571 lines
15 KiB
Python
571 lines
15 KiB
Python
# piker: trading gear for hackers
|
|
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
|
|
|
# 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
|
|
|
|
'''
|
|
from __future__ import annotations
|
|
from contextlib import asynccontextmanager as acm
|
|
from pprint import pformat
|
|
from typing import (
|
|
Any,
|
|
TYPE_CHECKING,
|
|
)
|
|
import time
|
|
from math import isnan
|
|
from pathlib import Path
|
|
|
|
from bidict import bidict
|
|
from msgspec.msgpack import (
|
|
encode,
|
|
decode,
|
|
)
|
|
# import pyqtgraph as pg
|
|
import numpy as np
|
|
import tractor
|
|
from trio_websocket import open_websocket_url
|
|
from anyio_marketstore import ( # noqa
|
|
open_marketstore_client,
|
|
MarketstoreClient,
|
|
Params,
|
|
)
|
|
import pendulum
|
|
# TODO: import this for specific error set expected by mkts client
|
|
# import purerpc
|
|
|
|
from ..data.feed import maybe_open_feed
|
|
from . import ServiceMngr
|
|
from ._util import (
|
|
log, # sub-sys logger
|
|
get_console_log,
|
|
)
|
|
|
|
if TYPE_CHECKING:
|
|
import docker
|
|
from ._ahab import DockerContainer
|
|
|
|
|
|
|
|
# ahabd-supervisor and container level config
|
|
_config = {
|
|
'grpc_listen_port': 5995,
|
|
'ws_listen_port': 5993,
|
|
'log_level': 'debug',
|
|
'startup_timeout': 2,
|
|
}
|
|
|
|
_yaml_config_str: str = '''
|
|
# piker's ``marketstore`` config.
|
|
|
|
# mount this config using:
|
|
# sudo docker run --mount \
|
|
# type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
|
|
# 5993:5993 alpacamarkets/marketstore:latest
|
|
|
|
root_directory: data
|
|
listen_port: {ws_listen_port}
|
|
grpc_listen_port: {grpc_listen_port}
|
|
log_level: {log_level}
|
|
queryable: true
|
|
stop_grace_period: 0
|
|
wal_rotate_interval: 5
|
|
stale_threshold: 5
|
|
enable_add: true
|
|
enable_remove: false
|
|
|
|
# SUPER DUPER CRITICAL to address a super weird issue:
|
|
# https://github.com/pikers/piker/issues/443
|
|
# seems like "variable compression" is possibly borked
|
|
# or snappy compression somehow breaks easily?
|
|
disable_variable_compression: true
|
|
|
|
triggers:
|
|
- module: ondiskagg.so
|
|
on: "*/1Sec/OHLCV"
|
|
config:
|
|
# filter: "nasdaq"
|
|
destinations:
|
|
- 1Min
|
|
- 5Min
|
|
- 15Min
|
|
- 1H
|
|
- 1D
|
|
|
|
- module: stream.so
|
|
on: '*/*/*'
|
|
# config:
|
|
# filter: "nasdaq"
|
|
|
|
'''
|
|
|
|
|
|
def start_marketstore(
|
|
client: docker.DockerClient,
|
|
user_config: dict,
|
|
**kwargs,
|
|
|
|
) -> tuple[DockerContainer, dict[str, Any]]:
|
|
'''
|
|
Start and supervise a marketstore instance with its config
|
|
bind-mounted in from the piker config directory on the system.
