1579 lines
46 KiB
Python
1579 lines
46 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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Interactive Brokers API backend.
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Note the client runs under an ``asyncio`` loop (since ``ib_insync`` is
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built on it) and thus actor aware API calls must be spawned with
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``infected_aio==True``.
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"""
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from contextlib import asynccontextmanager
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from dataclasses import asdict
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from datetime import datetime
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from functools import partial
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from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
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import asyncio
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from pprint import pformat
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import inspect
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import itertools
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import logging
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from random import randint
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import time
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import trio
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from trio_typing import TaskStatus
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import tractor
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from async_generator import aclosing
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails, Option
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from ib_insync.order import Order, Trade, OrderStatus
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from ib_insync.objects import Fill, Execution
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from ib_insync.ticker import Ticker
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from ib_insync.objects import Position
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import ib_insync as ibis
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from ib_insync.wrapper import Wrapper
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from ib_insync.client import Client as ib_Client
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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from . import config
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from ..log import get_logger, get_console_log
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from .._daemon import maybe_spawn_brokerd
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from ..data._source import from_df
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from ..data._sharedmem import ShmArray
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from ._util import SymbolNotFound, NoData
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from ..clearing._messages import (
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BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdPosition, BrokerdCancel,
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BrokerdFill,
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# BrokerdError,
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)
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log = get_logger(__name__)
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# passed to ``tractor.ActorNursery.start_actor()``
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_spawn_kwargs = {
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'infect_asyncio': True,
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}
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_time_units = {
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's': ' sec',
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'm': ' mins',
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'h': ' hours',
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}
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_time_frames = {
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'1s': '1 Sec',
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'5s': '5 Sec',
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'30s': '30 Sec',
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'1m': 'OneMinute',
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'2m': 'TwoMinutes',
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'3m': 'ThreeMinutes',
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'4m': 'FourMinutes',
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'5m': 'FiveMinutes',
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'10m': 'TenMinutes',
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'15m': 'FifteenMinutes',
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'20m': 'TwentyMinutes',
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'30m': 'HalfHour',
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'1h': 'OneHour',
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'2h': 'TwoHours',
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'4h': 'FourHours',
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'D': 'OneDay',
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'W': 'OneWeek',
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'M': 'OneMonth',
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'Y': 'OneYear',
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}
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_show_wap_in_history: bool = False
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# optional search config the backend can register for
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# it's symbol search handling (in this case we avoid
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# accepting patterns before the kb has settled more then
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# a quarter second).
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_search_conf = {
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'pause_period': 6/16,
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}
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# overrides to sidestep pretty questionable design decisions in
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# ``ib_insync``:
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class NonShittyWrapper(Wrapper):
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def tcpDataArrived(self):
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"""Override time stamps to be floats for now.
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"""
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# use a ns int to store epoch time instead of datetime
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self.lastTime = time.time_ns()
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for ticker in self.pendingTickers:
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ticker.rtTime = None
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ticker.ticks = []
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ticker.tickByTicks = []
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ticker.domTicks = []
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self.pendingTickers = set()
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def execDetails(
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self,
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reqId: int,
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contract: Contract,
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execu,
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):
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"""
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Get rid of datetime on executions.
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"""
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# this is the IB server's execution time supposedly
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# https://interactivebrokers.github.io/tws-api/classIBApi_1_1Execution.html#a2e05cace0aa52d809654c7248e052ef2
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execu.time = execu.time.timestamp()
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return super().execDetails(reqId, contract, execu)
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class NonShittyIB(ibis.IB):
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"""The beginning of overriding quite a few decisions in this lib.
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- Don't use datetimes
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- Don't use named tuples
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"""
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def __init__(self):
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self._createEvents()
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# XXX: just to override this wrapper
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self.wrapper = NonShittyWrapper(self)
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self.client = ib_Client(self.wrapper)
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# self.errorEvent += self._onError
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self.client.apiEnd += self.disconnectedEvent
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self._logger = logging.getLogger('ib_insync.ib')
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# map of symbols to contract ids
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_adhoc_cmdty_data_map = {
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
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# NOTE: some cmdtys/metals don't have trade data like gold/usd:
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# https://groups.io/g/twsapi/message/44174
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'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
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}
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_adhoc_futes_set = {
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# equities
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'nq.globex',
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'mnq.globex',
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'es.globex',
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'mes.globex',
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# cypto$
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'brr.cmecrypto',
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'ethusdrr.cmecrypto',
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# agriculture
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'he.globex', # lean hogs
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'le.globex', # live cattle (geezers)
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'gf.globex', # feeder cattle (younguns)
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# raw
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'lb.globex', # random len lumber
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# metals
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'xauusd.cmdty', # gold spot
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'gc.nymex',
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'mgc.nymex',
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'xagusd.cmdty', # silver spot
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}
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# exchanges we don't support at the moment due to not knowing
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# how to do symbol-contract lookup correctly likely due
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# to not having the data feeds subscribed.
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_exch_skip_list = {
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'ASX', # aussie stocks
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'MEXI', # mexican stocks
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'VALUE', # no idea
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}
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
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_enters = 0
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class Client:
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"""IB wrapped for our broker backend API.
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Note: this client requires running inside an ``asyncio`` loop.
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"""
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def __init__(
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self,
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ib: ibis.IB,
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) -> None:
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self.ib = ib
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self.ib.RaiseRequestErrors = True
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# contract cache
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self._contracts: Dict[str, Contract] = {}
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self._feeds: Dict[str, trio.abc.SendChannel] = {}
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# NOTE: the ib.client here is "throttled" to 45 rps by default
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async def bars(
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self,
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symbol: str,
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# EST in ISO 8601 format is required... below is EPOCH
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start_dt: str = "1970-01-01T00:00:00.000000-05:00",
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end_dt: str = "",
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sample_period_s: str = 1, # ohlc sample period
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period_count: int = int(2e3), # <- max per 1s sample query
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is_paid_feed: bool = False, # placeholder
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) -> List[Dict[str, Any]]:
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"""Retreive OHLCV bars for a symbol over a range to the present.
