diff --git a/.gitignore b/.gitignore index c61ecb1..fe59b6a 100644 --- a/.gitignore +++ b/.gitignore @@ -131,3 +131,6 @@ dmypy.json # Visual Studio Code .vscode/ .devcontainer/ + +# PyCharm +.idea/ diff --git a/config/config.toml b/config/config.toml index cdc488b..37abc15 100644 --- a/config/config.toml +++ b/config/config.toml @@ -5,6 +5,10 @@ provider_engine = 'pyth_replicator' product_update_interval_secs = 10 +health_check_port = 8000 + +# The health check will return a failure status if no price data has been published within the specified time frame. +health_check_threshold_secs = 60 [publisher.pythd] endpoint = 'ws://127.0.0.1:8910' diff --git a/example_publisher/__main__.py b/example_publisher/__main__.py index 283341e..c6d3155 100644 --- a/example_publisher/__main__.py +++ b/example_publisher/__main__.py @@ -1,12 +1,15 @@ import asyncio import os import sys +import threading +import uvicorn from example_publisher.config import Config from example_publisher.publisher import Publisher import typed_settings as ts import click import logging import structlog +from example_publisher.api.health_check import app, API _DEFAULT_CONFIG_PATH = os.path.join("config", "config.toml") @@ -26,13 +29,20 @@ ) def main(config_path): - config = ts.load( + config: Config = ts.load( cls=Config, appname="publisher", config_files=[config_path], ) publisher = Publisher(config=config) + API.publisher = publisher + + def run_server(): + uvicorn.run(app, host="0.0.0.0", port=config.health_check_port) + + server_thread = threading.Thread(target=run_server) + server_thread.start() async def run(): try: diff --git a/example_publisher/api/health_check.py b/example_publisher/api/health_check.py new file mode 100644 index 0000000..717032f --- /dev/null +++ b/example_publisher/api/health_check.py @@ -0,0 +1,31 @@ +from fastapi import FastAPI, status +from fastapi.responses import JSONResponse +from example_publisher.publisher import Publisher + + +class API(FastAPI): + publisher: Publisher + + +app = API() + + +@app.get("/health") +def health_check(): + healthy = API.publisher.is_healthy() + last_successful_update = API.publisher.last_successful_update + if not healthy: + return JSONResponse( + content={ + "status": "error", + "last_successful_update": last_successful_update, + }, + status_code=status.HTTP_503_SERVICE_UNAVAILABLE, + ) + return JSONResponse( + content={ + "status": "ok", + "last_successful_update": last_successful_update, + }, + status_code=status.HTTP_200_OK, + ) diff --git a/example_publisher/config.py b/example_publisher/config.py index 0ea13d5..71d65a1 100644 --- a/example_publisher/config.py +++ b/example_publisher/config.py @@ -47,6 +47,8 @@ class PythReplicatorConfig: class Config: provider_engine: str pythd: Pythd + health_check_port: int + health_check_threshold_secs: int product_update_interval_secs: int = ts.option(default=60) coin_gecko: Optional[CoinGeckoConfig] = ts.option(default=None) pyth_replicator: Optional[PythReplicatorConfig] = ts.option(default=None) diff --git a/example_publisher/provider.py b/example_publisher/provider.py index 650b9a9..2adfa4c 100644 --- a/example_publisher/provider.py +++ b/example_publisher/provider.py @@ -3,13 +3,16 @@ from dataclasses import dataclass from typing import List, Optional + Symbol = str +UnixTimestamp = int @dataclass class Price: price: float conf: float + timestamp: UnixTimestamp class Provider(ABC): diff --git a/example_publisher/providers/coin_gecko.py b/example_publisher/providers/coin_gecko.py index 18d728b..e23ae5b 100644 --- a/example_publisher/providers/coin_gecko.py +++ b/example_publisher/providers/coin_gecko.py @@ -1,4 +1,6 @@ import asyncio +from math import floor +import time from typing import Dict, List, Optional