
)
|
||||
return resproc(resp, log)
|
||||
|
||||
async def _private(
|
||||
self,
|
||||
method: str,
|
||||
data: dict,
|
||||
uri_path: str
|
||||
) -> dict[str, Any]:
|
||||
headers = {
|
||||
'Content-Type':
|
||||
'application/x-www-form-urlencoded',
|
||||
'API-Key':
|
||||
self._api_key,
|
||||
'API-Sign':
|
||||
get_kraken_signature(uri_path, data, self._secret)
|
||||
}
|
||||
resp = await self._sesh.post(
|
||||
path=f'/private/{method}',
|
||||
data=data,
|
||||
headers=headers,
|
||||
timeout=float('inf')
|
||||
)
|
||||
return resproc(resp, log)
|
||||
|
||||
async def endpoint(
|
||||
self,
|
||||
method: str,
|
||||
data: dict[str, Any]
|
||||
) -> dict[str, Any]:
|
||||
uri_path = f'/0/private/{method}'
|
||||
data['nonce'] = str(int(1000*time.time()))
|
||||
return await self._private(method, data, uri_path)
|
||||
|
||||
async def get_trades(
|
||||
self,
|
||||
data: dict[str, Any] = {}
|
||||
) -> dict[str, Any]:
|
||||
data['ofs'] = 0
|
||||
# Grab all trade history
|
||||
# https://docs.kraken.com/rest/#operation/getTradeHistory
|
||||
# Kraken uses 'ofs' to refer to the offset
|
||||
while True:
|
||||
resp = await self.endpoint('TradesHistory', data)
|
||||
# grab the first 50 trades
|
||||
if data['ofs'] == 0:
|
||||
trades = resp['result']['trades']
|
||||
# load the next 50 trades using dict constructor
|
||||
# for speed
|
||||
elif data['ofs'] == 50:
|
||||
trades = dict(trades, **resp['result']['trades'])
|
||||
# catch the end of the trades
|
||||
elif resp['result']['trades'] == {}:
|
||||
count = resp['result']['count']
|
||||
break
|
||||
# update existing dict if num trades exceeds 100
|
||||
else:
|
||||
trades.update(resp['result']['trades'])
|
||||
# increment the offset counter
|
||||
data['ofs'] += 50
|
||||
# To avoid exceeding API rate limit in case of a lot of trades
|
||||
await trio.sleep(1)
|
||||
|
||||
# make sure you grabbed all the trades
|
||||
assert count == len(trades.values())
|
||||
|
||||
return trades
|
||||
|
||||
async def submit_limit(
|
||||
self,
|
||||
symbol: str,
|
||||
price: float,
|
||||
action: str,
|
||||
size: float,
|
||||
reqid: str = None,
|
||||
validate: bool = False # set True test call without a real submission
|
||||
) -> dict:
|
||||
'''
|
||||
Place an order and return integer request id provided by client.
|
||||
|
||||
'''
|
||||
# Build common data dict for common keys from both endpoints
|
||||
data = {
|
||||
"pair": symbol,
|
||||
"price": str(price),
|
||||
"validate": validate
|
||||
}
|
||||
if reqid is None:
|
||||
# Build order data for kraken api
|
||||
data |= {
|
||||
"ordertype": "limit", "type": action, "volume": str(size)
|
||||
}
|
||||
return await self.endpoint('AddOrder', data)
|
||||
else:
|
||||
# Edit order data for kraken api
|
||||
data["txid"] = reqid
|
||||
return await self.endpoint('EditOrder', data)
|
||||
|
||||
async def submit_cancel(
|
||||
self,
|
||||
reqid: str,
|
||||
) -> dict:
|
||||
'''
|
||||
Send cancel request for order id ``reqid``.
|
||||
|
||||
'''
|
||||
# txid is a transaction id given by kraken
|
||||
return await self.endpoint('CancelOrder', {"txid": reqid})
|
||||
|
||||
async def symbol_info(
|
||||
self,
|
||||
pair: Optional[str] = None,
|
||||
|
|
@ -382,7 +197,7 @@ class Client:
|
|||
self,
|
||||
pattern: str,
|
||||
limit: int = None,
|
||||
) -> dict[str, Any]:
|
||||
) -> Dict[str, Any]:
|
||||
if self._pairs is not None:
|
||||
data = self._pairs
|
||||
else:
|
||||
|
|
@ -399,26 +214,17 @@ class Client:
|
|||
async def bars(
|
||||
self,
|
||||
symbol: str = 'XBTUSD',
|
||||
|
||||
# UTC 2017-07-02 12:53:20
|
||||
since: Optional[Union[int, datetime]] = None,
|
||||
since: int = None,
|
||||
count: int = 720, # <- max allowed per query
|
||||
as_np: bool = True,
|
||||
|
||||
) -> dict:
|
||||
|
||||
if since is None:
|
||||
since = pendulum.now('UTC').start_of('minute').subtract(
|
||||
minutes=count).timestamp()
|
||||
|
||||
elif isinstance(since, int):
|
||||
since = pendulum.from_timestamp(since).timestamp()
|
||||
|
||||
else: # presumably a pendulum datetime
|
||||
since = since.timestamp()
|
||||
since = arrow.utcnow().floor('minute').shift(
|
||||
minutes=-count).timestamp()
|
||||
|
||||
# UTC 2017-07-02 12:53:20 is oldest seconds value
|
||||
since = str(max(1499000000, int(since)))
|
||||
since = str(max(1499000000, since))
|
||||
json = await self._public(
|
||||
'OHLC',
|
||||
data={
|
||||
|
|
@ -462,29 +268,11 @@ class Client:
|
|||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
return array
|
||||
except KeyError:
|
||||
errmsg = json['error'][0]
|
||||
|
||||
if 'not found' in errmsg:
|
||||
raise SymbolNotFound(errmsg + f': {symbol}')
|
||||
|
||||
elif 'Too many requests' in errmsg:
|
||||
raise DataThrottle(f'{symbol}')
|
||||
|
||||
else:
|
||||
raise BrokerError(errmsg)
|
||||
raise SymbolNotFound(json['error'][0] + f': {symbol}')
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def get_client() -> Client:
|
||||
|
||||
section = get_config()
|
||||
if section:
|
||||
client = Client(
|
||||
name=section['key_descr'],
|
||||
api_key=section['api_key'],
|
||||
secret=section['secret']
|
||||
)
|
||||
else:
|
||||
client = Client()
|
||||
|
||||
# at startup, load all symbols locally for fast search
|
||||
|
|
@ -493,382 +281,8 @@ async def get_client() -> Client:
|
|||
yield client
|
||||
|
||||
|
||||
def pack_positions(
|
||||
acc: str,
|
||||
trades: dict
|
||||
) -> list[Any]:
|
||||
positions: dict[str, float] = {}
|
||||
vols: dict[str, float] = {}
|
||||
costs: dict[str, float] = {}
|
||||
position_msgs: list[Any] = []
|
||||
async def stream_messages(ws):
|
||||
|
||||
for trade in trades.values():
|
||||
sign = -1 if trade['type'] == 'sell' else 1
|
||||
pair = trade['pair']
|
||||
vol = float(trade['vol'])
|
||||
vols[pair] = vols.get(pair, 0) + sign * vol
|
||||
costs[pair] = costs.get(pair, 0) + sign * float(trade['cost'])
|
||||
positions[pair] = costs[pair] / vols[pair] if vols[pair] else 0
|
||||
|
||||
for ticker, pos in positions.items():
|
||||
vol = float(vols[ticker])
|
||||
if not vol:
|
||||
continue
|
||||
norm_sym = normalize_symbol(ticker)
|
||||
msg = BrokerdPosition(
|
||||
broker='kraken',
|
||||
account=acc,
|
||||
symbol=norm_sym,
|
||||
currency=norm_sym[-3:],
|
||||
size=vol,
|
||||
avg_price=float(pos),
|
||||
)
|
||||
position_msgs.append(msg.dict())
|
||||
|
||||
return position_msgs
|
||||
|
||||
|
||||
def normalize_symbol(
|
||||
ticker: str
|
||||
) -> str:
|
||||
# This is to convert symbol names from what kraken
|
||||
# uses to the traditional 3x3 pair symbol syntax
|
||||
symlen = len(ticker)
|
||||
if symlen == 6:
|
||||
return ticker.lower()
|
||||
else:
|
||||
for sym in ['XXBT', 'XXMR', 'ZEUR']:
|
||||
if sym in ticker:
|
||||
ticker = ticker.replace(sym, sym[1:])
|
||||
return ticker.lower()
|
||||
|
||||
|
||||
def make_auth_sub(data: dict[str, Any]) -> dict[str, str]:
|
||||
'''
|
||||
Create a request subscription packet dict.
|
||||
|
||||
## TODO: point to the auth urls
|
||||
https://docs.kraken.com/websockets/#message-subscribe
|
||||
|
||||
'''
|
||||
# eg. specific logic for this in kraken's sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
return {
|
||||
'event': 'subscribe',
|
||||
'subscription': data,
|
||||
}
|
||||
|
||||
|
||||
async def handle_order_requests(
|
||||
|
||||
client: Client,
|
||||
ems_order_stream: tractor.MsgStream,
|
||||
|
||||
) -> None:
|
||||
|
||||
request_msg: dict
|
||||
order: BrokerdOrder
|
||||
|
||||
async for request_msg in ems_order_stream:
|
||||
log.info(
|
||||
'Received order request:\n'
|
||||
f'{pformat(request_msg)}'
|
||||
)
|
||||
|
||||
action = request_msg['action']
|
||||
|
||||
if action in {'buy', 'sell'}:
|
||||
|
||||
account = request_msg['account']
|
||||
if account != 'kraken.spot':
|
||||
log.error(
|
||||
'This is a kraken account, \
|
||||
only a `kraken.spot` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
|
||||
# reason=f'Kraken only, No account found: `{account}` ?',
|
||||
reason=(
|
||||
'Kraken only, order mode disabled due to '
|
||||
'https://github.com/pikers/piker/issues/299'
|
||||
),
|
||||
|
||||
).dict())
|
||||
continue
|
||||
|
||||
# validate
|
||||
order = BrokerdOrder(**request_msg)
|
||||
# call our client api to submit the order
|
||||
resp = await client.submit_limit(
|
||||
symbol=order.symbol,
|
||||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
reqid=order.reqid,
|
||||
)
|
||||
|
||||
err = resp['error']
|
||||
if err:
|
||||
oid = order.oid
|
||||
log.error(f'Failed to submit order: {oid}')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=order.oid,
|
||||
reqid=order.reqid,
|
||||
symbol=order.symbol,
|
||||
reason="Failed order submission",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
else:
|
||||
# TODO: handle multiple orders (cancels?)
|
||||
# txid is an array of strings
|
||||
if order.reqid is None:
|
||||
reqid = resp['result']['txid'][0]
|
||||
else:
|
||||
# update the internal pairing of oid to krakens
|
||||
# txid with the new txid that is returned on edit
|
||||
reqid = resp['result']['txid']
|
||||
|
||||
# deliver ack that order has been submitted to broker routing
|
||||
await ems_order_stream.send(
|
||||
BrokerdOrderAck(
|
||||
|
||||
# ems order request id
|
||||
oid=order.oid,
|
||||
|
||||
# broker specific request id
|
||||
reqid=reqid,
|
||||
|
||||
# account the made the order
|
||||
account=order.account
|
||||
|
||||
).dict()
|
||||
)
|
||||
|
||||
elif action == 'cancel':
|
||||
msg = BrokerdCancel(**request_msg)
|
||||
|
||||
# Send order cancellation to kraken
|
||||
resp = await client.submit_cancel(
|
||||
reqid=msg.reqid
|
||||
)
|
||||
|
||||
# Check to make sure there was no error returned by
|
||||
# the kraken endpoint. Assert one order was cancelled.
|
||||
try:
|
||||
result = resp['result']
|
||||
count = result['count']
|
||||
|
||||
# check for 'error' key if we received no 'result'
|
||||
except KeyError:
|
||||
error = resp.get('error')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=msg.oid,
|
||||
reqid=msg.reqid,
|
||||
symbol=msg.symbol,
|
||||
reason="Failed order cancel",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
|
||||
if not error:
|
||||
raise BrokerError(f'Unknown order cancel response: {resp}')
|
||||
|
||||
else:
|
||||
if not count: # no orders were cancelled?
|
||||
|
||||
# XXX: what exactly is this from and why would we care?
|
||||
# there doesn't seem to be any docs here?
|
||||
# https://docs.kraken.com/rest/#operation/cancelOrder
|
||||
|
||||
# Check to make sure the cancellation is NOT pending,
|
||||
# then send the confirmation to the ems order stream
|
||||
pending = result.get('pending')
|
||||
if pending:
|
||||
log.error(f'Order {oid} cancel was not yet successful')
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdError(
|
||||
oid=msg.oid,
|
||||
reqid=msg.reqid,
|
||||
symbol=msg.symbol,
|
||||
# TODO: maybe figure out if pending
|
||||
# cancels will eventually get cancelled
|
||||
reason="Order cancel is still pending?",
|
||||
broker_details=resp
|
||||
).dict()
|
||||
)
|
||||
|
||||
else: # order cancel success case.
|
||||
|
||||
await ems_order_stream.send(
|
||||
BrokerdStatus(
|
||||
reqid=msg.reqid,
|
||||
account=msg.account,
|
||||
time_ns=time.time_ns(),
|
||||
status='cancelled',
|
||||
reason='Order cancelled',
|
||||
broker_details={'name': 'kraken'}
|
||||
).dict()
|
||||
)
|
||||
else:
|
||||
log.error(f'Unknown order command: {request_msg}')
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def trades_dialogue(
|
||||
ctx: tractor.Context,
|
||||
loglevel: str = None,
|
||||
) -> AsyncIterator[dict[str, Any]]:
|
||||
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
@acm
|
||||
async def subscribe(ws: wsproto.WSConnection, token: str):
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
# specific logic for this in kraken's shitty sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
trades_sub = make_auth_sub(
|
||||
{'name': 'ownTrades', 'token': token}
|
||||
)
|
||||
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_msg(trades_sub)
|
||||
|
||||
yield
|
||||
|
||||
# unsub from all pairs on teardown
|
||||
await ws.send_msg({
|
||||
'event': 'unsubscribe',
|
||||
'subscription': ['ownTrades'],
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# Authenticated block
|
||||
async with get_client() as client:
|
||||
if not client._api_key:
|
||||
log.error('Missing Kraken API key: Trades WS connection failed')
|
||||
await ctx.started(({}, ['paper']))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
|
||||
client = PaperBoi(
|
||||
'kraken',
|
||||
ems_stream,
|
||||
_buys={},
|
||||
_sells={},
|
||||
|
||||
_reqids={},
|
||||
|
||||
# TODO: load paper positions from ``positions.toml``
|
||||
_positions={},
|
||||
)
|
||||
|
||||
# TODO: maybe add multiple accounts
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
acc_name = 'kraken.' + client._name
|
||||
trades = await client.get_trades()
|
||||
|
||||
position_msgs = pack_positions(acc_name, trades)
|
||||
|
||||
await ctx.started((position_msgs, (acc_name,)))
|
||||
|
||||
# Get websocket token for authenticated data stream
|
||||
# Assert that a token was actually received.
|
||||
resp = await client.endpoint('GetWebSocketsToken', {})
|
||||
|
||||
# lol wtf is this..
|
||||
assert resp['error'] == []
|
||||
|
||||
token = resp['result']['token']
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
# TODO: maybe add multiple accounts
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
# Process trades msg stream of ws
|
||||
async with open_autorecon_ws(
|
||||
'wss://ws-auth.kraken.com/',
|
||||
fixture=subscribe,
|
||||
token=token,
|
||||
) as ws:
|
||||
async for msg in process_trade_msgs(ws):
|
||||
for trade in msg:
|
||||
# check the type of packaged message
|
||||
assert type(trade) == Trade
|
||||
|
||||
# prepare and send a filled status update
|
||||
filled_msg = BrokerdStatus(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
account='kraken.spot',
|
||||
status='filled',
|
||||
filled=float(trade.size),
|
||||
reason='Order filled by kraken',
|
||||
broker_details={
|
||||
'name': 'kraken',
|
||||
'broker_time': trade.broker_time
|
||||
},
|
||||
|
||||
# TODO: figure out if kraken gives a count
|
||||
# of how many units of underlying were
|
||||
# filled. Alternatively we can decrement
|
||||
# this value ourselves by associating and
|
||||
# calcing from the diff with the original
|
||||
# client-side request, see:
|
||||
# https://github.com/pikers/piker/issues/296
|
||||
remaining=0,
|
||||
)
|
||||
|
||||
await ems_stream.send(filled_msg.dict())
|
||||
|
||||
# send a fill msg for gui update
|
||||
fill_msg = BrokerdFill(
|
||||
reqid=trade.reqid,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
action=trade.action,
|
||||
size=float(trade.size),
|
||||
price=float(trade.price),
|
||||
# TODO: maybe capture more msg data i.e fees?
|
||||
broker_details={'name': 'kraken'},
|
||||
broker_time=float(trade.broker_time)
|
||||
)
|
||||
|
||||
await ems_stream.send(fill_msg.dict())
|
||||
|
||||
|
||||
async def stream_messages(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Message stream parser and heartbeat handler.
|
||||
|
||||
Deliver ws subscription messages as well as handle heartbeat logic
|
||||
though a single async generator.
|
||||
|
||||
'''
|
||||
too_slow_count = last_hb = 0
|
||||
|
||||
while True:
|
||||
|
|
@ -906,18 +320,6 @@ async def stream_messages(
|
|||
if err:
|
||||
raise BrokerError(err)
|
||||
else:
|
||||
yield msg
|
||||
|
||||
|
||||
async def process_data_feed_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
chan_id, *payload_array, chan_name, pair = msg
|
||||
|
||||
if 'ohlc' in chan_name:
|
||||
|
|
@ -947,54 +349,10 @@ async def process_data_feed_msgs(
|
|||
|
||||
else:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
yield msg
|
||||
|
||||
|
||||
async def process_trade_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
'''
|
||||
sequence_counter = 0
|
||||
async for msg in stream_messages(ws):
|
||||
|
||||
try:
|
||||
# check that we are on the ownTrades stream and that msgs
|
||||
# are arriving in sequence with kraken For clarification the
|
||||
# kraken ws api docs for this stream:
|
||||
# https://docs.kraken.com/websockets/#message-ownTrades
|
||||
assert msg[1] == 'ownTrades'
|
||||
assert msg[2]['sequence'] > sequence_counter
|
||||
sequence_counter += 1
|
||||
raw_msgs = msg[0]
|
||||
trade_msgs = []
|
||||
|
||||
# Check that we are only processing new trades
|
||||
if msg[2]['sequence'] != 1:
|
||||
# check if its a new order or an update msg
|
||||
for trade_msg in raw_msgs:
|
||||
trade = list(trade_msg.values())[0]
|
||||
order_msg = Trade(
|
||||
reqid=trade['ordertxid'],
|
||||
action=trade['type'],
|
||||
price=trade['price'],
|
||||
size=trade['vol'],
|
||||
broker_time=trade['time']
|
||||
)
|
||||
trade_msgs.append(order_msg)
|
||||
|
||||
yield trade_msgs
|
||||
|
||||
except AssertionError:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
yield msg
|
||||
|
||||
|
||||
def normalize(
|
||||
ohlc: OHLC,
|
||||
|
||||
) -> dict:
|
||||
quote = asdict(ohlc)
|
||||
quote['broker_ts'] = quote['time']
|
||||
|
|
@ -1012,13 +370,12 @@ def normalize(
|
|||
return topic, quote
|
||||
|
||||
|
||||
def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
|
||||
'''
|
||||
Create a request subscription packet dict.
|
||||
def make_sub(pairs: List[str], data: Dict[str, Any]) -> Dict[str, str]:
|
||||
"""Create a request subscription packet dict.
|
||||
|
||||
https://docs.kraken.com/websockets/#message-subscribe
|
||||
|
||||
'''
|
||||
"""
|
||||
# eg. specific logic for this in kraken's sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
return {
|
||||
|
|
@ -1028,55 +385,6 @@ def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
|
|||
}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
|
||||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
# lol, kraken won't send any more then the "last"
|
||||
# 720 1m bars.. so we have to just ignore further
|
||||
# requests of this type..
|
||||
queries: int = 0
|
||||
|
||||
async def get_ohlc(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
datetime, # start
|
||||
datetime, # end
|
||||
]:
|
||||
|
||||
nonlocal queries
|
||||
if queries > 0:
|
||||
raise DataUnavailable
|
||||
|
||||
count = 0
|
||||
while count <= 3:
|
||||
try:
|
||||
array = await client.bars(
|
||||
symbol,
|
||||
since=end_dt,
|
||||
)
|
||||
count += 1
|
||||
queries += 1
|
||||
break
|
||||
except DataThrottle:
|
||||
log.warning(f'kraken OHLC throttle for {symbol}')
|
||||
await trio.sleep(1)
|
||||
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
return array, start_dt, end_dt
|
||||
|
||||
yield get_ohlc, {'erlangs': 1, 'rate': 1}
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
|
||||
sym: str,
|
||||
|
|
@ -1085,9 +393,8 @@ async def backfill_bars(
|
|||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Fill historical bars into shared mem / storage afap.
|
||||
'''
|
||||
"""Fill historical bars into shared mem / storage afap.
|
||||
"""
|
||||
with trio.CancelScope() as cs:
|
||||
async with open_cached_client('kraken') as client:
|
||||
bars = await client.bars(symbol=sym)
|
||||
|
|
@ -1098,7 +405,8 @@ async def backfill_bars(
|
|||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
symbols: List[str],
|
||||
shm: ShmArray,
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
|
|
@ -1106,15 +414,13 @@ async def stream_quotes(
|
|||
sub_type: str = 'ohlc',
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Subscribe for ohlc stream of quotes for ``pairs``.
|
||||
"""Subscribe for ohlc stream of quotes for ``pairs``.
|
||||
|
||||
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
||||
|
||||
'''
|
||||
"""
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
|
|
@ -1145,11 +451,10 @@ async def stream_quotes(
|
|||
symbol: {
|
||||
'symbol_info': sym_infos[sym],
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
},
|
||||
}
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def subscribe(ws: wsproto.WSConnection):
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
|
|
@ -1187,23 +492,23 @@ async def stream_quotes(
|
|||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# see the tips on reconnection logic:
|
||||
# see the tips on reonnection logic:
|
||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||
ws: NoBsWs
|
||||
async with open_autorecon_ws(
|
||||
'wss://ws.kraken.com/',
|
||||
fixture=subscribe,
|
||||
) as ws:
|
||||
|
||||
# pull a first quote and deliver
|
||||
msg_gen = process_data_feed_msgs(ws)
|
||||
msg_gen = stream_messages(ws)
|
||||
|
||||
# TODO: use ``anext()`` when it lands in 3.10!
|
||||
typ, ohlc_last = await msg_gen.__anext__()
|
||||
|
||||
topic, quote = normalize(ohlc_last)
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
first_quote = {topic: quote}
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# lol, only "closes" when they're margin squeezing clients ;P
|
||||
feed_is_live.set()
|
||||
|
|
@ -1254,7 +559,6 @@ async def stream_quotes(
|
|||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> Client:
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
|
|
|
|||
|
|
@ -19,6 +19,7 @@ Questrade API backend.
|
|||
"""
|
||||
from __future__ import annotations
|
||||
import inspect
|
||||
import contextlib
|
||||
import time
|
||||
from datetime import datetime
|
||||
from functools import partial
|
||||
|
|
@ -31,10 +32,11 @@ from typing import (
|
|||
Callable,
|
||||
)
|
||||
|
||||
import pendulum
|
||||
import arrow
|
||||
import trio
|
||||
import tractor
|
||||
from async_generator import asynccontextmanager
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
import wrapt
|
||||
import asks
|
||||
|
|
@ -44,6 +46,7 @@ from .._cacheables import open_cached_client, async_lifo_cache
|
|||
from .. import config
|
||||
from ._util import resproc, BrokerError, SymbolNotFound
|
||||
from ..log import get_logger, colorize_json, get_console_log
|
||||
from . import get_brokermod
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -598,16 +601,12 @@ class Client:
|
|||
sid = sids[symbol]
|
||||
|
||||
# get last market open end time
|
||||
est_end = now = pendulum.now('UTC').in_timezoe(
|
||||
'America/New_York').start_of('minute')
|
||||
|
||||
est_end = now = arrow.utcnow().to('US/Eastern').floor('minute')
|
||||
# on non-paid feeds we can't retreive the first 15 mins
|
||||
wd = now.isoweekday()
|
||||
if wd > 5:
|
||||
quotes = await self.quote([symbol])
|
||||
est_end = pendulum.parse(
|
||||
quotes[0]['lastTradeTime']
|
||||
)
|
||||
est_end = arrow.get(quotes[0]['lastTradeTime'])
|
||||
if est_end.hour == 0:
|
||||
# XXX don't bother figuring out extended hours for now
|
||||
est_end = est_end.replace(hour=17)
|
||||
|
|
@ -668,7 +667,7 @@ def get_OHLCV(
|
|||
"""
|
||||
del bar['end']
|
||||
del bar['VWAP']
|
||||
bar['start'] = pendulum.from_timestamp(bar['start']) / 10**9
|
||||
bar['start'] = pd.Timestamp(bar['start']).value/10**9
|
||||
return tuple(bar.values())
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -29,8 +29,7 @@ from ._messages import BrokerdPosition, Status
|
|||
|
||||
|
||||
class Position(BaseModel):
|
||||
'''
|
||||
Basic pp (personal position) model with attached fills history.
|
||||
'''Basic pp (personal position) model with attached fills history.
|
||||
|
||||
This type should be IPC wire ready?
|
||||
|
||||
|
|
@ -62,15 +61,6 @@ class Position(BaseModel):
|
|||
self.avg_price = avg_price
|
||||
self.size = size
|
||||
|
||||
@property
|
||||
def dsize(self) -> float:
|
||||
'''
|
||||
The "dollar" size of the pp, normally in trading (fiat) unit
|
||||
terms.
|
||||
|
||||
'''
|
||||
return self.avg_price * self.size
|
||||
|
||||
|
||||
_size_units = bidict({
|
||||
'currency': '$ size',
|
||||
|
|
@ -124,8 +114,7 @@ class Allocator(BaseModel):
|
|||
def step_sizes(
|
||||
self,
|
||||
) -> (float, float):
|
||||
'''
|
||||
Return the units size for each unit type as a tuple.
|
||||
'''Return the units size for each unit type as a tuple.
|
||||
|
||||
'''
|
||||
slots = self.slots
|
||||
|
|
@ -153,8 +142,7 @@ class Allocator(BaseModel):
|
|||
action: str,
|
||||
|
||||
) -> dict:
|
||||
'''
|
||||
Generate order request info for the "next" submittable order
|
||||
'''Generate order request info for the "next" submittable order
|
||||
depending on position / order entry config.
|
||||
|
||||
'''
|
||||
|
|
@ -178,9 +166,7 @@ class Allocator(BaseModel):
|
|||
l_sub_pp = (self.currency_limit - live_cost_basis) / price
|
||||
|
||||
else:
|
||||
raise ValueError(
|
||||
f"Not valid size unit '{size_unit}'"
|
||||
)
|
||||
raise ValueError(f"Not valid size unit '{size}'")
|
||||
|
||||
# an entry (adding-to or starting a pp)
|
||||
if (
|
||||
|
|
@ -264,8 +250,7 @@ class Allocator(BaseModel):
|
|||
pp: Position,
|
||||
|
||||
) -> float:
|
||||
'''
|
||||
Calc and return the number of slots used by this ``Position``.
|
||||
'''Calc and return the number of slots used by this ``Position``.
|
||||
|
||||
'''
|
||||
abs_pp_size = abs(pp.size)
|
||||
|
|
@ -284,14 +269,6 @@ class Allocator(BaseModel):
|
|||
return round(prop * self.slots)
|
||||
|
||||
|
||||
_derivs = (
|
||||
'future',
|
||||
'continuous_future',
|
||||
'option',
|
||||
'futures_option',
|
||||
)
|
||||
|
||||
|
||||
def mk_allocator(
|
||||
|
||||
symbol: Symbol,
|
||||
|
|
@ -300,7 +277,7 @@ def mk_allocator(
|
|||
# default allocation settings
|
||||
defaults: dict[str, float] = {
|
||||
'account': None, # select paper by default
|
||||
'size_unit': 'currency',
|
||||
'size_unit': 'currency', #_size_units['currency'],
|
||||
'units_limit': 400,
|
||||
'currency_limit': 5e3,
|
||||
'slots': 4,
|
||||
|
|
@ -328,9 +305,11 @@ def mk_allocator(
|
|||
|
||||
asset_type = symbol.type_key
|
||||
|
||||
|
||||
# specific configs by asset class / type
|
||||
|
||||
if asset_type in _derivs:
|
||||
if asset_type in ('future', 'option', 'futures_option'):
|
||||
|
||||
# since it's harder to know how currency "applies" in this case
|
||||
# given leverage properties
|
||||
alloc.size_unit = '# units'
|
||||
|
|
@ -353,7 +332,7 @@ def mk_allocator(
|
|||
if startup_size > alloc.units_limit:
|
||||
alloc.units_limit = startup_size
|
||||
|
||||
if asset_type in _derivs:
|
||||
if asset_type in ('future', 'option', 'futures_option'):
|
||||
alloc.slots = alloc.units_limit
|
||||
|
||||
return alloc
|
||||
|
|
|
|||
|
|
@ -18,7 +18,7 @@
|
|||
Orders and execution client API.
|
||||
|
||||
"""
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from contextlib import asynccontextmanager
|
||||
from typing import Dict
|
||||
from pprint import pformat
|
||||
from dataclasses import dataclass, field
|
||||
|
|
@ -27,6 +27,7 @@ import trio
|
|||
import tractor
|
||||
from tractor.trionics import broadcast_receiver
|
||||
|
||||
from ..data._source import Symbol
|
||||
from ..log import get_logger
|
||||
from ._ems import _emsd_main
|
||||
from .._daemon import maybe_open_emsd
|
||||
|
|
@ -155,19 +156,16 @@ async def relay_order_cmds_from_sync_code(
|
|||
await to_ems_stream.send(cmd)
|
||||
|
||||
|
||||
@acm
|
||||
@asynccontextmanager
|
||||
async def open_ems(
|
||||
fqsn: str,
|
||||
broker: str,
|
||||
symbol: Symbol,
|
||||
|
||||
) -> (
|
||||
OrderBook,
|
||||
tractor.MsgStream,
|
||||
dict,
|
||||
):
|
||||
'''
|
||||
Spawn an EMS daemon and begin sending orders and receiving
|
||||
) -> (OrderBook, tractor.MsgStream, dict):
|
||||
"""Spawn an EMS daemon and begin sending orders and receiving
|
||||
alerts.
|
||||
|
||||
|
||||
This EMS tries to reduce most broker's terrible order entry apis to
|
||||
a very simple protocol built on a few easy to grok and/or
|
||||
"rantsy" premises:
|
||||
|
|
@ -196,22 +194,21 @@ async def open_ems(
|
|||
- 'dark_executed', 'broker_executed'
|
||||
- 'broker_filled'
|
||||
|
||||
'''
|
||||
"""
|
||||
# wait for service to connect back to us signalling
|
||||
# ready for order commands
|
||||
book = get_orders()
|
||||
|
||||
from ..data._source import unpack_fqsn
|
||||
broker, symbol, suffix = unpack_fqsn(fqsn)
|
||||
|
||||
async with maybe_open_emsd(broker) as portal:
|
||||
|
||||
async with (
|
||||
|
||||
# connect to emsd
|
||||
portal.open_context(
|
||||
|
||||
_emsd_main,
|
||||
fqsn=fqsn,
|
||||
broker=broker,
|
||||
symbol=symbol.key,
|
||||
|
||||
) as (ctx, (positions, accounts)),
|
||||
|
||||
|
|
@ -221,7 +218,7 @@ async def open_ems(
|
|||
async with trio.open_nursery() as n:
|
||||
n.start_soon(
|
||||
relay_order_cmds_from_sync_code,
|
||||
fqsn,
|
||||
symbol.key,
|
||||
trades_stream
|
||||
)
|
||||
|
||||
|
|
|
|||
|
|
@ -20,6 +20,7 @@ In da suit parlances: "Execution management systems"
|
|||
"""
|
||||
from contextlib import asynccontextmanager
|
||||
from dataclasses import dataclass, field
|
||||
from math import isnan
|
||||
from pprint import pformat
|
||||
import time
|
||||
from typing import AsyncIterator, Callable
|
||||
|
|
@ -53,8 +54,7 @@ def mk_check(
|
|||
action: str,
|
||||
|
||||
) -> Callable[[float, float], bool]:
|
||||
'''
|
||||
Create a predicate for given ``exec_price`` based on last known
|
||||
"""Create a predicate for given ``exec_price`` based on last known
|
||||
price, ``known_last``.
|
||||
|
||||
This is an automatic alert level thunk generator based on where the
|
||||
|
|
@ -62,7 +62,7 @@ def mk_check(
|
|||
interest is; pick an appropriate comparison operator based on
|
||||
avoiding the case where the a predicate returns true immediately.
|
||||
|
||||
'''
|
||||
"""
|
||||
# str compares:
|
||||
# https://stackoverflow.com/questions/46708708/compare-strings-in-numba-compiled-function
|
||||
|
||||
|
|
@ -80,9 +80,7 @@ def mk_check(
|
|||
|
||||
return check_lt
|
||||
|
||||
raise ValueError(
|
||||
f'trigger: {trigger_price}, last: {known_last}'
|
||||
)
|
||||
raise ValueError('trigger: {trigger_price}, last: {known_last}')
|
||||
|
||||
|
||||
@dataclass
|
||||
|
|
@ -114,8 +112,8 @@ class _DarkBook:
|
|||
|
||||
# tracks most recent values per symbol each from data feed
|
||||
lasts: dict[
|
||||
str,
|
||||
float,
|
||||
tuple[str, str],
|
||||
float
|
||||
] = field(default_factory=dict)
|
||||
|
||||
# mapping of piker ems order ids to current brokerd order flow message
|
||||
|
|
@ -136,42 +134,40 @@ async def clear_dark_triggers(
|
|||
ems_client_order_stream: tractor.MsgStream,
|
||||
quote_stream: tractor.ReceiveMsgStream, # noqa
|
||||
broker: str,
|
||||
fqsn: str,
|
||||
symbol: str,
|
||||
|
||||
book: _DarkBook,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Core dark order trigger loop.
|
||||
"""Core dark order trigger loop.
|
||||
|
||||
Scan the (price) data feed and submit triggered orders
|
||||
to broker.
|
||||
|
||||
'''
|
||||
"""
|
||||
# this stream may eventually contain multiple symbols
|
||||
# XXX: optimize this for speed!
|
||||
# TODO:
|
||||
# - numba all this!
|
||||
# - this stream may eventually contain multiple symbols
|
||||
async for quotes in quote_stream:
|
||||
|
||||
# TODO: numba all this!
|
||||
|
||||
# start = time.time()
|
||||
for sym, quote in quotes.items():
|
||||
execs = book.orders.get(sym, {})
|
||||
|
||||
execs = book.orders.get(sym, None)
|
||||
if execs is None:
|
||||
continue
|
||||
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
# dark order price filter(s)
|
||||
types=(
|
||||
'ask',
|
||||
'bid',
|
||||
'trade',
|
||||
'last',
|
||||
# 'dark_trade', # TODO: should allow via config?
|
||||
)
|
||||
types=('ask', 'bid', 'trade', 'last')
|
||||
):
|
||||
price = tick.get('price')
|
||||
ttype = tick['type']
|
||||
|
||||
# update to keep new cmds informed
|
||||
book.lasts[sym] = price
|
||||
book.lasts[(broker, symbol)] = price
|
||||
|
||||
for oid, (
|
||||
pred,
|
||||
|
|
@ -182,6 +178,7 @@ async def clear_dark_triggers(
|
|||
) in (
|
||||
tuple(execs.items())
|
||||
):
|
||||
|
||||
if (
|
||||
not pred or
|
||||
ttype not in tf or
|
||||
|
|
@ -196,7 +193,6 @@ async def clear_dark_triggers(
|
|||
|
||||
action: str = cmd['action']
|
||||
symbol: str = cmd['symbol']
|
||||
bfqsn: str = symbol.replace(f'.{broker}', '')
|
||||
|
||||
if action == 'alert':
|
||||
# nothing to do but relay a status
|
||||
|
|
@ -226,7 +222,7 @@ async def clear_dark_triggers(
|
|||
# order-request and instead create a new one.
|
||||
reqid=None,
|
||||
|
||||
symbol=bfqsn,
|
||||
symbol=sym,
|
||||
price=submit_price,
|
||||
size=cmd['size'],
|
||||
)
|
||||
|
|
@ -248,9 +244,12 @@ async def clear_dark_triggers(
|
|||
oid=oid, # ems order id
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
symbol=fqsn,
|
||||
|
||||
symbol=symbol,
|
||||
trigger_price=price,
|
||||
|
||||
broker_details={'name': broker},
|
||||
|
||||
cmd=cmd, # original request message
|
||||
|
||||
).dict()
|
||||
|
|
@ -263,20 +262,12 @@ async def clear_dark_triggers(
|
|||
f'pred for {oid} was already removed!?'
|
||||
)
|
||||
|
||||
try:
|
||||
await ems_client_order_stream.send(msg)
|
||||
except (
|
||||
trio.ClosedResourceError,
|
||||
):
|
||||
log.warning(
|
||||
f'client {ems_client_order_stream} stream is broke'
|
||||
)
|
||||
break
|
||||
|
||||
else: # condition scan loop complete
|
||||
log.debug(f'execs are {execs}')
|
||||
if execs:
|
||||
book.orders[fqsn] = execs
|
||||
book.orders[symbol] = execs
|
||||
|
||||
# print(f'execs scan took: {time.time() - start}')
|
||||
|
||||
|
|
@ -299,8 +290,7 @@ class TradesRelay:
|
|||
|
||||
|
||||
class Router(BaseModel):
|
||||
'''
|
||||
Order router which manages and tracks per-broker dark book,
|
||||
'''Order router which manages and tracks per-broker dark book,
|
||||
alerts, clearing and related data feed management.
|
||||
|
||||
A singleton per ``emsd`` actor.
|
||||
|
|
@ -388,8 +378,7 @@ async def open_brokerd_trades_dialogue(
|
|||
task_status: TaskStatus[TradesRelay] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> tuple[dict, tractor.MsgStream]:
|
||||
'''
|
||||
Open and yield ``brokerd`` trades dialogue context-stream if none
|
||||
'''Open and yield ``brokerd`` trades dialogue context-stream if none
|
||||
already exists.
|
||||
|
||||
'''
|
||||
|
|
@ -426,7 +415,8 @@ async def open_brokerd_trades_dialogue(
|
|||
# actor to simulate the real IPC load it'll have when also
|
||||
# pulling data from feeds
|
||||
open_trades_endpoint = paper.open_paperboi(
|
||||
fqsn='.'.join([symbol, broker]),
|
||||
broker=broker,
|
||||
symbol=symbol,
|
||||
loglevel=loglevel,
|
||||
)
|
||||
|
||||
|
|
@ -464,13 +454,12 @@ async def open_brokerd_trades_dialogue(
|
|||
# locally cache and track positions per account.
|
||||
pps = {}
|
||||
for msg in positions:
|
||||
log.info(f'loading pp: {msg}')
|
||||
|
||||
account = msg['account']
|
||||
assert account in accounts
|
||||
|
||||
pps.setdefault(
|
||||
f'{msg["symbol"]}.{broker}',
|
||||
msg['symbol'],
|
||||
{}
|
||||
)[account] = msg
|
||||
|
||||
|
|
@ -500,9 +489,7 @@ async def open_brokerd_trades_dialogue(
|
|||
finally:
|
||||
# parent context must have been closed
|
||||
# remove from cache so next client will respawn if needed
|
||||
relay = _router.relays.pop(broker, None)
|
||||
if not relay:
|
||||
log.warning(f'Relay for {broker} was already removed!?')
|
||||
_router.relays.pop(broker)
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
@ -534,8 +521,7 @@ async def translate_and_relay_brokerd_events(
|
|||
router: Router,
|
||||
|
||||
) -> AsyncIterator[dict]:
|
||||
'''
|
||||
Trades update loop - receive updates from ``brokerd`` trades
|
||||
'''Trades update loop - receive updates from ``brokerd`` trades
|
||||
endpoint, convert to EMS response msgs, transmit **only** to
|
||||
ordering client(s).
|
||||
|
||||
|
|
@ -563,10 +549,7 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
name = brokerd_msg['name']
|
||||
|
||||
log.info(
|
||||
f'Received broker trade event:\n'
|
||||
f'{pformat(brokerd_msg)}'
|
||||
)
|
||||
log.info(f'Received broker trade event:\n{pformat(brokerd_msg)}')
|
||||
|
||||
if name == 'position':
|
||||
|
||||
|
|
@ -574,28 +557,14 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
# XXX: this will be useful for automatic strats yah?
|
||||
# keep pps per account up to date locally in ``emsd`` mem
|
||||
sym, broker = pos_msg['symbol'], pos_msg['broker']
|
||||
|
||||
relay.positions.setdefault(
|
||||
# NOTE: translate to a FQSN!
|
||||
f'{sym}.{broker}',
|
||||
{}
|
||||
).setdefault(
|
||||
relay.positions.setdefault(pos_msg['symbol'], {}).setdefault(
|
||||
pos_msg['account'], {}
|
||||
).update(pos_msg)
|
||||
|
||||
# fan-out-relay position msgs immediately by
|
||||
# broadcasting updates on all client streams
|
||||
for client_stream in router.clients.copy():
|
||||
try:
|
||||
for client_stream in router.clients:
|
||||
await client_stream.send(pos_msg)
|
||||
except(
|
||||
trio.ClosedResourceError,
|
||||
trio.BrokenResourceError,
|
||||
):
|
||||
router.clients.remove(client_stream)
|
||||
log.warning(
|
||||
f'client for {client_stream} was already closed?')
|
||||
|
||||
continue
|
||||
|
||||
|
|
@ -618,28 +587,19 @@ async def translate_and_relay_brokerd_events(
|
|||
# packed at submission since we already know it ahead of
|
||||
# time
|
||||
paper = brokerd_msg['broker_details'].get('paper_info')
|
||||
ext = brokerd_msg['broker_details'].get('external')
|
||||
if paper:
|
||||
# paperboi keeps the ems id up front
|
||||
oid = paper['oid']
|
||||
|
||||
elif ext:
|
||||
else:
|
||||
# may be an order msg specified as "external" to the
|
||||
# piker ems flow (i.e. generated by some other
|
||||
# external broker backend client (like tws for ib)
|
||||
ext = brokerd_msg['broker_details'].get('external')
|
||||
if ext:
|
||||
log.error(f"External trade event {ext}")
|
||||
|
||||
continue
|
||||
|
||||
else:
|
||||
# something is out of order, we don't have an oid for
|
||||
# this broker-side message.
|
||||
log.error(
|
||||
'Unknown oid:{oid} for msg:\n'
|
||||
f'{pformat(brokerd_msg)}'
|
||||
'Unable to relay message to client side!?'
|
||||
)
|
||||
|
||||
else:
|
||||
# check for existing live flow entry
|
||||
entry = book._ems_entries.get(oid)
|
||||
|
|
@ -837,9 +797,7 @@ async def process_client_order_cmds(
|
|||
if reqid:
|
||||
|
||||
# send cancel to brokerd immediately!
|
||||
log.info(
|
||||
f'Submitting cancel for live order {reqid}'
|
||||
)
|
||||
log.info("Submitting cancel for live order {reqid}")
|
||||
|
||||
await brokerd_order_stream.send(msg.dict())
|
||||
|
||||
|
|
@ -876,15 +834,11 @@ async def process_client_order_cmds(
|
|||
|
||||
msg = Order(**cmd)
|
||||
|
||||
fqsn = msg.symbol
|
||||
sym = msg.symbol
|
||||
trigger_price = msg.price
|
||||
size = msg.size
|
||||
exec_mode = msg.exec_mode
|
||||
broker = msg.brokers[0]
|
||||
# remove the broker part before creating a message
|
||||
# to send to the specific broker since they probably
|
||||
# aren't expectig their own name, but should they?
|
||||
sym = fqsn.replace(f'.{broker}', '')
|
||||
|
||||
if exec_mode == 'live' and action in ('buy', 'sell',):
|
||||
|
||||
|
|
@ -942,7 +896,7 @@ async def process_client_order_cmds(
|
|||
# price received from the feed, instead of being
|
||||
# like every other shitty tina platform that makes
|
||||
# the user choose the predicate operator.
|
||||
last = dark_book.lasts[fqsn]
|
||||
last = dark_book.lasts[(broker, sym)]
|
||||
pred = mk_check(trigger_price, last, action)
|
||||
|
||||
spread_slap: float = 5
|
||||
|
|
@ -973,7 +927,7 @@ async def process_client_order_cmds(
|
|||
# dark book entry if the order id already exists
|
||||
|
||||
dark_book.orders.setdefault(
|
||||
fqsn, {}
|
||||
sym, {}
|
||||
)[oid] = (
|
||||
pred,
|
||||
tickfilter,
|
||||
|
|
@ -1000,8 +954,8 @@ async def process_client_order_cmds(
|
|||
async def _emsd_main(
|
||||
|
||||
ctx: tractor.Context,
|
||||
fqsn: str,
|
||||
|
||||
broker: str,
|
||||
symbol: str,
|
||||
_exec_mode: str = 'dark', # ('paper', 'dark', 'live')
|
||||
loglevel: str = 'info',
|
||||
|
||||
|
|
@ -1043,8 +997,6 @@ async def _emsd_main(
|
|||
global _router
|
||||
assert _router
|
||||
|
||||
from ..data._source import unpack_fqsn
|
||||
broker, symbol, suffix = unpack_fqsn(fqsn)
|
||||
dark_book = _router.get_dark_book(broker)
|
||||
|
||||
# TODO: would be nice if in tractor we can require either a ctx arg,
|
||||
|
|
@ -1057,16 +1009,18 @@ async def _emsd_main(
|
|||
# spawn one task per broker feed
|
||||
async with (
|
||||
maybe_open_feed(
|
||||
[fqsn],
|
||||
broker,
|
||||
[symbol],
|
||||
loglevel=loglevel,
|
||||
) as (feed, quote_stream),
|
||||
) as (feed, stream),
|
||||
):
|
||||
|
||||
# XXX: this should be initial price quote from target provider
|
||||
first_quote = feed.first_quotes[fqsn]
|
||||
first_quote = feed.first_quotes[symbol]
|
||||
|
||||
book = _router.get_dark_book(broker)
|
||||
book.lasts[fqsn] = first_quote['last']
|
||||
last = book.lasts[(broker, symbol)] = first_quote['last']
|
||||
assert not isnan(last) # ib is a cucker but we've fixed it in the backend
|
||||
|
||||
# open a stream with the brokerd backend for order
|
||||
# flow dialogue
|
||||
|
|
@ -1090,13 +1044,13 @@ async def _emsd_main(
|
|||
|
||||
# flatten out collected pps from brokerd for delivery
|
||||
pp_msgs = {
|
||||
fqsn: list(pps.values())
|
||||
for fqsn, pps in relay.positions.items()
|
||||
sym: list(pps.values())
|
||||
for sym, pps in relay.positions.items()
|
||||
}
|
||||
|
||||
# signal to client that we're started and deliver
|
||||
# all known pps and accounts for this ``brokerd``.
|
||||
await ems_ctx.started((pp_msgs, list(relay.accounts)))
|
||||
await ems_ctx.started((pp_msgs, relay.accounts))
|
||||
|
||||
# establish 2-way stream with requesting order-client and
|
||||
# begin handling inbound order requests and updates
|
||||
|
|
@ -1108,9 +1062,9 @@ async def _emsd_main(
|
|||
|
||||
brokerd_stream,
|
||||
ems_client_order_stream,
|
||||
quote_stream,
|
||||
stream,
|
||||
broker,
|
||||
fqsn, # form: <name>.<venue>.<suffix>.<broker>
|
||||
symbol,
|
||||
book
|
||||
)
|
||||
|
||||
|
|
@ -1126,7 +1080,7 @@ async def _emsd_main(
|
|||
# relay.brokerd_dialogue,
|
||||
brokerd_stream,
|
||||
|
||||
fqsn,
|
||||
symbol,
|
||||
feed,
|
||||
dark_book,
|
||||
_router,
|
||||
|
|
|
|||
|
|
@ -155,11 +155,8 @@ class BrokerdOrder(BaseModel):
|
|||
|
||||
|
||||
class BrokerdOrderAck(BaseModel):
|
||||
'''
|
||||
Immediate reponse to a brokerd order request providing the broker
|
||||
specific unique order id so that the EMS can associate this
|
||||
(presumably differently formatted broker side ID) with our own
|
||||
``.oid`` (which is a uuid4).
|
||||
'''Immediate reponse to a brokerd order request providing
|
||||
the broker specifci unique order id.
|
||||
|
||||
'''
|
||||
name: str = 'ack'
|
||||
|
|
@ -184,7 +181,7 @@ class BrokerdStatus(BaseModel):
|
|||
# {
|
||||
# 'submitted',
|
||||
# 'cancelled',
|
||||
# 'filled',
|
||||
# 'executed',
|
||||
# }
|
||||
status: str
|
||||
|
||||
|
|
@ -206,8 +203,7 @@ class BrokerdStatus(BaseModel):
|
|||
|
||||
|
||||
class BrokerdFill(BaseModel):
|
||||
'''
|
||||
A single message indicating a "fill-details" event from the broker
|
||||
'''A single message indicating a "fill-details" event from the broker
|
||||
if avaiable.