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"""
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bars_kwargs = {'whatToShow': 'TRADES'}
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global _enters
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print(f'ENTER BARS {_enters}')
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_enters += 1
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contract = await self.find_contract(symbol)
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bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
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# _min = min(2000*100, count)
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bars = await self.ib.reqHistoricalDataAsync(
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contract,
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endDateTime=end_dt,
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# time history length values format:
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# ``durationStr=integer{SPACE}unit (S|D|W|M|Y)``
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# OHLC sampling values:
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# 1 secs, 5 secs, 10 secs, 15 secs, 30 secs, 1 min, 2 mins,
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# 3 mins, 5 mins, 10 mins, 15 mins, 20 mins, 30 mins,
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# 1 hour, 2 hours, 3 hours, 4 hours, 8 hours, 1 day, 1W, 1M
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# barSizeSetting='1 secs',
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# durationStr='{count} S'.format(count=15000 * 5),
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# durationStr='{count} D'.format(count=1),
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# barSizeSetting='5 secs',
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durationStr='{count} S'.format(count=period_count),
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# barSizeSetting='5 secs',
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barSizeSetting='1 secs',
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# barSizeSetting='1 min',
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# always use extended hours
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useRTH=False,
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# restricted per contract type
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**bars_kwargs,
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# whatToShow='MIDPOINT',
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# whatToShow='TRADES',
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)
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if not bars:
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# TODO: raise underlying error here
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raise ValueError(f"No bars retreived for {symbol}?")
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# TODO: rewrite this faster with ``numba``
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# convert to pandas dataframe:
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df = ibis.util.df(bars)
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return bars, from_df(df)
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async def search_stocks(
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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) -> Dict[str, ContractDetails]:
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"""Search for stocks matching provided ``str`` pattern.
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Return a dictionary of ``upto`` entries worth of contract details.
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"""
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descriptions = await self.ib.reqMatchingSymbolsAsync(pattern)
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if descriptions is not None:
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futs = []
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for d in descriptions:
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con = d.contract
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if con.primaryExchange not in _exch_skip_list:
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futs.append(self.ib.reqContractDetailsAsync(con))
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# batch request all details
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results = await asyncio.gather(*futs)
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# XXX: if there is more then one entry in the details list
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details = {}
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for details_set in results:
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# then the contract is so called "ambiguous".
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for d in details_set:
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con = d.contract
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unique_sym = f'{con.symbol}.{con.primaryExchange}'
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as_dict = asdict(d)
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# nested dataclass we probably don't need and that
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# won't IPC serialize
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as_dict.pop('secIdList')
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details[unique_sym] = as_dict
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if len(details) == upto:
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return details
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return details
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else:
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return {}
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async def search_symbols(
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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asdicts: bool = True,
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) -> Dict[str, ContractDetails]:
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# TODO add search though our adhoc-locally defined symbol set
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# for futes/cmdtys/
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return await self.search_stocks(pattern, upto, asdicts)
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async def search_futes(
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self,
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pattern: str,
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# how many contracts to search "up to"
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upto: int = 3,
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asdicts: bool = True,
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) -> Dict[str, ContractDetails]:
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raise NotImplementedError
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async def get_cont_fute(
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self,
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symbol: str,
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exchange: str,
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) -> Contract:
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"""Get an unqualifed contract for the current "continous" future.
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"""
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contcon = ibis.ContFuture(symbol, exchange=exchange)
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# it's the "front" contract returned here
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frontcon = (await self.ib.qualifyContractsAsync(contcon))[0]
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return ibis.Future(conId=frontcon.conId)
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async def find_contract(
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self,
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symbol,
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currency: str = 'USD',
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**kwargs,
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) -> Contract:
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# TODO: we can't use this currently because
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# ``wrapper.starTicker()`` currently cashes ticker instances
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# which means getting a singel quote will potentially look up
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# a quote for a ticker that it already streaming and thus run
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# into state clobbering (eg. List: Ticker.ticks). It probably
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# makes sense to try this once we get the pub-sub working on
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# individual symbols...
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# XXX UPDATE: we can probably do the tick/trades scraping
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# inside our eventkit handler instead to bypass this entirely?
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# try:
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# # give the cache a go
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# return self._contracts[symbol]
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# except KeyError:
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# log.debug(f'Looking up contract for {symbol}')
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# use heuristics to figure out contract "type"
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try:
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sym, exch = symbol.upper().rsplit('.', maxsplit=1)
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except ValueError:
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# likely there's an embedded `.` for a forex pair
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breakpoint()
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# futes
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if exch in ('GLOBEX', 'NYMEX', 'CME', 'CMECRYPTO'):
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con = await self.get_cont_fute(symbol=sym, exchange=exch)
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elif exch in ('FOREX'):
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currency = ''
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symbol, currency = sym.split('/')
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con = ibis.Forex(
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symbol=symbol,
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currency=currency,
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)
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con.bars_kwargs = {'whatToShow': 'MIDPOINT'}
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# commodities
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elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
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con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
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con = ibis.Commodity(**con_kwargs)
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con.bars_kwargs = bars_kwargs
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# stonks
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else:
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# TODO: metadata system for all these exchange rules..
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primaryExchange = ''
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if exch in ('PURE', 'TSE'): # non-yankee
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currency = 'CAD'
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# stupid ib...
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primaryExchange = exch
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exch = 'SMART'
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else:
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exch = 'SMART'
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primaryExchange = exch
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con = ibis.Stock(
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symbol=sym,
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exchange=exch,
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primaryExchange=primaryExchange,
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currency=currency,
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)
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try:
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exch = 'SMART' if not exch else exch
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contract = (await self.ib.qualifyContractsAsync(con))[0]
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except IndexError:
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raise ValueError(f"No contract could be found {con}")
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self._contracts[symbol] = contract
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return contract
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async def get_head_time(
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self,
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contract: Contract,
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) -> datetime:
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"""Return the first datetime stamp for ``contract``.
