802 lines
22 KiB
Python
802 lines
22 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Data feed apis and infra.
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This module is enabled for ``brokerd`` daemons.
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"""
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from dataclasses import dataclass, field
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from contextlib import asynccontextmanager
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from functools import partial
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from types import ModuleType
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from typing import (
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Any,
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AsyncIterator, Optional,
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Awaitable,
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)
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import trio
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from trio.abc import ReceiveChannel
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from trio_typing import TaskStatus
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import tractor
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from pydantic import BaseModel
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from ..brokers import get_brokermod
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from .._cacheables import maybe_open_context
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from ..log import get_logger, get_console_log
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from .._daemon import (
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maybe_spawn_brokerd,
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)
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from ._sharedmem import (
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maybe_open_shm_array,
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attach_shm_array,
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ShmArray,
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)
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from .ingest import get_ingestormod
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from ._source import (
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base_iohlc_dtype,
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Symbol,
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unpack_fqsn,
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)
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from ..ui import _search
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from ._sampling import (
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sampler,
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increment_ohlc_buffer,
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iter_ohlc_periods,
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sample_and_broadcast,
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uniform_rate_send,
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)
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log = get_logger(__name__)
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class _FeedsBus(BaseModel):
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'''
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Data feeds broadcaster and persistence management.
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This is a brokerd side api used to manager persistent real-time
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streams that can be allocated and left alive indefinitely. A bus is
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associated one-to-one with a particular broker backend where the
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"bus" refers so a multi-symbol bus where quotes are interleaved in
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time.
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Each "entry" in the bus includes:
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- a stream used to push real time quotes (up to tick rates)
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which is executed as a lone task that is cancellable via
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a dedicated cancel scope.
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'''
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class Config:
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arbitrary_types_allowed = True
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underscore_attrs_are_private = False
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brokername: str
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nursery: trio.Nursery
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feeds: dict[str, tuple[dict, dict]] = {}
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task_lock: trio.StrictFIFOLock = trio.StrictFIFOLock()
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# XXX: so weird but, apparently without this being `._` private
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# pydantic will complain about private `tractor.Context` instance
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# vars (namely `._portal` and `._cancel_scope`) at import time.
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# Reported this bug:
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# https://github.com/samuelcolvin/pydantic/issues/2816
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_subscribers: dict[
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str,
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list[tuple[tractor.MsgStream, Optional[float]]]
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] = {}
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async def start_task(
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self,
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target: Awaitable,
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*args,
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) -> None:
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async def start_with_cs(
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task_status: TaskStatus[
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trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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with trio.CancelScope() as cs:
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await self.nursery.start(
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target,
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*args,
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)
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task_status.started(cs)
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return await self.nursery.start(start_with_cs)
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# def cancel_task(
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# self,
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# task: trio.lowlevel.Task
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# ) -> bool:
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# ...
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_bus: _FeedsBus = None
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def get_feed_bus(
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brokername: str,
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nursery: Optional[trio.Nursery] = None,
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) -> _FeedsBus:
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'''
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Retreive broker-daemon-local data feeds bus from process global
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scope. Serialize task access to lock.
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'''
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global _bus
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if nursery is not None:
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assert _bus is None, "Feeds manager is already setup?"
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# this is initial setup by parent actor
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_bus = _FeedsBus(
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brokername=brokername,
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nursery=nursery,
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)
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assert not _bus.feeds
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assert _bus.brokername == brokername, "Uhhh wtf"
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return _bus
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@tractor.context
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async def _setup_persistent_brokerd(
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ctx: tractor.Context,
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brokername: str,
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) -> None:
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'''
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Allocate a actor-wide service nursery in ``brokerd``
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such that feeds can be run in the background persistently by
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the broker backend as needed.
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'''
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get_console_log(tractor.current_actor().loglevel)
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global _bus
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assert not _bus
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async with trio.open_nursery() as service_nursery:
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# assign a nursery to the feeds bus for spawning
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# background tasks from clients
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get_feed_bus(brokername, service_nursery)
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# unblock caller
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await ctx.started()
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# we pin this task to keep the feeds manager active until the
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# parent actor decides to tear it down
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await trio.sleep_forever()
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async def manage_history(
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mod: ModuleType,
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bus: _FeedsBus,
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fqsn: str,
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some_data_ready: trio.Event,
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feed_is_live: trio.Event,
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task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Load and manage historical data including the loading of any
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available series from `marketstore` as well as conducting real-time
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update of both that existing db and the allocated shared memory
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buffer.
