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piker/piker/data/marketstore.py

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# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
'''
``marketstore`` integration.
- client management routines
- ticK data ingest routines
- websocket client for subscribing to write triggers
- todo: tick sequence stream-cloning for testing
- todo: docker container management automation
'''
from contextlib import asynccontextmanager
from typing import Any, Optional
import time
from math import isnan
import msgpack
import numpy as np
import pandas as pd
import tractor
from trio_websocket import open_websocket_url
from anyio_marketstore import open_marketstore_client, MarketstoreClient
from ..log import get_logger, get_console_log
from ..data import open_feed
log = get_logger(__name__)
_tick_tbk_ids: tuple[str, str] = ('1Sec', 'TICK')
_tick_tbk: str = '{}/' + '/'.join(_tick_tbk_ids)
_tick_dt = [
# these two are required for as a "primary key"
('Epoch', 'i8'),
('Nanoseconds', 'i4'),
('IsTrade', 'i1'),
('IsBid', 'i1'),
('Price', 'f4'),
('Size', 'f4')
]
_quote_dt = [
# these two are required for as a "primary key"
('Epoch', 'i8'),
('Nanoseconds', 'i4'),
('Tick', 'i4'), # do we need this?
('Last', 'f4'),
('Bid', 'f4'),
('Bsize', 'f4'),
('Asize', 'f4'),
('Ask', 'f4'),
('Size', 'i8'),
('Volume', 'f4'),
]
def mk_tbk(keys: tuple[str, str, str]) -> str:
'''
Generate a marketstore table key from a tuple.
Converts,
``('SPY', '1Sec', 'TICK')`` -> ``"SPY/1Sec/TICK"```
'''
return '{}/' + '/'.join(keys)
def quote_to_marketstore_structarray(
quote: dict[str, Any],
last_fill: Optional[float]
) -> np.array:
'''
Return marketstore writeable structarray from quote ``dict``.
'''
if last_fill:
# new fill bby
now = timestamp(last_fill, unit='s')
else:
# this should get inserted upstream by the broker-client to
# subtract from IPC latency
now = time.time_ns()
secs, ns = now / 10**9, now % 10**9
# pack into list[tuple[str, Any]]
array_input = []
# insert 'Epoch' entry first and then 'Nanoseconds'.
array_input.append(int(secs))
array_input.append(int(ns))
# append remaining fields
for name, dt in _quote_dt[2:]:
if 'f' in dt:
none = np.nan
else:
# for ``np.int`` we use 0 as a null value
none = 0
# casefold? see https://github.com/alpacahq/marketstore/issues/324
val = quote.get(name.casefold(), none)
array_input.append(val)
return np.array([tuple(array_input)], dtype=_quote_dt)
def timestamp(date, **kwargs) -> int:
'''
Return marketstore compatible 'Epoch' integer in nanoseconds
from a date formatted str.
'''
return int(pd.Timestamp(date, **kwargs).value)
@asynccontextmanager
async def get_client(
host: str = 'localhost',
port: int = 5995
) -> MarketstoreClient:
async with open_marketstore_client(host, port) as client:
yield client
async def ingest_quote_stream(
symbols: list[str],
brokername: str,
tries: int = 1,
loglevel: str = None,
) -> None:
'''
Ingest a broker quote stream into a ``marketstore`` tsdb.
'''
async with (
open_feed(brokername, symbols, loglevel=loglevel) as feed,
get_client() as ms_client,
):
async for quotes in feed.stream:
log.info(quotes)
for symbol, quote in quotes.items():
for tick in quote.get('ticks', ()):
ticktype = tick.get('type', 'n/a')
# _quote_dt = [
# # these two are required for as a "primary key"
# ('Epoch', 'i8'),
# ('Nanoseconds', 'i4'),
# ('Tick', 'i4'),
#
# ('Last', 'f4'),
# ('Bid', 'f4'),
# ('Bsize', 'f4'),
# ('Asize', 'f4'),
# ('Ask', 'f4'),
# ('Size', 'i8'),
# ('Volume', 'f4'),
# ]
# techtonic tick write
array = quote_to_marketstore_structarray({
'IsTrade': 1 if ticktype == 'trade' else 0,
'IsBid': 1 if ticktype in ('bid', 'bsize') else 0,
'Price': tick.get('price'),
'Size': tick.get('size')
}, last_fill=quote.get('broker_ts', None))
await ms_client.write(array, _tick_tbk)
quote_cache = {
'size': 0,
'tick': 0
}
# start ingest to marketstore
async for quotes in feed.stream:
log.info(quotes)
for symbol, quote in quotes.items():
for tick in quote.get('ticks', ()):
ticktype = tick.get('type')
price = tick.get('price')
size = tick.get('size')
if ticktype == 'n/a' or price == -1:
