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@ -1,8 +1,40 @@
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||||||
.accounting
|
piker.accounting
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||||||
-----------
|
________________
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||||||
A subsystem for transaction processing, storage and historical
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A subsystem for transaction processing, storage and historical
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measurement.
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measurement.
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||||||
|
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synopsis
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--------
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The big question for any trader is this:
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|
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*what is the price that determines whether i take a loss or a gain on my
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trade?*
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|
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In other words, at any given state of accounting your current assets,
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what is the price between any 2 assets you've transacted that determines
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at which price you can conduct **the next** transaction and know if you
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are making or losing more (or less) of the *source* asset versus the
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*destination* asset?
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|
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Let's do a very simple example:
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|
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> Joe wants to buy some tacos bc they're super hungo.
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> Joe has a friend who also likes tacos but doesn't mind if they're fresh; he doesn't mind having day old tacos.
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> Inflation is rampant and taco prices are trending up for no good reason besides everyone thinks prices are going up.
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> Joe goes to the taco stand and buys 4 tacos at 25 mxn.
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> This makes Joe's net cost `4 * 25 = 200` mxn.
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> Joe eats 3 tacos and realizes that he can't finish the last, so he puts it in the fridge to save for the next day (since he owns a comal).
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> The next day the price of tacos goes up to 30 mxn (for no good reason > besides the taco stand noticing Joe is a tourist and that > "inflation" is some thing that's used as an excuse for price changes).
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> Joe's friend from before got lit up (like he does every morning) and msgs Joe to buy him 2 tacos for when he shows up in the late morning.
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> Joe says "sure, but i also have a leftover if you want it, and I'm fasting today so you can have my sobras and i'll buy you a new one".
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> The friend coughs a couple times, and says "yee no problem man, just make sure you get them"
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>
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|
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|
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Prior *suit* definitions:
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|
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- the canucks equiv of the IRS call this idea ["Adjusted cost base"](https://www.canada.ca/en/revenue-agency/services/tax/individuals/topics/about-your-tax-return/tax-return/completing-a-tax-return/personal-income/line-12700-capital-gains/definitions-capital-gains.html#Adjustedcostbase)
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|
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.pnl
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.pnl
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----
|
----
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|
|
|
@ -40,7 +40,7 @@ import tomli_w # for fast ledger writing
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|
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from piker.types import Struct
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from piker.types import Struct
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from piker import config
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from piker import config
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from ..log import get_logger
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from piker.log import get_logger
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from .calc import (
|
from .calc import (
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iter_by_dt,
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iter_by_dt,
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)
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)
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@ -239,7 +239,9 @@ class TransactionLedger(UserDict):
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|
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symcache: SymbologyCache = self._symcache
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symcache: SymbologyCache = self._symcache
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towrite: dict[str, Any] = {}
|
towrite: dict[str, Any] = {}
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for tid, txdict in self.tx_sort(self.data.copy()):
|
for tid, txdict in self.tx_sort(
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|
self.data.copy()
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|
):
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# write blank-str expiry for non-expiring assets
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# write blank-str expiry for non-expiring assets
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if (
|
if (
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'expiry' in txdict
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'expiry' in txdict
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|
@ -377,7 +379,7 @@ def open_trade_ledger(
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account,
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account,
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dirpath=_fp,
|
dirpath=_fp,
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)
|
)
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cpy = ledger_dict.copy()
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cpy: dict = ledger_dict.copy()
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|
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# XXX NOTE: if not provided presume we are being called from
|
# XXX NOTE: if not provided presume we are being called from
|
||||||
# sync code and need to maybe run `trio` to generate..
|
# sync code and need to maybe run `trio` to generate..
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|
@ -406,7 +408,13 @@ def open_trade_ledger(
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account=account,
|
account=account,
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mod=mod,
|
mod=mod,
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symcache=symcache,
|
symcache=symcache,
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tx_sort=getattr(mod, 'tx_sort', tx_sort),
|
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|
# NOTE: allow backends to provide custom ledger sorting
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|
tx_sort=getattr(
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|
mod,
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|
'tx_sort',
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|
tx_sort,
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|
),
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)
|
)
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try:
|
try:
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yield ledger
|
yield ledger
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|
|
|
@ -305,8 +305,8 @@ class MktPair(Struct, frozen=True):
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# config right?
|
# config right?
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# src_type: AssetTypeName
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# src_type: AssetTypeName
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|
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# for derivs, info describing contract, egs.
|
# for derivs, info describing contract, egs. strike price, call
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# strike price, call or put, swap type, exercise model, etc.
|
# or put, swap type, exercise model, etc.
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contract_info: list[str] | None = None
|
contract_info: list[str] | None = None
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|
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# TODO: rename to sectype since all of these can
|
# TODO: rename to sectype since all of these can
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|
|
|
@ -30,7 +30,8 @@ from types import ModuleType
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from typing import (
|
from typing import (
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Any,
|
Any,
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Iterator,
|
Iterator,
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Generator
|
Generator,
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|
TYPE_CHECKING,
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)
|
)
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|
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import pendulum
|
import pendulum
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|
@ -59,8 +60,10 @@ from ..clearing._messages import (
|
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BrokerdPosition,
|
BrokerdPosition,
|
||||||
)
|
)
|
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from piker.types import Struct
|
from piker.types import Struct
|
||||||
from piker.data._symcache import SymbologyCache
|
from piker.log import get_logger
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from ..log import get_logger
|
|
||||||
|
if TYPE_CHECKING:
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|
from piker.data._symcache import SymbologyCache
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|
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log = get_logger(__name__)
|
log = get_logger(__name__)
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|
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|
@ -493,6 +496,17 @@ class Account(Struct):
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|
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||||||
_mktmap_table: dict[str, MktPair] | None = None,
|
_mktmap_table: dict[str, MktPair] | None = None,
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|
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|
only_require: list[str]|True = True,
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|
# ^list of fqmes that are "required" to be processed from
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|
# this ledger pass; we often don't care about others and
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|
# definitely shouldn't always error in such cases.
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|
# (eg. broker backend loaded that doesn't yet supsport the
|
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|
# symcache but also, inside the paper engine we don't ad-hoc
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|
# request `get_mkt_info()` for every symbol in the ledger,
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|
# only the one for which we're simulating against).
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|
# TODO, not sure if there's a better soln for this, ideally
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|
# all backends get symcache support afap i guess..
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|
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) -> dict[str, Position]:
|
) -> dict[str, Position]:
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'''
|
'''
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Update the internal `.pps[str, Position]` table from input
|
Update the internal `.pps[str, Position]` table from input
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|
@ -535,11 +549,32 @@ class Account(Struct):
|
||||||
if _mktmap_table is None:
|
if _mktmap_table is None:
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raise
|
raise
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|
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||||||
|
required: bool = (
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|
only_require is True
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|
or (
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|
only_require is not True
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|
and
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||||||
|
fqme in only_require
|
||||||
|
)
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||||||
|
)
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# XXX: caller is allowed to provide a fallback
|
# XXX: caller is allowed to provide a fallback
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||||||
# mktmap table for the case where a new position is
|
# mktmap table for the case where a new position is
|
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# being added and the preloaded symcache didn't
|
# being added and the preloaded symcache didn't
|
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# have this entry prior (eg. with frickin IB..)
|
# have this entry prior (eg. with frickin IB..)
|
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mkt = _mktmap_table[fqme]
|
if (
|
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|
not (mkt := _mktmap_table.get(fqme))
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||||||
|
and
|
||||||
|
required
|
||||||
|
):
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||||||
|
raise
|
||||||
|
|
||||||
|
elif not required:
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||||||
|
continue
|
||||||
|
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||||||
|
else:
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||||||
|
# should be an entry retreived somewhere
|
||||||
|
assert mkt
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||||||
|
|
||||||
|
|
||||||
if not (pos := pps.get(bs_mktid)):
|
if not (pos := pps.get(bs_mktid)):
|
||||||
|
|
||||||
|
@ -656,7 +691,7 @@ class Account(Struct):
|
||||||
def write_config(self) -> None:
|
def write_config(self) -> None:
|
||||||
'''
|
'''
|
||||||
Write the current account state to the user's account TOML file, normally
|
Write the current account state to the user's account TOML file, normally
|
||||||
something like ``pps.toml``.
|
something like `pps.toml`.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# TODO: show diff output?
|
# TODO: show diff output?
|
||||||
|
|
|
@ -251,10 +251,16 @@ def iter_by_dt(
|
||||||
for k in parsers:
|
for k in parsers:
|
||||||
if (
|
if (
|
||||||
isdict and k in tx
|
isdict and k in tx
|
||||||
or getattr(tx, k, None)
|
or
|
||||||
|
getattr(tx, k, None)
|
||||||
):
|
):
|
||||||
v = tx[k] if isdict else tx.dt
|
v = (
|
||||||
assert v is not None, f'No valid value for `{k}`!?'
|
tx[k] if isdict
|
||||||
|
else tx.dt
|
||||||
|
)
|
||||||
|
assert v is not None, (
|
||||||
|
f'No valid value for `{k}`!?'
|
||||||
|
)
|
||||||
|
|
||||||
# only call parser on the value if not None from
|
# only call parser on the value if not None from
|
||||||
# the `parsers` table above (when NOT using
|
# the `parsers` table above (when NOT using
|
||||||
|
@ -269,8 +275,21 @@ def iter_by_dt(
|
||||||
return v
|
return v
|
||||||
|
|
||||||
else:
|
else:
|
||||||
# XXX: should never get here..
|
# TODO: move to top?
|
||||||
breakpoint()
|
from piker.log import get_logger
|
||||||
|
log = get_logger(__name__)
|
||||||
|
|
||||||
|
# XXX: we should really never get here..
|
||||||
|
# only if a ledger record has no expected sort(able)
|
||||||
|
# field will we likely hit this.. like with ze IB.
|
||||||
|
# if no sortable field just deliver epoch?
|
||||||
|
log.warning(
|
||||||
|
'No (time) sortable field for TXN:\n'
|
||||||
|
f'{tx}\n'
|
||||||
|
)
|
||||||
|
return from_timestamp(0)
|
||||||
|
# breakpoint()
|
||||||
|
|
||||||
|
|
||||||
entry: tuple[str, dict] | Transaction
|
entry: tuple[str, dict] | Transaction
|
||||||
for entry in sorted(
|
for entry in sorted(
|
||||||
|
|
|
@ -300,7 +300,8 @@ def disect(
|
||||||
assert not df.is_empty()
|
assert not df.is_empty()
|
||||||
|
|
||||||
# muck around in pdbp REPL
|
# muck around in pdbp REPL
|
||||||
breakpoint()
|
# tractor.devx.mk_pdb().set_trace()
|
||||||
|
# breakpoint()
|
||||||
|
|
||||||
# TODO: we REALLY need a better console REPL for this
|
# TODO: we REALLY need a better console REPL for this
|
||||||
# kinda thing..
|
# kinda thing..
|
||||||
|
|
|
@ -98,13 +98,14 @@ async def open_cached_client(
|
||||||
If one has not been setup do it and cache it.