|
||||
|
||||
'''
|
||||
|
|
@ -231,18 +227,16 @@ class BrokerdFill(BaseModel):
|
|||
|
||||
|
||||
class BrokerdError(BaseModel):
|
||||
'''
|
||||
Optional error type that can be relayed to emsd for error handling.
|
||||
'''Optional error type that can be relayed to emsd for error handling.
|
||||
|
||||
This is still a TODO thing since we're not sure how to employ it yet.
|
||||
|
||||
'''
|
||||
name: str = 'error'
|
||||
oid: str
|
||||
|
||||
# if no brokerd order request was actually submitted (eg. we errored
|
||||
# at the ``pikerd`` layer) then there will be ``reqid`` allocated.
|
||||
reqid: Optional[Union[int, str]] = None
|
||||
reqid: Union[int, str] = ''
|
||||
|
||||
symbol: str
|
||||
reason: str
|
||||
|
|
|
|||
|
|
@ -32,7 +32,6 @@ from dataclasses import dataclass
|
|||
|
||||
from .. import data
|
||||
from ..data._normalize import iterticks
|
||||
from ..data._source import unpack_fqsn
|
||||
from ..log import get_logger
|
||||
from ._messages import (
|
||||
BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
|
||||
|
|
@ -390,7 +389,7 @@ async def handle_order_requests(
|
|||
account = request_msg['account']
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account, only a `paper` selection is valid'
|
||||
'On a paper account, only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
|
|
@ -447,7 +446,7 @@ async def trades_dialogue(
|
|||
|
||||
ctx: tractor.Context,
|
||||
broker: str,
|
||||
fqsn: str,
|
||||
symbol: str,
|
||||
loglevel: str = None,
|
||||
|
||||
) -> None:
|
||||
|
|
@ -456,15 +455,15 @@ async def trades_dialogue(
|
|||
async with (
|
||||
|
||||
data.open_feed(
|
||||
[fqsn],
|
||||
broker,
|
||||
[symbol],
|
||||
loglevel=loglevel,
|
||||
) as feed,
|
||||
|
||||
):
|
||||
# TODO: load paper positions per broker from .toml config file
|
||||
# and pass as symbol to position data mapping: ``dict[str, dict]``
|
||||
# await ctx.started(all_positions)
|
||||
await ctx.started(({}, {'paper',}))
|
||||
await ctx.started(({}, ['paper']))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
|
|
@ -491,16 +490,15 @@ async def trades_dialogue(
|
|||
|
||||
@asynccontextmanager
|
||||
async def open_paperboi(
|
||||
fqsn: str,
|
||||
broker: str,
|
||||
symbol: str,
|
||||
loglevel: str,
|
||||
|
||||
) -> Callable:
|
||||
'''
|
||||
Spawn a paper engine actor and yield through access to
|
||||
'''Spawn a paper engine actor and yield through access to
|
||||
its context.
|
||||
|
||||
'''
|
||||
broker, symbol, expiry = unpack_fqsn(fqsn)
|
||||
service_name = f'paperboi.{broker}'
|
||||
|
||||
async with (
|
||||
|
|
@ -519,7 +517,7 @@ async def open_paperboi(
|
|||
async with portal.open_context(
|
||||
trades_dialogue,
|
||||
broker=broker,
|
||||
fqsn=fqsn,
|
||||
symbol=symbol,
|
||||
loglevel=loglevel,
|
||||
|
||||
) as (ctx, first):
|
||||
|
|
|
|||
|
|
@ -1,25 +1,7 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of 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
|
||||
# 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/>.
|
||||
|
||||
'''
|
||||
"""
|
||||
CLI commons.
|
||||
|
||||
'''
|
||||
"""
|
||||
import os
|
||||
from pprint import pformat
|
||||
|
||||
import click
|
||||
import trio
|
||||
|
|
@ -34,22 +16,29 @@ 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')
|
||||
@click.option(
|
||||
'--tsdb',
|
||||
is_flag=True,
|
||||
help='Enable local ``marketstore`` instance'
|
||||
)
|
||||
def pikerd(loglevel, host, tl, pdb, tsdb):
|
||||
'''
|
||||
Spawn the piker broker-daemon.
|
||||
|
||||
'''
|
||||
def pikerd(loglevel, host, tl, pdb):
|
||||
"""Spawn the piker broker-daemon.
|
||||
"""
|
||||
from .._daemon import open_pikerd
|
||||
log = get_console_log(loglevel)
|
||||
|
||||
|
|
@ -63,38 +52,13 @@ def pikerd(loglevel, host, tl, pdb, tsdb):
|
|||
))
|
||||
|
||||
async def main():
|
||||
|
||||
async with (
|
||||
open_pikerd(
|
||||
loglevel=loglevel,
|
||||
debug_mode=pdb,
|
||||
), # normally delivers a ``Services`` handle
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
if tsdb:
|
||||
from piker.data._ahab import start_ahab
|
||||
from piker.data.marketstore import start_marketstore
|
||||
|
||||
log.info('Spawning `marketstore` supervisor')
|
||||
ctn_ready, config, (cid, pid) = await n.start(
|
||||
start_ahab,
|
||||
'marketstored',
|
||||
start_marketstore,
|
||||
|
||||
)
|
||||
log.info(
|
||||
f'`marketstore` up!\n'
|
||||
f'`marketstored` pid: {pid}\n'
|
||||
f'docker container id: {cid}\n'
|
||||
f'config: {pformat(config)}'
|
||||
)
|
||||
|
||||
async with open_pikerd(loglevel=loglevel, debug_mode=pdb):
|
||||
await trio.sleep_forever()
|
||||
|
||||
trio.run(main)
|
||||
|
||||
|
||||
@click.group(context_settings=config._context_defaults)
|
||||
@click.group(context_settings=_context_defaults)
|
||||
@click.option(
|
||||
'--brokers', '-b',
|
||||
default=[DEFAULT_BROKER],
|
||||
|
|
@ -123,8 +87,8 @@ def cli(ctx, brokers, loglevel, tl, configdir):
|
|||
'loglevel': loglevel,
|
||||
'tractorloglevel': None,
|
||||
'log': get_console_log(loglevel),
|
||||
'confdir': config._config_dir,
|
||||
'wl_path': config._watchlists_data_path,
|
||||
'confdir': _config_dir,
|
||||
'wl_path': _watchlists_data_path,
|
||||
})
|
||||
|
||||
# allow enabling same loglevel in ``tractor`` machinery
|
||||
|
|
@ -145,11 +109,13 @@ def services(config, tl, names):
|
|||
) as portal:
|
||||
registry = await portal.run_from_ns('self', 'get_registry')
|
||||
json_d = {}
|
||||
for key, socket in registry.items():
|
||||
# name, uuid = uid
|
||||
for uid, socket in registry.items():
|
||||
name, uuid = uid
|
||||
host, port = socket
|
||||
json_d[key] = f'{host}:{port}'
|
||||
click.echo(f"{colorize_json(json_d)}")
|
||||
json_d[f'{name}.{uuid}'] = f'{host}:{port}'
|
||||
click.echo(
|
||||
f"Available `piker` services:\n{colorize_json(json_d)}"
|
||||
)
|
||||
|
||||
tractor.run(
|
||||
list_services,
|
||||
|
|
|
|||
172
piker/config.py
172
piker/config.py
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) 2018-present Tyler Goodlet (in stewardship for pikers)
|
||||
# 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
|
||||
|
|
@ -16,10 +16,7 @@
|
|||
|
||||
"""
|
||||
Broker configuration mgmt.
|
||||
|
||||
"""
|
||||
import platform
|
||||
import sys
|
||||
import os
|
||||
from os.path import dirname
|
||||
import shutil
|
||||
|
|
@ -27,106 +24,14 @@ from typing import Optional
|
|||
|
||||
from bidict import bidict
|
||||
import toml
|
||||
import click
|
||||
|
||||
from .log import get_logger
|
||||
|
||||
log = get_logger('broker-config')
|
||||
|
||||
|
||||
# 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``
|
||||
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):
|
||||
]
|
||||
)
|
||||
|
||||
_conf_names: set[str] = {
|
||||
'brokers',
|
||||
'trades',
|
||||
'watchlists',
|
||||
}
|
||||
|
||||
_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,
|
||||
},
|
||||
}
|
||||
)
|
||||
_config_dir = click.get_app_dir('piker')
|
||||
_file_name = 'brokers.toml'
|
||||
|
||||
|
||||
def _override_config_dir(
|
||||
|
|
@ -136,72 +41,41 @@ def _override_config_dir(
|
|||
_config_dir = path
|
||||
|
||||
|
||||
def _conf_fn_w_ext(
|
||||
name: str,
|
||||
) -> str:
|
||||
# change this if we ever change the config file format.
|
||||
return f'{name}.toml'
|
||||
|
||||
|
||||
def get_conf_path(
|
||||
conf_name: str = 'brokers',
|
||||
|
||||
) -> str:
|
||||
def get_broker_conf_path():
|
||||
"""Return the default config path normally under
|
||||
``~/.config/piker`` on linux.
|
||||
|
||||
Contains files such as:
|
||||
- brokers.toml
|
||||
- watchlists.toml
|
||||
- trades.toml
|
||||
|
||||
# maybe coming soon ;)
|
||||
- signals.toml
|
||||
- strats.toml
|
||||
|
||||
"""
|
||||
assert conf_name in _conf_names
|
||||
fn = _conf_fn_w_ext(conf_name)
|
||||
return os.path.join(
|
||||
_config_dir,
|
||||
fn,
|
||||
)
|
||||
return os.path.join(_config_dir, _file_name)
|
||||
|
||||
|
||||
def repodir():
|
||||
'''
|
||||
Return the abspath to the repo directory.
|
||||
|
||||
'''
|
||||
"""Return the abspath to the repo directory.
|
||||
"""
|
||||
dirpath = os.path.abspath(
|
||||
# we're 3 levels down in **this** module file
|
||||
dirname(dirname(os.path.realpath(__file__)))
|
||||
dirname(dirname(dirname(os.path.realpath(__file__))))
|
||||
)
|
||||
return dirpath
|
||||
|
||||
|
||||
def load(
|
||||
conf_name: str = 'brokers',
|
||||
path: str = None
|
||||
|
||||
) -> (dict, str):
|
||||
'''
|
||||
Load config file by name.
|
||||
|
||||
'''
|
||||
path = path or get_conf_path(conf_name)
|
||||
"""Load broker config.
|
||||
"""
|
||||
path = path or get_broker_conf_path()
|
||||
if not os.path.isfile(path):
|
||||
fn = _conf_fn_w_ext(conf_name)
|
||||
|
||||
template = os.path.join(
|
||||
repodir(),
|
||||
'config',
|
||||
fn
|
||||
shutil.copyfile(
|
||||
os.path.join(repodir(), 'data/brokers.toml'),
|
||||
path,
|
||||
)
|
||||
# try to copy in a template config to the user's directory
|
||||
# if one exists.
|
||||
if os.path.isfile(template):
|
||||
shutil.copyfile(template, path)
|
||||
|
||||
config = toml.load(path)
|
||||
log.debug(f"Read config file {path}")
|
||||
|
|
@ -210,17 +84,13 @@ def load(
|
|||
|
||||
def write(
|
||||
config: dict, # toml config as dict
|
||||
name: str = 'brokers',
|
||||
path: str = None,
|
||||
|
||||
) -> None:
|
||||
''''
|
||||
Write broker config to disk.
|
||||
"""Write broker config to disk.
|
||||
|
||||
Create a ``brokers.ini`` file if one does not exist.
|
||||
|
||||
'''
|
||||
path = path or get_conf_path(name)
|
||||
"""
|
||||
path = path or get_broker_conf_path()
|
||||
dirname = os.path.dirname(path)
|
||||
if not os.path.isdir(dirname):
|
||||
log.debug(f"Creating config dir {_config_dir}")
|
||||
|
|
@ -230,10 +100,7 @@ def write(
|
|||
raise ValueError(
|
||||
"Watch out you're trying to write a blank config!")
|
||||
|
||||
log.debug(
|
||||
f"Writing config `{name}` file to:\n"
|
||||
f"{path}"
|
||||
)
|
||||
log.debug(f"Writing config file {path}")
|
||||
with open(path, 'w') as cf:
|
||||
return toml.dump(config, cf)
|
||||
|
||||
|
|
@ -263,5 +130,4 @@ def load_accounts(
|
|||
|
||||
# our default paper engine entry
|
||||
accounts['paper'] = None
|
||||
|
||||
return accounts
|
||||
|
|
|
|||
|
|
@ -1,385 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of 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
|
||||
# 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
|
||||
import time
|
||||
from typing import (
|
||||
Optional,
|
||||
Callable,
|
||||
Any,
|
||||
)
|
||||
from contextlib import asynccontextmanager as acm
|
||||
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
from tractor.msg import NamespacePath
|
||||
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__)
|
||||
|
||||
|
||||
class DockerNotStarted(Exception):
|
||||
'Prolly you dint start da daemon bruh'
|
||||
|
||||
|
||||
class ContainerError(RuntimeError):
|
||||
'Error reported via app-container logging level'
|
||||
|
||||
|
||||
@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()
|
||||
|
||||
|
||||
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}')
|
||||
|
||||
# print(f'level: {level}')
|
||||
if level in ('error', 'fatal'):
|
||||
raise ContainerError(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:
|
||||
if 'is not running' in err.explanation:
|
||||
return False
|
||||
|
||||
async def cancel(
|
||||
self,
|
||||
stop_msg: str,
|
||||
) -> None:
|
||||
|
||||
cid = self.cntr.id
|
||||
# first try a graceful cancel
|
||||
log.cancel(
|
||||
f'SIGINT cancelling container: {cid}\n'
|
||||
f'waiting on stop msg: "{stop_msg}"'
|
||||
)
|
||||
self.try_signal('SIGINT')
|
||||
|
||||
start = time.time()
|
||||
for _ in range(30):
|
||||
|
||||
with trio.move_on_after(0.5) as cs:
|
||||
cs.shield = True
|
||||
await self.process_logs_until(stop_msg)
|
||||
|
||||
# if we aren't cancelled on above checkpoint then we
|
||||
# assume we read the expected stop msg and terminated.
|
||||
break
|
||||
|
||||
try:
|
||||
log.info(f'Polling for container shutdown:\n{cid}')
|
||||
|
||||
if self.cntr.status not in {'exited', 'not-running'}:
|
||||
self.cntr.wait(
|
||||
timeout=0.1,
|
||||
condition='not-running',
|
||||
)
|
||||
|
||||
break
|
||||
|
||||
except (
|
||||
ReadTimeout,
|
||||
):
|
||||
log.info(f'Still waiting on container:\n{cid}')
|
||||
continue
|
||||
|
||||
except (
|
||||
docker.errors.APIError,
|
||||
ConnectionError,
|
||||
):
|
||||
log.exception('Docker connection failure')
|
||||
break
|
||||
else:
|
||||
delay = time.time() - start
|
||||
log.error(
|
||||
f'Failed to kill container {cid} after {delay}s\n'
|
||||
'sending SIGKILL..'
|
||||
)
|
||||
# get out the big guns, bc apparently marketstore
|
||||
# doesn't actually know how to terminate gracefully
|
||||
# :eyeroll:...
|
||||
self.try_signal('SIGKILL')
|
||||
self.cntr.wait(
|
||||
timeout=3,
|
||||
condition='not-running',
|
||||
)
|
||||
|
||||
log.cancel(f'Container stopped: {cid}')
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_ahabd(
|
||||
ctx: tractor.Context,
|
||||
endpoint: str, # ns-pointer str-msg-type
|
||||
|
||||
**kwargs,
|
||||
|
||||
) -> None:
|
||||
get_console_log('info', name=__name__)
|
||||
|
||||
async with open_docker() as client:
|
||||
|
||||
# TODO: eventually offer a config-oriented API to do the mounts,
|
||||
# params, etc. passing to ``Containter.run()``?
|
||||
# call into endpoint for container config/init
|
||||
ep_func = NamespacePath(endpoint).load_ref()
|
||||
(
|
||||
dcntr,
|
||||
cntr_config,
|
||||
start_msg,
|
||||
stop_msg,
|
||||
) = ep_func(client)
|
||||
cntr = Container(dcntr)
|
||||
|
||||
with trio.move_on_after(1):
|
||||
found = await cntr.process_logs_until(start_msg)
|
||||
|
||||
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(),
|
||||
cntr_config,
|
||||
))
|
||||
|
||||
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()
|
||||
|
||||
finally:
|
||||
with trio.CancelScope(shield=True):
|
||||
await cntr.cancel(stop_msg)
|
||||
|
||||
|
||||
async def start_ahab(
|
||||
service_name: str,
|
||||
endpoint: Callable[docker.DockerClient, DockerContainer],
|
||||
task_status: TaskStatus[
|
||||
tuple[
|
||||
trio.Event,
|
||||
dict[str, Any],
|
||||
],
|
||||
] = 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
|
||||
)
|
||||
|
||||
async with portal.open_context(
|
||||
open_ahabd,
|
||||
endpoint=str(NamespacePath.from_ref(endpoint)),
|
||||
) as (ctx, first):
|
||||
|
||||
cid, pid, cntr_config = first
|
||||
|
||||
task_status.started((
|
||||
cn_ready,
|
||||
cntr_config,
|
||||
(cid, pid),
|
||||
))
|
||||
|
||||
await trio.sleep_forever()
|
||||
|
||||
# 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.
|
||||
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
|
||||
|
|
@ -14,67 +14,27 @@
|
|||
# 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/>.
|
||||
|
||||
'''
|
||||
"""
|
||||
Stream format enforcement.
|
||||
"""
|
||||
|
||||
'''
|
||||
from itertools import chain
|
||||
from typing import AsyncIterator
|
||||
from typing import AsyncIterator, Optional, Tuple
|
||||
|
||||
import numpy as np
|
||||
|
||||
|
||||
def iterticks(
|
||||
quote: dict,
|
||||
types: tuple[str] = (
|
||||
'trade',
|
||||
'dark_trade',
|
||||
),
|
||||
deduplicate_darks: bool = False,
|
||||
types: Tuple[str] = ('trade', 'dark_trade'),
|
||||
|
||||
) -> AsyncIterator:
|
||||
'''
|
||||
Iterate through ticks delivered per quote cycle.
|
||||
|
||||
'''
|
||||
if deduplicate_darks:
|
||||
assert 'dark_trade' in types
|
||||
|
||||
# print(f"{quote}\n\n")
|
||||
ticks = quote.get('ticks', ())
|
||||
trades = {}
|
||||
darks = {}
|
||||
|
||||
if ticks:
|
||||
|
||||
# do a first pass and attempt to remove duplicate dark
|
||||
# trades with the same tick signature.
|
||||
if deduplicate_darks:
|
||||
for tick in ticks:
|
||||
ttype = tick.get('type')
|
||||
|
||||
time = tick.get('time', None)
|
||||
if time:
|
||||
sig = (
|
||||
time,
|
||||
tick['price'],
|
||||
tick['size']
|
||||
)
|
||||
|
||||
if ttype == 'dark_trade':
|
||||
darks[sig] = tick
|
||||
|
||||
elif ttype == 'trade':
|
||||
trades[sig] = tick
|
||||
|
||||
# filter duplicates
|
||||
for sig, tick in trades.items():
|
||||
tick = darks.pop(sig, None)
|
||||
if tick:
|
||||
ticks.remove(tick)
|
||||
# print(f'DUPLICATE {tick}')
|
||||
|
||||
# re-insert ticks
|
||||
ticks.extend(list(chain(trades.values(), darks.values())))
|
||||
|
||||
for tick in ticks:
|
||||
# print(f"{quote['symbol']}: {tick}")
|
||||
ttype = tick.get('type')
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) 2018-present Tyler Goodlet (in stewardship of pikers)
|
||||
# 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
|
||||
|
|
@ -15,57 +15,40 @@
|
|||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Sampling and broadcast machinery for (soft) real-time delivery of
|
||||
financial data flows.
|
||||
|
||||
Data buffers for fast shared humpy.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from collections import Counter
|
||||
import time
|
||||
from typing import TYPE_CHECKING, Optional, Union
|
||||
from typing import Dict, List
|
||||
|
||||
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
|
||||
from .feed import _FeedsBus
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class sampler:
|
||||
'''
|
||||
Global sampling engine registry.
|
||||
# TODO: we could stick these in a composed type to avoid
|
||||
# angering the "i hate module scoped variables crowd" (yawn).
|
||||
_shms: Dict[int, List[ShmArray]] = {}
|
||||
_start_increment: Dict[str, trio.Event] = {}
|
||||
_incrementers: Dict[int, trio.CancelScope] = {}
|
||||
_subscribers: Dict[str, tractor.Context] = {}
|
||||
|
||||
Manages state for sampling events, shm incrementing and
|
||||
sample period logic.
|
||||
|
||||
'''
|
||||
# TODO: we could stick these in a composed type to avoid
|
||||
# angering the "i hate module scoped variables crowd" (yawn).
|
||||
ohlcv_shms: dict[int, list[ShmArray]] = {}
|
||||
|
||||
# holds one-task-per-sample-period tasks which are spawned as-needed by
|
||||
# data feed requests with a given detected time step usually from
|
||||
# history loading.
|
||||
incrementers: dict[int, trio.CancelScope] = {}
|
||||
|
||||
# holds all the ``tractor.Context`` remote subscriptions for
|
||||
# a particular sample period increment event: all subscribers are
|
||||
# notified on a step.
|
||||
subscribers: dict[int, tractor.Context] = {}
|
||||
def shm_incrementing(shm_token_name: str) -> trio.Event:
|
||||
global _start_increment
|
||||
return _start_increment.setdefault(shm_token_name, trio.Event())
|
||||
|
||||
|
||||
async def increment_ohlc_buffer(
|
||||
delay_s: int,
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
):
|
||||
'''
|
||||
Task which inserts new bars into the provide shared memory array
|
||||
"""Task which inserts new bars into the provide shared memory array
|
||||
every ``delay_s`` seconds.
|
||||
|
||||
This task fulfills 2 purposes:
|
||||
|
|
@ -76,8 +59,8 @@ async def increment_ohlc_buffer(
|
|||
|
||||
Note that if **no** actor has initiated this task then **none** of
|
||||
the underlying buffers will actually be incremented.
|
||||
"""
|
||||
|
||||
'''
|
||||
# # wait for brokerd to signal we should start sampling
|
||||
# await shm_incrementing(shm_token['shm_name']).wait()
|
||||
|
||||
|
|
@ -86,18 +69,19 @@ async def increment_ohlc_buffer(
|
|||
# to solve this is to make this task aware of the instrument's
|
||||
# tradable hours?
|
||||
|
||||
global _incrementers
|
||||
|
||||
# adjust delay to compensate for trio processing time
|
||||
ad = min(sampler.ohlcv_shms.keys()) - 0.001
|
||||
ad = min(_shms.keys()) - 0.001
|
||||
|
||||
total_s = 0 # total seconds counted
|
||||
lowest = min(sampler.ohlcv_shms.keys())
|
||||
lowest_shm = sampler.ohlcv_shms[lowest][0]
|
||||
lowest = min(_shms.keys())
|
||||
ad = lowest - 0.001
|
||||
|
||||
with trio.CancelScope() as cs:
|
||||
|
||||
# register this time period step as active
|
||||
sampler.incrementers[delay_s] = cs
|
||||
_incrementers[delay_s] = cs
|
||||
task_status.started(cs)
|
||||
|
||||
while True:
|
||||
|
|
@ -107,10 +91,8 @@ async def increment_ohlc_buffer(
|
|||
total_s += lowest
|
||||
|
||||
# increment all subscribed shm arrays
|
||||
# TODO:
|
||||
# - this in ``numba``
|
||||
# - just lookup shms for this step instead of iterating?
|
||||
for delay_s, shms in sampler.ohlcv_shms.items():
|
||||
# TODO: this in ``numba``
|
||||
for delay_s, shms in _shms.items():
|
||||
if total_s % delay_s != 0:
|
||||
continue
|
||||
|
||||
|
|
@ -135,107 +117,65 @@ async def increment_ohlc_buffer(
|
|||
# write to the buffer
|
||||
shm.push(last)
|
||||
|
||||
await broadcast(delay_s, shm=lowest_shm)
|
||||
# broadcast the buffer index step
|
||||
subs = _subscribers.get(delay_s, ())
|
||||
|
||||
|
||||
async def broadcast(
|
||||
delay_s: int,
|
||||
shm: Optional[ShmArray] = None,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Broadcast the given ``shm: ShmArray``'s buffer index step to any
|
||||
subscribers for a given sample period.
|
||||
|
||||
The sent msg will include the first and last index which slice into
|
||||
the buffer's non-empty data.
|
||||
|
||||
'''
|
||||
subs = sampler.subscribers.get(delay_s, ())
|
||||
|
||||
first = last = -1
|
||||
|
||||
if shm is None:
|
||||
periods = sampler.ohlcv_shms.keys()
|
||||
# if this is an update triggered by a history update there
|
||||
# might not actually be any sampling bus setup since there's
|
||||
# no "live feed" active yet.
|
||||
if periods:
|
||||
lowest = min(periods)
|
||||
shm = sampler.ohlcv_shms[lowest][0]
|
||||
first = shm._first.value
|
||||
last = shm._last.value
|
||||
|
||||
for stream in subs:
|
||||
for ctx in subs:
|
||||
try:
|
||||
await stream.send({
|
||||
'first': first,
|
||||
'last': last,
|
||||
'index': last,
|
||||
})
|
||||
await ctx.send_yield({'index': shm._last.value})
|
||||
except (
|
||||
trio.BrokenResourceError,
|
||||
trio.ClosedResourceError
|
||||
):
|
||||
log.error(
|
||||
f'{stream._ctx.chan.uid} dropped connection'
|
||||
)
|
||||
try:
|
||||
subs.remove(stream)
|
||||
except ValueError:
|
||||
log.warning(
|
||||
f'{stream._ctx.chan.uid} sub already removed!?'
|
||||
)
|
||||
log.error(f'{ctx.chan.uid} dropped connection')
|
||||
subs.remove(ctx)
|
||||
|
||||
|
||||
@tractor.context
|
||||
@tractor.stream
|
||||
async def iter_ohlc_periods(
|
||||
ctx: tractor.Context,
|
||||
delay_s: int,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
"""
|
||||
Subscribe to OHLC sampling "step" events: when the time
|
||||
aggregation period increments, this event stream emits an index
|
||||
event.
|
||||
|
||||
'''
|
||||
"""
|
||||
# add our subscription
|
||||
subs = sampler.subscribers.setdefault(delay_s, [])
|
||||
await ctx.started()
|
||||
async with ctx.open_stream() as stream:
|
||||
subs.append(stream)
|
||||
global _subscribers
|
||||
subs = _subscribers.setdefault(delay_s, [])
|
||||
subs.append(ctx)
|
||||
|
||||
try:
|
||||
# stream and block until cancelled
|
||||
await trio.sleep_forever()
|
||||
finally:
|
||||
try:
|
||||
subs.remove(stream)
|
||||
subs.remove(ctx)
|
||||
except ValueError:
|
||||
log.error(
|
||||
f'iOHLC step stream was already dropped {ctx.chan.uid}?'
|
||||
f'iOHLC step stream was already dropped for {ctx.chan.uid}?'
|
||||
)
|
||||
|
||||
|
||||
async def sample_and_broadcast(
|
||||
|
||||
bus: _FeedsBus, # noqa
|
||||
bus: '_FeedsBus', # noqa
|
||||
shm: ShmArray,
|
||||
quote_stream: trio.abc.ReceiveChannel,
|
||||
brokername: str,
|
||||
sum_tick_vlm: bool = True,
|
||||
|
||||
) -> None:
|
||||
|
||||
log.info("Started shared mem bar writer")
|
||||
|
||||
overruns = Counter()
|
||||
|
||||
# iterate stream delivered by broker
|
||||
async for quotes in quote_stream:
|
||||
# TODO: ``numba`` this!
|
||||
for broker_symbol, quote in quotes.items():
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
# TODO: in theory you can send the IPC msg *before* writing
|
||||
# to the sharedmem array to decrease latency, however, that
|
||||
# will require at least some way to prevent task switching
|
||||
|
|
@ -299,22 +239,10 @@ async def sample_and_broadcast(
|
|||
# end up triggering backpressure which which will
|
||||
# eventually block this producer end of the feed and
|
||||
# thus other consumers still attached.
|
||||
subs: list[
|
||||
tuple[
|
||||
Union[tractor.MsgStream, trio.MemorySendChannel],
|
||||
tractor.Context,
|
||||
Optional[float], # tick throttle in Hz
|
||||
]
|
||||
] = bus._subscribers[broker_symbol.lower()]
|
||||
subs = bus._subscribers[sym.lower()]
|
||||
|
||||
# NOTE: by default the broker backend doesn't append
|
||||
# it's own "name" into the fqsn schema (but maybe it
|
||||
# should?) so we have to manually generate the correct
|
||||
# key here.
|
||||
bsym = f'{broker_symbol}.{brokername}'
|
||||
lags: int = 0
|
||||
|
||||
for (stream, ctx, tick_throttle) in subs:
|
||||
lags = 0
|
||||
for (stream, tick_throttle) in subs:
|
||||
|
||||
try:
|
||||
with trio.move_on_after(0.2) as cs:
|
||||
|
|
@ -322,49 +250,21 @@ async def sample_and_broadcast(
|
|||
# this is a send mem chan that likely
|
||||
# pushes to the ``uniform_rate_send()`` below.
|
||||
try:
|
||||
stream.send_nowait(
|
||||
(bsym, quote)
|
||||
)
|
||||
stream.send_nowait((sym, quote))
|
||||
except trio.WouldBlock:
|
||||
chan = ctx.chan
|
||||
ctx = getattr(sream, '_ctx', None)
|
||||
if ctx:
|
||||
log.warning(
|
||||
f'Feed overrun {bus.brokername} ->'
|
||||
f'{chan.uid} !!!'
|
||||
f'{ctx.channel.uid} !!!'
|
||||
)
|
||||
else:
|
||||
key = id(stream)
|
||||
overruns[key] += 1
|
||||
log.warning(
|
||||
f'Feed overrun {broker_symbol}'
|
||||
'@{bus.brokername} -> '
|
||||
f'Feed overrun {bus.brokername} -> '
|
||||
f'feed @ {tick_throttle} Hz'
|
||||
)
|
||||
if overruns[key] > 6:
|
||||
# TODO: should we check for the
|
||||
# context being cancelled? this
|
||||
# could happen but the
|
||||
# channel-ipc-pipe is still up.
|
||||
if not chan.connected():
|
||||
log.warning(
|
||||
'Dropping broken consumer:\n'
|
||||
f'{broker_symbol}:'
|
||||
f'{ctx.cid}@{chan.uid}'
|
||||
)
|
||||
await stream.aclose()
|
||||
raise trio.BrokenResourceError
|
||||
else:
|
||||
log.warning(
|
||||
'Feed getting overrun bro!\n'
|
||||
f'{broker_symbol}:'
|
||||
f'{ctx.cid}@{chan.uid}'
|
||||
)
|
||||
continue
|
||||
|
||||
else:
|
||||
await stream.send(
|
||||
{bsym: quote}
|
||||
)
|
||||
await stream.send({sym: quote})
|
||||
|
||||
if cs.cancelled_caught:
|
||||
lags += 1
|
||||
|
|
@ -376,29 +276,21 @@ async def sample_and_broadcast(
|
|||
trio.ClosedResourceError,
|
||||
trio.EndOfChannel,
|
||||
):
|
||||
chan = ctx.chan
|
||||
ctx = getattr(stream, '_ctx', None)
|
||||
if ctx:
|
||||
log.warning(
|
||||
'Dropped `brokerd`-quotes-feed connection:\n'
|
||||
f'{broker_symbol}:'
|
||||
f'{ctx.cid}@{chan.uid}'
|
||||
f'{ctx.chan.uid} dropped '
|
||||
'`brokerd`-quotes-feed connection'
|
||||
)
|
||||
if tick_throttle:
|
||||
assert stream._closed
|
||||
assert stream.closed()
|
||||
|
||||
# XXX: do we need to deregister here
|
||||
# if it's done in the fee bus code?
|
||||
# so far seems like no since this should all
|
||||
# be single-threaded. Doing it anyway though
|
||||
# since there seems to be some kinda race..
|
||||
try:
|
||||
subs.remove((stream, tick_throttle))
|
||||
except ValueError:
|
||||
log.error(
|
||||
f'Stream was already removed from subs!?\n'
|
||||
f'{broker_symbol}:'
|
||||
f'{ctx.cid}@{chan.uid}'
|
||||
)
|
||||
|
||||
|
||||
# TODO: a less naive throttler, here's some snippets:
|
||||
|
|
@ -411,8 +303,6 @@ async def uniform_rate_send(
|
|||
quote_stream: trio.abc.ReceiveChannel,
|
||||
stream: tractor.MsgStream,
|
||||
|
||||
task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: compute the approx overhead latency per cycle
|
||||
|
|
@ -423,8 +313,6 @@ async def uniform_rate_send(
|
|||
last_send = time.time()
|
||||
diff = 0
|
||||
|
||||
task_status.started()
|
||||
|
||||
while True:
|
||||
|
||||
# compute the remaining time to sleep for this throttled cycle
|
||||
|
|
@ -432,12 +320,7 @@ async def uniform_rate_send(
|
|||
|
||||
if left_to_sleep > 0:
|
||||
with trio.move_on_after(left_to_sleep) as cs:
|
||||
try:
|
||||
sym, last_quote = await quote_stream.receive()
|
||||
except trio.EndOfChannel:
|
||||
log.exception(f"feed for {stream} ended?")
|
||||
break
|
||||
|
||||
diff = time.time() - last_send
|
||||
|
||||
if not first_quote:
|
||||
|
|
@ -488,7 +371,7 @@ async def uniform_rate_send(
|
|||
|
||||
# we have a quote already so send it now.
|
||||
|
||||
# measured_rate = 1 / (time.time() - last_send)
|
||||
measured_rate = 1 / (time.time() - last_send)
|
||||
# log.info(
|
||||
# f'`{sym}` throttled send hz: {round(measured_rate, ndigits=1)}'
|
||||
# )
|
||||
|
|
@ -497,20 +380,10 @@ async def uniform_rate_send(
|
|||
# rate timing exactly lul
|
||||
try:
|
||||
await stream.send({sym: first_quote})
|
||||
except (
|
||||
# NOTE: any of these can be raised by ``tractor``'s IPC
|
||||
# transport-layer and we want to be highly resilient
|
||||
# to consumers which crash or lose network connection.
|
||||
# I.e. we **DO NOT** want to crash and propagate up to
|
||||
# ``pikerd`` these kinds of errors!
|
||||
trio.ClosedResourceError,
|
||||
trio.BrokenResourceError,
|
||||
ConnectionResetError,
|
||||
):
|
||||
except trio.ClosedResourceError:
|
||||
# if the feed consumer goes down then drop
|
||||
# out of this rate limiter
|
||||
log.warning(f'{stream} closed')
|
||||
await stream.aclose()
|
||||
return
|
||||
|
||||
# reset send cycle state
|
||||
|
|
|
|||
|
|
@ -18,19 +18,17 @@
|
|||
NumPy compatible shared memory buffers for real-time IPC streaming.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from dataclasses import dataclass, asdict
|
||||
from sys import byteorder
|
||||
import time
|
||||
from typing import Optional
|
||||
from typing import List, Tuple, Optional
|
||||
from multiprocessing.shared_memory import SharedMemory, _USE_POSIX
|
||||
from multiprocessing import resource_tracker as mantracker
|
||||
|
||||
if _USE_POSIX:
|
||||
from _posixshmem import shm_unlink
|
||||
|
||||
import tractor
|
||||
import numpy as np
|
||||
from pydantic import BaseModel
|
||||
from numpy.lib import recfunctions as rfn
|
||||
|
||||
from ..log import get_logger
|
||||
from ._source import base_iohlc_dtype
|
||||
|
|
@ -39,21 +37,8 @@ from ._source import base_iohlc_dtype
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
# how much is probably dependent on lifestyle
|
||||
_secs_in_day = int(60 * 60 * 24)
|
||||
# we try for a buncha times, but only on a run-every-other-day kinda week.
|
||||
_days_worth = 16
|
||||
_default_size = _days_worth * _secs_in_day
|
||||
# where to start the new data append index
|
||||
_rt_buffer_start = int((_days_worth - 1) * _secs_in_day)
|
||||
|
||||
|
||||
def cuckoff_mantracker():
|
||||
|
||||
from multiprocessing import resource_tracker as mantracker
|
||||
|
||||
# Tell the "resource tracker" thing to fuck off.
|
||||
class ManTracker(mantracker.ResourceTracker):
|
||||
# Tell the "resource tracker" thing to fuck off.
|
||||
class ManTracker(mantracker.ResourceTracker):
|
||||
def register(self, name, rtype):
|
||||
pass
|
||||
|
||||
|
|
@ -63,17 +48,15 @@ def cuckoff_mantracker():
|
|||
def ensure_running(self):
|
||||
pass
|
||||
|
||||
# "know your land and know your prey"
|
||||
# https://www.dailymotion.com/video/x6ozzco
|
||||
mantracker._resource_tracker = ManTracker()
|
||||
mantracker.register = mantracker._resource_tracker.register
|
||||
mantracker.ensure_running = mantracker._resource_tracker.ensure_running
|
||||
# ensure_running = mantracker._resource_tracker.ensure_running
|
||||
mantracker.unregister = mantracker._resource_tracker.unregister
|
||||
mantracker.getfd = mantracker._resource_tracker.getfd
|
||||
|
||||
|
||||
cuckoff_mantracker()
|
||||
# "know your land and know your prey"
|
||||
# https://www.dailymotion.com/video/x6ozzco
|
||||
mantracker._resource_tracker = ManTracker()
|
||||
mantracker.register = mantracker._resource_tracker.register
|
||||
mantracker.ensure_running = mantracker._resource_tracker.ensure_running
|
||||
ensure_running = mantracker._resource_tracker.ensure_running
|
||||
mantracker.unregister = mantracker._resource_tracker.unregister
|
||||
mantracker.getfd = mantracker._resource_tracker.getfd
|
||||
|
||||
|
||||
class SharedInt:
|
||||
|
|
@ -99,42 +82,29 @@ class SharedInt:
|
|||
if _USE_POSIX:
|
||||
# We manually unlink to bypass all the "resource tracker"
|
||||
# nonsense meant for non-SC systems.
|
||||
name = self._shm.name
|
||||
try:
|
||||
shm_unlink(name)
|
||||
except FileNotFoundError:
|
||||
# might be a teardown race here?
|
||||
log.warning(f'Shm for {name} already unlinked?')
|
||||
shm_unlink(self._shm.name)
|
||||
|
||||
|
||||
class _Token(BaseModel):
|
||||
'''
|
||||
Internal represenation of a shared memory "token"
|
||||
@dataclass
|
||||
class _Token:
|
||||
"""Internal represenation of a shared memory "token"
|
||||
which can be used to key a system wide post shm entry.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
frozen = True
|
||||
|
||||
"""
|
||||
shm_name: str # this servers as a "key" value
|
||||
shm_first_index_name: str
|
||||
shm_last_index_name: str
|
||||
dtype_descr: tuple
|
||||
dtype_descr: List[Tuple[str]]
|
||||
|
||||
@property
|
||||
def dtype(self) -> np.dtype:
|
||||
return np.dtype(list(map(tuple, self.dtype_descr))).descr
|
||||
def __post_init__(self):
|
||||
# np.array requires a list for dtype
|
||||
self.dtype_descr = np.dtype(list(map(tuple, self.dtype_descr))).descr
|
||||
|
||||
def as_msg(self):
|
||||
return self.dict()
|
||||
return asdict(self)
|
||||
|
||||
@classmethod
|
||||
def from_msg(cls, msg: dict) -> _Token:
|
||||
if isinstance(msg, _Token):
|
||||
return msg
|
||||
|
||||
msg['dtype_descr'] = tuple(map(tuple, msg['dtype_descr']))
|
||||
return _Token(**msg)
|
||||
def from_msg(self, msg: dict) -> '_Token':
|
||||
return msg if isinstance(msg, _Token) else _Token(**msg)
|
||||
|
||||
|
||||
# TODO: this api?
|
||||
|
|
@ -157,23 +127,20 @@ def _make_token(
|
|||
key: str,
|
||||
dtype: Optional[np.dtype] = None,
|
||||
) -> _Token:
|
||||
'''
|
||||
Create a serializable token that can be used
|
||||
"""Create a serializable token that can be used
|
||||
to access a shared array.
|
||||
|
||||
'''
|
||||
"""
|
||||
dtype = base_iohlc_dtype if dtype is None else dtype
|
||||
return _Token(
|
||||
shm_name=key,
|
||||
shm_first_index_name=key + "_first",
|
||||
shm_last_index_name=key + "_last",
|
||||
dtype_descr=np.dtype(dtype).descr
|
||||
key,
|
||||
key + "_first",
|
||||
key + "_last",
|
||||
np.dtype(dtype).descr
|
||||
)
|
||||
|
||||
|
||||
class ShmArray:
|
||||
'''
|
||||
A shared memory ``numpy`` (compatible) array API.
|
||||
"""A shared memory ``numpy`` (compatible) array API.
|
||||
|
||||
An underlying shared memory buffer is allocated based on
|
||||
a user specified ``numpy.ndarray``. This fixed size array
|
||||
|
|
@ -183,7 +150,7 @@ class ShmArray:
|
|||
``SharedInt`` interfaces) values such that multiple processes can
|
||||
interact with the same array using a synchronized-index.
|
||||
|
||||
'''
|
||||
"""
|
||||
def __init__(
|
||||
self,
|
||||
shmarr: np.ndarray,
|
||||
|
|
@ -204,21 +171,17 @@ class ShmArray:
|
|||
self._post_init: bool = False
|
||||
|
||||
# pushing data does not write the index (aka primary key)
|
||||
dtype = shmarr.dtype
|
||||
if dtype.fields:
|
||||
self._write_fields = list(shmarr.dtype.fields.keys())[1:]
|
||||
else:
|
||||
self._write_fields = None
|
||||
|
||||
# TODO: ringbuf api?
|
||||
|
||||
@property
|
||||
def _token(self) -> _Token:
|
||||
return _Token(
|
||||
shm_name=self._shm.name,
|
||||
shm_first_index_name=self._first._shm.name,
|
||||
shm_last_index_name=self._last._shm.name,
|
||||
dtype_descr=tuple(self._array.dtype.descr),
|
||||
self._shm.name,
|
||||
self._first._shm.name,
|
||||
self._last._shm.name,
|
||||
self._array.dtype.descr,
|
||||
)
|
||||
|
||||
@property
|
||||
|
|
@ -234,8 +197,7 @@ class ShmArray:
|
|||
|
||||
@property
|
||||
def array(self) -> np.ndarray:
|
||||
'''
|
||||
Return an up-to-date ``np.ndarray`` view of the
|
||||
'''Return an up-to-date ``np.ndarray`` view of the
|
||||
so-far-written data to the underlying shm buffer.
|
||||
|
||||
'''
|
||||
|
|
@ -254,129 +216,62 @@ class ShmArray:
|
|||
|
||||
return a
|
||||
|
||||
def ustruct(
|
||||
self,
|
||||
fields: Optional[list[str]] = None,
|
||||
|
||||
# type that all field values will be cast to
|
||||
# in the returned view.
|
||||
common_dtype: np.dtype = np.float,
|
||||
|
||||
) -> np.ndarray:
|
||||
|
||||
array = self._array
|
||||
|
||||
if fields:
|
||||
selection = array[fields]
|
||||
# fcount = len(fields)
|
||||
else:
|
||||
selection = array
|
||||
# fcount = len(array.dtype.fields)
|
||||
|
||||
# XXX: manual ``.view()`` attempt that also doesn't work.
|
||||
# uview = selection.view(
|
||||
# dtype='<f16',
|
||||
# ).reshape(-1, 4, order='A')
|
||||
|
||||
# assert len(selection) == len(uview)
|
||||
|
||||
u = rfn.structured_to_unstructured(
|
||||
selection,
|
||||
# dtype=float,
|
||||
copy=True,
|
||||
)
|
||||
|
||||
# unstruct = np.ndarray(u.shape, dtype=a.dtype, buffer=shm.buf)
|
||||
# array[:] = a[:]
|
||||
return u
|
||||
# return ShmArray(
|
||||
# shmarr=u,
|
||||
# first=self._first,
|
||||
# last=self._last,
|
||||
# shm=self._shm
|
||||
# )
|
||||
|
||||
def last(
|
||||
self,
|
||||
length: int = 1,
|
||||
|
||||
) -> np.ndarray:
|
||||
'''
|
||||
Return the last ``length``'s worth of ("row") entries from the
|
||||
array.
|
||||
|
||||
'''
|
||||
return self.array[-length:]
|
||||
|
||||
def push(
|
||||
self,
|
||||
data: np.ndarray,
|
||||
|
||||
field_map: Optional[dict[str, str]] = None,
|
||||
prepend: bool = False,
|
||||
update_first: bool = True,
|
||||
start: Optional[int] = None,
|
||||
|
||||
) -> int:
|
||||
'''
|
||||
Ring buffer like "push" to append data
|
||||
'''Ring buffer like "push" to append data
|
||||
into the buffer and return updated "last" index.
|
||||
|
||||
NB: no actual ring logic yet to give a "loop around" on overflow
|
||||
condition, lel.
|
||||
|
||||
'''
|
||||
self._post_init = True
|
||||
length = len(data)
|
||||
index = start or self._last.value
|
||||
|
||||
if prepend:
|
||||
index = (start or self._first.value) - length
|
||||
index = self._first.value - length
|
||||
|
||||
if index < 0:
|
||||
raise ValueError(
|
||||
f'Array size of {self._len} was overrun during prepend.\n'
|
||||
f'You have passed {abs(index)} too many datums.'
|
||||
'You have passed {abs(index)} too many datums.'
|
||||
)
|
||||
|
||||
else:
|
||||
index = start if start is not None else self._last.value
|
||||
|
||||
end = index + length
|
||||
|
||||
if field_map:
|
||||
src_names, dst_names = zip(*field_map.items())
|
||||
else:
|
||||
dst_names = src_names = self._write_fields
|
||||
fields = self._write_fields
|
||||
|
||||
try:
|
||||
self._array[
|
||||
list(dst_names)
|
||||
][index:end] = data[list(src_names)][:]
|
||||
self._array[fields][index:end] = data[fields][:]
|
||||
|
||||
# NOTE: there was a race here between updating
|
||||
# the first and last indices and when the next reader
|
||||
# tries to access ``.array`` (which due to the index
|
||||
# overlap will be empty). Pretty sure we've fixed it now
|
||||
# but leaving this here as a reminder.
|
||||
if prepend and update_first and length:
|
||||
if prepend:
|
||||
assert index < self._first.value
|
||||
|
||||
if (
|
||||
index < self._first.value
|
||||
and update_first
|
||||
):
|
||||
assert prepend, 'prepend=True not passed but index decreased?'
|
||||
if index < self._first.value:
|
||||
self._first.value = index
|
||||
|
||||
elif not prepend:
|
||||
else:
|
||||
self._last.value = end
|
||||
|
||||
self._post_init = True
|
||||
return end
|
||||
|
||||
except ValueError as err:
|
||||
if field_map:
|
||||
raise
|
||||
|
||||
# should raise if diff detected
|
||||
self.diff_err_fields(data)
|
||||
raise err
|
||||
|
|
@ -403,7 +298,6 @@ class ShmArray:
|
|||
f"Input array has unknown field(s): {only_in_theirs}"
|
||||
)
|
||||
|
||||
# TODO: support "silent" prepends that don't update ._first.value?
|
||||
def prepend(
|
||||
self,
|
||||
data: np.ndarray,
|
||||
|
|
@ -430,6 +324,12 @@ class ShmArray:
|
|||
...
|
||||
|
||||
|
||||
# how much is probably dependent on lifestyle
|
||||
_secs_in_day = int(60 * 60 * 24)
|
||||
# we try for 3 times but only on a run-every-other-day kinda week.
|
||||
_default_size = 3 * _secs_in_day
|
||||
|
||||
|
||||
def open_shm_array(
|
||||
|
||||
key: Optional[str] = None,
|
||||
|
|
@ -454,11 +354,7 @@ def open_shm_array(
|
|||
create=True,
|
||||
size=a.nbytes
|
||||
)
|
||||
array = np.ndarray(
|
||||
a.shape,
|
||||
dtype=a.dtype,
|
||||
buffer=shm.buf
|
||||
)
|
||||
array = np.ndarray(a.shape, dtype=a.dtype, buffer=shm.buf)
|
||||
array[:] = a[:]
|
||||
array.setflags(write=int(not readonly))
|
||||
|
||||
|
|
@ -484,24 +380,7 @@ def open_shm_array(
|
|||
)
|
||||
)
|
||||
|
||||
# start the "real-time" updated section after 3-days worth of 1s
|
||||
# sampled OHLC. this allows appending up to a days worth from
|
||||
# tick/quote feeds before having to flush to a (tsdb) storage
|
||||
# backend, and looks something like,
|
||||
# -------------------------
|
||||
# | | i
|
||||
# _________________________
|
||||
# <-------------> <------->
|
||||
# history real-time
|
||||
#
|
||||
# Once fully "prepended", the history section will leave the
|
||||
# ``ShmArray._start.value: int = 0`` and the yet-to-be written
|
||||
# real-time section will start at ``ShmArray.index: int``.
|
||||
|
||||
# this sets the index to 3/4 of the length of the buffer
|
||||
# leaving a "days worth of second samples" for the real-time
|
||||
# section.
|
||||
last.value = first.value = _rt_buffer_start
|
||||
last.value = first.value = int(_secs_in_day)
|
||||
|
||||
shmarr = ShmArray(
|
||||
array,
|
||||
|
|
@ -523,48 +402,27 @@ def open_shm_array(
|
|||
|
||||
|
||||
def attach_shm_array(
|
||||
token: tuple[str, str, tuple[str, str]],
|
||||
token: Tuple[str, str, Tuple[str, str]],
|
||||
size: int = _default_size,
|
||||
readonly: bool = True,
|
||||
|
||||
) -> ShmArray:
|
||||
'''
|
||||
Attach to an existing shared memory array previously
|
||||
"""Attach to an existing shared memory array previously
|
||||
created by another process using ``open_shared_array``.