# okkk..
continue
# clearing price event
if ticktype == 'trade':
quote_cache['volume'] = quote['volume']
quote_cache['last'] = price
# quote_cache['broker_ts'] = quote['broker_ts']
# l1 book events
elif ticktype in ('ask', 'asize'):
quote_cache['ask'] = price
quote_cache['asize'] = size
elif ticktype in ('bid', 'bsize'):
quote_cache['bid'] = price
quote_cache['bsize'] = size
a = quote_to_marketstore_structarray(
quote_cache,
last_fill=quote.get('broker_ts', None)
)
log.info(a)
# breakpoint()
await ms_client.write(symbol, a)
# async def stream_quotes(
# symbols: list[str],
# timeframe: str = '1Min',
# attr_group: str = 'TICK',
# host: str = 'localhost',
# port: int = 5993,
# loglevel: str = None
# ) -> None:
# '''
# Open a symbol stream from a running instance of marketstore and
# log to console.
# '''
# tbks: dict[str, str] = {
# sym: f'{sym}/{timeframe}/{attr_group}' for sym in symbols}
async def stream_quotes(
symbols: list[str],
host: str = 'localhost',
port: int = 5993,
diff_cached: bool = True,
loglevel: str = None,
) -> None:
'''
Open a symbol stream from a running instance of marketstore and
log to console.
'''
# XXX: required to propagate ``tractor`` loglevel to piker logging
get_console_log(loglevel or tractor.current_actor().loglevel)
tbks: dict[str, str] = {sym: f"{sym}/*/*" for sym in symbols}
async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
# send subs topics to server
resp = await ws.send_message(
msgpack.dumps({'streams': list(tbks.values())})
)
log.info(resp)
async def recv() -> dict[str, Any]:
return msgpack.loads((await ws.get_message()), encoding='utf-8')
streams = (await recv())['streams']
log.info(f"Subscribed to {streams}")
_cache = {}
while True:
msg = await recv()
# unpack symbol and quote data
# key is in format ``<SYMBOL>/<TIMEFRAME>/<ID>``
symbol = msg['key'].split('/')[0]
data = msg['data']
# calc time stamp(s)
s, ns = data.pop('Epoch'), data.pop('Nanoseconds')
ts = s * 10**9 + ns
data['broker_fill_time_ns'] = ts
quote = {}
for k, v in data.items():
if isnan(v):
continue
quote[k.lower()] = v
quote['symbol'] = symbol
quotes = {}
if diff_cached:
last = _cache.setdefault(symbol, {})
new = set(quote.items()) - set(last.items())
if new:
log.info(f"New quote {quote['symbol']}:\n{new}")
# only ship diff updates and other required fields
payload = {k: quote[k] for k, v in new}
payload['symbol'] = symbol
# if there was volume likely the last size of
# shares traded is useful info and it's possible
# that the set difference from above will disregard
# a "size" value since the same # of shares were traded
size = quote.get('size')
volume = quote.get('volume')
if size and volume:
new_volume_since_last = max(
volume - last.get('volume', 0), 0)
log.warning(
f"NEW VOLUME {symbol}:{new_volume_since_last}")
payload['size'] = size
payload['last'] = quote.get('last')
# XXX: we append to a list for the options case where the
# subscription topic (key) is the same for all
# expiries even though this is uncessary for the
# stock case (different topic [i.e. symbol] for each
# quote).
quotes.setdefault(symbol, []).append(payload)
# update cache
_cache[symbol].update(quote)
else:
quotes = {
symbol: [{key.lower(): val for key, val in quote.items()}]}
if quotes:
yield quotes
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