|
If one has not been setup do it and cache it.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
brokermod = get_brokermod(brokername)
|
brokermod: ModuleType = get_brokermod(brokername)
|
||||||
|
|
||||||
|
# TODO: make abstract or `typing.Protocol`
|
||||||
|
# client: Client
|
||||||
async with maybe_open_context(
|
async with maybe_open_context(
|
||||||
acm_func=brokermod.get_client,
|
acm_func=brokermod.get_client,
|
||||||
kwargs=kwargs,
|
kwargs=kwargs,
|
||||||
|
|
||||||
) as (cache_hit, client):
|
) as (cache_hit, client):
|
||||||
|
|
||||||
if cache_hit:
|
if cache_hit:
|
||||||
log.runtime(f'Reusing existing {client}')
|
log.runtime(f'Reusing existing {client}')
|
||||||
|
|
||||||
|
|
|
@ -471,11 +471,15 @@ def search(
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# global opts
|
# global opts
|
||||||
brokermods = list(config['brokermods'].values())
|
brokermods: list[ModuleType] = list(config['brokermods'].values())
|
||||||
|
|
||||||
|
# TODO: this is coming from the `search --pdb` NOT from
|
||||||
|
# the `piker --pdb` XD ..
|
||||||
|
# -[ ] pull from the parent click ctx's values..dumdum
|
||||||
|
# assert pdb
|
||||||
|
|
||||||
# define tractor entrypoint
|
# define tractor entrypoint
|
||||||
async def main(func):
|
async def main(func):
|
||||||
|
|
||||||
async with maybe_open_pikerd(
|
async with maybe_open_pikerd(
|
||||||
loglevel=config['loglevel'],
|
loglevel=config['loglevel'],
|
||||||
debug_mode=pdb,
|
debug_mode=pdb,
|
||||||
|
|
|
@ -22,7 +22,9 @@ routines should be primitive data types where possible.
|
||||||
"""
|
"""
|
||||||
import inspect
|
import inspect
|
||||||
from types import ModuleType
|
from types import ModuleType
|
||||||
from typing import List, Dict, Any, Optional
|
from typing import (
|
||||||
|
Any,
|
||||||
|
)
|
||||||
|
|
||||||
import trio
|
import trio
|
||||||
|
|
||||||
|
@ -34,8 +36,10 @@ from ..accounting import MktPair
|
||||||
|
|
||||||
|
|
||||||
async def api(brokername: str, methname: str, **kwargs) -> dict:
|
async def api(brokername: str, methname: str, **kwargs) -> dict:
|
||||||
"""Make (proxy through) a broker API call by name and return its result.
|
'''
|
||||||
"""
|
Make (proxy through) a broker API call by name and return its result.
|
||||||
|
|
||||||
|
'''
|
||||||
brokermod = get_brokermod(brokername)
|
brokermod = get_brokermod(brokername)
|
||||||
async with brokermod.get_client() as client:
|
async with brokermod.get_client() as client:
|
||||||
meth = getattr(client, methname, None)
|
meth = getattr(client, methname, None)
|
||||||
|
@ -62,10 +66,14 @@ async def api(brokername: str, methname: str, **kwargs) -> dict:
|
||||||
|
|
||||||
async def stocks_quote(
|
async def stocks_quote(
|
||||||
brokermod: ModuleType,
|
brokermod: ModuleType,
|
||||||
tickers: List[str]
|
tickers: list[str]
|
||||||
) -> Dict[str, Dict[str, Any]]:
|
|
||||||
"""Return quotes dict for ``tickers``.
|
) -> dict[str, dict[str, Any]]:
|
||||||
"""
|
'''
|
||||||
|
Return a `dict` of snapshot quotes for the provided input
|
||||||
|
`tickers`: a `list` of fqmes.
|
||||||
|
|
||||||
|
'''
|
||||||
async with brokermod.get_client() as client:
|
async with brokermod.get_client() as client:
|
||||||
return await client.quote(tickers)
|
return await client.quote(tickers)
|
||||||
|
|
||||||
|
@ -74,13 +82,15 @@ async def stocks_quote(
|
||||||
async def option_chain(
|
async def option_chain(
|
||||||
brokermod: ModuleType,
|
brokermod: ModuleType,
|
||||||
symbol: str,
|
symbol: str,
|
||||||
date: Optional[str] = None,
|
date: str|None = None,
|
||||||
) -> Dict[str, Dict[str, Dict[str, Any]]]:
|
) -> dict[str, dict[str, dict[str, Any]]]:
|
||||||
"""Return option chain for ``symbol`` for ``date``.
|
'''
|
||||||
|
Return option chain for ``symbol`` for ``date``.
|
||||||
|
|
||||||
By default all expiries are returned. If ``date`` is provided
|
By default all expiries are returned. If ``date`` is provided
|
||||||
then contract quotes for that single expiry are returned.
|
then contract quotes for that single expiry are returned.
|
||||||
"""
|
|
||||||
|
'''
|
||||||
async with brokermod.get_client() as client:
|
async with brokermod.get_client() as client:
|
||||||
if date:
|
if date:
|
||||||
id = int((await client.tickers2ids([symbol]))[symbol])
|
id = int((await client.tickers2ids([symbol]))[symbol])
|
||||||
|
@ -98,7 +108,7 @@ async def option_chain(
|
||||||
# async def contracts(
|
# async def contracts(
|
||||||
# brokermod: ModuleType,
|
# brokermod: ModuleType,
|
||||||
# symbol: str,
|
# symbol: str,
|
||||||
# ) -> Dict[str, Dict[str, Dict[str, Any]]]:
|
# ) -> dict[str, dict[str, dict[str, Any]]]:
|
||||||
# """Return option contracts (all expiries) for ``symbol``.
|
# """Return option contracts (all expiries) for ``symbol``.
|
||||||
# """
|
# """
|
||||||
# async with brokermod.get_client() as client:
|
# async with brokermod.get_client() as client:
|
||||||
|
@ -110,15 +120,24 @@ async def bars(
|
||||||
brokermod: ModuleType,
|
brokermod: ModuleType,
|
||||||
symbol: str,
|
symbol: str,
|
||||||
**kwargs,
|
**kwargs,
|
||||||
) -> Dict[str, Dict[str, Dict[str, Any]]]:
|
) -> dict[str, dict[str, dict[str, Any]]]:
|
||||||
"""Return option contracts (all expiries) for ``symbol``.
|
'''
|
||||||
"""
|
Return option contracts (all expiries) for ``symbol``.
|
||||||
|
|
||||||
|
'''
|
||||||
async with brokermod.get_client() as client:
|
async with brokermod.get_client() as client:
|
||||||
return await client.bars(symbol, **kwargs)
|
return await client.bars(symbol, **kwargs)
|
||||||
|
|
||||||
|
|
||||||
async def search_w_brokerd(name: str, pattern: str) -> dict:
|
async def search_w_brokerd(
|
||||||
|
name: str,
|
||||||
|
pattern: str,
|
||||||
|
) -> dict:
|
||||||
|
|
||||||
|
# TODO: WHY NOT WORK!?!
|
||||||
|
# when we `step` through the next block?
|
||||||
|
# import tractor
|
||||||
|
# await tractor.pause()
|
||||||
async with open_cached_client(name) as client:
|
async with open_cached_client(name) as client:
|
||||||
|
|
||||||
# TODO: support multiple asset type concurrent searches.
|
# TODO: support multiple asset type concurrent searches.
|
||||||
|
@ -130,12 +149,12 @@ async def symbol_search(
|
||||||
pattern: str,
|
pattern: str,
|
||||||
**kwargs,
|
**kwargs,
|
||||||
|
|
||||||
) -> Dict[str, Dict[str, Dict[str, Any]]]:
|
) -> dict[str, dict[str, dict[str, Any]]]:
|
||||||
'''
|
'''
|
||||||
Return symbol info from broker.
|
Return symbol info from broker.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
results = []
|
results: list[str] = []
|
||||||
|
|
||||||
async def search_backend(
|
async def search_backend(
|
||||||
brokermod: ModuleType
|
brokermod: ModuleType
|
||||||
|
@ -143,6 +162,13 @@ async def symbol_search(
|
||||||
|
|
||||||
brokername: str = mod.name
|
brokername: str = mod.name
|
||||||
|
|
||||||
|
# TODO: figure this the FUCK OUT
|
||||||
|
# -> ok so obvi in the root actor any async task that's
|
||||||
|
# spawned outside the main tractor-root-actor task needs to
|
||||||
|
# call this..
|
||||||
|
# await tractor.devx._debug.maybe_init_greenback()
|
||||||
|
# tractor.pause_from_sync()
|
||||||
|
|
||||||
async with maybe_spawn_brokerd(
|
async with maybe_spawn_brokerd(
|
||||||
mod.name,
|
mod.name,
|
||||||
infect_asyncio=getattr(
|
infect_asyncio=getattr(
|
||||||
|
@ -162,7 +188,6 @@ async def symbol_search(
|
||||||
))
|
))
|
||||||
|
|
||||||
async with trio.open_nursery() as n:
|
async with trio.open_nursery() as n:
|
||||||
|
|
||||||
for mod in brokermods:
|
for mod in brokermods:
|
||||||
n.start_soon(search_backend, mod.name)
|
n.start_soon(search_backend, mod.name)
|
||||||
|
|
||||||
|
@ -172,11 +197,13 @@ async def symbol_search(
|
||||||
async def mkt_info(
|
async def mkt_info(
|
||||||
brokermod: ModuleType,
|
brokermod: ModuleType,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
|
|
||||||
**kwargs,
|
**kwargs,
|
||||||
|
|
||||||
) -> MktPair:
|
) -> MktPair:
|
||||||
'''
|
'''
|
||||||
Return MktPair info from broker including src and dst assets.