|
||||
|
||||
No new shared mem is allocated but wrapper types for read/write
|
||||
access are constructed.
|
||||
|
||||
'''
|
||||
"""
|
||||
token = _Token.from_msg(token)
|
||||
key = token.shm_name
|
||||
|
||||
if key in _known_tokens:
|
||||
assert _Token.from_msg(_known_tokens[key]) == token, "WTF"
|
||||
|
||||
# XXX: ugh, looks like due to the ``shm_open()`` C api we can't
|
||||
# actually place files in a subdir, see discussion here:
|
||||
# https://stackoverflow.com/a/11103289
|
||||
|
||||
# attach to array buffer and view as per dtype
|
||||
_err: Optional[Exception] = None
|
||||
for _ in range(3):
|
||||
try:
|
||||
shm = SharedMemory(
|
||||
name=key,
|
||||
create=False,
|
||||
)
|
||||
break
|
||||
except OSError as oserr:
|
||||
_err = oserr
|
||||
time.sleep(0.1)
|
||||
else:
|
||||
if _err:
|
||||
raise _err
|
||||
|
||||
shm = SharedMemory(name=key)
|
||||
shmarr = np.ndarray(
|
||||
(size,),
|
||||
dtype=token.dtype,
|
||||
dtype=token.dtype_descr,
|
||||
buffer=shm.buf
|
||||
)
|
||||
shmarr.setflags(write=int(not readonly))
|
||||
|
|
@ -612,10 +470,8 @@ def maybe_open_shm_array(
|
|||
key: str,
|
||||
dtype: Optional[np.dtype] = None,
|
||||
**kwargs,
|
||||
|
||||
) -> tuple[ShmArray, bool]:
|
||||
'''
|
||||
Attempt to attach to a shared memory block using a "key" lookup
|
||||
) -> Tuple[ShmArray, bool]:
|
||||
"""Attempt to attach to a shared memory block using a "key" lookup
|
||||
to registered blocks in the users overall "system" registry
|
||||
(presumes you don't have the block's explicit token).
|
||||
|
||||
|
|
@ -629,8 +485,7 @@ def maybe_open_shm_array(
|
|||
|
||||
If you know the explicit ``_Token`` for your memory segment instead
|
||||
use ``attach_shm_array``.
|
||||
|
||||
'''
|
||||
"""
|
||||
try:
|
||||
# see if we already know this key
|
||||
token = _known_tokens[key]
|
||||
|
|
|
|||
|
|
@ -17,13 +17,12 @@
|
|||
"""
|
||||
numpy data source coversion helpers.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from typing import Any
|
||||
from typing import Dict, Any, List
|
||||
import decimal
|
||||
|
||||
from bidict import bidict
|
||||
import numpy as np
|
||||
from pydantic import BaseModel
|
||||
import pandas as pd
|
||||
from pydantic import BaseModel, validate_arguments
|
||||
# from numba import from_dtype
|
||||
|
||||
|
||||
|
|
@ -33,7 +32,7 @@ ohlc_fields = [
|
|||
('high', float),
|
||||
('low', float),
|
||||
('close', float),
|
||||
('volume', float),
|
||||
('volume', int),
|
||||
('bar_wap', float),
|
||||
]
|
||||
|
||||
|
|
@ -48,29 +47,16 @@ base_ohlc_dtype = np.dtype(ohlc_fields)
|
|||
# https://github.com/numba/numba/issues/4511
|
||||
# numba_ohlc_dtype = from_dtype(base_ohlc_dtype)
|
||||
|
||||
# map time frame "keys" to seconds values
|
||||
tf_in_1s = bidict({
|
||||
1: '1s',
|
||||
60: '1m',
|
||||
60*5: '5m',
|
||||
60*15: '15m',
|
||||
60*30: '30m',
|
||||
60*60: '1h',
|
||||
60*60*24: '1d',
|
||||
})
|
||||
|
||||
|
||||
def mk_fqsn(
|
||||
provider: str,
|
||||
symbol: str,
|
||||
|
||||
) -> str:
|
||||
'''
|
||||
Generate a "fully qualified symbol name" which is
|
||||
a reverse-hierarchical cross broker/provider symbol
|
||||
|
||||
'''
|
||||
return '.'.join([symbol, provider]).lower()
|
||||
# map time frame "keys" to minutes values
|
||||
tf_in_1m = {
|
||||
'1m': 1,
|
||||
'5m': 5,
|
||||
'15m': 15,
|
||||
'30m': 30,
|
||||
'1h': 60,
|
||||
'4h': 240,
|
||||
'1d': 1440,
|
||||
}
|
||||
|
||||
|
||||
def float_digits(
|
||||
|
|
@ -92,113 +78,31 @@ def ohlc_zeros(length: int) -> np.ndarray:
|
|||
return np.zeros(length, dtype=base_ohlc_dtype)
|
||||
|
||||
|
||||
def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
|
||||
'''
|
||||
Unpack a fully-qualified-symbol-name to ``tuple``.
|
||||
|
||||
'''
|
||||
venue = ''
|
||||
suffix = ''
|
||||
|
||||
# TODO: probably reverse the order of all this XD
|
||||
tokens = fqsn.split('.')
|
||||
if len(tokens) < 3:
|
||||
# probably crypto
|
||||
symbol, broker = tokens
|
||||
return (
|
||||
broker,
|
||||
symbol,
|
||||
'',
|
||||
)
|
||||
|
||||
elif len(tokens) > 3:
|
||||
symbol, venue, suffix, broker = tokens
|
||||
else:
|
||||
symbol, venue, broker = tokens
|
||||
suffix = ''
|
||||
|
||||
# head, _, broker = fqsn.rpartition('.')
|
||||
# symbol, _, suffix = head.rpartition('.')
|
||||
return (
|
||||
broker,
|
||||
'.'.join([symbol, venue]),
|
||||
suffix,
|
||||
)
|
||||
|
||||
|
||||
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
|
||||
tick_size_digits: int = 2
|
||||
lot_size_digits: int = 0
|
||||
suffix: str = ''
|
||||
broker_info: dict[str, dict[str, Any]] = {}
|
||||
type_key: str # {'stock', 'forex', 'future', ... etc.}
|
||||
tick_size: float
|
||||
lot_tick_size: float # "volume" precision as min step value
|
||||
tick_size_digits: int
|
||||
lot_size_digits: int
|
||||
broker_info: Dict[str, Dict[str, Any]] = {}
|
||||
|
||||
# specifies a "class" of financial instrument
|
||||
# ex. stock, futer, option, bond etc.
|
||||
|
||||
# @validate_arguments
|
||||
@classmethod
|
||||
def from_broker_info(
|
||||
cls,
|
||||
broker: str,
|
||||
symbol: str,
|
||||
info: dict[str, Any],
|
||||
suffix: str = '',
|
||||
|
||||
# XXX: like wtf..
|
||||
# ) -> 'Symbol':
|
||||
) -> None:
|
||||
|
||||
tick_size = info.get('price_tick_size', 0.01)
|
||||
lot_tick_size = info.get('lot_tick_size', 0.0)
|
||||
|
||||
return Symbol(
|
||||
key=symbol,
|
||||
tick_size=tick_size,
|
||||
lot_tick_size=lot_tick_size,
|
||||
tick_size_digits=float_digits(tick_size),
|
||||
lot_size_digits=float_digits(lot_tick_size),
|
||||
suffix=suffix,
|
||||
broker_info={broker: info},
|
||||
)
|
||||
|
||||
@classmethod
|
||||
def from_fqsn(
|
||||
cls,
|
||||
fqsn: str,
|
||||
info: dict[str, Any],
|
||||
|
||||
# XXX: like wtf..
|
||||
# ) -> 'Symbol':
|
||||
) -> None:
|
||||
broker, key, suffix = unpack_fqsn(fqsn)
|
||||
return cls.from_broker_info(
|
||||
broker,
|
||||
key,
|
||||
info=info,
|
||||
suffix=suffix,
|
||||
)
|
||||
|
||||
@property
|
||||
def type_key(self) -> str:
|
||||
return list(self.broker_info.values())[0]['asset_type']
|
||||
|
||||
@property
|
||||
def brokers(self) -> list[str]:
|
||||
def brokers(self) -> List[str]:
|
||||
return list(self.broker_info.keys())
|
||||
|
||||
def nearest_tick(self, value: float) -> float:
|
||||
'''
|
||||
Return the nearest tick value based on mininum increment.
|
||||
"""Return the nearest tick value based on mininum increment.
|
||||
|
||||
'''
|
||||
"""
|
||||
mult = 1 / self.tick_size
|
||||
return round(value * mult) / mult
|
||||
|
||||
|
|
@ -214,44 +118,85 @@ class Symbol(BaseModel):
|
|||
self.key,
|
||||
)
|
||||
|
||||
def tokens(self) -> tuple[str]:
|
||||
broker, key = self.front_feed()
|
||||
if self.suffix:
|
||||
return (key, self.suffix, broker)
|
||||
else:
|
||||
return (key, broker)
|
||||
|
||||
def front_fqsn(self) -> str:
|
||||
'''
|
||||
fqsn = "fully qualified symbol name"
|
||||
@validate_arguments
|
||||
def mk_symbol(
|
||||
|
||||
Basically the idea here is for all client-ish code (aka programs/actors
|
||||
that ask the provider agnostic layers in the stack for data) should be
|
||||
able to tell which backend / venue / derivative each data feed/flow is
|
||||
from by an explicit string key of the current form:
|
||||
key: str,
|
||||
type_key: str,
|
||||
tick_size: float = 0.01,
|
||||
lot_tick_size: float = 0,
|
||||
broker_info: dict[str, Any] = {},
|
||||
|
||||
<instrumentname>.<venue>.<suffixwithmetadata>.<brokerbackendname>
|
||||
|
||||
TODO: I have thoughts that we should actually change this to be
|
||||
more like an "attr lookup" (like how the web should have done
|
||||
urls, but marketting peeps ruined it etc. etc.):
|
||||
|
||||
<broker>.<venue>.<instrumentname>.<suffixwithmetadata>
|
||||
) -> Symbol:
|
||||
'''Create and return an instrument description for the
|
||||
"symbol" named as ``key``.
|
||||
|
||||
'''
|
||||
tokens = self.tokens()
|
||||
fqsn = '.'.join(tokens)
|
||||
return fqsn
|
||||
return Symbol(
|
||||
key=key,
|
||||
type_key=type_key,
|
||||
tick_size=tick_size,
|
||||
lot_tick_size=lot_tick_size,
|
||||
tick_size_digits=float_digits(tick_size),
|
||||
lot_size_digits=float_digits(lot_tick_size),
|
||||
broker_info=broker_info,
|
||||
)
|
||||
|
||||
def iterfqsns(self) -> list[str]:
|
||||
keys = []
|
||||
for broker in self.broker_info.keys():
|
||||
fqsn = mk_fqsn(self.key, broker)
|
||||
if self.suffix:
|
||||
fqsn += f'.{self.suffix}'
|
||||
keys.append(fqsn)
|
||||
|
||||
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):
|
||||
|
|
|
|||
|
|
@ -53,13 +53,11 @@ class NoBsWs:
|
|||
def __init__(
|
||||
self,
|
||||
url: str,
|
||||
token: str,
|
||||
stack: AsyncExitStack,
|
||||
fixture: Callable,
|
||||
serializer: ModuleType = json,
|
||||
):
|
||||
self.url = url
|
||||
self.token = token
|
||||
self.fixture = fixture
|
||||
self._stack = stack
|
||||
self._ws: 'WebSocketConnection' = None # noqa
|
||||
|
|
@ -83,15 +81,9 @@ class NoBsWs:
|
|||
trio_websocket.open_websocket_url(self.url)
|
||||
)
|
||||
# rerun user code fixture
|
||||
if self.token == '':
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self)
|
||||
)
|
||||
else:
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self, self.token)
|
||||
)
|
||||
|
||||
assert ret is None
|
||||
|
||||
log.info(f'Connection success: {self.url}')
|
||||
|
|
@ -135,14 +127,12 @@ async def open_autorecon_ws(
|
|||
|
||||
# TODO: proper type annot smh
|
||||
fixture: Callable,
|
||||
# used for authenticated websockets
|
||||
token: str = '',
|
||||
) -> AsyncGenerator[tuple[...], NoBsWs]:
|
||||
"""Apparently we can QoS for all sorts of reasons..so catch em.
|
||||
|
||||
"""
|
||||
async with AsyncExitStack() as stack:
|
||||
ws = NoBsWs(url, token, stack, fixture=fixture)
|
||||
ws = NoBsWs(url, stack, fixture=fixture)
|
||||
await ws._connect()
|
||||
|
||||
try:
|
||||
|
|
|
|||
|
|
@ -16,34 +16,26 @@
|
|||
|
||||
"""
|
||||
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__)
|
||||
|
|
@ -57,58 +49,51 @@ log = get_logger(__name__)
|
|||
)
|
||||
@click.argument('names', nargs=-1)
|
||||
@click.pass_obj
|
||||
def ms_stream(
|
||||
config: dict,
|
||||
names: list[str],
|
||||
url: str,
|
||||
) -> None:
|
||||
'''
|
||||
Connect to a marketstore time bucket stream for (a set of) symbols(s)
|
||||
def ms_stream(config: dict, names: List[str], url: str):
|
||||
"""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):
|
||||
# log.info(f"Received quote:\n{quote}")
|
||||
...
|
||||
async for quote in stream_quotes(symbols=names):
|
||||
log.info(f"Received quote:\n{quote}")
|
||||
|
||||
trio.run(main)
|
||||
|
||||
|
||||
# @cli.command()
|
||||
# @click.option(
|
||||
# '--url',
|
||||
# default=_url,
|
||||
# help='HTTP URL of marketstore instance'
|
||||
# )
|
||||
# @click.argument('names', nargs=-1)
|
||||
# @click.pass_obj
|
||||
# def ms_destroy(config: dict, names: list[str], url: str) -> None:
|
||||
# """Destroy symbol entries in the local marketstore instance.
|
||||
# """
|
||||
# async def main():
|
||||
# nonlocal names
|
||||
# async with get_client(url) as client:
|
||||
#
|
||||
# if not names:
|
||||
# names = await client.list_symbols()
|
||||
#
|
||||
# # default is to wipe db entirely.
|
||||
# answer = input(
|
||||
# "This will entirely wipe you local marketstore db @ "
|
||||
# f"{url} of the following symbols:\n {pformat(names)}"
|
||||
# "\n\nDelete [N/y]?\n")
|
||||
#
|
||||
# if answer == 'y':
|
||||
# for sym in names:
|
||||
# # tbk = _tick_tbk.format(sym)
|
||||
# tbk = tuple(sym, *_tick_tbk_ids)
|
||||
# print(f"Destroying {tbk}..")
|
||||
# await client.destroy(mk_tbk(tbk))
|
||||
# else:
|
||||
# print("Nothing deleted.")
|
||||
#
|
||||
# tractor.run(main)
|
||||
@cli.command()
|
||||
@click.option(
|
||||
'--url',
|
||||
default=_url,
|
||||
help='HTTP URL of marketstore instance'
|
||||
)
|
||||
@click.argument('names', nargs=-1)
|
||||
@click.pass_obj
|
||||
def ms_destroy(config: dict, names: List[str], url: str) -> None:
|
||||
"""Destroy symbol entries in the local marketstore instance.
|
||||
"""
|
||||
async def main():
|
||||
nonlocal names
|
||||
async with get_client(url) as client:
|
||||
|
||||
if not names:
|
||||
names = await client.list_symbols()
|
||||
|
||||
# default is to wipe db entirely.
|
||||
answer = input(
|
||||
"This will entirely wipe you local marketstore db @ "
|
||||
f"{url} of the following symbols:\n {pformat(names)}"
|
||||
"\n\nDelete [N/y]?\n")
|
||||
|
||||
if answer == 'y':
|
||||
for sym in names:
|
||||
# tbk = _tick_tbk.format(sym)
|
||||
tbk = tuple(sym, *_tick_tbk_ids)
|
||||
print(f"Destroying {tbk}..")
|
||||
await client.destroy(mk_tbk(tbk))
|
||||
else:
|
||||
print("Nothing deleted.")
|
||||
|
||||
tractor.run(main)
|
||||
|
||||
|
||||
@cli.command()
|
||||
|
|
@ -117,53 +102,41 @@ def ms_stream(
|
|||
is_flag=True,
|
||||
help='Enable tractor logging')
|
||||
@click.option(
|
||||
'--host',
|
||||
default='localhost'
|
||||
'--url',
|
||||
default=_url,
|
||||
help='HTTP URL of marketstore instance'
|
||||
)
|
||||
@click.option(
|
||||
'--port',
|
||||
default=5993
|
||||
)
|
||||
@click.argument('symbols', nargs=-1)
|
||||
@click.argument('name', nargs=1, required=True)
|
||||
@click.pass_obj
|
||||
def storesh(
|
||||
config,
|
||||
tl,
|
||||
host,
|
||||
port,
|
||||
symbols: list[str],
|
||||
):
|
||||
'''
|
||||
Start an IPython shell ready to query the local marketstore db.
|
||||
|
||||
'''
|
||||
from piker.data.marketstore import tsdb_history_update
|
||||
from piker._daemon import open_piker_runtime
|
||||
|
||||
def ms_shell(config, name, tl, url):
|
||||
"""Start an IPython shell ready to query the local marketstore db.
|
||||
"""
|
||||
async def main():
|
||||
nonlocal symbols
|
||||
async with get_client(url) as client:
|
||||
query = client.query # noqa
|
||||
# TODO: write magics to query marketstore
|
||||
from IPython import embed
|
||||
embed()
|
||||
|
||||
async with open_piker_runtime(
|
||||
'storesh',
|
||||
enable_modules=['piker.data._ahab'],
|
||||
):
|
||||
symbol = symbols[0]
|
||||
await tsdb_history_update(symbol)
|
||||
|
||||
trio.run(main)
|
||||
tractor.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):
|
||||
'''
|
||||
Ingest real-time broker quotes and ticks to a marketstore instance.
|
||||
|
||||
'''
|
||||
def ingest(config, name, test_file, tl, url):
|
||||
"""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']
|
||||
|
|
@ -172,25 +145,15 @@ def ingest(config, name, test_file, tl):
|
|||
watchlists = wl.merge_watchlist(watchlist_from_file, wl._builtins)
|
||||
symbols = watchlists[name]
|
||||
|
||||
grouped_syms = {}
|
||||
for sym in symbols:
|
||||
symbol, _, provider = sym.rpartition('.')
|
||||
if provider not in grouped_syms:
|
||||
grouped_syms[provider] = []
|
||||
|
||||
grouped_syms[provider].append(symbol)
|
||||
|
||||
async def entry_point():
|
||||
async with tractor.open_nursery() as n:
|
||||
for provider, symbols in grouped_syms.items():
|
||||
await n.run_in_actor(
|
||||
tractor.run(
|
||||
partial(
|
||||
ingest_quote_stream,
|
||||
name='ingest_marketstore',
|
||||
symbols=symbols,
|
||||
brokername=provider,
|
||||
symbols,
|
||||
brokermod.name,
|
||||
tries=1,
|
||||
actorloglevel=loglevel,
|
||||
loglevel=tractorloglevel
|
||||
loglevel=loglevel,
|
||||
),
|
||||
name='ingest_marketstore',
|
||||
loglevel=tractorloglevel,
|
||||
debug_mode=True,
|
||||
)
|
||||
|
||||
tractor.run(entry_point)
|
||||
|
|
|
|||
1123
piker/data/feed.py
1123
piker/data/feed.py
File diff suppressed because it is too large
Load Diff
|
|
@ -14,200 +14,36 @@
|
|||
# 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
|
||||
|
||||
'''
|
||||
from __future__ import annotations
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from pprint import pformat
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Union,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
- todo: docker container management automation
|
||||
"""
|
||||
from contextlib import asynccontextmanager
|
||||
from typing import Dict, Any, List, Callable, Tuple
|
||||
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 pendulum
|
||||
import purerpc
|
||||
|
||||
if TYPE_CHECKING:
|
||||
import docker
|
||||
from ._ahab import DockerContainer
|
||||
|
||||
from .feed import maybe_open_feed
|
||||
from ..log import get_logger, get_console_log
|
||||
from ..data import open_feed
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
# container level config
|
||||
_config = {
|
||||
'grpc_listen_port': 5995,
|
||||
'ws_listen_port': 5993,
|
||||
'log_level': 'debug',
|
||||
}
|
||||
|
||||
_yaml_config = '''
|
||||
# piker's ``marketstore`` config.
|
||||
|
||||
# mount this config using:
|
||||
# sudo docker run --mount \
|
||||
# type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
|
||||
# 5993:5993 alpacamarkets/marketstore:latest
|
||||
|
||||
root_directory: data
|
||||
listen_port: {ws_listen_port}
|
||||
grpc_listen_port: {grpc_listen_port}
|
||||
log_level: {log_level}
|
||||
queryable: true
|
||||
stop_grace_period: 0
|
||||
wal_rotate_interval: 5
|
||||
stale_threshold: 5
|
||||
enable_add: true
|
||||
enable_remove: false
|
||||
|
||||
triggers:
|
||||
- module: ondiskagg.so
|
||||
on: "*/1Sec/OHLCV"
|
||||
config:
|
||||
# filter: "nasdaq"
|
||||
destinations:
|
||||
- 1Min
|
||||
- 5Min
|
||||
- 15Min
|
||||
- 1H
|
||||
- 1D
|
||||
|
||||
- module: stream.so
|
||||
on: '*/*/*'
|
||||
# config:
|
||||
# filter: "nasdaq"
|
||||
|
||||
'''.format(**_config)
|
||||
|
||||
|
||||
def start_marketstore(
|
||||
client: docker.DockerClient,
|
||||
|
||||
**kwargs,
|
||||
|
||||
) -> tuple[DockerContainer, dict[str, Any]]:
|
||||
'''
|
||||
Start and supervise a marketstore instance with its config bind-mounted
|
||||
in from the piker config directory on the system.
|
||||
|
||||
The equivalent cli cmd to this code is:
|
||||
|
||||
sudo docker run --mount \
|
||||
type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
|
||||
5993:5993 alpacamarkets/marketstore:latest
|
||||
|
||||
'''
|
||||
import os
|
||||
import docker
|
||||
from .. import config
|
||||
get_console_log('info', name=__name__)
|
||||
|
||||
mktsdir = os.path.join(config._config_dir, 'marketstore')
|
||||
|
||||
# create when dne
|
||||
if not os.path.isdir(mktsdir):
|
||||
os.mkdir(mktsdir)
|
||||
|
||||
yml_file = os.path.join(mktsdir, 'mkts.yml')
|
||||
if not os.path.isfile(yml_file):
|
||||
log.warning(
|
||||
f'No `marketstore` config exists?: {yml_file}\n'
|
||||
'Generating new file from template:\n'
|
||||
f'{_yaml_config}\n'
|
||||
)
|
||||
with open(yml_file, 'w') as yf:
|
||||
yf.write(_yaml_config)
|
||||
|
||||
# create a mount from user's local piker config dir into container
|
||||
config_dir_mnt = docker.types.Mount(
|
||||
target='/etc',
|
||||
source=mktsdir,
|
||||
type='bind',
|
||||
)
|
||||
|
||||
# create a user config subdir where the marketstore
|
||||
# backing filesystem database can be persisted.
|
||||
persistent_data_dir = os.path.join(
|
||||
mktsdir, '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 / ws?
|
||||
'5995/tcp': 5995, # grpc
|
||||
},
|
||||
mounts=[
|
||||
config_dir_mnt,
|
||||
data_dir_mnt,
|
||||
],
|
||||
detach=True,
|
||||
# stop_signal='SIGINT',
|
||||
init=True,
|
||||
# remove=True,
|
||||
)
|
||||
return (
|
||||
dcntr,
|
||||
_config,
|
||||
|
||||
# expected startup and stop msgs
|
||||
"launching tcp listener for all services...",
|
||||
"exiting...",
|
||||
)
|
||||
|
||||
|
||||
_tick_tbk_ids: tuple[str, str] = ('1Sec', 'TICK')
|
||||
_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
|
||||
_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
|
||||
|
||||
_tick_dt = [
|
||||
# these two are required for as a "primary key"
|
||||
('Epoch', 'i8'),
|
||||
('Nanoseconds', 'i4'),
|
||||
('IsTrade', 'i1'),
|
||||
('IsBid', 'i1'),
|
||||
('Price', 'f4'),
|
||||
('Size', 'f4')
|
||||
]
|
||||
|
||||
_url: str = 'http://localhost:5993/rpc'
|
||||
_quote_dt = [
|
||||
# these two are required for as a "primary key"
|
||||
('Epoch', 'i8'),
|
||||
|
|
@ -225,7 +61,6 @@ _quote_dt = [
|
|||
# ('brokerd_ts', 'i64'),
|
||||
# ('VWAP', 'f4')
|
||||
]
|
||||
|
||||
_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
|
||||
_tick_map = {
|
||||
'Up': 1,
|
||||
|
|
@ -234,52 +69,31 @@ _tick_map = {
|
|||
None: np.nan,
|
||||
}
|
||||
|
||||
_ohlcv_dt = [
|
||||
# these two are required for as a "primary key"
|
||||
('Epoch', 'i8'),
|
||||
# ('Nanoseconds', 'i4'),
|
||||
|
||||
# ohlcv sampling
|
||||
('Open', 'f4'),
|
||||
('High', 'f4'),
|
||||
('Low', 'f4'),
|
||||
('Close', 'f4'),
|
||||
('Volume', 'f4'),
|
||||
]
|
||||
class MarketStoreError(Exception):
|
||||
"Generic marketstore client error"
|
||||
|
||||
|
||||
ohlc_key_map = bidict({
|
||||
'Epoch': 'time',
|
||||
'Open': 'open',
|
||||
'High': 'high',
|
||||
'Low': 'low',
|
||||
'Close': 'close',
|
||||
'Volume': 'volume',
|
||||
})
|
||||
|
||||
|
||||
def mk_tbk(keys: tuple[str, str, str]) -> str:
|
||||
'''
|
||||
Generate a marketstore table key from a tuple.
|
||||
Converts,
|
||||
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
|
||||
|
||||
'''
|
||||
return '/'.join(keys)
|
||||
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)
|
||||
|
||||
|
||||
def quote_to_marketstore_structarray(
|
||||
quote: dict[str, Any],
|
||||
last_fill: Optional[float]
|
||||
|
||||
quote: Dict[str, Any],
|
||||
last_fill: str,
|
||||
) -> np.array:
|
||||
'''
|
||||
Return marketstore writeable structarray from quote ``dict``.
|
||||
|
||||
'''
|
||||
"""Return marketstore writeable structarray from quote ``dict``.
|
||||
"""
|
||||
if last_fill:
|
||||
# new fill bby
|
||||
now = int(pendulum.parse(last_fill).timestamp)
|
||||
now = timestamp(last_fill)
|
||||
else:
|
||||
# this should get inserted upstream by the broker-client to
|
||||
# subtract from IPC latency
|
||||
|
|
@ -287,7 +101,7 @@ 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'.
|
||||
|
|
@ -309,467 +123,146 @@ def quote_to_marketstore_structarray(
|
|||
return np.array([tuple(array_input)], dtype=_quote_dt)
|
||||
|
||||
|
||||
@acm
|
||||
def timestamp(datestr: str) -> int:
|
||||
"""Return marketstore compatible 'Epoch' integer in nanoseconds
|
||||
from a date formatted str.
|
||||
"""
|
||||
return int(pd.Timestamp(datestr).value)
|
||||
|
||||
|
||||
def mk_tbk(keys: Tuple[str, str, str]) -> str:
|
||||
"""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(
|
||||
host: str = 'localhost',
|
||||
port: int = 5995
|
||||
|
||||
) -> 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)
|
||||
|
||||
|
||||
# map of seconds ints to "time frame" accepted keys
|
||||
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 load(
|
||||
self,
|
||||
fqsn: str,
|
||||
|
||||
) -> tuple[
|
||||
dict[int, np.ndarray], # timeframe (in secs) to series
|
||||
Optional[datetime], # first dt
|
||||
Optional[datetime], # last dt
|
||||
]:
|
||||
|
||||
first_tsdb_dt, last_tsdb_dt = None, None
|
||||
tsdb_arrays = await self.read_ohlcv(
|
||||
fqsn,
|
||||
# on first load we don't need to pull the max
|
||||
# history per request size worth.
|
||||
limit=3000,
|
||||
)
|
||||
log.info(f'Loaded tsdb history {tsdb_arrays}')
|
||||
|
||||
if 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]
|
||||
)
|
||||
|
||||
return tsdb_arrays, first_tsdb_dt, last_tsdb_dt
|
||||
|
||||
async def read_ohlcv(
|
||||
self,
|
||||
fqsn: str,
|
||||
timeframe: Optional[Union[int, str]] = None,
|
||||
end: Optional[int] = None,
|
||||
limit: int = int(800e3),
|
||||
|
||||
) -> 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',
|
||||
end=end,
|
||||
# limit_from_start=True,
|
||||
|
||||
# TODO: figure the max limit here given the
|
||||
# ``purepc`` msg size limit of purerpc: 33554432
|
||||
limit=limit,
|
||||
)
|
||||
|
||||
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)
|
||||
|
||||
async def write_ohlcv(
|
||||
self,
|
||||
fqsn: str,
|
||||
ohlcv: np.ndarray,
|
||||
append_and_duplicate: bool = True,
|
||||
limit: int = int(800e3),
|
||||
|
||||
) -> None:
|
||||
# build mkts schema compat array for writing
|
||||
mkts_dt = np.dtype(_ohlcv_dt)
|
||||
mkts_array = np.zeros(
|
||||
len(ohlcv),
|
||||
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[:] = ohlcv[[
|
||||
'time',
|
||||
'open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
'volume',
|
||||
]]
|
||||
|
||||
m, r = divmod(len(mkts_array), limit)
|
||||
|
||||
for i in range(m, 1):
|
||||
to_push = mkts_array[i-1:i*limit]
|
||||
|
||||
# write to db
|
||||
resp = await self.client.write(
|
||||
to_push,
|
||||
tbk=f'{fqsn}/1Sec/OHLCV',
|
||||
|
||||
# NOTE: will will append duplicates
|
||||
# for the same timestamp-index.
|
||||
# TODO: pre deduplicate?
|
||||
isvariablelength=append_and_duplicate,
|
||||
)
|
||||
|
||||
log.info(
|
||||
f'Wrote {mkts_array.size} datums to tsdb\n'
|
||||
)
|
||||
|
||||
for resp in resp.responses:
|
||||
err = resp.error
|
||||
if err:
|
||||
raise MarketStoreError(err)
|
||||
|
||||
if r:
|
||||
to_push = mkts_array[m*limit:]
|
||||
|
||||
# write to db
|
||||
resp = await self.client.write(
|
||||
to_push,
|
||||
tbk=f'{fqsn}/1Sec/OHLCV',
|
||||
|
||||
# NOTE: will will append duplicates
|
||||
# for the same timestamp-index.
|
||||
# TODO: pre deduplicate?
|
||||
isvariablelength=append_and_duplicate,
|
||||
)
|
||||
|
||||
log.info(
|
||||
f'Wrote {mkts_array.size} datums to tsdb\n'
|
||||
)
|
||||
|
||||
for resp in resp.responses:
|
||||
err = resp.error
|
||||
if err:
|
||||
raise MarketStoreError(err)
|
||||
|
||||
# XXX: currently the only way to do this is through the CLI:
|
||||
|
||||
# sudo ./marketstore connect --dir ~/.config/piker/data
|
||||
# >> \show mnq.globex.20220617.ib/1Sec/OHLCV 2022-05-15
|
||||
# and this seems to block and use up mem..
|
||||
# >> \trim mnq.globex.20220617.ib/1Sec/OHLCV 2022-05-15
|
||||
|
||||
# relevant source code for this is here:
|
||||
# https://github.com/alpacahq/marketstore/blob/master/cmd/connect/session/trim.go#L14
|
||||
# def delete_range(self, start_dt, end_dt) -> None:
|
||||
# ...
|
||||
|
||||
@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: Optional[str] = None,
|
||||
|
||||
) -> 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}')
|
||||
|
||||
to_append = feed.shm.array
|
||||
to_prepend = None
|
||||
|
||||
if fqsn:
|
||||
symbol = feed.symbols.get(fqsn)
|
||||
if symbol:
|
||||
fqsn = symbol.front_fqsn()
|
||||
|
||||
# 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)
|
||||
# hist diffing
|
||||
if tsdb_arrays:
|
||||
for secs in (1, 60):
|
||||
ts = tsdb_arrays.get(secs)
|
||||
if ts is not None and len(ts):
|
||||
# these aren't currently used but can be referenced from
|
||||
# within the embedded ipython shell below.
|
||||
to_append = ohlcv[ohlcv['time'] > ts['Epoch'][-1]]
|
||||
to_prepend = ohlcv[ohlcv['time'] < ts['Epoch'][0]]
|
||||
|
||||
profiler('Finished db arrays diffs')
|
||||
|
||||
syms = await storage.client.list_symbols()
|
||||
log.info(f'Existing tsdb symbol set:\n{pformat(syms)}')
|
||||
profiler(f'listed symbols {syms}')
|
||||
|
||||
# TODO: ask if user wants to write history for detected
|
||||
# available shm buffers?
|
||||
from tractor.trionics import ipython_embed
|
||||
await ipython_embed()
|
||||
|
||||
# for array in [to_append, to_prepend]:
|
||||
# if array is None:
|
||||
# continue
|
||||
|
||||
# log.info(
|
||||
# f'Writing datums {array.size} -> to tsdb from shm\n'
|
||||
# )
|
||||
# await storage.write_ohlcv(fqsn, array)
|
||||
|
||||
# profiler('Finished db writes')
|
||||
url: str = _url,
|
||||
) -> Client:
|
||||
yield Client(url)
|
||||
|
||||
|
||||
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 a ``marketstore`` tsdb.
|
||||
"""Ingest a broker quote stream into marketstore in (sampled) tick format.
|
||||
"""
|
||||
async with open_feed(
|
||||
brokername,
|
||||
symbols,
|
||||
loglevel=loglevel,
|
||||
) as (first_quotes, qstream):
|
||||
|
||||
'''
|
||||
async with (
|
||||
maybe_open_feed(brokername, symbols, loglevel=loglevel) as feed,
|
||||
get_client() as ms_client,
|
||||
):
|
||||
async for quotes in feed.stream:
|
||||
quote_cache = first_quotes.copy()
|
||||
|
||||
async with get_client() as ms_client:
|
||||
|
||||
# start ingest to marketstore
|
||||
async for quotes in qstream:
|
||||
log.info(quotes)
|
||||
for symbol, quote in quotes.items():
|
||||
for tick in quote.get('ticks', ()):
|
||||
ticktype = tick.get('type', 'n/a')
|
||||
|
||||
# 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))
|
||||
# remap tick strs to ints
|
||||
quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
|
||||
|
||||
await ms_client.write(array, _tick_tbk)
|
||||
# check for volume update (i.e. did trades happen
|
||||
# since last quote)
|
||||
new_vol = quote.get('volume', None)
|
||||
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?")
|
||||
|
||||
# LEGACY WRITE LOOP (using old tick dt)
|
||||
# quote_cache = {
|
||||
# 'size': 0,
|
||||
# 'tick': 0
|
||||
# }
|
||||
quote_cache.update(quote)
|
||||
|
||||
# async for quotes in qstream:
|
||||
# log.info(quotes)
|
||||
# for symbol, quote in quotes.items():
|
||||
|
||||
# # remap tick strs to ints
|
||||
# quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
|
||||
|
||||
# # check for volume update (i.e. did trades happen
|
||||
# # since last quote)
|
||||
# new_vol = quote.get('volume', None)
|
||||
# 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)
|
||||
|
||||
# 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)
|
||||
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
|
||||
|
|
@ -778,7 +271,7 @@ 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']
|
||||
|
|
|
|||
|
|
@ -40,8 +40,6 @@ from tractor.msg import NamespacePath
|
|||
from ..data._sharedmem import (
|
||||
ShmArray,
|
||||
maybe_open_shm_array,
|
||||
attach_shm_array,
|
||||
_Token,
|
||||
)
|
||||
from ..log import get_logger
|
||||
|
||||
|
|
@ -74,13 +72,6 @@ class Fsp:
|
|||
# - custom function wrappers,
|
||||
# https://wrapt.readthedocs.io/en/latest/wrappers.html#custom-function-wrappers
|
||||
|
||||
# actor-local map of source flow shm tokens
|
||||
# + the consuming fsp *to* the consumers output
|
||||
# shm flow.
|
||||
_flow_registry: dict[
|
||||
tuple[_Token, str], _Token,
|
||||
] = {}
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
func: Callable[..., Awaitable],
|
||||
|
|
@ -102,7 +93,7 @@ class Fsp:
|
|||
self.config: dict[str, Any] = config
|
||||
|
||||
# register with declared set.
|
||||
_fsp_registry[self.ns_path] = self
|
||||
_fsp_registry[self.ns_path] = func
|
||||
|
||||
@property
|
||||
def name(self) -> str:
|
||||
|
|
@ -120,24 +111,6 @@ class Fsp:
|
|||
):
|
||||
return self.func(*args, **kwargs)
|
||||
|
||||
# TODO: lru_cache this? prettty sure it'll work?
|
||||
def get_shm(
|
||||
self,
|
||||
src_shm: ShmArray,
|
||||
|
||||
) -> ShmArray:
|
||||
'''
|
||||
Provide access to allocated shared mem array
|
||||
for this "instance" of a signal processor for
|
||||
the given ``key``.
|
||||
|
||||
'''
|
||||
dst_token = self._flow_registry[
|
||||
(src_shm._token, self.name)
|
||||
]
|
||||
shm = attach_shm_array(dst_token)
|
||||
return shm
|
||||
|
||||
|
||||
def fsp(
|
||||
wrapped=None,
|
||||
|
|
@ -159,27 +132,18 @@ def fsp(
|
|||
return Fsp(wrapped, outputs=(wrapped.__name__,))
|
||||
|
||||
|
||||
def mk_fsp_shm_key(
|
||||
sym: str,
|
||||
target: Fsp
|
||||
|
||||
) -> str:
|
||||
uid = tractor.current_actor().uid
|
||||
return f'{sym}.fsp.{target.name}.{".".join(uid)}'
|
||||
|
||||
|
||||
def maybe_mk_fsp_shm(
|
||||
sym: str,
|
||||
target: Fsp,
|
||||
target: fsp,
|
||||
readonly: bool = True,
|
||||
|
||||
) -> (str, ShmArray, bool):
|
||||
) -> (ShmArray, bool):
|
||||
'''
|
||||
Allocate a single row shm array for an symbol-fsp pair if none
|
||||
exists, otherwise load the shm already existing for that token.
|
||||
|
||||
'''
|
||||
assert isinstance(sym, str), '`sym` should be file-name-friendly `str`'
|
||||
uid = tractor.current_actor().uid
|
||||
|
||||
# TODO: load output types from `Fsp`
|
||||
# - should `index` be a required internal field?
|
||||
|
|
@ -188,7 +152,7 @@ def maybe_mk_fsp_shm(
|
|||
[(field_name, float) for field_name in target.outputs]
|
||||
)
|
||||
|
||||
key = mk_fsp_shm_key(sym, target)
|
||||
key = f'{sym}.fsp.{target.name}.{".".join(uid)}'
|
||||
|
||||
shm, opened = maybe_open_shm_array(
|
||||
key,
|
||||
|
|
@ -196,4 +160,4 @@ def maybe_mk_fsp_shm(
|
|||
dtype=fsp_dtype,
|
||||
readonly=True,
|
||||
)
|
||||
return key, shm, opened
|
||||
return shm, opened
|
||||
|
|
|
|||
|
|
@ -20,10 +20,7 @@ core task logic for processing chains
|
|||
'''
|
||||
from dataclasses import dataclass
|
||||
from functools import partial
|
||||
from typing import (
|
||||
AsyncIterator, Callable, Optional,
|
||||
Union,
|
||||
)
|
||||
from typing import AsyncIterator, Callable, Optional
|
||||
|
||||
import numpy as np
|
||||
import pyqtgraph as pg
|
||||
|
|
@ -37,12 +34,8 @@ from .. import data
|
|||
from ..data import attach_shm_array
|
||||
from ..data.feed import Feed
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ..data._source import Symbol
|
||||
from ._api import (
|
||||
Fsp,
|
||||
_load_builtins,
|
||||
_Token,
|
||||
)
|
||||
from ._api import Fsp
|
||||
from ._api import _load_builtins
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
|
@ -76,7 +69,8 @@ async def filter_quotes_by_sym(
|
|||
|
||||
async def fsp_compute(
|
||||
|
||||
symbol: Symbol,
|
||||
ctx: tractor.Context,
|
||||
symbol: str,
|
||||
feed: Feed,
|
||||
quote_stream: trio.abc.ReceiveChannel,
|
||||
|
||||
|
|
@ -85,7 +79,7 @@ async def fsp_compute(
|
|||
|
||||
func: Callable,
|
||||
|
||||
# attach_stream: bool = False,
|
||||
attach_stream: bool = False,
|
||||
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
|
|
@ -95,81 +89,40 @@ async def fsp_compute(
|
|||
disabled=True
|
||||
)
|
||||
|
||||
fqsn = symbol.front_fqsn()
|
||||
out_stream = func(
|
||||
|
||||
# TODO: do we even need this if we do the feed api right?
|
||||
# shouldn't a local stream do this before we get a handle
|
||||
# to the async iterable? it's that or we do some kinda
|
||||
# async itertools style?
|
||||
filter_quotes_by_sym(fqsn, quote_stream),
|
||||
|
||||
# XXX: currently the ``ohlcv`` arg
|
||||
filter_quotes_by_sym(symbol, quote_stream),
|
||||
feed.shm,
|
||||
)
|
||||
|
||||
# Conduct a single iteration of fsp with historical bars input
|
||||
# and get historical output
|
||||
history_output: Union[
|
||||
dict[str, np.ndarray], # multi-output case
|
||||
np.ndarray, # single output case
|
||||
]
|
||||
history_output = await out_stream.__anext__()
|
||||
|
||||
func_name = func.__name__
|
||||
profiler(f'{func_name} generated history')
|
||||
|
||||
# build struct array with an 'index' field to push as history
|
||||
|
||||
# TODO: push using a[['f0', 'f1', .., 'fn']] = .. syntax no?
|
||||
# if the output array is multi-field then push
|
||||
# each respective field.
|
||||
fields = getattr(dst.array.dtype, 'fields', None).copy()
|
||||
fields.pop('index')
|
||||
history: Optional[np.ndarray] = None # TODO: nptyping here!
|
||||
|
||||
if fields and len(fields) > 1 and fields:
|
||||
if not isinstance(history_output, dict):
|
||||
raise ValueError(
|
||||
f'`{func_name}` is a multi-output FSP and should yield a '
|
||||
'`dict[str, np.ndarray]` for history'
|
||||
)
|
||||
|
||||
for key in fields.keys():
|
||||
if key in history_output:
|
||||
output = history_output[key]
|
||||
|
||||
if history is None:
|
||||
|
||||
if output is None:
|
||||
length = len(src.array)
|
||||
else:
|
||||
length = len(output)
|
||||
|
||||
# using the first output, determine
|
||||
# the length of the struct-array that
|
||||
# will be pushed to shm.
|
||||
history = np.zeros(
|
||||
length,
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
|
||||
if output is None:
|
||||
continue
|
||||
|
||||
history[key] = output
|
||||
|
||||
# single-key output stream
|
||||
else:
|
||||
if not isinstance(history_output, np.ndarray):
|
||||
raise ValueError(
|
||||
f'`{func_name}` is a single output FSP and should yield an '
|
||||
'`np.ndarray` for history'
|
||||
)
|
||||
history = np.zeros(
|
||||
len(history_output),
|
||||
dtype=dst.array.dtype
|
||||
)
|
||||
|
||||
# TODO: push using a[['f0', 'f1', .., 'fn']] = .. syntax no?
|
||||
# if the output array is multi-field then push
|
||||
# each respective field.
|
||||
fields = getattr(history.dtype, 'fields', None)
|
||||
if fields:
|
||||
for key in fields.keys():
|
||||
if key in history.dtype.fields:
|
||||
history[func_name] = history_output
|
||||
|
||||
# single-key output stream
|
||||
else:
|
||||
history[func_name] = history_output
|
||||
|
||||
# TODO: XXX:
|
||||
|
|
@ -192,23 +145,22 @@ async def fsp_compute(
|
|||
profiler(f'{func_name} pushed history')
|
||||
profiler.finish()
|
||||
|
||||
# TODO: UGH, what is the right way to do something like this?
|
||||
if not ctx._started_called:
|
||||
await ctx.started(index)
|
||||
|
||||
# setup a respawn handle
|
||||
with trio.CancelScope() as cs:
|
||||
|
||||
# TODO: might be better to just make a "restart" method where
|
||||
# the target task is spawned implicitly and then the event is
|
||||
# set via some higher level api? At that poing we might as well
|
||||
# be writing a one-cancels-one nursery though right?
|
||||
tracker = TaskTracker(trio.Event(), cs)
|
||||
task_status.started((tracker, index))
|
||||
|
||||
profiler(f'{func_name} yield last index')
|
||||
|
||||
# import time
|
||||
# last = time.time()
|
||||
|
||||
try:
|
||||
|
||||
# rt stream
|
||||
async with ctx.open_stream() as stream:
|
||||
async for processed in out_stream:
|
||||
|
||||
log.debug(f"{func_name}: {processed}")
|
||||
|
|
@ -219,14 +171,8 @@ async def fsp_compute(
|
|||
# NOTE: for now we aren't streaming this to the consumer
|
||||
# stream latest array index entry which basically just acts
|
||||
# as trigger msg to tell the consumer to read from shm
|
||||
# TODO: further this should likely be implemented much
|
||||
# like our `Feed` api where there is one background
|
||||
# "service" task which computes output and then sends to
|
||||
# N-consumers who subscribe for the real-time output,
|
||||
# which we'll likely want to implement using local-mem
|
||||
# chans for the fan out?
|
||||
# if attach_stream:
|
||||
# await client_stream.send(index)
|
||||
if attach_stream:
|
||||
await stream.send(index)
|
||||
|
||||
# period = time.time() - last
|
||||
# hz = 1/period if period else float('nan')
|
||||
|
|
@ -243,15 +189,14 @@ async def cascade(
|
|||
ctx: tractor.Context,
|
||||
|
||||
# data feed key
|
||||
fqsn: str,
|
||||
brokername: str,
|
||||
symbol: str,
|
||||
|
||||
src_shm_token: dict,
|
||||
dst_shm_token: tuple[str, np.dtype],
|
||||
|
||||
ns_path: NamespacePath,
|
||||
|
||||
shm_registry: dict[str, _Token],
|
||||
|
||||
zero_on_step: bool = False,
|
||||
loglevel: Optional[str] = None,
|
||||
|
||||
|
|
@ -261,10 +206,7 @@ async def cascade(
|
|||
destination shm array buffer.
