Chris Amow
bb84b6e73f
Two things kept the chart quieter than the feed. Higher timeframes only moved once a minute. Tick bars are 1m and the socket filters bar events by the subscriber's timeframe, so on the hourly chart every tick was discarded and only a closed minute passing through the aggregator showed up. They cannot simply be fed to the aggregator — it accumulates with current.v += incoming.v, so the same forming minute re-sent on each tick would add its volume to every higher timeframe again and again. provisional_higher combines the aggregator's committed state with the live minute instead, without mutating it; the next closed minute goes through normally and replaces the result, because the store keys on the bucket timestamp. A test pins the behaviour: five ticks in one minute leave the hour's volume at closed plus live, counted exactly once. Trades known only by their volume were skipped. Level 1 resends only changed fields, so some trades carry a trade stamp and a moved TOTAL_VOLUME with neither LAST_PRICE nor LAST_SIZE. Those now count, with size left at zero rather than guessed from the volume delta — CHART_FUTURES replaces the minute's volume with the exchange's own figure moments later, and two ways of counting the same trades is how double counting starts. Measured: 66 to 74 updates per 90s. The tick throttle drops to 0.25s, which no longer binds. Measured in regular hours the gaps between updates are whole multiples of 1.005s — 2.01, 3.02, 4.03 — which is Schwab conflating LEVEL_ONE_FUTURES to one update per second per symbol. One per second is the source's ceiling, not ours; the longer gaps are seconds in which their feed carried no trade. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
242 lines
10 KiB
Python
242 lines
10 KiB
Python
"""Real-time /ES bars from Schwab's CHART_FUTURES stream.
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Verified against a live account before this was written:
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- Streaming works. CHART_FUTURES delivers one minute bar per symbol per minute
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with true exchange OHLCV, and LEVEL_ONE_FUTURES reports ``delayed: False``.
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- The continuous root resolves itself. Subscribing to ``/ES`` returns data keyed
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``/ES`` while quotes report the active contract as ``/ESU26``, so contract
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rolls need no handling here.
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- There is no history. Schwab serves price history for equities and ETFs only,
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so this source seeds nothing; Yahoo remains the only source of the past.
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The delayed sibling is worth stating plainly: Yahoo lags about ten minutes, so
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at startup the most recent bars are missing until Yahoo catches up. Keep both
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sources running rather than switching Yahoo off once this connects.
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"""
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import asyncio
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import logging
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import time
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from collections.abc import AsyncIterator
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from dataclasses import replace
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from app.bars.models import Bar, Timeframe
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logger = logging.getLogger(__name__)
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# CHART_FUTURES field names as schwab-py labels them.
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FIELD_TIME = "CHART_TIME_MILLIS"
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FIELD_OPEN = "OPEN_PRICE"
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FIELD_HIGH = "HIGH_PRICE"
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FIELD_LOW = "LOW_PRICE"
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FIELD_CLOSE = "CLOSE_PRICE"
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FIELD_VOLUME = "VOLUME"
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# LEVEL_ONE_FUTURES field names, as schwab-py labels them. Verified realtime on
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# this account: the service reports delayed: False for /ES.
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FIELD_LAST_PRICE = "LAST_PRICE"
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FIELD_LAST_SIZE = "LAST_SIZE"
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FIELD_TRADE_TIME = "TRADE_TIME_MILLIS"
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FIELD_TOTAL_VOLUME = "TOTAL_VOLUME"
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def parse_level_one(message: dict) -> list[tuple[int, float | None, int]]:
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"""Turn one LEVEL_ONE_FUTURES message into (trade time ms, price, size).
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Level 1 messages are partial — only changed fields are sent — which makes
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"is this a trade?" a question about several fields rather than one:
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- A quote moving only the bid or ask carries no trade field at all. Skipped:
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a bid is not a trade and must not extend a candle's high or low.
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- A trade at the *same price* as the one before carries LAST_SIZE and
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TRADE_TIME_MILLIS but no LAST_PRICE, because the price did not change.
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Measured live, that is a fifth of all trades. Dropping them lost their
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volume, so the price is returned as None for the caller to carry forward.
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"""
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ticks: list[tuple[int, float | None, int]] = []
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for content in message.get("content") or []:
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price = content.get(FIELD_LAST_PRICE)
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size = content.get(FIELD_LAST_SIZE)
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traded_at = content.get(FIELD_TRADE_TIME)
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# A trade stamp alongside a moved cumulative volume is a trade even when
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# neither the price nor the size field was resent. Size is left at zero
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# rather than guessed from the volume delta: CHART_FUTURES replaces the
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# minute's volume with the exchange's own figure a moment later, and two
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# ways of counting the same trades is how double counting starts.
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traded = size is not None or content.get(FIELD_TOTAL_VOLUME) is not None
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if price is None and not (traded and traded_at is not None):
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continue
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millis = traded_at
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if millis is None:
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# No trade stamp on this update; the wall clock is close enough to
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# bucket it, and being one minute out at a boundary is corrected by
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# the authoritative CHART_FUTURES bar moments later.
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millis = int(time.time() * 1000)
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ticks.append((int(millis), None if price is None else float(price), int(size or 0)))
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return ticks
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def parse_chart_futures(message: dict, symbol: str) -> list[Bar]:
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"""Turn one CHART_FUTURES message into bars.
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A bar arrives once its minute has elapsed, so it is complete on arrival and
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marked closed. Anything missing a timestamp or a price is skipped rather
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than defaulted — a bar invented from partial data would be indistinguishable
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from a real one downstream.