|
Return the `piker.accounting.MktPair` info struct from a given
|
||||||
|
backend broker tradable src/dst asset pair.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
async with open_cached_client(brokermod.name) as client:
|
async with open_cached_client(brokermod.name) as client:
|
||||||
|
|
|
@ -587,7 +587,7 @@ async def get_bars(
|
||||||
data_cs.cancel()
|
data_cs.cancel()
|
||||||
|
|
||||||
# spawn new data reset task
|
# spawn new data reset task
|
||||||
data_cs, reset_done = await nurse.start(
|
data_cs, reset_done = await tn.start(
|
||||||
partial(
|
partial(
|
||||||
wait_on_data_reset,
|
wait_on_data_reset,
|
||||||
proxy,
|
proxy,
|
||||||
|
@ -607,11 +607,11 @@ async def get_bars(
|
||||||
# such that simultaneous symbol queries don't try data resettingn
|
# such that simultaneous symbol queries don't try data resettingn
|
||||||
# too fast..
|
# too fast..
|
||||||
unset_resetter: bool = False
|
unset_resetter: bool = False
|
||||||
async with trio.open_nursery() as nurse:
|
async with trio.open_nursery() as tn:
|
||||||
|
|
||||||
# start history request that we allow
|
# start history request that we allow
|
||||||
# to run indefinitely until a result is acquired
|
# to run indefinitely until a result is acquired
|
||||||
nurse.start_soon(query)
|
tn.start_soon(query)
|
||||||
|
|
||||||
# start history reset loop which waits up to the timeout
|
# start history reset loop which waits up to the timeout
|
||||||
# for a result before triggering a data feed reset.
|
# for a result before triggering a data feed reset.
|
||||||
|
@ -631,7 +631,7 @@ async def get_bars(
|
||||||
unset_resetter: bool = True
|
unset_resetter: bool = True
|
||||||
|
|
||||||
# spawn new data reset task
|
# spawn new data reset task
|
||||||
data_cs, reset_done = await nurse.start(
|
data_cs, reset_done = await tn.start(
|
||||||
partial(
|
partial(
|
||||||
wait_on_data_reset,
|
wait_on_data_reset,
|
||||||
proxy,
|
proxy,
|
||||||
|
@ -705,7 +705,9 @@ async def _setup_quote_stream(
|
||||||
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
# to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
||||||
def teardown():
|
def teardown():
|
||||||
ticker.updateEvent.disconnect(push)
|
ticker.updateEvent.disconnect(push)
|
||||||
log.error(f"Disconnected stream for `{symbol}`")
|
log.error(
|
||||||
|
f'Disconnected stream for `{symbol}`'
|
||||||
|
)
|
||||||
client.ib.cancelMktData(contract)
|
client.ib.cancelMktData(contract)
|
||||||
|
|
||||||
# decouple broadcast mem chan
|
# decouple broadcast mem chan
|
||||||
|
@ -761,7 +763,10 @@ async def open_aio_quote_stream(
|
||||||
symbol: str,
|
symbol: str,
|
||||||
contract: Contract | None = None,
|
contract: Contract | None = None,
|
||||||
|
|
||||||
) -> trio.abc.ReceiveStream:
|
) -> (
|
||||||
|
trio.abc.Channel| # iface
|
||||||
|
tractor.to_asyncio.LinkedTaskChannel # actually
|
||||||
|
):
|
||||||
|
|
||||||
from tractor.trionics import broadcast_receiver
|
from tractor.trionics import broadcast_receiver
|
||||||
global _quote_streams
|
global _quote_streams
|
||||||
|
@ -778,6 +783,7 @@ async def open_aio_quote_stream(
|
||||||
yield from_aio
|
yield from_aio
|
||||||
return
|
return
|
||||||
|
|
||||||
|
from_aio: tractor.to_asyncio.LinkedTaskChannel
|
||||||
async with tractor.to_asyncio.open_channel_from(
|
async with tractor.to_asyncio.open_channel_from(
|
||||||
_setup_quote_stream,
|
_setup_quote_stream,
|
||||||
symbol=symbol,
|
symbol=symbol,
|
||||||
|
@ -983,17 +989,18 @@ async def stream_quotes(
|
||||||
)
|
)
|
||||||
cs: trio.CancelScope | None = None
|
cs: trio.CancelScope | None = None
|
||||||
startup: bool = True
|
startup: bool = True
|
||||||
|
iter_quotes: trio.abc.Channel
|
||||||
while (
|
while (
|
||||||
startup
|
startup
|
||||||
or cs.cancel_called
|
or cs.cancel_called
|
||||||
):
|
):
|
||||||
with trio.CancelScope() as cs:
|
with trio.CancelScope() as cs:
|
||||||
async with (
|
async with (
|
||||||
trio.open_nursery() as nurse,
|
trio.open_nursery() as tn,
|
||||||
open_aio_quote_stream(
|
open_aio_quote_stream(
|
||||||
symbol=sym,
|
symbol=sym,
|
||||||
contract=con,
|
contract=con,
|
||||||
) as stream,
|
) as iter_quotes,
|
||||||
):
|
):
|
||||||
# ugh, clear ticks since we've consumed them
|
# ugh, clear ticks since we've consumed them
|
||||||
# (ahem, ib_insync is stateful trash)
|
# (ahem, ib_insync is stateful trash)
|
||||||
|
@ -1021,9 +1028,9 @@ async def stream_quotes(
|
||||||
await rt_ev.wait()
|
await rt_ev.wait()
|
||||||
cs.cancel() # cancel called should now be set
|
cs.cancel() # cancel called should now be set
|
||||||
|
|
||||||
nurse.start_soon(reset_on_feed)
|
tn.start_soon(reset_on_feed)
|
||||||
|
|
||||||
async with aclosing(stream):
|
async with aclosing(iter_quotes):
|
||||||
# if syminfo.get('no_vlm', False):
|
# if syminfo.get('no_vlm', False):
|
||||||
if not init_msg.shm_write_opts['has_vlm']:
|
if not init_msg.shm_write_opts['has_vlm']:
|
||||||
|
|
||||||
|
@ -1038,19 +1045,21 @@ async def stream_quotes(
|
||||||
# wait for real volume on feed (trading might be
|
# wait for real volume on feed (trading might be
|
||||||
# closed)
|
# closed)
|
||||||
while True:
|
while True:
|
||||||
ticker = await stream.receive()
|
ticker = await iter_quotes.receive()
|
||||||
|
|
||||||
# for a real volume contract we rait for
|
# for a real volume contract we rait for
|
||||||
# the first "real" trade to take place
|
# the first "real" trade to take place
|
||||||
if (
|
if (
|
||||||
# not calc_price
|
# not calc_price
|
||||||
# and not ticker.rtTime
|
# and not ticker.rtTime
|
||||||
not ticker.rtTime
|
False
|
||||||
|
# not ticker.rtTime
|
||||||
):
|
):
|
||||||
# spin consuming tickers until we
|
# spin consuming tickers until we
|
||||||
# get a real market datum
|
# get a real market datum
|
||||||
log.debug(f"New unsent ticker: {ticker}")
|
log.debug(f"New unsent ticker: {ticker}")
|
||||||
continue
|
continue
|
||||||
|
|
||||||
else:
|
else:
|
||||||
log.debug("Received first volume tick")
|
log.debug("Received first volume tick")
|
||||||
# ugh, clear ticks since we've
|
# ugh, clear ticks since we've
|
||||||
|
@ -1066,13 +1075,18 @@ async def stream_quotes(
|
||||||
log.debug(f"First ticker received {quote}")
|
log.debug(f"First ticker received {quote}")
|
||||||
|
|
||||||
# tell data-layer spawner-caller that live
|
# tell data-layer spawner-caller that live
|
||||||
# quotes are now streaming.
|
# quotes are now active desptie not having
|
||||||
|
# necessarily received a first vlm/clearing
|
||||||
|
# tick.
|
||||||
|
ticker = await iter_quotes.receive()
|
||||||
feed_is_live.set()
|
feed_is_live.set()
|
||||||
|
fqme: str = quote['fqme']
|
||||||
|
await send_chan.send({fqme: quote})
|
||||||
|
|
||||||
# last = time.time()
|
# last = time.time()
|
||||||
async for ticker in stream:
|
async for ticker in iter_quotes:
|
||||||
quote = normalize(ticker)
|
quote = normalize(ticker)
|
||||||
fqme = quote['fqme']
|
fqme: str = quote['fqme']
|
||||||
await send_chan.send({fqme: quote})
|
await send_chan.send({fqme: quote})
|
||||||
|
|
||||||
# ugh, clear ticks since we've consumed them
|
# ugh, clear ticks since we've consumed them
|
||||||
|
|
|
@ -544,7 +544,7 @@ async def open_trade_dialog(
|
||||||
# to be reloaded.
|
# to be reloaded.
|
||||||
balances: dict[str, float] = await client.get_balances()
|
balances: dict[str, float] = await client.get_balances()
|
||||||
|
|
||||||
verify_balances(
|
await verify_balances(
|
||||||
acnt,
|
acnt,
|
||||||
src_fiat,
|
src_fiat,
|
||||||
balances,
|
balances,
|
||||||
|
|
|
@ -37,6 +37,12 @@ import tractor
|
||||||
from async_generator import asynccontextmanager
|
from async_generator import asynccontextmanager
|
||||||
import numpy as np
|
import numpy as np
|
||||||
import wrapt
|
import wrapt
|
||||||
|
|
||||||
|
# TODO, port to `httpx`/`trio-websocket` whenver i get back to
|
||||||
|
# writing a proper ws-api streamer for this backend (since the data
|
||||||
|
# feeds are free now) as per GH feat-req:
|
||||||
|
# https://github.com/pikers/piker/issues/509
|
||||||
|
#
|
||||||
import asks
|
import asks
|
||||||
|
|
||||||
from ..calc import humanize, percent_change
|
from ..calc import humanize, percent_change
|
||||||
|
|
|
@ -168,7 +168,6 @@ class OrderClient(Struct):
|
||||||
|
|
||||||
|
|
||||||
async def relay_orders_from_sync_code(
|
async def relay_orders_from_sync_code(
|
||||||
|
|
||||||
client: OrderClient,
|
client: OrderClient,
|
||||||
symbol_key: str,
|
symbol_key: str,
|
||||||
to_ems_stream: tractor.MsgStream,
|
to_ems_stream: tractor.MsgStream,
|
||||||
|
@ -242,6 +241,11 @@ async def open_ems(
|
||||||
|
|
||||||
async with maybe_open_emsd(
|
async with maybe_open_emsd(
|
||||||
broker,
|
broker,
|
||||||
|
# XXX NOTE, LOL so this determines the daemon `emsd` loglevel
|
||||||
|
# then FYI.. that's kinda wrong no?
|
||||||
|
# -[ ] shouldn't it be set by `pikerd -l` or no?
|
||||||
|
# -[ ] would make a lot more sense to have a subsys ctl for
|
||||||
|
# levels.. like `-l emsd.info` or something?
|
||||||
loglevel=loglevel,
|
loglevel=loglevel,
|
||||||
) as portal:
|
) as portal:
|
||||||
|
|
||||||
|
|
|
@ -653,7 +653,11 @@ class Router(Struct):
|
||||||
flume = feed.flumes[fqme]
|
flume = feed.flumes[fqme]
|
||||||
first_quote: dict = flume.first_quote
|
first_quote: dict = flume.first_quote
|
||||||
book: DarkBook = self.get_dark_book(broker)
|
book: DarkBook = self.get_dark_book(broker)
|
||||||
book.lasts[fqme]: float = float(first_quote['last'])
|
|
||||||
|
if not (last := first_quote.get('last')):
|
||||||
|
last: float = flume.rt_shm.array[-1]['close']
|
||||||
|
|
||||||
|
book.lasts[fqme]: float = float(last)
|
||||||
|
|
||||||
async with self.maybe_open_brokerd_dialog(
|
async with self.maybe_open_brokerd_dialog(
|
||||||
brokermod=brokermod,
|
brokermod=brokermod,
|
||||||
|
@ -716,7 +720,7 @@ class Router(Struct):
|
||||||
subs = self.subscribers[sub_key]
|
subs = self.subscribers[sub_key]
|
||||||
|
|
||||||
sent_some: bool = False
|
sent_some: bool = False
|
||||||
for client_stream in subs:
|
for client_stream in subs.copy():
|
||||||
try:
|
try:
|
||||||
await client_stream.send(msg)
|
await client_stream.send(msg)
|
||||||
sent_some = True
|
sent_some = True
|
||||||
|
@ -1010,10 +1014,14 @@ async def translate_and_relay_brokerd_events(
|
||||||
status_msg.brokerd_msg = msg
|
status_msg.brokerd_msg = msg
|
||||||
status_msg.src = msg.broker_details['name']
|
status_msg.src = msg.broker_details['name']
|
||||||
|
|
||||||
await router.client_broadcast(
|
if not status_msg.req:
|
||||||
status_msg.req.symbol,
|
# likely some order change state?
|
||||||
status_msg,
|
await tractor.pause()
|
||||||
)
|
else:
|
||||||
|
await router.client_broadcast(
|
||||||
|
status_msg.req.symbol,
|
||||||
|
status_msg,
|
||||||
|
)
|
||||||
|
|
||||||
if status == 'closed':
|
if status == 'closed':
|
||||||
log.info(f'Execution for {oid} is complete!')