|
||||
|
||||
'''
|
||||
profiler = pg.debug.Profiler(
|
||||
delayed=False,
|
||||
disabled=False
|
||||
)
|
||||
profiler = pg.debug.Profiler(delayed=False, disabled=False)
|
||||
|
||||
if loglevel:
|
||||
get_console_log(loglevel)
|
||||
|
|
@ -277,21 +219,9 @@ async def cascade(
|
|||
log.info(
|
||||
f'Registered FSP set:\n{lines}'
|
||||
)
|
||||
|
||||
# update actorlocal flows table which registers
|
||||
# readonly "instances" of this fsp for symbol/source
|
||||
# so that consumer fsps can look it up by source + fsp.
|
||||
# TODO: ugh i hate this wind/unwind to list over the wire
|
||||
# but not sure how else to do it.
|
||||
for (token, fsp_name, dst_token) in shm_registry:
|
||||
Fsp._flow_registry[
|
||||
(_Token.from_msg(token), fsp_name)
|
||||
] = _Token.from_msg(dst_token)
|
||||
|
||||
fsp: Fsp = reg.get(
|
||||
func: Fsp = reg.get(
|
||||
NamespacePath(ns_path)
|
||||
)
|
||||
func = fsp.func
|
||||
|
||||
if not func:
|
||||
# TODO: assume it's a func target path
|
||||
|
|
@ -299,7 +229,8 @@ async def cascade(
|
|||
|
||||
# open a data feed stream with requested broker
|
||||
async with data.feed.maybe_open_feed(
|
||||
[fqsn],
|
||||
brokername,
|
||||
[symbol],
|
||||
|
||||
# TODO throttle tick outputs from *this* daemon since
|
||||
# it'll emit tons of ticks due to the throttle only
|
||||
|
|
@ -308,7 +239,6 @@ async def cascade(
|
|||
# tick_throttle=60,
|
||||
|
||||
) as (feed, quote_stream):
|
||||
symbol = feed.symbols[fqsn]
|
||||
|
||||
profiler(f'{func}: feed up')
|
||||
|
||||
|
|
@ -323,6 +253,7 @@ async def cascade(
|
|||
fsp_target = partial(
|
||||
|
||||
fsp_compute,
|
||||
ctx=ctx,
|
||||
symbol=symbol,
|
||||
feed=feed,
|
||||
quote_stream=quote_stream,
|
||||
|
|
@ -331,7 +262,7 @@ async def cascade(
|
|||
src=src,
|
||||
dst=dst,
|
||||
|
||||
# target
|
||||
# func_name=func_name,
|
||||
func=func
|
||||
)
|
||||
|
||||
|
|
@ -343,39 +274,13 @@ async def cascade(
|
|||
|
||||
profiler(f'{func_name}: fsp up')
|
||||
|
||||
# sync client
|
||||
await ctx.started(index)
|
||||
|
||||
# XXX: rt stream with client which we MUST
|
||||
# open here (and keep it open) in order to make
|
||||
# incremental "updates" as history prepends take
|
||||
# place.
|
||||
async with ctx.open_stream() as client_stream:
|
||||
|
||||
# TODO: these likely should all become
|
||||
# methods of this ``TaskLifetime`` or wtv
|
||||
# abstraction..
|
||||
async def resync(
|
||||
tracker: TaskTracker,
|
||||
|
||||
) -> tuple[TaskTracker, int]:
|
||||
async def resync(tracker: TaskTracker) -> tuple[TaskTracker, int]:
|
||||
# TODO: adopt an incremental update engine/approach
|
||||
# where possible here eventually!
|
||||
log.debug(f're-syncing fsp {func_name} to source')
|
||||
log.warning(f're-syncing fsp {func_name} to source')
|
||||
tracker.cs.cancel()
|
||||
await tracker.complete.wait()
|
||||
tracker, index = await n.start(fsp_target)
|
||||
|
||||
# always trigger UI refresh after history update,
|
||||
# see ``piker.ui._fsp.FspAdmin.open_chain()`` and
|
||||
# ``piker.ui._display.trigger_update()``.
|
||||
await client_stream.send({
|
||||
'fsp_update': {
|
||||
'key': dst_shm_token,
|
||||
'first': dst._first.value,
|
||||
'last': dst._last.value,
|
||||
}})
|
||||
return tracker, index
|
||||
return await n.start(fsp_target)
|
||||
|
||||
def is_synced(
|
||||
src: ShmArray,
|
||||
|
|
@ -415,21 +320,14 @@ async def cascade(
|
|||
|
||||
s, step, ld = is_synced(src, dst)
|
||||
|
||||
# detect sample period step for subscription to increment
|
||||
# signal
|
||||
times = src.array['time']
|
||||
delay_s = times[-1] - times[times != times[-1]][-1]
|
||||
|
||||
# Increment the underlying shared memory buffer on every
|
||||
# "increment" msg received from the underlying data feed.
|
||||
async with feed.index_stream(
|
||||
int(delay_s)
|
||||
) as istream:
|
||||
async with feed.index_stream() as stream:
|
||||
|
||||
profiler(f'{func_name}: sample stream up')
|
||||
profiler.finish()
|
||||
|
||||
async for _ in istream:
|
||||
async for msg in stream:
|
||||
|
||||
# respawn the compute task if the source
|
||||
# array has been updated such that we compute
|
||||
|
|
|
|||
|
|
@ -167,36 +167,9 @@ def _wma(
|
|||
|
||||
assert length == len(weights)
|
||||
|
||||
# lol, for long sequences this is nutso slow and expensive..
|
||||
return np.convolve(signal, weights, 'valid')
|
||||
|
||||
|
||||
@fsp
|
||||
async def wma(
|
||||
|
||||
source, #: AsyncStream[np.ndarray],
|
||||
length: int,
|
||||
ohlcv: np.ndarray, # price time-frame "aware"
|
||||
|
||||
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
|
||||
'''
|
||||
Streaming weighted moving average.
|
||||
|
||||
``weights`` is a sequence of already scaled values. As an example
|
||||
for the WMA often found in "techincal analysis":
|
||||
``weights = np.arange(1, N) * N*(N-1)/2``.
|
||||
|
||||
'''
|
||||
# deliver historical output as "first yield"
|
||||
yield _wma(ohlcv.array['close'], length)
|
||||
|
||||
# begin real-time section
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote, type='trade'):
|
||||
yield _wma(ohlcv.last(length))
|
||||
|
||||
|
||||
@fsp
|
||||
async def rsi(
|
||||
|
||||
|
|
@ -251,3 +224,29 @@ async def rsi(
|
|||
down_ema_last=last_down_ema_close,
|
||||
)
|
||||
yield rsi_out[-1:]
|
||||
|
||||
|
||||
@fsp
|
||||
async def wma(
|
||||
|
||||
source, #: AsyncStream[np.ndarray],
|
||||
length: int,
|
||||
ohlcv: np.ndarray, # price time-frame "aware"
|
||||
|
||||
) -> AsyncIterator[np.ndarray]: # maybe something like like FspStream?
|
||||
'''
|
||||
Streaming weighted moving average.
|
||||
|
||||
``weights`` is a sequence of already scaled values. As an example
|
||||
for the WMA often found in "techincal analysis":
|
||||
``weights = np.arange(1, N) * N*(N-1)/2``.
|
||||
|
||||
'''
|
||||
# deliver historical output as "first yield"
|
||||
yield _wma(ohlcv.array['close'], length)
|
||||
|
||||
# begin real-time section
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(quote, type='trade'):
|
||||
yield _wma(ohlcv.last(length))
|
||||
|
|
|
|||
|
|
@ -22,25 +22,17 @@ from tractor.trionics._broadcast import AsyncReceiver
|
|||
from ._api import fsp
|
||||
from ..data._normalize import iterticks
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ._momo import _wma
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
# NOTE: is the same as our `wma` fsp, and if so which one is faster?
|
||||
# Ohhh, this is an IIR style i think? So it has an anchor point
|
||||
# effectively instead of a moving window/FIR style?
|
||||
def wap(
|
||||
|
||||
signal: np.ndarray,
|
||||
weights: np.ndarray,
|
||||
|
||||
) -> np.ndarray:
|
||||
'''
|
||||
Weighted average price from signal and weights.
|
||||
"""Weighted average price from signal and weights.
|
||||
|
||||
'''
|
||||
"""
|
||||
cum_weights = np.cumsum(weights)
|
||||
cum_weighted_input = np.cumsum(signal * weights)
|
||||
|
||||
|
|
@ -97,10 +89,7 @@ async def tina_vwap(
|
|||
# vwap_tot = h_vwap[-1]
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
types=['trade'],
|
||||
):
|
||||
for tick in iterticks(quote, types=['trade']):
|
||||
|
||||
# c, h, l, v = ohlcv.array[-1][
|
||||
# ['closes', 'high', 'low', 'volume']
|
||||
|
|
@ -118,12 +107,8 @@ async def tina_vwap(
|
|||
|
||||
|
||||
@fsp(
|
||||
outputs=(
|
||||
'dolla_vlm',
|
||||
'dark_vlm',
|
||||
'trade_count',
|
||||
'dark_trade_count',
|
||||
),
|
||||
outputs=('dolla_vlm', 'dark_vlm'),
|
||||
ohlc=False,
|
||||
curve_style='step',
|
||||
)
|
||||
async def dolla_vlm(
|
||||
|
|
@ -147,24 +132,14 @@ async def dolla_vlm(
|
|||
v = a['volume']
|
||||
|
||||
# on first iteration yield history
|
||||
yield {
|
||||
'dolla_vlm': chl3 * v,
|
||||
'dark_vlm': None,
|
||||
}
|
||||
yield chl3 * v
|
||||
|
||||
i = ohlcv.index
|
||||
dvlm = vlm = 0
|
||||
dark_trade_count = trade_count = 0
|
||||
output = vlm = 0
|
||||
dvlm = 0
|
||||
|
||||
async for quote in source:
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
types=(
|
||||
'trade',
|
||||
'dark_trade',
|
||||
),
|
||||
deduplicate_darks=True,
|
||||
):
|
||||
for tick in iterticks(quote):
|
||||
|
||||
# this computes tick-by-tick weightings from here forward
|
||||
size = tick['size']
|
||||
|
|
@ -173,30 +148,24 @@ async def dolla_vlm(
|
|||
li = ohlcv.index
|
||||
if li > i:
|
||||
i = li
|
||||
trade_count = dark_trade_count = dvlm = vlm = 0
|
||||
vlm = 0
|
||||
dvlm = 0
|
||||
|
||||
# TODO: for marginned instruments (futes, etfs?) we need to
|
||||
# show the margin $vlm by multiplying by whatever multiplier
|
||||
# is reported in the sym info.
|
||||
|
||||
ttype = tick.get('type')
|
||||
|
||||
if ttype == 'dark_trade':
|
||||
print(f'dark_trade: {tick}')
|
||||
key = 'dark_vlm'
|
||||
dvlm += price * size
|
||||
yield 'dark_vlm', dvlm
|
||||
|
||||
dark_trade_count += 1
|
||||
yield 'dark_trade_count', dark_trade_count
|
||||
|
||||
# print(f'{dark_trade_count}th dark_trade: {tick}')
|
||||
output = dvlm
|
||||
|
||||
else:
|
||||
# print(f'vlm: {tick}')
|
||||
key = 'dolla_vlm'
|
||||
vlm += price * size
|
||||
yield 'dolla_vlm', vlm
|
||||
|
||||
trade_count += 1
|
||||
yield 'trade_count', trade_count
|
||||
output = vlm
|
||||
|
||||
# TODO: plot both to compare?
|
||||
# c, h, l, v = ohlcv.last()[
|
||||
|
|
@ -205,154 +174,4 @@ async def dolla_vlm(
|
|||
# tina_lvlm = c+h+l/3 * v
|
||||
# print(f' tinal vlm: {tina_lvlm}')
|
||||
|
||||
|
||||
@fsp(
|
||||
# TODO: eventually I guess we should support some kinda declarative
|
||||
# graphics config syntax per output yah? That seems like a clean way
|
||||
# to let users configure things? Not sure how exactly to offer that
|
||||
# api as well as how to expose such a thing *inside* the body?
|
||||
outputs=(
|
||||
# pulled verbatim from `ib` for now
|
||||
'1m_trade_rate',
|
||||
'1m_vlm_rate',
|
||||
|
||||
# our own instantaneous rate calcs which are all
|
||||
# parameterized by a samples count (bars) period
|
||||
'trade_rate',
|
||||
'dark_trade_rate',
|
||||
|
||||
'dvlm_rate',
|
||||
'dark_dvlm_rate',
|
||||
),
|
||||
curve_style='line',
|
||||
)
|
||||
async def flow_rates(
|
||||
source: AsyncReceiver[dict],
|
||||
ohlcv: ShmArray, # OHLC sampled history
|
||||
|
||||
# TODO (idea): a dynamic generic / boxing type that can be updated by other
|
||||
# FSPs, user input, and possibly any general event stream in
|
||||
# real-time. Hint: ideally implemented with caching until mutated
|
||||
# ;)
|
||||
period: 'Param[int]' = 6, # noqa
|
||||
|
||||
# TODO: support other means by providing a map
|
||||
# to weights `partial()`-ed with `wma()`?
|
||||
mean_type: str = 'arithmetic',
|
||||
|
||||
# TODO (idea): a generic for declaring boxed fsps much like ``pytest``
|
||||
# fixtures? This probably needs a lot of thought if we want to offer
|
||||
# a higher level composition syntax eventually (oh right gotta make
|
||||
# an issue for that).
|
||||
# ideas for how to allow composition / intercalling:
|
||||
# - offer a `Fsp.get_history()` to do the first yield output?
|
||||
# * err wait can we just have shm access directly?
|
||||
# - how would it work if some consumer fsp wanted to dynamically
|
||||
# change params which are input to the callee fsp? i guess we could
|
||||
# lazy copy in that case?
|
||||
# dvlm: 'Fsp[dolla_vlm]'
|
||||
|
||||
) -> AsyncIterator[
|
||||
tuple[str, Union[np.ndarray, float]],
|
||||
]:
|
||||
# generally no history available prior to real-time calcs
|
||||
yield {
|
||||
# from ib
|
||||
'1m_trade_rate': None,
|
||||
'1m_vlm_rate': None,
|
||||
|
||||
'trade_rate': None,
|
||||
'dark_trade_rate': None,
|
||||
|
||||
'dvlm_rate': None,
|
||||
'dark_dvlm_rate': None,
|
||||
}
|
||||
|
||||
# TODO: 3.10 do ``anext()``
|
||||
quote = await source.__anext__()
|
||||
|
||||
# ltr = 0
|
||||
# lvr = 0
|
||||
tr = quote.get('tradeRate')
|
||||
yield '1m_trade_rate', tr or 0
|
||||
vr = quote.get('volumeRate')
|
||||
yield '1m_vlm_rate', vr or 0
|
||||
|
||||
yield 'trade_rate', 0
|
||||
yield 'dark_trade_rate', 0
|
||||
yield 'dvlm_rate', 0
|
||||
yield 'dark_dvlm_rate', 0
|
||||
|
||||
# NOTE: in theory we could dynamically allocate a cascade based on
|
||||
# this call but not sure if that's too "dynamic" in terms of
|
||||
# validating cascade flows from message typing perspective.
|
||||
|
||||
# attach to ``dolla_vlm`` fsp running
|
||||
# on this same source flow.
|
||||
dvlm_shm = dolla_vlm.get_shm(ohlcv)
|
||||
|
||||
# precompute arithmetic mean weights (all ones)
|
||||
seq = np.full((period,), 1)
|
||||
weights = seq / seq.sum()
|
||||
|
||||
async for quote in source:
|
||||
if not quote:
|
||||
log.error("OH WTF NO QUOTE IN FSP")
|
||||
continue
|
||||
|
||||
# dvlm_wma = _wma(
|
||||
# dvlm_shm.array['dolla_vlm'],
|
||||
# period,
|
||||
# weights=weights,
|
||||
# )
|
||||
# yield 'dvlm_rate', dvlm_wma[-1]
|
||||
|
||||
if period > 1:
|
||||
trade_rate_wma = _wma(
|
||||
dvlm_shm.array['trade_count'][-period:],
|
||||
period,
|
||||
weights=weights,
|
||||
)
|
||||
trade_rate = trade_rate_wma[-1]
|
||||
# print(trade_rate)
|
||||
yield 'trade_rate', trade_rate
|
||||
else:
|
||||
# instantaneous rate per sample step
|
||||
count = dvlm_shm.array['trade_count'][-1]
|
||||
yield 'trade_rate', count
|
||||
|
||||
# TODO: skip this if no dark vlm is declared
|
||||
# by symbol info (eg. in crypto$)
|
||||
# dark_dvlm_wma = _wma(
|
||||
# dvlm_shm.array['dark_vlm'],
|
||||
# period,
|
||||
# weights=weights,
|
||||
# )
|
||||
# yield 'dark_dvlm_rate', dark_dvlm_wma[-1]
|
||||
|
||||
if period > 1:
|
||||
dark_trade_rate_wma = _wma(
|
||||
dvlm_shm.array['dark_trade_count'][-period:],
|
||||
period,
|
||||
weights=weights,
|
||||
)
|
||||
yield 'dark_trade_rate', dark_trade_rate_wma[-1]
|
||||
else:
|
||||
# instantaneous rate per sample step
|
||||
dark_count = dvlm_shm.array['dark_trade_count'][-1]
|
||||
yield 'dark_trade_rate', dark_count
|
||||
|
||||
# XXX: ib specific schema we should
|
||||
# probably pre-pack ourselves.
|
||||
|
||||
# tr = quote.get('tradeRate')
|
||||
# if tr is not None and tr != ltr:
|
||||
# # print(f'trade rate: {tr}')
|
||||
# yield '1m_trade_rate', tr
|
||||
# ltr = tr
|
||||
|
||||
# vr = quote.get('volumeRate')
|
||||
# if vr is not None and vr != lvr:
|
||||
# # print(f'vlm rate: {vr}')
|
||||
# yield '1m_vlm_rate', vr
|
||||
# lvr = vr
|
||||
yield key, output
|
||||
|
|
|
|||
|
|
@ -25,13 +25,10 @@ from pygments import highlight, lexers, formatters
|
|||
|
||||
# Makes it so we only see the full module name when using ``__name__``
|
||||
# without the extra "piker." prefix.
|
||||
_proj_name: str = 'piker'
|
||||
_proj_name = 'piker'
|
||||
|
||||
|
||||
def get_logger(
|
||||
name: str = None,
|
||||
|
||||
) -> logging.Logger:
|
||||
def get_logger(name: str = None) -> logging.Logger:
|
||||
'''Return the package log or a sub-log for `name` if provided.
|
||||
'''
|
||||
return tractor.log.get_logger(name=name, _root_name=_proj_name)
|
||||
|
|
|
|||
|
|
@ -25,10 +25,39 @@ from PyQt5.QtCore import QPointF
|
|||
from PyQt5.QtWidgets import QGraphicsPathItem
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._axes import PriceAxis
|
||||
from ._chart import ChartPlotWidget
|
||||
from ._label import Label
|
||||
|
||||
|
||||
def marker_right_points(
|
||||
chart: ChartPlotWidget, # noqa
|
||||
marker_size: int = 20,
|
||||
|
||||
) -> (float, float, float):
|
||||
'''
|
||||
Return x-dimension, y-axis-aware, level-line marker oriented scene
|
||||
values.
|
||||
|
||||
X values correspond to set the end of a level line, end of
|
||||
a paried level line marker, and the right most side of the "right"
|
||||
axis respectively.
|
||||
|
||||
'''
|
||||
# TODO: compute some sensible maximum value here
|
||||
# and use a humanized scheme to limit to that length.
|
||||
l1_len = chart._max_l1_line_len
|
||||
ryaxis = chart.getAxis('right')
|
||||
|
||||
r_axis_x = ryaxis.pos().x()
|
||||
up_to_l1_sc = r_axis_x - l1_len - 10
|
||||
|
||||
marker_right = up_to_l1_sc - (1.375 * 2 * marker_size)
|
||||
line_end = marker_right - (6/16 * marker_size)
|
||||
|
||||
return line_end, marker_right, r_axis_x
|
||||
|
||||
|
||||
def vbr_left(
|
||||
label: Label,
|
||||
|
||||
|
|
|
|||
|
|
@ -26,6 +26,8 @@ from PyQt5.QtWidgets import QGraphicsPathItem
|
|||
from pyqtgraph import Point, functions as fn, Color
|
||||
import numpy as np
|
||||
|
||||
from ._anchors import marker_right_points
|
||||
|
||||
|
||||
def mk_marker_path(
|
||||
|
||||
|
|
@ -114,7 +116,7 @@ class LevelMarker(QGraphicsPathItem):
|
|||
|
||||
self.get_level = get_level
|
||||
self._on_paint = on_paint
|
||||
self.scene_x = lambda: chart.marker_right_points()[1]
|
||||
self.scene_x = lambda: marker_right_points(chart)[1]
|
||||
self.level: float = 0
|
||||
self.keep_in_view = keep_in_view
|
||||
|
||||
|
|
@ -167,7 +169,7 @@ class LevelMarker(QGraphicsPathItem):
|
|||
vr = view.state['viewRange']
|
||||
ymn, ymx = vr[1]
|
||||
|
||||
# _, marker_right, _ = line._chart.marker_right_points()
|
||||
# _, marker_right, _ = marker_right_points(line._chart)
|
||||
x = self.scene_x()
|
||||
|
||||
if self.style == '>|': # short style, points "down-to" line
|
||||
|
|
|
|||
|
|
@ -19,10 +19,10 @@ Chart axes graphics and behavior.
|
|||
|
||||
"""
|
||||
from functools import lru_cache
|
||||
from typing import Optional, Callable
|
||||
from typing import List, Tuple, Optional, Callable
|
||||
from math import floor
|
||||
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import pyqtgraph as pg
|
||||
from PyQt5 import QtCore, QtGui, QtWidgets
|
||||
from PyQt5.QtCore import QPointF
|
||||
|
|
@ -44,14 +44,10 @@ class Axis(pg.AxisItem):
|
|||
self,
|
||||
linkedsplits,
|
||||
typical_max_str: str = '100 000.000',
|
||||
text_color: str = 'bracket',
|
||||
**kwargs
|
||||
|
||||
) -> None:
|
||||
super().__init__(
|
||||
# textPen=textPen,
|
||||
**kwargs
|
||||
)
|
||||
super().__init__(**kwargs)
|
||||
|
||||
# XXX: pretty sure this makes things slower
|
||||
# self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
|
@ -78,32 +74,19 @@ class Axis(pg.AxisItem):
|
|||
})
|
||||
|
||||
self.setTickFont(_font.font)
|
||||
|
||||
# NOTE: this is for surrounding "border"
|
||||
self.setPen(_axis_pen)
|
||||
|
||||
# this is the text color
|
||||
# self.setTextPen(pg.mkPen(hcolor(text_color)))
|
||||
self.text_color = text_color
|
||||
|
||||
self.setTextPen(_axis_pen)
|
||||
self.typical_br = _font._qfm.boundingRect(typical_max_str)
|
||||
|
||||
# size the pertinent axis dimension to a "typical value"
|
||||
self.size_to_values()
|
||||
|
||||
@property
|
||||
def text_color(self) -> str:
|
||||
return self._text_color
|
||||
|
||||
@text_color.setter
|
||||
def text_color(self, text_color: str) -> None:
|
||||
self.setTextPen(pg.mkPen(hcolor(text_color)))
|
||||
self._text_color = text_color
|
||||
|
||||
def size_to_values(self) -> None:
|
||||
pass
|
||||
|
||||
def txt_offsets(self) -> tuple[int, int]:
|
||||
def txt_offsets(self) -> Tuple[int, int]:
|
||||
return tuple(self.style['tickTextOffset'])
|
||||
|
||||
|
||||
|
|
@ -126,8 +109,7 @@ class PriceAxis(Axis):
|
|||
def set_title(
|
||||
self,
|
||||
title: str,
|
||||
view: Optional[ChartView] = None,
|
||||
color: Optional[str] = None,
|
||||
view: Optional[ChartView] = None
|
||||
|
||||
) -> Label:
|
||||
'''
|
||||
|
|
@ -141,7 +123,7 @@ class PriceAxis(Axis):
|
|||
label = self.title = Label(
|
||||
view=view or self.linkedView(),
|
||||
fmt_str=title,
|
||||
color=color or self.text_color,
|
||||
color='bracket',
|
||||
parent=self,
|
||||
# update_on_range_change=False,
|
||||
)
|
||||
|
|
@ -218,14 +200,13 @@ class DynamicDateAxis(Axis):
|
|||
|
||||
def _indexes_to_timestrs(
|
||||
self,
|
||||
indexes: list[int],
|
||||
indexes: List[int],
|
||||
|
||||
) -> list[str]:
|
||||
) -> List[str]:
|
||||
|
||||
chart = self.linkedsplits.chart
|
||||
flow = chart._flows[chart.name]
|
||||
shm = flow.shm
|
||||
bars = shm.array
|
||||
bars = chart._arrays[chart.name]
|
||||
shm = self.linkedsplits.chart._shm
|
||||
first = shm._first.value
|
||||
|
||||
bars_len = len(bars)
|
||||
|
|
@ -242,17 +223,10 @@ class DynamicDateAxis(Axis):
|
|||
)]
|
||||
|
||||
# TODO: **don't** have this hard coded shift to EST
|
||||
# delay = times[-1] - times[-2]
|
||||
dts = np.array(epochs, dtype='datetime64[s]')
|
||||
dts = pd.to_datetime(epochs, unit='s') # - 4*pd.offsets.Hour()
|
||||
|
||||
# see units listing:
|
||||
# https://numpy.org/devdocs/reference/arrays.datetime.html#datetime-units
|
||||
return list(np.datetime_as_string(dts))
|
||||
|
||||
# TODO: per timeframe formatting?
|
||||
# - we probably need this based on zoom now right?
|
||||
# prec = self.np_dt_precision[delay]
|
||||
# return dts.strftime(self.tick_tpl[delay])
|
||||
delay = times[-1] - times[-2]
|
||||
return dts.strftime(self.tick_tpl[delay])
|
||||
|
||||
def tickStrings(
|
||||
self,
|
||||
|
|
@ -438,7 +412,7 @@ class XAxisLabel(AxisLabel):
|
|||
| QtCore.Qt.AlignCenter
|
||||
)
|
||||
|
||||
def size_hint(self) -> tuple[float, float]:
|
||||
def size_hint(self) -> Tuple[float, float]:
|
||||
# size to parent axis height
|
||||
return self._parent.height(), None
|
||||
|
||||
|
|
@ -452,11 +426,11 @@ class XAxisLabel(AxisLabel):
|
|||
|
||||
timestrs = self._parent._indexes_to_timestrs([int(value)])
|
||||
|
||||
if not len(timestrs):
|
||||
if not timestrs.any():
|
||||
return
|
||||
|
||||
pad = 1*' '
|
||||
self.label_str = pad + str(timestrs[0]) + pad
|
||||
self.label_str = pad + timestrs[0] + pad
|
||||
|
||||
_, y_offset = self._parent.txt_offsets()
|
||||
|
||||
|
|
@ -517,7 +491,7 @@ class YAxisLabel(AxisLabel):
|
|||
if getattr(self._parent, 'txt_offsets', False):
|
||||
self.x_offset, y_offset = self._parent.txt_offsets()
|
||||
|
||||
def size_hint(self) -> tuple[float, float]:
|
||||
def size_hint(self) -> Tuple[float, float]:
|
||||
# size to parent axis width(-ish)
|
||||
wsh = self._dpifont.boundingRect(' ').height() / 2
|
||||
return (
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for 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
|
||||
|
|
@ -19,14 +19,10 @@ High level chart-widget apis.
|
|||
|
||||
'''
|
||||
from __future__ import annotations
|
||||
from typing import Optional, TYPE_CHECKING
|
||||
from typing import Optional
|
||||
|
||||
from PyQt5 import QtCore, QtWidgets
|
||||
from PyQt5.QtCore import (
|
||||
Qt,
|
||||
QLineF,
|
||||
# QPointF,
|
||||
)
|
||||
from PyQt5.QtCore import Qt
|
||||
from PyQt5.QtWidgets import (
|
||||
QFrame,
|
||||
QWidget,
|
||||
|
|
@ -47,30 +43,25 @@ from ._cursor import (
|
|||
Cursor,
|
||||
ContentsLabel,
|
||||
)
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ._l1 import L1Labels
|
||||
from ._ohlc import BarItems
|
||||
from ._curve import (
|
||||
Curve,
|
||||
StepCurve,
|
||||
)
|
||||
from ._curve import FastAppendCurve
|
||||
from ._style import (
|
||||
hcolor,
|
||||
CHART_MARGINS,
|
||||
_xaxis_at,
|
||||
_min_points_to_show,
|
||||
_bars_from_right_in_follow_mode,
|
||||
_bars_to_left_in_follow_mode,
|
||||
)
|
||||
from ..data.feed import Feed
|
||||
from ..data._source import Symbol
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ..log import get_logger
|
||||
from ._interaction import ChartView
|
||||
from ._forms import FieldsForm
|
||||
from .._profile import pg_profile_enabled, ms_slower_then
|
||||
from ._overlay import PlotItemOverlay
|
||||
from ._flows import Flow
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._display import DisplayState
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
|
@ -120,9 +111,6 @@ class GodWidget(QWidget):
|
|||
# assigned in the startup func `_async_main()`
|
||||
self._root_n: trio.Nursery = None
|
||||
|
||||
self._widgets: dict[str, QWidget] = {}
|
||||
self._resizing: bool = False
|
||||
|
||||
# def init_timeframes_ui(self):
|
||||
# self.tf_layout = QHBoxLayout()
|
||||
# self.tf_layout.setSpacing(0)
|
||||
|
|
@ -238,23 +226,16 @@ class GodWidget(QWidget):
|
|||
# chart is already in memory so just focus it
|
||||
linkedsplits.show()
|
||||
linkedsplits.focus()
|
||||
linkedsplits.graphics_cycle()
|
||||
await trio.sleep(0)
|
||||
|
||||
# resume feeds *after* rendering chart view asap
|
||||
chart.resume_all_feeds()
|
||||
|
||||
# TODO: we need a check to see if the chart
|
||||
# last had the xlast in view, if so then shift so it's
|
||||
# still in view, if the user was viewing history then
|
||||
# do nothing yah?
|
||||
chart.default_view()
|
||||
|
||||
self.linkedsplits = linkedsplits
|
||||
symbol = linkedsplits.symbol
|
||||
if symbol is not None:
|
||||
self.window.setWindowTitle(
|
||||
f'{symbol.front_fqsn()} '
|
||||
f'{symbol.key}@{symbol.brokers} '
|
||||
f'tick:{symbol.tick_size}'
|
||||
)
|
||||
|
||||
|
|
@ -277,16 +258,7 @@ class GodWidget(QWidget):
|
|||
Where we do UX magic to make things not suck B)
|
||||
|
||||
'''
|
||||
if self._resizing:
|
||||
return
|
||||
|
||||
self._resizing = True
|
||||
|
||||
log.info('God widget resize')
|
||||
for name, widget in self._widgets.items():
|
||||
widget.on_resize()
|
||||
|
||||
self._resizing = False
|
||||
log.debug('god widget resize')
|
||||
|
||||
|
||||
class ChartnPane(QFrame):
|
||||
|
|
@ -361,19 +333,8 @@ class LinkedSplits(QWidget):
|
|||
self.layout.setContentsMargins(0, 0, 0, 0)
|
||||
self.layout.addWidget(self.splitter)
|
||||
|
||||
# chart-local graphics state that can be passed to
|
||||
# a ``graphic_update_cycle()`` call by any task wishing to
|
||||
# update the UI for a given "chart instance".
|
||||
self.display_state: Optional[DisplayState] = None
|
||||
|
||||
self._symbol: Symbol = None
|
||||
|
||||
def graphics_cycle(self, **kwargs) -> None:
|
||||
from . import _display
|
||||
ds = self.display_state
|
||||
if ds:
|
||||
return _display.graphics_update_cycle(ds, **kwargs)
|
||||
|
||||
@property
|
||||
def symbol(self) -> Symbol:
|
||||
return self._symbol
|
||||
|
|
@ -388,15 +349,12 @@ class LinkedSplits(QWidget):
|
|||
'''
|
||||
ln = len(self.subplots)
|
||||
|
||||
# proportion allocated to consumer subcharts
|
||||
if not prop:
|
||||
prop = 3/8*5/8
|
||||
|
||||
# if ln < 2:
|
||||
# prop = 3/8*5/8
|
||||
|
||||
# elif ln >= 2:
|
||||
# prop = 3/8
|
||||
# proportion allocated to consumer subcharts
|
||||
if ln < 2:
|
||||
prop = 1/3
|
||||
elif ln >= 2:
|
||||
prop = 3/8
|
||||
|
||||
major = 1 - prop
|
||||
min_h_ind = int((self.height() * prop) / ln)
|
||||
|
|
@ -418,7 +376,7 @@ class LinkedSplits(QWidget):
|
|||
self,
|
||||
|
||||
symbol: Symbol,
|
||||
shm: ShmArray,
|
||||
array: np.ndarray,
|
||||
sidepane: FieldsForm,
|
||||
|
||||
style: str = 'bar',
|
||||
|
|
@ -443,7 +401,7 @@ class LinkedSplits(QWidget):
|
|||
self.chart = self.add_plot(
|
||||
|
||||
name=symbol.key,
|
||||
shm=shm,
|
||||
array=array,
|
||||
style=style,
|
||||
_is_main=True,
|
||||
|
||||
|
|
@ -471,7 +429,7 @@ class LinkedSplits(QWidget):
|
|||
self,
|
||||
|
||||
name: str,
|
||||
shm: ShmArray,
|
||||
array: np.ndarray,
|
||||
|
||||
array_key: Optional[str] = None,
|
||||
style: str = 'line',
|
||||
|
|
@ -515,6 +473,7 @@ class LinkedSplits(QWidget):
|
|||
name=name,
|
||||
data_key=array_key or name,
|
||||
|
||||
array=array,
|
||||
parent=qframe,
|
||||
linkedsplits=self,
|
||||
axisItems=axes,
|
||||
|
|
@ -578,7 +537,7 @@ class LinkedSplits(QWidget):
|
|||
|
||||
graphics, data_key = cpw.draw_ohlc(
|
||||
name,
|
||||
shm,
|
||||
array,
|
||||
array_key=array_key
|
||||
)
|
||||
self.cursor.contents_labels.add_label(
|
||||
|
|
@ -592,7 +551,7 @@ class LinkedSplits(QWidget):
|
|||
add_label = True
|
||||
graphics, data_key = cpw.draw_curve(
|
||||
name,
|
||||
shm,
|
||||
array,
|
||||
array_key=array_key,
|
||||
color='default_light',
|
||||
)
|
||||
|
|
@ -601,7 +560,7 @@ class LinkedSplits(QWidget):
|
|||
add_label = True
|
||||
graphics, data_key = cpw.draw_curve(
|
||||
name,
|
||||
shm,
|
||||
array,
|
||||
array_key=array_key,
|
||||
step_mode=True,
|
||||
color='davies',
|
||||
|
|
@ -655,6 +614,18 @@ class LinkedSplits(QWidget):
|
|||
cpw.sidepane.setMinimumWidth(sp_w)
|
||||
cpw.sidepane.setMaximumWidth(sp_w)
|
||||
|
||||
# import pydantic
|
||||
|
||||
# class Graphics(pydantic.BaseModel):
|
||||
# '''
|
||||
# Data-AGGRegate: high level API onto multiple (categorized)
|
||||
# ``ShmArray``s with high level processing routines for
|
||||
# graphics computations and display.
|
||||
|
||||
# '''
|
||||
# arrays: dict[str, np.ndarray] = {}
|
||||
# graphics: dict[str, pg.GraphicsObject] = {}
|
||||
|
||||
|
||||
class ChartPlotWidget(pg.PlotWidget):
|
||||
'''
|
||||
|
|
@ -689,6 +660,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
# the "data view" we generate graphics from
|
||||
name: str,
|
||||
array: np.ndarray,
|
||||
data_key: str,
|
||||
linkedsplits: LinkedSplits,
|
||||
|
||||
|
|
@ -741,9 +713,16 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
self._max_l1_line_len: float = 0
|
||||
|
||||
# self.setViewportMargins(0, 0, 0, 0)
|
||||
# self._ohlc = array # readonly view of ohlc data
|
||||
|
||||
# TODO: move to Aggr above XD
|
||||
# readonly view of data arrays
|
||||
self._arrays = {
|
||||
self.data_key: array,
|
||||
}
|
||||
self._graphics = {} # registry of underlying graphics
|
||||
# registry of overlay curve names
|
||||
self._flows: dict[str, Flow] = {}
|
||||
self._overlays: dict[str, ShmArray] = {}
|
||||
|
||||
self._feeds: dict[Symbol, Feed] = {}
|
||||
|
||||
|
|
@ -756,6 +735,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
# show background grid
|
||||
self.showGrid(x=False, y=True, alpha=0.3)
|
||||
|
||||
self.default_view()
|
||||
self.cv.enable_auto_yrange()
|
||||
|
||||
self.pi_overlay: PlotItemOverlay = PlotItemOverlay(self.plotItem)
|
||||
|
|
@ -800,138 +780,39 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
return int(vr.left()), int(vr.right())
|
||||
|
||||
def bars_range(self) -> tuple[int, int, int, int]:
|
||||
'''
|
||||
Return a range tuple for the bars present in view.
|
||||
|
||||
'''
|
||||
main_flow = self._flows[self.name]
|
||||
ifirst, l, lbar, rbar, r, ilast = main_flow.datums_range()
|
||||
"""Return a range tuple for the bars present in view.
|
||||
"""
|
||||
l, r = self.view_range()
|
||||
array = self._arrays[self.name]
|
||||
lbar = max(l, array[0]['index'])
|
||||
rbar = min(r, array[-1]['index'])
|
||||
return l, lbar, rbar, r
|
||||
|
||||
def curve_width_pxs(
|
||||
self,
|
||||
) -> float:
|
||||
_, lbar, rbar, _ = self.bars_range()
|
||||
return self.view.mapViewToDevice(
|
||||
QLineF(lbar, 0, rbar, 0)
|
||||
).length()
|
||||
|
||||
def pre_l1_xs(self) -> tuple[float, float]:
|
||||
'''
|
||||
Return the view x-coord for the value just before
|
||||
the L1 labels on the y-axis as well as the length
|
||||
of that L1 label from the y-axis.
|
||||
|
||||
'''
|
||||
line_end, marker_right, yaxis_x = self.marker_right_points()
|
||||
view = self.view
|
||||
line = view.mapToView(
|
||||
QLineF(line_end, 0, yaxis_x, 0)
|
||||
)
|
||||
return line.x1(), line.length()
|
||||
|
||||
def marker_right_points(
|
||||
self,
|
||||
marker_size: int = 20,
|
||||
|
||||
) -> (float, float, float):
|
||||
'''
|
||||
Return x-dimension, y-axis-aware, level-line marker oriented scene
|
||||
values.
|
||||
|
||||
X values correspond to set the end of a level line, end of
|
||||
a paried level line marker, and the right most side of the "right"
|
||||
axis respectively.
|
||||
|
||||
'''
|
||||
# TODO: compute some sensible maximum value here
|
||||
# and use a humanized scheme to limit to that length.
|
||||
l1_len = self._max_l1_line_len
|
||||
ryaxis = self.getAxis('right')
|
||||
|
||||
r_axis_x = ryaxis.pos().x()
|
||||
up_to_l1_sc = r_axis_x - l1_len - 10
|
||||
|
||||
marker_right = up_to_l1_sc - (1.375 * 2 * marker_size)
|
||||
line_end = marker_right - (6/16 * marker_size)
|
||||
|
||||
return line_end, marker_right, r_axis_x
|
||||
|
||||
def default_view(
|
||||
self,
|
||||
bars_from_y: int = 3000,
|
||||
|
||||
index: int = -1,
|
||||
) -> None:
|
||||
'''
|
||||
Set the view box to the "default" startup view of the scene.
|
||||
"""Set the view box to the "default" startup view of the scene.
|
||||
|
||||
'''
|
||||
flow = self._flows.get(self.name)
|
||||
if not flow:
|
||||
log.warning(f'`Flow` for {self.name} not loaded yet?')
|
||||
return
|
||||
|
||||
index = flow.shm.array['index']
|
||||
xfirst, xlast = index[0], index[-1]
|
||||
l, lbar, rbar, r = self.bars_range()
|
||||
view = self.view
|
||||
|
||||
if (
|
||||
rbar < 0
|
||||
or l < xfirst
|
||||
or l < 0
|
||||
or (rbar - lbar) < 6
|
||||
):
|
||||
# TODO: set fixed bars count on screen that approx includes as
|
||||
# many bars as possible before a downsample line is shown.
|
||||
begin = xlast - bars_from_y
|
||||
view.setXRange(
|
||||
min=begin,
|
||||
max=xlast,
|
||||
padding=0,
|
||||
)
|
||||
# re-get range
|
||||
l, lbar, rbar, r = self.bars_range()
|
||||
|
||||
# we get the L1 spread label "length" in view coords
|
||||
# terms now that we've scaled either by user control
|
||||
# or to the default set of bars as per the immediate block
|
||||
# above.
|
||||
marker_pos, l1_len = self.pre_l1_xs()
|
||||
end = xlast + l1_len + 1
|
||||
begin = end - (r - l)
|
||||
|
||||
# for debugging
|
||||
# print(
|
||||
# # f'bars range: {brange}\n'
|
||||
# f'xlast: {xlast}\n'
|
||||
# f'marker pos: {marker_pos}\n'
|
||||
# f'l1 len: {l1_len}\n'
|
||||
# f'begin: {begin}\n'
|
||||
# f'end: {end}\n'
|
||||
# )
|
||||
"""
|
||||
xlast = self._arrays[self.name][index]['index']
|
||||
begin = xlast - _bars_to_left_in_follow_mode
|
||||
end = xlast + _bars_from_right_in_follow_mode
|
||||
|
||||
# remove any custom user yrange setttings
|
||||
if self._static_yrange == 'axis':
|
||||
self._static_yrange = None
|
||||
|
||||
view = self.view
|
||||
view.setXRange(
|
||||
min=begin,
|
||||
max=end,
|
||||
padding=0,
|
||||
)
|
||||
self.view.maybe_downsample_graphics()
|
||||
view._set_yrange()
|
||||
try:
|
||||
self.linked.graphics_cycle()
|
||||
except IndexError:
|
||||
pass
|
||||
|
||||
def increment_view(
|
||||
self,
|
||||
steps: int = 1,
|
||||
vb: Optional[ChartView] = None,
|
||||
|
||||
) -> None:
|
||||
"""
|
||||
Increment the data view one step to the right thus "following"
|
||||
|
|
@ -939,10 +820,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
"""
|
||||
l, r = self.view_range()
|
||||
view = vb or self.view
|
||||
view.setXRange(
|
||||
min=l + steps,
|
||||
max=r + steps,
|
||||
self.view.setXRange(
|
||||
min=l + 1,
|
||||
max=r + 1,
|
||||
|
||||
# TODO: holy shit, wtf dude... why tf would this not be 0 by
|
||||
# default... speechless.
|
||||
|
|
@ -951,8 +831,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
def draw_ohlc(
|
||||
self,
|
||||
|
||||
name: str,
|
||||
shm: ShmArray,
|
||||
data: np.ndarray,
|
||||
|
||||
array_key: Optional[str] = None,
|
||||
|
||||
|
|
@ -962,26 +843,19 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
'''
|
||||
graphics = BarItems(
|
||||
self.linked,
|
||||
self.plotItem,
|
||||
pen_color=self.pen_color,
|
||||
name=name,
|
||||
pen_color=self.pen_color
|
||||
)
|
||||
|
||||
# adds all bar/candle graphics objects for each data point in
|
||||
# the np array buffer to be drawn on next render cycle
|
||||
self.plotItem.addItem(graphics)
|
||||
|
||||
# draw after to allow self.scene() to work...
|
||||
graphics.draw_from_data(data)
|
||||
|
||||
data_key = array_key or name
|
||||
|
||||
self._flows[data_key] = Flow(
|
||||
name=name,
|
||||
plot=self.plotItem,
|
||||
_shm=shm,
|
||||
is_ohlc=True,
|
||||
graphics=graphics,
|
||||
)
|
||||
|
||||
self._graphics[data_key] = graphics
|
||||
self._add_sticky(name, bg_color='davies')
|
||||
|
||||
return graphics, data_key
|
||||
|
|
@ -1022,7 +896,6 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
)
|
||||
pi.hideButtons()
|
||||
|
||||
# cv.enable_auto_yrange(self.view)
|
||||
cv.enable_auto_yrange()
|
||||
|
||||
# compose this new plot's graphics with the current chart's
|
||||
|
|
@ -1047,21 +920,19 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
self,
|
||||
|
||||
name: str,
|
||||
shm: ShmArray,
|
||||
data: np.ndarray,
|
||||
|
||||
array_key: Optional[str] = None,
|
||||
overlay: bool = False,
|
||||
color: Optional[str] = None,
|
||||
add_label: bool = True,
|
||||
pi: Optional[pg.PlotItem] = None,
|
||||
step_mode: bool = False,
|
||||
|
||||
**pdi_kwargs,
|
||||
|
||||
) -> (pg.PlotDataItem, str):
|
||||
'''
|
||||
Draw a "curve" (line plot graphics) for the provided data in
|
||||
the input shm array ``shm``.
|
||||
the input array ``data``.
|
||||
|
||||
'''
|
||||
color = color or self.pen_color or 'default_light'
|
||||
|
|
@ -1071,37 +942,54 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
data_key = array_key or name
|
||||
|
||||
curve_type = {
|
||||
None: Curve,
|
||||
'step': StepCurve,
|
||||
# TODO:
|
||||
# 'bars': BarsItems
|
||||
}['step' if step_mode else None]
|
||||
|
||||
curve = curve_type(
|
||||
# yah, we wrote our own B)
|
||||
curve = FastAppendCurve(
|
||||
y=data[data_key],
|
||||
x=data['index'],
|
||||
# antialias=True,
|
||||
name=name,
|
||||
|
||||
# XXX: pretty sure this is just more overhead
|
||||
# on data reads and makes graphics rendering no faster
|
||||
# clipToView=True,
|
||||
|
||||
# TODO: see how this handles with custom ohlcv bars graphics
|
||||
# and/or if we can implement something similar for OHLC graphics
|
||||
# autoDownsample=True,
|
||||
# downsample=60,
|
||||
# downsampleMethod='subsample',
|
||||
|
||||
**pdi_kwargs,
|
||||
)
|
||||
|
||||
pi = pi or self.plotItem
|
||||
# XXX: see explanation for different caching modes:
|
||||
# https://stackoverflow.com/a/39410081
|
||||
# seems to only be useful if we don't re-generate the entire
|
||||
# QPainterPath every time
|
||||
# curve.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
self._flows[data_key] = Flow(
|
||||
name=name,
|
||||
plot=pi,
|
||||
_shm=shm,
|
||||
is_ohlc=False,
|
||||
# register curve graphics with this flow
|
||||
graphics=curve,
|
||||
)
|
||||
# don't ever use this - it's a colossal nightmare of artefacts
|
||||
# and is disastrous for performance.
|
||||
# curve.setCacheMode(QtWidgets.QGraphicsItem.ItemCoordinateCache)
|
||||
|
||||
# register curve graphics and backing array for name
|
||||
self._graphics[name] = curve
|
||||
self._arrays[data_key] = data
|
||||
|
||||
pi = self.plotItem
|
||||
|
||||
# TODO: this probably needs its own method?
|
||||
if overlay:
|
||||
# anchor_at = ('bottom', 'left')
|
||||
self._overlays[name] = None
|
||||
|
||||
if isinstance(overlay, pg.PlotItem):
|
||||
if overlay not in self.pi_overlay.overlays:
|
||||
raise RuntimeError(
|
||||
f'{overlay} must be from `.plotitem_overlay()`'
|
||||
)
|
||||
pi = overlay
|
||||
|
||||
else:
|
||||
# anchor_at = ('top', 'left')
|
||||
|
||||
|
|
@ -1109,17 +997,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
# (we need something that avoids clutter on x-axis).
|
||||
self._add_sticky(name, bg_color=color)
|
||||
|
||||
# NOTE: this is more or less the RENDER call that tells Qt to
|
||||
# start showing the generated graphics-curves. This is kind of
|
||||
# of edge-triggered call where once added any
|
||||
# ``QGraphicsItem.update()`` calls are automatically displayed.
|
||||
# Our internal graphics objects have their own "update from
|
||||
# data" style method API that allows for real-time updates on
|
||||
# the next render cycle; just note a lot of the real-time
|
||||
# updates are implicit and require a bit of digging to
|
||||
# understand.
|
||||
pi.addItem(curve)
|
||||
|
||||
return curve, data_key
|
||||
|
||||
# TODO: make this a ctx mngr
|
||||
|
|
@ -1151,11 +1029,11 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
)
|
||||
return last
|
||||
|
||||
def update_graphics_from_flow(
|
||||
def update_ohlc_from_array(
|
||||
self,
|
||||
graphics_name: str,
|
||||
array_key: Optional[str] = None,
|
||||
|
||||
graphics_name: str,
|
||||
array: np.ndarray,
|
||||
**kwargs,
|
||||
|
||||
) -> pg.GraphicsObject:
|
||||
|
|
@ -1163,12 +1041,50 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
Update the named internal graphics from ``array``.
|
||||
|
||||
'''
|
||||
flow = self._flows[array_key or graphics_name]
|
||||
return flow.update_graphics(
|
||||
array_key=array_key,
|
||||
self._arrays[self.name] = array
|
||||
graphics = self._graphics[graphics_name]
|
||||
graphics.update_from_array(array, **kwargs)
|
||||
return graphics
|
||||
|
||||
def update_curve_from_array(
|
||||
self,
|
||||
|
||||
graphics_name: str,
|
||||
array: np.ndarray,
|
||||
array_key: Optional[str] = None,
|
||||
**kwargs,
|
||||
|
||||
) -> pg.GraphicsObject:
|
||||
'''
|
||||
Update the named internal graphics from ``array``.