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"""
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return await self.ib.reqHeadTimeStampAsync(
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contract,
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whatToShow='TRADES',
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useRTH=False,
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formatDate=2, # timezone aware UTC datetime
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)
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async def get_quote(
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self,
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symbol: str,
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) -> Ticker:
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"""Return a single quote for symbol.
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"""
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contract = await self.find_contract(symbol)
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details_fute = self.ib.reqContractDetailsAsync(contract)
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ticker: Ticker = self.ib.reqMktData(
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contract,
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snapshot=True,
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)
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ticker = await ticker.updateEvent
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details = (await details_fute)[0]
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return contract, ticker, details
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# async to be consistent for the client proxy, and cuz why not.
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async def submit_limit(
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self,
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# ignored since ib doesn't support defining your
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# own order id
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oid: str,
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symbol: str,
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price: float,
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action: str,
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size: int,
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account: str = '', # if blank the "default" tws account is used
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# XXX: by default 0 tells ``ib_insync`` methods that there is no
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# existing order so ask the client to create a new one (which it
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# seems to do by allocating an int counter - collision prone..)
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reqid: int = None,
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) -> int:
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"""Place an order and return integer request id provided by client.
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"""
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try:
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contract = self._contracts[symbol]
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except KeyError:
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# require that the symbol has been previously cached by
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# a data feed request - ensure we aren't making orders
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# against non-known prices.
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raise RuntimeError("Can not order {symbol}, no live feed?")
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trade = self.ib.placeOrder(
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contract,
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Order(
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orderId=reqid or 0, # stupid api devs..
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action=action.upper(), # BUY/SELL
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account=account,
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orderType='LMT',
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lmtPrice=price,
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totalQuantity=size,
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outsideRth=True,
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optOutSmartRouting=True,
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routeMarketableToBbo=True,
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designatedLocation='SMART',
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),
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)
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# ib doesn't support setting your own id outside
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# their own weird client int counting ids..
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return trade.order.orderId
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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"""Send cancel request for order id ``oid``.
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"""
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self.ib.cancelOrder(
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Order(
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orderId=reqid,
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clientId=self.ib.client.clientId,
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)
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)
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async def recv_trade_updates(
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self,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
|
|
self.inline_errors(to_trio)
|
|
|
|
def push_tradesies(eventkit_obj, obj, fill=None):
|
|
"""Push events to trio task.
|
|
|
|
"""
|
|
if fill is not None:
|
|
# execution details event
|
|
item = ('fill', (obj, fill))
|
|
|
|
elif eventkit_obj.name() == 'positionEvent':
|
|
item = ('position', obj)
|
|
|
|
else:
|
|
item = ('status', obj)
|
|
|
|
log.info(f'eventkit event ->\n{pformat(item)}')
|
|
|
|
try:
|
|
to_trio.send_nowait(item)
|
|
except trio.BrokenResourceError:
|
|
log.exception(f'Disconnected from {eventkit_obj} updates')
|
|
eventkit_obj.disconnect(push_tradesies)
|
|
|
|
# hook up to the weird eventkit object - event stream api
|
|
for ev_name in [
|
|
'orderStatusEvent', # all order updates
|
|
'execDetailsEvent', # all "fill" updates
|
|
'positionEvent', # avg price updates per symbol per account
|
|
|
|
# 'commissionReportEvent',
|
|
# XXX: ugh, it is a separate event from IB and it's
|
|
# emitted as follows:
|
|
# self.ib.commissionReportEvent.emit(trade, fill, report)
|
|
|
|
# XXX: not sure yet if we need these
|
|
# 'updatePortfolioEvent',
|
|
|
|
# XXX: these all seem to be weird ib_insync intrernal
|
|
# events that we probably don't care that much about
|
|
# given the internal design is wonky af..
|
|
# 'newOrderEvent',
|
|
# 'orderModifyEvent',
|
|
# 'cancelOrderEvent',
|
|
# 'openOrderEvent',
|
|
]:
|
|
eventkit_obj = getattr(self.ib, ev_name)
|
|
handler = partial(push_tradesies, eventkit_obj)
|
|
eventkit_obj.connect(handler)
|
|
|
|
# let the engine run and stream
|
|
await self.ib.disconnectedEvent
|
|
|
|
def inline_errors(
|
|
self,
|
|
to_trio: trio.abc.SendChannel,
|
|
) -> None:
|
|
|
|
# connect error msgs
|
|
def push_err(
|
|
reqId: int,
|
|
errorCode: int,
|
|
errorString: str,
|
|
contract: Contract,
|
|
) -> None:
|
|
|
|
log.error(errorString)
|
|
|
|
try:
|
|
to_trio.send_nowait((
|
|
'error',
|
|
|
|
# error "object"
|
|
{'reqid': reqId,
|
|
'reason': errorString,
|
|
'contract': contract}
|
|
))
|
|
except trio.BrokenResourceError:
|
|
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
|
# reason will catch and ignore regular exceptions
|
|
# resulting in tracebacks spammed to console..
|
|
# Manually do the dereg ourselves.
|
|
log.exception('Disconnected from errorEvent updates')
|
|
self.ib.errorEvent.disconnect(push_err)
|
|
|
|
self.ib.errorEvent.connect(push_err)
|
|
|
|
async def positions(
|
|
self,
|
|
account: str = '',
|
|
) -> List[Position]:
|
|
"""
|
|
Retrieve position info for ``account``.