|
|
|
|
The equivalent cli cmd to this code is:
|
|
|
|
sudo docker run --mount \
|
|
type=bind,source="$HOME/.config/piker/",target="/etc" -i -p \
|
|
5993:5993 alpacamarkets/marketstore:latest
|
|
|
|
'''
|
|
import os
|
|
import docker
|
|
from .. import config
|
|
get_console_log('info', name=__name__)
|
|
|
|
mktsdir = os.path.join(config._config_dir, 'marketstore')
|
|
|
|
# create dirs when dne
|
|
if not os.path.isdir(config._config_dir):
|
|
Path(config._config_dir).mkdir(parents=True, exist_ok=True)
|
|
|
|
if not os.path.isdir(mktsdir):
|
|
os.mkdir(mktsdir)
|
|
|
|
yml_file = os.path.join(mktsdir, 'mkts.yml')
|
|
yaml_config = _yaml_config_str.format(**user_config)
|
|
|
|
if not os.path.isfile(yml_file):
|
|
log.warning(
|
|
f'No `marketstore` config exists?: {yml_file}\n'
|
|
'Generating new file from template:\n'
|
|
f'{yaml_config}\n'
|
|
)
|
|
with open(yml_file, 'w') as yf:
|
|
yf.write(yaml_config)
|
|
|
|
# create a mount from user's local piker config dir into container
|
|
config_dir_mnt = docker.types.Mount(
|
|
target='/etc',
|
|
source=mktsdir,
|
|
type='bind',
|
|
)
|
|
|
|
# create a user config subdir where the marketstore
|
|
# backing filesystem database can be persisted.
|
|
persistent_data_dir = os.path.join(
|
|
mktsdir, 'data',
|
|
)
|
|
if not os.path.isdir(persistent_data_dir):
|
|
os.mkdir(persistent_data_dir)
|
|
|
|
data_dir_mnt = docker.types.Mount(
|
|
target='/data',
|
|
source=persistent_data_dir,
|
|
type='bind',
|
|
)
|
|
|
|
grpc_listen_port = int(user_config['grpc_listen_port'])
|
|
ws_listen_port = int(user_config['ws_listen_port'])
|
|
|
|
dcntr: DockerContainer = client.containers.run(
|
|
'alpacamarkets/marketstore:latest',
|
|
# do we need this for cmds?
|
|
# '-i',
|
|
|
|
# '-p 5993:5993',
|
|
ports={
|
|
f'{ws_listen_port}/tcp': ws_listen_port,
|
|
f'{grpc_listen_port}/tcp': grpc_listen_port,
|
|
},
|
|
mounts=[
|
|
config_dir_mnt,
|
|
data_dir_mnt,
|
|
],
|
|
|
|
# XXX: this must be set to allow backgrounding/non-blocking
|
|
# usage interaction with the container's process.
|
|
detach=True,
|
|
|
|
# stop_signal='SIGINT',
|
|
init=True,
|
|
# remove=True,
|
|
)
|
|
|
|
async def start_matcher(msg: str):
|
|
return "launching tcp listener for all services..." in msg
|
|
|
|
async def stop_matcher(msg: str):
|
|
return (
|
|
# not sure when this happens, some kinda stop condition
|
|
"exiting..." in msg
|
|
|
|
# after we send SIGINT..
|
|
or "initiating graceful shutdown due to 'interrupt' request" in msg
|
|
)
|
|
|
|
return (
|
|
dcntr,
|
|
_config,
|
|
|
|
# expected startup and stop msgs
|
|
start_matcher,
|
|
stop_matcher,
|
|
)
|
|
|
|
|
|
@acm
|
|
async def start_ahab_daemon(
|
|
service_mngr: ServiceMngr,
|
|
user_config: dict | None = None,
|
|
loglevel: str | None = None,
|
|
|
|
) -> tuple[str, dict]:
|
|
'''
|
|
Task entrypoint to start the marketstore docker container using the
|
|
service manager.
