diff --git a/default.nix b/default.nix new file mode 100644 index 00000000..d6bdeb2a --- /dev/null +++ b/default.nix @@ -0,0 +1,140 @@ +with (import {}); +let + glibStorePath = lib.getLib glib; + zstdStorePath = lib.getLib zstd; + dbusStorePath = lib.getLib dbus; + libGLStorePath = lib.getLib libGL; + freetypeStorePath = lib.getLib freetype; + qt6baseStorePath = lib.getLib qt6.qtbase; + fontconfigStorePath = lib.getLib fontconfig; + libxkbcommonStorePath = lib.getLib libxkbcommon; + xcbutilcursorStorePath = lib.getLib xcb-util-cursor; + + qtpyStorePath = lib.getLib python312Packages.qtpy; + pyqt6StorePath = lib.getLib python312Packages.pyqt6; + pyqt6SipStorePath = lib.getLib python312Packages.pyqt6-sip; + rapidfuzzStorePath = lib.getLib python312Packages.rapidfuzz; + qdarkstyleStorePath = lib.getLib python312Packages.qdarkstyle; + + xorgLibX11StorePath = lib.getLib xorg.libX11; + xorgLibxcbStorePath = lib.getLib xorg.libxcb; + xorgxcbutilwmStorePath = lib.getLib xorg.xcbutilwm; + xorgxcbutilimageStorePath = lib.getLib xorg.xcbutilimage; + xorgxcbutilerrorsStorePath = lib.getLib xorg.xcbutilerrors; + xorgxcbutilkeysymsStorePath = lib.getLib xorg.xcbutilkeysyms; + xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil; +in +stdenv.mkDerivation { + name = "piker-qt6-poetry-shell"; + buildInputs = [ + # System requirements. + glib + dbus + zstd + libGL + freetype + qt6.qtbase + libgcc.lib + fontconfig + libxkbcommon + + # Xorg requirements + xcb-util-cursor + xorg.libxcb + xorg.libX11 + xorg.xcbutilwm + xorg.xcbutilimage + xorg.xcbutilerrors + xorg.xcbutilkeysyms + xorg.xcbutilrenderutil + + # Python requirements. + python312Full + python312Packages.poetry-core + python312Packages.qdarkstyle + python312Packages.rapidfuzz + python312Packages.pyqt6 + python312Packages.qtpy + ]; + src = null; + shellHook = '' + set -e + + # Set the Qt plugin path + # export QT_DEBUG_PLUGINS=1 + + QTBASE_PATH="${qt6baseStorePath}/lib" + QT_PLUGIN_PATH="$QTBASE_PATH/qt-6/plugins" + QT_QPA_PLATFORM_PLUGIN_PATH="$QT_PLUGIN_PATH/platforms" + + LIB_GCC_PATH="${libgcc.lib}/lib" + GLIB_PATH="${glibStorePath}/lib" + ZSTD_PATH="${zstdStorePath}/lib" + DBUS_PATH="${dbusStorePath}/lib" + LIBGL_PATH="${libGLStorePath}/lib" + FREETYPE_PATH="${freetypeStorePath}/lib" + FONTCONFIG_PATH="${fontconfigStorePath}/lib" + LIB_XKB_COMMON_PATH="${libxkbcommonStorePath}/lib" + + XCB_UTIL_CURSOR_PATH="${xcbutilcursorStorePath}/lib" + XORG_LIB_X11_PATH="${xorgLibX11StorePath}/lib" + XORG_LIB_XCB_PATH="${xorgLibxcbStorePath}/lib" + XORG_XCB_UTIL_IMAGE_PATH="${xorgxcbutilimageStorePath}/lib" + XORG_XCB_UTIL_WM_PATH="${xorgxcbutilwmStorePath}/lib" + XORG_XCB_UTIL_RENDER_UTIL_PATH="${xorgxcbutilrenderutilStorePath}/lib" + XORG_XCB_UTIL_KEYSYMS_PATH="${xorgxcbutilkeysymsStorePath}/lib" + XORG_XCB_UTIL_ERRORS_PATH="${xorgxcbutilerrorsStorePath}/lib" + + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QTBASE_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_PLUGIN_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$QT_QPA_PLATFORM_PLUGIN_PATH" + + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_GCC_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$DBUS_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$GLIB_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$ZSTD_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIBGL_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FONTCONFIG_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$FREETYPE_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$LIB_XKB_COMMON_PATH" + + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XCB_UTIL_CURSOR_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_X11_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_LIB_XCB_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_IMAGE_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_WM_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_RENDER_UTIL_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_KEYSYMS_PATH" + LD_LIBRARY_PATH="$LD_LIBRARY_PATH:$XORG_XCB_UTIL_ERRORS_PATH" + + export LD_LIBRARY_PATH + + RPDFUZZ_PATH="${rapidfuzzStorePath}/lib/python3.12/site-packages" + QDRKSTYLE_PATH="${qdarkstyleStorePath}/lib/python3.12/site-packages" + QTPY_PATH="${qtpyStorePath}/lib/python3.12/site-packages" + PYQT6_PATH="${pyqt6StorePath}/lib/python3.12/site-packages" + PYQT6_SIP_PATH="${pyqt6SipStorePath}/lib/python3.12/site-packages" + + PATCH="$PATCH:$RPDFUZZ_PATH" + PATCH="$PATCH:$QDRKSTYLE_PATH" + PATCH="$PATCH:$QTPY_PATH" + PATCH="$PATCH:$PYQT6_PATH" + PATCH="$PATCH:$PYQT6_SIP_PATH" + + export PATCH + + # Maybe create venv & install deps + poetry install --with uis + + # Use pyqt6 from System, patch activate script + ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate" + + if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then + echo "venv is already patched." + else + echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..." + sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH + fi + + ''; +} diff --git a/piker/accounting/_pos.py b/piker/accounting/_pos.py index 1b305009..5952418f 100644 --- a/piker/accounting/_pos.py +++ b/piker/accounting/_pos.py @@ -30,7 +30,8 @@ from types import ModuleType from typing import ( Any, Iterator, - Generator + Generator, + TYPE_CHECKING, ) import pendulum @@ -59,8 +60,10 @@ from ..clearing._messages import ( BrokerdPosition, ) from piker.types import Struct -from piker.data._symcache import SymbologyCache -from ..log import get_logger +from piker.log import get_logger + +if TYPE_CHECKING: + from piker.data._symcache import SymbologyCache log = get_logger(__name__) @@ -493,6 +496,17 @@ class Account(Struct): _mktmap_table: dict[str, MktPair] | None = None, + only_require: list[str]|True = True, + # ^list of fqmes that are "required" to be processed from + # this ledger pass; we often don't care about others and + # definitely shouldn't always error in such cases. + # (eg. broker backend loaded that doesn't yet supsport the + # symcache but also, inside the paper engine we don't ad-hoc + # request `get_mkt_info()` for every symbol in the ledger, + # only the one for which we're simulating against). + # TODO, not sure if there's a better soln for this, ideally + # all backends get symcache support afap i guess.. + ) -> dict[str, Position]: ''' Update the internal `.pps[str, Position]` table from input @@ -535,11 +549,32 @@ class Account(Struct): if _mktmap_table is None: raise + required: bool = ( + only_require is True + or ( + only_require is not True + and + fqme in only_require + ) + ) # XXX: caller is allowed to provide a fallback # mktmap table for the case where a new position is # being added and the preloaded symcache didn't # have this entry prior (eg. with frickin IB..) - mkt = _mktmap_table[fqme] + if ( + not (mkt := _mktmap_table.get(fqme)) + and + required + ): + raise + + elif not required: + continue + + else: + # should be an entry retreived somewhere + assert mkt + if not (pos := pps.get(bs_mktid)): @@ -656,7 +691,7 @@ class Account(Struct): def write_config(self) -> None: ''' Write the current account state to the user's account TOML file, normally - something like ``pps.toml``. + something like `pps.toml`. ''' # TODO: show diff output? diff --git a/piker/brokers/__init__.py b/piker/brokers/__init__.py index 0c328d9f..e096af16 100644 --- a/piker/brokers/__init__.py +++ b/piker/brokers/__init__.py @@ -51,6 +51,7 @@ __brokers__: list[str] = [ 'ib', 'kraken', 'kucoin', + 'deribit', # broken but used to work # 'questrade', @@ -61,7 +62,6 @@ __brokers__: list[str] = [ # wstrade # iex - # deribit # bitso ] diff --git a/piker/brokers/_daemon.py b/piker/brokers/_daemon.py index 5efb03dd..da92f246 100644 --- a/piker/brokers/_daemon.py +++ b/piker/brokers/_daemon.py @@ -23,6 +23,7 @@ from __future__ import annotations from contextlib import ( asynccontextmanager as acm, ) +from functools import partial from types import ModuleType from typing import ( TYPE_CHECKING, @@ -190,14 +191,17 @@ def broker_init( async def spawn_brokerd( - brokername: str, loglevel: str | None = None, **tractor_kwargs, ) -> bool: + ''' + Spawn a `brokerd.` subactor service daemon + using `pikerd`'s service mngr. + ''' from piker.service._util import log # use service mngr log log.info(f'Spawning {brokername} broker daemon') @@ -217,27 +221,35 @@ async def spawn_brokerd( # ask `pikerd` to spawn a new sub-actor and manage it under its # actor nursery - from piker.service import Services - + from piker.service import ( + get_service_mngr, + ServiceMngr, + ) dname: str = tractor_kwargs.pop('name') # f'brokerd.{brokername}' - portal = await Services.actor_n.start_actor( - dname, - enable_modules=_data_mods + tractor_kwargs.pop('enable_modules'), - debug_mode=Services.debug_mode, + mngr: ServiceMngr = get_service_mngr() + ctx: tractor.Context = await mngr.start_service( + daemon_name=dname, + ctx_ep=partial( + # signature of target root-task endpoint + daemon_fixture_ep, + + # passed to daemon_fixture_ep(**kwargs) + brokername=brokername, + loglevel=loglevel, + ), + debug_mode=mngr.debug_mode, + loglevel=loglevel, + enable_modules=( + _data_mods + + + tractor_kwargs.pop('enable_modules') + ), **tractor_kwargs ) - - # NOTE: the service mngr expects an already spawned actor + its - # portal ref in order to do non-blocking setup of brokerd - # service nursery. - await Services.start_service_task( - dname, - portal, - - # signature of target root-task endpoint - daemon_fixture_ep, - brokername=brokername, - loglevel=loglevel, + assert ( + not ctx.cancel_called + and ctx.portal # parent side + and dname in ctx.chan.uid # subactor is named as desired ) return True @@ -262,8 +274,7 @@ async def maybe_spawn_brokerd( from piker.service import maybe_spawn_daemon async with maybe_spawn_daemon( - - f'brokerd.{brokername}', + service_name=f'brokerd.{brokername}', service_task_target=spawn_brokerd, spawn_args={ 'brokername': brokername, diff --git a/piker/brokers/binance/api.py b/piker/brokers/binance/api.py index 2d1c4ee6..f163162e 100644 --- a/piker/brokers/binance/api.py +++ b/piker/brokers/binance/api.py @@ -567,6 +567,7 @@ class Client: ) -> str: return { 'USDTM': 'usdtm_futes', + 'SPOT': 'spot', # 'COINM': 'coin_futes', # ^-TODO-^ bc someone might want it..? }[pair.venue] diff --git a/piker/brokers/binance/venues.py b/piker/brokers/binance/venues.py index dce0ea95..2c025fe1 100644 --- a/piker/brokers/binance/venues.py +++ b/piker/brokers/binance/venues.py @@ -181,7 +181,6 @@ class FutesPair(Pair): quoteAsset: str # 'USDT', quotePrecision: int # 8, requiredMarginPercent: float # '5.0000', - settlePlan: int # 0, timeInForce: list[str] # ['GTC', 'IOC', 'FOK', 'GTX'], triggerProtect: float # '0.0500', underlyingSubType: list[str] # ['PoW'], diff --git a/piker/brokers/deribit/__init__.py b/piker/brokers/deribit/__init__.py index 4c0c1850..5e87a708 100644 --- a/piker/brokers/deribit/__init__.py +++ b/piker/brokers/deribit/__init__.py @@ -25,6 +25,7 @@ from .api import ( get_client, ) from .feed import ( + get_mkt_info, open_history_client, open_symbol_search, stream_quotes, @@ -34,15 +35,20 @@ from .feed import ( # open_trade_dialog, # norm_trade_records, # ) +from .venues import ( + OptionPair, +) log = get_logger(__name__) __all__ = [ 'get_client', # 'trades_dialogue', + 'get_mkt_info', 'open_history_client', 'open_symbol_search', 'stream_quotes', + 'OptionPair', # 'norm_trade_records', ] diff --git a/piker/brokers/deribit/api.py b/piker/brokers/deribit/api.py index 03cc301e..f846a5c0 100644 --- a/piker/brokers/deribit/api.py +++ b/piker/brokers/deribit/api.py @@ -19,11 +19,17 @@ Deribit backend. ''' import asyncio +from collections import ChainMap from contextlib import ( asynccontextmanager as acm, ) from datetime import datetime +from decimal import ( + Decimal, +) from functools import partial +from pathlib import Path +from pprint import pformat import time from typing import ( Any, @@ -31,10 +37,8 @@ from typing import ( Callable, ) -import pendulum +from pendulum import now import trio -from trio_typing import TaskStatus -from rapidfuzz import process as fuzzy import numpy as np from tractor.trionics import ( broadcast_receiver, @@ -51,11 +55,30 @@ from cryptofeed.defines import ( OPTION, CALL, PUT ) from cryptofeed.symbols import Symbol - +from cryptofeed.types import ( + L1Book, + Trade, +) +from piker.brokers import SymbolNotFound +from .venues import ( + _ws_url, + MarketType, + PAIRTYPES, + Pair, + OptionPair, + JSONRPCResult, + KLinesResult, + LastTradesResult, +) +from