|
|
"""
|
|
return self.ib.positions(account=account)
|
|
|
|
|
|
# default config ports
|
|
_tws_port: int = 7497
|
|
_gw_port: int = 4002
|
|
_try_ports = [
|
|
_gw_port,
|
|
_tws_port
|
|
]
|
|
# TODO: remove the randint stuff and use proper error checking in client
|
|
# factor below..
|
|
_client_ids = itertools.count(randint(1, 100))
|
|
_client_cache = {}
|
|
|
|
|
|
def get_config() -> dict[str, Any]:
|
|
|
|
conf, path = config.load()
|
|
|
|
section = conf.get('ib')
|
|
|
|
if section is None:
|
|
log.warning(f'No config section found for ib in {path}')
|
|
return {}
|
|
|
|
return section
|
|
|
|
|
|
@asynccontextmanager
|
|
async def _aio_get_client(
|
|
|
|
host: str = '127.0.0.1',
|
|
port: int = None,
|
|
|
|
client_id: Optional[int] = None,
|
|
|
|
) -> Client:
|
|
'''Return an ``ib_insync.IB`` instance wrapped in our client API.
|
|
|
|
Client instances are cached for later use.
|
|
|
|
TODO: consider doing this with a ctx mngr eventually?
|
|
'''
|
|
conf = get_config()
|
|
|
|
# first check cache for existing client
|
|
try:
|
|
if port:
|
|
client = _client_cache[(host, port)]
|
|
else:
|
|
# grab first cached client
|
|
client = list(_client_cache.values())[0]
|
|
|
|
if not client.ib.isConnected():
|
|
# we have a stale client to re-allocate
|
|
raise KeyError
|
|
|
|
yield client
|
|
|
|
except (KeyError, IndexError):
|
|
|
|
# TODO: in case the arbiter has no record
|
|
# of existing brokerd we need to broadcast for one.
|
|
|
|
if client_id is None:
|
|
# if this is a persistent brokerd, try to allocate a new id for
|
|
# each client
|
|
client_id = next(_client_ids)
|
|
|
|
ib = NonShittyIB()
|
|
|
|
# attempt to get connection info from config; if no .toml entry
|
|
# exists, we try to load from a default localhost connection.
|
|
host = conf.get('host', '127.0.0.1')
|
|
ports = conf.get(
|
|
'ports',
|
|
|
|
# default order is to check for gw first
|
|
{
|
|
'gw': 4002,
|
|
'tws': 7497,
|
|
'order': ['gw', 'tws']
|
|
}
|
|
)
|
|
order = ports['order']
|
|
|
|
try_ports = [ports[key] for key in order]
|
|
ports = try_ports if port is None else [port]
|
|
|
|
# TODO: support multiple clients allowing for execution on
|
|
# multiple accounts (including a paper instance running on the
|
|
# same machine) and switching between accounts in the EMs
|
|
|
|
_err = None
|
|
|
|
for port in ports:
|
|
try:
|
|
log.info(f"Connecting to the EYEBEE on port {port}!")
|
|
await ib.connectAsync(host, port, clientId=client_id)
|
|
break
|
|
except ConnectionRefusedError as ce:
|
|
_err = ce
|
|
log.warning(f'Failed to connect on {port}')
|
|
else:
|
|
raise ConnectionRefusedError(_err)
|
|
|
|
# create and cache
|
|
try:
|
|
client = Client(ib)
|
|
|
|
_client_cache[(host, port)] = client
|
|
log.debug(f"Caching client for {(host, port)}")
|
|
|
|
yield client
|
|
|
|
except BaseException:
|
|
ib.disconnect()
|
|
raise
|
|
|
|
|
|
async def _aio_run_client_method(
|
|
meth: str,
|
|
to_trio=None,
|
|
from_trio=None,
|
|
**kwargs,
|
|
) -> None:
|
|
async with _aio_get_client() as client:
|
|
|
|
async_meth = getattr(client, meth)
|
|
|
|
# handle streaming methods
|
|
args = tuple(inspect.getfullargspec(async_meth).args)
|
|
if to_trio and 'to_trio' in args:
|
|
kwargs['to_trio'] = to_trio
|
|
|
|
log.runtime(f'Running {meth}({kwargs})')
|
|
return await async_meth(**kwargs)
|
|
|
|
|
|
async def _trio_run_client_method(
|
|
method: str,
|
|
**kwargs,
|
|
) -> None:
|
|
"""Asyncio entry point to run tasks against the ``ib_insync`` api.
|
|
|
|
"""
|
|
ca = tractor.current_actor()
|
|
assert ca.is_infected_aio()
|
|
|
|
# if the method is an *async gen* stream for it
|
|
meth = getattr(Client, method)
|
|
|
|
args = tuple(inspect.getfullargspec(meth).args)
|
|
|
|
if inspect.isasyncgenfunction(meth) or (
|
|
# if the method is an *async func* but manually
|
|
# streams back results, make sure to also stream it
|
|
'to_trio' in args
|
|
):
|
|
kwargs['_treat_as_stream'] = True
|
|
|
|
result = await tractor.to_asyncio.run_task(
|
|
_aio_run_client_method,
|
|
meth=method,
|
|
**kwargs
|
|
)
|
|
return result
|
|
|
|
|
|
class _MethodProxy:
|
|
def __init__(
|
|
self,
|
|
portal: tractor.Portal
|
|
) -> None:
|
|
self._portal = portal
|
|
|
|
async def _run_method(
|
|
self,
|
|
*,
|
|
meth: str = None,
|
|
**kwargs
|
|
) -> Any:
|
|
return await self._portal.run(
|
|
_trio_run_client_method,
|
|
method=meth,
|
|
**kwargs
|
|
)
|
|
|
|
|
|
def get_client_proxy(
|
|
|
|
portal: tractor.Portal,
|
|
target=Client,
|
|
|
|
) -> _MethodProxy:
|
|
|
|
proxy = _MethodProxy(portal)
|
|
|
|
# mock all remote methods
|
|
for name, method in inspect.getmembers(
|
|
target, predicate=inspect.isfunction
|
|
):
|
|
if '_' == name[0]:
|
|
continue
|
|
setattr(proxy, name, partial(proxy._run_method, meth=name))
|
|
|
|
return proxy
|
|
|
|
|
|
@asynccontextmanager
|
|
async def get_client(
|
|
**kwargs,
|
|
) -> Client:
|
|
"""Init the ``ib_insync`` client in another actor and return
|
|
a method proxy to it.