from pycoingecko import CoinGeckoAPI from structlog import get_logger @@ -16,7 +18,7 @@ class CoinGecko(Provider): def __init__(self, config: CoinGeckoConfig) -> None: self._api: CoinGeckoAPI = CoinGeckoAPI() - self._prices: Dict[Id, float] = {} + self._prices: Dict[Id, Price] = {} self._symbol_to_id: Dict[Symbol, Id] = { product.symbol: product.coin_gecko_id for product in config.products } @@ -45,18 +47,19 @@ def _update_prices(self) -> None: ids=list(self._prices.keys()), vs_currencies=USD, precision=18 ) for id_, prices in result.items(): - self._prices[id_] = prices[USD] + price = prices[USD] + self._prices[id_] = Price( + price, + price * self._config.confidence_ratio_bps / 10000, + floor(time.time()), + ) log.info("updated prices from CoinGecko", prices=self._prices) - def _get_price(self, id: Id) -> float: + def _get_price(self, id: Id) -> Optional[Price]: return self._prices.get(id, None) def latest_price(self, symbol: Symbol) -> Optional[Price]: id = self._symbol_to_id.get(symbol) - if not id: + if id is None: return None - - price = self._get_price(id) - if not price: - return None - return Price(price, price * self._config.confidence_ratio_bps / 10000) + return self._get_price(id) diff --git a/example_publisher/providers/pyth_replicator.py b/example_publisher/providers/pyth_replicator.py index c4d1a61..ca95935 100644 --- a/example_publisher/providers/pyth_replicator.py +++ b/example_publisher/providers/pyth_replicator.py @@ -13,7 +13,6 @@ log = get_logger() -UnixTimestamp = int # Any feed with >= this number of min publishers is considered "coming soon". COMING_SOON_MIN_PUB_THRESHOLD = 10 @@ -28,9 +27,7 @@ def __init__(self, config: PythReplicatorConfig) -> None: first_mapping_account_key=config.first_mapping, program_key=config.program_key, ) - self._prices: Dict[ - str, Tuple[float | None, float | None, UnixTimestamp | None] - ] = {} + self._prices: Dict[str, Optional[Price]] = {} self._update_accounts_task: asyncio.Task | None = None async def _update_loop(self) -> None: @@ -47,20 +44,25 @@ async def _update_loop(self) -> None: while True: update = await self._ws.next_update() log.debug("Received a WS update", account_key=update.key, slot=update.slot) - if isinstance(update, PythPriceAccount): + if isinstance(update, PythPriceAccount) and update.product is not None: symbol = update.product.symbol if self._prices.get(symbol) is None: - self._prices[symbol] = [None, None, None] + self._prices[symbol] = None - if update.aggregate_price_status == PythPriceStatus.TRADING: - self._prices[symbol] = [ + if ( + update.aggregate_price_status == PythPriceStatus.TRADING + and update.aggregate_price is not None + and update.aggregate_price_confidence_interval is not None + ): + self._prices[symbol] = Price( update.aggregate_price, update.aggregate_price_confidence_interval, update.timestamp, - ] + ) elif ( self._config.manual_agg_enabled + and update.min_publishers is not None and update.min_publishers >= COMING_SOON_MIN_PUB_THRESHOLD ): # Do the manual aggregation based on the recent active publishers @@ -71,13 +73,14 @@ async def _update_loop(self) -> None: # Note that we only manually aggregate for feeds that are coming soon. Some feeds should go # offline outside of market hours (e.g., Equities, Metals). Manually aggregating for these feeds # can cause them to come online at unexpected times if a single data provider publishes at that time. - prices = [] + prices: List[float] = [] current_slot = update.slot for price_component in update.price_components: price = price_component.latest_price_info if ( price.price_status == PythPriceStatus.TRADING + and current_slot is not None and current_slot - price.pub_slot <= self._config.manual_agg_max_slot_diff ): @@ -93,11 +96,11 @@ async def _update_loop(self) -> None: if prices: agg_price, agg_confidence_interval = manual_aggregate(prices) - self._prices[symbol] = [ + self._prices[symbol] = Price( agg_price, agg_confidence_interval, update.timestamp, - ] + ) log.info( "Received a price update", symbol=symbol, price=self._prices[symbol] @@ -115,7 +118,7 @@ async def _update_accounts_loop(self) -> None: await asyncio.sleep(self._config.account_update_interval_secs) - def upd_products(self, _: List[Symbol]) -> None: + def upd_products(self, *args) -> None: # This provider stores all the possible feeds and # does not care about the desired products as knowing # them does not improve the performance of the replicator @@ -124,15 +127,15 @@ def upd_products(self, _: List[Symbol]) -> None: pass def latest_price(self, symbol: Symbol) -> Optional[Price]: - price, conf, timestamp = self._prices.get(symbol, [None, None, None]) + price = self._prices.get(symbol, None) - if not price or not conf or not timestamp: + if not price: return None - if time.time() - timestamp > self._config.staleness_time_in_secs: + if time.time() - price.timestamp > self._config.staleness_time_in_secs: return None - return Price(price, conf) + return price def manual_aggregate(prices: List[float]) -> Tuple[float, float]: diff --git a/example_publisher/publisher.py b/example_publisher/publisher.py index 8ef0fbe..0063e34 100644 --- a/example_publisher/publisher.py +++ b/example_publisher/publisher.py @@ -1,9 +1,9 @@ import asyncio +import time from typing import Dict, List, Optional from attr import define from structlog import get_logger from example_publisher.provider import Provider - from example_publisher.providers.coin_gecko import CoinGecko from example_publisher.config import Config from example_publisher.providers.pyth_replicator import PythReplicator @@ -45,6 +45,14 @@ def __init__(self, config: Config) -> None: ) self.subscriptions: Dict[SubscriptionId, Product] = {} self.products: List[Product] = [] + self.last_successful_update: Optional[float] = None + + def is_healthy(self) -> bool: + return ( + self.last_successful_update is not None + and time.time() - self.last_successful_update + < self.config.health_check_threshold_secs + ) async def start(self): await self.pythd.connect() @@ -141,6 +149,11 @@ async def on_notify_price_sched(self, subscription: int) -> None: await self.pythd.update_price( product.price_account, scaled_price, scaled_conf, TRADING ) + self.last_successful_update = ( + price.timestamp + if self.last_successful_update is None + else max(self.last_successful_update, price.timestamp) + ) def apply_exponent(self, x: float, exp: int) -> int: return int(x * (10 ** (-exp))) diff --git a/poetry.lock b/poetry.lock index 8b03482..3f1332b 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,10 +1,9 @@ -# This file is automatically @generated by Poetry and should not be changed by hand. +# This file is automatically @generated by Poetry 1.8.2 and should not be changed by hand. [[package]] name = "aiodns" version = "3.0.0" description = "Simple DNS resolver for asyncio" -category = "main" optional = false python-versions = "*" files = [ @@ -19,7 +18,6 @@ pycares = ">=4.0.0" name = "aiohttp" version = "3.8.4" description = "Async http client/server framework (asyncio)" -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -128,7 +126,6 @@ speedups = ["Brotli", "aiodns", "cchardet"] name = "aiosignal" version = "1.3.1" description = "aiosignal: a list of registered asynchronous callbacks" -category = "main" optional = false python-versions = ">=3.7" files = [ @@ -139,11 +136,43 @@ files = [ [package.dependencies] frozenlist = ">=1.1.0" +[[package]] +name = "annotated-types" +version = "0.6.0" +description = "Reusable