piker.accounting import ( + Asset, + digits_to_dec, + MktPair, +) from piker.data import ( def_iohlcv_fields, match_from_pairs, - Struct, + # Struct, ) from piker.data._web_bs import ( open_jsonrpc_session @@ -74,60 +97,17 @@ _spawn_kwargs = { } -_url = 'https://www.deribit.com' -_ws_url = 'wss://www.deribit.com/ws/api/v2' -_testnet_ws_url = 'wss://test.deribit.com/ws/api/v2' +def deribit_timestamp(when: datetime) -> int: + ''' + Convert conventional epoch timestamp, in secs, to unixtime in + milliseconds. - -class JSONRPCResult(Struct): - jsonrpc: str = '2.0' - id: int - result: Optional[list[dict]] = None - error: Optional[dict] = None - usIn: int - usOut: int - usDiff: int - testnet: bool - -class JSONRPCChannel(Struct): - jsonrpc: str = '2.0' - method: str - params: dict - - -class KLinesResult(Struct): - close: list[float] - cost: list[float] - high: list[float] - low: list[float] - open: list[float] - status: str - ticks: list[int] - volume: list[float] - -class Trade(Struct): - trade_seq: int - trade_id: str - timestamp: int - tick_direction: int - price: float - mark_price: float - iv: float - instrument_name: str - index_price: float - direction: str - combo_trade_id: Optional[int] = 0, - combo_id: Optional[str] = '', - amount: float - -class LastTradesResult(Struct): - trades: list[Trade] - has_more: bool - - -# convert datetime obj timestamp to unixtime in milliseconds -def deribit_timestamp(when): - return int((when.timestamp() * 1000) + (when.microsecond / 1000)) + ''' + return int( + (when.timestamp() * 1000) + + + (when.microsecond / 1000) + ) def str_to_cb_sym(name: str) -> Symbol: @@ -142,100 +122,187 @@ def str_to_cb_sym(name: str) -> Symbol: else: raise Exception("Couldn\'t parse option type") + new_expiry_date = get_values_from_cb_normalized_date(expiry_date) + return Symbol( - base, quote, + base=base, + quote=quote, type=OPTION, strike_price=strike_price, option_type=option_type, - expiry_date=expiry_date, - expiry_normalize=False) + expiry_date=new_expiry_date + ) def piker_sym_to_cb_sym(name: str) -> Symbol: - base, expiry_date, strike_price, option_type = tuple( + ( + base, + expiry_date, + strike_price, + option_type, + )= tuple( name.upper().split('-')) - quote = base + quote: str = base if option_type == 'P': option_type = PUT - elif option_type == 'C': + elif option_type == 'C': option_type = CALL else: raise Exception("Couldn\'t parse option type") return Symbol( - base, quote, + base=base, + quote=quote, type=OPTION, strike_price=strike_price, option_type=option_type, - expiry_date=expiry_date.upper()) + expiry_date=expiry_date + ) -def cb_sym_to_deribit_inst(sym: Symbol): - # cryptofeed normalized - cb_norm = ['F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z'] +# TODO, instead can't we just lookup the `MktPair` directly +# and pass it upward to `stream_quotes()`?? +def cb_sym_to_deribit_inst(sym: Symbol) -> str: + ''' + Generate our own internal `str`-repr for a `cryptofeed.Symbol` + uniquely from its fields. - # deribit specific - months = ['JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT', 'NOV', 'DEC'] + This is the equiv of generating a `Pair.fmqe` from `cryptofeed` + for now i suppose..? - exp = sym.expiry_date + ''' + new_expiry_date = get_values_from_cb_normalized_date(sym.expiry_date) + otype = ( + 'C' if sym.option_type == CALL + else 'P' + ) + return ( + f'{sym.base}-' + f'{new_expiry_date}-' + f'{sym.strike_price}-' + f'{otype}' + ) + +def get_values_from_cb_normalized_date(expiry_date: str) -> str: + # deribit specific + cb_norm = [ + 'F', 'G', 'H', 'J', + 'K', 'M', 'N', 'Q', + 'U', 'V', 'X', 'Z' + ] + months = [ + 'JAN', 'FEB', 'MAR', 'APR', + 'MAY', 'JUN', 'JUL', 'AUG', + 'SEP', 'OCT', 'NOV', 'DEC' + ] # YYMDD # 01234 - year, month, day = ( - exp[:2], months[cb_norm.index(exp[2:3])], exp[3:]) - - otype = 'C' if sym.option_type == CALL else 'P' - - return f'{sym.base}-{day}{month}{year}-{sym.strike_price}-{otype}' + day, month, year = ( + expiry_date[3:], + months[cb_norm.index(expiry_date[2:3])], + expiry_date[:2] + ) + return f'{day}{month}{year}' def get_config() -> dict[str, Any]: - conf, path = config.load() - - section = conf.get('deribit') - - # TODO: document why we send this, basically because logging params for cryptofeed - conf['log'] = {} - conf['log']['disabled'] = True - + conf: dict + path: Path + conf, path = config.load( + conf_name='brokers', + touch_if_dne=True, + ) + section: dict|None = conf.get('deribit') if section is None: - log.warning(f'No config section found for deribit in {path}') + raise ValueError( + f'No `[deribit]` section found in\n' + f'{path!r}\n\n' + f'See the template config from the core repo for samples..\n' + # f'' + ) - return conf + conf_option = section.get('option', {}) + section.clear # clear the dict to reuse it + section['deribit'] = {} + section['deribit']['key_id'] = conf_option.get('api_key') + section['deribit']['key_secret'] = conf_option.get('api_secret') + + section['log'] = {} + section['log']['filename'] = 'feedhandler.log' + section['log']['level'] = 'DEBUG' + + return section class Client: + ''' + Hi-level interface for the jsron-RPC over websocket API. - def __init__(self, json_rpc: Callable) -> None: - self._pairs: dict[str, Any] = None + ''' + def __init__( + self, + + json_rpc: Callable + + ) -> None: + self._pairs: ChainMap[str, Pair] = ChainMap() config = get_config().get('deribit', {}) - if ('key_id' in config) and ('key_secret' in config): - self._key_id = config['key_id'] - self._key_secret = config['key_secret'] - - else: - self._key_id = None - self._key_secret = None + self._key_id = config.get('key_id') + self._key_secret = config.get('key_secret') self.json_rpc = json_rpc - @property - def currencies(self): - return ['btc', 'eth', 'sol', 'usd'] + self._auth_ts = None + self._auth_renew_ts = 5 # seconds to renew auth - async def get_balances(self, kind: str = 'option') -> dict[str, float]: + async def _json_rpc_auth_wrapper( + self, + *args, + **kwargs, + ) -> JSONRPCResult: + + """Background task that adquires a first access token and then will + refresh the access token. + + https://docs.deribit.com/?python#authentication-2 + """ + access_scope = 'trade:read_write' + current_ts = time.time() + + if not self._auth_ts or current_ts - self._auth_ts < self._auth_renew_ts: + # if we are close to token expiry time + + params = { + 'grant_type': 'client_credentials', + 'client_id': self._key_id, + 'client_secret': self._key_secret, + 'scope': access_scope + } + + resp = await self.json_rpc('public/auth', params) + result = resp.result + + self._auth_ts = time.time() + result['expires_in'] + + return await self.json_rpc(*args, **kwargs) + + async def get_balances( + self, + kind: str = 'option' + ) -> dict[str, float]: """Return the set of positions for this account by symbol. """ balances = {} for currency in self.currencies: - resp = await self.json_rpc( + resp = await self._json_rpc_auth_wrapper( 'private/get_positions', params={ 'currency': currency.upper(), 'kind': kind}) @@ -244,20 +311,53 @@ class Client: return balances - async def get_assets(self) -> dict[str, float]: - """Return the set of asset balances for this account - by symbol. - """ - balances = {} + async def get_assets( + self, + venue: str | None = None, - for currency in self.currencies: - resp = await self.json_rpc( - 'private/get_account_summary', params={ - 'currency': currency.upper()}) + ) -> dict[str, Asset]: + ''' + Return the set of asset balances for this account + by (deribit's) symbol. - balances[currency] = resp.result['balance'] - return balances + ''' + assets = {} + resp = await self._json_rpc_auth_wrapper( + 'public/get_currencies', + params={} + ) + currencies: list[dict] = resp.result + for currency in currencies: + name: str = currency['currency'] + tx_tick: Decimal = digits_to_dec(currency['fee_precision']) + + # TODO, handling of options, futures, perps etc. more + # specifically with diff `.atype`s? + assets[name] = Asset( + name=name, + atype='crypto_currency', + tx_tick=tx_tick, + ) + + instruments = await self.symbol_info(currency=name) + for instrument in instruments: + pair = instruments[instrument] + assets[pair.symbol] = Asset( + name=pair.symbol, + atype=pair.venue, + tx_tick=pair.size_tick, + ) + + return assets + + async def get_mkt_pairs(self) -> dict[str, Pair]: + flat: dict[str, Pair] = {} + for key in self._pairs: + item = self._pairs.get(key) + flat[item.bs_fqme] = item + + return flat async def submit_limit( self, @@ -274,7 +374,7 @@ class Client: 'type': 'limit', 'price': price, } - resp = await self.json_rpc( + resp = await self._json_rpc_auth_wrapper( f'private/{action}', params) return resp.result @@ -282,10 +382,45 @@ class Client: async def submit_cancel(self, oid: str): """Send cancel request for order id """ - resp = await self.json_rpc( + resp = await self._json_rpc_auth_wrapper( 'private/cancel', {'order_id': oid}) return resp.result + async def exch_info( + self, + sym: str | None = None, + + venue: MarketType = 'option', + expiry: str | None = None, + + ) -> dict[str, Pair] | Pair: + + pair_table: dict[str, Pair] = self._pairs + + if ( + sym + and (cached_pair := pair_table.get(sym)) + ): + return cached_pair + + if sym: + opt: OptionPair|None = pair_table.get(sym) + if not opt: + closest_matches: dict[str, Pair] = match_from_pairs( + pairs=pair_table, + query=sym, + score_cutoff=40, + ) + closest_syms: list[str] = list(closest_matches.keys()) + raise ValueError( + f'No contract found for {sym!r}\n\n' + f'Closest {len(closest_syms)} available contracts:\n\n' + f'{pformat(closest_syms)}\n' + ) + return pair_table[sym] + else: + return self._pairs + async def symbol_info( self, instrument: Optional[str] = None, @@ -293,7 +428,7 @@ class Client: kind: str = 'option', expired: bool = False - ) -> dict[str, dict]: + ) -> dict[str, Pair] | Pair: ''' Get symbol infos. @@ -305,31 +440,71 @@ class Client: params: dict[str, str] = { 'currency': currency.upper(), 'kind': kind, - 'expired': str(expired).lower() + 'expired': expired, } - resp: JSONRPCResult = await self.json_rpc( + resp: JSONRPCResult = await self._json_rpc_auth_wrapper( 'public/get_instruments', params, ) # convert to symbol-keyed table + pair_type: Pair = PAIRTYPES[kind] results: list[dict] | None = resp.result - instruments: dict[str, dict] = { - item['instrument_name'].lower(): item - for item in results - } + + instruments: dict[str, Pair] = {} + for item in results: + symbol=item['instrument_name'].lower() + try: + pair: Pair = pair_type( + symbol=symbol, + **item + ) + except Exception as e: + e.add_note( + "\nDon't panic, prolly stupid deribit changed their symbology schema again..\n" + 'Check out their API docs here:\n\n' + 'https://docs.deribit.com/?python#deribit-api-v2-1-1' + ) + raise + + instruments[symbol] = pair if instrument is not None: - return instruments[instrument] + return instruments[instrument.lower()] else: return instruments async def cache_symbols( self, - ) -> dict: + venue: MarketType = 'option', - if not self._pairs: - self._pairs = await self.symbol_info() + ) -> None: + # lookup internal mkt-specific pair table to update + pair_table: dict[str, Pair] = self._pairs + + # make API request(s) + mkt_pairs = await self.symbol_info() + + if not mkt_pairs: + raise SymbolNotFound( + f'No market pairs found!?:\n' + f'{mkt_pairs}' + ) + + pairs_view_subtable: dict[str, Pair] = {} + + for instrument in mkt_pairs: + pair_type: Pair|OptionPair = PAIRTYPES[venue] + + pair: Pair = pair_type(**mkt_pairs[instrument].to_dict()) + + pair_table[pair.symbol.upper()] = pair + + # update an additional top-level-cross-venue-table + # `._pairs: ChainMap` for search B0 + pairs_view_subtable[pair.bs_fqme] = pair + + self._pairs.maps.append(pairs_view_subtable) return self._pairs @@ -337,47 +512,47 @@ class Client: self, pattern: str, limit: int = 30, - ) -> dict[str, Any]: + ) -> dict[str, Pair]: ''' Fuzzy search symbology set for pairs matching `pattern`. ''' - pairs: dict[str, Any] = await self.symbol_info() - matches: dict[str, Pair] = match_from_pairs( + pairs: dict[str, Pair] = await self.exch_info() + + return match_from_pairs( pairs=pairs, query=pattern.upper(), score_cutoff=35, limit=limit ) - # repack in name-keyed table - return { - pair['instrument_name'].lower(): pair - for pair in matches.values() - } - async def bars( self, - symbol: str, + mkt: MktPair, + start_dt: Optional[datetime] = None, end_dt: Optional[datetime] = None, + limit: int = 1000, as_np: bool = True, - ) -> dict: - instrument = symbol + + ) -> list[tuple] | np.ndarray: + instrument: str = mkt.bs_fqme.split('.')