|
|
"""
|
|
async with maybe_spawn_brokerd(
|
|
brokername='ib',
|
|
infect_asyncio=True,
|
|
**kwargs
|
|
) as portal:
|
|
proxy_client = get_client_proxy(portal)
|
|
yield proxy_client
|
|
|
|
|
|
# https://interactivebrokers.github.io/tws-api/tick_types.html
|
|
tick_types = {
|
|
77: 'trade',
|
|
48: 'utrade',
|
|
0: 'bsize',
|
|
1: 'bid',
|
|
2: 'ask',
|
|
3: 'asize',
|
|
4: 'last',
|
|
5: 'size',
|
|
8: 'volume',
|
|
}
|
|
|
|
|
|
def normalize(
|
|
ticker: Ticker,
|
|
calc_price: bool = False
|
|
) -> dict:
|
|
# convert named tuples to dicts so we send usable keys
|
|
new_ticks = []
|
|
for tick in ticker.ticks:
|
|
if tick and not isinstance(tick, dict):
|
|
td = tick._asdict()
|
|
td['type'] = tick_types.get(td['tickType'], 'n/a')
|
|
|
|
new_ticks.append(td)
|
|
|
|
ticker.ticks = new_ticks
|
|
|
|
# some contracts don't have volume so we may want to calculate
|
|
# a midpoint price based on data we can acquire (such as bid / ask)
|
|
if calc_price:
|
|
ticker.ticks.append(
|
|
{'type': 'trade', 'price': ticker.marketPrice()}
|
|
)
|
|
|
|
# serialize for transport
|
|
data = asdict(ticker)
|
|
|
|
# add time stamps for downstream latency measurements
|
|
data['brokerd_ts'] = time.time()
|
|
|
|
# stupid stupid shit...don't even care any more..
|
|
# leave it until we do a proper latency study
|
|
# if ticker.rtTime is not None:
|
|
# data['broker_ts'] = data['rtTime_s'] = float(
|
|
# ticker.rtTime.timestamp) / 1000.
|
|
data.pop('rtTime')
|
|
|
|
return data
|
|
|
|
|
|
async def get_bars(
|
|
sym: str,
|
|
end_dt: str = "",
|
|
) -> (dict, np.ndarray):
|
|
|
|
_err: Optional[Exception] = None
|
|
|
|
fails = 0
|
|
for _ in range(2):
|
|
try:
|
|
|
|
bars, bars_array = await _trio_run_client_method(
|
|
method='bars',
|
|
symbol=sym,
|
|
end_dt=end_dt,
|
|
)
|
|
|
|
if bars_array is None:
|
|
raise SymbolNotFound(sym)
|
|
|
|
next_dt = bars[0].date
|
|
|
|
return (bars, bars_array, next_dt), fails
|
|
|
|
except RequestError as err:
|
|
_err = err
|
|
|
|
# TODO: retreive underlying ``ib_insync`` error?
|
|
if err.code == 162:
|
|
|
|
if 'HMDS query returned no data' in err.message:
|
|
# means we hit some kind of historical "dead zone"
|
|
# and further requests seem to always cause
|
|
# throttling despite the rps being low
|
|
break
|
|
|
|
elif 'No market data permissions for' in err.message:
|
|
|
|
# TODO: signalling for no permissions searches
|
|
raise NoData(f'Symbol: {sym}')
|
|
break
|
|
|
|
else:
|
|
log.exception(
|
|
"Data query rate reached: Press `ctrl-alt-f`"
|
|
"in TWS"
|
|
)
|
|
print(_err)
|
|
|
|
# TODO: should probably create some alert on screen
|
|
# and then somehow get that to trigger an event here
|
|
# that restarts/resumes this task?
|
|
await tractor.breakpoint()
|
|
fails += 1
|
|
continue
|
|
|
|
return (None, None)
|
|
|
|
# else: # throttle wasn't fixed so error out immediately
|
|
# raise _err
|
|
|
|
|
|
async def backfill_bars(
|
|
sym: str,
|
|
shm: ShmArray, # type: ignore # noqa
|
|
# count: int = 20, # NOTE: any more and we'll overrun underlying buffer
|
|
count: int = 6, # NOTE: any more and we'll overrun the underlying buffer
|
|
|
|
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
|
|
|
) -> None:
|
|
"""Fill historical bars into shared mem / storage afap.
|
|
|
|
TODO: avoid pacing constraints:
|
|
https://github.com/pikers/piker/issues/128
|
|
|
|
"""
|
|
(first_bars, bars_array, next_dt), fails = await get_bars(sym)
|
|
|
|
# write historical data to buffer
|
|
shm.push(bars_array)
|
|
|
|
with trio.CancelScope() as cs:
|
|
|
|
task_status.started(cs)
|
|
|
|
i = 0
|
|
while i < count:
|
|
|
|
out, fails = await get_bars(sym, end_dt=next_dt)
|
|
|
|
if fails is None or fails > 1:
|
|
break
|
|
|
|
if out == (None, None):
|
|
# could be trying to retreive bars over weekend
|
|
# TODO: add logic here to handle tradable hours and only grab
|
|
# valid bars in the range
|
|
log.error(f"Can't grab bars starting at {next_dt}!?!?")
|
|
continue
|
|
|
|
bars, bars_array, next_dt = out
|
|
shm.push(bars_array, prepend=True)
|
|
i += 1
|
|
|
|
|
|
asset_type_map = {
|
|
'STK': 'stock',
|
|
'OPT': 'option',
|
|
'FUT': 'future',
|
|
'CONTFUT': 'continuous_future',
|
|
'CASH': 'forex',
|
|
'IND': 'index',
|
|
'CFD': 'cfd',
|
|
'BOND': 'bond',
|
|
'CMDTY': 'commodity',
|
|
'FOP': 'futures_option',
|
|
'FUND': 'mutual_fund',
|
|
'WAR': 'warrant',
|
|
'IOPT': 'warran',
|
|
'BAG': 'bag',
|
|
# 'NEWS': 'news',
|
|
}
|
|
|
|
|
|
_quote_streams: Dict[str, trio.abc.ReceiveStream] = {}
|
|
|
|
|
|
async def _setup_quote_stream(
|
|
symbol: str,
|
|
opts: Tuple[int] = ('375', '233', '236'),
|
|
contract: Optional[Contract] = None,
|
|
) -> None:
|
|
"""Stream a ticker using the std L1 api.
