345 lines
10 KiB
Python
345 lines
10 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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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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``marketstore`` integration.
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- client management routines
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- ticK data ingest routines
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- websocket client for subscribing to write triggers
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- todo: tick sequence stream-cloning for testing
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- todo: docker container management automation
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"""
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from contextlib import asynccontextmanager
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from typing import Dict, Any, List, Callable, Tuple
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import time
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from math import isnan
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import msgpack
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import numpy as np
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import pandas as pd
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import pymarketstore as pymkts
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import tractor
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from trio_websocket import open_websocket_url
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from ..log import get_logger, get_console_log
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from ..data import open_feed
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log = get_logger(__name__)
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_tick_tbk_ids: Tuple[str, str] = ('1Sec', 'TICK')
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_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
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_url: str = 'http://localhost:5993/rpc'
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_quote_dt = [
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# these two are required for as a "primary key"
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('Epoch', 'i8'),
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('Nanoseconds', 'i4'),
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('Tick', 'i4'), # (-1, 0, 1) = (on bid, same, on ask)
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# ('fill_time', 'f4'),
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('Last', 'f4'),
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('Bid', 'f4'),
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('Bsize', 'i8'),
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('Asize', 'i8'),
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('Ask', 'f4'),
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('Size', 'i8'),
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('Volume', 'i8'),
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# ('brokerd_ts', 'i64'),
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# ('VWAP', 'f4')
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]
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_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
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_tick_map = {
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'Up': 1,
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'Equal': 0,
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'Down': -1,
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None: np.nan,
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}
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class MarketStoreError(Exception):
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"Generic marketstore client error"
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def err_on_resp(response: dict) -> None:
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"""Raise any errors found in responses from client request.
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"""
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responses = response['responses']
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if responses is not None:
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for r in responses:
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err = r['error']
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if err:
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raise MarketStoreError(err)
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def quote_to_marketstore_structarray(
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quote: Dict[str, Any],
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last_fill: str,
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) -> np.array:
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"""Return marketstore writeable structarray from quote ``dict``.
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"""
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if last_fill:
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# new fill bby
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now = timestamp(last_fill)
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else:
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# this should get inserted upstream by the broker-client to
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# subtract from IPC latency
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now = time.time_ns()
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secs, ns = now / 10**9, now % 10**9
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# pack into List[Tuple[str, Any]]
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array_input = []
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# insert 'Epoch' entry first and then 'Nanoseconds'.
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array_input.append(int(secs))
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array_input.append(int(ns))
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# append remaining fields
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for name, dt in _quote_dt[2:]:
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if 'f' in dt:
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none = np.nan
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else:
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# for ``np.int`` we use 0 as a null value
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none = 0
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# casefold? see https://github.com/alpacahq/marketstore/issues/324
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val = quote.get(name.casefold(), none)
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array_input.append(val)
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return np.array([tuple(array_input)], dtype=_quote_dt)
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def timestamp(datestr: str) -> int:
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"""Return marketstore compatible 'Epoch' integer in nanoseconds
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from a date formatted str.
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"""
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return int(pd.Timestamp(datestr).value)
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def mk_tbk(keys: Tuple[str, str, str]) -> str:
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"""Generate a marketstore table key from a tuple.
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Converts,
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``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
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"""
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return '{}/' + '/'.join(keys)
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class Client:
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"""Async wrapper around the alpaca ``pymarketstore`` sync client.
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This will server as the shell for building out a proper async client
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that isn't horribly documented and un-tested..