[0] if end_dt is None: - end_dt = pendulum.now('UTC') + end_dt = now('UTC') + _orig_start_dt = start_dt if start_dt is None: start_dt = end_dt.start_of( - 'minute').subtract(minutes=limit) + 'minute' + ).subtract(minutes=limit) - start_time = deribit_timestamp(start_dt) - end_time = deribit_timestamp(end_dt) + start_time: int = deribit_timestamp(start_dt) + end_time: int = deribit_timestamp(end_dt) # https://docs.deribit.com/#public-get_tradingview_chart_data - resp = await self.json_rpc( + resp = await self._json_rpc_auth_wrapper( 'public/get_tradingview_chart_data', params={ 'instrument_name': instrument.upper(), @@ -387,36 +562,38 @@ class Client: }) result = KLinesResult(**resp.result) - new_bars = [] + new_bars: list[tuple] = [] + # if _orig_start_dt is None: + # if not new_bars: + # import tractor + # await tractor.pause() + for i in range(len(result.close)): - - _open = result.open[i] - high = result.high[i] - low = result.low[i] - close = result.close[i] - volume = result.volume[i] - row = [ (start_time + (i * (60 * 1000))) / 1000.0, # time result.open[i], result.high[i], result.low[i], result.close[i], - result.volume[i], - 0 + result.volume[i] ] new_bars.append((i,) + tuple(row)) - array = np.array(new_bars, dtype=def_iohlcv_fields) if as_np else klines - return array + if not as_np: + return result + + return np.array( + new_bars, + dtype=def_iohlcv_fields + ) async def last_trades( self, instrument: str, count: int = 10 ): - resp = await self.json_rpc( + resp = await self._json_rpc_auth_wrapper( 'public/get_last_trades_by_instrument', params={ 'instrument_name': instrument, @@ -428,85 +605,24 @@ class Client: @acm async def get_client( - is_brokercheck: bool = False + is_brokercheck: bool = False, + venue: MarketType = 'option', ) -> Client: async with ( trio.open_nursery() as n, open_jsonrpc_session( - _testnet_ws_url, dtype=JSONRPCResult) as json_rpc + _ws_url, response_type=JSONRPCResult + ) as json_rpc ): client = Client(json_rpc) - - _refresh_token: Optional[str] = None - _access_token: Optional[str] = None - - async def _auth_loop( - task_status: TaskStatus = trio.TASK_STATUS_IGNORED - ): - """Background task that adquires a first access token and then will - refresh the access token while the nursery isn't cancelled. - - https://docs.deribit.com/?python#authentication-2 - """ - renew_time = 10 - access_scope = 'trade:read_write' - _expiry_time = time.time() - got_access = False - nonlocal _refresh_token - nonlocal _access_token - - while True: - if time.time() - _expiry_time < renew_time: - # if we are close to token expiry time - - if _refresh_token != None: - # if we have a refresh token already dont need to send - # secret - params = { - 'grant_type': 'refresh_token', - 'refresh_token': _refresh_token, - 'scope': access_scope - } - - else: - # we don't have refresh token, send secret to initialize - params = { - 'grant_type': 'client_credentials', - 'client_id': client._key_id, - 'client_secret': client._key_secret, - 'scope': access_scope - } - - resp = await json_rpc('public/auth', params) - result = resp.result - - _expiry_time = time.time() + result['expires_in'] - _refresh_token = result['refresh_token'] - - if 'access_token' in result: - _access_token = result['access_token'] - - if not got_access: - # first time this loop runs we must indicate task is - # started, we have auth - got_access = True - task_status.started() - - else: - await trio.sleep(renew_time / 2) - - # if we have client creds launch auth loop - if client._key_id is not None: - await n.start(_auth_loop) - await client.cache_symbols() yield client n.cancel_scope.cancel() @acm -async def open_feed_handler(): +async def open_feed_handler() -> FeedHandler: fh = FeedHandler(config=get_config()) yield fh await to_asyncio.run_task(fh.stop_async) @@ -523,40 +639,46 @@ async def maybe_open_feed_handler() -> trio.abc.ReceiveStream: async def aio_price_feed_relay( fh: FeedHandler, - instrument: Symbol, + instrument: str, from_trio: asyncio.Queue, to_trio: trio.abc.SendChannel, ) -> None: - async def _trade(data: dict, receipt_timestamp): - to_trio.send_nowait(('trade', { - 'symbol': cb_sym_to_deribit_inst( - str_to_cb_sym(data.symbol)).lower(), - 'last': data, - 'broker_ts': time.time(), - 'data': data.to_dict(), - 'receipt': receipt_timestamp - })) + ''' + Relay price feed quotes from the `cryptofeed.FeedHandler` to + the `piker`-side `trio.task` consumers for delivery to consumer + sub-actors for various subsystems. - async def _l1(data: dict, receipt_timestamp): - to_trio.send_nowait(('l1', { - 'symbol': cb_sym_to_deribit_inst( - str_to_cb_sym(data.symbol)).lower(), - 'ticks': [ - {'type': 'bid', - 'price': float(data.bid_price), 'size': float(data.bid_size)}, - {'type': 'bsize', - 'price': float(data.bid_price), 'size': float(data.bid_size)}, - {'type': 'ask', - 'price': float(data.ask_price), 'size': float(data.ask_size)}, - {'type': 'asize', - 'price': float(data.ask_price), 'size': float(data.ask_size)} - ] - })) + ''' + async def _trade( + trade: Trade, # cryptofeed, NOT ours from `.venues`! + receipt_timestamp: int, + ) -> None: + ''' + Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side. + ''' + to_trio.send_nowait(('trade', trade)) + + async def _l1( + book: L1Book, + receipt_timestamp: int, + ) -> None: + ''' + Relay-thru "l1 book" updates. + + ''' + + to_trio.send_nowait(('l1', book)) + + # TODO, make this work! + # -[ ] why isn't this working in `tractor.pause_from_sync()`?? + # breakpoint() + + sym: Symbol = piker_sym_to_cb_sym(instrument) fh.add_feed( DERIBIT, channels=[TRADES, L1_BOOK], - symbols=[piker_sym_to_cb_sym(instrument)], + symbols=[sym], callbacks={ TRADES: _trade, L1_BOOK: _l1 @@ -565,27 +687,35 @@ async def aio_price_feed_relay( if not fh.running: fh.run( start_loop=False, - install_signal_handlers=False) + install_signal_handlers=False + ) # sync with trio to_trio.send_nowait(None) + # run until cancelled await asyncio.sleep(float('inf')) @acm async def open_price_feed( instrument: str -) -> trio.abc.ReceiveStream: - async with maybe_open_feed_handler() as fh: - async with to_asyncio.open_channel_from( +) -> to_asyncio.LinkedTaskChannel: + + fh: FeedHandler + first: None + chan: to_asyncio.LinkedTaskChannel + async with ( + maybe_open_feed_handler() as fh, + to_asyncio.open_channel_from( partial( aio_price_feed_relay, fh, instrument ) - ) as (first, chan): - yield chan + ) as (first, chan) + ): + yield chan @acm @@ -594,12 +724,13 @@ async def maybe_open_price_feed( ) -> trio.abc.ReceiveStream: # TODO: add a predicate to maybe_open_context + feed: to_asyncio.LinkedTaskChannel async with maybe_open_context( acm_func=open_price_feed, kwargs={ - 'instrument': instrument + 'instrument': instrument.split('.')[0] }, - key=f'{instrument}-price', + key=f'{instrument.split('.')[0]}-price', ) as (cache_hit, feed): if cache_hit: yield broadcast_receiver(feed, 10) @@ -608,68 +739,69 @@ async def maybe_open_price_feed( -async def aio_order_feed_relay( - fh: FeedHandler, - instrument: Symbol, - from_trio: asyncio.Queue, - to_trio: trio.abc.SendChannel, -) -> None: - async def _fill(data: dict, receipt_timestamp): - breakpoint() +# TODO, move all to `.broker` submod! +# async def aio_order_feed_relay( +# fh: FeedHandler, +# instrument: Symbol, +# from_trio: asyncio.Queue, +# to_trio: trio.abc.SendChannel, +# ) -> None: +# async def _fill(data: dict, receipt_timestamp): +# breakpoint() - async def _order_info(data: dict, receipt_timestamp): - breakpoint() +# async def _order_info(data: dict, receipt_timestamp): +# breakpoint() - fh.add_feed( - DERIBIT, - channels=[FILLS, ORDER_INFO], - symbols=[instrument.upper()], - callbacks={ - FILLS: _fill, - ORDER_INFO: _order_info, - }) +# fh.add_feed( +# DERIBIT, +# channels=[FILLS, ORDER_INFO], +# symbols=[instrument.upper()], +# callbacks={ +# FILLS: _fill, +# ORDER_INFO: _order_info, +# }) - if not fh.running: - fh.run( - start_loop=False, - install_signal_handlers=False) +# if not fh.running: +# fh.run( +# start_loop=False, +# install_signal_handlers=False) - # sync with trio - to_trio.send_nowait(None) +# # sync with trio +# to_trio.send_nowait(None) - await asyncio.sleep(float('inf')) +# await asyncio.sleep(float('inf')) -@acm -async def open_order_feed( - instrument: list[str] -) -> trio.abc.ReceiveStream: - async with maybe_open_feed_handler() as fh: - async with to_asyncio.open_channel_from( - partial( - aio_order_feed_relay, - fh, - instrument - ) - ) as (first, chan): - yield chan +# @acm +# async def open_order_feed( +# instrument: list[str] +# ) -> trio.abc.ReceiveStream: +# async with maybe_open_feed_handler() as fh: +# async with to_asyncio.open_channel_from( +# partial( +# aio_order_feed_relay, +# fh, +# instrument +# ) +# ) as (first, chan): +# yield chan -@acm -async def maybe_open_order_feed( - instrument: str -) -> trio.abc.ReceiveStream: +# @acm +# async def maybe_open_order_feed( +# instrument: str +# ) -> trio.abc.ReceiveStream: - # TODO: add a predicate to maybe_open_context - async with maybe_open_context( - acm_func=open_order_feed, - kwargs={ - 'instrument': instrument, - 'fh': fh - }, - key=f'{instrument}-order', - ) as (cache_hit, feed): - if cache_hit: - yield broadcast_receiver(feed, 10) - else: - yield feed +# # TODO: add a predicate to maybe_open_context +# async with maybe_open_context( +# acm_func=open_order_feed, +# kwargs={ +# 'instrument': instrument.split('.')[0], +# 'fh': fh +# }, +# key=f'{instrument.split('.')[0]}-order', +# ) as (cache_hit, feed): +# if cache_hit: +# yield broadcast_receiver(feed, 10) +# else: +# yield feed diff --git a/piker/brokers/deribit/feed.py b/piker/brokers/deribit/feed.py index 821aab87..efd43ea5 100644 --- a/piker/brokers/deribit/feed.py +++ b/piker/brokers/deribit/feed.py @@ -18,38 +18,59 @@ Deribit backend. ''' +from __future__ import annotations from contextlib import asynccontextmanager as acm from datetime import datetime -from typing import Any, Optional, Callable +from typing import ( + # Any, + # Optional, + Callable, +) +# from pprint import pformat import time +import cryptofeed import trio from trio_typing import TaskStatus -import pendulum -from rapidfuzz import process as fuzzy +from pendulum import ( + from_timestamp, +) import numpy as np import tractor -from piker.brokers import open_cached_client -from piker.log import get_logger, get_console_log -from piker.data import ShmArray -from piker.brokers._util import ( - BrokerError, +from piker.accounting import ( + Asset, + MktPair, + unpack_fqme, +) +from piker.brokers import ( + open_cached_client, + NoData, DataUnavailable, ) - -from cryptofeed import FeedHandler -from cryptofeed.defines import ( - DERIBIT, L1_BOOK, TRADES, OPTION, CALL, PUT +from piker._cacheables import ( + async_lifo_cache, ) -from cryptofeed.symbols import Symbol +from piker.log import ( + get_logger, + mk_repr, +) +from piker.data.validate import FeedInit + from .api import ( - Client, Trade, - get_config, - str_to_cb_sym, piker_sym_to_cb_sym, cb_sym_to_deribit_inst, + Client, + # get_config, + piker_sym_to_cb_sym, + cb_sym_to_deribit_inst, + str_to_cb_sym, maybe_open_price_feed ) +from .venues import ( + Pair, + OptionPair, + Trade, +) _spawn_kwargs = { 'infect_asyncio': True, @@ -64,90 +85,215 @@ async def open_history_client( mkt: MktPair, ) -> tuple[Callable, int]: - fnstrument: str = mkt.bs_fqme # TODO implement history getter for the new storage layer. async with open_cached_client('deribit') as client: + pair: OptionPair = client._pairs[mkt.dst.name] + # XXX NOTE, the cuckers use ms !!! + creation_time_s: int = pair.creation_timestamp/1000 + async def get_ohlc( - end_dt: Optional[datetime] = None, - start_dt: Optional[datetime] = None, + timeframe: float, + end_dt: datetime | None = None, + start_dt: datetime | None = None, ) -> tuple[ np.ndarray, datetime, # start datetime, # end ]: + if timeframe != 60: + raise DataUnavailable('Only 1m bars are supported') - array = await client.bars( - instrument, + array: np.ndarray = await client.bars( + mkt, start_dt=start_dt, end_dt=end_dt, ) if len(array) == 0: - raise DataUnavailable + if ( + end_dt is None + ): + raise DataUnavailable( + 'No history seems to exist yet?