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"""
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bars: list[Bar] = []
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for content in message.get("content") or []:
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millis = content.get(FIELD_TIME)
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prices = [content.get(field) for field in (FIELD_OPEN, FIELD_HIGH, FIELD_LOW, FIELD_CLOSE)]
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if millis is None or any(price is None for price in prices):
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continue
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open_, high, low, close = (float(price) for price in prices)
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bars.append(
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Bar(
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tf=Timeframe.M1,
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t=int(millis) // 1000,
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o=open_,
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h=high,
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l=low,
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c=close,
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v=int(content.get(FIELD_VOLUME) or 0),
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closed=True,
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symbol=str(content.get("key") or symbol),
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source="schwab",
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)
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)
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return bars
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class SchwabSource:
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"""Live minute bars. Holds no history — see the module docstring."""
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name = "schwab"
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delay_minutes = 0
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def __init__(self, settings, stream_client_factory=None):
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self._settings = settings
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# Injectable so the parsing and dispatch can be tested without a socket.
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self._stream_client_factory = stream_client_factory or self._build_stream_client
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# None disables the Level 1 subscription entirely and leaves the source
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# exactly as it was: one closed bar a minute.
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seconds = getattr(settings, "schwab_tick_seconds", 1.0)
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self._tick_seconds = None if seconds is None or seconds < 0 else seconds
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def supports_history(self) -> bool:
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return False
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async def history(self, symbol, tf, start, end, *, range_=None) -> list[Bar]:
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return []
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def supports_stream(self) -> bool:
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return True
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def _build_stream_client(self):
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from schwab.auth import client_from_token_file
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from schwab.streaming import StreamClient
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settings = self._settings
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if not settings.schwab_token_path.exists():
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raise RuntimeError(
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f"No Schwab token at {settings.schwab_token_path}. "
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"Run: python3 -m scripts.check_schwab"
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)
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client = client_from_token_file(
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str(settings.schwab_token_path),
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settings.schwab_api_key,
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settings.schwab_app_secret,
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asyncio=True,
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)
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return StreamClient(client)
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async def stream(self, symbol: str) -> AsyncIterator[Bar]:
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stream_client = self._stream_client_factory()
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queue: asyncio.Queue[tuple[str, dict]] = asyncio.Queue(maxsize=256)
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def enqueue(kind: str):
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def handler(message: dict) -> None:
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# Dropping the oldest keeps a slow consumer from stalling the
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# socket; a minute bar that late is of no use anyway.
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if queue.full():
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queue.get_nowait()
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queue.put_nowait((kind, message))
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return handler
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await stream_client.login()
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# Registered before subscribing: the service starts sending straight
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# away and messages without a handler are discarded.
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stream_client.add_chart_futures_handler(enqueue("chart"))
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await stream_client.chart_futures_subs([symbol])
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logger.info("Subscribed to CHART_FUTURES for %s", symbol)
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if self._tick_seconds is not None:
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# Same socket, same login — no extra REST call and no extra rate
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# limit. CHART_FUTURES only speaks once a minute, after the minute
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# is over; this is what makes the candle move in between.
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stream_client.add_level_one_futures_handler(enqueue("quote"))
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await stream_client.level_one_futures_subs([symbol])
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logger.info("Subscribed to LEVEL_ONE_FUTURES for %s", symbol)
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forming: Bar | None = None
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last_closed_t = 0
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last_emit = 0.0
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last_price: float | None = None
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pump = asyncio.create_task(self._pump(stream_client), name="schwab-stream-pump")
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try:
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while True:
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if pump.done():
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# Surface the socket's failure rather than hanging on a
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# queue nothing is filling any more.
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pump.result()
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return
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try:
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kind, message = await asyncio.wait_for(queue.get(), timeout=5)
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except (asyncio.TimeoutError, TimeoutError):
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continue
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if kind == "chart":
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for bar in parse_chart_futures(message, symbol):
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last_closed_t = max(last_closed_t, bar.t)
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# The exchange's own bar supersedes whatever the ticks
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# had built for that minute.
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if forming is not None and forming.t <= bar.t:
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forming = None
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yield bar
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continue
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for millis, price, size in parse_level_one(message):
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if price is None:
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# A same-price trade. Carry the last price forward so
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# its volume still lands; without a price to stand on
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# there is no bar to add it to.
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price = forming.c if forming is not None else last_price
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if price is None:
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continue
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last_price = price
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minute = millis // 60000 * 60
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# A tick for a minute already closed by CHART_FUTURES would
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# otherwise overwrite an authoritative bar with a partial.
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if minute <= last_closed_t:
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continue
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if forming is None or forming.t != minute:
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forming = Bar(
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tf=Timeframe.M1, t=minute, o=price, h=price, l=price, c=price,
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v=size, closed=False, symbol=symbol, source="schwab",
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)
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else:
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forming.h = max(forming.h, price)
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forming.l = min(forming.l, price)
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forming.c = price
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forming.v += size
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# Throttled: /ES trades many times a second, and every
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# emission costs a store write and a broadcast to every
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# open socket.
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now = time.monotonic()
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if now - last_emit >= self._tick_seconds:
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last_emit = now
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yield replace(forming)
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finally:
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pump.cancel()
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@staticmethod
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async def _pump(stream_client) -> None:
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while True:
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await stream_client.handle_message()
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