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"""
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def __init__(self, url: str):
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self._client = pymkts.Client(url)
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async def _invoke(
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self,
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meth: Callable,
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*args,
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**kwargs,
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) -> Any:
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return err_on_resp(meth(*args, **kwargs))
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async def destroy(
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self,
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tbk: Tuple[str, str, str],
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) -> None:
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return await self._invoke(self._client.destroy, mk_tbk(tbk))
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async def list_symbols(
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self,
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tbk: str,
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) -> List[str]:
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return await self._invoke(self._client.list_symbols, mk_tbk(tbk))
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async def write(
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self,
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symbol: str,
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array: np.ndarray,
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) -> None:
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start = time.time()
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await self._invoke(
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self._client.write,
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array,
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_tick_tbk.format(symbol),
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isvariablelength=True
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)
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log.debug(f"{symbol} write time (s): {time.time() - start}")
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def query(
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self,
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symbol,
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tbk: Tuple[str, str] = _tick_tbk_ids,
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) -> pd.DataFrame:
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# XXX: causes crash
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# client.query(pymkts.Params(symbol, '*', 'OHCLV'
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result = self._client.query(
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pymkts.Params(symbol, *tbk),
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)
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return result.first().df()
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@asynccontextmanager
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async def get_client(
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url: str = _url,
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) -> Client:
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yield Client(url)
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async def ingest_quote_stream(
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symbols: List[str],
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brokername: str,
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tries: int = 1,
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loglevel: str = None,
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) -> None:
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"""Ingest a broker quote stream into marketstore in (sampled) tick format.
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"""
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async with open_feed(
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brokername,
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symbols,
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loglevel=loglevel,
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) as (first_quotes, qstream):
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quote_cache = first_quotes.copy()
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async with get_client() as ms_client:
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# start ingest to marketstore
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async for quotes in qstream:
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log.info(quotes)
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for symbol, quote in quotes.items():
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# remap tick strs to ints
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quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
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# check for volume update (i.e. did trades happen
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# since last quote)
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new_vol = quote.get('volume', None)
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if new_vol is None:
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log.debug(f"No fills for {symbol}")
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if new_vol == quote_cache.get('volume'):
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# should never happen due to field diffing
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# on sender side
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log.error(
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f"{symbol}: got same volume as last quote?")
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quote_cache.update(quote)
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a = quote_to_marketstore_structarray(
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quote,
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# TODO: check this closer to the broker query api
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last_fill=quote.get('fill_time', '')
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)
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await ms_client.write(symbol, a)
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async def stream_quotes(
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symbols: List[str],
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host: str = 'localhost',
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port: int = 5993,
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diff_cached: bool = True,
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loglevel: str = None,
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) -> None:
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"""Open a symbol stream from a running instance of marketstore and
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log to console.
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"""
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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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tbks: Dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
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async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
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# send subs topics to server
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resp = await ws.send_message(
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msgpack.dumps({'streams': list(tbks.values())})
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)
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log.info(resp)
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async def recv() -> Dict[str, Any]:
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return msgpack.loads((await ws.get_message()), encoding='utf-8')
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streams = (await recv())['streams']
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log.info(f"Subscribed to {streams}")
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_cache = {}
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while True:
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msg = await recv()
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# unpack symbol and quote data
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# key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
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symbol = msg['key'].split('/')[0]
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data = msg['data']
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# calc time stamp(s)
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s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
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ts = s * 10**9 + ns
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data['broker_fill_time_ns'] = ts
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quote = {}
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for k, v in data.items():
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if isnan(v):
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continue
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quote[k.lower()] = v
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quote['symbol'] = symbol
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quotes = {}
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if diff_cached:
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last = _cache.setdefault(symbol, {})
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new = set(quote.items()) - set(last.items())
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if new:
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log.info(f"New quote {quote['symbol']}:\n{new}")
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# only ship diff updates and other required fields
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payload = {k: quote[k] for k, v in new}
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payload['symbol'] = symbol
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# if there was volume likely the last size of
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# shares traded is useful info and it's possible
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# that the set difference from above will disregard
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# a "size" value since the same # of shares were traded
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size = quote.get('size')
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volume = quote.get('volume')
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if size and volume:
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new_volume_since_last = max(
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volume - last.get('volume', 0), 0)
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log.warning(
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f"NEW VOLUME {symbol}:{new_volume_since_last}")
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payload['size'] = size
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payload['last'] = quote.get('last')
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# XXX: we append to a list for the options case where the
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# subscription topic (key) is the same for all
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# expiries even though this is uncessary for the
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# stock case (different topic [i.e. symbol] for each
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# quote).
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quotes.setdefault(symbol, []).append(payload)
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# update cache
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_cache[symbol].update(quote)
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else:
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quotes = {
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symbol: [{key.lower(): val for key, val in quote.items()}]}
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if quotes:
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yield quotes
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