\n\n' + f'{mkt}' + ) + elif ( + end_dt + and + end_dt.timestamp() < creation_time_s + ): + # the contract can't have history + # before it was created. + pair_type_str: str = type(pair).__name__ + create_dt: datetime = from_timestamp(creation_time_s) + raise DataUnavailable( + f'No history prior to\n' + f'`{pair_type_str}.creation_timestamp: int = ' + f'{pair.creation_timestamp}\n\n' + f'------ deribit sux ------\n' + f'WHICH IN "NORMAL PEOPLE WHO USE EPOCH TIME" form is,\n' + f'creation_time_s: {creation_time_s}\n' + f'create_dt: {create_dt}\n' + ) + raise NoData( + f'No frame for {start_dt} -> {end_dt}\n' + ) - start_dt = pendulum.from_timestamp(array[0]['time']) - end_dt = pendulum.from_timestamp(array[-1]['time']) + start_dt = from_timestamp(array[0]['time']) + end_dt = from_timestamp(array[-1]['time']) + + times = array['time'] + if not times.any(): + raise ValueError( + 'Bad frame with null-times?\n\n' + f'{times}' + ) + + if end_dt is None: + inow: int = round(time.time()) + if (inow - times[-1]) > 60: + await tractor.pause() return array, start_dt, end_dt - yield get_ohlc, {'erlangs': 3, 'rate': 3} + yield ( + get_ohlc, + { # backfill config + 'erlangs': 3, + 'rate': 3, + } + ) + + +@async_lifo_cache() +async def get_mkt_info( + fqme: str, + +) -> tuple[MktPair, Pair|OptionPair] | None: + + # uppercase since kraken bs_mktid is always upper + if 'deribit' not in fqme.lower(): + fqme += '.deribit' + + mkt_mode: str = '' + broker, mkt_ep, venue, expiry = unpack_fqme(fqme) + + # NOTE: we always upper case all tokens to be consistent with + # binance's symbology style for pairs, like `BTCUSDT`, but in + # theory we could also just keep things lower case; as long as + # we're consistent and the symcache matches whatever this func + # returns, always! + expiry: str = expiry.upper() + venue: str = venue.upper() + # venue_lower: str = venue.lower() + + mkt_mode: str = 'option' + + async with open_cached_client( + 'deribit', + ) as client: + + assets: dict[str, Asset] = await client.get_assets() + pair_str: str = mkt_ep.lower() + + pair: Pair = await client.exch_info( + sym=pair_str, + ) + mkt_mode = pair.venue + client.mkt_mode = mkt_mode + + dst: Asset | None = assets.get(pair.bs_dst_asset) + src: Asset | None = assets.get(pair.bs_src_asset) + + mkt = MktPair( + dst=dst, + src=src, + price_tick=pair.price_tick, + size_tick=pair.size_tick, + bs_mktid=pair.symbol, + venue=mkt_mode, + broker='deribit', + _atype=mkt_mode, + _fqme_without_src=True, + + # expiry=pair.expiry, + # XXX TODO, currently we don't use it since it's + # already "described" in the `OptionPair.symbol: str` + # and if we slap in the ISO repr it's kinda hideous.. + # -[ ] figure out the best either std + ) + return mkt, pair async def stream_quotes( - send_chan: trio.abc.SendChannel, symbols: list[str], feed_is_live: trio.Event, - loglevel: str = None, # startup sync task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED, ) -> None: - # XXX: required to propagate ``tractor`` loglevel to piker logging - get_console_log(loglevel or tractor.current_actor().loglevel) + ''' + Open a live quote stream for the market set defined by `symbols`. - sym = symbols[0] + Internally this starts a `cryptofeed.FeedHandler` inside an `asyncio`-side + task and relays through L1 and `Trade` msgs here to our `trio.Task`. + + ''' + sym = symbols[0].split('.')[0] + init_msgs: list[FeedInit] = [] + + # multiline nested `dict` formatter (since rn quote-msgs are + # just that). + pfmt: Callable[[str], str] = mk_repr( + # so we can see `deribit`'s delightfully mega-long bs fields.. + maxstring=100, + ) async with ( open_cached_client('deribit') as client, send_chan as send_chan ): + mkt: MktPair + pair: Pair + mkt, pair = await get_mkt_info(sym) - init_msgs = { - # pass back token, and bool, signalling if we're the writer - # and that history has been written - sym: { - 'symbol_info': { - 'asset_type': 'option', - 'price_tick_size': 0.0005 - }, - 'shm_write_opts': {'sum_tick_vml': False}, - 'fqsn': sym, - }, - } + # build out init msgs according to latest spec + init_msgs.append( + FeedInit( + mkt_info=mkt, + ) + ) + # build `cryptofeed` feed-handle + cf_sym: cryptofeed.Symbol = piker_sym_to_cb_sym(sym) - nsym = piker_sym_to_cb_sym(sym) + from_cf: tractor.to_asyncio.LinkedTaskChannel + async with maybe_open_price_feed(sym) as from_cf: - async with maybe_open_price_feed(sym) as stream: + # load the "last trades" summary + last_trades_res: cryptofeed.LastTradesResult = await client.last_trades( + cb_sym_to_deribit_inst(cf_sym), + count=1, + ) + last_trades: list[Trade] = last_trades_res.trades - cache = await client.cache_symbols() + # TODO, do we even need this or will the above always + # work? + # if not last_trades: + # await tractor.pause() + # async for typ, quote in from_cf: + # if typ == 'trade': + # last_trade = Trade(**(quote['data'])) + # break - last_trades = (await client.last_trades( - cb_sym_to_deribit_inst(nsym), count=1)).trades + # else: + last_trade = Trade( + **(last_trades[0]) + ) - if len(last_trades) == 0: - last_trade = None - async for typ, quote in stream: - if typ == 'trade': - last_trade = Trade(**(quote['data'])) - break - - else: - last_trade = Trade(**(last_trades[0])) - - first_quote = { + first_quote: dict = { 'symbol': sym, 'last': last_trade.price, 'brokerd_ts': last_trade.timestamp, @@ -158,13 +304,84 @@ async def stream_quotes( 'broker_ts': last_trade.timestamp }] } - task_status.started((init_msgs, first_quote)) + task_status.started(( + init_msgs, + first_quote, + )) feed_is_live.set() - async for typ, quote in stream: - topic = quote['symbol'] - await send_chan.send({topic: quote}) + # NOTE XXX, static for now! + # => since this only handles ONE mkt feed at a time we + # don't need a lookup table to map interleaved quotes + # from multiple possible mkt-pairs + topic: str = mkt.bs_fqme + + # deliver until cancelled + async for typ, ref in from_cf: + match typ: + case 'trade': + trade: cryptofeed.types.Trade = ref + + # TODO, re-impl this according to teh ideal + # fqme for opts that we choose!! + bs_fqme: str = cb_sym_to_deribit_inst( + str_to_cb_sym(trade.symbol) + ).lower() + + piker_quote: dict = { + 'symbol': bs_fqme, + 'last': trade.price, + 'broker_ts': time.time(), + # ^TODO, name this `brokerd/datad_ts` and + # use `time.time_ns()` ?? + 'ticks': [{ + 'type': 'trade', + 'price': float(trade.price), + 'size': float(trade.amount), + 'broker_ts': trade.timestamp, + }], + } + log.info( + f'deribit {typ!r} quote for {sym!r}\n\n' + f'{trade}\n\n' + f'{pfmt(piker_quote)}\n' + ) + + case 'l1': + book: cryptofeed.types.L1Book = ref + + # TODO, so this is where we can possibly change things + # and instead lever the `MktPair.bs_fqme: str` output? + bs_fqme: str = cb_sym_to_deribit_inst( + str_to_cb_sym(book.symbol) + ).lower() + + piker_quote: dict = { + 'symbol': bs_fqme, + 'ticks': [ + + {'type': 'bid', + 'price': float(book.bid_price), + 'size': float(book.bid_size)}, + + {'type': 'bsize', + 'price': float(book.bid_price), + 'size': float(book.bid_size),}, + + {'type': 'ask', + 'price': float(book.ask_price), + 'size': float(book.ask_size),}, + + {'type': 'asize', + 'price': float(book.ask_price), + 'size': float(book.ask_size),} + ] + } + + await send_chan.send({ + topic: piker_quote, + }) @tractor.context @@ -174,12 +391,21 @@ async def open_symbol_search( async with open_cached_client('deribit') as client: # load all symbols locally for fast search - cache = await client.cache_symbols() + # cache = client._pairs await ctx.started() async with ctx.open_stream() as stream: - + pattern: str async for pattern in stream: - # repack in dict form - await stream.send( - await client.search_symbols(pattern)) + + # NOTE: pattern fuzzy-matching is done within + # the methd impl. + pairs: dict[str, Pair] = await client.search_symbols( + pattern, + ) + # repack in fqme-keyed table + byfqme: dict[str, Pair] = {} + for pair in pairs.values(): + byfqme[pair.bs_fqme] = pair + + await stream.send(byfqme) diff --git a/piker/brokers/deribit/venues.py b/piker/brokers/deribit/venues.py new file mode 100644 index 00000000..0dda913e --- /dev/null +++ b/piker/brokers/deribit/venues.py @@ -0,0 +1,196 @@ +# 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 . + +""" +Per market data-type definitions and schemas types. + +""" +from __future__ import annotations +import pendulum +from typing import ( + Literal, + Optional, +) +from decimal import Decimal + +from piker.types import Struct + + +# API endpoint paths by venue / sub-API +_domain: str = 'deribit.com' +_url = f'https://www.{_domain}' + +# WEBsocketz +_ws_url: str = f'wss://www.{_domain}/ws/api/v2' + +# test nets +_testnet_ws_url: str = f'wss://test.{_domain}/ws/api/v2' + +MarketType = Literal[ + 'option' +] + + +def get_api_eps(venue: MarketType) -> tuple[str, str]: + ''' + Return API ep root paths per venue. + + ''' + return { + 'option': ( + _ws_url, + ), + }[venue] + + +class Pair(Struct, frozen=True, kw_only=True): + + symbol: str + + # src + quote_currency: str # 'BTC' + + # dst + base_currency: str # "BTC", + + tick_size: float # 0.0001 # [{'above_price': 0.005, 'tick_size': 0.0005}] + tick_size_steps: list[dict[str, float]] + + @property + def price_tick(self) -> Decimal: + return Decimal(str(self.tick_size_steps[0]['above_price'])) + + @property + def size_tick(self) -> Decimal: + return Decimal(str(self.tick_size)) + + @property + def bs_fqme(self) -> str: + return f'{self.symbol}' + + @property + def bs_mktid(self) -> str: + return f'{self.symbol}.{self.venue}' + + +class OptionPair(Pair, frozen=True): + + taker_commission: float # 0.0003 + strike: float # 5000.0 + settlement_period: str # 'day' + settlement_currency: str # "BTC", + rfq: bool # false + price_index: str # 'btc_usd' + option_type: str # 'call' + min_trade_amount: float # 0.1 + maker_commission: float # 0.0003 + kind: str # 'option' + is_active: bool # true + instrument_type: str # 'reversed' + instrument_name: str # 'BTC-1SEP24-55000-C' + instrument_id: int # 364671 + expiration_timestamp: int # 1725177600000 + creation_timestamp: int # 1724918461000 + counter_currency: str # 'USD' + contract_size: float # '1.0' + block_trade_tick_size: float # '0.0001' + block_trade_min_trade_amount: int # '25' + block_trade_commission: float # '0.003' + + # NOTE: see `.data._symcache.SymbologyCache.load()` for why + ns_path: str = 'piker.brokers.deribit:OptionPair' + + # TODO, impl this without the MM:SS part of + # the `'THH:MM:SS..'` etc.. + @property + def expiry(self) -> str: + iso_date = pendulum.from_timestamp( + self.expiration_timestamp / 1000 + ).isoformat() + return iso_date + + @property + def venue(self) -> str: + return f'{self.instrument_type}_option' + + @property + def bs_fqme(self) -> str: + return f'{self.symbol}' + + @property + def bs_src_asset(self) -> str: + return f'{self.quote_currency}' + + @property + def bs_dst_asset(self) -> str: + return f'{self.symbol}' + + +PAIRTYPES: dict[MarketType, Pair] = { + 'option': OptionPair, +} + + +class JSONRPCResult(Struct): + id: int + usIn: int + usOut: int + usDiff: int + testnet: bool + jsonrpc: str = '2.0' + error: Optional[dict] = None + result: Optional[list[dict]] = None + + +class JSONRPCChannel(Struct): + method: str + params: dict + jsonrpc: str = '2.0' + + +class KLinesResult(Struct): + low: list[float] + cost: list[float] + high: list[float] + open: list[float] + close: list[float] + ticks: list[int] + status: str + volume: list[float] + + +class Trade(Struct): + iv: float + price: float + amount: float + trade_id: str + contracts: float + direction: str + trade_seq: int + timestamp: int + mark_price: float + index_price: float + tick_direction: int + instrument_name: str + combo_id: Optional[str] = '', + combo_trade_id: Optional[int] = 0, + block_trade_id: Optional[str] = '', + block_trade_leg_count: Optional[int] = 0, + + +class LastTradesResult(Struct): + trades: list[Trade] + has_more: bool diff --git a/piker/brokers/kucoin.py b/piker/brokers/kucoin.py index 0f5961ae..1dda64e7 100755 --- a/piker/brokers/kucoin.py +++ b/piker/brokers/kucoin.py @@ -111,6 +111,10 @@ class KucoinMktPair(Struct, frozen=True): quoteMaxSize: float quoteMinSize: float symbol: str # our bs_mktid, kucoin's internal id + feeCategory: int + makerFeeCoefficient: float + takerFeeCoefficient: float + st: bool class AccountTrade(Struct, frozen=True): @@ -593,7 +597,7 @@ async def get_client() -> AsyncGenerator[Client, None]: ''' async with ( httpx.AsyncClient( - base_url=f'https://api.kucoin.com/api', + base_url='https://api.kucoin.com/api', ) as