|
log.info(f'Execution for {oid} is complete!')
|
||||||
|
|
|
@ -297,6 +297,8 @@ class PaperBoi(Struct):
|
||||||
|
|
||||||
# transmit pp msg to ems
|
# transmit pp msg to ems
|
||||||
pp: Position = self.acnt.pps[bs_mktid]
|
pp: Position = self.acnt.pps[bs_mktid]
|
||||||
|
# TODO, this will break if `require_only=True` was passed to
|
||||||
|
# `.update_from_ledger()`
|
||||||
|
|
||||||
pp_msg = BrokerdPosition(
|
pp_msg = BrokerdPosition(
|
||||||
broker=self.broker,
|
broker=self.broker,
|
||||||
|
@ -653,6 +655,7 @@ async def open_trade_dialog(
|
||||||
# in) use manually constructed table from calling
|
# in) use manually constructed table from calling
|
||||||
# the `.get_mkt_info()` provider EP above.
|
# the `.get_mkt_info()` provider EP above.
|
||||||
_mktmap_table=mkt_by_fqme,
|
_mktmap_table=mkt_by_fqme,
|
||||||
|
only_require=list(mkt_by_fqme),
|
||||||
)
|
)
|
||||||
|
|
||||||
pp_msgs: list[BrokerdPosition] = []
|
pp_msgs: list[BrokerdPosition] = []
|
||||||
|
|
|
@ -30,6 +30,7 @@ subsys: str = 'piker.clearing'
|
||||||
|
|
||||||
log = get_logger(subsys)
|
log = get_logger(subsys)
|
||||||
|
|
||||||
|
# TODO, oof doesn't this ignore the `loglevel` then???
|
||||||
get_console_log = partial(
|
get_console_log = partial(
|
||||||
get_console_log,
|
get_console_log,
|
||||||
name=subsys,
|
name=subsys,
|
||||||
|
|
|
@ -140,11 +140,10 @@ def pikerd(
|
||||||
|
|
||||||
if pdb:
|
if pdb:
|
||||||
log.warning((
|
log.warning((
|
||||||
"\n"
|
'\n\n'
|
||||||
"!!! YOU HAVE ENABLED DAEMON DEBUG MODE !!!\n"
|
'!!! YOU HAVE ENABLED DAEMON DEBUG MODE !!!\n'
|
||||||
"When a `piker` daemon crashes it will block the "
|
'When a `piker` daemon crashes it will block the '
|
||||||
"task-thread until resumed from console!\n"
|
'task-thread until resumed from console!\n'
|
||||||
"\n"
|
|
||||||
))
|
))
|
||||||
|
|
||||||
# service-actor registry endpoint socket-address set
|
# service-actor registry endpoint socket-address set
|
||||||
|
@ -177,7 +176,7 @@ def pikerd(
|
||||||
from .. import service
|
from .. import service
|
||||||
|
|
||||||
async def main():
|
async def main():
|
||||||
service_mngr: service.Services
|
service_mngr: service.ServiceMngr
|
||||||
|
|
||||||
async with (
|
async with (
|
||||||
service.open_pikerd(
|
service.open_pikerd(
|
||||||
|
|
|
@ -95,6 +95,12 @@ class Sampler:
|
||||||
# history loading.
|
# history loading.
|
||||||
incr_task_cs: trio.CancelScope | None = None
|
incr_task_cs: trio.CancelScope | None = None
|
||||||
|
|
||||||
|
bcast_errors: tuple[Exception] = (
|
||||||
|
trio.BrokenResourceError,
|
||||||
|
trio.ClosedResourceError,
|
||||||
|
trio.EndOfChannel,
|
||||||
|
)
|
||||||
|
|
||||||
# holds all the ``tractor.Context`` remote subscriptions for
|
# holds all the ``tractor.Context`` remote subscriptions for
|
||||||
# a particular sample period increment event: all subscribers are
|
# a particular sample period increment event: all subscribers are
|
||||||
# notified on a step.
|
# notified on a step.
|
||||||
|
@ -258,14 +264,15 @@ class Sampler:
|
||||||
subs: set
|
subs: set
|
||||||
last_ts, subs = pair
|
last_ts, subs = pair
|
||||||
|
|
||||||
task = trio.lowlevel.current_task()
|
# NOTE, for debugging pub-sub issues
|
||||||
log.debug(
|
# task = trio.lowlevel.current_task()
|
||||||
f'SUBS {self.subscribers}\n'
|
# log.debug(
|
||||||
f'PAIR {pair}\n'
|
# f'AlL-SUBS@{period_s!r}: {self.subscribers}\n'
|
||||||
f'TASK: {task}: {id(task)}\n'
|
# f'PAIR: {pair}\n'
|
||||||
f'broadcasting {period_s} -> {last_ts}\n'
|
# f'TASK: {task}: {id(task)}\n'
|
||||||
# f'consumers: {subs}'
|
# f'broadcasting {period_s} -> {last_ts}\n'
|
||||||
)
|
# f'consumers: {subs}'
|
||||||
|
# )
|
||||||
borked: set[MsgStream] = set()
|
borked: set[MsgStream] = set()
|
||||||
sent: set[MsgStream] = set()
|
sent: set[MsgStream] = set()
|
||||||
while True:
|
while True:
|
||||||
|
@ -282,12 +289,11 @@ class Sampler:
|
||||||
await stream.send(msg)
|
await stream.send(msg)
|
||||||
sent.add(stream)
|
sent.add(stream)
|
||||||
|
|
||||||
except (
|
except self.bcast_errors as err:
|
||||||
trio.BrokenResourceError,
|
|
||||||
trio.ClosedResourceError
|
|
||||||
):
|
|
||||||
log.error(
|
log.error(
|
||||||
f'{stream._ctx.chan.uid} dropped connection'
|
f'Connection dropped for IPC ctx\n'
|
||||||
|
f'{stream._ctx}\n\n'
|
||||||
|
f'Due to {type(err)}'
|
||||||
)
|
)
|
||||||
borked.add(stream)
|
borked.add(stream)
|
||||||
else:
|
else:
|
||||||
|
@ -394,7 +400,8 @@ async def register_with_sampler(
|
||||||
finally:
|
finally:
|
||||||
if (
|
if (
|
||||||
sub_for_broadcasts
|
sub_for_broadcasts
|
||||||
and subs
|
and
|
||||||
|
subs
|
||||||
):
|
):
|
||||||
try:
|
try:
|
||||||
subs.remove(stream)
|
subs.remove(stream)
|
||||||
|
@ -561,8 +568,7 @@ async def open_sample_stream(
|
||||||
|
|
||||||
|
|
||||||
async def sample_and_broadcast(
|
async def sample_and_broadcast(
|
||||||
|
bus: _FeedsBus,
|
||||||
bus: _FeedsBus, # noqa
|
|
||||||
rt_shm: ShmArray,
|
rt_shm: ShmArray,
|
||||||
hist_shm: ShmArray,
|
hist_shm: ShmArray,
|
||||||
quote_stream: trio.abc.ReceiveChannel,
|
quote_stream: trio.abc.ReceiveChannel,
|
||||||
|
@ -582,11 +588,33 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
overruns = Counter()
|
overruns = Counter()
|
||||||
|
|
||||||
|
# NOTE, only used for debugging live-data-feed issues, though
|
||||||
|
# this should be resolved more correctly in the future using the
|
||||||
|
# new typed-msgspec feats of `tractor`!
|
||||||
|
#
|
||||||
|
# XXX, a multiline nested `dict` formatter (since rn quote-msgs
|
||||||
|
# are just that).
|
||||||
|
# pfmt: Callable[[str], str] = mk_repr()
|
||||||
|
|
||||||
# iterate stream delivered by broker
|
# iterate stream delivered by broker
|
||||||
async for quotes in quote_stream:
|
async for quotes in quote_stream:
|
||||||
# print(quotes)
|
# print(quotes)
|
||||||
|
|
||||||
# TODO: ``numba`` this!
|
# XXX WARNING XXX only enable for debugging bc ow can cost
|
||||||
|
# ALOT of perf with HF-feedz!!!
|
||||||
|
#
|
||||||
|
# log.info(
|
||||||
|
# 'Rx live quotes:\n'
|
||||||
|
# f'{pfmt(quotes)}'
|
||||||
|
# )
|
||||||
|
|
||||||
|
# TODO,
|
||||||
|
# -[ ] `numba` or `cython`-nize this loop possibly?
|
||||||
|
# |_alternatively could we do it in rust somehow by upacking
|
||||||
|
# arrow msgs instead of using `msgspec`?
|
||||||
|
# -[ ] use `msgspec.Struct` support in new typed-msging from
|
||||||
|
# `tractor` to ensure only allowed msgs are transmitted?
|
||||||
|
#
|
||||||
for broker_symbol, quote in quotes.items():
|
for broker_symbol, quote in quotes.items():
|
||||||
# TODO: in theory you can send the IPC msg *before* writing
|
# TODO: in theory you can send the IPC msg *before* writing
|
||||||
# to the sharedmem array to decrease latency, however, that
|
# to the sharedmem array to decrease latency, however, that
|
||||||
|
@ -659,6 +687,21 @@ async def sample_and_broadcast(
|
||||||
sub_key: str = broker_symbol.lower()
|
sub_key: str = broker_symbol.lower()
|
||||||
subs: set[Sub] = bus.get_subs(sub_key)
|
subs: set[Sub] = bus.get_subs(sub_key)