|
|
"""
|
|
global _quote_streams
|
|
|
|
async with _aio_get_client() as client:
|
|
|
|
contract = contract or (await client.find_contract(symbol))
|
|
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
|
|
|
# define a simple queue push routine that streams quote packets
|
|
# to trio over the ``to_trio`` memory channel.
|
|
to_trio, from_aio = trio.open_memory_channel(2**8) # type: ignore
|
|
|
|
def push(t):
|
|
"""Push quotes to trio task.
|
|
|
|
"""
|
|
# log.debug(t)
|
|
try:
|
|
to_trio.send_nowait(t)
|
|
|
|
except trio.BrokenResourceError:
|
|
# XXX: eventkit's ``Event.emit()`` for whatever redic
|
|
# reason will catch and ignore regular exceptions
|
|
# resulting in tracebacks spammed to console..
|
|
# Manually do the dereg ourselves.
|
|
ticker.updateEvent.disconnect(push)
|
|
log.error(f"Disconnected stream for `{symbol}`")
|
|
client.ib.cancelMktData(contract)
|
|
|
|
# decouple broadcast mem chan
|
|
_quote_streams.pop(symbol, None)
|
|
|
|
ticker.updateEvent.connect(push)
|
|
|
|
return from_aio
|
|
|
|
|
|
async def start_aio_quote_stream(
|
|
symbol: str,
|
|
contract: Optional[Contract] = None,
|
|
) -> trio.abc.ReceiveStream:
|
|
|
|
global _quote_streams
|
|
|
|
from_aio = _quote_streams.get(symbol)
|
|
if from_aio:
|
|
|
|
# if we already have a cached feed deliver a rx side clone to consumer
|
|
return from_aio.clone()
|
|
|
|
else:
|
|
|
|
from_aio = await tractor.to_asyncio.run_task(
|
|
_setup_quote_stream,
|
|
symbol=symbol,
|
|
contract=contract,
|
|
)
|
|
|
|
# cache feed for later consumers
|
|
_quote_streams[symbol] = from_aio
|
|
|
|
return from_aio
|
|
|
|
|
|
async def stream_quotes(
|
|
|
|
send_chan: trio.abc.SendChannel,
|
|
symbols: List[str],
|
|
shm: ShmArray,
|
|
feed_is_live: trio.Event,
|
|
loglevel: str = None,
|
|
|
|
# startup sync
|
|
task_status: TaskStatus[Tuple[Dict, Dict]] = trio.TASK_STATUS_IGNORED,
|
|
|
|
) -> None:
|
|
"""Stream symbol quotes.
|
|
|
|
This is a ``trio`` callable routine meant to be invoked
|
|
once the brokerd is up.
|
|
"""
|
|
|
|
# TODO: support multiple subscriptions
|
|
sym = symbols[0]
|
|
|
|
contract, first_ticker, details = await _trio_run_client_method(
|
|
method='get_quote',
|
|
symbol=sym,
|
|
)
|
|
|
|
stream = await start_aio_quote_stream(symbol=sym, contract=contract)
|
|
|
|
# pass back some symbol info like min_tick, trading_hours, etc.
|
|
syminfo = asdict(details)
|
|
syminfo.update(syminfo['contract'])
|
|
|
|
# nested dataclass we probably don't need and that won't IPC serialize
|
|
syminfo.pop('secIdList')
|
|
|
|
# TODO: more consistent field translation
|
|
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
|
|
|
# for stocks it seems TWS reports too small a tick size
|
|
# such that you can't submit orders with that granularity?
|
|
min_tick = 0.01 if atype == 'stock' else 0
|
|
|
|
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
|
|
|
# for "traditional" assets, volume is normally discreet, not a float
|
|
syminfo['lot_tick_size'] = 0.0
|
|
|
|
# TODO: for loop through all symbols passed in
|
|
init_msgs = {
|
|
# pass back token, and bool, signalling if we're the writer
|
|
# and that history has been written
|
|
sym: {
|
|
'symbol_info': syminfo,
|
|
}
|
|
}
|
|
|
|
con = first_ticker.contract
|
|
|
|
# should be real volume for this contract by default
|
|
calc_price = False
|
|
|
|
# check for special contract types
|
|
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
|
|
|
suffix = con.primaryExchange
|
|
if not suffix:
|
|
suffix = con.exchange
|
|
|
|
else:
|
|
# commodities and forex don't have an exchange name and
|
|
# no real volume so we have to calculate the price
|
|
suffix = con.secType
|
|
# no real volume on this tract
|
|
calc_price = True
|
|
|
|
quote = normalize(first_ticker, calc_price=calc_price)
|
|
con = quote['contract']
|
|
topic = '.'.join((con['symbol'], suffix)).lower()
|
|
quote['symbol'] = topic
|
|
|
|
# pass first quote asap
|
|
first_quote = {topic: quote}
|
|
|
|
# ugh, clear ticks since we've consumed them
|
|
# (ahem, ib_insync is stateful trash)
|
|
first_ticker.ticks = []
|
|
|
|
log.debug(f"First ticker received {quote}")
|
|
|
|
task_status.started((init_msgs, first_quote))
|
|
|
|
if type(first_ticker.contract) not in (ibis.Commodity, ibis.Forex):
|
|
# suffix = 'exchange'
|
|
# calc_price = False # should be real volume for contract
|
|
|
|
# wait for real volume on feed (trading might be closed)
|
|
while True:
|
|
|
|
ticker = await stream.receive()
|
|
|
|
# for a real volume contract we rait for the first
|
|
# "real" trade to take place
|
|
if not calc_price and not ticker.rtTime:
|
|
# spin consuming tickers until we get a real market datum
|
|
log.debug(f"New unsent ticker: {ticker}")
|
|
continue
|
|
else:
|
|
log.debug("Received first real volume tick")
|
|
# ugh, clear ticks since we've consumed them
|
|
# (ahem, ib_insync is truly stateful trash)
|
|
ticker.ticks = []
