smarter market info and epic discovery - Githubissues

bug-or-feature / pysystemtrade-fsb

Systematic spread betting in Python

https://pysystemtrade-fsb.bugorfeature.net/

GNU General Public License v3.0

10 stars 2 forks source link

smarter market info and epic discovery #45

Closed bug-or-feature closed 2 weeks ago

bug-or-feature commented 1 year ago

We need to be smarter about collecting IG market info:

Current:

update market info for each epic for each instrument, and check whether historic epics are synced. Scheduled once per day at 11am, duration 2 hours 10 mins
update market info per instrument when running interactive roll tool
run epic discovery once each day at 1am, duration 2.75 hours

The 11am job takes too long, and locks up all the available non trading API requests (30 per minute) for 2 hours

Proposed:

New job to update market info all day, once per minute. Max 10 requests. If there are any live orders, put them at the top of the queue. Also prioritise any markets that are about to expire. Don't do historic check
market info historic check runs overnight instead
epic discovery for instruments nearing/just after expiry runs overnight
other epic discovery runs once a week at weekends

bug-or-feature commented 2 weeks ago

Done. Instead of the above, we do:

New job to update market info all day, once per minute. Max 10 requests. If there are any live orders, put them at the top of the queue. Also prioritise any markets that are about to expire
epic discovery runs overnight for all instruments
epic history runs as part of fx and sampled contracts job daily at 11.15