trio_client, ): client = Client(httpx_client=trio_client) @@ -637,7 +641,7 @@ async def open_ping_task( await trio.sleep((ping_interval - 1000) / 1000) await ws.send_msg({'id': connect_id, 'type': 'ping'}) - log.info('Starting ping task for kucoin ws connection') + log.warning('Starting ping task for kucoin ws connection') n.start_soon(ping_server) yield @@ -649,9 +653,14 @@ async def open_ping_task( async def get_mkt_info( fqme: str, -) -> tuple[MktPair, KucoinMktPair]: +) -> tuple[ + MktPair, + KucoinMktPair, +]: ''' - Query for and return a `MktPair` and `KucoinMktPair`. + Query for and return both a `piker.accounting.MktPair` and + `KucoinMktPair` from provided `fqme: str` + (fully-qualified-market-endpoint). ''' async with open_cached_client('kucoin') as client: @@ -726,6 +735,8 @@ async def stream_quotes( log.info(f'Starting up quote stream(s) for {symbols}') for sym_str in symbols: + mkt: MktPair + pair: KucoinMktPair mkt, pair = await get_mkt_info(sym_str) init_msgs.append( FeedInit(mkt_info=mkt) @@ -733,7 +744,11 @@ async def stream_quotes( ws: NoBsWs token, ping_interval = await client._get_ws_token() - connect_id = str(uuid4()) + log.info('API reported ping_interval: {ping_interval}\n') + + connect_id: str = str(uuid4()) + typ: str + quote: dict async with ( open_autorecon_ws( ( @@ -747,20 +762,37 @@ async def stream_quotes( ), ) as ws, open_ping_task(ws, ping_interval, connect_id), - aclosing(stream_messages(ws, sym_str)) as msg_gen, + aclosing( + iter_normed_quotes( + ws, sym_str + ) + ) as iter_quotes, ): - typ, quote = await anext(msg_gen) + typ, quote = await anext(iter_quotes) - while typ != 'trade': - # take care to not unblock here until we get a real - # trade quote - typ, quote = await anext(msg_gen) + # take care to not unblock here until we get a real + # trade quote? + # ^TODO, remove this right? + # -[ ] what often blocks chart boot/new-feed switching + # since we'ere waiting for a live quote instead of just + # loading history afap.. + # |_ XXX, not sure if we require a bit of rework to core + # feed init logic or if backends justg gotta be + # changed up.. feel like there was some causality + # dilema prolly only seen with IB too.. + # while typ != 'trade': + # typ, quote = await anext(iter_quotes) task_status.started((init_msgs, quote)) feed_is_live.set() - async for typ, msg in msg_gen: - await send_chan.send({sym_str: msg}) + # XXX NOTE, DO NOT include the `.` suffix! + # OW the sampling loop will not broadcast correctly.. + # since `bus._subscribers.setdefault(bs_fqme, set())` + # is used inside `.data.open_feed_bus()` !!! + topic: str = mkt.bs_fqme + async for typ, quote in iter_quotes: + await send_chan.send({topic: quote}) @acm @@ -815,7 +847,7 @@ async def subscribe( ) -async def stream_messages( +async def iter_normed_quotes( ws: NoBsWs, sym: str, @@ -846,6 +878,9 @@ async def stream_messages( yield 'trade', { 'symbol': sym, + # TODO, is 'last' even used elsewhere/a-good + # semantic? can't we just read the ticks with our + # .data.ticktools.frame_ticks()`/ 'last': trade_data.price, 'brokerd_ts': last_trade_ts, 'ticks': [ @@ -938,7 +973,7 @@ async def open_history_client( if end_dt is None: inow = round(time.time()) - print( + log.debug( f'difference in time between load and processing' f'{inow - times[-1]}' ) diff --git a/piker/clearing/_ems.py b/piker/clearing/_ems.py index 3f7045fa..af5fe690 100644 --- a/piker/clearing/_ems.py +++ b/piker/clearing/_ems.py @@ -653,7 +653,11 @@ class Router(Struct): flume = feed.flumes[fqme] first_quote: dict = flume.first_quote book: DarkBook = self.get_dark_book(broker) - book.lasts[fqme]: float = float(first_quote['last']) + + if not (last := first_quote.get('last')): + last: float = flume.rt_shm.array[-1]['close'] + + book.lasts[fqme]: float = float(last) async with self.maybe_open_brokerd_dialog( brokermod=brokermod, @@ -716,7 +720,7 @@ class Router(Struct): subs = self.subscribers[sub_key] sent_some: bool = False - for client_stream in subs: + for client_stream in subs.copy(): try: await client_stream.send(msg) sent_some = True @@ -1010,10 +1014,14 @@ async def translate_and_relay_brokerd_events( status_msg.brokerd_msg = msg status_msg.src = msg.broker_details['name'] - await router.client_broadcast( - status_msg.req.symbol, - status_msg, - ) + if not status_msg.req: + # likely some order change state? + await tractor.pause() + else: + await router.client_broadcast( + status_msg.req.symbol, + status_msg, + ) if status == 'closed': log.info(f'Execution for {oid} is complete!') diff --git a/piker/clearing/_paper_engine.py b/piker/clearing/_paper_engine.py index 0393b2e6..fea9ff8e 100644 --- a/piker/clearing/_paper_engine.py +++ b/piker/clearing/_paper_engine.py @@ -653,6 +653,7 @@ async def open_trade_dialog( # in) use manually constructed table from calling # the `.get_mkt_info()` provider EP above. _mktmap_table=mkt_by_fqme, + only_require=list(mkt_by_fqme), ) pp_msgs: list[BrokerdPosition] = [] diff --git a/piker/cli/__init__.py b/piker/cli/__init__.py index dde7f83c..c88d9b5c 100644 --- a/piker/cli/__init__.py +++ b/piker/cli/__init__.py @@ -335,7 +335,7 @@ def services(config, tl, ports): name='service_query', loglevel=config['loglevel'] if tl else None, ), - tractor.get_arbiter( + tractor.get_registry( host=host, port=ports[0] ) as portal diff --git a/piker/data/_sampling.py b/piker/data/_sampling.py index 7bb0231d..74e6410a 100644 --- a/piker/data/_sampling.py +++ b/piker/data/_sampling.py @@ -25,10 +25,12 @@ from collections import ( defaultdict, ) from contextlib import asynccontextmanager as acm +from functools import partial import time from typing import ( Any, AsyncIterator, + Callable, TYPE_CHECKING, ) @@ -42,7 +44,7 @@ from tractor.trionics import ( maybe_open_nursery, ) import trio -from trio_typing import TaskStatus +from trio import TaskStatus from .ticktools import ( frame_ticks, @@ -53,6 +55,9 @@ from ._util import ( get_console_log, ) from ..service import maybe_spawn_daemon +from piker.log import ( + mk_repr, +) if TYPE_CHECKING: from ._sharedmem import ( @@ -70,6 +75,7 @@ if TYPE_CHECKING: _default_delay_s: float = 1.0 +# TODO: use new `tractor.singleton_acm` API for this! class Sampler: ''' Global sampling engine registry. @@ -79,9 +85,9 @@ class Sampler: This non-instantiated type is meant to be a singleton within a `samplerd` actor-service spawned once by the user wishing to - time-step-sample (real-time) quote feeds, see - ``.service.maybe_open_samplerd()`` and the below - ``register_with_sampler()``. + time-step-sample a (real-time) quote feeds, see + `.service.maybe_open_samplerd()` and the below + `register_with_sampler()`. ''' service_nursery: None | trio.Nursery = None @@ -375,7 +381,10 @@ async def register_with_sampler( assert Sampler.ohlcv_shms # unblock caller - await ctx.started(set(Sampler.ohlcv_shms.keys())) + await ctx.started( + # XXX bc msgpack only allows one array type! + list(Sampler.ohlcv_shms.keys()) + ) if open_index_stream: try: @@ -419,7 +428,6 @@ async def register_with_sampler( async def spawn_samplerd( - loglevel: str | None = None, **extra_tractor_kwargs @@ -429,7 +437,10 @@ async def spawn_samplerd( update and increment count write and stream broadcasting. ''' - from piker.service import Services + from piker.service import ( + get_service_mngr, + ServiceMngr, + ) dname = 'samplerd' log.info(f'Spawning `{dname}`') @@ -437,26 +448,33 @@ async def spawn_samplerd( # singleton lock creation of ``samplerd`` since we only ever want # one daemon per ``pikerd`` proc tree. # TODO: make this built-into the service api? - async with Services.locks[dname + '_singleton']: + mngr: ServiceMngr = get_service_mngr() + already_started: bool = dname in mngr.service_tasks - if dname not in Services.service_tasks: - - portal = await Services.actor_n.start_actor( - dname, - enable_modules=[ - 'piker.data._sampling', - ], - loglevel=loglevel, - debug_mode=Services.debug_mode, # set by pikerd flag - **extra_tractor_kwargs - ) - - await Services.start_service_task( - dname, - portal, + async with mngr._locks[dname + '_singleton']: + ctx: Context = await mngr.start_service( + daemon_name=dname, + ctx_ep=partial( register_with_sampler, period_s=1, sub_for_broadcasts=False, + ), + debug_mode=mngr.debug_mode, # set by pikerd flag + + # proxy-through to tractor + enable_modules=[ + 'piker.data._sampling', + ], + loglevel=loglevel, + **extra_tractor_kwargs + ) + if not already_started: + assert ( + ctx + and + ctx.portal + and + not ctx.cancel_called ) return True @@ -561,7 +579,6 @@ async def open_sample_stream( async def sample_and_broadcast( - bus: _FeedsBus, # noqa rt_shm: ShmArray, hist_shm: ShmArray, @@ -582,11 +599,22 @@ async def sample_and_broadcast( overruns = Counter() + # multiline nested `dict` formatter (since rn quote-msgs are + # just that). + pfmt: Callable[[str], str] = mk_repr() + # iterate stream delivered by broker async for quotes in quote_stream: - # print(quotes) - # TODO: ``numba`` this! + # XXX WARNING XXX only enable for debugging bc ow can cost + # ALOT of perf with HF-feedz!!! + # + # log.info( + # 'Rx live quotes:\n' + # f'{pfmt(quotes)}' + # ) + + # TODO: `numba` this! for broker_symbol, quote in quotes.items(): # TODO: in theory you can send the IPC msg *before* writing # to the sharedmem array to decrease latency, however, that @@ -659,6 +687,18 @@ async def sample_and_broadcast( sub_key: str = broker_symbol.lower() subs: set[Sub] = bus.get_subs(sub_key) + if not subs: + all_bs_fqmes: list[str] = list( + bus._subscribers.keys() + ) + log.warning( + f'No subscribers for {brokername!r} live-quote ??\n' + f'broker_symbol: {broker_symbol}\n\n' + + f'Maybe the backend-sys symbol does not match one of,\n' + f'{pfmt(all_bs_fqmes)}\n' + ) + # NOTE: by default the broker backend doesn't append # it's own "name" into the fqme schema (but maybe it # should?) so we have to manually generate the correct @@ -889,6 +929,7 @@ async def uniform_rate_send( # to consumers which crash or lose network connection. # I.e. we **DO NOT** want to crash and propagate up to # ``pikerd`` these kinds of errors! + trio.EndOfChannel, trio.ClosedResourceError, trio.BrokenResourceError, ConnectionResetError, diff --git a/piker/data/_web_bs.py b/piker/data/_web_bs.py index 256b35af..2f781571 100644 --- a/piker/data/_web_bs.py +++ b/piker/data/_web_bs.py @@ -273,7 +273,7 @@ async def _reconnect_forever( nobsws._connected.set() await trio.sleep_forever() except HandshakeError: - log.exception(f'Retrying connection') + log.exception('Retrying connection') # ws & nursery block ends @@ -359,8 +359,8 @@ async def open_autorecon_ws( ''' -JSONRPC response-request style machinery for transparent multiplexing of msgs -over a NoBsWs. +JSONRPC response-request style machinery for transparent multiplexing +of msgs over a `NoBsWs`. ''' @@ -377,43 +377,77 @@ async def open_jsonrpc_session( url: str, start_id: int = 0, response_type: type = JSONRPCResult, - request_type: Optional[type] = None, - request_hook: Optional[Callable] = None, - error_hook: Optional[Callable] = None, + msg_recv_timeout: float = float('inf'), + # ^NOTE, since only `deribit` is using this jsonrpc stuff atm + # and options mkts are generally "slow moving".. + # + # FURTHER if we break the underlying ws connection then since we + # don't pass a `fixture` to the task that manages `NoBsWs`, i.e. + # `_reconnect_forever()`, the jsonrpc "transport pipe" get's + # broken and never restored with wtv init sequence is required to + # re-establish a working req-resp session. + + # request_type: Optional[type] = None, + # request_hook: Optional[Callable] = None, + # error_hook: Optional[Callable] = None, ) -> Callable[[str, dict], dict]: + # NOTE, store all request msgs so we can raise errors on the + # caller side! + req_msgs: dict[int, dict] = {} + async with ( trio.open_nursery() as n, - open_autorecon_ws(url) as ws + open_autorecon_ws( + url=url, + msg_recv_timeout=msg_recv_timeout, + ) as ws ): - rpc_id: Iterable = count(start_id) + rpc_id: Iterable[int] = count(start_id) rpc_results: dict[int, dict] = {} - async def json_rpc(method: str, params: dict) -> dict: + async def json_rpc( + method: str, + params: dict, + ) -> dict: ''' perform a json rpc call and wait for the result, raise exception in case of error field present on response ''' + nonlocal req_msgs + + req_id: int = next(rpc_id) msg = { 'jsonrpc': '2.0', - 'id': next(rpc_id), + 'id': req_id, 'method': method, 'params': params } _id = msg['id'] - rpc_results[_id] = { + result = rpc_results[_id] = { 'result': None, - 'event': trio.Event() + 'error': None, + 'event': trio.Event(), # signal caller resp arrived } + req_msgs[_id] = msg await ws.send_msg(msg) + # wait for reponse before unblocking requester code await rpc_results[_id]['event'].wait() - ret = rpc_results[_id]['result'] + if (maybe_result := result['result']): + ret = maybe_result + del rpc_results[_id] - del rpc_results[_id] + else: + err = result['error'] + raise Exception( + f'JSONRPC request failed\n' + f'req: {msg}\n' + f'resp: {err}\n' + ) if ret.error is not None: raise Exception(json.dumps(ret.error, indent=4)) @@ -428,6 +462,7 @@ async def open_jsonrpc_session( the server side. ''' + nonlocal req_msgs async for msg in ws: match msg: case { @@ -451,15 +486,29 @@ async def open_jsonrpc_session( 'params': _, }: log.debug(f'Recieved\n{msg}') - if request_hook: - await request_hook(request_type(**msg)) + # if request_hook: + # await request_hook(request_type(**msg)) case { 'error': error }: - log.warning(f'Recieved\n{error}') - if error_hook: - await error_hook(response_type(**msg)) + # if error_hook: + # await error_hook(response_type(**msg)) + + # retreive orig request msg, set error + # response in original "result" msg, + # THEN FINALLY set the event to signal caller + # to raise the error in the parent task. + req_id: int = error['id'] + req_msg: dict = req_msgs[req_id] + result: dict = rpc_results[req_id] + result['error'] = error + result['event'].set() + log.error( + f'JSONRPC request failed\n' + f'req: {req_msg}\n' + f'resp: {error}\n' + ) case _: log.warning(f'Unhandled JSON-RPC msg!?