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'''
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# (maybe) allocate shm array for this broker/symbol which will
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# be used for fast near-term history capture and processing.
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shm, opened = maybe_open_shm_array(
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key=fqsn,
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# use any broker defined ohlc dtype:
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dtype=getattr(mod, '_ohlc_dtype', base_iohlc_dtype),
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# we expect the sub-actor to write
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readonly=False,
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)
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if opened:
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log.info('No existing `marketstored` found..')
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# start history backfill task ``backfill_bars()`` is
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# a required backend func this must block until shm is
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# filled with first set of ohlc bars
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_ = await bus.nursery.start(mod.backfill_bars, fqsn, shm)
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# yield back after client connect with filled shm
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task_status.started(shm)
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# indicate to caller that feed can be delivered to
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# remote requesting client since we've loaded history
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# data that can be used.
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some_data_ready.set()
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# detect sample step size for sampled historical data
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times = shm.array['time']
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delay_s = times[-1] - times[times != times[-1]][-1]
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# begin real-time updates of shm and tsb once the feed
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# goes live.
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await feed_is_live.wait()
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if opened:
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sampler.ohlcv_shms.setdefault(delay_s, []).append(shm)
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# start shm incrementing for OHLC sampling at the current
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# detected sampling period if one dne.
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if sampler.incrementers.get(delay_s) is None:
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await bus.start_task(
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increment_ohlc_buffer,
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delay_s,
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)
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await trio.sleep_forever()
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async def allocate_persistent_feed(
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bus: _FeedsBus,
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brokername: str,
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symbol: str,
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loglevel: str,
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task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
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) -> None:
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'''
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Create and maintain a "feed bus" which allocates tasks for real-time
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streaming and optional historical data storage per broker/data provider
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backend; this normally task runs *in* a `brokerd` actor.
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If none exists, this allocates a ``_FeedsBus`` which manages the
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lifetimes of streaming tasks created for each requested symbol.
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2 tasks are created:
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- a real-time streaming task which connec
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'''
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try:
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mod = get_brokermod(brokername)
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except ImportError:
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mod = get_ingestormod(brokername)
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# mem chan handed to broker backend so it can push real-time
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# quotes to this task for sampling and history storage (see below).
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send, quote_stream = trio.open_memory_channel(10)
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# data sync signals for both history loading and market quotes
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some_data_ready = trio.Event()
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feed_is_live = trio.Event()
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# establish broker backend quote stream by calling
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# ``stream_quotes()``, which is a required broker backend endpoint.
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init_msg, first_quote = await bus.nursery.start(
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partial(
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mod.stream_quotes,
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send_chan=send,
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feed_is_live=feed_is_live,
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symbols=[symbol],
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loglevel=loglevel,
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)
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)
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# the broker-specific fully qualified symbol name,
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# but ensure it is lower-cased for external use.
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bfqsn = init_msg[symbol]['fqsn'].lower()
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init_msg[symbol]['fqsn'] = bfqsn
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# HISTORY, run 2 tasks:
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# - a history loader / maintainer
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# - a real-time streamer which consumers and sends new data to any
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# consumers as well as writes to storage backends (as configured).
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# XXX: neither of these will raise but will cause an inf hang due to:
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# https://github.com/python-trio/trio/issues/2258
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# bus.nursery.start_soon(
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# await bus.start_task(
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shm = await bus.nursery.start(
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manage_history,
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mod,
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bus,
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bfqsn,
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some_data_ready,
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feed_is_live,
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)
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# we hand an IPC-msg compatible shm token to the caller so it
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# can read directly from the memory which will be written by
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# this task.
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msg = init_msg[symbol]
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msg['shm_token'] = shm.token
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# true fqsn
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fqsn = '.'.join((bfqsn, brokername))
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# add a fqsn entry that includes the ``.<broker>`` suffix
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init_msg[fqsn] = msg
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# TODO: pretty sure we don't need this? why not just leave 1s as
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# the fastest "sample period" since we'll probably always want that
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# for most purposes.
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# pass OHLC sample rate in seconds (be sure to use python int type)
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# init_msg[symbol]['sample_rate'] = 1 #int(delay_s)
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# yield back control to starting nursery once we receive either
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# some history or a real-time quote.
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log.info(f'waiting on history to load: {fqsn}')
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await some_data_ready.wait()
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# append ``.<broker>`` suffix to each quote symbol
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bsym = symbol + f'.{brokername}'
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generic_first_quotes = {
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bsym: first_quote,
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fqsn: first_quote,
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}
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bus.feeds[symbol] = bus.feeds[fqsn] = (
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init_msg,
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generic_first_quotes,
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)
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# for ambiguous names we simply apply the retreived
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# feed to that name (for now).