|
|
|
|
# XXX: this works because we don't use
|
|
# ``aclosing()`` above?
|
|
break
|
|
|
|
# tell caller quotes are now coming in live
|
|
feed_is_live.set()
|
|
|
|
# last = time.time()
|
|
async with aclosing(stream):
|
|
async for ticker in stream:
|
|
# print(f'ticker rate: {1/(time.time() - last)}')
|
|
|
|
# print(ticker.vwap)
|
|
quote = normalize(
|
|
ticker,
|
|
calc_price=calc_price
|
|
)
|
|
|
|
# con = quote['contract']
|
|
# topic = '.'.join((con['symbol'], suffix)).lower()
|
|
quote['symbol'] = topic
|
|
await send_chan.send({topic: quote})
|
|
|
|
# ugh, clear ticks since we've consumed them
|
|
ticker.ticks = []
|
|
# last = time.time()
|
|
|
|
|
|
def pack_position(pos: Position) -> Dict[str, Any]:
|
|
con = pos.contract
|
|
|
|
if isinstance(con, Option):
|
|
# TODO: option symbol parsing and sane display:
|
|
symbol = con.localSymbol.replace(' ', '')
|
|
|
|
else:
|
|
symbol = con.symbol
|
|
|
|
return BrokerdPosition(
|
|
broker='ib',
|
|
account=pos.account,
|
|
symbol=symbol,
|
|
currency=con.currency,
|
|
size=float(pos.position),
|
|
avg_price=float(pos.avgCost) / float(con.multiplier or 1.0),
|
|
)
|
|
|
|
|
|
async def handle_order_requests(
|
|
|
|
ems_order_stream: tractor.MsgStream,
|
|
|
|
) -> None:
|
|
|
|
# request_msg: dict
|
|
async for request_msg in ems_order_stream:
|
|
log.info(f'Received order request {request_msg}')
|
|
|
|
action = request_msg['action']
|
|
|
|
if action in {'buy', 'sell'}:
|
|
# validate
|
|
order = BrokerdOrder(**request_msg)
|
|
|
|
# call our client api to submit the order
|
|
reqid = await _trio_run_client_method(
|
|
|
|
method='submit_limit',
|
|
oid=order.oid,
|
|
symbol=order.symbol,
|
|
price=order.price,
|
|
action=order.action,
|
|
size=order.size,
|
|
|
|
# XXX: by default 0 tells ``ib_insync`` methods that
|
|
# there is no existing order so ask the client to create
|
|
# a new one (which it seems to do by allocating an int
|
|
# counter - collision prone..)
|
|
reqid=order.reqid,
|
|
)
|
|
|
|
# deliver ack that order has been submitted to broker routing
|
|
await ems_order_stream.send(
|
|
BrokerdOrderAck(
|
|
# ems order request id
|
|
oid=order.oid,
|
|
# broker specific request id
|
|
reqid=reqid,
|
|
time_ns=time.time_ns(),
|
|
).dict()
|
|
)
|
|
|
|
elif action == 'cancel':
|
|
msg = BrokerdCancel(**request_msg)
|
|
|
|
await _trio_run_client_method(
|
|
method='submit_cancel',
|
|
reqid=msg.reqid
|
|
)
|
|
|
|
else:
|
|
log.error(f'Unknown order command: {request_msg}')
|
|
|
|
|
|
@tractor.context
|
|
async def trades_dialogue(
|
|
|
|
ctx: tractor.Context,
|
|
loglevel: str = None,
|
|
|
|
) -> AsyncIterator[Dict[str, Any]]:
|
|
|
|
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
|
get_console_log(loglevel or tractor.current_actor().loglevel)
|
|
|
|
ib_trade_events_stream = await _trio_run_client_method(
|
|
method='recv_trade_updates',
|
|
)
|
|
|
|
# deliver positions to subscriber before anything else
|
|
positions = await _trio_run_client_method(method='positions')
|
|
|
|
all_positions = {}
|
|
|
|
for pos in positions:
|
|
msg = pack_position(pos)
|
|
all_positions[msg.symbol] = msg.dict()
|
|
|
|
await ctx.started(all_positions)
|
|
|
|
action_map = {'BOT': 'buy', 'SLD': 'sell'}
|
|
|
|
async with (
|
|
ctx.open_stream() as ems_stream,
|
|
trio.open_nursery() as n,
|
|
):
|
|
# start order request handler **before** local trades event loop
|
|
n.start_soon(handle_order_requests, ems_stream)
|
|
|
|
# TODO: for some reason we can receive a ``None`` here when the
|
|
# ib-gw goes down? Not sure exactly how that's happening looking
|
|
# at the eventkit code above but we should probably handle it...
|
|
async for event_name, item in ib_trade_events_stream:
|
|
print(f' ib sending {item}')