|
||||
|
||||
'''
|
||||
assert len(array)
|
||||
data_key = array_key or graphics_name
|
||||
|
||||
if graphics_name not in self._overlays:
|
||||
self._arrays[self.name] = array
|
||||
else:
|
||||
self._arrays[data_key] = array
|
||||
|
||||
curve = self._graphics[graphics_name]
|
||||
|
||||
# NOTE: back when we weren't implementing the curve graphics
|
||||
# ourselves you'd have updates using this method:
|
||||
# curve.setData(y=array[graphics_name], x=array['index'], **kwargs)
|
||||
|
||||
# NOTE: graphics **must** implement a diff based update
|
||||
# operation where an internal ``FastUpdateCurve._xrange`` is
|
||||
# used to determine if the underlying path needs to be
|
||||
# pre/ap-pended.
|
||||
curve.update_from_array(
|
||||
x=array['index'],
|
||||
y=array[data_key],
|
||||
**kwargs
|
||||
)
|
||||
|
||||
return curve
|
||||
|
||||
# def _label_h(self, yhigh: float, ylow: float) -> float:
|
||||
# # compute contents label "height" in view terms
|
||||
# # to avoid having data "contents" overlap with them
|
||||
|
|
@ -1198,9 +1114,6 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
# print(f"bounds (ylow, yhigh): {(ylow, yhigh)}")
|
||||
|
||||
# TODO: pretty sure we can just call the cursor
|
||||
# directly not? i don't wee why we need special "signal proxies"
|
||||
# for this lul..
|
||||
def enterEvent(self, ev): # noqa
|
||||
# pg.PlotWidget.enterEvent(self, ev)
|
||||
self.sig_mouse_enter.emit(self)
|
||||
|
|
@ -1214,7 +1127,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
# TODO: this should go onto some sort of
|
||||
# data-view thinger..right?
|
||||
ohlc = self._flows[self.name].shm.array
|
||||
ohlc = self._shm.array
|
||||
|
||||
# XXX: not sure why the time is so off here
|
||||
# looks like we're gonna have to do some fixing..
|
||||
|
|
@ -1225,28 +1138,10 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
else:
|
||||
return ohlc['index'][-1]
|
||||
|
||||
def in_view(
|
||||
self,
|
||||
array: np.ndarray,
|
||||
|
||||
) -> np.ndarray:
|
||||
'''
|
||||
Slice an input struct array providing only datums
|
||||
"in view" of this chart.
|
||||
|
||||
'''
|
||||
l, lbar, rbar, r = self.bars_range()
|
||||
ifirst = array[0]['index']
|
||||
# slice data by offset from the first index
|
||||
# available in the passed datum set.
|
||||
return array[lbar - ifirst:(rbar - ifirst) + 1]
|
||||
|
||||
def maxmin(
|
||||
self,
|
||||
name: Optional[str] = None,
|
||||
bars_range: Optional[tuple[
|
||||
int, int, int, int, int, int
|
||||
]] = None,
|
||||
bars_range: Optional[tuple[int, int, int, int]] = None,
|
||||
|
||||
) -> tuple[float, float]:
|
||||
'''
|
||||
|
|
@ -1255,43 +1150,40 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
If ``bars_range`` is provided use that range.
|
||||
|
||||
'''
|
||||
# print(f'Chart[{self.name}].maxmin()')
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'`{str(self)}.maxmin(name={name})`: `{self.name}`',
|
||||
disabled=not pg_profile_enabled(),
|
||||
ms_threshold=ms_slower_then,
|
||||
delayed=True,
|
||||
)
|
||||
l, lbar, rbar, r = bars_range or self.bars_range()
|
||||
# TODO: logic to check if end of bars in view
|
||||
# extra = view_len - _min_points_to_show
|
||||
# begin = self._arrays['ohlc'][0]['index'] - extra
|
||||
# # end = len(self._arrays['ohlc']) - 1 + extra
|
||||
# end = self._arrays['ohlc'][-1]['index'] - 1 + extra
|
||||
|
||||
# bars_len = rbar - lbar
|
||||
# log.debug(
|
||||
# f"\nl: {l}, lbar: {lbar}, rbar: {rbar}, r: {r}\n"
|
||||
# f"view_len: {view_len}, bars_len: {bars_len}\n"
|
||||
# f"begin: {begin}, end: {end}, extra: {extra}"
|
||||
# )
|
||||
|
||||
a = self._arrays[name or self.name]
|
||||
ifirst = a[0]['index']
|
||||
bars = a[lbar - ifirst:rbar - ifirst + 1]
|
||||
|
||||
if not len(bars):
|
||||
# likely no data loaded yet or extreme scrolling?
|
||||
log.error(f"WTF bars_range = {lbar}:{rbar}")
|
||||
return
|
||||
|
||||
# TODO: here we should instead look up the ``Flow.shm.array``
|
||||
# and read directly from shm to avoid copying to memory first
|
||||
# and then reading it again here.
|
||||
flow_key = name or self.name
|
||||
flow = self._flows.get(flow_key)
|
||||
if (
|
||||
flow is None
|
||||
self.data_key == self.linked.symbol.key
|
||||
):
|
||||
log.error(f"flow {flow_key} doesn't exist in chart {self.name} !?")
|
||||
key = res = 0, 0
|
||||
# ohlc sampled bars hi/lo lookup
|
||||
ylow = np.nanmin(bars['low'])
|
||||
yhigh = np.nanmax(bars['high'])
|
||||
|
||||
else:
|
||||
(
|
||||
first,
|
||||
l,
|
||||
lbar,
|
||||
rbar,
|
||||
r,
|
||||
last,
|
||||
) = bars_range or flow.datums_range()
|
||||
profiler(f'{self.name} got bars range')
|
||||
view = bars[name or self.data_key]
|
||||
ylow = np.nanmin(view)
|
||||
yhigh = np.nanmax(view)
|
||||
|
||||
key = round(lbar), round(rbar)
|
||||
res = flow.maxmin(*key)
|
||||
if res == (None, None):
|
||||
log.error(
|
||||
f"{flow_key} no mxmn for bars_range => {key} !?"
|
||||
)
|
||||
res = 0, 0
|
||||
|
||||
profiler(f'yrange mxmn: {key} -> {res}')
|
||||
return res
|
||||
# print(f'{(ylow, yhigh)}')
|
||||
return ylow, yhigh
|
||||
|
|
|
|||
|
|
@ -1,318 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# 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
|
||||
# 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/>.
|
||||
|
||||
'''
|
||||
Graphics related downsampling routines for compressing to pixel
|
||||
limits on the display device.
|
||||
|
||||
'''
|
||||
import math
|
||||
from typing import Optional
|
||||
|
||||
import numpy as np
|
||||
from numpy.lib import recfunctions as rfn
|
||||
from numba import (
|
||||
jit,
|
||||
# float64, optional, int64,
|
||||
)
|
||||
|
||||
from ..log import get_logger
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
def hl2mxmn(ohlc: np.ndarray) -> np.ndarray:
|
||||
'''
|
||||
Convert a OHLC struct-array containing 'high'/'low' columns
|
||||
to a "joined" max/min 1-d array.
|
||||
|
||||
'''
|
||||
index = ohlc['index']
|
||||
hls = ohlc[[
|
||||
'low',
|
||||
'high',
|
||||
]]
|
||||
|
||||
mxmn = np.empty(2*hls.size, dtype=np.float64)
|
||||
x = np.empty(2*hls.size, dtype=np.float64)
|
||||
trace_hl(hls, mxmn, x, index[0])
|
||||
x = x + index[0]
|
||||
|
||||
return mxmn, x
|
||||
|
||||
|
||||
@jit(
|
||||
# TODO: the type annots..
|
||||
# float64[:](float64[:],),
|
||||
nopython=True,
|
||||
)
|
||||
def trace_hl(
|
||||
hl: 'np.ndarray',
|
||||
out: np.ndarray,
|
||||
x: np.ndarray,
|
||||
start: int,
|
||||
|
||||
# the "offset" values in the x-domain which
|
||||
# place the 2 output points around each ``int``
|
||||
# master index.
|
||||
margin: float = 0.43,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
"Trace" the outline of the high-low values of an ohlc sequence
|
||||
as a line such that the maximum deviation (aka disperaion) between
|
||||
bars if preserved.
|
||||
|
||||
This routine is expected to modify input arrays in-place.
|
||||
|
||||
'''
|
||||
last_l = hl['low'][0]
|
||||
last_h = hl['high'][0]
|
||||
|
||||
for i in range(hl.size):
|
||||
row = hl[i]
|
||||
l, h = row['low'], row['high']
|
||||
|
||||
up_diff = h - last_l
|
||||
down_diff = last_h - l
|
||||
|
||||
if up_diff > down_diff:
|
||||
out[2*i + 1] = h
|
||||
out[2*i] = last_l
|
||||
else:
|
||||
out[2*i + 1] = l
|
||||
out[2*i] = last_h
|
||||
|
||||
last_l = l
|
||||
last_h = h
|
||||
|
||||
x[2*i] = int(i) - margin
|
||||
x[2*i + 1] = int(i) + margin
|
||||
|
||||
return out
|
||||
|
||||
|
||||
def ohlc_flatten(
|
||||
ohlc: np.ndarray,
|
||||
use_mxmn: bool = True,
|
||||
|
||||
) -> tuple[np.ndarray, np.ndarray]:
|
||||
'''
|
||||
Convert an OHLCV struct-array into a flat ready-for-line-plotting
|
||||
1-d array that is 4 times the size with x-domain values distributed
|
||||
evenly (by 0.5 steps) over each index.
|
||||
|
||||
'''
|
||||
index = ohlc['index']
|
||||
|
||||
if use_mxmn:
|
||||
# traces a line optimally over highs to lows
|
||||
# using numba. NOTE: pretty sure this is faster
|
||||
# and looks about the same as the below output.
|
||||
flat, x = hl2mxmn(ohlc)
|
||||
|
||||
else:
|
||||
flat = rfn.structured_to_unstructured(
|
||||
ohlc[['open', 'high', 'low', 'close']]
|
||||
).flatten()
|
||||
|
||||
x = np.linspace(
|
||||
start=index[0] - 0.5,
|
||||
stop=index[-1] + 0.5,
|
||||
num=len(flat),
|
||||
)
|
||||
return x, flat
|
||||
|
||||
|
||||
def ds_m4(
|
||||
x: np.ndarray,
|
||||
y: np.ndarray,
|
||||
# units-per-pixel-x(dimension)
|
||||
uppx: float,
|
||||
|
||||
# XXX: troll zone / easter egg..
|
||||
# want to mess with ur pal, pass in the actual
|
||||
# pixel width here instead of uppx-proper (i.e. pass
|
||||
# in our ``pg.GraphicsObject`` derivative's ``.px_width()``
|
||||
# gto mega-trip-out ur bud). Hint, it used to be implemented
|
||||
# (wrongly) using "pixel width", so check the git history ;)
|
||||
|
||||
xrange: Optional[float] = None,
|
||||
|
||||
) -> tuple[int, np.ndarray, np.ndarray]:
|
||||
'''
|
||||
Downsample using the M4 algorithm.
|
||||
|
||||
This is more or less an OHLC style sampling of a line-style series.
|
||||
|
||||
'''
|
||||
# NOTE: this method is a so called "visualization driven data
|
||||
# aggregation" approach. It gives error-free line chart
|
||||
# downsampling, see
|
||||
# further scientific paper resources:
|
||||
# - http://www.vldb.org/pvldb/vol7/p797-jugel.pdf
|
||||
# - http://www.vldb.org/2014/program/papers/demo/p997-jugel.pdf
|
||||
|
||||
# Details on implementation of this algo are based in,
|
||||
# https://github.com/pikers/piker/issues/109
|
||||
|
||||
# XXX: from infinite on downsampling viewable graphics:
|
||||
# "one thing i remembered about the binning - if you are
|
||||
# picking a range within your timeseries the start and end bin
|
||||
# should be one more bin size outside the visual range, then
|
||||
# you get better visual fidelity at the edges of the graph"
|
||||
# "i didn't show it in the sample code, but it's accounted for
|
||||
# in the start and end indices and number of bins"
|
||||
|
||||
# should never get called unless actually needed
|
||||
assert uppx > 1
|
||||
|
||||
# NOTE: if we didn't pre-slice the data to downsample
|
||||
# you could in theory pass these as the slicing params,
|
||||
# do we care though since we can always just pre-slice the
|
||||
# input?
|
||||
x_start = x[0] # x value start/lowest in domain
|
||||
|
||||
if xrange is None:
|
||||
x_end = x[-1] # x end value/highest in domain
|
||||
xrange = (x_end - x_start)
|
||||
|
||||
# XXX: always round up on the input pixels
|
||||
# lnx = len(x)
|
||||
# uppx *= max(4 / (1 + math.log(uppx, 2)), 1)
|
||||
|
||||
pxw = math.ceil(xrange / uppx)
|
||||
|
||||
# scale up the frame "width" directly with uppx
|
||||
w = uppx
|
||||
|
||||
# ensure we make more then enough
|
||||
# frames (windows) for the output pixel
|
||||
frames = pxw
|
||||
|
||||
# if we have more and then exact integer's
|
||||
# (uniform quotient output) worth of datum-domain-points
|
||||
# per windows-frame, add one more window to ensure
|
||||
# we have room for all output down-samples.
|
||||
pts_per_pixel, r = divmod(xrange, frames)
|
||||
if r:
|
||||
# while r:
|
||||
frames += 1
|
||||
pts_per_pixel, r = divmod(xrange, frames)
|
||||
|
||||
# print(
|
||||
# f'uppx: {uppx}\n'
|
||||
# f'xrange: {xrange}\n'
|
||||
# f'pxw: {pxw}\n'
|
||||
# f'frames: {frames}\n'
|
||||
# )
|
||||
assert frames >= (xrange / uppx)
|
||||
|
||||
# call into ``numba``
|
||||
nb, i_win, y_out = _m4(
|
||||
x,
|
||||
y,
|
||||
|
||||
frames,
|
||||
|
||||
# TODO: see func below..
|
||||
# i_win,
|
||||
# y_out,
|
||||
|
||||
# first index in x data to start at
|
||||
x_start,
|
||||
# window size for each "frame" of data to downsample (normally
|
||||
# scaled by the ratio of pixels on screen to data in x-range).
|
||||
w,
|
||||
)
|
||||
|
||||
# filter out any overshoot in the input allocation arrays by
|
||||
# removing zero-ed tail entries which should start at a certain
|
||||
# index.
|
||||
i_win = i_win[i_win != 0]
|
||||
y_out = y_out[:i_win.size]
|
||||
|
||||
return nb, i_win, y_out
|
||||
|
||||
|
||||
@jit(
|
||||
nopython=True,
|
||||
nogil=True,
|
||||
)
|
||||
def _m4(
|
||||
|
||||
xs: np.ndarray,
|
||||
ys: np.ndarray,
|
||||
|
||||
frames: int,
|
||||
|
||||
# TODO: using this approach by having the ``.zeros()`` alloc lines
|
||||
# below, in put python was causing segs faults and alloc crashes..
|
||||
# we might need to see how it behaves with shm arrays and consider
|
||||
# allocating them once at startup?
|
||||
|
||||
# pre-alloc array of x indices mapping to the start
|
||||
# of each window used for downsampling in y.
|
||||
# i_win: np.ndarray,
|
||||
# pre-alloc array of output downsampled y values
|
||||
# y_out: np.ndarray,
|
||||
|
||||
x_start: int,
|
||||
step: float,
|
||||
|
||||
) -> int:
|
||||
# nbins = len(i_win)
|
||||
# count = len(xs)
|
||||
|
||||
# these are pre-allocated and mutated by ``numba``
|
||||
# code in-place.
|
||||
y_out = np.zeros((frames, 4), ys.dtype)
|
||||
i_win = np.zeros(frames, xs.dtype)
|
||||
|
||||
bincount = 0
|
||||
x_left = x_start
|
||||
|
||||
# Find the first window's starting value which *includes* the
|
||||
# first value in the x-domain array, i.e. the first
|
||||
# "left-side-of-window" **plus** the downsampling step,
|
||||
# creates a window which includes the first x **value**.
|
||||
while xs[0] >= x_left + step:
|
||||
x_left += step
|
||||
|
||||
# set all bins in the left-most entry to the starting left-most x value
|
||||
# (aka a row broadcast).
|
||||
i_win[bincount] = x_left
|
||||
# set all y-values to the first value passed in.
|
||||
y_out[bincount] = ys[0]
|
||||
|
||||
for i in range(len(xs)):
|
||||
x = xs[i]
|
||||
y = ys[i]
|
||||
if x < x_left + step: # the current window "step" is [bin, bin+1)
|
||||
y_out[bincount, 1] = min(y, y_out[bincount, 1])
|
||||
y_out[bincount, 2] = max(y, y_out[bincount, 2])
|
||||
y_out[bincount, 3] = y
|
||||
else:
|
||||
# Find the next bin
|
||||
while x >= x_left + step:
|
||||
x_left += step
|
||||
|
||||
bincount += 1
|
||||
i_win[bincount] = x_left
|
||||
y_out[bincount] = y
|
||||
|
||||
return bincount, i_win, y_out
|
||||
|
|
@ -43,8 +43,8 @@ log = get_logger(__name__)
|
|||
# latency (in terms of perceived lag in cross hair) so really be sure
|
||||
# there's an improvement if you want to change it!
|
||||
|
||||
_mouse_rate_limit = 60 # TODO; should we calc current screen refresh rate?
|
||||
_debounce_delay = 0
|
||||
_mouse_rate_limit = 120 # TODO; should we calc current screen refresh rate?
|
||||
_debounce_delay = 1 / 40
|
||||
_ch_label_opac = 1
|
||||
|
||||
|
||||
|
|
@ -95,33 +95,25 @@ class LineDot(pg.CurvePoint):
|
|||
|
||||
def event(
|
||||
self,
|
||||
|
||||
ev: QtCore.QEvent,
|
||||
|
||||
) -> bool:
|
||||
|
||||
if (
|
||||
not isinstance(ev, QtCore.QDynamicPropertyChangeEvent)
|
||||
or self.curve() is None
|
||||
):
|
||||
) -> None:
|
||||
if not isinstance(
|
||||
ev, QtCore.QDynamicPropertyChangeEvent
|
||||
) or self.curve() is None:
|
||||
return False
|
||||
|
||||
# TODO: get rid of this ``.getData()`` and
|
||||
# make a more pythonic api to retreive backing
|
||||
# numpy arrays...
|
||||
# (x, y) = self.curve().getData()
|
||||
# index = self.property('index')
|
||||
# # first = self._plot._arrays['ohlc'][0]['index']
|
||||
# # first = x[0]
|
||||
# # i = index - first
|
||||
# if index:
|
||||
# i = round(index - x[0])
|
||||
# if i > 0 and i < len(y):
|
||||
# newPos = (index, y[i])
|
||||
# QtWidgets.QGraphicsItem.setPos(
|
||||
# self,
|
||||
# *newPos,
|
||||
# )
|
||||
# return True
|
||||
(x, y) = self.curve().getData()
|
||||
index = self.property('index')
|
||||
# first = self._plot._arrays['ohlc'][0]['index']
|
||||
# first = x[0]
|
||||
# i = index - first
|
||||
i = index - x[0]
|
||||
if i > 0 and i < len(y):
|
||||
newPos = (index, y[i])
|
||||
QtWidgets.QGraphicsItem.setPos(self, *newPos)
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
|
|
@ -196,9 +188,6 @@ class ContentsLabel(pg.LabelItem):
|
|||
|
||||
self.setText(
|
||||
"<b>i</b>:{index}<br/>"
|
||||
# NB: these fields must be indexed in the correct order via
|
||||
# the slice syntax below.
|
||||
"<b>epoch</b>:{}<br/>"
|
||||
"<b>O</b>:{}<br/>"
|
||||
"<b>H</b>:{}<br/>"
|
||||
"<b>L</b>:{}<br/>"
|
||||
|
|
@ -206,15 +195,7 @@ class ContentsLabel(pg.LabelItem):
|
|||
"<b>V</b>:{}<br/>"
|
||||
"<b>wap</b>:{}".format(
|
||||
*array[index - first][
|
||||
[
|
||||
'time',
|
||||
'open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
'volume',
|
||||
'bar_wap',
|
||||
]
|
||||
['open', 'high', 'low', 'close', 'volume', 'bar_wap']
|
||||
],
|
||||
name=name,
|
||||
index=index,
|
||||
|
|
@ -259,21 +240,23 @@ class ContentsLabels:
|
|||
def update_labels(
|
||||
self,
|
||||
index: int,
|
||||
# array_name: str,
|
||||
|
||||
) -> None:
|
||||
# for name, (label, update) in self._labels.items():
|
||||
for chart, name, label, update in self._labels:
|
||||
|
||||
flow = chart._flows[name]
|
||||
array = flow.shm.array
|
||||
|
||||
array = chart._arrays[name]
|
||||
if not (
|
||||
index >= 0
|
||||
and index < array[-1]['index']
|
||||
):
|
||||
# out of range
|
||||
print('WTF out of range?')
|
||||
print('out of range?')
|
||||
continue
|
||||
|
||||
# array = chart._arrays[name]
|
||||
|
||||
# call provided update func with data point
|
||||
try:
|
||||
label.show()
|
||||
|
|
@ -309,8 +292,7 @@ class ContentsLabels:
|
|||
|
||||
|
||||
class Cursor(pg.GraphicsObject):
|
||||
'''
|
||||
Multi-plot cursor for use on a ``LinkedSplits`` chart (set).
|
||||
'''Multi-plot cursor for use on a ``LinkedSplits`` chart (set).
|
||||
|
||||
'''
|
||||
def __init__(
|
||||
|
|
@ -325,7 +307,7 @@ class Cursor(pg.GraphicsObject):
|
|||
|
||||
self.linked = linkedsplits
|
||||
self.graphics: dict[str, pg.GraphicsObject] = {}
|
||||
self.plots: list['PlotChartWidget'] = [] # type: ignore # noqa
|
||||
self.plots: List['PlotChartWidget'] = [] # type: ignore # noqa
|
||||
self.active_plot = None
|
||||
self.digits: int = digits
|
||||
self._datum_xy: tuple[int, float] = (0, 0)
|
||||
|
|
@ -422,7 +404,6 @@ class Cursor(pg.GraphicsObject):
|
|||
slot=self.mouseMoved,
|
||||
delay=_debounce_delay,
|
||||
)
|
||||
|
||||
px_enter = pg.SignalProxy(
|
||||
plot.sig_mouse_enter,
|
||||
rateLimit=_mouse_rate_limit,
|
||||
|
|
@ -454,10 +435,7 @@ class Cursor(pg.GraphicsObject):
|
|||
if plot.linked.xaxis_chart is plot:
|
||||
xlabel = self.xaxis_label = XAxisLabel(
|
||||
parent=self.plots[plot_index].getAxis('bottom'),
|
||||
# parent=self.plots[plot_index].pi_overlay.get_axis(
|
||||
# plot.plotItem, 'bottom'
|
||||
# ),
|
||||
|
||||
# parent=self.plots[plot_index].pi_overlay.get_axis(plot.plotItem, 'bottom'),
|
||||
opacity=_ch_label_opac,
|
||||
bg_color=self.label_color,
|
||||
)
|
||||
|
|
@ -475,12 +453,9 @@ class Cursor(pg.GraphicsObject):
|
|||
) -> LineDot:
|
||||
# if this plot contains curves add line dot "cursors" to denote
|
||||
# the current sample under the mouse
|
||||
main_flow = plot._flows[plot.name]
|
||||
# read out last index
|
||||
i = main_flow.shm.array[-1]['index']
|
||||
cursor = LineDot(
|
||||
curve,
|
||||
index=i,
|
||||
index=plot._arrays[plot.name][-1]['index'],
|
||||
plot=plot
|
||||
)
|
||||
plot.addItem(cursor)
|
||||
|
|
@ -574,20 +549,17 @@ class Cursor(pg.GraphicsObject):
|
|||
for cursor in opts.get('cursors', ()):
|
||||
cursor.setIndex(ix)
|
||||
|
||||
# Update the label on the bottom of the crosshair.
|
||||
# TODO: make this an up-front calc that we update
|
||||
# on axis-widget resize events instead of on every mouse
|
||||
# update cylce.
|
||||
# update the label on the bottom of the crosshair
|
||||
axes = plot.plotItem.axes
|
||||
|
||||
# TODO: make this an up-front calc that we update
|
||||
# on axis-widget resize events.
|
||||
# left axis offset width for calcuating
|
||||
# absolute x-axis label placement.
|
||||
left_axis_width = 0
|
||||
if len(plot.pi_overlay.overlays):
|
||||
# breakpoint()
|
||||
lefts = plot.pi_overlay.get_axes('left')
|
||||
if lefts:
|
||||
for left in lefts:
|
||||
left_axis_width += left.width()
|
||||
left = axes.get('left')
|
||||
if left:
|
||||
left_axis_width = left['item'].width()
|
||||
|
||||
# map back to abs (label-local) coordinates
|
||||
self.xaxis_label.update_label(
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for 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
|
||||
|
|
@ -18,306 +18,301 @@
|
|||
Fast, smooth, sexy curves.
|
||||
|
||||
"""
|
||||
from contextlib import contextmanager as cm
|
||||
from typing import Optional, Callable
|
||||
from typing import Optional
|
||||
|
||||
import numpy as np
|
||||
import pyqtgraph as pg
|
||||
from PyQt5 import QtWidgets
|
||||
from PyQt5.QtWidgets import QGraphicsItem
|
||||
from PyQt5 import QtGui, QtWidgets
|
||||
from PyQt5.QtCore import (
|
||||
Qt,
|
||||
QLineF,
|
||||
QSizeF,
|
||||
QRectF,
|
||||
# QRect,
|
||||
QPointF,
|
||||
)
|
||||
from PyQt5.QtGui import (
|
||||
QPainter,
|
||||
QPainterPath,
|
||||
)
|
||||
from .._profile import pg_profile_enabled, ms_slower_then
|
||||
|
||||
from .._profile import pg_profile_enabled
|
||||
from ._style import hcolor
|
||||
# from ._compression import (
|
||||
# # ohlc_to_m4_line,
|
||||
# ds_m4,
|
||||
# )
|
||||
from ..log import get_logger
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
def step_path_arrays_from_1d(
|
||||
x: np.ndarray,
|
||||
y: np.ndarray,
|
||||
include_endpoints: bool = False,
|
||||
|
||||
|
||||
_line_styles: dict[str, int] = {
|
||||
'solid': Qt.PenStyle.SolidLine,
|
||||
'dash': Qt.PenStyle.DashLine,
|
||||
'dot': Qt.PenStyle.DotLine,
|
||||
'dashdot': Qt.PenStyle.DashDotLine,
|
||||
}
|
||||
|
||||
|
||||
class Curve(pg.GraphicsObject):
|
||||
) -> (np.ndarray, np.ndarray):
|
||||
'''
|
||||
A faster, simpler, append friendly version of
|
||||
``pyqtgraph.PlotCurveItem`` built for highly customizable real-time
|
||||
updates.
|
||||
|
||||
This type is a much stripped down version of a ``pyqtgraph`` style
|
||||
"graphics object" in the sense that the internal lower level
|
||||
graphics which are drawn in the ``.paint()`` method are actually
|
||||
rendered outside of this class entirely and instead are assigned as
|
||||
state (instance vars) here and then drawn during a Qt graphics
|
||||
cycle.
|
||||
|
||||
The main motivation for this more modular, composed design is that
|
||||
lower level graphics data can be rendered in different threads and
|
||||
then read and drawn in this main thread without having to worry
|
||||
about dealing with Qt's concurrency primitives. See
|
||||
``piker.ui._flows.Renderer`` for details and logic related to lower
|
||||
level path generation and incremental update. The main differences in
|
||||
the path generation code include:
|
||||
|
||||
- avoiding regeneration of the entire historical path where possible
|
||||
and instead only updating the "new" segment(s) via a ``numpy``
|
||||
array diff calc.
|
||||
- here, the "last" graphics datum-segment is drawn independently
|
||||
such that near-term (high frequency) discrete-time-sampled style
|
||||
updates don't trigger a full path redraw.
|
||||
Generate a "step mode" curve aligned with OHLC style bars
|
||||
such that each segment spans each bar (aka "centered" style).
|
||||
|
||||
'''
|
||||
y_out = y.copy()
|
||||
x_out = x.copy()
|
||||
x2 = np.empty(
|
||||
# the data + 2 endpoints on either end for
|
||||
# "termination of the path".
|
||||
(len(x) + 1, 2),
|
||||
# we want to align with OHLC or other sampling style
|
||||
# bars likely so we need fractinal values
|
||||
dtype=float,
|
||||
)
|
||||
x2[0] = x[0] - 0.5
|
||||
x2[1] = x[0] + 0.5
|
||||
x2[1:] = x[:, np.newaxis] + 0.5
|
||||
|
||||
# sub-type customization methods
|
||||
sub_br: Optional[Callable] = None
|
||||
sub_paint: Optional[Callable] = None
|
||||
declare_paintables: Optional[Callable] = None
|
||||
# flatten to 1-d
|
||||
x_out = x2.reshape(x2.size)
|
||||
|
||||
# we create a 1d with 2 extra indexes to
|
||||
# hold the start and (current) end value for the steps
|
||||
# on either end
|
||||
y2 = np.empty((len(y), 2), dtype=y.dtype)
|
||||
y2[:] = y[:, np.newaxis]
|
||||
|
||||
y_out = np.empty(
|
||||
2*len(y) + 2,
|
||||
dtype=y.dtype
|
||||
)
|
||||
|
||||
# flatten and set 0 endpoints
|
||||
y_out[1:-1] = y2.reshape(y2.size)
|
||||
y_out[0] = 0
|
||||
y_out[-1] = 0
|
||||
|
||||
if not include_endpoints:
|
||||
return x_out[:-1], y_out[:-1]
|
||||
|
||||
else:
|
||||
return x_out, y_out
|
||||
|
||||
|
||||
# TODO: got a feeling that dropping this inheritance gets us even more speedups
|
||||
class FastAppendCurve(pg.PlotCurveItem):
|
||||
'''
|
||||
A faster, append friendly version of ``pyqtgraph.PlotCurveItem``
|
||||
built for real-time data updates.
|
||||
|
||||
The main difference is avoiding regeneration of the entire
|
||||
historical path where possible and instead only updating the "new"
|
||||
segment(s) via a ``numpy`` array diff calc. Further the "last"
|
||||
graphic segment is drawn independently such that near-term (high
|
||||
frequency) discrete-time-sampled style updates don't trigger a full
|
||||
path redraw.
|
||||
|
||||
'''
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
*args,
|
||||
|
||||
step_mode: bool = False,
|
||||
color: str = 'default_lightest',
|
||||
fill_color: Optional[str] = None,
|
||||
style: str = 'solid',
|
||||
name: Optional[str] = None,
|
||||
use_fpath: bool = True,
|
||||
|
||||
**kwargs
|
||||
|
||||
) -> None:
|
||||
|
||||
self._name = name
|
||||
|
||||
# brutaaalll, see comments within..
|
||||
self.yData = None
|
||||
self.xData = None
|
||||
|
||||
# self._last_cap: int = 0
|
||||
self.path: Optional[QPainterPath] = None
|
||||
|
||||
# additional path used for appends which tries to avoid
|
||||
# triggering an update/redraw of the presumably larger
|
||||
# historical ``.path`` above.
|
||||
self.use_fpath = use_fpath
|
||||
self.fast_path: Optional[QPainterPath] = None
|
||||
|
||||
# TODO: we can probably just dispense with the parent since
|
||||
# we're basically only using the pen setting now...
|
||||
super().__init__(*args, **kwargs)
|
||||
|
||||
self._xrange: tuple[int, int] = self.dataBounds(ax=0)
|
||||
|
||||
# all history of curve is drawn in single px thickness
|
||||
pen = pg.mkPen(hcolor(color))
|
||||
pen.setStyle(_line_styles[style])
|
||||
|
||||
if 'dash' in style:
|
||||
pen.setDashPattern([8, 3])
|
||||
|
||||
self._pen = pen
|
||||
self.setPen(hcolor(color))
|
||||
|
||||
# last segment is drawn in 2px thickness for emphasis
|
||||
# self.last_step_pen = pg.mkPen(hcolor(color), width=2)
|
||||
self.last_step_pen = pg.mkPen(pen, width=2)
|
||||
|
||||
# self._last_line: Optional[QLineF] = None
|
||||
self._last_line = QLineF()
|
||||
self._last_w: float = 1
|
||||
self.last_step_pen = pg.mkPen(hcolor(color), width=2)
|
||||
self._last_line: QLineF = None
|
||||
self._last_step_rect: QRectF = None
|
||||
|
||||
# flat-top style histogram-like discrete curve
|
||||
# self._step_mode: bool = step_mode
|
||||
self._step_mode: bool = step_mode
|
||||
|
||||
# self._fill = True
|
||||
self._brush = pg.functions.mkBrush(hcolor(fill_color or color))
|
||||
|
||||
# NOTE: this setting seems to mostly prevent redraws on mouse
|
||||
# interaction which is a huge boon for avg interaction latency.
|
||||
self.setBrush(hcolor(fill_color or color))
|
||||
|
||||
# TODO: one question still remaining is if this makes trasform
|
||||
# interactions slower (such as zooming) and if so maybe if/when
|
||||
# we implement a "history" mode for the view we disable this in
|
||||
# that mode?
|
||||
# don't enable caching by default for the case where the
|
||||
# only thing drawn is the "last" line segment which can
|
||||
# have a weird artifact where it won't be fully drawn to its
|
||||
# endpoint (something we saw on trade rate curves)
|
||||
self.setCacheMode(QGraphicsItem.DeviceCoordinateCache)
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
# XXX: see explanation for different caching modes:
|
||||
# https://stackoverflow.com/a/39410081
|
||||
# seems to only be useful if we don't re-generate the entire
|
||||
# QPainterPath every time
|
||||
# curve.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
def update_from_array(
|
||||
self,
|
||||
x: np.ndarray,
|
||||
y: np.ndarray,
|
||||
|
||||
# don't ever use this - it's a colossal nightmare of artefacts
|
||||
# and is disastrous for performance.
|
||||
# curve.setCacheMode(QtWidgets.QGraphicsItem.ItemCoordinateCache)
|
||||
) -> QtGui.QPainterPath:
|
||||
|
||||
# allow sub-type customization
|
||||
declare = self.declare_paintables
|
||||
if declare:
|
||||
declare()
|
||||
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
|
||||
flip_cache = False
|
||||
|
||||
# TODO: probably stick this in a new parent
|
||||
# type which will contain our own version of
|
||||
# what ``PlotCurveItem`` had in terms of base
|
||||
# functionality? A `FlowGraphic` maybe?
|
||||
def x_uppx(self) -> int:
|
||||
istart, istop = self._xrange
|
||||
# print(f"xrange: {self._xrange}")
|
||||
|
||||
# compute the length diffs between the first/last index entry in
|
||||
# the input data and the last indexes we have on record from the
|
||||
# last time we updated the curve index.
|
||||
prepend_length = istart - x[0]
|
||||
append_length = x[-1] - istop
|
||||
|
||||
# step mode: draw flat top discrete "step"
|
||||
# over the index space for each datum.
|
||||
if self._step_mode:
|
||||
x_out, y_out = step_path_arrays_from_1d(x[:-1], y[:-1])
|
||||
|
||||
px_vecs = self.pixelVectors()[0]
|
||||
if px_vecs:
|
||||
xs_in_px = px_vecs.x()
|
||||
return round(xs_in_px)
|
||||
else:
|
||||
return 0
|
||||
# by default we only pull data up to the last (current) index
|
||||
x_out, y_out = x[:-1], y[:-1]
|
||||
|
||||
def px_width(self) -> float:
|
||||
if self.path is None or prepend_length > 0:
|
||||
self.path = pg.functions.arrayToQPath(
|
||||
x_out,
|
||||
y_out,
|
||||
connect='all',
|
||||
finiteCheck=False,
|
||||
)
|
||||
profiler('generate fresh path')
|
||||
|
||||
vb = self.getViewBox()
|
||||
if not vb:
|
||||
return 0
|
||||
# if self._step_mode:
|
||||
# self.path.closeSubpath()
|
||||
|
||||
vr = self.viewRect()
|
||||
l, r = int(vr.left()), int(vr.right())
|
||||
# TODO: get this piecewise prepend working - right now it's
|
||||
# giving heck on vwap...
|
||||
# if prepend_length:
|
||||
# breakpoint()
|
||||
|
||||
start, stop = self._xrange
|
||||
lbar = max(l, start)
|
||||
rbar = min(r, stop)
|
||||
# prepend_path = pg.functions.arrayToQPath(
|
||||
# x[0:prepend_length],
|
||||
# y[0:prepend_length],
|
||||
# connect='all'
|
||||
# )
|
||||
|
||||
return vb.mapViewToDevice(
|
||||
QLineF(lbar, 0, rbar, 0)
|
||||
).length()
|
||||
# # swap prepend path in "front"
|
||||
# old_path = self.path
|
||||
# self.path = prepend_path
|
||||
# # self.path.moveTo(new_x[0], new_y[0])
|
||||
# self.path.connectPath(old_path)
|
||||
|
||||
elif append_length > 0:
|
||||
if self._step_mode:
|
||||
new_x, new_y = step_path_arrays_from_1d(
|
||||
x[-append_length - 2:-1],
|
||||
y[-append_length - 2:-1],
|
||||
)
|
||||
# [1:] since we don't need the vertical line normally at
|
||||
# the beginning of the step curve taking the first (x,
|
||||
# y) poing down to the x-axis **because** this is an
|
||||
# appended path graphic.
|
||||
new_x = new_x[1:]
|
||||
new_y = new_y[1:]
|
||||
|
||||
else:
|
||||
# print(f"append_length: {append_length}")
|
||||
new_x = x[-append_length - 2:-1]
|
||||
new_y = y[-append_length - 2:-1]
|
||||
# print((new_x, new_y))
|
||||
|
||||
append_path = pg.functions.arrayToQPath(
|
||||
new_x,
|
||||
new_y,
|
||||
connect='all',
|
||||
# finiteCheck=False,
|
||||
)
|
||||
|
||||
path = self.path
|
||||
|
||||
# other merging ideas:
|
||||
# https://stackoverflow.com/questions/8936225/how-to-merge-qpainterpaths
|
||||
if self._step_mode:
|
||||
# path.addPath(append_path)
|
||||
self.path.connectPath(append_path)
|
||||
|
||||
# TODO: try out new work from `pyqtgraph` main which
|
||||
# should repair horrid perf:
|
||||
# https://github.com/pyqtgraph/pyqtgraph/pull/2032
|
||||
# ok, nope still horrible XD
|
||||
# if self._fill:
|
||||
# # XXX: super slow set "union" op
|
||||
# self.path = self.path.united(append_path).simplified()
|
||||
|
||||
# # path.addPath(append_path)
|
||||
# # path.closeSubpath()
|
||||
|
||||
else:
|
||||
# print(f"append_path br: {append_path.boundingRect()}")
|
||||
# self.path.moveTo(new_x[0], new_y[0])
|
||||
# self.path.connectPath(append_path)
|
||||
path.connectPath(append_path)
|
||||
|
||||
# XXX: pretty annoying but, without this there's little
|
||||
# artefacts on the append updates to the curve...
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
|
||||
self.prepareGeometryChange()
|
||||
flip_cache = True
|
||||
|
||||
# print(f"update br: {self.path.boundingRect()}")
|
||||
|
||||
# XXX: lol brutal, the internals of `CurvePoint` (inherited by
|
||||
# our `LineDot`) required ``.getData()`` to work..
|
||||
def getData(self):
|
||||
return self.xData, self.yData
|
||||
self.xData = x
|
||||
self.yData = y
|
||||
|
||||
def clear(self):
|
||||
'''
|
||||
Clear internal graphics making object ready for full re-draw.
|
||||
x0, x_last = self._xrange = x[0], x[-1]
|
||||
y_last = y[-1]
|
||||
|
||||
'''
|
||||
# NOTE: original code from ``pg.PlotCurveItem``
|
||||
self.xData = None
|
||||
self.yData = None
|
||||
# draw the "current" step graphic segment so it lines up with
|
||||
# the "middle" of the current (OHLC) sample.
|
||||
if self._step_mode:
|
||||
self._last_line = QLineF(
|
||||
x_last - 0.5, 0,
|
||||
x_last + 0.5, 0,
|
||||
)
|
||||
self._last_step_rect = QRectF(
|
||||
x_last - 0.5, 0,
|
||||
x_last + 0.5, y_last
|
||||
)
|
||||
else:
|
||||
self._last_line = QLineF(
|
||||
x[-2], y[-2],
|
||||
x[-1], y_last
|
||||
)
|
||||
|
||||
# XXX: previously, if not trying to leverage `.reserve()` allocs
|
||||
# then you might as well create a new one..
|
||||
# self.path = None
|
||||
# trigger redraw of path
|
||||
# do update before reverting to cache mode
|
||||
self.prepareGeometryChange()
|
||||
self.update()
|
||||
|
||||
# path reservation aware non-mem de-alloc cleaning
|
||||
if self.path:
|
||||
self.path.clear()
|
||||
|
||||
if self.fast_path:
|
||||
# self.fast_path.clear()
|
||||
self.fast_path = None
|
||||
|
||||
@cm
|
||||
def reset_cache(self) -> None:
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
|
||||
yield
|
||||
self.setCacheMode(QGraphicsItem.DeviceCoordinateCache)
|
||||
if flip_cache:
|
||||
# XXX: seems to be needed to avoid artifacts (see above).
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
def boundingRect(self):
|
||||
'''
|
||||
Compute and then cache our rect.
|
||||
'''
|
||||
if self.path is None:
|
||||
return QPainterPath().boundingRect()
|
||||
return QtGui.QPainterPath().boundingRect()
|
||||
else:
|
||||
# dynamically override this method after initial
|
||||
# path is created to avoid requiring the above None check
|
||||
self.boundingRect = self._path_br
|
||||
return self._path_br()
|
||||
self.boundingRect = self._br
|
||||
return self._br()
|
||||
|
||||
def _path_br(self):
|
||||
'''
|
||||
Post init ``.boundingRect()```.
|
||||
def _br(self):
|
||||
"""Post init ``.boundingRect()```.
|
||||
|
||||
'''
|
||||
# hb = self.path.boundingRect()
|
||||
"""
|
||||
hb = self.path.controlPointRect()
|
||||
hb_size = hb.size()
|
||||
|
||||
fp = self.fast_path
|
||||
if fp:
|
||||
fhb = fp.controlPointRect()
|
||||
hb_size = fhb.size() + hb_size
|
||||
|
||||
# print(f'hb_size: {hb_size}')
|
||||
|
||||
# if self._last_step_rect:
|
||||
# hb_size += self._last_step_rect.size()
|
||||
|
||||
# if self._line:
|
||||
# br = self._last_step_rect.bottomRight()
|
||||
|
||||
# tl = QPointF(
|
||||
# # self._vr[0],
|
||||
# # hb.topLeft().y(),
|
||||
# # 0,
|
||||
# # hb_size.height() + 1
|
||||
# )
|
||||
|
||||
# br = self._last_step_rect.bottomRight()
|
||||
|
||||
w = hb_size.width()
|
||||
h = hb_size.height()
|
||||
|
||||
sbr = self.sub_br
|
||||
if sbr:
|
||||
w, h = self.sub_br(w, h)
|
||||
else:
|
||||
# assume plain line graphic and use
|
||||
# default unit step in each direction.
|
||||
|
||||
# only on a plane line do we include
|
||||
# and extra index step's worth of width
|
||||
# since in the step case the end of the curve
|
||||
# actually terminates earlier so we don't need
|
||||
# this for the last step.
|
||||
w += self._last_w
|
||||
# ll = self._last_line
|
||||
h += 1 # ll.y2() - ll.y1()
|
||||
|
||||
# br = QPointF(
|
||||
# self._vr[-1],
|
||||
# # tl.x() + w,
|
||||
# tl.y() + h,
|
||||
# )
|
||||
w = hb_size.width() + 1
|
||||
h = hb_size.height() + 1
|
||||
|
||||
br = QRectF(
|
||||
|
||||
# top left
|
||||
# hb.topLeft()
|
||||
# tl,
|
||||
QPointF(hb.topLeft()),
|
||||
|
||||
# br,
|
||||
# total size
|
||||
# QSizeF(hb_size)
|
||||
# hb_size,
|
||||
QSizeF(w, h)
|
||||
)
|
||||
# print(f'bounding rect: {br}')
|
||||
|
|
@ -325,160 +320,38 @@ class Curve(pg.GraphicsObject):
|
|||
|
||||
def paint(
|
||||
self,
|
||||
p: QPainter,
|
||||
p: QtGui.QPainter,
|
||||
opt: QtWidgets.QStyleOptionGraphicsItem,
|
||||
w: QtWidgets.QWidget
|
||||
|
||||
) -> None:
|
||||
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'Curve.paint(): `{self._name}`',
|
||||
disabled=not pg_profile_enabled(),
|
||||
ms_threshold=ms_slower_then,
|
||||
)
|
||||
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
|
||||
# p.setRenderHint(p.Antialiasing, True)
|
||||
|
||||
sub_paint = self.sub_paint
|
||||
if sub_paint:
|
||||
sub_paint(p, profiler)
|
||||
if (
|
||||
self._step_mode
|
||||
and self._last_step_rect
|
||||
):
|
||||
brush = self.opts['brush']
|
||||
# p.drawLines(*tuple(filter(bool, self._last_step_lines)))
|
||||
# p.drawRect(self._last_step_rect)
|
||||
p.fillRect(self._last_step_rect, brush)
|
||||
|
||||
# p.drawPath(self.path)
|
||||
# profiler('.drawPath()')
|
||||
|
||||
# else:
|
||||
p.setPen(self.last_step_pen)
|
||||
p.drawLine(self._last_line)
|
||||
profiler('.drawLine()')
|
||||
p.setPen(self._pen)
|
||||
|
||||
path = self.path
|
||||
# cap = path.capacity()
|
||||
# if cap != self._last_cap:
|
||||
# print(f'NEW CAPACITY: {self._last_cap} -> {cap}')
|
||||
# self._last_cap = cap
|
||||
p.setPen(self.opts['pen'])
|
||||
p.drawPath(self.path)
|
||||
profiler('.drawPath()')
|
||||
|
||||
if path:
|
||||
p.drawPath(path)
|
||||
profiler(f'.drawPath(path): {path.capacity()}')
|
||||
|
||||
fp = self.fast_path
|
||||
if fp:
|
||||
p.drawPath(fp)
|
||||
profiler('.drawPath(fast_path)')
|
||||
|
||||
# TODO: try out new work from `pyqtgraph` main which should
|
||||
# repair horrid perf (pretty sure i did and it was still
|
||||
# horrible?):
|
||||
# TODO: try out new work from `pyqtgraph` main which
|
||||
# should repair horrid perf:
|
||||
# https://github.com/pyqtgraph/pyqtgraph/pull/2032
|
||||
# if self._fill:
|
||||
# brush = self.opts['brush']
|
||||
# p.fillPath(self.path, brush)
|
||||
|
||||
def draw_last_datum(
|
||||
self,
|
||||
path: QPainterPath,
|
||||
src_data: np.ndarray,
|
||||
render_data: np.ndarray,
|
||||
reset: bool,
|
||||
array_key: str,
|
||||
|
||||
) -> None:
|
||||
# default line draw last call
|
||||
# with self.reset_cache():
|
||||
x = render_data['index']
|
||||
y = render_data[array_key]
|
||||
|
||||
# draw the "current" step graphic segment so it
|
||||
# lines up with the "middle" of the current
|
||||
# (OHLC) sample.
|
||||
self._last_line = QLineF(
|
||||
x[-2], y[-2],
|
||||
x[-1], y[-1],
|
||||
)
|
||||
|
||||
return x, y
|
||||
|
||||
|
||||
# TODO: this should probably be a "downsampled" curve type
|
||||
# that draws a bar-style (but for the px column) last graphics
|
||||
# element such that the current datum in view can be shown
|
||||
# (via it's max / min) even when highly zoomed out.
|
||||
class FlattenedOHLC(Curve):
|
||||
|
||||
def draw_last_datum(
|
||||
self,
|
||||
path: QPainterPath,
|
||||
src_data: np.ndarray,
|
||||
render_data: np.ndarray,
|
||||
reset: bool,
|
||||
array_key: str,
|
||||
|
||||
) -> None:
|
||||
lasts = src_data[-2:]
|
||||
x = lasts['index']
|
||||
y = lasts['close']
|
||||
|
||||
# draw the "current" step graphic segment so it
|
||||
# lines up with the "middle" of the current
|
||||
# (OHLC) sample.
|
||||
self._last_line = QLineF(
|
||||
x[-2], y[-2],
|
||||
x[-1], y[-1]
|
||||
)
|
||||
return x, y
|
||||
|
||||
|
||||
class StepCurve(Curve):
|
||||
|
||||
def declare_paintables(
|
||||
self,
|
||||
) -> None:
|
||||
self._last_step_rect = QRectF()
|
||||
|
||||
def draw_last_datum(
|
||||
self,
|
||||
path: QPainterPath,
|
||||
src_data: np.ndarray,
|
||||
render_data: np.ndarray,
|
||||
reset: bool,
|
||||
array_key: str,
|
||||
|
||||
w: float = 0.5,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: remove this and instead place all step curve
|
||||
# updating into pre-path data render callbacks.
|
||||
# full input data
|
||||
x = src_data['index']
|
||||
y = src_data[array_key]
|
||||
|
||||
x_last = x[-1]
|
||||
y_last = y[-1]
|
||||
|
||||
# lol, commenting this makes step curves
|
||||
# all "black" for me :eyeroll:..
|
||||
self._last_line = QLineF(
|
||||
x_last - w, 0,
|
||||
x_last + w, 0,
|
||||
)
|
||||
self._last_step_rect = QRectF(
|
||||
x_last - w, 0,
|
||||
x_last + w, y_last,
|
||||
)
|
||||
return x, y
|
||||
|
||||
def sub_paint(
|
||||
self,
|
||||
p: QPainter,
|
||||
profiler: pg.debug.Profiler,
|
||||
|
||||
) -> None:
|
||||
# p.drawLines(*tuple(filter(bool, self._last_step_lines)))
|
||||
# p.drawRect(self._last_step_rect)
|
||||
p.fillRect(self._last_step_rect, self._brush)
|
||||
profiler('.fillRect()')
|
||||
|
||||
def sub_br(
|
||||
self,
|
||||
path_w: float,
|
||||
path_h: float,
|
||||
|
||||
) -> (float, float):
|
||||
# passthrough
|
||||
return path_w, path_h
|
||||
|
|
|
|||
|
|
@ -21,20 +21,16 @@ this module ties together quote and computational (fsp) streams with
|
|||
graphics update methods via our custom ``pyqtgraph`` charting api.