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# task_status.started((init_msg, generic_first_quotes))
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task_status.started()
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# backend will indicate when real-time quotes have begun.
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await feed_is_live.wait()
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sum_tick_vlm: bool = init_msg.get(
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'shm_write_opts', {}
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).get('sum_tick_vlm', True)
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# start sample loop
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try:
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await sample_and_broadcast(
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bus,
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shm,
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quote_stream,
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brokername,
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sum_tick_vlm
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)
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finally:
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log.warning(f'{fqsn} feed task terminated')
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@tractor.context
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async def open_feed_bus(
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ctx: tractor.Context,
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brokername: str,
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symbol: str,
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loglevel: str,
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tick_throttle: Optional[float] = None,
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start_stream: bool = True,
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) -> None:
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'''
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Open a data feed "bus": an actor-persistent per-broker task-oriented
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data feed registry which allows managing real-time quote streams per
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symbol.
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'''
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if loglevel is None:
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loglevel = tractor.current_actor().loglevel
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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# local state sanity checks
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# TODO: check for any stale shm entries for this symbol
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# (after we also group them in a nice `/dev/shm/piker/` subdir).
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# ensure we are who we think we are
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assert 'brokerd' in tractor.current_actor().name
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bus = get_feed_bus(brokername)
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# if no cached feed for this symbol has been created for this
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# brokerd yet, start persistent stream and shm writer task in
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# service nursery
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entry = bus.feeds.get(symbol)
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if entry is None:
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# allocate a new actor-local stream bus which
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# will persist for this `brokerd`.
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async with bus.task_lock:
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await bus.nursery.start(
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partial(
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allocate_persistent_feed,
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bus=bus,
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brokername=brokername,
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# here we pass through the selected symbol in native
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# "format" (i.e. upper vs. lowercase depending on
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# provider).
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symbol=symbol,
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loglevel=loglevel,
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)
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)
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# TODO: we can remove this?
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assert isinstance(bus.feeds[symbol], tuple)
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# XXX: ``first_quotes`` may be outdated here if this is secondary
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# subscriber
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init_msg, first_quotes = bus.feeds[symbol]
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msg = init_msg[symbol]
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bfqsn = msg['fqsn'].lower()
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# true fqsn
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fqsn = '.'.join([bfqsn, brokername])
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assert fqsn in first_quotes
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assert bus.feeds[fqsn]
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# broker-ambiguous symbol (provided on cli - eg. mnq.globex.ib)
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bsym = symbol + f'.{brokername}'
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assert bsym in first_quotes
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# we use the broker-specific fqsn (bfqsn) for
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# the sampler subscription since the backend isn't (yet)
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# expected to append it's own name to the fqsn, so we filter
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# on keys which *do not* include that name (e.g .ib) .
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bus._subscribers.setdefault(bfqsn, [])
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# send this even to subscribers to existing feed?
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# deliver initial info message a first quote asap
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await ctx.started((
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init_msg,
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first_quotes,
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))
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if not start_stream:
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log.warning(f'Not opening real-time stream for {fqsn}')
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await trio.sleep_forever()
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# real-time stream loop
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async with (
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ctx.open_stream() as stream,
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):
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# re-send to trigger display loop cycle (necessary especially
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# when the mkt is closed and no real-time messages are
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# expected).
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await stream.send({fqsn: first_quotes})
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# open a bg task which receives quotes over a mem chan
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# and only pushes them to the target actor-consumer at
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# a max ``tick_throttle`` instantaneous rate.
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if tick_throttle:
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send, recv = trio.open_memory_channel(2**10)
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cs = await bus.start_task(
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uniform_rate_send,
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tick_throttle,
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recv,
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stream,
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)
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sub = (send, tick_throttle)
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else:
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sub = (stream, tick_throttle)
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subs = bus._subscribers[bfqsn]
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subs.append(sub)
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try:
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uid = ctx.chan.uid
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# ctrl protocol for start/stop of quote streams based on UI
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# state (eg. don't need a stream when a symbol isn't being
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# displayed).