\n{msg}') diff --git a/piker/data/feed.py b/piker/data/feed.py index 7264c8e6..20f7da30 100644 --- a/piker/data/feed.py +++ b/piker/data/feed.py @@ -540,7 +540,10 @@ async def open_feed_bus( # subscription since the backend isn't (yet) expected to # append it's own name to the fqme, so we filter on keys # which *do not* include that name (e.g .ib) . - bus._subscribers.setdefault(bs_fqme, set()) + bus._subscribers.setdefault( + bs_fqme, + set(), + ) # sync feed subscribers with flume handles await ctx.started( diff --git a/piker/log.py b/piker/log.py index 56776e1e..7f554f16 100644 --- a/piker/log.py +++ b/piker/log.py @@ -18,7 +18,11 @@ Log like a forester! """ import logging +import reprlib import json +from typing import ( + Callable, +) import tractor from pygments import ( @@ -84,3 +88,27 @@ def colorize_json( # likeable styles: algol_nu, tango, monokai formatters.TerminalTrueColorFormatter(style=style) ) + + +def mk_repr( + **repr_kws, +) -> Callable[[str], str]: + ''' + Allocate and deliver a `repr.Repr` instance with provided input + settings using the std-lib's `reprlib` mod, + * https://docs.python.org/3/library/reprlib.html + + ------ Ex. ------ + An up to 6-layer-nested `dict` as multi-line: + - https://stackoverflow.com/a/79102479 + - https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel + + ''' + def_kws: dict[str, int] = dict( + indent=2, + maxlevel=6, # recursion levels + maxstring=66, # match editor line-len limit + ) + def_kws |= repr_kws + reprr = reprlib.Repr(**def_kws) + return reprr.repr diff --git a/piker/service/__init__.py b/piker/service/__init__.py index 29360620..beb9c70b 100644 --- a/piker/service/__init__.py +++ b/piker/service/__init__.py @@ -30,7 +30,11 @@ Actor runtime primtives and (distributed) service APIs for, => TODO: maybe to (re)move elsewhere? ''' -from ._mngr import Services as Services +from ._mngr import ( + get_service_mngr as get_service_mngr, + open_service_mngr as open_service_mngr, + ServiceMngr as ServiceMngr, +) from ._registry import ( _tractor_kwargs as _tractor_kwargs, _default_reg_addr as _default_reg_addr, diff --git a/piker/service/_actor_runtime.py b/piker/service/_actor_runtime.py index a4e3ccf2..42440f82 100644 --- a/piker/service/_actor_runtime.py +++ b/piker/service/_actor_runtime.py @@ -21,7 +21,6 @@ from __future__ import annotations import os from typing import ( - Optional, Any, ClassVar, ) @@ -30,13 +29,13 @@ from contextlib import ( ) import tractor -import trio from ._util import ( get_console_log, ) from ._mngr import ( - Services, + open_service_mngr, + ServiceMngr, ) from ._registry import ( # noqa _tractor_kwargs, @@ -59,7 +58,7 @@ async def open_piker_runtime( registry_addrs: list[tuple[str, int]] = [], enable_modules: list[str] = [], - loglevel: Optional[str] = None, + loglevel: str|None = None, # XXX NOTE XXX: you should pretty much never want debug mode # for data daemons when running in production. @@ -69,7 +68,7 @@ async def open_piker_runtime( # and spawn the service tree distributed per that. start_method: str = 'trio', - tractor_runtime_overrides: dict | None = None, + tractor_runtime_overrides: dict|None = None, **tractor_kwargs, ) -> tuple[ @@ -119,6 +118,10 @@ async def open_piker_runtime( # spawn other specialized daemons I think? enable_modules=enable_modules, + # TODO: how to configure this? + # keep it on by default if debug mode is set? + # maybe_enable_greenback=debug_mode, + **tractor_kwargs, ) as actor, @@ -167,12 +170,13 @@ async def open_pikerd( **kwargs, -) -> Services: +) -> ServiceMngr: ''' - Start a root piker daemon with an indefinite lifetime. + Start a root piker daemon actor (aka `pikerd`) with an indefinite + lifetime. - A root actor nursery is created which can be used to create and keep - alive underling services (see below). + A root actor-nursery is created which can be used to spawn and + supervise underling service sub-actors (see below). ''' # NOTE: for the root daemon we always enable the root @@ -199,8 +203,6 @@ async def open_pikerd( root_actor, reg_addrs, ), - tractor.open_nursery() as actor_nursery, - trio.open_nursery() as service_nursery, ): for addr in reg_addrs: if addr not in root_actor.accept_addrs: @@ -209,25 +211,17 @@ async def open_pikerd( 'Maybe you have another daemon already running?' ) - # assign globally for future daemon/task creation - Services.actor_n = actor_nursery - Services.service_n = service_nursery - Services.debug_mode = debug_mode - - try: - yield Services - - finally: - # TODO: is this more clever/efficient? - # if 'samplerd' in Services.service_tasks: - # await Services.cancel_service('samplerd') - service_nursery.cancel_scope.cancel() + mngr: ServiceMngr + async with open_service_mngr( + debug_mode=debug_mode, + ) as mngr: + yield mngr # TODO: do we even need this? # @acm # async def maybe_open_runtime( -# loglevel: Optional[str] = None, +# loglevel: str|None = None, # **kwargs, # ) -> None: @@ -256,7 +250,7 @@ async def maybe_open_pikerd( loglevel: str | None = None, **kwargs, -) -> tractor._portal.Portal | ClassVar[Services]: +) -> tractor._portal.Portal | ClassVar[ServiceMngr]: ''' If no ``pikerd`` daemon-root-actor can be found start it and yield up (we should probably figure out returning a portal to self diff --git a/piker/service/_ahab.py b/piker/service/_ahab.py index 4cccf855..0bdd1688 100644 --- a/piker/service/_ahab.py +++ b/piker/service/_ahab.py @@ -49,7 +49,7 @@ from requests.exceptions import ( ReadTimeout, ) -from ._mngr import Services +from ._mngr import ServiceMngr from ._util import ( log, # sub-sys logger get_console_log, @@ -453,7 +453,7 @@ async def open_ahabd( @acm async def start_ahab_service( - services: Services, + services: ServiceMngr, service_name: str, # endpoint config passed as **kwargs @@ -549,7 +549,8 @@ async def start_ahab_service( log.warning('Failed to cancel root permsed container') except ( - trio.MultiError, + # trio.MultiError, + ExceptionGroup, ) as err: for subexc in err.exceptions: if isinstance(subexc, PermissionError): diff --git a/piker/service/_daemon.py b/piker/service/_daemon.py index 1e7ff096..0cb57291 100644 --- a/piker/service/_daemon.py +++ b/piker/service/_daemon.py @@ -26,14 +26,17 @@ from typing import ( from contextlib import ( asynccontextmanager as acm, ) +from collections import defaultdict import tractor +import trio from ._util import ( log, # sub-sys logger ) from ._mngr import ( - Services, + get_service_mngr, + ServiceMngr, ) from ._actor_runtime import maybe_open_pikerd from ._registry import find_service @@ -41,15 +44,14 @@ from ._registry import find_service @acm async def maybe_spawn_daemon( - service_name: str, service_task_target: Callable, - spawn_args: dict[str, Any], loglevel: str | None = None, singleton: bool = False, + _locks = defaultdict(trio.Lock), **pikerd_kwargs, ) -> tractor.Portal: @@ -67,7 +69,7 @@ async def maybe_spawn_daemon( ''' # serialize access to this section to avoid # 2 or more tasks racing to create a daemon - lock = Services.locks[service_name] + lock = _locks[service_name] await lock.acquire() async with find_service( @@ -132,7 +134,65 @@ async def maybe_spawn_daemon( async with tractor.wait_for_actor(service_name) as portal: lock.release() yield portal - await portal.cancel_actor() + # --- ---- --- + # XXX NOTE XXX + # --- ---- --- + # DO NOT PUT A `portal.cancel_actor()` here (as was prior)! + # + # Doing so will cause an "out-of-band" ctxc + # (`tractor.ContextCancelled`) to be raised inside the + # `ServiceMngr.open_context_in_task()`'s call to + # `ctx.wait_for_result()` AND the internal self-ctxc + # "graceful capture" WILL NOT CATCH IT! + # + # This can cause certain types of operations to raise + # that ctxc BEFORE THEY `return`, resulting in + # a "false-negative" ctxc being raised when really + # nothing actually failed, other then our semantic + # "failure" to suppress an expected, graceful, + # self-cancel scenario.. + # + # bUt wHy duZ It WorK lIKe dis.. + # ------------------------------ + # from the perspective of the `tractor.Context` this + # cancel request was conducted "out of band" since + # `Context.cancel()` was never called and thus the + # `._cancel_called: bool` was never set. Despite the + # remote `.canceller` being set to `pikerd` (i.e. the + # same `Actor.uid` of the raising service-mngr task) the + # service-task's ctx itself was never marked as having + # requested cancellation and thus still raises the ctxc + # bc it was unaware of any such request. + # + # How to make grokin these cases easier tho? + # ------------------------------------------ + # Because `Portal.cancel_actor()` was called it requests + # "full-`Actor`-runtime-cancellation" of it's peer + # process which IS NOT THE SAME as a single inter-actor + # RPC task cancelling its local context with a remote + # peer `Task` in that same peer process. + # + # ?TODO? It might be better if we do one (or all) of the + # following: + # + # -[ ] at least set a special message for the + # `ContextCancelled` when raised locally by the + # unaware ctx task such that we check for the + # `.canceller` being *our `Actor`* and in the case + # where `Context._cancel_called == False` we specially + # note that this is likely an "out-of-band" + # runtime-cancel request triggered by some call to + # `Portal.cancel_actor()`, possibly even reporting the + # exact LOC of that caller by tracking it inside our + # portal-type? + # -[ ] possibly add another field `ContextCancelled` like + # maybe a, + # `.request_type: Literal['os', 'proc', 'actor', + # 'ctx']` type thing which would allow immediately + # being able to tell what kind of cancellation caused + # the unexpected ctxc? + # -[ ] REMOVE THIS COMMENT, once we've settled on how to + # better augment `tractor` to be more explicit on this! async def spawn_emsd( @@ -147,21 +207,22 @@ async def spawn_emsd( """ log.info('Spawning emsd') - portal = await Services.actor_n.start_actor( + smngr: ServiceMngr = get_service_mngr() + portal = await smngr.actor_n.start_actor( 'emsd', enable_modules=[ 'piker.clearing._ems', 'piker.clearing._client', ], loglevel=loglevel, - debug_mode=Services.debug_mode, # set by pikerd flag + debug_mode=smngr.debug_mode, # set by pikerd flag **extra_tractor_kwargs ) # non-blocking setup of clearing service from ..clearing._ems import _setup_persistent_emsd - await Services.start_service_task( + await smngr.start_service_task( 'emsd', portal, diff --git a/piker/service/_mngr.py b/piker/service/_mngr.py index 89e98411..3197bef3 100644 --- a/piker/service/_mngr.py +++ b/piker/service/_mngr.py @@ -18,16 +18,29 @@ daemon-service management API. """ +from __future__ import annotations +from contextlib import ( + asynccontextmanager as acm, + # contextmanager as cm, +) from collections import defaultdict +from dataclasses import ( + dataclass, + field, +) +import functools +import inspect from typing import ( Callable, Any, ) -import trio -from trio_typing import TaskStatus +import msgspec import tractor +import trio +from trio import TaskStatus from tractor import ( + ActorNursery, current_actor, ContextCancelled, Context, @@ -39,6 +52,130 @@ from ._util import ( ) +# TODO: implement a singleton deco-API for wrapping the below +# factory's impl for general actor-singleton use? +# +# @singleton +# async def open_service_mngr( +# **init_kwargs, +# ) -> ServiceMngr: +# ''' +# Note this function body is invoke IFF no existing singleton instance already +# exists in this proc's memory. + +# ''' +# # setup +# yield ServiceMngr(**init_kwargs) +# # teardown + + + +# TODO: singleton factory API instead of a class API +@acm +async def open_service_mngr( + *, + debug_mode: bool = False, + + # impl deat which ensures a single global instance + _singleton: list[ServiceMngr|None] = [None], + **init_kwargs, + +) -> ServiceMngr: + ''' + Open a multi-subactor-as-service-daemon tree supervisor. + + The delivered `ServiceMngr` is a singleton instance for each + actor-process and is allocated on first open and never + de-allocated unless explicitly deleted by al call to + `del_service_mngr()`. + + ''' + # TODO: factor this an allocation into + # a `._mngr.open_service_mngr()` and put in the + # once-n-only-once setup/`.