|
|
|
|
# TODO: templating the ib statuses in comparison with other
|
|
# brokers is likely the way to go:
|
|
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
|
|
# short list:
|
|
# - PendingSubmit
|
|
# - PendingCancel
|
|
# - PreSubmitted (simulated orders)
|
|
# - ApiCancelled (cancelled by client before submission
|
|
# to routing)
|
|
# - Cancelled
|
|
# - Filled
|
|
# - Inactive (reject or cancelled but not by trader)
|
|
|
|
# XXX: here's some other sucky cases from the api
|
|
# - short-sale but securities haven't been located, in this
|
|
# case we should probably keep the order in some kind of
|
|
# weird state or cancel it outright?
|
|
# status='PendingSubmit', message=''),
|
|
# status='Cancelled', message='Error 404,
|
|
# reqId 1550: Order held while securities are located.'),
|
|
# status='PreSubmitted', message='')],
|
|
|
|
if event_name == 'status':
|
|
|
|
# XXX: begin normalization of nonsense ib_insync internal
|
|
# object-state tracking representations...
|
|
|
|
# unwrap needed data from ib_insync internal types
|
|
trade: Trade = item
|
|
status: OrderStatus = trade.orderStatus
|
|
|
|
# skip duplicate filled updates - we get the deats
|
|
# from the execution details event
|
|
msg = BrokerdStatus(
|
|
|
|
reqid=trade.order.orderId,
|
|
time_ns=time.time_ns(), # cuz why not
|
|
|
|
# everyone doin camel case..
|
|
status=status.status.lower(), # force lower case
|
|
|
|
filled=status.filled,
|
|
reason=status.whyHeld,
|
|
|
|
# this seems to not be necessarily up to date in the
|
|
# execDetails event.. so we have to send it here I guess?
|
|
remaining=status.remaining,
|
|
|
|
broker_details={'name': 'ib'},
|
|
)
|
|
|
|
elif event_name == 'fill':
|
|
|
|
# for wtv reason this is a separate event type
|
|
# from IB, not sure why it's needed other then for extra
|
|
# complexity and over-engineering :eyeroll:.
|
|
# we may just end up dropping these events (or
|
|
# translating them to ``Status`` msgs) if we can
|
|
# show the equivalent status events are no more latent.
|
|
|
|
# unpack ib_insync types
|
|
# pep-0526 style:
|
|
# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
|
|
trade: Trade
|
|
fill: Fill
|
|
trade, fill = item
|
|
execu: Execution = fill.execution
|
|
|
|
# TODO: normalize out commissions details?
|
|
details = {
|
|
'contract': asdict(fill.contract),
|
|
'execution': asdict(fill.execution),
|
|
'commissions': asdict(fill.commissionReport),
|
|
'broker_time': execu.time, # supposedly server fill time
|
|
'name': 'ib',
|
|
}
|
|
|
|
msg = BrokerdFill(
|
|
# should match the value returned from `.submit_limit()`
|
|
reqid=execu.orderId,
|
|
time_ns=time.time_ns(), # cuz why not
|
|
|
|
action=action_map[execu.side],
|
|
size=execu.shares,
|
|
price=execu.price,
|
|
|
|
broker_details=details,
|
|
# XXX: required by order mode currently
|
|
broker_time=details['broker_time'],
|
|
|
|
)
|
|
|
|
elif event_name == 'error':
|
|
|
|
err: dict = item
|
|
|
|
# f$#$% gawd dammit insync..
|
|
con = err['contract']
|
|
if isinstance(con, Contract):
|
|
err['contract'] = asdict(con)
|
|
|
|
if err['reqid'] == -1:
|
|
log.error(f'TWS external order error:\n{pformat(err)}')
|
|
|
|
# don't forward for now, it's unecessary.. but if we wanted to,
|
|
# msg = BrokerdError(**err)
|
|
continue
|
|
|
|
elif event_name == 'position':
|
|
msg = pack_position(item)
|
|
|
|
if getattr(msg, 'reqid', 0) < -1:
|
|
|
|
# it's a trade event generated by TWS usage.
|
|
log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
|
|
|
msg.reqid = 'tws-' + str(-1 * msg.reqid)
|
|
|
|
# mark msg as from "external system"
|
|
# TODO: probably something better then this.. and start
|
|
# considering multiplayer/group trades tracking
|
|
msg.broker_details['external_src'] = 'tws'
|
|
continue
|
|
|
|
# XXX: we always serialize to a dict for msgpack
|
|
# translations, ideally we can move to an msgspec (or other)
|
|
# encoder # that can be enabled in ``tractor`` ahead of
|
|
# time so we can pass through the message types directly.
|
|
await ems_stream.send(msg.dict())
|
|
|
|
|
|
@tractor.context
|
|
async def open_symbol_search(
|
|
ctx: tractor.Context,
|
|
|
|
) -> None:
|
|
# load all symbols locally for fast search
|
|
await ctx.started({})
|
|
|
|
async with ctx.open_stream() as stream:
|
|
|
|
last = time.time()
|
|
|
|
async for pattern in stream:
|
|
log.debug(f'received {pattern}')
|
|
now = time.time()
|
|
|
|
assert pattern, 'IB can not accept blank search pattern'
|
|
|
|
# throttle search requests to no faster then 1Hz
|
|
diff = now - last
|
|
if diff < 1.0:
|
|
log.debug('throttle sleeping')
|
|
await trio.sleep(diff)
|
|
try:
|
|
pattern = stream.receive_nowait()
|
|
except trio.WouldBlock:
|
|
pass
|
|
|
|
if not pattern or pattern.isspace():
|
|
log.warning('empty pattern received, skipping..')
|
|
|
|
# TODO: *BUG* if nothing is returned here the client
|
|
# side will cache a null set result and not showing
|
|
# anything to the use on re-searches when this query
|
|
# timed out. We probably need a special "timeout" msg
|
|
# or something...
|
|
|
|
# XXX: this unblocks the far end search task which may
|
|
# hold up a multi-search nursery block
|
|
await stream.send({})
|
|
|
|
continue
|
|
|
|
log.debug(f'searching for {pattern}')
|
|
|
|
last = time.time()
|
|
results = await _trio_run_client_method(
|
|
method='search_stocks',
|
|
pattern=pattern,
|
|
upto=5,
|
|
)
|
|
log.debug(f'got results {results.keys()}')
|
|
|
|
log.debug("fuzzy matching")
|
|
matches = fuzzy.extractBests(
|
|
pattern,
|
|
results,
|
|
score_cutoff=50,
|
|
)
|
|
|
|
matches = {item[2]: item[0] for item in matches}
|
|
log.debug(f"sending matches: {matches.keys()}")
|
|
await stream.send(matches)
|