|
||||
|
||||
'''
|
||||
from dataclasses import dataclass
|
||||
from functools import partial
|
||||
import time
|
||||
from typing import Optional, Any, Callable
|
||||
from typing import Optional
|
||||
|
||||
import numpy as np
|
||||
import tractor
|
||||
import trio
|
||||
import pendulum
|
||||
import pyqtgraph as pg
|
||||
|
||||
# from .. import brokers
|
||||
from ..data.feed import open_feed
|
||||
from ._axes import YAxisLabel
|
||||
from .. import brokers
|
||||
from ..data.feed import open_feed, Feed
|
||||
from ._chart import (
|
||||
ChartPlotWidget,
|
||||
LinkedSplits,
|
||||
|
|
@ -47,23 +43,18 @@ from ._fsp import (
|
|||
has_vlm,
|
||||
open_vlm_displays,
|
||||
)
|
||||
from ..data._sharedmem import ShmArray
|
||||
from ..data._source import tf_in_1s
|
||||
from ..data._sharedmem import ShmArray, try_read
|
||||
from ._forms import (
|
||||
FieldsForm,
|
||||
mk_order_pane_layout,
|
||||
)
|
||||
from .order_mode import open_order_mode
|
||||
from .._profile import (
|
||||
pg_profile_enabled,
|
||||
ms_slower_then,
|
||||
)
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
# TODO: load this from a config.toml!
|
||||
_quote_throttle_rate: int = 22 # Hz
|
||||
_quote_throttle_rate: int = 58 # Hz
|
||||
|
||||
|
||||
# a working tick-type-classes template
|
||||
|
|
@ -74,20 +65,12 @@ _tick_groups = {
|
|||
}
|
||||
|
||||
|
||||
# TODO: delegate this to each `Flow.maxmin()` which includes
|
||||
# caching and further we should implement the following stream based
|
||||
# approach, likely with ``numba``:
|
||||
# https://arxiv.org/abs/cs/0610046
|
||||
# https://github.com/lemire/pythonmaxmin
|
||||
def chart_maxmin(
|
||||
chart: ChartPlotWidget,
|
||||
ohlcv_shm: ShmArray,
|
||||
vlm_chart: Optional[ChartPlotWidget] = None,
|
||||
|
||||
) -> tuple[
|
||||
|
||||
tuple[int, int, int, int],
|
||||
|
||||
float,
|
||||
float,
|
||||
float,
|
||||
|
|
@ -96,57 +79,34 @@ def chart_maxmin(
|
|||
Compute max and min datums "in view" for range limits.
|
||||
|
||||
'''
|
||||
# TODO: implement this
|
||||
# https://arxiv.org/abs/cs/0610046
|
||||
# https://github.com/lemire/pythonmaxmin
|
||||
|
||||
array = chart._arrays[chart.name]
|
||||
ifirst = array[0]['index']
|
||||
|
||||
last_bars_range = chart.bars_range()
|
||||
out = chart.maxmin()
|
||||
l, lbar, rbar, r = last_bars_range
|
||||
in_view = array[lbar - ifirst:rbar - ifirst + 1]
|
||||
|
||||
if out is None:
|
||||
return (last_bars_range, 0, 0, 0)
|
||||
assert in_view.size
|
||||
|
||||
mn, mx = out
|
||||
mx, mn = np.nanmax(in_view['high']), np.nanmin(in_view['low'])
|
||||
|
||||
# TODO: when we start using line charts, probably want to make
|
||||
# this an overloaded call on our `DataView
|
||||
# sym = chart.name
|
||||
# mx, mn = np.nanmax(in_view[sym]), np.nanmin(in_view[sym])
|
||||
|
||||
mx_vlm_in_view = 0
|
||||
if vlm_chart:
|
||||
out = vlm_chart.maxmin()
|
||||
if out:
|
||||
_, mx_vlm_in_view = out
|
||||
mx_vlm_in_view = np.max(in_view['volume'])
|
||||
|
||||
return (
|
||||
last_bars_range,
|
||||
mx,
|
||||
max(mn, 0), # presuming price can't be negative?
|
||||
mx_vlm_in_view,
|
||||
)
|
||||
return last_bars_range, mx, max(mn, 0), mx_vlm_in_view
|
||||
|
||||
|
||||
@dataclass
|
||||
class DisplayState:
|
||||
'''
|
||||
Chart-local real-time graphics state container.
|
||||
|
||||
'''
|
||||
quotes: dict[str, Any]
|
||||
|
||||
maxmin: Callable
|
||||
ohlcv: ShmArray
|
||||
|
||||
# high level chart handles
|
||||
linked: LinkedSplits
|
||||
chart: ChartPlotWidget
|
||||
vlm_chart: ChartPlotWidget
|
||||
|
||||
# axis labels
|
||||
l1: L1Labels
|
||||
last_price_sticky: YAxisLabel
|
||||
vlm_sticky: YAxisLabel
|
||||
|
||||
# misc state tracking
|
||||
vars: dict[str, Any]
|
||||
|
||||
wap_in_history: bool = False
|
||||
|
||||
|
||||
async def graphics_update_loop(
|
||||
|
||||
async def update_linked_charts_graphics(
|
||||
linked: LinkedSplits,
|
||||
stream: tractor.MsgStream,
|
||||
ohlcv: np.ndarray,
|
||||
|
|
@ -171,7 +131,6 @@ async def graphics_update_loop(
|
|||
# of copying it from last bar's close
|
||||
# - 1-5 sec bar lookback-autocorrection like tws does?
|
||||
# (would require a background history checker task)
|
||||
display_rate = linked.godwidget.window.current_screen().refreshRate()
|
||||
|
||||
chart = linked.chart
|
||||
|
||||
|
|
@ -183,14 +142,12 @@ async def graphics_update_loop(
|
|||
|
||||
if vlm_chart:
|
||||
vlm_sticky = vlm_chart._ysticks['volume']
|
||||
vlm_view = vlm_chart.view
|
||||
|
||||
maxmin = partial(chart_maxmin, chart, vlm_chart)
|
||||
|
||||
chart.default_view()
|
||||
|
||||
maxmin = partial(
|
||||
chart_maxmin,
|
||||
chart,
|
||||
ohlcv,
|
||||
vlm_chart,
|
||||
)
|
||||
last_bars_range: tuple[float, float]
|
||||
(
|
||||
last_bars_range,
|
||||
last_mx,
|
||||
|
|
@ -222,9 +179,8 @@ async def graphics_update_loop(
|
|||
tick_margin = 3 * tick_size
|
||||
|
||||
chart.show()
|
||||
# view = chart.view
|
||||
view = chart.view
|
||||
last_quote = time.time()
|
||||
i_last = ohlcv.index
|
||||
|
||||
# async def iter_drain_quotes():
|
||||
# # NOTE: all code below this loop is expected to be synchronous
|
||||
|
|
@ -249,33 +205,8 @@ async def graphics_update_loop(
|
|||
|
||||
# async for quotes in iter_drain_quotes():
|
||||
|
||||
ds = linked.display_state = DisplayState(**{
|
||||
'quotes': {},
|
||||
'linked': linked,
|
||||
'maxmin': maxmin,
|
||||
'ohlcv': ohlcv,
|
||||
'chart': chart,
|
||||
'last_price_sticky': last_price_sticky,
|
||||
'vlm_chart': vlm_chart,
|
||||
'vlm_sticky': vlm_sticky,
|
||||
'l1': l1,
|
||||
|
||||
'vars': {
|
||||
'tick_margin': tick_margin,
|
||||
'i_last': i_last,
|
||||
'i_last_append': i_last,
|
||||
'last_mx_vlm': last_mx_vlm,
|
||||
'last_mx': last_mx,
|
||||
'last_mn': last_mn,
|
||||
}
|
||||
})
|
||||
|
||||
chart.default_view()
|
||||
|
||||
# main real-time quotes update loop
|
||||
async for quotes in stream:
|
||||
|
||||
ds.quotes = quotes
|
||||
quote_period = time.time() - last_quote
|
||||
quote_rate = round(
|
||||
1/quote_period, 1) if quote_period > 0 else float('inf')
|
||||
|
|
@ -284,8 +215,7 @@ async def graphics_update_loop(
|
|||
|
||||
# in the absolute worst case we shouldn't see more then
|
||||
# twice the expected throttle rate right!?
|
||||
# and quote_rate >= _quote_throttle_rate * 2
|
||||
and quote_rate >= display_rate
|
||||
and quote_rate >= _quote_throttle_rate * 1.5
|
||||
):
|
||||
log.warning(f'High quote rate {symbol.key}: {quote_rate}')
|
||||
|
||||
|
|
@ -296,135 +226,45 @@ async def graphics_update_loop(
|
|||
chart.pause_all_feeds()
|
||||
continue
|
||||
|
||||
ic = chart.view._ic
|
||||
if ic:
|
||||
chart.pause_all_feeds()
|
||||
await ic.wait()
|
||||
chart.resume_all_feeds()
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
# sync call to update all graphics/UX components.
|
||||
graphics_update_cycle(ds)
|
||||
|
||||
|
||||
def graphics_update_cycle(
|
||||
ds: DisplayState,
|
||||
wap_in_history: bool = False,
|
||||
trigger_all: bool = False, # flag used by prepend history updates
|
||||
prepend_update_index: Optional[int] = None,
|
||||
|
||||
) -> None:
|
||||
# TODO: eventually optimize this whole graphics stack with ``numba``
|
||||
# hopefully XD
|
||||
|
||||
chart = ds.chart
|
||||
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'Graphics loop cycle for: `{chart.name}`',
|
||||
delayed=True,
|
||||
disabled=not pg_profile_enabled(),
|
||||
# disabled=True,
|
||||
ms_threshold=ms_slower_then,
|
||||
|
||||
# ms_threshold=1/12 * 1e3,
|
||||
)
|
||||
|
||||
# unpack multi-referenced components
|
||||
vlm_chart = ds.vlm_chart
|
||||
l1 = ds.l1
|
||||
ohlcv = ds.ohlcv
|
||||
array = ohlcv.array
|
||||
vars = ds.vars
|
||||
tick_margin = vars['tick_margin']
|
||||
|
||||
update_uppx = 16
|
||||
|
||||
for sym, quote in ds.quotes.items():
|
||||
|
||||
# compute the first available graphic's x-units-per-pixel
|
||||
uppx = vlm_chart.view.x_uppx()
|
||||
|
||||
# NOTE: vlm may be written by the ``brokerd`` backend
|
||||
# event though a tick sample is not emitted.
|
||||
# TODO: show dark trades differently
|
||||
# https://github.com/pikers/piker/issues/116
|
||||
|
||||
# NOTE: this used to be implemented in a dedicated
|
||||
# "increment task": ``check_for_new_bars()`` but it doesn't
|
||||
# make sense to do a whole task switch when we can just do
|
||||
# this simple index-diff and all the fsp sub-curve graphics
|
||||
# are diffed on each draw cycle anyway; so updates to the
|
||||
# "curve" length is already automatic.
|
||||
|
||||
# increment the view position by the sample offset.
|
||||
i_step = ohlcv.index
|
||||
i_diff = i_step - vars['i_last']
|
||||
vars['i_last'] = i_step
|
||||
|
||||
append_diff = i_step - vars['i_last_append']
|
||||
|
||||
# update the "last datum" (aka extending the flow graphic with
|
||||
# new data) only if the number of unit steps is >= the number of
|
||||
# such unit steps per pixel (aka uppx). Iow, if the zoom level
|
||||
# is such that a datum(s) update to graphics wouldn't span
|
||||
# to a new pixel, we don't update yet.
|
||||
do_append = (append_diff >= uppx)
|
||||
if do_append:
|
||||
vars['i_last_append'] = i_step
|
||||
|
||||
do_rt_update = uppx < update_uppx
|
||||
# print(
|
||||
# f'append_diff:{append_diff}\n'
|
||||
# f'uppx:{uppx}\n'
|
||||
# f'do_append: {do_append}'
|
||||
# )
|
||||
|
||||
# TODO: we should only run mxmn when we know
|
||||
# an update is due via ``do_append`` above.
|
||||
(
|
||||
brange,
|
||||
mx_in_view,
|
||||
mn_in_view,
|
||||
mx_vlm_in_view,
|
||||
) = ds.maxmin()
|
||||
) = maxmin()
|
||||
l, lbar, rbar, r = brange
|
||||
mx = mx_in_view + tick_margin
|
||||
mn = mn_in_view - tick_margin
|
||||
|
||||
profiler('`ds.maxmin()` call')
|
||||
|
||||
liv = r >= i_step # the last datum is in view
|
||||
|
||||
if (
|
||||
prepend_update_index is not None
|
||||
and lbar > prepend_update_index
|
||||
):
|
||||
# on a history update (usually from the FSP subsys)
|
||||
# if the segment of history that is being prepended
|
||||
# isn't in view there is no reason to do a graphics
|
||||
# update.
|
||||
log.debug('Skipping prepend graphics cycle: frame not in view')
|
||||
return
|
||||
|
||||
# don't real-time "shift" the curve to the
|
||||
# left unless we get one of the following:
|
||||
if (
|
||||
(
|
||||
# i_diff > 0 # no new sample step
|
||||
do_append
|
||||
# and uppx < 4 # chart is zoomed out very far
|
||||
and liv
|
||||
)
|
||||
or trigger_all
|
||||
):
|
||||
# TODO: we should track and compute whether the last
|
||||
# pixel in a curve should show new data based on uppx
|
||||
# and then iff update curves and shift?
|
||||
chart.increment_view(steps=i_diff)
|
||||
# NOTE: vlm may be written by the ``brokerd`` backend
|
||||
# event though a tick sample is not emitted.
|
||||
# TODO: show dark trades differently
|
||||
# https://github.com/pikers/piker/issues/116
|
||||
array = ohlcv.array
|
||||
|
||||
if vlm_chart:
|
||||
vlm_chart.increment_view(steps=i_diff)
|
||||
vlm_chart.update_curve_from_array('volume', array)
|
||||
vlm_sticky.update_from_data(*array[-1][['index', 'volume']])
|
||||
|
||||
profiler('view incremented')
|
||||
if (
|
||||
mx_vlm_in_view != last_mx_vlm or
|
||||
mx_vlm_in_view > last_mx_vlm
|
||||
):
|
||||
# print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
|
||||
vlm_view._set_yrange(
|
||||
yrange=(0, mx_vlm_in_view * 1.375)
|
||||
)
|
||||
last_mx_vlm = mx_vlm_in_view
|
||||
|
||||
for curve_name, shm in vlm_chart._overlays.items():
|
||||
update_fsp_chart(
|
||||
vlm_chart,
|
||||
shm,
|
||||
curve_name,
|
||||
array_key=curve_name,
|
||||
)
|
||||
|
||||
ticks_frame = quote.get('ticks', ())
|
||||
|
||||
|
|
@ -468,24 +308,9 @@ def graphics_update_cycle(
|
|||
# current) tick first order as an optimization where we only
|
||||
# update from the last tick from each type class.
|
||||
# last_clear_updated: bool = False
|
||||
# for typ, tick in reversed(lasts.items()):
|
||||
|
||||
# update ohlc sampled price bars
|
||||
if (
|
||||
do_rt_update
|
||||
or do_append
|
||||
or trigger_all
|
||||
):
|
||||
chart.update_graphics_from_flow(
|
||||
chart.name,
|
||||
# do_append=uppx < update_uppx,
|
||||
do_append=do_append,
|
||||
)
|
||||
|
||||
# NOTE: we always update the "last" datum
|
||||
# since the current range should at least be updated
|
||||
# to it's max/min on the last pixel.
|
||||
|
||||
# iterate in FIFO order per tick-frame
|
||||
# iterate in FIFO order per frame
|
||||
for typ, tick in lasts.items():
|
||||
|
||||
price = tick.get('price')
|
||||
|
|
@ -495,7 +320,6 @@ def graphics_update_cycle(
|
|||
# tick frames to determine the y-range for chart
|
||||
# auto-scaling.
|
||||
# TODO: we need a streaming minmax algo here, see def above.
|
||||
if liv:
|
||||
mx = max(price + tick_margin, mx)
|
||||
mn = min(price - tick_margin, mn)
|
||||
|
||||
|
|
@ -514,15 +338,19 @@ def graphics_update_cycle(
|
|||
|
||||
# update price sticky(s)
|
||||
end = array[-1]
|
||||
ds.last_price_sticky.update_from_data(
|
||||
last_price_sticky.update_from_data(
|
||||
*end[['index', 'close']]
|
||||
)
|
||||
|
||||
# update ohlc sampled price bars
|
||||
chart.update_ohlc_from_array(
|
||||
chart.name,
|
||||
array,
|
||||
)
|
||||
|
||||
if wap_in_history:
|
||||
# update vwap overlay line
|
||||
chart.update_graphics_from_flow(
|
||||
'bar_wap',
|
||||
)
|
||||
chart.update_curve_from_array('bar_wap', ohlcv.array)
|
||||
|
||||
# L1 book label-line updates
|
||||
# XXX: is this correct for ib?
|
||||
|
|
@ -535,169 +363,136 @@ def graphics_update_cycle(
|
|||
l1.bid_label.fields['level']: l1.bid_label,
|
||||
}.get(price)
|
||||
|
||||
if (
|
||||
label is not None
|
||||
and liv
|
||||
):
|
||||
label.update_fields(
|
||||
{'level': price, 'size': size}
|
||||
)
|
||||
if label is not None:
|
||||
label.update_fields({'level': price, 'size': size})
|
||||
|
||||
# TODO: on trades should we be knocking down
|
||||
# the relevant L1 queue?
|
||||
# label.size -= size
|
||||
|
||||
elif (
|
||||
typ in _tick_groups['asks']
|
||||
# TODO: instead we could check if the price is in the
|
||||
# y-view-range?
|
||||
and liv
|
||||
):
|
||||
# elif ticktype in ('ask', 'asize'):
|
||||
elif typ in _tick_groups['asks']:
|
||||
l1.ask_label.update_fields({'level': price, 'size': size})
|
||||
|
||||
elif (
|
||||
typ in _tick_groups['bids']
|
||||
# TODO: instead we could check if the price is in the
|
||||
# y-view-range?
|
||||
and liv
|
||||
):
|
||||
# elif ticktype in ('bid', 'bsize'):
|
||||
elif typ in _tick_groups['bids']:
|
||||
l1.bid_label.update_fields({'level': price, 'size': size})
|
||||
|
||||
# check for y-range re-size
|
||||
if (
|
||||
(mx > vars['last_mx']) or (mn < vars['last_mn'])
|
||||
(mx > last_mx) or (mn < last_mn)
|
||||
and not chart._static_yrange == 'axis'
|
||||
and liv
|
||||
):
|
||||
main_vb = chart.view
|
||||
if (
|
||||
main_vb._ic is None
|
||||
or not main_vb._ic.is_set()
|
||||
):
|
||||
# print(f'updating range due to mxmn')
|
||||
main_vb._set_yrange(
|
||||
# print(f'new y range: {(mn, mx)}')
|
||||
view._set_yrange(
|
||||
yrange=(mn, mx),
|
||||
# TODO: we should probably scale
|
||||
# the view margin based on the size
|
||||
# of the true range? This way you can
|
||||
# slap in orders outside the current
|
||||
# L1 (only) book range.
|
||||
# range_margin=0.1,
|
||||
yrange=(mn, mx),
|
||||
)
|
||||
|
||||
# XXX: update this every draw cycle to make L1-always-in-view work.
|
||||
vars['last_mx'], vars['last_mn'] = mx, mn
|
||||
last_mx, last_mn = mx, mn
|
||||
|
||||
# run synchronous update on all linked flows
|
||||
# TODO: should the "main" (aka source) flow be special?
|
||||
for curve_name, flow in chart._flows.items():
|
||||
# update any overlayed fsp flows
|
||||
if curve_name != chart.data_key:
|
||||
# run synchronous update on all derived fsp subplots
|
||||
for name, subchart in linked.subplots.items():
|
||||
update_fsp_chart(
|
||||
subchart,
|
||||
subchart._shm,
|
||||
|
||||
# XXX: do we really needs seperate names here?
|
||||
name,
|
||||
array_key=name,
|
||||
)
|
||||
subchart.cv._set_yrange()
|
||||
|
||||
# TODO: all overlays on all subplots..
|
||||
|
||||
# run synchronous update on all derived overlays
|
||||
for curve_name, shm in chart._overlays.items():
|
||||
update_fsp_chart(
|
||||
chart,
|
||||
flow,
|
||||
shm,
|
||||
curve_name,
|
||||
array_key=curve_name,
|
||||
)
|
||||
# chart._set_yrange()
|
||||
|
||||
# even if we're downsampled bigly
|
||||
# draw the last datum in the final
|
||||
# px column to give the user the mx/mn
|
||||
# range of that set.
|
||||
if (
|
||||
not do_append
|
||||
# and not do_rt_update
|
||||
and liv
|
||||
):
|
||||
flow.draw_last(
|
||||
array_key=curve_name,
|
||||
only_last_uppx=True,
|
||||
|
||||
async def check_for_new_bars(
|
||||
feed: Feed,
|
||||
ohlcv: np.ndarray,
|
||||
linkedsplits: LinkedSplits,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Task which updates from new bars in the shared ohlcv buffer every
|
||||
``delay_s`` seconds.
|
||||
|
||||
'''
|
||||
# TODO: right now we'll spin printing bars if the last time
|
||||
# stamp is before a large period of no market activity.
|
||||
# Likely the best way to solve this is to make this task
|
||||
# aware of the instrument's tradable hours?
|
||||
|
||||
price_chart = linkedsplits.chart
|
||||
price_chart.default_view()
|
||||
|
||||
async with feed.index_stream() as stream:
|
||||
async for index in stream:
|
||||
# update chart historical bars graphics by incrementing
|
||||
# a time step and drawing the history and new bar
|
||||
|
||||
# When appending a new bar, in the time between the insert
|
||||
# from the writing process and the Qt render call, here,
|
||||
# the index of the shm buffer may be incremented and the
|
||||
# (render) call here might read the new flat bar appended
|
||||
# to the buffer (since -1 index read). In that case H==L and the
|
||||
# body will be set as None (not drawn) on what this render call
|
||||
# *thinks* is the curent bar (even though it's reading data from
|
||||
# the newly inserted flat bar.
|
||||
#
|
||||
# HACK: We need to therefore write only the history (not the
|
||||
# current bar) and then either write the current bar manually
|
||||
# or place a cursor for visual cue of the current time step.
|
||||
|
||||
array = ohlcv.array
|
||||
# avoid unreadable race case on backfills
|
||||
while not try_read(array):
|
||||
await trio.sleep(0.01)
|
||||
|
||||
# XXX: this puts a flat bar on the current time step
|
||||
# TODO: if we eventually have an x-axis time-step "cursor"
|
||||
# we can get rid of this since it is extra overhead.
|
||||
price_chart.update_ohlc_from_array(
|
||||
price_chart.name,
|
||||
array,
|
||||
just_history=False,
|
||||
)
|
||||
|
||||
# volume chart logic..
|
||||
# TODO: can we unify this with the above loop?
|
||||
if vlm_chart:
|
||||
# always update y-label
|
||||
ds.vlm_sticky.update_from_data(
|
||||
*array[-1][['index', 'volume']]
|
||||
# main chart overlays
|
||||
for name in price_chart._overlays:
|
||||
|
||||
price_chart.update_curve_from_array(
|
||||
name,
|
||||
price_chart._arrays[name]
|
||||
)
|
||||
|
||||
if (
|
||||
(
|
||||
do_rt_update
|
||||
or do_append
|
||||
and liv
|
||||
)
|
||||
or trigger_all
|
||||
):
|
||||
# TODO: make it so this doesn't have to be called
|
||||
# once the $vlm is up?
|
||||
vlm_chart.update_graphics_from_flow(
|
||||
'volume',
|
||||
# UGGGh, see ``maxmin()`` impl in `._fsp` for
|
||||
# the overlayed plotitems... we need a better
|
||||
# bay to invoke a maxmin per overlay..
|
||||
render=False,
|
||||
# XXX: ^^^^ THIS IS SUPER IMPORTANT! ^^^^
|
||||
# without this, since we disable the
|
||||
# 'volume' (units) chart after the $vlm starts
|
||||
# up we need to be sure to enable this
|
||||
# auto-ranging otherwise there will be no handler
|
||||
# connected to update accompanying overlay
|
||||
# graphics..
|
||||
)
|
||||
profiler('`vlm_chart.update_graphics_from_flow()`')
|
||||
# each subplot
|
||||
for name, chart in linkedsplits.subplots.items():
|
||||
|
||||
if (
|
||||
mx_vlm_in_view != vars['last_mx_vlm']
|
||||
):
|
||||
yrange = (0, mx_vlm_in_view * 1.375)
|
||||
vlm_chart.view._set_yrange(
|
||||
yrange=yrange,
|
||||
)
|
||||
profiler('`vlm_chart.view._set_yrange()`')
|
||||
# print(f'mx vlm: {last_mx_vlm} -> {mx_vlm_in_view}')
|
||||
vars['last_mx_vlm'] = mx_vlm_in_view
|
||||
|
||||
for curve_name, flow in vlm_chart._flows.items():
|
||||
|
||||
if (
|
||||
curve_name != 'volume' and
|
||||
flow.render and (
|
||||
liv and
|
||||
do_rt_update or do_append
|
||||
)
|
||||
):
|
||||
update_fsp_chart(
|
||||
vlm_chart,
|
||||
flow,
|
||||
curve_name,
|
||||
array_key=curve_name,
|
||||
# do_append=uppx < update_uppx,
|
||||
do_append=do_append,
|
||||
)
|
||||
# is this even doing anything?
|
||||
# (pretty sure it's the real-time
|
||||
# resizing from last quote?)
|
||||
fvb = flow.plot.vb
|
||||
fvb._set_yrange(
|
||||
name=curve_name,
|
||||
# TODO: do we need the same unreadable guard as for the
|
||||
# price chart (above) here?
|
||||
chart.update_curve_from_array(
|
||||
chart.name,
|
||||
chart._shm.array,
|
||||
array_key=chart.data_key
|
||||
)
|
||||
|
||||
elif (
|
||||
curve_name != 'volume'
|
||||
and not do_append
|
||||
and liv
|
||||
and uppx >= 1
|
||||
# even if we're downsampled bigly
|
||||
# draw the last datum in the final
|
||||
# px column to give the user the mx/mn
|
||||
# range of that set.
|
||||
):
|
||||
# always update the last datum-element
|
||||
# graphic for all flows
|
||||
# print(f'drawing last {flow.name}')
|
||||
flow.draw_last(array_key=curve_name)
|
||||
# shift the view if in follow mode
|
||||
price_chart.increment_view()
|
||||
|
||||
|
||||
async def display_symbol_data(
|
||||
|
|
@ -723,17 +518,17 @@ async def display_symbol_data(
|
|||
)
|
||||
|
||||
# historical data fetch
|
||||
# brokermod = brokers.get_brokermod(provider)
|
||||
brokermod = brokers.get_brokermod(provider)
|
||||
|
||||
# ohlc_status_done = sbar.open_status(
|
||||
# 'retreiving OHLC history.. ',
|
||||
# clear_on_next=True,
|
||||
# group_key=loading_sym_key,
|
||||
# )
|
||||
fqsn = '.'.join((sym, provider))
|
||||
|
||||
async with open_feed(
|
||||
[fqsn],
|
||||
provider,
|
||||
[sym],
|
||||
loglevel=loglevel,
|
||||
|
||||
# limit to at least display's FPS
|
||||
|
|
@ -744,23 +539,15 @@ async def display_symbol_data(
|
|||
ohlcv: ShmArray = feed.shm
|
||||
bars = ohlcv.array
|
||||
symbol = feed.symbols[sym]
|
||||
fqsn = symbol.front_fqsn()
|
||||
|
||||
times = bars['time']
|
||||
end = pendulum.from_timestamp(times[-1])
|
||||
start = pendulum.from_timestamp(times[times != times[-1]][-1])
|
||||
step_size_s = (end - start).seconds
|
||||
tf_key = tf_in_1s[step_size_s]
|
||||
|
||||
# load in symbol's ohlc data
|
||||
godwidget.window.setWindowTitle(
|
||||
f'{fqsn} '
|
||||
f'tick:{symbol.tick_size} '
|
||||
f'step:{tf_key} '
|
||||
f'{symbol.key}@{symbol.brokers} '
|
||||
f'tick:{symbol.tick_size}'
|
||||
)
|
||||
|
||||
linked = godwidget.linkedsplits
|
||||
linked._symbol = symbol
|
||||
linkedsplits = godwidget.linkedsplits
|
||||
linkedsplits._symbol = symbol
|
||||
|
||||
# generate order mode side-pane UI
|
||||
# A ``FieldsForm`` form to configure order entry
|
||||
|
|
@ -770,38 +557,38 @@ async def display_symbol_data(
|
|||
godwidget.pp_pane = pp_pane
|
||||
|
||||
# create main OHLC chart
|
||||
chart = linked.plot_ohlc_main(
|
||||
chart = linkedsplits.plot_ohlc_main(
|
||||
symbol,
|
||||
ohlcv,
|
||||
bars,
|
||||
sidepane=pp_pane,
|
||||
)
|
||||
chart.default_view()
|
||||
chart._feeds[symbol.key] = feed
|
||||
chart.setFocus()
|
||||
|
||||
# plot historical vwap if available
|
||||
wap_in_history = False
|
||||
|
||||
# XXX: FOR SOME REASON THIS IS CAUSING HANGZ!?!
|
||||
# if brokermod._show_wap_in_history:
|
||||
if brokermod._show_wap_in_history:
|
||||
|
||||
# if 'bar_wap' in bars.dtype.fields:
|
||||
# wap_in_history = True
|
||||
# chart.draw_curve(
|
||||
# name='bar_wap',
|
||||
# shm=ohlcv,
|
||||
# color='default_light',
|
||||
# add_label=False,
|
||||
# )
|
||||
if 'bar_wap' in bars.dtype.fields:
|
||||
wap_in_history = True
|
||||
chart.draw_curve(
|
||||
name='bar_wap',
|
||||
data=bars,
|
||||
add_label=False,
|
||||
)
|
||||
|
||||
# size view to data once at outset
|
||||
chart.cv._set_yrange()
|
||||
|
||||
# TODO: a data view api that makes this less shit
|
||||
chart._shm = ohlcv
|
||||
|
||||
# NOTE: we must immediately tell Qt to show the OHLC chart
|
||||
# to avoid a race where the subplots get added/shown to
|
||||
# the linked set *before* the main price chart!
|
||||
linked.show()
|
||||
linked.focus()
|
||||
linkedsplits.show()
|
||||
linkedsplits.focus()
|
||||
await trio.sleep(0)
|
||||
|
||||
vlm_chart: Optional[ChartPlotWidget] = None
|
||||
|
|
@ -811,7 +598,7 @@ async def display_symbol_data(
|
|||
if has_vlm(ohlcv):
|
||||
vlm_chart = await ln.start(
|
||||
open_vlm_displays,
|
||||
linked,
|
||||
linkedsplits,
|
||||
ohlcv,
|
||||
)
|
||||
|
||||
|
|
@ -819,7 +606,7 @@ async def display_symbol_data(
|
|||
# from an input config.
|
||||
ln.start_soon(
|
||||
start_fsp_displays,
|
||||
linked,
|
||||
linkedsplits,
|
||||
ohlcv,
|
||||
loading_sym_key,
|
||||
loglevel,
|
||||
|
|
@ -827,37 +614,45 @@ async def display_symbol_data(
|
|||
|
||||
# start graphics update loop after receiving first live quote
|
||||
ln.start_soon(
|
||||
graphics_update_loop,
|
||||
linked,
|
||||
update_linked_charts_graphics,
|
||||
linkedsplits,
|
||||
feed.stream,
|
||||
ohlcv,
|
||||
wap_in_history,
|
||||
vlm_chart,
|
||||
)
|
||||
|
||||
# start sample step incrementer
|
||||
ln.start_soon(
|
||||
check_for_new_bars,
|
||||
feed,
|
||||
ohlcv,
|
||||
linkedsplits
|
||||
)
|
||||
|
||||
async with (
|
||||
open_order_mode(
|
||||
feed,
|
||||
chart,
|
||||
fqsn,
|
||||
symbol,
|
||||
provider,
|
||||
order_mode_started
|
||||
)
|
||||
):
|
||||
# let Qt run to render all widgets and make sure the
|
||||
# sidepanes line up vertically.
|
||||
await trio.sleep(0)
|
||||
linked.resize_sidepanes()
|
||||
linkedsplits.resize_sidepanes()
|
||||
|
||||
# NOTE: we pop the volume chart from the subplots set so
|
||||
# that it isn't double rendered in the display loop
|
||||
# above since we do a maxmin calc on the volume data to
|
||||
# determine if auto-range adjustements should be made.
|
||||
# linked.subplots.pop('volume', None)
|
||||
linkedsplits.subplots.pop('volume', None)
|
||||
|
||||
# TODO: make this not so shit XD
|
||||
# close group status
|
||||
sbar._status_groups[loading_sym_key][1]()
|
||||
|
||||
# let the app run.. bby
|
||||
# linked.graphics_cycle()
|
||||
await trio.sleep_forever()
|
||||
|
|
|
|||
|
|
@ -343,7 +343,7 @@ class SelectRect(QtGui.QGraphicsRectItem):
|
|||
nbars = ixmx - ixmn + 1
|
||||
|
||||
chart = self._chart
|
||||
data = chart._flows[chart.name].shm.array[ixmn:ixmx]
|
||||
data = chart._arrays[chart.name][ixmn:ixmx]
|
||||
|
||||
if len(data):
|
||||
std = data['close'].std()
|
||||
|
|
|
|||
|
|
@ -49,6 +49,10 @@ from . import _style
|
|||
log = get_logger(__name__)
|
||||
|
||||
# pyqtgraph global config
|
||||
# might as well enable this for now?
|
||||
pg.useOpenGL = True
|
||||
pg.enableExperimental = True
|
||||
|
||||
# engage core tweaks that give us better response
|
||||
# latency then the average pg user
|
||||
_do_overrides()
|
||||
|
|
@ -57,9 +61,7 @@ _do_overrides()
|
|||
# XXX: pretty sure none of this shit works on linux as per:
|
||||
# https://bugreports.qt.io/browse/QTBUG-53022
|
||||
# it seems to work on windows.. no idea wtf is up.
|
||||
is_windows = False
|
||||
if platform.system() == "Windows":
|
||||
is_windows = True
|
||||
|
||||
# Proper high DPI scaling is available in Qt >= 5.6.0. This attibute
|
||||
# must be set before creating the application
|
||||
|
|
@ -180,8 +182,6 @@ def run_qtractor(
|
|||
|
||||
window.main_widget = main_widget
|
||||
window.setCentralWidget(instance)
|
||||
if is_windows:
|
||||
window.configure_to_desktop()
|
||||
|
||||
# actually render to screen
|
||||
window.show()
|
||||
|
|
|
|||
|
|
@ -1,83 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for 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/>.
|
||||
|
||||
"""
|
||||
Feed status and controls widget(s) for embedding in a UI-pane.
|
||||
|
||||
"""
|
||||
|
||||
from __future__ import annotations
|
||||
from textwrap import dedent
|
||||
from typing import TYPE_CHECKING
|
||||
|
||||
# from PyQt5.QtCore import Qt
|
||||
|
||||
from ._style import _font, _font_small
|
||||
# from ..calc import humanize
|
||||
from ._label import FormatLabel
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._chart import ChartPlotWidget
|
||||
from ..data.feed import Feed
|
||||
from ._forms import FieldsForm
|
||||
|
||||
|
||||
def mk_feed_label(
|
||||
form: FieldsForm,
|
||||
feed: Feed,
|
||||
chart: ChartPlotWidget,
|
||||
|
||||
) -> FormatLabel:
|
||||
'''
|
||||
Generate a label from feed meta-data to be displayed
|
||||
in a UI sidepane.
|
||||
|
||||
TODO: eventually buttons for changing settings over
|
||||
a feed control protocol.
|
||||
|
||||
'''
|
||||
status = feed.status
|
||||
assert status
|
||||
|
||||
msg = dedent("""
|
||||
actor: **{actor_name}**\n
|
||||
|_ @**{host}:{port}**\n
|
||||
""")
|
||||
|
||||
for key, val in status.items():
|
||||
if key in ('host', 'port', 'actor_name'):
|
||||
continue
|
||||
msg += f'\n|_ {key}: **{{{key}}}**\n'
|
||||
|
||||
feed_label = FormatLabel(
|
||||
fmt_str=msg,
|
||||
# |_ streams: **{symbols}**\n
|
||||
font=_font.font,
|
||||
font_size=_font_small.px_size,
|
||||
font_color='default_lightest',
|
||||
)
|
||||
|
||||
# form.vbox.setAlignment(feed_label, Qt.AlignBottom)
|
||||
# form.vbox.setAlignment(Qt.AlignBottom)
|
||||
_ = chart.height() - (
|
||||
form.height() +
|
||||
form.fill_bar.height()
|
||||
# feed_label.height()
|
||||
)
|
||||
|
||||
feed_label.format(**feed.status)
|
||||
|
||||
return feed_label
|
||||
1247
piker/ui/_flows.py
1247
piker/ui/_flows.py
File diff suppressed because it is too large
Load Diff
|
|
@ -21,7 +21,6 @@ Text entry "forms" widgets (mostly for configuration and UI user input).
|
|||
from __future__ import annotations
|
||||
from contextlib import asynccontextmanager
|
||||
from functools import partial
|
||||
from math import floor
|
||||
from typing import (
|
||||
Optional, Any, Callable, Awaitable
|
||||
)
|
||||
|
|
@ -106,7 +105,7 @@ class Edit(QLineEdit):
|
|||
# TODO: somehow this math ain't right?
|
||||
chars_w_pxs = dpi_font.boundingRect('0'*self._chars).width()
|
||||
scale = round(dpi_font.scale())
|
||||
psh.setWidth(int(chars_w_pxs * scale))
|
||||
psh.setWidth(chars_w_pxs * scale)
|
||||
return psh
|
||||
|
||||
def set_width_in_chars(
|
||||
|
|
@ -219,7 +218,7 @@ class Selection(QComboBox):
|
|||
|
||||
) -> None:
|
||||
br = _font.boundingRect(str(char))
|
||||
_, h = br.width(), int(br.height())
|
||||
_, h = br.width(), br.height()
|
||||
|
||||
# TODO: something better then this monkey patch
|
||||
view = self.view()
|
||||
|
|
@ -331,7 +330,7 @@ class FieldsForm(QWidget):
|
|||
self.form.setSpacing(0)
|
||||
self.form.setHorizontalSpacing(0)
|
||||
|
||||
self.vbox.addLayout(self.form, stretch=3)
|
||||
self.vbox.addLayout(self.form, stretch=1/3)
|
||||
|
||||
self.labels: dict[str, QLabel] = {}
|
||||
self.fields: dict[str, QWidget] = {}
|
||||
|
|
@ -543,7 +542,7 @@ class FillStatusBar(QProgressBar):
|
|||
|
||||
'''
|
||||
border_px: int = 2
|
||||
slot_margin_px: int = 1
|
||||
slot_margin_px: int = 2
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
|
|
@ -554,16 +553,12 @@ class FillStatusBar(QProgressBar):
|
|||
|
||||
) -> None:
|
||||
super().__init__(parent=parent)
|
||||
|
||||
self.approx_h = int(round(approx_height_px))
|
||||
self.setMinimumHeight(self.approx_h)
|
||||
self.setMaximumHeight(self.approx_h)
|
||||
|
||||
self.approx_h = approx_height_px
|
||||
self.font_size = font_size
|
||||
|
||||
self.setFormat('') # label format
|
||||
self.setMinimumWidth(int(width_px))
|
||||
self.setMaximumWidth(int(width_px))
|
||||
self.setMinimumWidth(width_px)
|
||||
self.setMaximumWidth(width_px)
|
||||
|
||||
def set_slots(
|
||||
self,
|
||||
|
|
@ -572,12 +567,17 @@ class FillStatusBar(QProgressBar):
|
|||
|
||||
) -> None:
|
||||
|
||||
self.setOrientation(Qt.Vertical)
|
||||
h = self.height()
|
||||
|
||||
approx_h = self.approx_h
|
||||
# TODO: compute "used height" thus far and mostly fill the rest
|
||||
tot_slot_h, r = divmod(h, slots)
|
||||
tot_slot_h, r = divmod(
|
||||
approx_h,
|
||||
slots,
|
||||
)
|
||||
clipped = slots * tot_slot_h + 2*self.border_px
|
||||
self.setMaximumHeight(clipped)
|
||||
slot_height_px = tot_slot_h - 2*self.slot_margin_px
|
||||
|
||||
self.setOrientation(Qt.Vertical)
|
||||
self.setStyleSheet(
|
||||
f"""
|
||||
QProgressBar {{
|
||||
|
|
@ -592,28 +592,21 @@ class FillStatusBar(QProgressBar):
|
|||
border: {self.border_px}px solid {hcolor('default_light')};
|
||||
border-radius: 2px;
|
||||
}}
|
||||
|
||||
QProgressBar::chunk {{
|
||||
|
||||
background-color: {hcolor('default_spotlight')};
|
||||
color: {hcolor('bracket')};
|
||||
|
||||
border-radius: 2px;
|
||||
|
||||
margin: {self.slot_margin_px}px;
|
||||
height: {slot_height_px}px;
|
||||
|
||||
}}
|
||||
"""
|
||||
)
|
||||
|
||||
# to set a discrete "block" per slot...
|
||||
# XXX: couldn't get the discrete math to work here such
|
||||
# that it was always correctly showing a discretized value
|
||||
# up to the limit; not sure if it's the ``.setRange()``
|
||||
# / ``.setValue()`` api or not but i was able to get something
|
||||
# close screwing with the divmod above above but after so large
|
||||
# a value it would always be less chunks then the correct
|
||||
# value..
|
||||
# margin: {self.slot_margin_px}px;
|
||||
# height: {slot_height_px}px;
|
||||
|
||||
|
||||
# margin-bottom: {slot_margin_px*2}px;
|
||||
# margin-top: {slot_margin_px*2}px;
|
||||
# color: #19232D;
|
||||
|
|
@ -664,14 +657,14 @@ def mk_fill_status_bar(
|
|||
)
|
||||
# size according to dpi scaled fonted contents to avoid
|
||||
# resizes on magnitude changes (eg. 9 -> 10 %)
|
||||
min_w = int(_font.boundingRect('1000.0M% pnl').width())
|
||||
min_w = _font.boundingRect('1000.0M% pnl').width()
|
||||
left_label.setMinimumWidth(min_w)
|
||||
left_label.resize(
|
||||
min_w,
|
||||
left_label.size().height(),
|
||||
)
|
||||
|
||||
bar_labels_lhs.addSpacing(int(5/8 * bar_h))
|
||||
bar_labels_lhs.addSpacing(5/8 * bar_h)
|
||||
|
||||
bar_labels_lhs.addWidget(
|
||||
left_label,
|
||||
|
|
@ -750,12 +743,12 @@ def mk_order_pane_layout(
|
|||
parent=parent,
|
||||
fields_schema={
|
||||
'account': {
|
||||
'label': '**accnt**:',
|
||||
'label': '**account**:',
|
||||
'type': 'select',
|
||||
'default_value': ['paper'],
|
||||
},
|
||||
'size_unit': {
|
||||
'label': '**alloc**:',
|
||||
'label': '**allocate**:',
|
||||
'type': 'select',
|
||||
'default_value': [
|
||||
'$ size',
|
||||
|
|
@ -803,7 +796,7 @@ def mk_order_pane_layout(
|
|||
form.top_label = top_label
|
||||
|
||||
# add pp fill bar + spacing
|
||||
vbox.addLayout(hbox, stretch=3)
|
||||
vbox.addLayout(hbox, stretch=1/3)
|
||||
|
||||
# TODO: handle resize events and appropriately scale this
|
||||
# to the sidepane height?
|
||||
|
|
|
|||
326
piker/ui/_fsp.py
326
piker/ui/_fsp.py
|
|
@ -22,7 +22,6 @@ Financial signal processing cluster and real-time graphics management.
|
|||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from functools import partial
|
||||
import inspect
|
||||
from itertools import cycle
|
||||
from typing import Optional, AsyncGenerator, Any
|
||||
|
||||
|
|
@ -38,7 +37,6 @@ from .._cacheables import maybe_open_context
|
|||
from ..calc import humanize
|
||||
from ..data._sharedmem import (
|
||||
ShmArray,
|
||||
_Token,
|
||||
try_read,
|
||||
)
|
||||
from ._chart import (
|
||||
|
|
@ -52,11 +50,7 @@ from ._forms import (
|
|||
)
|
||||
from ..fsp._api import maybe_mk_fsp_shm, Fsp
|
||||
from ..fsp import cascade
|
||||
from ..fsp._volume import (
|
||||
tina_vwap,
|
||||
dolla_vlm,
|
||||
flow_rates,
|
||||
)
|
||||
from ..fsp._volume import tina_vwap, dolla_vlm
|
||||
from ..log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -72,17 +66,12 @@ def has_vlm(ohlcv: ShmArray) -> bool:
|
|||
|
||||
def update_fsp_chart(
|
||||
chart: ChartPlotWidget,
|
||||
flow,
|
||||
shm: ShmArray,
|
||||
graphics_name: str,
|
||||
array_key: Optional[str],
|
||||
**kwargs,
|
||||
|
||||
) -> None:
|
||||
|
||||
shm = flow.shm
|
||||
if not shm:
|
||||
return
|
||||
|
||||
array = shm.array
|
||||
last_row = try_read(array)
|
||||
|
||||
|
|
@ -94,10 +83,10 @@ def update_fsp_chart(
|
|||
# update graphics
|
||||
# NOTE: this does a length check internally which allows it
|
||||
# staying above the last row check below..
|
||||
chart.update_graphics_from_flow(
|
||||
chart.update_curve_from_array(
|
||||
graphics_name,
|
||||
array,
|
||||
array_key=array_key or graphics_name,
|
||||
**kwargs,
|
||||
)
|
||||
|
||||
# XXX: re: ``array_key``: fsp func names must be unique meaning we
|
||||
|
|
@ -107,6 +96,9 @@ def update_fsp_chart(
|
|||
# read from last calculated value and update any label
|
||||
last_val_sticky = chart._ysticks.get(graphics_name)
|
||||
if last_val_sticky:
|
||||
# array = shm.array[array_key]
|
||||
# if len(array):
|
||||
# value = array[-1]
|
||||
last = last_row[array_key]
|
||||
last_val_sticky.update_from_data(-1, last)
|
||||
|
||||
|
|
@ -161,11 +153,7 @@ async def open_fsp_sidepane(
|
|||
sidepane.model = FspConfig()
|
||||
|
||||
# just a logger for now until we get fsp configs up and running.
|
||||
async def settings_change(
|
||||
key: str,
|
||||
value: str
|
||||
|
||||
) -> bool:
|
||||
async def settings_change(key: str, value: str) -> bool:
|
||||
print(f'{key}: {value}')
|
||||
return True
|
||||
|
||||
|
|
@ -244,18 +232,21 @@ async def run_fsp_ui(
|
|||
|
||||
chart.draw_curve(
|
||||
name=name,
|
||||
shm=shm,
|
||||
data=shm.array,
|
||||
overlay=True,
|
||||
color='default_light',
|
||||
array_key=name,
|
||||
separate_axes=conf.get('separate_axes', False),
|
||||
**conf.get('chart_kwargs', {})
|
||||
)
|
||||
# specially store ref to shm for lookup in display loop
|
||||
chart._overlays[name] = shm
|
||||
|
||||
else:
|
||||
# create a new sub-chart widget for this fsp
|
||||
chart = linkedsplits.add_plot(
|
||||
name=name,
|
||||
shm=shm,
|
||||
array=shm.array,
|
||||
|
||||
array_key=name,
|
||||
sidepane=sidepane,
|
||||
|
|
@ -267,6 +258,11 @@ async def run_fsp_ui(
|
|||
**conf.get('chart_kwargs', {})
|
||||
)
|
||||
|
||||
# XXX: ONLY for sub-chart fsps, overlays have their
|
||||
# data looked up from the chart's internal array set.
|
||||
# TODO: we must get a data view api going STAT!!
|
||||
chart._shm = shm
|
||||
|
||||
# should **not** be the same sub-chart widget
|
||||
assert chart.name != linkedsplits.chart.name
|
||||
|
||||
|
|
@ -277,7 +273,7 @@ async def run_fsp_ui(
|
|||
# first UI update, usually from shm pushed history
|
||||
update_fsp_chart(
|
||||
chart,
|
||||
chart._flows[array_key],
|
||||
shm,
|
||||
name,
|
||||
array_key=array_key,
|
||||
)
|
||||
|
|
@ -367,7 +363,6 @@ class FspAdmin:
|
|||
tuple,
|
||||
tuple[tractor.MsgStream, ShmArray]
|
||||
] = {}
|
||||
self._flow_registry: dict[_Token, str] = {}
|
||||
self.src_shm = src_shm
|
||||
|
||||
def rr_next_portal(self) -> tractor.Portal:
|
||||
|
|
@ -380,7 +375,6 @@ class FspAdmin:
|
|||
portal: tractor.Portal,
|
||||
complete: trio.Event,
|
||||
started: trio.Event,
|
||||
fqsn: str,
|
||||
dst_shm: ShmArray,
|
||||
conf: dict,
|
||||
target: Fsp,
|
||||
|
|
@ -392,6 +386,7 @@ class FspAdmin:
|
|||
cluster and sleeps until signalled to exit.