|
||||||
|
|
||||||
|
# TODO, figure out how to make this useful whilst
|
||||||
|
# incoporating feed "pausing" ..
|
||||||
|
#
|
||||||
|
# if not subs:
|
||||||
|
# all_bs_fqmes: list[str] = list(
|
||||||
|
# bus._subscribers.keys()
|
||||||
|
# )
|
||||||
|
# log.warning(
|
||||||
|
# f'No subscribers for {brokername!r} live-quote ??\n'
|
||||||
|
# f'broker_symbol: {broker_symbol}\n\n'
|
||||||
|
|
||||||
|
# f'Maybe the backend-sys symbol does not match one of,\n'
|
||||||
|
# f'{pfmt(all_bs_fqmes)}\n'
|
||||||
|
# )
|
||||||
|
|
||||||
# NOTE: by default the broker backend doesn't append
|
# NOTE: by default the broker backend doesn't append
|
||||||
# it's own "name" into the fqme schema (but maybe it
|
# it's own "name" into the fqme schema (but maybe it
|
||||||
# should?) so we have to manually generate the correct
|
# should?) so we have to manually generate the correct
|
||||||
|
@ -728,18 +771,14 @@ async def sample_and_broadcast(
|
||||||
if lags > 10:
|
if lags > 10:
|
||||||
await tractor.pause()
|
await tractor.pause()
|
||||||
|
|
||||||
except (
|
except Sampler.bcast_errors as ipc_err:
|
||||||
trio.BrokenResourceError,
|
|
||||||
trio.ClosedResourceError,
|
|
||||||
trio.EndOfChannel,
|
|
||||||
):
|
|
||||||
ctx: Context = ipc._ctx
|
ctx: Context = ipc._ctx
|
||||||
chan: Channel = ctx.chan
|
chan: Channel = ctx.chan
|
||||||
if ctx:
|
if ctx:
|
||||||
log.warning(
|
log.warning(
|
||||||
'Dropped `brokerd`-quotes-feed connection:\n'
|
f'Dropped `brokerd`-feed for {broker_symbol!r} due to,\n'
|
||||||
f'{broker_symbol}:'
|
f'x>) {ctx.cid}@{chan.uid}'
|
||||||
f'{ctx.cid}@{chan.uid}'
|
f'|_{ipc_err!r}\n\n'
|
||||||
)
|
)
|
||||||
if sub.throttle_rate:
|
if sub.throttle_rate:
|
||||||
assert ipc._closed
|
assert ipc._closed
|
||||||
|
@ -756,12 +795,11 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
|
|
||||||
async def uniform_rate_send(
|
async def uniform_rate_send(
|
||||||
|
|
||||||
rate: float,
|
rate: float,
|
||||||
quote_stream: trio.abc.ReceiveChannel,
|
quote_stream: trio.abc.ReceiveChannel,
|
||||||
stream: MsgStream,
|
stream: MsgStream,
|
||||||
|
|
||||||
task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
'''
|
'''
|
||||||
|
@ -779,13 +817,16 @@ async def uniform_rate_send(
|
||||||
https://gist.github.com/njsmith/7ea44ec07e901cb78ebe1dd8dd846cb9
|
https://gist.github.com/njsmith/7ea44ec07e901cb78ebe1dd8dd846cb9
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# TODO: compute the approx overhead latency per cycle
|
# ?TODO? dynamically compute the **actual** approx overhead latency per cycle
|
||||||
left_to_sleep = throttle_period = 1/rate - 0.000616
|
# instead of this magic # bidinezz?
|
||||||
|
throttle_period: float = 1/rate - 0.000616
|
||||||
|
left_to_sleep: float = throttle_period
|
||||||
|
|
||||||
# send cycle state
|
# send cycle state
|
||||||
|
first_quote: dict|None
|
||||||
first_quote = last_quote = None
|
first_quote = last_quote = None
|
||||||
last_send = time.time()
|
last_send: float = time.time()
|
||||||
diff = 0
|
diff: float = 0
|
||||||
|
|
||||||
task_status.started()
|
task_status.started()
|
||||||
ticks_by_type: dict[
|
ticks_by_type: dict[
|
||||||
|
@ -796,22 +837,28 @@ async def uniform_rate_send(
|
||||||
clear_types = _tick_groups['clears']
|
clear_types = _tick_groups['clears']
|
||||||
|
|
||||||
while True:
|
while True:
|
||||||
|
|
||||||
# compute the remaining time to sleep for this throttled cycle
|
# compute the remaining time to sleep for this throttled cycle
|
||||||
left_to_sleep = throttle_period - diff
|
left_to_sleep: float = throttle_period - diff
|
||||||
|
|
||||||
if left_to_sleep > 0:
|
if left_to_sleep > 0:
|
||||||
|
cs: trio.CancelScope
|
||||||
with trio.move_on_after(left_to_sleep) as cs:
|
with trio.move_on_after(left_to_sleep) as cs:
|
||||||
|
sym: str
|
||||||
|
last_quote: dict
|
||||||
try:
|
try:
|
||||||
sym, last_quote = await quote_stream.receive()
|
sym, last_quote = await quote_stream.receive()
|
||||||
except trio.EndOfChannel:
|
except trio.EndOfChannel:
|
||||||
log.exception(f"feed for {stream} ended?")
|
log.exception(
|
||||||
|
f'Live stream for feed for ended?\n'
|
||||||
|
f'<=c\n'
|
||||||
|
f' |_[{stream!r}\n'
|
||||||
|
)
|
||||||
break
|
break
|
||||||
|
|
||||||
diff = time.time() - last_send
|
diff: float = time.time() - last_send
|
||||||
|
|
||||||
if not first_quote:
|
if not first_quote:
|
||||||
first_quote = last_quote
|
first_quote: float = last_quote
|
||||||
# first_quote['tbt'] = ticks_by_type
|
# first_quote['tbt'] = ticks_by_type
|
||||||
|
|
||||||
if (throttle_period - diff) > 0:
|
if (throttle_period - diff) > 0:
|
||||||
|
@ -872,7 +919,9 @@ async def uniform_rate_send(
|
||||||
# TODO: now if only we could sync this to the display
|
# TODO: now if only we could sync this to the display
|
||||||
# rate timing exactly lul
|
# rate timing exactly lul
|
||||||
try:
|
try:
|
||||||
await stream.send({sym: first_quote})
|
await stream.send({
|
||||||
|
sym: first_quote
|
||||||
|
})
|
||||||
except tractor.RemoteActorError as rme:
|
except tractor.RemoteActorError as rme:
|
||||||
if rme.type is not tractor._exceptions.StreamOverrun:
|
if rme.type is not tractor._exceptions.StreamOverrun:
|
||||||
raise
|
raise
|
||||||
|
@ -883,19 +932,28 @@ async def uniform_rate_send(
|
||||||
f'{sym}:{ctx.cid}@{chan.uid}'
|
f'{sym}:{ctx.cid}@{chan.uid}'
|
||||||
)
|
)
|
||||||
|
|
||||||
|
# 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!
|
||||||
except (
|
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,
|
ConnectionResetError,
|
||||||
):
|
) + Sampler.bcast_errors as ipc_err:
|
||||||
# if the feed consumer goes down then drop
|
match ipc_err:
|
||||||
# out of this rate limiter
|
case trio.EndOfChannel():
|
||||||
log.warning(f'{stream} closed')
|
log.info(
|
||||||
|
f'{stream} terminated by peer,\n'
|
||||||
|
f'{ipc_err!r}'
|
||||||
|
)
|
||||||
|
case _:
|
||||||
|
# if the feed consumer goes down then drop
|
||||||
|
# out of this rate limiter
|
||||||
|
log.warning(
|
||||||
|
f'{stream} closed due to,\n'
|
||||||
|
f'{ipc_err!r}'
|
||||||
|
)
|
||||||
|
|
||||||
await stream.aclose()
|
await stream.aclose()
|
||||||
return
|
return
|
||||||
|
|
||||||
|
|
|
@ -31,6 +31,7 @@ from pathlib import Path
|
||||||
from pprint import pformat
|
from pprint import pformat
|
||||||
from typing import (
|
from typing import (
|
||||||
Any,
|
Any,
|
||||||
|
Callable,
|
||||||
Sequence,
|
Sequence,
|
||||||
Hashable,
|
Hashable,
|
||||||
TYPE_CHECKING,
|
TYPE_CHECKING,
|
||||||
|
@ -56,7 +57,7 @@ from piker.brokers import (
|
||||||
)
|
)
|
||||||
|
|
||||||
if TYPE_CHECKING:
|
if TYPE_CHECKING:
|
||||||
from ..accounting import (
|
from piker.accounting import (
|
||||||
Asset,
|
Asset,
|
||||||
MktPair,
|
MktPair,
|
||||||
)
|
)
|
||||||
|
@ -149,57 +150,68 @@ class SymbologyCache(Struct):
|
||||||
'Implement `Client.get_assets()`!'
|
'Implement `Client.get_assets()`!'
|
||||||
)
|
)
|
||||||
|
|
||||||
if get_mkt_pairs := getattr(client, 'get_mkt_pairs', None):
|
get_mkt_pairs: Callable|None = getattr(
|
||||||
|
client,
|
||||||
pairs: dict[str, Struct] = await get_mkt_pairs()
|
'get_mkt_pairs',
|
||||||
for bs_fqme, pair in pairs.items():
|
None,
|
||||||
|
)
|
||||||
# NOTE: every backend defined pair should
|
if not get_mkt_pairs:
|
||||||
# declare it's ns path for roundtrip
|
|
||||||
# serialization lookup.
|
|
||||||
if not getattr(pair, 'ns_path', None):
|
|
||||||
raise TypeError(
|
|
||||||
f'Pair-struct for {self.mod.name} MUST define a '
|
|
||||||
'`.ns_path: str`!\n'
|
|
||||||
f'{pair}'
|
|
||||||
)
|
|
||||||
|
|
||||||
entry = await self.mod.get_mkt_info(pair.bs_fqme)
|
|
||||||
if not entry:
|
|
||||||
continue
|
|
||||||
|
|
||||||
mkt: MktPair
|
|
||||||
pair: Struct
|
|
||||||
mkt, _pair = entry
|
|
||||||
assert _pair is pair, (
|
|
||||||
f'`{self.mod.name}` backend probably has a '
|
|
||||||
'keying-symmetry problem between the pair-`Struct` '
|
|
||||||
'returned from `Client.get_mkt_pairs()`and the '
|
|
||||||
'module level endpoint: `.get_mkt_info()`\n\n'
|
|
||||||
"Here's the struct diff:\n"
|
|
||||||
f'{_pair - pair}'
|
|
||||||
)
|
|
||||||
# NOTE XXX: this means backends MUST implement
|
|
||||||
# a `Struct.bs_mktid: str` field to provide
|
|
||||||
# a native-keyed map to their own symbol
|
|
||||||
# set(s).
|
|
||||||
self.pairs[pair.bs_mktid] = pair
|
|
||||||
|
|
||||||
# NOTE: `MktPair`s are keyed here using piker's
|
|
||||||
# internal FQME schema so that search,
|
|
||||||
# accounting and feed init can be accomplished
|
|
||||||
# a sane, uniform, normalized basis.
|
|
||||||
self.mktmaps[mkt.fqme] = mkt
|
|
||||||
|
|
||||||
self.pair_ns_path: str = tractor.msg.NamespacePath.from_ref(
|
|
||||||
pair,
|
|
||||||
)
|
|
||||||
|
|
||||||
else:
|
|
||||||
log.warning(
|
log.warning(
|
||||||
'No symbology cache `Pair` support for `{provider}`..\n'
|
'No symbology cache `Pair` support for `{provider}`..\n'
|
||||||
'Implement `Client.get_mkt_pairs()`!'