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async for msg in stream:
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if msg == 'pause':
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if sub in subs:
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log.info(
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f'Pausing {fqsn} feed for {uid}')
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subs.remove(sub)
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elif msg == 'resume':
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if sub not in subs:
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log.info(
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f'Resuming {fqsn} feed for {uid}')
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subs.append(sub)
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else:
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raise ValueError(msg)
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finally:
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log.info(
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f'Stopping {symbol}.{brokername} feed for {ctx.chan.uid}')
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if tick_throttle:
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# TODO: a one-cancels-one nursery
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# n.cancel_scope.cancel()
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cs.cancel()
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try:
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bus._subscribers[bfqsn].remove(sub)
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except ValueError:
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log.warning(f'{sub} for {symbol} was already removed?')
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@asynccontextmanager
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async def open_sample_step_stream(
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portal: tractor.Portal,
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delay_s: int,
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) -> tractor.ReceiveMsgStream:
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# XXX: this should be singleton on a host,
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# a lone broker-daemon per provider should be
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# created for all practical purposes
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async with maybe_open_context(
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acm_func=partial(
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portal.open_context,
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iter_ohlc_periods,
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),
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kwargs={'delay_s': delay_s},
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) as (cache_hit, (ctx, first)):
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async with ctx.open_stream() as istream:
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if cache_hit:
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# add a new broadcast subscription for the quote stream
|
|
# if this feed is likely already in use
|
|
async with istream.subscribe() as bistream:
|
|
yield bistream
|
|
else:
|
|
yield istream
|
|
|
|
|
|
@dataclass
|
|
class Feed:
|
|
'''
|
|
A data feed for client-side interaction with far-process real-time
|
|
data sources.
|
|
|
|
This is an thin abstraction on top of ``tractor``'s portals for
|
|
interacting with IPC streams and storage APIs (shm and time-series
|
|
db).
|
|
|
|
'''
|
|
name: str
|
|
shm: ShmArray
|
|
mod: ModuleType
|
|
first_quotes: dict # symbol names to first quote dicts
|
|
|
|
_portal: tractor.Portal
|
|
|
|
stream: trio.abc.ReceiveChannel[dict[str, Any]]
|
|
throttle_rate: Optional[int] = None
|
|
|
|
_trade_stream: Optional[AsyncIterator[dict[str, Any]]] = None
|
|
_max_sample_rate: int = 1
|
|
|
|
# cache of symbol info messages received as first message when
|
|
# a stream startsc.
|
|
symbols: dict[str, Symbol] = field(default_factory=dict)
|
|
|
|
@property
|
|
def portal(self) -> tractor.Portal:
|
|
return self._portal
|
|
|
|
async def receive(self) -> dict:
|
|
return await self.stream.receive()
|
|
|
|
@asynccontextmanager
|
|
async def index_stream(
|
|
self,
|
|
delay_s: Optional[int] = None
|
|
|
|
) -> AsyncIterator[int]:
|
|
|
|
delay_s = delay_s or self._max_sample_rate
|
|
|
|
async with open_sample_step_stream(
|
|
self.portal,
|
|
delay_s,
|
|
) as istream:
|
|
yield istream
|
|
|
|
async def pause(self) -> None:
|
|
await self.stream.send('pause')
|
|
|
|
async def resume(self) -> None:
|
|
await self.stream.send('resume')
|
|
|
|
|
|
@asynccontextmanager
|
|
async def install_brokerd_search(
|
|
|
|
portal: tractor.Portal,
|
|
brokermod: ModuleType,
|
|
|
|
) -> None:
|
|
|
|
async with portal.open_context(
|
|
brokermod.open_symbol_search
|
|
) as (ctx, cache):
|
|
|
|
# shield here since we expect the search rpc to be
|
|
# cancellable by the user as they see fit.
|
|
async with ctx.open_stream() as stream:
|
|
|
|
async def search(text: str) -> dict[str, Any]:
|
|
await stream.send(text)
|
|
return await stream.receive()
|
|
|
|
async with _search.register_symbol_search(
|
|
|
|
provider_name=brokermod.name,
|
|
search_routine=search,
|
|
|
|
# TODO: should be make this a required attr of
|
|
# a backend module?
|
|
pause_period=getattr(
|
|
brokermod, '_search_conf', {}
|
|
).get('pause_period', 0.0616),
|
|
):
|
|
yield
|
|
|
|
|
|
@asynccontextmanager
|
|
async def open_feed(
|
|
|
|
fqsns: list[str],
|
|
|
|
loglevel: Optional[str] = None,
|
|
backpressure: bool = True,
|
|
start_stream: bool = True,
|
|
tick_throttle: Optional[float] = None, # Hz
|
|
|
|
) -> Feed:
|
|
'''
|
|
Open a "data feed" which provides streamed real-time quotes.