|
||||
|
||||
'''
|
||||
brokername, sym = self.linked.symbol.front_feed()
|
||||
ns_path = str(target.ns_path)
|
||||
async with (
|
||||
portal.open_context(
|
||||
|
|
@ -400,7 +395,8 @@ class FspAdmin:
|
|||
cascade,
|
||||
|
||||
# data feed key
|
||||
fqsn=fqsn,
|
||||
brokername=brokername,
|
||||
symbol=sym,
|
||||
|
||||
# mems
|
||||
src_shm_token=self.src_shm.token,
|
||||
|
|
@ -411,19 +407,13 @@ class FspAdmin:
|
|||
|
||||
loglevel=loglevel,
|
||||
zero_on_step=conf.get('zero_on_step', False),
|
||||
shm_registry=[
|
||||
(token.as_msg(), fsp_name, dst_token.as_msg())
|
||||
for (token, fsp_name), dst_token
|
||||
in self._flow_registry.items()
|
||||
],
|
||||
|
||||
) as (ctx, last_index),
|
||||
ctx.open_stream() as stream,
|
||||
):
|
||||
|
||||
# register output data
|
||||
self._registry[
|
||||
(fqsn, ns_path)
|
||||
(brokername, sym, ns_path)
|
||||
] = (
|
||||
stream,
|
||||
dst_shm,
|
||||
|
|
@ -433,21 +423,6 @@ class FspAdmin:
|
|||
started.set()
|
||||
|
||||
# wait for graceful shutdown signal
|
||||
async with stream.subscribe() as stream:
|
||||
async for msg in stream:
|
||||
info = msg.get('fsp_update')
|
||||
if info:
|
||||
# if the chart isn't hidden try to update
|
||||
# the data on screen.
|
||||
if not self.linked.isHidden():
|
||||
log.debug(f'Re-syncing graphics for fsp: {ns_path}')
|
||||
self.linked.graphics_cycle(
|
||||
trigger_all=True,
|
||||
prepend_update_index=info['first'],
|
||||
)
|
||||
else:
|
||||
log.info(f'recved unexpected fsp engine msg: {msg}')
|
||||
|
||||
await complete.wait()
|
||||
|
||||
async def start_engine_task(
|
||||
|
|
@ -461,18 +436,14 @@ class FspAdmin:
|
|||
|
||||
) -> (ShmArray, trio.Event):
|
||||
|
||||
fqsn = self.linked.symbol.front_fqsn()
|
||||
fqsn = self.linked.symbol.front_feed()
|
||||
|
||||
# allocate an output shm array
|
||||
key, dst_shm, opened = maybe_mk_fsp_shm(
|
||||
dst_shm, opened = maybe_mk_fsp_shm(
|
||||
fqsn,
|
||||
target=target,
|
||||
readonly=True,
|
||||
)
|
||||
self._flow_registry[
|
||||
(self.src_shm._token, target.name)
|
||||
] = dst_shm._token
|
||||
|
||||
# if not opened:
|
||||
# raise RuntimeError(
|
||||
# f'Already started FSP `{fqsn}:{func_name}`'
|
||||
|
|
@ -486,7 +457,6 @@ class FspAdmin:
|
|||
portal,
|
||||
complete,
|
||||
started,
|
||||
fqsn,
|
||||
dst_shm,
|
||||
conf,
|
||||
target,
|
||||
|
|
@ -585,22 +555,15 @@ async def open_vlm_displays(
|
|||
be spawned here.
|
||||
|
||||
'''
|
||||
sig = inspect.signature(flow_rates.func)
|
||||
params = sig.parameters
|
||||
|
||||
async with (
|
||||
open_fsp_sidepane(
|
||||
linked, {
|
||||
'flows': {
|
||||
|
||||
# TODO: add support for dynamically changing these
|
||||
'vlm': {
|
||||
'params': {
|
||||
u'\u03BC' + '_type': {
|
||||
'default_value': str(params['mean_type'].default),
|
||||
},
|
||||
'period': {
|
||||
'default_value': str(params['period'].default),
|
||||
# make widget un-editable for now.
|
||||
'price_func': {
|
||||
'default_value': 'chl3',
|
||||
# tell target ``Edit`` widget to not allow
|
||||
# edits for now.
|
||||
'widget_kwargs': {'readonly': True},
|
||||
},
|
||||
},
|
||||
|
|
@ -609,18 +572,12 @@ async def open_vlm_displays(
|
|||
) as sidepane,
|
||||
open_fsp_admin(linked, ohlcv) as admin,
|
||||
):
|
||||
# TODO: support updates
|
||||
# period_field = sidepane.fields['period']
|
||||
# period_field.setText(
|
||||
# str(period_param.default)
|
||||
# )
|
||||
|
||||
# built-in vlm which we plot ASAP since it's
|
||||
# usually data provided directly with OHLC history.
|
||||
shm = ohlcv
|
||||
chart = linked.add_plot(
|
||||
name='volume',
|
||||
shm=shm,
|
||||
array=shm.array,
|
||||
|
||||
array_key='volume',
|
||||
sidepane=sidepane,
|
||||
|
|
@ -635,23 +592,22 @@ async def open_vlm_displays(
|
|||
)
|
||||
|
||||
# force 0 to always be in view
|
||||
def multi_maxmin(
|
||||
def maxmin(
|
||||
names: list[str],
|
||||
|
||||
) -> tuple[float, float]:
|
||||
|
||||
mx = 0
|
||||
for name in names:
|
||||
|
||||
mxmn = chart.maxmin(name=name)
|
||||
if mxmn:
|
||||
ymax = mxmn[1]
|
||||
if ymax > mx:
|
||||
mx = ymax
|
||||
mx = max(mxmn[1], mx)
|
||||
|
||||
# if mx:
|
||||
# return 0, mxmn[1]
|
||||
|
||||
return 0, mx
|
||||
|
||||
chart.view.maxmin = partial(multi_maxmin, names=['volume'])
|
||||
chart.view._maxmin = partial(maxmin, names=['volume'])
|
||||
|
||||
# TODO: fix the x-axis label issue where if you put
|
||||
# the axis on the left it's totally not lined up...
|
||||
|
|
@ -659,6 +615,11 @@ async def open_vlm_displays(
|
|||
# chart.hideAxis('right')
|
||||
# chart.showAxis('left')
|
||||
|
||||
# XXX: ONLY for sub-chart fsps, overlays have their
|
||||
# data looked up from the chart's internal array set.
|
||||
# TODO: we must get a data view api going STAT!!
|
||||
chart._shm = shm
|
||||
|
||||
# send back new chart to caller
|
||||
task_status.started(chart)
|
||||
|
||||
|
|
@ -673,9 +634,9 @@ async def open_vlm_displays(
|
|||
|
||||
last_val_sticky.update_from_data(-1, value)
|
||||
|
||||
vlm_curve = chart.update_graphics_from_flow(
|
||||
vlm_curve = chart.update_curve_from_array(
|
||||
'volume',
|
||||
# shm.array,
|
||||
shm.array,
|
||||
)
|
||||
|
||||
# size view to data once at outset
|
||||
|
|
@ -687,9 +648,8 @@ async def open_vlm_displays(
|
|||
|
||||
if dvlm:
|
||||
|
||||
tasks_ready = []
|
||||
# spawn and overlay $ vlm on the same subchart
|
||||
dvlm_shm, started = await admin.start_engine_task(
|
||||
shm, started = await admin.start_engine_task(
|
||||
dolla_vlm,
|
||||
|
||||
{ # fsp engine conf
|
||||
|
|
@ -703,26 +663,11 @@ async def open_vlm_displays(
|
|||
},
|
||||
# loglevel,
|
||||
)
|
||||
tasks_ready.append(started)
|
||||
|
||||
# FIXME: we should error on starting the same fsp right
|
||||
# since it might collide with existing shm.. or wait we
|
||||
# had this before??
|
||||
# dolla_vlm,
|
||||
|
||||
tasks_ready.append(started)
|
||||
# profiler(f'created shm for fsp actor: {display_name}')
|
||||
|
||||
# wait for all engine tasks to startup
|
||||
async with trio.open_nursery() as n:
|
||||
for event in tasks_ready:
|
||||
n.start_soon(event.wait)
|
||||
await started.wait()
|
||||
|
||||
# dolla vlm overlay
|
||||
# XXX: the main chart already contains a vlm "units" axis
|
||||
# so here we add an overlay wth a y-range in
|
||||
# $ liquidity-value units (normally a fiat like USD).
|
||||
dvlm_pi = chart.overlay_plotitem(
|
||||
pi = chart.overlay_plotitem(
|
||||
'dolla_vlm',
|
||||
index=0, # place axis on inside (nearest to chart)
|
||||
axis_title=' $vlm',
|
||||
|
|
@ -734,155 +679,68 @@ async def open_vlm_displays(
|
|||
digits=2,
|
||||
),
|
||||
},
|
||||
)
|
||||
|
||||
# all to be overlayed curve names
|
||||
fields = [
|
||||
'dolla_vlm',
|
||||
'dark_vlm',
|
||||
]
|
||||
# dvlm_rate_fields = [
|
||||
# 'dvlm_rate',
|
||||
# 'dark_dvlm_rate',
|
||||
# ]
|
||||
trade_rate_fields = [
|
||||
'trade_rate',
|
||||
'dark_trade_rate',
|
||||
]
|
||||
|
||||
group_mxmn = partial(
|
||||
multi_maxmin,
|
||||
# keep both regular and dark vlm in view
|
||||
names=fields,
|
||||
# names=fields + dvlm_rate_fields,
|
||||
)
|
||||
|
||||
# add custom auto range handler
|
||||
dvlm_pi.vb._maxmin = group_mxmn
|
||||
|
||||
# use slightly less light (then bracket) gray
|
||||
# for volume from "main exchange" and a more "bluey"
|
||||
# gray for "dark" vlm.
|
||||
vlm_color = 'i3'
|
||||
dark_vlm_color = 'charcoal'
|
||||
|
||||
# add dvlm (step) curves to common view
|
||||
def chart_curves(
|
||||
names: list[str],
|
||||
pi: pg.PlotItem,
|
||||
shm: ShmArray,
|
||||
step_mode: bool = False,
|
||||
style: str = 'solid',
|
||||
|
||||
) -> None:
|
||||
for name in names:
|
||||
if 'dark' in name:
|
||||
color = dark_vlm_color
|
||||
elif 'rate' in name:
|
||||
color = vlm_color
|
||||
else:
|
||||
color = 'bracket'
|
||||
pi.vb._maxmin = partial(
|
||||
maxmin,
|
||||
# keep both regular and dark vlm in view
|
||||
names=['dolla_vlm', 'dark_vlm'],
|
||||
)
|
||||
|
||||
curve, _ = chart.draw_curve(
|
||||
name=name,
|
||||
shm=shm,
|
||||
array_key=name,
|
||||
name='dolla_vlm',
|
||||
data=shm.array,
|
||||
array_key='dolla_vlm',
|
||||
overlay=pi,
|
||||
color=color,
|
||||
step_mode=step_mode,
|
||||
style=style,
|
||||
pi=pi,
|
||||
)
|
||||
|
||||
# TODO: we need a better API to do this..
|
||||
# specially store ref to shm for lookup in display loop
|
||||
# since only a placeholder of `None` is entered in
|
||||
# ``.draw_curve()``.
|
||||
flow = chart._flows[name]
|
||||
assert flow.plot is pi
|
||||
|
||||
chart_curves(
|
||||
fields,
|
||||
dvlm_pi,
|
||||
dvlm_shm,
|
||||
step_mode=True,
|
||||
# **conf.get('chart_kwargs', {})
|
||||
)
|
||||
|
||||
# spawn flow rates fsp **ONLY AFTER** the 'dolla_vlm' fsp is
|
||||
# up since this one depends on it.
|
||||
|
||||
fr_shm, started = await admin.start_engine_task(
|
||||
flow_rates,
|
||||
{ # fsp engine conf
|
||||
'func_name': 'flow_rates',
|
||||
'zero_on_step': False,
|
||||
},
|
||||
# loglevel,
|
||||
)
|
||||
await started.wait()
|
||||
|
||||
# chart_curves(
|
||||
# dvlm_rate_fields,
|
||||
# dvlm_pi,
|
||||
# fr_shm,
|
||||
# )
|
||||
|
||||
# TODO: is there a way to "sync" the dual axes such that only
|
||||
# one curve is needed?
|
||||
# hide the original vlm curve since the $vlm one is now
|
||||
# displayed and the curves are effectively the same minus
|
||||
# liquidity events (well at least on low OHLC periods - 1s).
|
||||
vlm_curve.hide()
|
||||
chart.removeItem(vlm_curve)
|
||||
vflow = chart._flows['volume']
|
||||
vflow.render = False
|
||||
|
||||
# avoid range sorting on volume once disabled
|
||||
chart.view.disable_auto_yrange()
|
||||
# TODO: we need a better API to do this..
|
||||
# specially store ref to shm for lookup in display loop
|
||||
# since only a placeholder of `None` is entered in
|
||||
# ``.draw_curve()``.
|
||||
chart._overlays['dolla_vlm'] = shm
|
||||
|
||||
# Trade rate overlay
|
||||
# XXX: requires an additional overlay for
|
||||
# a trades-per-period (time) y-range.
|
||||
tr_pi = chart.overlay_plotitem(
|
||||
'trade_rates',
|
||||
|
||||
# TODO: dynamically update period (and thus this axis?)
|
||||
# title from user input.
|
||||
axis_title='clears',
|
||||
|
||||
axis_side='left',
|
||||
axis_kwargs={
|
||||
'typical_max_str': ' 10.0 M ',
|
||||
'formatter': partial(
|
||||
humanize,
|
||||
digits=2,
|
||||
),
|
||||
'text_color': vlm_color,
|
||||
},
|
||||
curve, _ = chart.draw_curve(
|
||||
|
||||
name='dark_vlm',
|
||||
data=shm.array,
|
||||
array_key='dark_vlm',
|
||||
overlay=pi,
|
||||
color='charcoal', # darker theme hue
|
||||
step_mode=True,
|
||||
# **conf.get('chart_kwargs', {})
|
||||
)
|
||||
# add custom auto range handler
|
||||
tr_pi.vb.maxmin = partial(
|
||||
multi_maxmin,
|
||||
# keep both regular and dark vlm in view
|
||||
names=trade_rate_fields,
|
||||
)
|
||||
chart._overlays['dark_vlm'] = shm
|
||||
# XXX: old dict-style config before it was moved into the
|
||||
# helper task
|
||||
# 'dolla_vlm': {
|
||||
# 'func_name': 'dolla_vlm',
|
||||
# 'zero_on_step': True,
|
||||
# 'overlay': 'volume',
|
||||
# 'separate_axes': True,
|
||||
# 'params': {
|
||||
# 'price_func': {
|
||||
# 'default_value': 'chl3',
|
||||
# # tell target ``Edit`` widget to not allow
|
||||
# # edits for now.
|
||||
# 'widget_kwargs': {'readonly': True},
|
||||
# },
|
||||
# },
|
||||
# 'chart_kwargs': {'step_mode': True}
|
||||
# },
|
||||
|
||||
chart_curves(
|
||||
trade_rate_fields,
|
||||
tr_pi,
|
||||
fr_shm,
|
||||
# step_mode=True,
|
||||
# }
|
||||
|
||||
# dashed line to represent "individual trades" being
|
||||
# more "granular" B)
|
||||
style='dash',
|
||||
)
|
||||
|
||||
for pi in (
|
||||
dvlm_pi,
|
||||
tr_pi,
|
||||
):
|
||||
for name, axis_info in pi.axes.items():
|
||||
# lol this sux XD
|
||||
axis = axis_info['item']
|
||||
|
|
@ -891,10 +749,10 @@ async def open_vlm_displays(
|
|||
|
||||
# built-in vlm fsps
|
||||
for target, conf in {
|
||||
# tina_vwap: {
|
||||
# 'overlay': 'ohlc', # overlays with OHLCV (main) chart
|
||||
# 'anchor': 'session',
|
||||
# },
|
||||
tina_vwap: {
|
||||
'overlay': 'ohlc', # overlays with OHLCV (main) chart
|
||||
'anchor': 'session',
|
||||
},
|
||||
}.items():
|
||||
started = await admin.open_fsp_chart(
|
||||
target,
|
||||
|
|
|
|||
|
|
@ -33,8 +33,7 @@ import numpy as np
|
|||
import trio
|
||||
|
||||
from ..log import get_logger
|
||||
from .._profile import pg_profile_enabled, ms_slower_then
|
||||
# from ._style import _min_points_to_show
|
||||
from ._style import _min_points_to_show
|
||||
from ._editors import SelectRect
|
||||
from . import _event
|
||||
|
||||
|
|
@ -319,7 +318,6 @@ async def handle_viewmode_mouse(
|
|||
):
|
||||
# when in order mode, submit execution
|
||||
# msg.event.accept()
|
||||
# breakpoint()
|
||||
view.order_mode.submit_order()
|
||||
|
||||
|
||||
|
|
@ -344,7 +342,7 @@ class ChartView(ViewBox):
|
|||
wheelEventRelay = QtCore.Signal(object, object, object)
|
||||
|
||||
event_relay_source: 'Optional[ViewBox]' = None
|
||||
relays: dict[str, QtCore.Signal] = {}
|
||||
relays: dict[str, Signal] = {}
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
|
|
@ -358,13 +356,13 @@ class ChartView(ViewBox):
|
|||
):
|
||||
super().__init__(
|
||||
parent=parent,
|
||||
name=name,
|
||||
# TODO: look into the default view padding
|
||||
# support that might replace somem of our
|
||||
# ``ChartPlotWidget._set_yrange()`
|
||||
# defaultPadding=0.,
|
||||
**kwargs
|
||||
)
|
||||
|
||||
# for "known y-range style"
|
||||
self._static_yrange = static_yrange
|
||||
self._maxmin = None
|
||||
|
|
@ -386,34 +384,6 @@ class ChartView(ViewBox):
|
|||
self.order_mode: bool = False
|
||||
|
||||
self.setFocusPolicy(QtCore.Qt.StrongFocus)
|
||||
self._ic = None
|
||||
|
||||
def start_ic(
|
||||
self,
|
||||
) -> None:
|
||||
'''
|
||||
Signal the beginning of a click-drag interaction
|
||||
to any interested task waiters.
|
||||
|
||||
'''
|
||||
if self._ic is None:
|
||||
self.chart.pause_all_feeds()
|
||||
self._ic = trio.Event()
|
||||
|
||||
def signal_ic(
|
||||
self,
|
||||
*args,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Signal the end of a click-drag interaction
|
||||
to any waiters.
|
||||
|
||||
'''
|
||||
if self._ic:
|
||||
self._ic.set()
|
||||
self._ic = None
|
||||
self.chart.resume_all_feeds()
|
||||
|
||||
@asynccontextmanager
|
||||
async def open_async_input_handler(
|
||||
|
|
@ -451,22 +421,13 @@ class ChartView(ViewBox):
|
|||
if self._maxmin is None:
|
||||
self._maxmin = chart.maxmin
|
||||
|
||||
@property
|
||||
def maxmin(self) -> Callable:
|
||||
return self._maxmin
|
||||
|
||||
@maxmin.setter
|
||||
def maxmin(self, callback: Callable) -> None:
|
||||
self._maxmin = callback
|
||||
|
||||
def wheelEvent(
|
||||
self,
|
||||
ev,
|
||||
axis=None,
|
||||
relayed_from: ChartView = None,
|
||||
):
|
||||
'''
|
||||
Override "center-point" location for scrolling.
|
||||
'''Override "center-point" location for scrolling.
|
||||
|
||||
This is an override of the ``ViewBox`` method simply changing
|
||||
the center of the zoom to be the y-axis.
|
||||
|
|
@ -484,18 +445,15 @@ class ChartView(ViewBox):
|
|||
|
||||
# don't zoom more then the min points setting
|
||||
l, lbar, rbar, r = chart.bars_range()
|
||||
# vl = r - l
|
||||
vl = r - l
|
||||
|
||||
# if ev.delta() > 0 and vl <= _min_points_to_show:
|
||||
# log.debug("Max zoom bruh...")
|
||||
# return
|
||||
if ev.delta() > 0 and vl <= _min_points_to_show:
|
||||
log.debug("Max zoom bruh...")
|
||||
return
|
||||
|
||||
# if (
|
||||
# ev.delta() < 0
|
||||
# and vl >= len(chart._flows[chart.name].shm.array) + 666
|
||||
# ):
|
||||
# log.debug("Min zoom bruh...")
|
||||
# return
|
||||
if ev.delta() < 0 and vl >= len(chart._arrays[chart.name]) + 666:
|
||||
log.debug("Min zoom bruh...")
|
||||
return
|
||||
|
||||
# actual scaling factor
|
||||
s = 1.015 ** (ev.delta() * -1 / 20) # self.state['wheelScaleFactor'])
|
||||
|
|
@ -516,11 +474,7 @@ class ChartView(ViewBox):
|
|||
# lastPos = ev.lastPos()
|
||||
# dif = pos - lastPos
|
||||
# dif = dif * -1
|
||||
center = Point(
|
||||
fn.invertQTransform(
|
||||
self.childGroup.transform()
|
||||
).map(ev.pos())
|
||||
)
|
||||
center = Point(fn.invertQTransform(self.childGroup.transform()).map(ev.pos()))
|
||||
# scale_y = 1.3 ** (center.y() * -1 / 20)
|
||||
self.scaleBy(s, center)
|
||||
|
||||
|
|
@ -569,24 +523,7 @@ class ChartView(ViewBox):
|
|||
|
||||
self._resetTarget()
|
||||
self.scaleBy(s, focal)
|
||||
|
||||
# XXX: the order of the next 2 lines i'm pretty sure
|
||||
# matters, we want the resize to trigger before the graphics
|
||||
# update, but i gotta feelin that because this one is signal
|
||||
# based (and thus not necessarily sync invoked right away)
|
||||
# that calling the resize method manually might work better.
|
||||
self.sigRangeChangedManually.emit(mask)
|
||||
|
||||
# XXX: without this is seems as though sometimes
|
||||
# when zooming in from far out (and maybe vice versa?)
|
||||
# the signal isn't being fired enough since if you pan
|
||||
# just after you'll see further downsampling code run
|
||||
# (pretty noticeable on the OHLC ds curve) but with this
|
||||
# that never seems to happen? Only question is how much this
|
||||
# "double work" is causing latency when these missing event
|
||||
# fires don't happen?
|
||||
self.maybe_downsample_graphics()
|
||||
|
||||
ev.accept()
|
||||
|
||||
def mouseDragEvent(
|
||||
|
|
@ -669,11 +606,6 @@ class ChartView(ViewBox):
|
|||
# XXX: WHY
|
||||
ev.accept()
|
||||
|
||||
self.start_ic()
|
||||
# if self._ic is None:
|
||||
# self.chart.pause_all_feeds()
|
||||
# self._ic = trio.Event()
|
||||
|
||||
if axis == 1:
|
||||
self.chart._static_yrange = 'axis'
|
||||
|
||||
|
|
@ -691,12 +623,6 @@ class ChartView(ViewBox):
|
|||
|
||||
self.sigRangeChangedManually.emit(self.state['mouseEnabled'])
|
||||
|
||||
if ev.isFinish():
|
||||
self.signal_ic()
|
||||
# self._ic.set()
|
||||
# self._ic = None
|
||||
# self.chart.resume_all_feeds()
|
||||
|
||||
# WEIRD "RIGHT-CLICK CENTER ZOOM" MODE
|
||||
elif button & QtCore.Qt.RightButton:
|
||||
|
||||
|
|
@ -747,8 +673,8 @@ class ChartView(ViewBox):
|
|||
|
||||
# flag to prevent triggering sibling charts from the same linked
|
||||
# set from recursion errors.
|
||||
autoscale_linked_plots: bool = False,
|
||||
name: Optional[str] = None,
|
||||
autoscale_linked_plots: bool = True,
|
||||
autoscale_overlays: bool = False,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
|
|
@ -759,14 +685,6 @@ class ChartView(ViewBox):
|
|||
data set.
|
||||
|
||||
'''
|
||||
name = self.name
|
||||
# print(f'YRANGE ON {name}')
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'`ChartView._set_yrange()`: `{name}`',
|
||||
disabled=not pg_profile_enabled(),
|
||||
ms_threshold=ms_slower_then,
|
||||
delayed=True,
|
||||
)
|
||||
set_range = True
|
||||
chart = self._chart
|
||||
|
||||
|
|
@ -790,22 +708,30 @@ class ChartView(ViewBox):
|
|||
elif yrange is not None:
|
||||
ylow, yhigh = yrange
|
||||
|
||||
# calculate max, min y values in viewable x-range from data.
|
||||
# Make sure min bars/datums on screen is adhered.
|
||||
else:
|
||||
br = bars_range or chart.bars_range()
|
||||
|
||||
# TODO: maybe should be a method on the
|
||||
# chart widget/item?
|
||||
if autoscale_linked_plots:
|
||||
# avoid recursion by sibling plots
|
||||
linked = self.linkedsplits
|
||||
plots = list(linked.subplots.copy().values())
|
||||
main = linked.chart
|
||||
if main:
|
||||
plots.append(main)
|
||||
|
||||
for chart in plots:
|
||||
if chart and not chart._static_yrange:
|
||||
chart.cv._set_yrange(
|
||||
bars_range=br,
|
||||
autoscale_linked_plots=False,
|
||||
)
|
||||
|
||||
if set_range:
|
||||
|
||||
# XXX: only compute the mxmn range
|
||||
# if none is provided as input!
|
||||
if not yrange:
|
||||
# flow = chart._flows[name]
|
||||
yrange = self._maxmin()
|
||||
|
||||
if yrange is None:
|
||||
log.warning(f'No yrange provided for {name}!?')
|
||||
print(f"WTF NO YRANGE {name}")
|
||||
return
|
||||
|
||||
ylow, yhigh = yrange
|
||||
|
||||
profiler(f'callback ._maxmin(): {yrange}')
|
||||
ylow, yhigh = self._maxmin()
|
||||
|
||||
# view margins: stay within a % of the "true range"
|
||||
diff = yhigh - ylow
|
||||
|
|
@ -820,13 +746,9 @@ class ChartView(ViewBox):
|
|||
yMax=yhigh,
|
||||
)
|
||||
self.setYRange(ylow, yhigh)
|
||||
profiler(f'set limits: {(ylow, yhigh)}')
|
||||
|
||||
profiler.finish()
|
||||
|
||||
def enable_auto_yrange(
|
||||
self,
|
||||
src_vb: Optional[ChartView] = None,
|
||||
vb: ChartView,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
|
|
@ -834,114 +756,13 @@ class ChartView(ViewBox):
|
|||
based on data contents and ``ViewBox`` state.
|
||||
|
||||
'''
|
||||
if src_vb is None:
|
||||
src_vb = self
|
||||
|
||||
# splitter(s) resizing
|
||||
src_vb.sigResized.connect(self._set_yrange)
|
||||
|
||||
# TODO: a smarter way to avoid calling this needlessly?
|
||||
# 2 things i can think of:
|
||||
# - register downsample-able graphics specially and only
|
||||
# iterate those.
|
||||
# - only register this when certain downsampleable graphics are
|
||||
# "added to scene".
|
||||
src_vb.sigRangeChangedManually.connect(
|
||||
self.maybe_downsample_graphics
|
||||
)
|
||||
|
||||
vb.sigXRangeChanged.connect(vb._set_yrange)
|
||||
# mouse wheel doesn't emit XRangeChanged
|
||||
src_vb.sigRangeChangedManually.connect(self._set_yrange)
|
||||
vb.sigRangeChangedManually.connect(vb._set_yrange)
|
||||
vb.sigResized.connect(vb._set_yrange) # splitter(s) resizing
|
||||
|
||||
# src_vb.sigXRangeChanged.connect(self._set_yrange)
|
||||
# src_vb.sigXRangeChanged.connect(
|
||||
# self.maybe_downsample_graphics
|
||||
# )
|
||||
|
||||
def disable_auto_yrange(self) -> None:
|
||||
|
||||
self.sigResized.disconnect(
|
||||
self._set_yrange,
|
||||
)
|
||||
self.sigRangeChangedManually.disconnect(
|
||||
self.maybe_downsample_graphics
|
||||
)
|
||||
self.sigRangeChangedManually.disconnect(
|
||||
self._set_yrange,
|
||||
)
|
||||
|
||||
# self.sigXRangeChanged.disconnect(self._set_yrange)
|
||||
# self.sigXRangeChanged.disconnect(
|
||||
# self.maybe_downsample_graphics
|
||||
# )
|
||||
|
||||
def x_uppx(self) -> float:
|
||||
'''
|
||||
Return the "number of x units" within a single
|
||||
pixel currently being displayed for relevant
|
||||
graphics items which are our children.
|
||||
|
||||
'''
|
||||
graphics = [f.graphics for f in self._chart._flows.values()]
|
||||
if not graphics:
|
||||
return 0
|
||||
|
||||
for graphic in graphics:
|
||||
xvec = graphic.pixelVectors()[0]
|
||||
if xvec:
|
||||
return xvec.x()
|
||||
else:
|
||||
return 0
|
||||
|
||||
def maybe_downsample_graphics(
|
||||
def disable_auto_yrange(
|
||||
self,
|
||||
autoscale_overlays: bool = True,
|
||||
):
|
||||
) -> None:
|
||||
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'ChartView.maybe_downsample_graphics() for {self.name}',
|
||||
disabled=not pg_profile_enabled(),
|
||||
|
||||
# XXX: important to avoid not seeing underlying
|
||||
# ``.update_graphics_from_flow()`` nested profiling likely
|
||||
# due to the way delaying works and garbage collection of
|
||||
# the profiler in the delegated method calls.
|
||||
ms_threshold=6,
|
||||
# ms_threshold=ms_slower_then,
|
||||
)
|
||||
|
||||
# TODO: a faster single-loop-iterator way of doing this XD
|
||||
chart = self._chart
|
||||
linked = self.linkedsplits
|
||||
plots = linked.subplots | {chart.name: chart}
|
||||
for chart_name, chart in plots.items():
|
||||
for name, flow in chart._flows.items():
|
||||
|
||||
if (
|
||||
not flow.render
|
||||
|
||||
# XXX: super important to be aware of this.
|
||||
# or not flow.graphics.isVisible()
|
||||
):
|
||||
continue
|
||||
|
||||
# pass in no array which will read and render from the last
|
||||
# passed array (normally provided by the display loop.)
|
||||
chart.update_graphics_from_flow(
|
||||
name,
|
||||
use_vr=True,
|
||||
)
|
||||
|
||||
# for each overlay on this chart auto-scale the
|
||||
# y-range to max-min values.
|
||||
if autoscale_overlays:
|
||||
overlay = chart.pi_overlay
|
||||
if overlay:
|
||||
for pi in overlay.overlays:
|
||||
pi.vb._set_yrange(
|
||||
# TODO: get the range once up front...
|
||||
# bars_range=br,
|
||||
)
|
||||
profiler('autoscaled linked plots')
|
||||
|
||||
profiler(f'<{chart_name}>.update_graphics_from_flow({name})')
|
||||
self._chart._static_yrange = 'axis'
|
||||
|
|
|
|||
|
|
@ -199,14 +199,7 @@ class LevelLabel(YAxisLabel):
|
|||
elif self._orient_v == 'top':
|
||||
lp, rp = rect.bottomLeft(), rect.bottomRight()
|
||||
|
||||
p.drawLine(
|
||||
*map(int, [
|
||||
lp.x(),
|
||||
lp.y(),
|
||||
rp.x(),
|
||||
rp.y(),
|
||||
])
|
||||
)
|
||||
p.drawLine(lp.x(), lp.y(), rp.x(), rp.y())
|
||||
|
||||
def highlight(self, pen) -> None:
|
||||
self._pen = pen
|
||||
|
|
|
|||
|
|
@ -20,7 +20,7 @@ Lines for orders, alerts, L2.
|
|||
"""
|
||||
from functools import partial
|
||||
from math import floor
|
||||
from typing import Optional, Callable
|
||||
from typing import Tuple, Optional, List, Callable
|
||||
|
||||
import pyqtgraph as pg
|
||||
from pyqtgraph import Point, functions as fn
|
||||
|
|
@ -29,8 +29,10 @@ from PyQt5.QtCore import QPointF
|
|||
|
||||
from ._annotate import qgo_draw_markers, LevelMarker
|
||||
from ._anchors import (
|
||||
marker_right_points,
|
||||
vbr_left,
|
||||
right_axis,
|
||||
# pp_tight_and_right, # wanna keep it straight in the long run
|
||||
gpath_pin,
|
||||
)
|
||||
from ..calc import humanize
|
||||
|
|
@ -102,8 +104,8 @@ class LevelLine(pg.InfiniteLine):
|
|||
|
||||
# list of labels anchored at one of the 2 line endpoints
|
||||
# inside the viewbox
|
||||
self._labels: list[Label] = []
|
||||
self._markers: list[(int, Label)] = []
|
||||
self._labels: List[Label] = []
|
||||
self._markers: List[(int, Label)] = []
|
||||
|
||||
# whenever this line is moved trigger label updates
|
||||
self.sigPositionChanged.connect(self.on_pos_change)
|
||||
|
|
@ -122,7 +124,7 @@ class LevelLine(pg.InfiniteLine):
|
|||
self._y_incr_mult = 1 / chart.linked.symbol.tick_size
|
||||
self._right_end_sc: float = 0
|
||||
|
||||
def txt_offsets(self) -> tuple[int, int]:
|
||||
def txt_offsets(self) -> Tuple[int, int]:
|
||||
return 0, 0
|
||||
|
||||
@property
|
||||
|
|
@ -313,6 +315,17 @@ class LevelLine(pg.InfiniteLine):
|
|||
# TODO: enter labels edit mode
|
||||
print(f'double click {ev}')
|
||||
|
||||
def right_point(
|
||||
self,
|
||||
) -> float:
|
||||
|
||||
chart = self._chart
|
||||
l1_len = chart._max_l1_line_len
|
||||
ryaxis = chart.getAxis('right')
|
||||
up_to_l1_sc = ryaxis.pos().x() - l1_len
|
||||
|
||||
return up_to_l1_sc
|
||||
|
||||
def paint(
|
||||
self,
|
||||
|
||||
|
|
@ -332,7 +345,7 @@ class LevelLine(pg.InfiniteLine):
|
|||
vb_left, vb_right = self._endPoints
|
||||
vb = self.getViewBox()
|
||||
|
||||
line_end, marker_right, r_axis_x = self._chart.marker_right_points()
|
||||
line_end, marker_right, r_axis_x = marker_right_points(self._chart)
|
||||
|
||||
if self.show_markers and self.markers:
|
||||
|
||||
|
|
@ -398,7 +411,7 @@ class LevelLine(pg.InfiniteLine):
|
|||
def scene_endpoint(self) -> QPointF:
|
||||
|
||||
if not self._right_end_sc:
|
||||
line_end, _, _ = self._chart.marker_right_points()
|
||||
line_end, _, _ = marker_right_points(self._chart)
|
||||
self._right_end_sc = line_end - 10
|
||||
|
||||
return QPointF(self._right_end_sc, self.scene_y())
|
||||
|
|
@ -409,23 +422,23 @@ class LevelLine(pg.InfiniteLine):
|
|||
|
||||
) -> QtWidgets.QGraphicsPathItem:
|
||||
|
||||
self._marker = path
|
||||
self._marker.setPen(self.currentPen)
|
||||
self._marker.setBrush(fn.mkBrush(self.currentPen.color()))
|
||||
# add path to scene
|
||||
self.getViewBox().scene().addItem(path)
|
||||
|
||||
# place to just-left of L1 labels
|
||||
rsc = self._chart.pre_l1_xs()[0]
|
||||
self._marker = path
|
||||
|
||||
rsc = self.right_point()
|
||||
|
||||
self._marker.setPen(self.currentPen)
|
||||
self._marker.setBrush(fn.mkBrush(self.currentPen.color()))
|
||||
path.setPos(QPointF(rsc, self.scene_y()))
|
||||
|
||||
return path
|
||||
|
||||
def hoverEvent(self, ev):
|
||||
'''
|
||||
Mouse hover callback.
|
||||
"""Mouse hover callback.
|
||||
|
||||
'''
|
||||
"""
|
||||
cur = self._chart.linked.cursor
|
||||
|
||||
# hovered
|
||||
|
|
@ -601,8 +614,7 @@ def order_line(
|
|||
**line_kwargs,
|
||||
|
||||
) -> LevelLine:
|
||||
'''
|
||||
Convenience routine to add a line graphic representing an order
|
||||
'''Convenience routine to add a line graphic representing an order
|
||||
execution submitted to the EMS via the chart's "order mode".
|
||||
|
||||
'''
|
||||
|
|
@ -677,6 +689,7 @@ def order_line(
|
|||
|
||||
return f'{account}: '
|
||||
|
||||
|
||||
label.fields = {
|
||||
'size': size,
|
||||
'size_digits': 0,
|
||||
|
|
|
|||
|
|
@ -17,40 +17,40 @@
|
|||
Super fast OHLC sampling graphics types.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from typing import (
|
||||
Optional,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
from typing import List, Optional, Tuple
|
||||
|
||||
import numpy as np
|
||||
import pyqtgraph as pg
|
||||
from numba import njit, float64, int64 # , optional
|
||||
from PyQt5 import QtCore, QtGui, QtWidgets
|
||||
from PyQt5.QtCore import QLineF, QPointF
|
||||
from PyQt5.QtGui import QPainterPath
|
||||
# from numba import types as ntypes
|
||||
# from ..data._source import numba_ohlc_dtype
|
||||
|
||||
from .._profile import pg_profile_enabled, ms_slower_then
|
||||
from .._profile import pg_profile_enabled
|
||||
from ._style import hcolor
|
||||
from ..log import get_logger
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._chart import LinkedSplits
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
def _mk_lines_array(
|
||||
data: List,
|
||||
size: int,
|
||||
elements_step: int = 6,
|
||||
) -> np.ndarray:
|
||||
"""Create an ndarray to hold lines graphics info.
|
||||
|
||||
"""
|
||||
return np.zeros_like(
|
||||
data,
|
||||
shape=(int(size), elements_step),
|
||||
dtype=object,
|
||||
)
|
||||
|
||||
|
||||
def bar_from_ohlc_row(
|
||||
def lines_from_ohlc(
|
||||
row: np.ndarray,
|
||||
# 0.5 is no overlap between arms, 1.0 is full overlap
|
||||
w: float = 0.43
|
||||
w: float
|
||||
) -> Tuple[QLineF]:
|
||||
|
||||
) -> tuple[QLineF]:
|
||||
'''
|
||||
Generate the minimal ``QLineF`` lines to construct a single
|
||||
OHLC "bar" for use in the "last datum" of a series.
|
||||
|
||||
'''
|
||||
open, high, low, close, index = row[
|
||||
['open', 'high', 'low', 'close', 'index']]
|
||||
|
||||
|
|
@ -81,37 +81,280 @@ def bar_from_ohlc_row(
|
|||
return [hl, o, c]
|
||||
|
||||
|
||||
class BarItems(pg.GraphicsObject):
|
||||
'''
|
||||
"Price range" bars graphics rendered from a OHLC sampled sequence.
|
||||
@njit(
|
||||
# TODO: for now need to construct this manually for readonly arrays, see
|
||||
# https://github.com/numba/numba/issues/4511
|
||||
# ntypes.Tuple((float64[:], float64[:], float64[:]))(
|
||||
# numba_ohlc_dtype[::1], # contiguous
|
||||
# int64,
|
||||
# optional(float64),
|
||||
# ),
|
||||
nogil=True
|
||||
)
|
||||
def path_arrays_from_ohlc(
|
||||
data: np.ndarray,
|
||||
start: int64,
|
||||
bar_gap: float64 = 0.43,
|
||||
) -> np.ndarray:
|
||||
"""Generate an array of lines objects from input ohlc data.
|
||||
|
||||
"""
|
||||
size = int(data.shape[0] * 6)
|
||||
|
||||
x = np.zeros(
|
||||
# data,
|
||||
shape=size,
|
||||
dtype=float64,
|
||||
)
|
||||
y, c = x.copy(), x.copy()
|
||||
|
||||
# TODO: report bug for assert @
|
||||
# /home/goodboy/repos/piker/env/lib/python3.8/site-packages/numba/core/typing/builtins.py:991
|
||||
for i, q in enumerate(data[start:], start):
|
||||
|
||||
# TODO: ask numba why this doesn't work..
|
||||
# open, high, low, close, index = q[
|
||||
# ['open', 'high', 'low', 'close', 'index']]
|
||||
|
||||
open = q['open']
|
||||
high = q['high']
|
||||
low = q['low']
|
||||
close = q['close']
|
||||
index = float64(q['index'])
|
||||
|
||||
istart = i * 6
|
||||
istop = istart + 6
|
||||
|
||||
# x,y detail the 6 points which connect all vertexes of a ohlc bar
|
||||
x[istart:istop] = (
|
||||
index - bar_gap,
|
||||
index,
|
||||
index,
|
||||
index,
|
||||
index,
|
||||
index + bar_gap,
|
||||
)
|
||||
y[istart:istop] = (
|
||||
open,
|
||||
open,
|
||||
low,
|
||||
high,
|
||||
close,
|
||||
close,
|
||||
)
|
||||
|
||||
# specifies that the first edge is never connected to the
|
||||
# prior bars last edge thus providing a small "gap"/"space"
|
||||
# between bars determined by ``bar_gap``.
|
||||
c[istart:istop] = (1, 1, 1, 1, 1, 0)
|
||||
|
||||
return x, y, c
|
||||
|
||||
|
||||
def gen_qpath(
|
||||
data,
|
||||
start, # XXX: do we need this?
|
||||
w,
|
||||
) -> QtGui.QPainterPath:
|
||||
|
||||
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
|
||||
|
||||
x, y, c = path_arrays_from_ohlc(data, start, bar_gap=w)
|
||||
profiler("generate stream with numba")
|
||||
|
||||
# TODO: numba the internals of this!
|
||||
path = pg.functions.arrayToQPath(x, y, connect=c)
|
||||
profiler("generate path with arrayToQPath")
|
||||
|
||||
return path
|
||||
|
||||
|
||||
class BarItems(pg.GraphicsObject):
|
||||
"""Price range bars graphics rendered from a OHLC sequence.
|
||||
"""
|
||||
sigPlotChanged = QtCore.pyqtSignal(object)
|
||||
|
||||
# 0.5 is no overlap between arms, 1.0 is full overlap
|
||||
w: float = 0.43
|
||||
|
||||
'''
|
||||
def __init__(
|
||||
self,
|
||||
linked: LinkedSplits,
|
||||
# scene: 'QGraphicsScene', # noqa
|
||||
plotitem: 'pg.PlotItem', # noqa
|
||||
pen_color: str = 'bracket',
|
||||
last_bar_color: str = 'bracket',
|
||||
|
||||
name: Optional[str] = None,
|
||||
|
||||
) -> None:
|
||||
super().__init__()
|
||||
self.linked = linked
|
||||
|
||||
# XXX: for the mega-lulz increasing width here increases draw
|
||||
# latency... so probably don't do it until we figure that out.
|
||||
self._color = pen_color
|
||||
self.bars_pen = pg.mkPen(hcolor(pen_color), width=1)
|
||||
self.last_bar_pen = pg.mkPen(hcolor(last_bar_color), width=2)
|
||||
self._name = name
|
||||
|
||||
# NOTE: this prevents redraws on mouse interaction which is
|
||||
# a huge boon for avg interaction latency.
|
||||
|
||||
# TODO: one question still remaining is if this makes trasform
|
||||
# interactions slower (such as zooming) and if so maybe if/when
|
||||
# we implement a "history" mode for the view we disable this in
|
||||
# that mode?
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
self.path = QPainterPath()
|
||||
self._last_bar_lines: Optional[tuple[QLineF, ...]] = None
|
||||
|
||||
def x_uppx(self) -> int:
|
||||
# we expect the downsample curve report this.
|
||||
return 0
|
||||
# not sure if this is actually impoving anything but figured it
|
||||
# was worth a shot:
|
||||
# self.path.reserve(int(100e3 * 6))
|
||||
|
||||
self.path = QtGui.QPainterPath()
|
||||
|
||||
self._pi = plotitem
|
||||
|
||||
self._xrange: Tuple[int, int]
|
||||
self._yrange: Tuple[float, float]
|
||||
|
||||
# TODO: don't render the full backing array each time
|
||||
# self._path_data = None
|
||||
self._last_bar_lines: Optional[Tuple[QLineF, ...]] = None
|
||||
|
||||
# track the current length of drawable lines within the larger array
|
||||
self.start_index: int = 0
|
||||
self.stop_index: int = 0
|
||||
|
||||
def draw_from_data(
|
||||
self,
|
||||
data: np.ndarray,
|
||||
start: int = 0,
|
||||
) -> QtGui.QPainterPath:
|
||||
"""Draw OHLC datum graphics from a ``np.ndarray``.
|
||||
|
||||
This routine is usually only called to draw the initial history.
|
||||
"""
|
||||
hist, last = data[:-1], data[-1]
|
||||
|
||||
self.path = gen_qpath(hist, start, self.w)
|
||||
|
||||
# save graphics for later reference and keep track
|
||||
# of current internal "last index"
|
||||
# self.start_index = len(data)
|
||||
index = data['index']
|
||||
self._xrange = (index[0], index[-1])
|
||||
self._yrange = (
|
||||
np.nanmax(data['high']),
|
||||
np.nanmin(data['low']),
|
||||
)
|
||||
|
||||
# up to last to avoid double draw of last bar
|
||||
self._last_bar_lines = lines_from_ohlc(last, self.w)
|
||||
|
||||
# trigger render
|
||||
# https://doc.qt.io/qt-5/qgraphicsitem.html#update
|
||||
self.update()
|
||||
|
||||
return self.path
|
||||
|
||||
def update_from_array(
|
||||
self,
|
||||
array: np.ndarray,
|
||||
just_history=False,
|
||||
) -> None:
|
||||
"""Update the last datum's bar graphic from input data array.
|
||||
|
||||
This routine should be interface compatible with
|
||||
``pg.PlotCurveItem.setData()``. Normally this method in
|
||||
``pyqtgraph`` seems to update all the data passed to the
|
||||
graphics object, and then update/rerender, but here we're
|
||||
assuming the prior graphics havent changed (OHLC history rarely
|
||||
does) so this "should" be simpler and faster.
|
||||
|
||||
This routine should be made (transitively) as fast as possible.