|
'Implement `Client.get_mkt_pairs()`!'
|
||||||
)
|
)
|
||||||
|
return self
|
||||||
|
|
||||||
|
pairs: dict[str, Struct] = await get_mkt_pairs()
|
||||||
|
if not pairs:
|
||||||
|
log.warning(
|
||||||
|
'No pairs from intial {provider!r} sym-cache request?\n\n'
|
||||||
|
'`Client.get_mkt_pairs()` -> {pairs!r} ?'
|
||||||
|
)
|
||||||
|
return self
|
||||||
|
|
||||||
|
for bs_fqme, pair in pairs.items():
|
||||||
|
if not getattr(pair, 'ns_path', None):
|
||||||
|
# XXX: every backend defined pair must declare
|
||||||
|
# a `.ns_path: tractor.NamespacePath` to enable
|
||||||
|
# roundtrip serialization lookup from a local
|
||||||
|
# cache file.
|
||||||
|
raise TypeError(
|
||||||
|
f'Pair-struct for {self.mod.name} MUST define a '
|
||||||
|
'`.ns_path: str`!\n\n'
|
||||||
|
f'{pair!r}'
|
||||||
|
)
|
||||||
|
|
||||||
|
entry = await self.mod.get_mkt_info(pair.bs_fqme)
|
||||||
|
if not entry:
|
||||||
|
continue
|
||||||
|
|
||||||
|
mkt: MktPair
|
||||||
|
pair: Struct
|
||||||
|
mkt, _pair = entry
|
||||||
|
assert _pair is pair, (
|
||||||
|
f'`{self.mod.name}` backend probably has a '
|
||||||
|
'keying-symmetry problem between the pair-`Struct` '
|
||||||
|
'returned from `Client.get_mkt_pairs()`and the '
|
||||||
|
'module level endpoint: `.get_mkt_info()`\n\n'
|
||||||
|
"Here's the struct diff:\n"
|
||||||
|
f'{_pair - pair}'
|
||||||
|
)
|
||||||
|
# NOTE XXX: this means backends MUST implement
|
||||||
|
# a `Struct.bs_mktid: str` field to provide
|
||||||
|
# a native-keyed map to their own symbol
|
||||||
|
# set(s).
|
||||||
|
self.pairs[pair.bs_mktid] = pair
|
||||||
|
|
||||||
|
# NOTE: `MktPair`s are keyed here using piker's
|
||||||
|
# internal FQME schema so that search,
|
||||||
|
# accounting and feed init can be accomplished
|
||||||
|
# a sane, uniform, normalized basis.
|
||||||
|
self.mktmaps[mkt.fqme] = mkt
|
||||||
|
|
||||||
|
self.pair_ns_path: str = tractor.msg.NamespacePath.from_ref(
|
||||||
|
pair,
|
||||||
|
)
|
||||||
|
|
||||||
return self
|
return self
|
||||||
|
|
||||||
|
|
|
@ -273,7 +273,7 @@ async def _reconnect_forever(
|
||||||
nobsws._connected.set()
|
nobsws._connected.set()
|
||||||
await trio.sleep_forever()
|
await trio.sleep_forever()
|
||||||
except HandshakeError:
|
except HandshakeError:
|
||||||
log.exception(f'Retrying connection')
|
log.exception('Retrying connection')
|
||||||
|
|
||||||
# ws & nursery block ends
|
# ws & nursery block ends
|
||||||
|
|
||||||
|
@ -359,8 +359,8 @@ async def open_autorecon_ws(
|
||||||
|
|
||||||
|
|
||||||
'''
|
'''
|
||||||
JSONRPC response-request style machinery for transparent multiplexing of msgs
|
JSONRPC response-request style machinery for transparent multiplexing
|
||||||
over a NoBsWs.
|
of msgs over a NoBsWs.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
|
|
||||||
|
@ -377,16 +377,25 @@ async def open_jsonrpc_session(
|
||||||
url: str,
|
url: str,
|
||||||
start_id: int = 0,
|
start_id: int = 0,
|
||||||
response_type: type = JSONRPCResult,
|
response_type: type = JSONRPCResult,
|
||||||
request_type: Optional[type] = None,
|
|
||||||
request_hook: Optional[Callable] = None,
|
|
||||||
error_hook: Optional[Callable] = None,
|
|
||||||
) -> Callable[[str, dict], dict]:
|
) -> Callable[[str, dict], dict]:
|
||||||
|
'''
|
||||||
|
Init a json-RPC-over-websocket connection to the provided `url`.
|
||||||
|
|
||||||
|
A `json_rpc: Callable[[str, dict], dict` is delivered to the
|
||||||
|
caller for sending requests and a bg-`trio.Task` handles
|
||||||
|
processing of response msgs including error reporting/raising in
|
||||||
|
the parent/caller task.
|
||||||
|
|
||||||
|
'''
|
||||||
|
# NOTE, store all request msgs so we can raise errors on the
|
||||||
|
# caller side!
|
||||||
|
req_msgs: dict[int, dict] = {}
|
||||||
|
|
||||||
async with (
|
async with (
|
||||||
trio.open_nursery() as n,
|
trio.open_nursery() as tn,
|
||||||
open_autorecon_ws(url) as ws
|
open_autorecon_ws(url) as ws
|
||||||
):
|
):
|
||||||
rpc_id: Iterable = count(start_id)
|
rpc_id: Iterable[int] = count(start_id)
|
||||||
rpc_results: dict[int, dict] = {}
|
rpc_results: dict[int, dict] = {}
|
||||||
|
|
||||||
async def json_rpc(method: str, params: dict) -> dict:
|
async def json_rpc(method: str, params: dict) -> dict:
|
||||||
|
@ -394,26 +403,40 @@ async def open_jsonrpc_session(
|
||||||
perform a json rpc call and wait for the result, raise exception in
|
perform a json rpc call and wait for the result, raise exception in
|
||||||
case of error field present on response
|
case of error field present on response
|
||||||
'''
|
'''
|
||||||
|
nonlocal req_msgs
|
||||||
|
|
||||||
|
req_id: int = next(rpc_id)
|
||||||
msg = {
|
msg = {
|
||||||
'jsonrpc': '2.0',
|
'jsonrpc': '2.0',
|
||||||
'id': next(rpc_id),
|
'id': req_id,
|
||||||
'method': method,
|
'method': method,
|
||||||
'params': params
|
'params': params
|
||||||
}
|
}
|
||||||
_id = msg['id']
|
_id = msg['id']
|
||||||
|
|
||||||
rpc_results[_id] = {
|
result = rpc_results[_id] = {
|
||||||
'result': None,
|
'result': None,
|
||||||
'event': trio.Event()
|
'error': None,
|
||||||
|
'event': trio.Event(), # signal caller resp arrived
|
||||||
}
|
}
|
||||||
|
req_msgs[_id] = msg
|
||||||
|
|
||||||
await ws.send_msg(msg)
|
await ws.send_msg(msg)
|
||||||
|
|
||||||
|
# wait for reponse before unblocking requester code
|
||||||
await rpc_results[_id]['event'].wait()
|
await rpc_results[_id]['event'].wait()
|
||||||
|
|
||||||
ret = rpc_results[_id]['result']
|
if (maybe_result := result['result']):
|
||||||
|
ret = maybe_result
|
||||||
|
del rpc_results[_id]
|
||||||
|
|
||||||
del rpc_results[_id]
|
else:
|
||||||
|
err = result['error']
|
||||||
|
raise Exception(
|
||||||
|
f'JSONRPC request failed\n'
|
||||||
|
f'req: {msg}\n'
|
||||||
|
f'resp: {err}\n'
|
||||||
|
)
|
||||||
|
|
||||||
if ret.error is not None:
|
if ret.error is not None:
|
||||||
raise Exception(json.dumps(ret.error, indent=4))
|
raise Exception(json.dumps(ret.error, indent=4))
|
||||||
|
@ -428,6 +451,7 @@ async def open_jsonrpc_session(
|
||||||
the server side.
|
the server side.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
|
nonlocal req_msgs
|
||||||
async for msg in ws:
|
async for msg in ws:
|
||||||
match msg:
|
match msg:
|
||||||
case {
|
case {
|
||||||
|
@ -451,19 +475,28 @@ async def open_jsonrpc_session(
|
||||||
'params': _,
|
'params': _,
|
||||||
}:
|
}:
|
||||||
log.debug(f'Recieved\n{msg}')
|
log.debug(f'Recieved\n{msg}')
|
||||||
if request_hook:
|
|
||||||
await request_hook(request_type(**msg))
|
|
||||||
|
|
||||||
case {
|
case {
|
||||||
'error': error
|
'error': error
|
||||||
}:
|
}:
|
||||||
log.warning(f'Recieved\n{error}')
|
# retreive orig request msg, set error
|
||||||
if error_hook:
|
# response in original "result" msg,
|
||||||
await error_hook(response_type(**msg))
|
# THEN FINALLY set the event to signal caller
|
||||||
|
# to raise the error in the parent task.
|
||||||
|
req_id: int = error['id']
|
||||||
|
req_msg: dict = req_msgs[req_id]
|
||||||
|
result: dict = rpc_results[req_id]
|
||||||
|
result['error'] = error
|
||||||
|
result['event'].set()
|
||||||
|
log.error(
|
||||||
|
f'JSONRPC request failed\n'
|
||||||
|
f'req: {req_msg}\n'
|
||||||
|
f'resp: {error}\n'
|
||||||
|
)
|
||||||
|
|
||||||
case _:
|
case _:
|
||||||
log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')
|
log.warning(f'Unhandled JSON-RPC msg!?\n{msg}')
|
||||||
|
|
||||||
n.start_soon(recv_task)
|
tn.start_soon(recv_task)
|
||||||
yield json_rpc
|
yield json_rpc
|
||||||
n.cancel_scope.cancel()
|
tn.cancel_scope.cancel()
|
||||||
|
|
|
@ -786,7 +786,6 @@ async def install_brokerd_search(
|
||||||
|
|
||||||
@acm
|
@acm
|
||||||
async def maybe_open_feed(
|
async def maybe_open_feed(
|
||||||
|
|
||||||
fqmes: list[str],
|
fqmes: list[str],
|
||||||
loglevel: str | None = None,
|
loglevel: str | None = None,
|
||||||
|
|
||||||
|
@ -840,13 +839,12 @@ async def maybe_open_feed(
|
||||||
|
|
||||||
@acm
|
@acm
|
||||||
async def open_feed(
|
async def open_feed(
|
||||||
|
|
||||||
fqmes: list[str],
|
fqmes: list[str],
|
||||||
|
|
||||||
loglevel: str | None = None,
|
loglevel: str|None = None,
|
||||||
allow_overruns: bool = True,
|
allow_overruns: bool = True,
|
||||||
start_stream: bool = True,
|
start_stream: bool = True,
|
||||||
tick_throttle: float | None = None, # Hz
|
tick_throttle: float|None = None, # Hz
|
||||||
|
|
||||||
allow_remote_ctl_ui: bool = False,
|
allow_remote_ctl_ui: bool = False,
|
||||||
|
|
||||||
|
|
|
@ -36,10 +36,10 @@ from ._sharedmem import (
|
||||||
ShmArray,
|
ShmArray,
|
||||||
_Token,
|
_Token,
|
||||||
)
|
)
|
||||||
|
from piker.accounting import MktPair
|
||||||
|
|
||||||
if TYPE_CHECKING:
|
if TYPE_CHECKING:
|
||||||
from ..accounting import MktPair
|
from piker.data.feed import Feed
|
||||||
from .feed import Feed
|
|
||||||
|
|
||||||
|
|
||||||
class Flume(Struct):
|
class Flume(Struct):
|
||||||
|
@ -82,7 +82,7 @@ class Flume(Struct):