|
|
|
|
'''
|
|
fqsn = fqsns[0].lower()
|
|
|
|
brokername, key, suffix = unpack_fqsn(fqsn)
|
|
bfqsn = fqsn.replace('.' + brokername, '')
|
|
|
|
try:
|
|
mod = get_brokermod(brokername)
|
|
except ImportError:
|
|
mod = get_ingestormod(brokername)
|
|
|
|
# no feed for broker exists so maybe spawn a data brokerd
|
|
async with (
|
|
|
|
# if no `brokerd` for this backend exists yet we spawn
|
|
# and actor for one.
|
|
maybe_spawn_brokerd(
|
|
brokername,
|
|
loglevel=loglevel
|
|
) as portal,
|
|
|
|
# (allocate and) connect to any feed bus for this broker
|
|
portal.open_context(
|
|
open_feed_bus,
|
|
brokername=brokername,
|
|
symbol=bfqsn,
|
|
loglevel=loglevel,
|
|
start_stream=start_stream,
|
|
tick_throttle=tick_throttle,
|
|
|
|
) as (ctx, (init_msg, first_quotes)),
|
|
|
|
ctx.open_stream(
|
|
# XXX: be explicit about stream backpressure since we should
|
|
# **never** overrun on feeds being too fast, which will
|
|
# pretty much always happen with HFT XD
|
|
backpressure=backpressure,
|
|
) as stream,
|
|
|
|
):
|
|
# we can only read from shm
|
|
shm = attach_shm_array(
|
|
token=init_msg[bfqsn]['shm_token'],
|
|
readonly=True,
|
|
)
|
|
assert fqsn in first_quotes
|
|
|
|
feed = Feed(
|
|
name=brokername,
|
|
shm=shm,
|
|
mod=mod,
|
|
first_quotes=first_quotes,
|
|
stream=stream,
|
|
_portal=portal,
|
|
throttle_rate=tick_throttle,
|
|
)
|
|
|
|
for sym, data in init_msg.items():
|
|
si = data['symbol_info']
|
|
fqsn = data['fqsn'] + f'.{brokername}'
|
|
symbol = Symbol.from_fqsn(
|
|
fqsn,
|
|
info=si,
|
|
)
|
|
|
|
# symbol.broker_info[brokername] = si
|
|
feed.symbols[fqsn] = symbol
|
|
feed.symbols[sym] = symbol
|
|
|
|
# cast shm dtype to list... can't member why we need this
|
|
shm_token = data['shm_token']
|
|
|
|
# XXX: msgspec won't relay through the tuples XD
|
|
shm_token['dtype_descr'] = tuple(
|
|
map(tuple, shm_token['dtype_descr']))
|
|
|
|
assert shm_token == shm.token # sanity
|
|
|
|
feed._max_sample_rate = 1
|
|
|
|
try:
|
|
yield feed
|
|
finally:
|
|
# drop the infinite stream connection
|
|
await ctx.cancel()
|
|
|
|
|
|
@asynccontextmanager
|
|
async def maybe_open_feed(
|
|
|
|
fqsns: list[str],
|
|
loglevel: Optional[str] = None,
|
|
|
|
**kwargs,
|
|
|
|
) -> (
|
|
Feed,
|
|
ReceiveChannel[dict[str, Any]],
|
|
):
|
|
'''
|
|
Maybe open a data to a ``brokerd`` daemon only if there is no
|
|
local one for the broker-symbol pair, if one is cached use it wrapped
|
|
in a tractor broadcast receiver.
|
|
|
|
'''
|
|
fqsn = fqsns[0]
|
|
|
|
async with maybe_open_context(
|
|
acm_func=open_feed,
|
|
kwargs={
|
|
'fqsns': fqsns,
|
|
'loglevel': loglevel,
|
|
'tick_throttle': kwargs.get('tick_throttle'),
|
|
|
|
# XXX: super critical to have bool defaults here XD
|
|
'backpressure': kwargs.get('backpressure', True),
|
|
'start_stream': kwargs.get('start_stream', True),
|
|
},
|
|
key=fqsn,
|
|
|
|
) as (cache_hit, feed):
|
|
|
|
if cache_hit:
|
|
log.info(f'Using cached feed for {fqsn}')
|
|
# add a new broadcast subscription for the quote stream
|
|
# if this feed is likely already in use
|
|
async with feed.stream.subscribe() as bstream:
|
|
yield feed, bstream
|
|
else:
|
|
yield feed, feed.stream
|