|
||||
"""
|
||||
# index = self.start_index
|
||||
istart, istop = self._xrange
|
||||
|
||||
index = array['index']
|
||||
first_index, last_index = index[0], index[-1]
|
||||
|
||||
# length = len(array)
|
||||
prepend_length = istart - first_index
|
||||
append_length = last_index - istop
|
||||
|
||||
flip_cache = False
|
||||
|
||||
# TODO: allow mapping only a range of lines thus
|
||||
# only drawing as many bars as exactly specified.
|
||||
|
||||
if prepend_length:
|
||||
|
||||
# new history was added and we need to render a new path
|
||||
new_bars = array[:prepend_length]
|
||||
prepend_path = gen_qpath(new_bars, 0, self.w)
|
||||
|
||||
# XXX: SOMETHING IS MAYBE FISHY HERE what with the old_path
|
||||
# y value not matching the first value from
|
||||
# array[prepend_length + 1] ???
|
||||
|
||||
# update path
|
||||
old_path = self.path
|
||||
self.path = prepend_path
|
||||
self.path.addPath(old_path)
|
||||
|
||||
# trigger redraw despite caching
|
||||
self.prepareGeometryChange()
|
||||
|
||||
if append_length:
|
||||
# generate new lines objects for updatable "current bar"
|
||||
self._last_bar_lines = lines_from_ohlc(array[-1], self.w)
|
||||
|
||||
# generate new graphics to match provided array
|
||||
# path appending logic:
|
||||
# we need to get the previous "current bar(s)" for the time step
|
||||
# and convert it to a sub-path to append to the historical set
|
||||
# new_bars = array[istop - 1:istop + append_length - 1]
|
||||
new_bars = array[-append_length - 1:-1]
|
||||
append_path = gen_qpath(new_bars, 0, self.w)
|
||||
self.path.moveTo(float(istop - self.w), float(new_bars[0]['open']))
|
||||
self.path.addPath(append_path)
|
||||
|
||||
# trigger redraw despite caching
|
||||
self.prepareGeometryChange()
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.NoCache)
|
||||
flip_cache = True
|
||||
|
||||
self._xrange = first_index, last_index
|
||||
|
||||
# last bar update
|
||||
i, o, h, l, last, v = array[-1][
|
||||
['index', 'open', 'high', 'low', 'close', 'volume']
|
||||
]
|
||||
# assert i == self.start_index - 1
|
||||
# assert i == last_index
|
||||
body, larm, rarm = self._last_bar_lines
|
||||
|
||||
# XXX: is there a faster way to modify this?
|
||||
rarm.setLine(rarm.x1(), last, rarm.x2(), last)
|
||||
|
||||
# writer is responsible for changing open on "first" volume of bar
|
||||
larm.setLine(larm.x1(), o, larm.x2(), o)
|
||||
|
||||
if l != h: # noqa
|
||||
|
||||
if body is None:
|
||||
body = self._last_bar_lines[0] = QLineF(i, l, i, h)
|
||||
else:
|
||||
# update body
|
||||
body.setLine(i, l, i, h)
|
||||
|
||||
# XXX: pretty sure this is causing an issue where the bar has
|
||||
# a large upward move right before the next sample and the body
|
||||
# is getting set to None since the next bar is flat but the shm
|
||||
# array index update wasn't read by the time this code runs. Iow
|
||||
# we're doing this removal of the body for a bar index that is
|
||||
# now out of date / from some previous sample. It's weird
|
||||
# though because i've seen it do this to bars i - 3 back?
|
||||
|
||||
self.update()
|
||||
|
||||
if flip_cache:
|
||||
self.setCacheMode(QtWidgets.QGraphicsItem.DeviceCoordinateCache)
|
||||
|
||||
def boundingRect(self):
|
||||
# Qt docs: https://doc.qt.io/qt-5/qgraphicsitem.html#boundingRect
|
||||
|
|
@ -130,17 +373,12 @@ class BarItems(pg.GraphicsObject):
|
|||
# apparently this a lot faster says the docs?
|
||||
# https://doc.qt.io/qt-5/qpainterpath.html#controlPointRect
|
||||
hb = self.path.controlPointRect()
|
||||
hb_tl, hb_br = (
|
||||
hb.topLeft(),
|
||||
hb.bottomRight(),
|
||||
)
|
||||
hb_tl, hb_br = hb.topLeft(), hb.bottomRight()
|
||||
|
||||
# need to include last bar height or BR will be off
|
||||
mx_y = hb_br.y()
|
||||
mn_y = hb_tl.y()
|
||||
|
||||
last_lines = self._last_bar_lines
|
||||
if last_lines:
|
||||
body_line = self._last_bar_lines[0]
|
||||
if body_line:
|
||||
mx_y = max(mx_y, max(body_line.y1(), body_line.y2()))
|
||||
|
|
@ -167,13 +405,9 @@ class BarItems(pg.GraphicsObject):
|
|||
p: QtGui.QPainter,
|
||||
opt: QtWidgets.QStyleOptionGraphicsItem,
|
||||
w: QtWidgets.QWidget
|
||||
|
||||
) -> None:
|
||||
|
||||
profiler = pg.debug.Profiler(
|
||||
disabled=not pg_profile_enabled(),
|
||||
ms_threshold=ms_slower_then,
|
||||
)
|
||||
profiler = pg.debug.Profiler(disabled=not pg_profile_enabled())
|
||||
|
||||
# p.setCompositionMode(0)
|
||||
|
||||
|
|
@ -184,67 +418,9 @@ class BarItems(pg.GraphicsObject):
|
|||
# lead to any perf gains other then when zoomed in to less bars
|
||||
# in view.
|
||||
p.setPen(self.last_bar_pen)
|
||||
if self._last_bar_lines:
|
||||
p.drawLines(*tuple(filter(bool, self._last_bar_lines)))
|
||||
profiler('draw last bar')
|
||||
|
||||
p.setPen(self.bars_pen)
|
||||
p.drawPath(self.path)
|
||||
profiler(f'draw history path: {self.path.capacity()}')
|
||||
|
||||
def draw_last_datum(
|
||||
self,
|
||||
path: QPainterPath,
|
||||
src_data: np.ndarray,
|
||||
render_data: np.ndarray,
|
||||
reset: bool,
|
||||
array_key: str,
|
||||
|
||||
fields: list[str] = [
|
||||
'index',
|
||||
'open',
|
||||
'high',
|
||||
'low',
|
||||
'close',
|
||||
],
|
||||
|
||||
) -> None:
|
||||
|
||||
# relevant fields
|
||||
ohlc = src_data[fields]
|
||||
last_row = ohlc[-1:]
|
||||
|
||||
# individual values
|
||||
last_row = i, o, h, l, last = ohlc[-1]
|
||||
|
||||
# generate new lines objects for updatable "current bar"
|
||||
self._last_bar_lines = bar_from_ohlc_row(last_row)
|
||||
|
||||
# assert i == graphics.start_index - 1
|
||||
# assert i == last_index
|
||||
body, larm, rarm = self._last_bar_lines
|
||||
|
||||
# XXX: is there a faster way to modify this?
|
||||
rarm.setLine(rarm.x1(), last, rarm.x2(), last)
|
||||
|
||||
# writer is responsible for changing open on "first" volume of bar
|
||||
larm.setLine(larm.x1(), o, larm.x2(), o)
|
||||
|
||||
if l != h: # noqa
|
||||
|
||||
if body is None:
|
||||
body = self._last_bar_lines[0] = QLineF(i, l, i, h)
|
||||
else:
|
||||
# update body
|
||||
body.setLine(i, l, i, h)
|
||||
|
||||
# XXX: pretty sure this is causing an issue where the
|
||||
# bar has a large upward move right before the next
|
||||
# sample and the body is getting set to None since the
|
||||
# next bar is flat but the shm array index update wasn't
|
||||
# read by the time this code runs. Iow we're doing this
|
||||
# removal of the body for a bar index that is now out of
|
||||
# date / from some previous sample. It's weird though
|
||||
# because i've seen it do this to bars i - 3 back?
|
||||
|
||||
return ohlc['index'], ohlc['close']
|
||||
profiler('draw history path')
|
||||
|
|
|
|||
|
|
@ -103,6 +103,11 @@ class ComposedGridLayout:
|
|||
dict[str, AxisItem],
|
||||
] = {}
|
||||
|
||||
self._axes2pi: dict[
|
||||
AxisItem,
|
||||
dict[str, PlotItem],
|
||||
] = {}
|
||||
|
||||
# TODO: better name?
|
||||
# construct surrounding layouts for placing outer axes and
|
||||
# their legends and title labels.
|
||||
|
|
@ -153,8 +158,8 @@ class ComposedGridLayout:
|
|||
for name, axis_info in plotitem.axes.items():
|
||||
axis = axis_info['item']
|
||||
# register this plot's (maybe re-placed) axes for lookup.
|
||||
# print(f'inserting {name}:{axis} to index {index}')
|
||||
self._pi2axes.setdefault(name, {})[index] = axis
|
||||
self._pi2axes.setdefault(index, {})[name] = axis
|
||||
self._axes2pi.setdefault(index, {})[name] = plotitem
|
||||
|
||||
# enter plot into list for index tracking
|
||||
self.items.insert(index, plotitem)
|
||||
|
|
@ -208,12 +213,11 @@ class ComposedGridLayout:
|
|||
|
||||
# invert insert index for layouts which are
|
||||
# not-left-to-right, top-to-bottom insert oriented
|
||||
insert_index = index
|
||||
if name in ('top', 'left'):
|
||||
insert_index = min(len(axes) - index, 0)
|
||||
assert insert_index >= 0
|
||||
index = min(len(axes) - index, 0)
|
||||
assert index >= 0
|
||||
|
||||
linlayout.insertItem(insert_index, axis)
|
||||
linlayout.insertItem(index, axis)
|
||||
axes.insert(index, axis)
|
||||
|
||||
self._register_item(index, plotitem)
|
||||
|
|
@ -239,15 +243,13 @@ class ComposedGridLayout:
|
|||
plot: PlotItem,
|
||||
name: str,
|
||||
|
||||
) -> Optional[AxisItem]:
|
||||
) -> AxisItem:
|
||||
'''
|
||||
Retrieve the named axis for overlayed ``plot`` or ``None``
|
||||
if axis for that name is not shown.
|
||||
Retrieve the named axis for overlayed ``plot``.
|
||||
|
||||
'''
|
||||
index = self.items.index(plot)
|
||||
named = self._pi2axes[name]
|
||||
return named.get(index)
|
||||
return self._pi2axes[index][name]
|
||||
|
||||
def pop(
|
||||
self,
|
||||
|
|
@ -339,7 +341,7 @@ def mk_relay_method(
|
|||
# halt/short circuit the graphicscene loop). Further the
|
||||
# surrounding handler for this signal must be allowed to execute
|
||||
# and get processed by **this consumer**.
|
||||
# print(f'{vb.name} rx relayed from {relayed_from.name}')
|
||||
print(f'{vb.name} rx relayed from {relayed_from.name}')
|
||||
ev.ignore()
|
||||
|
||||
return slot(
|
||||
|
|
@ -349,7 +351,7 @@ def mk_relay_method(
|
|||
)
|
||||
|
||||
if axis is not None:
|
||||
# print(f'{vb.name} handling axis event:\n{str(ev)}')
|
||||
print(f'{vb.name} handling axis event:\n{str(ev)}')
|
||||
ev.accept()
|
||||
return slot(
|
||||
vb,
|
||||
|
|
@ -488,6 +490,7 @@ class PlotItemOverlay:
|
|||
vb.setZValue(1000) # XXX: critical for scene layering/relaying
|
||||
|
||||
self.overlays: list[PlotItem] = []
|
||||
from piker.ui._overlay import ComposedGridLayout
|
||||
self.layout = ComposedGridLayout(
|
||||
root_plotitem,
|
||||
root_plotitem.layout,
|
||||
|
|
@ -508,7 +511,7 @@ class PlotItemOverlay:
|
|||
|
||||
) -> None:
|
||||
|
||||
index = index or len(self.overlays)
|
||||
index = index or 0
|
||||
root = self.root_plotitem
|
||||
# layout: QGraphicsGridLayout = root.layout
|
||||
self.overlays.insert(index, plotitem)
|
||||
|
|
@ -610,26 +613,6 @@ class PlotItemOverlay:
|
|||
'''
|
||||
return self.layout.get_axis(plot, name)
|
||||
|
||||
def get_axes(
|
||||
self,
|
||||
name: str,
|
||||
|
||||
) -> list[AxisItem]:
|
||||
'''
|
||||
Retrieve all axes for all plots with ``name: str``.
|
||||
|
||||
If a particular overlay doesn't have a displayed named axis
|
||||
then it is not delivered in the returned ``list``.
|
||||
|
||||
'''
|
||||
axes = []
|
||||
for plot in self.overlays:
|
||||
axis = self.layout.get_axis(plot, name)
|
||||
if axis:
|
||||
axes.append(axis)
|
||||
|
||||
return axes
|
||||
|
||||
# TODO: i guess we need this if you want to detach existing plots
|
||||
# dynamically? XXX: untested as of now.
|
||||
def _disconnect_all(
|
||||
|
|
|
|||
|
|
@ -1,236 +0,0 @@
|
|||
# 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/>.
|
||||
"""
|
||||
Super fast ``QPainterPath`` generation related operator routines.
|
||||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from typing import (
|
||||
# Optional,
|
||||
TYPE_CHECKING,
|
||||
)
|
||||
|
||||
import numpy as np
|
||||
from numpy.lib import recfunctions as rfn
|
||||
from numba import njit, float64, int64 # , optional
|
||||
# import pyqtgraph as pg
|
||||
from PyQt5 import QtGui
|
||||
# from PyQt5.QtCore import QLineF, QPointF
|
||||
|
||||
from ..data._sharedmem import (
|
||||
ShmArray,
|
||||
)
|
||||
# from .._profile import pg_profile_enabled, ms_slower_then
|
||||
from ._compression import (
|
||||
ds_m4,
|
||||
)
|
||||
|
||||
if TYPE_CHECKING:
|
||||
from ._flows import Renderer
|
||||
|
||||
|
||||
def xy_downsample(
|
||||
x,
|
||||
y,
|
||||
uppx,
|
||||
|
||||
x_spacer: float = 0.5,
|
||||
|
||||
) -> tuple[np.ndarray, np.ndarray]:
|
||||
|
||||
# downsample whenever more then 1 pixels per datum can be shown.
|
||||
# always refresh data bounds until we get diffing
|
||||
# working properly, see above..
|
||||
bins, x, y = ds_m4(
|
||||
x,
|
||||
y,
|
||||
uppx,
|
||||
)
|
||||
|
||||
# flatten output to 1d arrays suitable for path-graphics generation.
|
||||
x = np.broadcast_to(x[:, None], y.shape)
|
||||
x = (x + np.array(
|
||||
[-x_spacer, 0, 0, x_spacer]
|
||||
)).flatten()
|
||||
y = y.flatten()
|
||||
|
||||
return x, y
|
||||
|
||||
|
||||
@njit(
|
||||
# TODO: for now need to construct this manually for readonly arrays, see
|
||||
# https://github.com/numba/numba/issues/4511
|
||||
# ntypes.tuple((float64[:], float64[:], float64[:]))(
|
||||
# numba_ohlc_dtype[::1], # contiguous
|
||||
# int64,
|
||||
# optional(float64),
|
||||
# ),
|
||||
nogil=True
|
||||
)
|
||||
def path_arrays_from_ohlc(
|
||||
data: np.ndarray,
|
||||
start: int64,
|
||||
bar_gap: float64 = 0.43,
|
||||
|
||||
) -> np.ndarray:
|
||||
'''
|
||||
Generate an array of lines objects from input ohlc data.
|
||||
|
||||
'''
|
||||
size = int(data.shape[0] * 6)
|
||||
|
||||
x = np.zeros(
|
||||
# data,
|
||||
shape=size,
|
||||
dtype=float64,
|
||||
)
|
||||
y, c = x.copy(), x.copy()
|
||||
|
||||
# TODO: report bug for assert @
|
||||
# /home/goodboy/repos/piker/env/lib/python3.8/site-packages/numba/core/typing/builtins.py:991
|
||||
for i, q in enumerate(data[start:], start):
|
||||
|
||||
# TODO: ask numba why this doesn't work..
|
||||
# open, high, low, close, index = q[
|
||||
# ['open', 'high', 'low', 'close', 'index']]
|
||||
|
||||
open = q['open']
|
||||
high = q['high']
|
||||
low = q['low']
|
||||
close = q['close']
|
||||
index = float64(q['index'])
|
||||
|
||||
istart = i * 6
|
||||
istop = istart + 6
|
||||
|
||||
# x,y detail the 6 points which connect all vertexes of a ohlc bar
|
||||
x[istart:istop] = (
|
||||
index - bar_gap,
|
||||
index,
|
||||
index,
|
||||
index,
|
||||
index,
|
||||
index + bar_gap,
|
||||
)
|
||||
y[istart:istop] = (
|
||||
open,
|
||||
open,
|
||||
low,
|
||||
high,
|
||||
close,
|
||||
close,
|
||||
)
|
||||
|
||||
# specifies that the first edge is never connected to the
|
||||
# prior bars last edge thus providing a small "gap"/"space"
|
||||
# between bars determined by ``bar_gap``.
|
||||
c[istart:istop] = (1, 1, 1, 1, 1, 0)
|
||||
|
||||
return x, y, c
|
||||
|
||||
|
||||
def gen_ohlc_qpath(
|
||||
r: Renderer,
|
||||
data: np.ndarray,
|
||||
array_key: str, # we ignore this
|
||||
vr: tuple[int, int],
|
||||
|
||||
start: int = 0, # XXX: do we need this?
|
||||
# 0.5 is no overlap between arms, 1.0 is full overlap
|
||||
w: float = 0.43,
|
||||
|
||||
) -> QtGui.QPainterPath:
|
||||
'''
|
||||
More or less direct proxy to ``path_arrays_from_ohlc()``
|
||||
but with closed in kwargs for line spacing.
|
||||
|
||||
'''
|
||||
x, y, c = path_arrays_from_ohlc(
|
||||
data,
|
||||
start,
|
||||
bar_gap=w,
|
||||
)
|
||||
return x, y, c
|
||||
|
||||
|
||||
def ohlc_to_line(
|
||||
ohlc_shm: ShmArray,
|
||||
data_field: str,
|
||||
fields: list[str] = ['open', 'high', 'low', 'close']
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
np.ndarray,
|
||||
]:
|
||||
'''
|
||||
Convert an input struct-array holding OHLC samples into a pair of
|
||||
flattened x, y arrays with the same size (datums wise) as the source
|
||||
data.
|
||||
|
||||
'''
|
||||
y_out = ohlc_shm.ustruct(fields)
|
||||
first = ohlc_shm._first.value
|
||||
last = ohlc_shm._last.value
|
||||
|
||||
# write pushed data to flattened copy
|
||||
y_out[first:last] = rfn.structured_to_unstructured(
|
||||
ohlc_shm.array[fields]
|
||||
)
|
||||
|
||||
# generate an flat-interpolated x-domain
|
||||
x_out = (
|
||||
np.broadcast_to(
|
||||
ohlc_shm._array['index'][:, None],
|
||||
(
|
||||
ohlc_shm._array.size,
|
||||
# 4, # only ohlc
|
||||
y_out.shape[1],
|
||||
),
|
||||
) + np.array([-0.5, 0, 0, 0.5])
|
||||
)
|
||||
assert y_out.any()
|
||||
|
||||
return (
|
||||
x_out,
|
||||
y_out,
|
||||
)
|
||||
|
||||
|
||||
def to_step_format(
|
||||
shm: ShmArray,
|
||||
data_field: str,
|
||||
index_field: str = 'index',
|
||||
|
||||
) -> tuple[int, np.ndarray, np.ndarray]:
|
||||
'''
|
||||
Convert an input 1d shm array to a "step array" format
|
||||
for use by path graphics generation.
|
||||
|
||||
'''
|
||||
i = shm._array['index'].copy()
|
||||
out = shm._array[data_field].copy()
|
||||
|
||||
x_out = np.broadcast_to(
|
||||
i[:, None],
|
||||
(i.size, 2),
|
||||
) + np.array([-0.5, 0.5])
|
||||
|
||||
y_out = np.empty((len(out), 2), dtype=out.dtype)
|
||||
y_out[:] = out[:, np.newaxis]
|
||||
|
||||
# start y at origin level
|
||||
y_out[0, 0] = 0
|
||||
return x_out, y_out
|
||||
|
|
@ -71,10 +71,10 @@ async def update_pnl_from_feed(
|
|||
log.info(f'Starting pnl display for {pp.alloc.account}')
|
||||
|
||||
if live.size < 0:
|
||||
types = ('ask', 'last', 'last', 'dark_trade')
|
||||
types = ('ask', 'last', 'last', 'utrade')
|
||||
|
||||
elif live.size > 0:
|
||||
types = ('bid', 'last', 'last', 'dark_trade')
|
||||
types = ('bid', 'last', 'last', 'utrade')
|
||||
|
||||
else:
|
||||
log.info(f'No position (yet) for {tracker.alloc.account}@{key}')
|
||||
|
|
@ -119,8 +119,7 @@ async def update_pnl_from_feed(
|
|||
|
||||
@dataclass
|
||||
class SettingsPane:
|
||||
'''
|
||||
Composite set of widgets plus an allocator model for configuring
|
||||
'''Composite set of widgets plus an allocator model for configuring
|
||||
order entry sizes and position limits per tradable instrument.
|
||||
|
||||
'''
|
||||
|
|
@ -152,8 +151,7 @@ class SettingsPane:
|
|||
key: str,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Called on any order pane drop down selection change.
|
||||
'''Called on any order pane drop down selection change.
|
||||
|
||||
'''
|
||||
log.info(f'selection input {key}:{text}')
|
||||
|
|
@ -166,8 +164,7 @@ class SettingsPane:
|
|||
value: str,
|
||||
|
||||
) -> bool:
|
||||
'''
|
||||
Called on any order pane edit field value change.
|
||||
'''Called on any order pane edit field value change.
|
||||
|
||||
'''
|
||||
mode = self.order_mode
|
||||
|
|
@ -222,36 +219,16 @@ class SettingsPane:
|
|||
else:
|
||||
value = puterize(value)
|
||||
if key == 'limit':
|
||||
pp = mode.current_pp.live_pp
|
||||
|
||||
if size_unit == 'currency':
|
||||
dsize = pp.dsize
|
||||
if dsize > value:
|
||||
log.error(
|
||||
f'limit must > then current pp: {dsize}'
|
||||
)
|
||||
raise ValueError
|
||||
|
||||
alloc.currency_limit = value
|
||||
|
||||
else:
|
||||
size = pp.size
|
||||
if size > value:
|
||||
log.error(
|
||||
f'limit must > then current pp: {size}'
|
||||
)
|
||||
raise ValueError
|
||||
|
||||
alloc.units_limit = value
|
||||
|
||||
elif key == 'slots':
|
||||
if value <= 0:
|
||||
raise ValueError('slots must be > 0')
|
||||
alloc.slots = int(value)
|
||||
|
||||
else:
|
||||
log.error(f'Unknown setting {key}')
|
||||
raise ValueError
|
||||
raise ValueError(f'Unknown setting {key}')
|
||||
|
||||
log.info(f'settings change: {key}: {value}')
|
||||
|
||||
|
|
@ -386,8 +363,7 @@ def position_line(
|
|||
marker: Optional[LevelMarker] = None,
|
||||
|
||||
) -> LevelLine:
|
||||
'''
|
||||
Convenience routine to create a line graphic representing a "pp"
|
||||
'''Convenience routine to create a line graphic representing a "pp"
|
||||
aka the acro for a,
|
||||
"{piker, private, personal, puny, <place your p-word here>} position".
|
||||
|
||||
|
|
@ -441,8 +417,7 @@ def position_line(
|
|||
|
||||
|
||||
class PositionTracker:
|
||||
'''
|
||||
Track and display real-time positions for a single symbol
|
||||
'''Track and display real-time positions for a single symbol
|
||||
over multiple accounts on a single chart.
|
||||
|
||||
Graphically composed of a level line and marker as well as labels
|
||||
|
|
@ -522,8 +497,7 @@ class PositionTracker:
|
|||
|
||||
@property
|
||||
def pane(self) -> FieldsForm:
|
||||
'''
|
||||
Return handle to pp side pane form.
|
||||
'''Return handle to pp side pane form.
|
||||
|
||||
'''
|
||||
return self.chart.linked.godwidget.pp_pane
|
||||
|
|
@ -533,8 +507,7 @@ class PositionTracker:
|
|||
marker: LevelMarker
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Update all labels.
|
||||
'''Update all labels.
|
||||
|
||||
Meant to be called from the maker ``.paint()``
|
||||
for immediate, lag free label draws.
|
||||
|
|
|
|||
|
|
@ -49,6 +49,7 @@ from PyQt5 import QtCore
|
|||
from PyQt5 import QtWidgets
|
||||
from PyQt5.QtCore import (
|
||||
Qt,
|
||||
# QSize,
|
||||
QModelIndex,
|
||||
QItemSelectionModel,
|
||||
)
|
||||
|
|
@ -125,10 +126,6 @@ class CompleterView(QTreeView):
|
|||
# self.setSizeAdjustPolicy(QAbstractScrollArea.AdjustIgnored)
|
||||
|
||||
# ux settings
|
||||
self.setSizePolicy(
|
||||
QtWidgets.QSizePolicy.Expanding,
|
||||
QtWidgets.QSizePolicy.Expanding,
|
||||
)
|
||||
self.setItemsExpandable(True)
|
||||
self.setExpandsOnDoubleClick(False)
|
||||
self.setAnimated(False)
|
||||
|
|
@ -156,58 +153,23 @@ class CompleterView(QTreeView):
|
|||
|
||||
self.setStyleSheet(f"font: {size}px")
|
||||
|
||||
# def resizeEvent(self, event: 'QEvent') -> None:
|
||||
# event.accept()
|
||||
# super().resizeEvent(event)
|
||||
|
||||
def on_resize(self) -> None:
|
||||
'''
|
||||
Resize relay event from god.
|
||||
|
||||
'''
|
||||
self.resize_to_results()
|
||||
|
||||
def resize_to_results(self):
|
||||
def resize(self):
|
||||
model = self.model()
|
||||
cols = model.columnCount()
|
||||
# rows = model.rowCount()
|
||||
|
||||
col_w_tot = 0
|
||||
for i in range(cols):
|
||||
self.resizeColumnToContents(i)
|
||||
col_w_tot += self.columnWidth(i)
|
||||
|
||||
win = self.window()
|
||||
win_h = win.height()
|
||||
edit_h = self.parent().bar.height()
|
||||
sb_h = win.statusBar().height()
|
||||
# inclusive of search bar and header "rows" in pixel terms
|
||||
rows = 100
|
||||
# max_rows = 8 # 6 + search and headers
|
||||
row_px = self.rowHeight(self.currentIndex())
|
||||
# print(f'font_h: {font_h}\n px_height: {px_height}')
|
||||
|
||||
# TODO: probably make this more general / less hacky
|
||||
# we should figure out the exact number of rows to allow
|
||||
# inclusive of search bar and header "rows", in pixel terms.
|
||||
# Eventually when we have an "info" widget below the results we
|
||||
# will want space for it and likely terminating the results-view
|
||||
# space **exactly on a row** would be ideal.
|
||||
# if row_px > 0:
|
||||
# rows = ceil(window_h / row_px) - 4
|
||||
# else:
|
||||
# rows = 16
|
||||
# self.setFixedHeight(rows * row_px)
|
||||
# self.resize(self.width(), rows * row_px)
|
||||
|
||||
# NOTE: if the heigh set here is **too large** then the resize
|
||||
# event will perpetually trigger as the window causes some kind
|
||||
# of recompute of callbacks.. so we have to ensure it's limited.
|
||||
h = win_h - (edit_h + 1.666*sb_h)
|
||||
assert h > 0
|
||||
self.setFixedHeight(round(h))
|
||||
|
||||
# size to width of longest result seen thus far
|
||||
# TODO: should we always dynamically scale to longest result?
|
||||
if self.width() < col_w_tot:
|
||||
self.setFixedWidth(col_w_tot)
|
||||
|
||||
self.update()
|
||||
self.setMinimumSize(self.width(), rows * row_px)
|
||||
self.setMaximumSize(self.width() + 10, rows * row_px)
|
||||
self.setFixedWidth(333)
|
||||
|
||||
def is_selecting_d1(self) -> bool:
|
||||
cidx = self.selectionModel().currentIndex()
|
||||
|
|
@ -256,8 +218,7 @@ class CompleterView(QTreeView):
|
|||
idx: QModelIndex,
|
||||
|
||||
) -> QStandardItem:
|
||||
'''
|
||||
Select and return the item at index ``idx``.
|
||||
'''Select and return the item at index ``idx``.
|
||||
|
||||
'''
|
||||
sel = self.selectionModel()
|
||||
|
|
@ -272,8 +233,7 @@ class CompleterView(QTreeView):
|
|||
return model.itemFromIndex(idx)
|
||||
|
||||
def select_first(self) -> QStandardItem:
|
||||
'''
|
||||
Select the first depth >= 2 entry from the completer tree and
|
||||
'''Select the first depth >= 2 entry from the completer tree and
|
||||
return it's item.
|
||||
|
||||
'''
|
||||
|
|
@ -336,8 +296,7 @@ class CompleterView(QTreeView):
|
|||
section: str,
|
||||
|
||||
) -> Optional[QModelIndex]:
|
||||
'''
|
||||
Find the *first* depth = 1 section matching ``section`` in
|
||||
'''Find the *first* depth = 1 section matching ``section`` in
|
||||
the tree and return its index.
|
||||
|
||||
'''
|
||||
|
|
@ -375,7 +334,7 @@ class CompleterView(QTreeView):
|
|||
else:
|
||||
model.setItem(idx.row(), 1, QStandardItem())
|
||||
|
||||
self.resize_to_results()
|
||||
self.resize()
|
||||
|
||||
return idx
|
||||
else:
|
||||
|
|
@ -446,7 +405,7 @@ class CompleterView(QTreeView):
|
|||
|
||||
def show_matches(self) -> None:
|
||||
self.show()
|
||||
self.resize_to_results()
|
||||
self.resize()
|
||||
|
||||
|
||||
class SearchBar(Edit):
|
||||
|
|
@ -466,7 +425,6 @@ class SearchBar(Edit):
|
|||
self.godwidget = godwidget
|
||||
super().__init__(parent, **kwargs)
|
||||
self.view: CompleterView = view
|
||||
godwidget._widgets[view.mode_name] = view
|
||||
|
||||
def show(self) -> None:
|
||||
super().show()
|
||||
|
|
@ -501,7 +459,7 @@ class SearchWidget(QtWidgets.QWidget):
|
|||
# size it as we specify
|
||||
self.setSizePolicy(
|
||||
QtWidgets.QSizePolicy.Fixed,
|
||||
QtWidgets.QSizePolicy.Expanding,
|
||||
QtWidgets.QSizePolicy.Fixed,
|
||||
)
|
||||
|
||||
self.godwidget = godwidget
|
||||
|
|
|
|||
|
|
@ -14,16 +14,14 @@
|
|||
# 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/>.
|
||||
|
||||
'''
|
||||
"""
|
||||
Qt UI styling.
|
||||
|
||||
'''
|
||||
"""
|
||||
from typing import Optional, Dict
|
||||
import math
|
||||
|
||||
import pyqtgraph as pg
|
||||
from PyQt5 import QtCore, QtGui
|
||||
from PyQt5.QtCore import Qt, QCoreApplication
|
||||
from qdarkstyle import DarkPalette
|
||||
|
||||
from ..log import get_logger
|
||||
|
|
@ -122,10 +120,6 @@ class DpiAwareFont:
|
|||
|
||||
dpi = mn_dpi
|
||||
|
||||
mult = 1.0
|
||||
|
||||
# No implicit DPI scaling was done by the DE so let's engage
|
||||
# some hackery ad-hoc scaling shiat.
|
||||
# dpi is likely somewhat scaled down so use slightly larger font size
|
||||
if scale >= 1.1 and self._font_size:
|
||||
|
||||
|
|
@ -140,16 +134,6 @@ class DpiAwareFont:
|
|||
# relative aspect ratios or something?
|
||||
inches *= mult
|
||||
|
||||
# XXX: if additionally we detect a known DE scaling factor we
|
||||
# also scale *up* our font size on top of the existing
|
||||
# heuristical (aka no clue why it works) scaling from the block
|
||||
# above XD
|
||||
if (
|
||||
hasattr(Qt, 'AA_EnableHighDpiScaling')
|
||||
and QCoreApplication.testAttribute(Qt.AA_EnableHighDpiScaling)
|
||||
):
|
||||
inches *= round(scale)
|
||||
|
||||
# TODO: we might want to fiddle with incrementing font size by
|
||||
# +1 for the edge cases above. it seems doing it via scaling is
|
||||
# always going to hit that error in range mapping from inches:
|
||||
|
|
@ -157,8 +141,8 @@ class DpiAwareFont:
|
|||
self._font_inches = inches
|
||||
font_size = math.floor(inches * dpi)
|
||||
|
||||
log.debug(
|
||||
f"screen:{screen.name()}\n"
|
||||
log.info(
|
||||
f"screen:{screen.name()}]\n"
|
||||
f"pDPI: {pdpi}, lDPI: {ldpi}, scale: {scale}\n"
|
||||
f"\nOur best guess font size is {font_size}\n"
|
||||
)
|
||||
|
|
@ -203,6 +187,8 @@ _xaxis_at = 'bottom'
|
|||
# charting config
|
||||
CHART_MARGINS = (0, 0, 2, 2)
|
||||
_min_points_to_show = 6
|
||||
_bars_to_left_in_follow_mode = int(61*6)
|
||||
_bars_from_right_in_follow_mode = round(0.16 * _bars_to_left_in_follow_mode)
|
||||
_tina_mode = False
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -153,7 +153,8 @@ class MainWindow(QtGui.QMainWindow):
|
|||
# XXX: for tiling wms this should scale
|
||||
# with the alloted window size.
|
||||
# TODO: detect for tiling and if untrue set some size?
|
||||
size = (300, 500)
|
||||
# size = (300, 500)
|
||||
size = (0, 0)
|
||||
|
||||
title = 'piker chart (ur symbol is loading bby)'
|
||||
|
||||
|
|
@ -164,7 +165,6 @@ class MainWindow(QtGui.QMainWindow):
|
|||
|
||||
self._status_bar: QStatusBar = None
|
||||
self._status_label: QLabel = None
|
||||
self._size: Optional[tuple[int, int]] = None
|
||||
|
||||
@property
|
||||
def mode_label(self) -> QtGui.QLabel:
|
||||
|
|
@ -269,29 +269,6 @@ class MainWindow(QtGui.QMainWindow):
|
|||
assert screen, "Wow Qt is dumb as shit and has no screen..."
|
||||
return screen
|
||||
|
||||
def configure_to_desktop(
|
||||
self,
|
||||
size: Optional[tuple[int, int]] = None,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Explicitly size the window dimensions (for stacked window
|
||||
managers).
|
||||
|
||||
For tina systems (like windoze) try to do a sane window size on
|
||||
startup.
|
||||
|
||||
'''
|
||||
# https://stackoverflow.com/a/18975846
|
||||
if not size and not self._size:
|
||||
app = QtGui.QApplication.instance()
|
||||
geo = self.current_screen().geometry()
|
||||
h, w = geo.height(), geo.width()
|
||||
# use approx 1/3 of the area of the screen by default
|
||||
self._size = round(w * .666), round(h * .666)
|
||||
|
||||
self.resize(*size or self._size)
|
||||
|
||||
|
||||
# singleton app per actor
|
||||
_qt_win: QtGui.QMainWindow = None
|
||||
|
|
|
|||
|
|
@ -122,8 +122,7 @@ def optschain(config, symbol, date, rate, test):
|
|||
@cli.command()
|
||||
@click.option(
|
||||
'--profile',
|
||||
'-p',
|
||||
default=None,
|
||||
is_flag=True,
|
||||
help='Enable pyqtgraph profiling'
|
||||
)
|
||||
@click.option(
|
||||
|
|
@ -134,16 +133,9 @@ def optschain(config, symbol, date, rate, test):
|
|||
@click.argument('symbol', required=True)
|
||||
@click.pass_obj
|
||||
def chart(config, symbol, profile, pdb):
|
||||
'''
|
||||
Start a real-time chartng UI
|
||||
|
||||
'''
|
||||
# eg. ``--profile 3`` reports profiling for anything slower then 3 ms.
|
||||
if profile is not None:
|
||||
"""Start a real-time chartng UI
|
||||
"""
|
||||
from .. import _profile
|
||||
_profile._pg_profile = True
|
||||
_profile.ms_slower_then = float(profile)
|
||||
|
||||
from ._app import _main
|
||||
|
||||
if '.' not in symbol:
|
||||
|
|
@ -153,6 +145,8 @@ def chart(config, symbol, profile, pdb):
|
|||
))
|
||||
return
|
||||
|
||||
# toggle to enable profiling
|
||||
_profile._pg_profile = profile
|
||||
|
||||
# global opts
|
||||
brokernames = config['brokers']
|
||||
|
|
|
|||
|
|
@ -22,7 +22,6 @@ from contextlib import asynccontextmanager
|
|||
from dataclasses import dataclass, field
|
||||
from functools import partial
|
||||
from pprint import pformat
|
||||
import platform
|
||||
import time
|
||||
from typing import Optional, Dict, Callable, Any
|
||||
import uuid
|
||||
|
|
@ -30,7 +29,6 @@ import uuid
|
|||
from pydantic import BaseModel
|
||||
import tractor
|
||||
import trio
|
||||
from PyQt5.QtCore import Qt
|
||||
|
||||
from .. import config
|
||||
from ..clearing._client import open_ems, OrderBook
|
||||
|
|
@ -38,7 +36,6 @@ from ..clearing._allocate import (
|
|||
mk_allocator,
|
||||
Position,
|
||||
)
|
||||
from ._style import _font
|
||||
from ..data._source import Symbol
|
||||
from ..data.feed import Feed
|
||||
from ..log import get_logger
|
||||
|
|
@ -48,8 +45,7 @@ from ._position import (
|
|||
PositionTracker,
|
||||
SettingsPane,
|
||||
)
|
||||
from ._forms import FieldsForm
|
||||
# from ._label import FormatLabel
|
||||
from ._label import FormatLabel
|
||||
from ._window import MultiStatus
|
||||
from ..clearing._messages import Order, BrokerdPosition
|
||||
from ._forms import open_form_input_handling
|
||||
|
|
@ -110,8 +106,7 @@ def on_level_change_update_next_order_info(
|
|||
|
||||
@dataclass
|
||||
class OrderMode:
|
||||
'''
|
||||
Major UX mode for placing orders on a chart view providing so
|
||||
'''Major UX mode for placing orders on a chart view providing so
|
||||
called, "chart trading".
|
||||
|
||||
This is the other "main" mode that pairs with "view mode" (when
|
||||
|
|
@ -271,14 +266,13 @@ class OrderMode:
|
|||
|
||||
'''
|
||||
staged = self._staged_order
|
||||
symbol: Symbol = staged.symbol
|
||||
symbol = staged.symbol
|
||||
oid = str(uuid.uuid4())
|
||||
|
||||
# format order data for ems
|
||||
fqsn = symbol.front_fqsn()
|
||||
order = staged.copy(
|
||||
update={
|
||||
'symbol': fqsn,
|
||||
'symbol': symbol.key,
|
||||
'oid': oid,
|
||||
}
|
||||
)
|
||||
|
|
@ -435,19 +429,13 @@ class OrderMode:
|
|||
|
||||
# TODO: make this not trash.
|
||||
# XXX: linux only for now
|
||||
if platform.system() == "Windows":
|
||||
return
|
||||
|
||||
result = await trio.run_process(
|
||||
[
|
||||
'notify-send',
|
||||
'-u', 'normal',
|
||||
'-t', '1616',
|
||||
'-t', '10000',
|
||||
'piker',
|
||||
|
||||
# TODO: add in standard fill/exec info that maybe we
|
||||
# pack in a broker independent way?
|
||||
f'{msg["resp"]}: {msg["trigger_price"]}',
|
||||
f'alert: {msg}',
|
||||
],
|
||||
)
|
||||
log.runtime(result)
|
||||
|
|
@ -523,7 +511,8 @@ async def open_order_mode(
|
|||
|
||||
feed: Feed,
|
||||
chart: 'ChartPlotWidget', # noqa
|
||||
fqsn: str,
|
||||
symbol: Symbol,
|
||||
brokername: str,
|
||||
started: trio.Event,
|
||||
|
||||
) -> None:
|
||||
|
|
@ -549,7 +538,8 @@ async def open_order_mode(
|
|||
|
||||
# spawn EMS actor-service
|
||||
async with (
|
||||
open_ems(fqsn) as (
|
||||
|
||||
open_ems(brokername, symbol) as (
|
||||
book,
|
||||
trades_stream,
|
||||
position_msgs,
|
||||
|
|
@ -558,7 +548,8 @@ async def open_order_mode(
|
|||
trio.open_nursery() as tn,
|
||||
|
||||
):
|
||||
log.info(f'Opening order mode for {fqsn}')
|
||||
log.info(f'Opening order mode for {brokername}.{symbol.key}')
|
||||
|
||||
view = chart.view
|
||||
|
||||
# annotations editors
|
||||
|
|
@ -567,7 +558,7 @@ async def open_order_mode(
|
|||
|
||||
# symbol id
|
||||
symbol = chart.linked.symbol
|
||||
symkey = symbol.front_fqsn()
|
||||
symkey = symbol.key
|
||||
|
||||
# map of per-provider account keys to position tracker instances
|
||||
trackers: dict[str, PositionTracker] = {}
|
||||
|
|
@ -611,7 +602,7 @@ async def open_order_mode(
|
|||
log.info(f'Loading pp for {symkey}:\n{pformat(msg)}')
|
||||
startup_pp.update_from_msg(msg)
|
||||
|
||||
# allocator config
|
||||
# allocator
|
||||
alloc = mk_allocator(
|
||||
symbol=symbol,
|
||||
account=account_name,
|
||||
|
|
@ -642,21 +633,61 @@ async def open_order_mode(
|
|||
pp_tracker.hide_info()
|
||||
|
||||
# setup order mode sidepane widgets
|
||||
form: FieldsForm = chart.sidepane
|
||||
form.vbox.setSpacing(
|
||||
int((1 + 5/8)*_font.px_size)
|
||||
form = chart.sidepane
|
||||
vbox = form.vbox
|
||||
|
||||
from textwrap import dedent
|
||||
|
||||
from PyQt5.QtCore import Qt
|
||||
|
||||
from ._style import _font, _font_small
|
||||
from ..calc import humanize
|
||||
|
||||
feed_label = FormatLabel(
|
||||
fmt_str=dedent("""
|
||||
actor: **{actor_name}**\n
|
||||
|_ @**{host}:{port}**\n
|
||||
|_ throttle_hz: **{throttle_rate}**\n
|
||||
|_ streams: **{symbols}**\n
|
||||
|_ shm: **{shm}**\n
|
||||
"""),
|
||||
font=_font.font,
|
||||
font_size=_font_small.px_size,
|
||||
font_color='default_lightest',
|
||||
)
|
||||
|
||||
from ._feedstatus import mk_feed_label
|
||||
|
||||
feed_label = mk_feed_label(
|
||||
form,
|
||||
feed,
|
||||
chart,
|
||||
)
|
||||
|
||||
# XXX: we set this because?
|
||||
form.feed_label = feed_label
|
||||
|
||||
# add feed info label to top
|
||||
vbox.insertWidget(
|
||||
0,
|
||||
feed_label,
|
||||
alignment=Qt.AlignBottom,
|
||||
)
|
||||
# vbox.setAlignment(feed_label, Qt.AlignBottom)
|
||||
# vbox.setAlignment(Qt.AlignBottom)
|
||||
blank_h = chart.height() - (
|
||||
form.height() +
|
||||
form.fill_bar.height()
|
||||
# feed_label.height()
|
||||
)
|
||||
vbox.setSpacing((1 + 5/8)*_font.px_size)
|
||||
|
||||
# fill in brokerd feed info
|
||||
host, port = feed.portal.channel.raddr
|
||||
if host == '127.0.0.1':
|
||||
host = 'localhost'
|
||||
mpshm = feed.shm._shm
|
||||
shmstr = f'{humanize(mpshm.size)}'
|
||||
form.feed_label.format(
|
||||
actor_name=feed.portal.channel.uid[0],
|
||||
host=host,
|
||||
port=port,
|
||||
symbols=len(feed.symbols),
|
||||
shm=shmstr,
|
||||
throttle_rate=feed.throttle_rate,
|
||||
)
|
||||
|
||||
order_pane = SettingsPane(
|
||||
form=form,
|
||||
# XXX: ugh, so hideous...
|
||||
|
|
@ -667,11 +698,6 @@ async def open_order_mode(
|
|||
)
|
||||
order_pane.set_accounts(list(trackers.keys()))
|
||||
|
||||
form.vbox.addWidget(
|
||||
feed_label,
|
||||
alignment=Qt.AlignBottom,
|
||||
)
|
||||
|
||||
# update pp icons
|
||||
for name, tracker in trackers.items():
|
||||
order_pane.update_account_icons({name: tracker.live_pp})
|
||||
|
|
@ -782,18 +808,8 @@ async def process_trades_and_update_ui(
|
|||
'position',
|
||||
):
|
||||
sym = mode.chart.linked.symbol
|
||||
pp_msg_symbol = msg['symbol'].lower()
|
||||
fqsn = sym.front_fqsn()
|
||||
broker, key = sym.front_feed()
|
||||
# print(
|
||||
# f'pp msg symbol: {pp_msg_symbol}\n',
|
||||
# f'fqsn: {fqsn}\n',
|
||||
# f'front key: {key}\n',
|
||||
# )
|
||||
if msg['symbol'].lower() in sym.key:
|
||||
|
||||
if (
|
||||
pp_msg_symbol == fqsn.replace(f'.{broker}', '')
|
||||
):
|
||||
tracker = mode.trackers[msg['account']]
|
||||
tracker.live_pp.update_from_msg(msg)
|
||||
# update order pane widgets
|
||||
|
|
@ -873,9 +889,7 @@ async def process_trades_and_update_ui(
|
|||
mode.lines.remove_line(uuid=oid)
|
||||
|
||||
# each clearing tick is responded individually
|
||||
elif resp in (
|
||||
'broker_filled',
|
||||
):
|
||||
elif resp in ('broker_filled',):
|
||||
|
||||
known_order = book._sent_orders.get(oid)
|
||||
if not known_order:
|
||||
|
|
|
|||
|
|
@ -1,21 +1,9 @@
|
|||
# we require a pinned dev branch to get some edge features that
|
||||
# are often untested in tractor's CI and/or being tested by us
|
||||
# first before committing as core features in tractor's base.
|
||||
-e git+https://github.com/goodboy/tractor.git@master#egg=tractor
|
||||
-e git+git://github.com/goodboy/tractor.git@master#egg=tractor
|
||||
|
||||
# `pyqtgraph` peeps keep breaking, fixing, improving so might as well
|
||||
# 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
|
||||
|
||||
|
||||
# ``trimeter`` for asysnc history fetching
|
||||
-e git+https://github.com/python-trio/trimeter.git@master#egg=trimeter
|
||||
|
||||
|
||||
# ``asyncvnc`` for sending interactions to ib-gw inside docker
|
||||
-e git+https://github.com/pikers/asyncvnc.git@vid_passthrough#egg=asyncvnc
|
||||
-e git+git://github.com/pikers/pyqtgraph.git@piker_pin#egg=pyqtgraph
|
||||
|
|
|
|||
38
setup.py
38
setup.py
|
|
@ -51,56 +51,42 @@ setup(
|
|||
# async
|
||||
'trio',
|
||||
'trio-websocket',
|
||||
'msgspec', # performant IPC messaging
|
||||
# 'tractor', # from github currently
|
||||
'async_generator',
|
||||
|
||||
# from github currently (see requirements.txt)
|
||||
# 'trimeter', # not released yet..
|
||||
# 'tractor',
|
||||
# asyncvnc,
|
||||
|
||||
# brokers
|
||||
'asks==2.4.8',
|
||||
'ib_insync',
|
||||
|
||||
# numerics
|
||||
'pendulum', # easier datetimes
|
||||
'arrow', # better datetimes
|
||||
'bidict', # 2 way map
|
||||
'cython',
|
||||
'numpy',
|
||||
'numba',
|
||||
'pandas',
|
||||
'msgpack-numpy',
|
||||
|
||||
# UI
|
||||
'PyQt5',
|
||||
# 'pyqtgraph', from our fork see reqs.txt
|
||||
'qdarkstyle >= 3.0.2', # themeing
|
||||
'fuzzywuzzy[speedup]', # fuzzy search
|
||||
'pyqtgraph',
|
||||
'qdarkstyle >= 3.0.2',
|
||||
# fuzzy search
|
||||
'fuzzywuzzy[speedup]',
|
||||
|
||||
# tsdbs
|
||||
# anyio-marketstore # from gh see reqs.txt
|
||||
'pymarketstore',
|
||||
],
|
||||
extras_require={
|
||||
'tsdb': [
|
||||
'docker',
|
||||
],
|
||||
|
||||
},
|
||||
tests_require=['pytest'],
|
||||
python_requires=">=3.10",
|
||||
keywords=[
|
||||
"async",
|
||||
"trading",
|
||||
"finance",
|
||||
"quant",
|
||||
"charting",
|
||||
],
|
||||
python_requires=">=3.9", # literally for ``datetime.datetime.fromisoformat``...
|
||||
keywords=["async", "trading", "finance", "quant", "charting"],
|
||||
classifiers=[
|
||||
'Development Status :: 3 - Alpha',
|
||||
'License :: OSI Approved :: ',
|
||||
'Operating System :: POSIX :: Linux',
|
||||
"Programming Language :: Python :: Implementation :: CPython",
|
||||
"Programming Language :: Python :: 3 :: Only",
|
||||
"Programming Language :: Python :: 3.10",
|
||||
"Programming Language :: Python :: 3.9",
|
||||
'Intended Audience :: Financial and Insurance Industry',
|
||||
'Intended Audience :: Science/Research',
|
||||
'Intended Audience :: Developers',
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for 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
|
||||
|
|
@ -30,13 +30,11 @@ 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', # gw running in i3 (newer version?)
|
||||
'IB Gateway.', # gw running in i3
|
||||
]
|
||||
|
||||
for name in win_names:
|
||||
results = t.find_titled(name)
|
||||
print(f'results for {name}: {results}')
|
||||
results = t.find_named(name)
|
||||
if results:
|
||||
con = results[0]
|
||||
print(f'Resetting data feed for {name}')
|
||||
|
|
@ -49,15 +47,6 @@ for name in win_names:
|
|||
# https://github.com/rr-/pyxdotool
|
||||
# https://github.com/ShaneHutter/pyxdotool
|
||||
# https://github.com/cphyc/pyxdotool
|
||||
|
||||
# TODO: only run the reconnect (2nd) kc on a detected
|
||||
# disconnect?
|
||||
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,
|
||||
|
|
@ -67,13 +56,12 @@ for name in win_names:
|
|||
'mousemove_relative', '--sync', str(w-4), str(h-4),
|
||||
|
||||
# NOTE: we may need to stick a `--retry 3` in here..
|
||||
'click', '--window', win_id,
|
||||
'--repeat', '3', '1',
|
||||
'click', '--window', win_id, '--repeat', '3', '1',
|
||||
|
||||
# hackzorzes
|
||||
'key', key_combo,
|
||||
'key', 'ctrl+alt+f',
|
||||
],
|
||||
timeout=timeout,
|
||||
timeout=1,
|
||||
)
|
||||
|
||||
# re-activate and focus original window
|
||||
Loading…
Reference in New Issue