|
||||||
|
|
||||||
# TODO: do we need this really if we can pull the `Portal` from
|
# TODO: do we need this really if we can pull the `Portal` from
|
||||||
# ``tractor``'s internals?
|
# ``tractor``'s internals?
|
||||||
feed: Feed | None = None
|
feed: Feed|None = None
|
||||||
|
|
||||||
@property
|
@property
|
||||||
def rt_shm(self) -> ShmArray:
|
def rt_shm(self) -> ShmArray:
|
||||||
|
|
|
@ -113,9 +113,9 @@ def validate_backend(
|
||||||
)
|
)
|
||||||
if ep is None:
|
if ep is None:
|
||||||
log.warning(
|
log.warning(
|
||||||
f'Provider backend {mod.name} is missing '
|
f'Provider backend {mod.name!r} is missing '
|
||||||
f'{daemon_name} support :(\n'
|
f'{daemon_name!r} support?\n'
|
||||||
f'The following endpoint is missing: {name}'
|
f'|_module endpoint-func missing: {name!r}\n'
|
||||||
)
|
)
|
||||||
|
|
||||||
inits: list[
|
inits: list[
|
||||||
|
|
30
piker/log.py
30
piker/log.py
|
@ -19,6 +19,10 @@ Log like a forester!
|
||||||
"""
|
"""
|
||||||
import logging
|
import logging
|
||||||
import json
|
import json
|
||||||
|
import reprlib
|
||||||
|
from typing import (
|
||||||
|
Callable,
|
||||||
|
)
|
||||||
|
|
||||||
import tractor
|
import tractor
|
||||||
from pygments import (
|
from pygments import (
|
||||||
|
@ -84,3 +88,29 @@ def colorize_json(
|
||||||
# likeable styles: algol_nu, tango, monokai
|
# likeable styles: algol_nu, tango, monokai
|
||||||
formatters.TerminalTrueColorFormatter(style=style)
|
formatters.TerminalTrueColorFormatter(style=style)
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# TODO, eventually defer to the version in `modden` once
|
||||||
|
# it becomes a dep!
|
||||||
|
def mk_repr(
|
||||||
|
**repr_kws,
|
||||||
|
) -> Callable[[str], str]:
|
||||||
|
'''
|
||||||
|
Allocate and deliver a `repr.Repr` instance with provided input
|
||||||
|
settings using the std-lib's `reprlib` mod,
|
||||||
|
* https://docs.python.org/3/library/reprlib.html
|
||||||
|
|
||||||
|
------ Ex. ------
|
||||||
|
An up to 6-layer-nested `dict` as multi-line:
|
||||||
|
- https://stackoverflow.com/a/79102479
|
||||||
|
- https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel
|
||||||
|
|
||||||
|
'''
|
||||||
|
def_kws: dict[str, int] = dict(
|
||||||
|
indent=2,
|
||||||
|
maxlevel=6, # recursion levels
|
||||||
|
maxstring=66, # match editor line-len limit
|
||||||
|
)
|
||||||
|
def_kws |= repr_kws
|
||||||
|
reprr = reprlib.Repr(**def_kws)
|
||||||
|
return reprr.repr
|
||||||
|
|
|
@ -119,6 +119,10 @@ async def open_piker_runtime(
|
||||||
# spawn other specialized daemons I think?
|
# spawn other specialized daemons I think?
|
||||||
enable_modules=enable_modules,
|
enable_modules=enable_modules,
|
||||||
|
|
||||||
|
# TODO: how to configure this?
|
||||||
|
# keep it on by default if debug mode is set?
|
||||||
|
maybe_enable_greenback=False,
|
||||||
|
|
||||||
**tractor_kwargs,
|
**tractor_kwargs,
|
||||||
) as actor,
|
) as actor,
|
||||||
|
|
||||||
|
|
|
@ -386,6 +386,8 @@ def ldshm(
|
||||||
open_annot_ctl() as actl,
|
open_annot_ctl() as actl,
|
||||||
):
|
):
|
||||||
shm_df: pl.DataFrame | None = None
|
shm_df: pl.DataFrame | None = None
|
||||||
|
tf2aids: dict[float, dict] = {}
|
||||||
|
|
||||||
for (
|
for (
|
||||||
shmfile,
|
shmfile,
|
||||||
shm,
|
shm,
|
||||||
|
@ -526,16 +528,17 @@ def ldshm(
|
||||||
new_df,
|
new_df,
|
||||||
step_gaps,
|
step_gaps,
|
||||||
)
|
)
|
||||||
|
|
||||||
# last chance manual overwrites in REPL
|
# last chance manual overwrites in REPL
|
||||||
await tractor.pause()
|
# await tractor.pause()
|
||||||
assert aids
|
assert aids
|
||||||
|
tf2aids[period_s] = aids
|
||||||
|
|
||||||
else:
|
else:
|
||||||
# allow interaction even when no ts problems.
|
# allow interaction even when no ts problems.
|
||||||
await tractor.pause()
|
assert not diff
|
||||||
# assert not diff
|
|
||||||
|
|
||||||
|
await tractor.pause()
|
||||||
|
log.info('Exiting TSP shm anal-izer!')
|
||||||
|
|
||||||
if shm_df is None:
|
if shm_df is None:
|
||||||
log.error(
|
log.error(
|
||||||
|
|
|
@ -161,7 +161,13 @@ class NativeStorageClient:
|
||||||
|
|
||||||
def index_files(self):
|
def index_files(self):
|
||||||
for path in self._datadir.iterdir():
|
for path in self._datadir.iterdir():
|
||||||
if path.name in {'borked', 'expired',}:
|
if (
|
||||||
|
path.is_dir()
|
||||||
|
or
|
||||||
|
'.parquet' not in str(path)
|
||||||
|
# or
|
||||||
|
# path.name in {'borked', 'expired',}
|
||||||
|
):
|
||||||
continue
|
continue
|
||||||
|
|
||||||
key: str = path.name.rstrip('.parquet')
|
key: str = path.name.rstrip('.parquet')
|
||||||
|
|
|
@ -458,13 +458,15 @@ async def start_backfill(
|
||||||
'bf_until <- last_start_dt:\n'
|
'bf_until <- last_start_dt:\n'
|
||||||
f'{backfill_until_dt} <- {last_start_dt}\n'
|
f'{backfill_until_dt} <- {last_start_dt}\n'
|
||||||
)
|
)
|
||||||
|
# UGH: what's a better way?
|
||||||
# ugh, what's a better way?
|
# TODO: backends are responsible for being correct on
|
||||||
# TODO: fwiw, we probably want a way to signal a throttle
|
# this right!?
|
||||||
# condition (eg. with ib) so that we can halt the
|
# -[ ] in the `ib` case we could maybe offer some way
|
||||||
# request loop until the condition is resolved?
|
# to halt the request loop until the condition is
|
||||||
if timeframe > 1:
|
# resolved or should the backend be entirely in
|
||||||
await tractor.pause()
|
# charge of solving such faults? yes, right?
|
||||||
|
# if timeframe > 1:
|
||||||
|
# await tractor.pause()
|
||||||
return
|
return
|
||||||
|
|
||||||
assert (
|
assert (
|
||||||
|
@ -572,15 +574,19 @@ async def start_backfill(
|
||||||
f'{next_start_dt} -> {last_start_dt}'
|
f'{next_start_dt} -> {last_start_dt}'
|
||||||
)
|
)
|
||||||
|
|
||||||
# always drop the src asset token for
|
# NOTE, always drop the src asset token for
|
||||||
# non-currency-pair like market types (for now)
|
# non-currency-pair like market types (for now)
|
||||||
|
#
|
||||||
|
# THAT IS, for now our table key schema is NOT
|
||||||
|
# including the dst[/src] source asset token. SO,
|
||||||
|
# 'tsla.nasdaq.ib' over 'tsla/usd.nasdaq.ib' for
|
||||||
|
# historical reasons ONLY.
|
||||||
if mkt.dst.atype not in {
|
if mkt.dst.atype not in {
|
||||||
'crypto',
|
'crypto',
|
||||||
'crypto_currency',
|
'crypto_currency',
|
||||||
'fiat', # a "forex pair"
|
'fiat', # a "forex pair"
|
||||||
|
'perpetual_future', # stupid "perps" from cex land
|
||||||
}:
|
}:
|
||||||
# for now, our table key schema is not including
|
|
||||||
# the dst[/src] source asset token.
|
|
||||||
col_sym_key: str = mkt.get_fqme(
|
col_sym_key: str = mkt.get_fqme(
|
||||||
delim_char='',
|
delim_char='',
|
||||||
without_src=True,
|
without_src=True,
|
||||||
|
|
|
@ -616,6 +616,18 @@ def detect_price_gaps(
|
||||||
# ])
|
# ])
|
||||||
...
|
...
|
||||||
|
|
||||||
|
# TODO: probably just use the null_segs impl above?
|
||||||
|
def detect_vlm_gaps(
|
||||||
|
df: pl.DataFrame,
|
||||||
|
col: str = 'volume',
|
||||||
|
|
||||||
|
) -> pl.DataFrame:
|
||||||
|
|
||||||
|
vnull: pl.DataFrame = w_dts.filter(
|
||||||
|
pl.col(col) == 0
|
||||||
|
)
|
||||||
|
return vnull
|
||||||
|
|
||||||
|
|
||||||
def dedupe(
|
def dedupe(
|
||||||
src_df: pl.DataFrame,
|
src_df: pl.DataFrame,
|
||||||
|
@ -626,7 +638,6 @@ def dedupe(
|
||||||
|
|
||||||
) -> tuple[
|
) -> tuple[
|
||||||
pl.DataFrame, # with dts
|
pl.DataFrame, # with dts
|
||||||
pl.DataFrame, # gaps
|
|
||||||
pl.DataFrame, # with deduplicated dts (aka gap/repeat removal)
|
pl.DataFrame, # with deduplicated dts (aka gap/repeat removal)
|
||||||
int, # len diff between input and deduped
|
int, # len diff between input and deduped
|
||||||
]:
|
]:
|
||||||
|
@ -639,19 +650,22 @@ def dedupe(
|
||||||
'''
|
'''
|
||||||
wdts: pl.DataFrame = with_dts(src_df)
|
wdts: pl.DataFrame = with_dts(src_df)
|
||||||
|
|
||||||
# maybe sort on any time field
|
deduped = wdts
|
||||||
if sort:
|
|
||||||
wdts = wdts.sort(by='time')
|
|
||||||
# TODO: detect out-of-order segments which were corrected!
|
|
||||||
# -[ ] report in log msg
|
|
||||||
# -[ ] possibly return segment sections which were moved?
|
|
||||||
|
|
||||||
# remove duplicated datetime samples/sections
|
# remove duplicated datetime samples/sections
|
||||||
deduped: pl.DataFrame = wdts.unique(
|
deduped: pl.DataFrame = wdts.unique(
|
||||||
subset=['dt'],
|
# subset=['dt'],
|
||||||
|
subset=['time'],
|
||||||
maintain_order=True,
|
maintain_order=True,
|
||||||
)
|
)
|
||||||
|
|
||||||
|
# maybe sort on any time field
|
||||||
|
if sort:
|
||||||
|
deduped = deduped.sort(by='time')
|
||||||
|
# TODO: detect out-of-order segments which were corrected!
|
||||||
|
# -[ ] report in log msg
|
||||||
|
# -[ ] possibly return segment sections which were moved?
|
||||||
|
|
||||||
diff: int = (
|
diff: int = (
|
||||||
wdts.height
|
wdts.height
|
||||||
-
|
-
|
||||||
|
|
228
piker/types.py
228
piker/types.py
|
@ -21,230 +21,4 @@ Extensions to built-in or (heavily used but 3rd party) friend-lib
|
||||||
types.