|
|
|
|
'''
|
|
from ._ahab import start_ahab_service
|
|
|
|
# dict-merge any user settings
|
|
conf: dict = _config.copy()
|
|
if user_config:
|
|
conf: dict = conf | user_config
|
|
|
|
dname: str = 'marketstored'
|
|
log.info(f'Spawning `{dname}` supervisor')
|
|
async with start_ahab_service(
|
|
service_mngr,
|
|
dname,
|
|
|
|
# NOTE: docker-py client is passed at runtime
|
|
start_marketstore,
|
|
ep_kwargs={'user_config': conf},
|
|
loglevel=loglevel,
|
|
) as (
|
|
_,
|
|
config,
|
|
(cid, pid),
|
|
):
|
|
log.info(
|
|
f'`{dname}` up!\n'
|
|
f'pid: {pid}\n'
|
|
f'container id: {cid[:12]}\n'
|
|
f'config: {pformat(config)}'
|
|
)
|
|
yield dname, conf
|
|
|
|
|
|
_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'), # (-1, 0, 1) = (on bid, same, on ask)
|
|
# ('fill_time', 'f4'),
|
|
('Last', 'f4'),
|
|
('Bid', 'f4'),
|
|
('Bsize', 'i8'),
|
|
('Asize', 'i8'),
|
|
('Ask', 'f4'),
|
|
('Size', 'i8'),
|
|
('Volume', 'i8'),
|
|
# ('brokerd_ts', 'i64'),
|
|
# ('VWAP', 'f4')
|
|
]
|
|
|
|
_quote_tmp = {}.fromkeys(dict(_quote_dt).keys(), np.nan)
|
|
_tick_map = {
|
|
'Up': 1,
|
|
'Equal': 0,
|
|
'Down': -1,
|
|
None: np.nan,
|
|
}
|
|
|
|
_ohlcv_dt = [
|
|
# these two are required for as a "primary key"
|
|
('Epoch', 'i8'),
|
|
# ('Nanoseconds', 'i4'),
|
|
|
|
# ohlcv sampling
|
|
('Open', 'f4'),
|
|
('High', 'f4'),
|
|
('Low', 'f4'),
|
|
('Close', 'f4'),
|
|
('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: float | None,
|
|
|
|
) -> np.array:
|
|
'''
|
|
Return marketstore writeable structarray from quote ``dict``.
|
|
|
|
'''
|
|
if last_fill:
|
|
# new fill bby
|
|
now = int(pendulum.parse(last_fill).timestamp)
|
|
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)
|
|
|
|
|
|
class MarketStoreError(Exception):
|
|
"Generic marketstore client error"
|
|
|
|
|
|
# def err_on_resp(response: dict) -> None:
|
|
# """Raise any errors found in responses from client request.
|
|
# """
|
|
# responses = response['responses']
|
|
# if responses is not None:
|
|
# for r in responses:
|
|
# err = r['error']
|
|
# if err:
|
|
# raise MarketStoreError(err)
|
|
|
|
|
|
# map of seconds ints to "time frame" accepted keys
|
|
tf_in_1s = bidict({
|
|
1: '1Sec',
|
|
60: '1Min',
|
|
60*5: '5Min',
|
|
60*15: '15Min',
|
|
60*30: '30Min',
|
|
60*60: '1H',
|
|
60*60*24: '1D',
|
|
})
|
|
|
|
|
|
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.
|
|
|
|
'''
|
|
from piker.storage.marketstore import get_client
|
|
async with (
|
|
maybe_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')
|
|
|
|
# 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)
|
|
|
|
# LEGACY WRITE LOOP (using old tick dt)
|
|
# quote_cache = {
|
|
# 'size': 0,
|
|
# 'tick': 0
|
|
# }
|
|
|
|
# async for quotes in qstream:
|
|
# log.info(quotes)
|
|
# for symbol, quote in quotes.items():
|
|
|
|
# # remap tick strs to ints
|
|
# quote['tick'] = _tick_map[quote.get('tick', 'Equal')]
|
|
|
|
# # check for volume update (i.e. did trades happen
|
|
# # since last quote)
|
|
# new_vol = quote.get('volume', None)
|
|
# if new_vol is None:
|
|
# log.debug(f"No fills for {symbol}")
|
|
# if new_vol == quote_cache.get('volume'):
|
|
# # should never happen due to field diffing
|
|
# # on sender side
|
|
# log.error(
|
|
# f"{symbol}: got same volume as last quote?")
|
|
|
|
# quote_cache.update(quote)
|
|
|
|
# a = quote_to_marketstore_structarray(
|
|
# quote,
|
|
# # TODO: check this closer to the broker query api
|
|
# last_fill=quote.get('fill_time', '')
|
|
# )
|
|
# await ms_client.write(symbol, a)
|
|
|
|
|
|
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(
|
|
|
|
encode({'streams': list(tbks.values())})
|
|
)
|
|
log.info(resp)
|
|
|
|
async def recv() -> dict[str, Any]:
|
|
return decode((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
|