__aenter__()` part! + # -[ ] how to make this only happen on the `mngr == None` case? + # |_ use `.trionics.maybe_open_context()` (for generic + # async-with-style-only-once of the factory impl, though + # what do we do for the allocation case? + # / `.maybe_open_nursery()` (since for this specific case + # it's simpler?) to activate + async with ( + tractor.open_nursery() as an, + trio.open_nursery() as tn, + ): + # impl specific obvi.. + init_kwargs.update({ + 'actor_n': an, + 'service_n': tn, + }) + + mngr: ServiceMngr|None + if (mngr := _singleton[0]) is None: + + log.info('Allocating a new service mngr!') + mngr = _singleton[0] = ServiceMngr(**init_kwargs) + + # TODO: put into `.__aenter__()` section of + # eventual `@singleton_acm` API wrapper. + # + # assign globally for future daemon/task creation + mngr.actor_n = an + mngr.service_n = tn + + else: + assert ( + mngr.actor_n + and + mngr.service_tn + ) + log.info( + 'Using extant service mngr!\n\n' + f'{mngr!r}\n' # it has a nice `.__repr__()` of services state + ) + + try: + # NOTE: this is a singleton factory impl specific detail + # which should be supported in the condensed + # `@singleton_acm` API? + mngr.debug_mode = debug_mode + + yield mngr + finally: + # TODO: is this more clever/efficient? + # if 'samplerd' in mngr.service_tasks: + # await mngr.cancel_service('samplerd') + tn.cancel_scope.cancel() + + + +def get_service_mngr() -> ServiceMngr: + ''' + Try to get the singleton service-mngr for this actor presuming it + has already been allocated using, + + .. code:: python + + async with open_<@singleton_acm(func)>() as mngr` + ... this block kept open ... + + If not yet allocated raise a `ServiceError`. + + ''' + # https://stackoverflow.com/a/12627202 + # https://docs.python.org/3/library/inspect.html#inspect.Signature + maybe_mngr: ServiceMngr|None = inspect.signature( + open_service_mngr + ).parameters['_singleton'].default[0] + + if maybe_mngr is None: + raise RuntimeError( + 'Someone must allocate a `ServiceMngr` using\n\n' + '`async with open_service_mngr()` beforehand!!\n' + ) + + return maybe_mngr + + # TODO: we need remote wrapping and a general soln: # - factor this into a ``tractor.highlevel`` extension # pack for the # library. @@ -46,31 +183,46 @@ from ._util import ( # to the pikerd actor for starting services remotely! # - prolly rename this to ActorServicesNursery since it spawns # new actors and supervises them to completion? -class Services: +@dataclass +class ServiceMngr: +# class ServiceMngr(msgspec.Struct): + ''' + A multi-subactor-as-service manager. - actor_n: tractor._supervise.ActorNursery + Spawn, supervise and monitor service/daemon subactors in a SC + process tree. + + ''' + actor_n: ActorNursery service_n: trio.Nursery - debug_mode: bool # tractor sub-actor debug mode flag + debug_mode: bool = False # tractor sub-actor debug mode flag + service_tasks: dict[ str, tuple[ trio.CancelScope, + Context, Portal, trio.Event, ] - ] = {} - locks = defaultdict(trio.Lock) + ] = field(default_factory=dict) + + # internal per-service task mutexs + _locks = defaultdict(trio.Lock) - @classmethod async def start_service_task( self, name: str, portal: Portal, + + # TODO: typevar for the return type of the target and then + # use it below for `ctx_res`? target: Callable, + allow_overruns: bool = False, **ctx_kwargs, - ) -> (trio.CancelScope, Context): + ) -> (trio.CancelScope, Context, Any): ''' Open a context in a service sub-actor, add to a stack that gets unwound at ``pikerd`` teardown. @@ -83,6 +235,7 @@ class Services: task_status: TaskStatus[ tuple[ trio.CancelScope, + Context, trio.Event, Any, ] @@ -90,64 +243,87 @@ class Services: ) -> Any: + # TODO: use the ctx._scope directly here instead? + # -[ ] actually what semantics do we expect for this + # usage!? with trio.CancelScope() as cs: + try: + async with portal.open_context( + target, + allow_overruns=allow_overruns, + **ctx_kwargs, - async with portal.open_context( - target, - allow_overruns=allow_overruns, - **ctx_kwargs, + ) as (ctx, started): - ) as (ctx, first): - - # unblock once the remote context has started - complete = trio.Event() - task_status.started((cs, complete, first)) - log.info( - f'`pikerd` service {name} started with value {first}' - ) - try: + # unblock once the remote context has started + complete = trio.Event() + task_status.started(( + cs, + ctx, + complete, + started, + )) + log.info( + f'`pikerd` service {name} started with value {started}' + ) # wait on any context's return value # and any final portal result from the # sub-actor. - ctx_res: Any = await ctx.result() + ctx_res: Any = await ctx.wait_for_result() # NOTE: blocks indefinitely until cancelled # either by error from the target context # function or by being cancelled here by the # surrounding cancel scope. - return (await portal.result(), ctx_res) - except ContextCancelled as ctxe: - canceller: tuple[str, str] = ctxe.canceller - our_uid: tuple[str, str] = current_actor().uid - if ( - canceller != portal.channel.uid - and - canceller != our_uid - ): - log.cancel( - f'Actor-service {name} was remotely cancelled?\n' - f'remote canceller: {canceller}\n' - f'Keeping {our_uid} alive, ignoring sub-actor cancel..\n' - ) - else: - raise + return ( + await portal.wait_for_result(), + ctx_res, + ) + except ContextCancelled as ctxe: + canceller: tuple[str, str] = ctxe.canceller + our_uid: tuple[str, str] = current_actor().uid + if ( + canceller != portal.chan.uid + and + canceller != our_uid + ): + log.cancel( + f'Actor-service `{name}` was remotely cancelled by a peer?\n' + # TODO: this would be a good spot to use + # a respawn feature Bo + f'-> Keeping `pikerd` service manager alive despite this inter-peer cancel\n\n' - finally: - await portal.cancel_actor() - complete.set() - self.service_tasks.pop(name) + f'cancellee: {portal.chan.uid}\n' + f'canceller: {canceller}\n' + ) + else: + raise - cs, complete, first = await self.service_n.start(open_context_in_task) + finally: + # NOTE: the ctx MUST be cancelled first if we + # don't want the above `ctx.wait_for_result()` to + # raise a self-ctxc. WHY, well since from the ctx's + # perspective the cancel request will have + # arrived out-out-of-band at the `Actor.cancel()` + # level, thus `Context.cancel_called == False`, + # meaning `ctx._is_self_cancelled() == False`. + # with trio.CancelScope(shield=True): + # await ctx.cancel() + await portal.cancel_actor() + complete.set() + self.service_tasks.pop(name) + + cs, sub_ctx, complete, started = await self.service_n.start( + open_context_in_task + ) # store the cancel scope and portal for later cancellation or # retstart if needed. - self.service_tasks[name] = (cs, portal, complete) + self.service_tasks[name] = (cs, sub_ctx, portal, complete) + return cs, sub_ctx, started - return cs, first - - @classmethod async def cancel_service( self, name: str, @@ -158,8 +334,80 @@ class Services: ''' log.info(f'Cancelling `pikerd` service {name}') - cs, portal, complete = self.service_tasks[name] - cs.cancel() + cs, sub_ctx, portal, complete = self.service_tasks[name] + + # cs.cancel() + await sub_ctx.cancel() await complete.wait() - assert name not in self.service_tasks, \ - f'Serice task for {name} not terminated?' + + if name in self.service_tasks: + # TODO: custom err? + # raise ServiceError( + raise RuntimeError( + f'Serice task for {name} not terminated?' + ) + + # assert name not in self.service_tasks, \ + # f'Serice task for {name} not terminated?' + + async def start_service( + self, + daemon_name: str, + ctx_ep: Callable, # kwargs must `partial`-ed in! + + debug_mode: bool = False, + **tractor_actor_kwargs, + + ) -> Context: + ''' + Start a "service" task in a new sub-actor (daemon) and manage it's lifetime + indefinitely. + + Services can be cancelled/shutdown using `.cancel_service()`. + + ''' + entry: tuple|None = self.service_tasks.get(daemon_name) + if entry: + (cs, sub_ctx, portal, complete) = entry + return sub_ctx + + if daemon_name not in self.service_tasks: + portal = await self.actor_n.start_actor( + daemon_name, + debug_mode=( # maybe set globally during allocate + debug_mode + or + self.debug_mode + ), + **tractor_actor_kwargs, + ) + ctx_kwargs: dict[str, Any] = {} + if isinstance(ctx_ep, functools.partial): + ctx_kwargs: dict[str, Any] = ctx_ep.keywords + ctx_ep: Callable = ctx_ep.func + + (cs, sub_ctx, started) = await self.start_service_task( + daemon_name, + portal, + ctx_ep, + **ctx_kwargs, + ) + + return sub_ctx + + +# TODO: +# -[ ] factor all the common shit from `.data._sampling` +# and `.brokers._daemon` into here / `ServiceMngr` +# in terms of allocating the `Portal` as part of the +# "service-in-subactor" starting! +# -[ ] move to `tractor.hilevel._service`, import and use here! +# NOTE: purposely leaks the ref to the mod-scope Bo +# import tractor +# from tractor.hilevel import ( +# open_service_mngr, +# ServiceMngr, +# ) +# mngr: ServiceMngr|None = None +# with tractor.hilevel.open_service_mngr() as mngr: +# Services = proxy(mngr) diff --git a/piker/service/elastic.py b/piker/service/elastic.py index 902f4fde..b1a13722 100644 --- a/piker/service/elastic.py +++ b/piker/service/elastic.py @@ -21,11 +21,13 @@ from typing import ( TYPE_CHECKING, ) +# TODO: oof, needs to be changed to `httpx`! import asks if TYPE_CHECKING: import docker from ._ahab import DockerContainer + from . import ServiceMngr from ._util import log # sub-sys logger from ._util import ( @@ -127,7 +129,7 @@ def start_elasticsearch( @acm async def start_ahab_daemon( - service_mngr: Services, + service_mngr: ServiceMngr, user_config: dict | None = None, loglevel: str | None = None, diff --git a/piker/service/marketstore.py b/piker/service/marketstore.py index c9f49420..852b967c 100644 --- a/piker/service/marketstore.py +++ b/piker/service/marketstore.py @@ -53,7 +53,7 @@ import pendulum # import purerpc from ..data.feed import maybe_open_feed -from . import Services +from . import ServiceMngr from ._util import ( log, # sub-sys logger get_console_log, @@ -233,7 +233,7 @@ def start_marketstore( @acm async def start_ahab_daemon( - service_mngr: Services, + service_mngr: ServiceMngr, user_config: dict | None = None, loglevel: str | None = None, diff --git a/piker/storage/nativedb.py b/piker/storage/nativedb.py index bc7f10e3..941b519f 100644 --- a/piker/storage/nativedb.py +++ b/piker/storage/nativedb.py @@ -161,7 +161,12 @@ class NativeStorageClient: def index_files(self): for path in self._datadir.iterdir(): - if path.name in {'borked', 'expired',}: + if ( + path.name in {'borked', 'expired',} + or + '.parquet' not in str(path) + ): + # ignore all non-apache files (for now) continue key: str = path.name.rstrip('.parquet') diff --git a/piker/tsp/__init__.py b/piker/tsp/__init__.py index adbe484e..554f0199 100644 --- a/piker/tsp/__init__.py +++ b/piker/tsp/__init__.py @@ -44,8 +44,10 @@ import trio from trio_typing import TaskStatus import tractor from pendulum import ( + Interval, DateTime, Duration, + duration as mk_duration, from_timestamp, ) import numpy as np @@ -214,7 +216,8 @@ async def maybe_fill_null_segments( # pair, immediately stop backfilling? if ( start_dt - and end_dt < start_dt + and + end_dt < start_dt ): await tractor.pause() break @@ -262,6 +265,7 @@ async def maybe_fill_null_segments( except tractor.ContextCancelled: # log.exception await tractor.pause() + raise null_segs_detected.set() # RECHECK for more null-gaps @@ -349,7 +353,7 @@ async def maybe_fill_null_segments( async def start_backfill( get_hist, - frame_types: dict[str, Duration] | None, + def_frame_duration: Duration, mod: ModuleType, mkt: MktPair, shm: ShmArray, @@ -379,22 +383,23 @@ async def start_backfill( update_start_on_prepend: bool = False if backfill_until_dt is None: - # TODO: drop this right and just expose the backfill - # limits inside a [storage] section in conf.toml? - # when no tsdb "last datum" is provided, we just load - # some near-term history. - # periods = { - # 1: {'days': 1}, - # 60: {'days': 14}, - # } - - # do a decently sized backfill and load it into storage. + # TODO: per-provider default history-durations? + # -[ ] inside the `open_history_client()` config allow + # declaring the history duration limits instead of + # guessing and/or applying the same limits to all? + # + # -[ ] allow declaring (default) per-provider backfill + # limits inside a [storage] sub-section in conf.toml? + # + # NOTE, when no tsdb "last datum" is provided, we just + # load some near-term history by presuming a "decently + # large" 60s duration limit and a much shorter 1s range. periods = { 1: {'days': 2}, 60: {'years': 6}, } period_duration: int = periods[timeframe] - update_start_on_prepend = True + update_start_on_prepend: bool = True # NOTE: manually set the "latest" datetime which we intend to # backfill history "until" so as to adhere to the history @@ -416,7 +421,6 @@ async def start_backfill( f'backfill_until_dt: {backfill_until_dt}\n' f'last_start_dt: {last_start_dt}\n' ) - try: ( array, @@ -426,71 +430,114 @@ async def start_backfill( timeframe, end_dt=last_start_dt, ) - except NoData as _daterr: - # 3 cases: - # - frame in the middle of a legit venue gap - # - history actually began at the `last_start_dt` - # - some other unknown error (ib blocking the - # history bc they don't want you seeing how they - # cucked all the tinas..) - if dur := frame_types.get(timeframe): - # decrement by a frame's worth of duration and - # retry a few times. - last_start_dt.subtract( - seconds=dur.total_seconds() + orig_last_start_dt: datetime = last_start_dt + gap_report: str = ( + f'EMPTY FRAME for `end_dt: {last_start_dt}`?\n' + f'{mod.name} -> tf@fqme: {timeframe}@{mkt.fqme}\n' + f'last_start_dt: {orig_last_start_dt}\n\n' + f'bf_until: {backfill_until_dt}\n' + ) + # EMPTY FRAME signal with 3 (likely) causes: + # + # 1. range contains legit gap in venue history + # 2. history actually (edge case) **began** at the + # value `last_start_dt` + # 3. some other unknown error (ib blocking the + # history-query bc they don't want you seeing how + # they cucked all the tinas.. like with options + # hist) + # + if def_frame_duration: + # decrement by a duration's (frame) worth of time + # as maybe indicated by the backend to see if we + # can get older data before this possible + # "history gap". + last_start_dt: datetime = last_start_dt.subtract( + seconds=def_frame_duration.total_seconds() ) - log.warning( - f'{mod.name} -> EMPTY FRAME for end_dt?\n' - f'tf@fqme: {timeframe}@{mkt.fqme}\n' - 'bf_until <- last_start_dt:\n' - f'{backfill_until_dt} <- {last_start_dt}\n' - f'Decrementing `end_dt` by {dur} and retry..\n' + gap_report += ( + f'Decrementing `end_dt` and retrying with,\n' + f'def_frame_duration: {def_frame_duration}\n' + f'(new) last_start_dt: {last_start_dt}\n' ) + log.warning(gap_report) + # skip writing to shm/tsdb and try the next + # duration's worth of prior history. continue - # broker says there never was or is no more history to pull - except DataUnavailable: - log.warning( - f'NO-MORE-DATA in range?\n' - f'`{mod.name}` halted history:\n' - f'tf@fqme: {timeframe}@{mkt.fqme}\n' - 'bf_until <- last_start_dt:\n' - f'{backfill_until_dt} <- {last_start_dt}\n' - ) + else: + # await tractor.pause() + raise DataUnavailable(gap_report) - # ugh, what's a better way? - # TODO: fwiw, we probably want a way to signal a throttle - # condition (eg. with ib) so that we can halt the - # request loop until the condition is resolved? - if timeframe > 1: - await tractor.pause() + # broker says there never was or is no more history to pull + except DataUnavailable as due: + message: str = due.args[0] + log.warning( + f'Provider {mod.name!r} halted backfill due to,\n\n' + + f'{message}\n' + + f'fqme: {mkt.fqme}\n' + f'timeframe: {timeframe}\n' + f'last_start_dt: {last_start_dt}\n' + f'bf_until: {backfill_until_dt}\n' + ) + # UGH: what's a better way? + # TODO: backends are responsible for being correct on + # this right!? + # -[ ] in the `ib` case we could maybe offer some way + # to halt the request loop until the condition is + # resolved or should the backend be entirely in + # charge of solving such faults? yes, right? return + time: np.ndarray = array['time'] assert ( - array['time'][0] + time[0] == next_start_dt.timestamp() ) - diff = last_start_dt - next_start_dt - frame_time_diff_s = diff.seconds + assert time[-1] == next_end_dt.timestamp() + + expected_dur: Interval = last_start_dt - next_start_dt # frame's worth of sample-period-steps, in seconds frame_size_s: float = len(array) * timeframe - expected_frame_size_s: float = frame_size_s + timeframe - if frame_time_diff_s > expected_frame_size_s: - + recv_frame_dur: Duration = ( + from_timestamp(array[-1]['time']) + - + from_timestamp(array[0]['time']) + ) + if ( + (lt_frame := (recv_frame_dur < expected_dur)) + or + (null_frame := (frame_size_s == 0)) + # ^XXX, should NEVER hit now! + ): # XXX: query result includes a start point prior to our # expected "frame size" and thus is likely some kind of # history gap (eg. market closed period, outage, etc.) # so just report it to console for now. + if lt_frame: + reason = 'Possible GAP (or first-datum)' + else: + assert null_frame + reason = 'NULL-FRAME' + + missing_dur: Interval = expected_dur.end - recv_frame_dur.end log.warning( - 'GAP DETECTED:\n' - f'last_start_dt: {last_start_dt}\n' - f'diff: {diff}\n' - f'frame_time_diff_s: {frame_time_diff_s}\n' + f'{timeframe}s-series {reason} detected!\n' + f'fqme: {mkt.fqme}\n' + f'last_start_dt: {last_start_dt}\n\n' + f'recv interval: {recv_frame_dur}\n' + f'expected interval: {expected_dur}\n\n' + + f'Missing duration of history of {missing_dur.in_words()!r}\n' + f'{missing_dur}\n' ) + # await tractor.pause() to_push = diff_history( array, @@ -565,7 +612,8 @@ async def start_backfill( # long-term storage. if ( storage is not None - and write_tsdb + and + write_tsdb ): log.info( f'Writing {ln} frame to storage:\n' @@ -578,6 +626,7 @@ async def start_backfill( 'crypto', 'crypto_currency', 'fiat', # a "forex pair" + 'perpetual_future', # stupid "perps" from cex land }: # for now, our table key schema is not including # the dst[/src] source asset token. @@ -685,7 +734,7 @@ async def back_load_from_tsdb( last_tsdb_dt and latest_start_dt ): - backfilled_size_s = ( + backfilled_size_s: Duration = ( latest_start_dt - last_tsdb_dt ).seconds # if the shm buffer len is not large enough to contain @@ -908,6 +957,8 @@ async def tsdb_backfill( f'{pformat(config)}\n' ) + # concurrently load the provider's most-recent-frame AND any + # pre-existing tsdb history already saved in `piker` storage. dt_eps: list[DateTime, DateTime] = [] async with trio.open_nursery() as tn: tn.start_soon( @@ -918,7 +969,6 @@ async def tsdb_backfill( timeframe, config, ) - tsdb_entry: tuple = await load_tsdb_hist( storage, mkt, @@ -947,6 +997,25 @@ async def tsdb_backfill( mr_end_dt, ) = dt_eps + first_frame_dur_s: Duration = (mr_end_dt - mr_start_dt).seconds + calced_frame_size: Duration = mk_duration( + seconds=first_frame_dur_s, + ) + # NOTE, attempt to use the backend declared default frame + # sizing (as allowed by their time-series query APIs) and + # if not provided try to construct a default from the + # first frame received above. + def_frame_durs: dict[ + int, + Duration, + ]|None = config.get('frame_types', None) + if def_frame_durs: + def_frame_size: Duration = def_frame_durs[timeframe] + assert def_frame_size == calced_frame_size + else: + # use what we calced from first frame above. + def_frame_size = calced_frame_size + # NOTE: when there's no offline data, there's 2 cases: # - data backend doesn't support timeframe/sample # period (in which case `dt_eps` should be `None` and @@ -977,7 +1046,7 @@ async def tsdb_backfill( partial( start_backfill, get_hist=get_hist, - frame_types=config.get('frame_types', None), + def_frame_duration=def_frame_size, mod=mod, mkt=mkt, shm=shm, diff --git a/poetry.lock b/poetry.lock index c9b5ced6..64fc2ba4 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,40 +1,161 @@ -# This file is automatically @generated by Poetry 1.6.1 and should not be changed by hand. +# This file is automatically @generated by Poetry 1.8.4 and should not be changed by hand. 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">=3.11, <3.13" +content-hash = "14ea6714f6a3989589d7bdb64b69f8c6d36095f0a3b1d9e2d1bb2fef07cb5a24" diff --git a/pyproject.toml b/pyproject.toml index c97841e3..26a5a5ec 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -25,11 +25,11 @@ build-backend = "poetry.core.masonry.api" ignore = [] # https://docs.astral.sh/ruff/settings/#lint_per-file-ignores -"piker/ui/qt.py" = [ - "E402", - 'F401', # unused imports (without __all__ or blah as blah) - # "F841", # unused variable rules -] +# "piker/ui/qt.py" = [ +# "E402", +# 'F401', # unused imports (without __all__ or blah as blah) +# # "F841", # unused variable rules +# ] # ignore-init-module-imports = false # ------ - ------ @@ -50,10 +50,8 @@ attrs = "^23.1.0" bidict = "^0.22.1" colorama = "^0.4.6" colorlog = "^6.7.0" -cython = "^3.0.0" -greenback = "^1.1.1" ib-insync = "^0.9.86" -msgspec = "^0.18.0" +msgspec = "^0.18.6" numba = "^0.59.0" numpy = "^1.25" polars = "^0.18.13" @@ -71,13 +69,11 @@ pdbp = "^1.5.0" trio = "^0.24" pendulum = "^3.0.0" httpx = "^0.27.0" +cryptofeed = "^2.4.0" +pyarrow = "^17.0.0" -[tool.poetry.dependencies.tractor] -develop = true -git = 'https://github.com/goodboy/tractor.git' -branch = 'asyncio_debugger_support' -# path = "../tractor" - +tractor = {path = "../tractor", develop = true} +websockets = "12.0" [tool.poetry.dependencies.asyncvnc] git = 'https://github.com/pikers/asyncvnc.git' branch = 'main' @@ -109,6 +105,8 @@ pytest = "^6.0.0" elasticsearch = "^8.9.0" xonsh = "^0.14.2" prompt-toolkit = "3.0.40" +cython = "^3.0.0" +greenback = "^1.1.1" # console ehancements and eventually remote debugging # extras/helpers. @@ -132,6 +130,7 @@ ledger = 'piker.accounting.cli:ledger' [project] +name="piker" keywords=[ "async", "trading", diff --git a/tests/conftest.py b/tests/conftest.py index 366d5d95..cf77e76e 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -10,7 +10,7 @@ from piker import ( config, ) from piker.service import ( - Services, + get_service_mngr, ) from piker.log import get_console_log @@ -129,7 +129,7 @@ async def _open_test_pikerd( ) as service_manager, ): # this proc/actor is the pikerd - assert service_manager is Services + assert service_manager is get_service_mngr() async with tractor.wait_for_actor( 'pikerd', diff --git a/tests/test_ems.py b/tests/test_ems.py index c2f5d7a8..e0305999 100644 --- a/tests/test_ems.py +++ b/tests/test_ems.py @@ -26,7 +26,7 @@ import pytest import tractor from uuid import uuid4 -from piker.service import Services +from piker.service import ServiceMngr from piker.log import get_logger from piker.clearing._messages import ( Order, @@ -158,7 +158,7 @@ def load_and_check_pos( def test_ems_err_on_bad_broker( - open_test_pikerd: Services, + open_test_pikerd: ServiceMngr, loglevel: str, ): async def load_bad_fqme(): diff --git a/tests/test_services.py b/tests/test_services.py index 433e97f3..ca093929 100644 --- a/tests/test_services.py +++ b/tests/test_services.py @@ -15,7 +15,7 @@ import tractor from piker.service import ( find_service, - Services, + ServiceMngr, ) from piker.data import ( open_feed, @@ -44,7 +44,7 @@ def test_runtime_boot( async def main(): port = 6666 daemon_addr = ('127.0.0.1', port) - services: Services + services: ServiceMngr async with ( open_test_pikerd(