|
types.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
from __future__ import annotations
|
from tractor.msg import Struct as Struct
|
||||||
from collections import UserList
|
|
||||||
from pprint import (
|
|
||||||
saferepr,
|
|
||||||
)
|
|
||||||
from typing import Any
|
|
||||||
|
|
||||||
from msgspec import (
|
|
||||||
msgpack,
|
|
||||||
Struct as _Struct,
|
|
||||||
structs,
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
class DiffDump(UserList):
|
|
||||||
'''
|
|
||||||
Very simple list delegator that repr() dumps (presumed) tuple
|
|
||||||
elements of the form `tuple[str, Any, Any]` in a nice
|
|
||||||
multi-line readable form for analyzing `Struct` diffs.
|
|
||||||
|
|
||||||
'''
|
|
||||||
def __repr__(self) -> str:
|
|
||||||
if not len(self):
|
|
||||||
return super().__repr__()
|
|
||||||
|
|
||||||
# format by displaying item pair's ``repr()`` on multiple,
|
|
||||||
# indented lines such that they are more easily visually
|
|
||||||
# comparable when printed to console when printed to
|
|
||||||
# console.
|
|
||||||
repstr: str = '[\n'
|
|
||||||
for k, left, right in self:
|
|
||||||
repstr += (
|
|
||||||
f'({k},\n'
|
|
||||||
f'\t{repr(left)},\n'
|
|
||||||
f'\t{repr(right)},\n'
|
|
||||||
')\n'
|
|
||||||
)
|
|
||||||
repstr += ']\n'
|
|
||||||
return repstr
|
|
||||||
|
|
||||||
|
|
||||||
class Struct(
|
|
||||||
_Struct,
|
|
||||||
|
|
||||||
# https://jcristharif.com/msgspec/structs.html#tagged-unions
|
|
||||||
# tag='pikerstruct',
|
|
||||||
# tag=True,
|
|
||||||
):
|
|
||||||
'''
|
|
||||||
A "human friendlier" (aka repl buddy) struct subtype.
|
|
||||||
|
|
||||||
'''
|
|
||||||
def _sin_props(self) -> Iterator[
|
|
||||||
tuple[
|
|
||||||
structs.FieldIinfo,
|
|
||||||
str,
|
|
||||||
Any,
|
|
||||||
]
|
|
||||||
]:
|
|
||||||
'''
|
|
||||||
Iterate over all non-@property fields of this struct.
|
|
||||||
|
|
||||||
'''
|
|
||||||
fi: structs.FieldInfo
|
|
||||||
for fi in structs.fields(self):
|
|
||||||
key: str = fi.name
|
|
||||||
val: Any = getattr(self, key)
|
|
||||||
yield fi, key, val
|
|
||||||
|
|
||||||
def to_dict(
|
|
||||||
self,
|
|
||||||
include_non_members: bool = True,
|
|
||||||
|
|
||||||
) -> dict:
|
|
||||||
'''
|
|
||||||
Like it sounds.. direct delegation to:
|
|
||||||
https://jcristharif.com/msgspec/api.html#msgspec.structs.asdict
|
|
||||||
|
|
||||||
BUT, by default we pop all non-member (aka not defined as
|
|
||||||
struct fields) fields by default.
|
|
||||||
|
|
||||||
'''
|
|
||||||
asdict: dict = structs.asdict(self)
|
|
||||||
if include_non_members:
|
|
||||||
return asdict
|
|
||||||
|
|
||||||
# only return a dict of the struct members
|
|
||||||
# which were provided as input, NOT anything
|
|
||||||
# added as type-defined `@property` methods!
|
|
||||||
sin_props: dict = {}
|
|
||||||
fi: structs.FieldInfo
|
|
||||||
for fi, k, v in self._sin_props():
|
|
||||||
sin_props[k] = asdict[k]
|
|
||||||
|
|
||||||
return sin_props
|
|
||||||
|
|
||||||
def pformat(
|
|
||||||
self,
|
|
||||||
field_indent: int = 2,
|
|
||||||
indent: int = 0,
|
|
||||||
|
|
||||||
) -> str:
|
|
||||||
'''
|
|
||||||
Recursion-safe `pprint.pformat()` style formatting of
|
|
||||||
a `msgspec.Struct` for sane reading by a human using a REPL.
|
|
||||||
|
|
||||||
'''
|
|
||||||
# global whitespace indent
|
|
||||||
ws: str = ' '*indent
|
|
||||||
|
|
||||||
# field whitespace indent
|
|
||||||
field_ws: str = ' '*(field_indent + indent)
|
|
||||||
|
|
||||||
# qtn: str = ws + self.__class__.__qualname__
|
|
||||||
qtn: str = self.__class__.__qualname__
|
|
||||||
|
|
||||||
obj_str: str = '' # accumulator
|
|
||||||
fi: structs.FieldInfo
|
|
||||||
k: str
|
|
||||||
v: Any
|
|
||||||
for fi, k, v in self._sin_props():
|
|
||||||
|
|
||||||
# TODO: how can we prefer `Literal['option1', 'option2,
|
|
||||||
# ..]` over .__name__ == `Literal` but still get only the
|
|
||||||
# latter for simple types like `str | int | None` etc..?
|
|
||||||
ft: type = fi.type
|
|
||||||
typ_name: str = getattr(ft, '__name__', str(ft))
|
|
||||||
|
|
||||||
# recurse to get sub-struct's `.pformat()` output Bo
|
|
||||||
if isinstance(v, Struct):
|
|
||||||
val_str: str = v.pformat(
|
|
||||||
indent=field_indent + indent,
|
|
||||||
field_indent=indent + field_indent,
|
|
||||||
)
|
|
||||||
|
|
||||||
else: # the `pprint` recursion-safe format:
|
|
||||||
# https://docs.python.org/3.11/library/pprint.html#pprint.saferepr
|
|
||||||
val_str: str = saferepr(v)
|
|
||||||
|
|
||||||
obj_str += (field_ws + f'{k}: {typ_name} = {val_str},\n')
|
|
||||||
|
|
||||||
return (
|
|
||||||
f'{qtn}(\n'
|
|
||||||
f'{obj_str}'
|
|
||||||
f'{ws})'
|
|
||||||
)
|
|
||||||
|
|
||||||
# TODO: use a pprint.PrettyPrinter instance around ONLY rendering
|
|
||||||
# inside a known tty?
|
|
||||||
# def __repr__(self) -> str:
|
|
||||||
# ...
|
|
||||||
|
|
||||||
# __str__ = __repr__ = pformat
|
|
||||||
__repr__ = pformat
|
|
||||||
|
|
||||||
def copy(
|
|
||||||
self,
|
|
||||||
update: dict | None = None,
|
|
||||||
|
|
||||||
) -> Struct:
|
|
||||||
'''
|
|
||||||
Validate-typecast all self defined fields, return a copy of
|
|
||||||
us with all such fields.
|
|
||||||
|
|
||||||
NOTE: This is kinda like the default behaviour in
|
|
||||||
`pydantic.BaseModel` except a copy of the object is
|
|
||||||
returned making it compat with `frozen=True`.
|
|
||||||
|
|
||||||
'''
|
|
||||||
if update:
|
|
||||||
for k, v in update.items():
|
|
||||||
setattr(self, k, v)
|
|
||||||
|
|
||||||
# NOTE: roundtrip serialize to validate
|
|
||||||
# - enode to msgpack binary format,
|
|
||||||
# - decode that back to a struct.
|
|
||||||
return msgpack.Decoder(type=type(self)).decode(
|
|
||||||
msgpack.Encoder().encode(self)
|
|
||||||
)
|
|
||||||
|
|
||||||
def typecast(
|
|
||||||
self,
|
|
||||||
|
|
||||||
# TODO: allow only casting a named subset?
|
|
||||||
# fields: set[str] | None = None,
|
|
||||||
|
|
||||||
) -> None:
|
|
||||||
'''
|
|
||||||
Cast all fields using their declared type annotations
|
|
||||||
(kinda like what `pydantic` does by default).
|
|
||||||
|
|
||||||
NOTE: this of course won't work on frozen types, use
|
|
||||||
``.copy()`` above in such cases.
|
|
||||||
|
|
||||||
'''
|
|
||||||
# https://jcristharif.com/msgspec/api.html#msgspec.structs.fields
|
|
||||||
fi: structs.FieldInfo
|
|
||||||
for fi in structs.fields(self):
|
|
||||||
setattr(
|
|
||||||
self,
|
|
||||||
fi.name,
|
|
||||||
fi.type(getattr(self, fi.name)),
|
|
||||||
)
|
|
||||||
|
|
||||||
def __sub__(
|
|
||||||
self,
|
|
||||||
other: Struct,
|
|
||||||
|
|
||||||
) -> DiffDump[tuple[str, Any, Any]]:
|
|
||||||
'''
|
|
||||||
Compare fields/items key-wise and return a ``DiffDump``
|
|
||||||
for easy visual REPL comparison B)
|
|
||||||
|
|
||||||
'''
|
|
||||||
diffs: DiffDump[tuple[str, Any, Any]] = DiffDump()
|
|
||||||
for fi in structs.fields(self):
|
|
||||||
attr_name: str = fi.name
|
|
||||||
ours: Any = getattr(self, attr_name)
|
|
||||||
theirs: Any = getattr(other, attr_name)
|
|
||||||
if ours != theirs:
|
|
||||||
diffs.append((
|
|
||||||
attr_name,
|
|
||||||
ours,
|
|
||||||
theirs,
|
|
||||||
))
|
|
||||||
|
|
||||||
return diffs
|
|
||||||
|
|
Loading…
Reference in New Issue