constraint types to use with typing.Annotated" +optional = false +python-versions = ">=3.8" +files = [ + {file = "annotated_types-0.6.0-py3-none-any.whl", hash = "sha256:0641064de18ba7a25dee8f96403ebc39113d0cb953a01429249d5c7564666a43"}, + {file = "annotated_types-0.6.0.tar.gz", hash = "sha256:563339e807e53ffd9c267e99fc6d9ea23eb8443c08f112651963e24e22f84a5d"}, +] + +[[package]] +name = "anyio" +version = "4.3.0" +description = "High level compatibility layer for multiple asynchronous event loop implementations" +optional = false +python-versions = ">=3.8" +files = [ + {file = "anyio-4.3.0-py3-none-any.whl", hash = "sha256:048e05d0f6caeed70d731f3db756d35dcc1f35747c8c403364a8332c630441b8"}, + {file = "anyio-4.3.0.tar.gz", hash = "sha256:f75253795a87df48568485fd18cdd2a3fa5c4f7c5be8e5e36637733fce06fed6"}, +] + +[package.dependencies] +exceptiongroup = {version = ">=1.0.2", markers = "python_version < \"3.11\""} +idna = ">=2.8" +sniffio = ">=1.1" +typing-extensions = {version = ">=4.1", markers = "python_version < \"3.11\""} + +[package.extras] +doc = ["Sphinx (>=7)", "packaging", "sphinx-autodoc-typehints (>=1.2.0)", "sphinx-rtd-theme"] +test = ["anyio[trio]", "coverage[toml] (>=7)", "exceptiongroup (>=1.2.0)", "hypothesis (>=4.0)", "psutil (>=5.9)", "pytest (>=7.0)", "pytest-mock (>=3.6.1)", "trustme", "uvloop (>=0.17)"] +trio = ["trio (>=0.23)"] + [[package]] name = "astroid" version = "2.14.2" description = "An abstract syntax tree for Python with inference support." -category = "dev" optional = false python-versions = ">=3.7.2" files = [ @@ -163,7 +192,6 @@ wrapt = [ name = "async-timeout" version = "4.0.2" description = "Timeout context manager for asyncio programs" -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -175,7 +203,6 @@ files = [ name = "atomicwrites" version = "1.4.1" description = "Atomic file writes." -category = "dev" optional = false python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" files = [ @@ -186,7 +213,6 @@ files = [ name = "attr" version = "0.3.2" description = "Simple decorator to set attributes of target function or class in a DRY way." -category = "main" optional = false python-versions = "*" files = [ @@ -198,7 +224,6 @@ files = [ name = "attrs" version = "22.2.0" description = "Classes Without Boilerplate" -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -217,7 +242,6 @@ tests-no-zope = ["cloudpickle", "cloudpickle", "hypothesis", "hypothesis", "mypy name = "backoff" version = "2.2.1" description = "Function decoration for backoff and retry" -category = "main" optional = false python-versions = ">=3.7,<4.0" files = [ @@ -229,7 +253,6 @@ files = [ name = "base58" version = "2.1.1" description = "Base58 and Base58Check implementation." -category = "main" optional = false python-versions = ">=3.5" files = [ @@ -244,7 +267,6 @@ tests = ["PyHamcrest (>=2.0.2)", "mypy", "pytest (>=4.6)", "pytest-benchmark", " name = "cattrs" version = "22.2.0" description = "Composable complex class support for attrs and dataclasses." -category = "main" optional = false python-versions = ">=3.7" files = [ @@ -260,7 +282,6 @@ exceptiongroup = {version = "*", markers = "python_version < \"3.11\""} name = "certifi" version = "2022.12.7" description = "Python package for providing Mozilla's CA Bundle." -category = "main" optional = false python-versions = ">=3.6" files = [ @@ -272,7 +293,6 @@ files = [ name = "cffi" version = "1.15.1" description = "Foreign Function Interface for Python calling C code." -category = "main" optional = false python-versions = "*" files = [ @@ -349,7 +369,6 @@ pycparser = "*" name = "charset-normalizer" version = "3.0.1" description = "The Real First Universal Charset Detector. 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