Fill out allocator calcs for $size and #units, draft pp ui tracking
Tyler Goodlet
parent
17fbe6a6ab
commit
07b20a5e68
|
|
@ -19,10 +19,10 @@ Position info and display
|
|||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
import enum
|
||||
from enum import Enum
|
||||
from functools import partial
|
||||
from math import floor
|
||||
from pprint import pprint
|
||||
# from pprint import pprint
|
||||
import sys
|
||||
from typing import Optional
|
||||
|
||||
|
|
@ -42,6 +42,11 @@ from ..data._source import Symbol
|
|||
from ._label import Label
|
||||
from ._lines import LevelLine, level_line
|
||||
from ._style import _font
|
||||
from ._forms import FieldsForm
|
||||
from ..log import get_logger
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class Position(BaseModel):
|
||||
|
|
@ -60,46 +65,65 @@ class Position(BaseModel):
|
|||
fills: list[Status] = []
|
||||
|
||||
|
||||
def mk_pp_alloc(
|
||||
def mk_alloc(
|
||||
|
||||
accounts: dict[str, Optional[str]] = {
|
||||
'paper': None,
|
||||
'ib.paper': 'DU1435481',
|
||||
'ib.margin': 'U10983%',
|
||||
},
|
||||
|
||||
) -> Allocator: # noqa
|
||||
|
||||
from ..brokers import config
|
||||
conf, path = config.load()
|
||||
section = conf.get('accounts')
|
||||
if section is None:
|
||||
log.warning('No accounts config found?')
|
||||
|
||||
for brokername, account_labels in section.items():
|
||||
for name, value in account_labels.items():
|
||||
accounts[f'{brokername}.{name}'] = value
|
||||
|
||||
# lol we have to do this module patching bc ``pydantic``
|
||||
# needs types to exist at module level:
|
||||
# https://pydantic-docs.helpmanual.io/usage/postponed_annotations/
|
||||
mod = sys.modules[__name__]
|
||||
|
||||
accounts = bidict(accounts)
|
||||
Account = mod.Account = enum.Enum('Account', accounts)
|
||||
Account = mod.Account = Enum('Account', accounts)
|
||||
|
||||
size_units = bidict({
|
||||
'$ size': 'currency',
|
||||
'% of port': 'percent_of_port',
|
||||
'# shares': 'shares',
|
||||
'currency': '$ size',
|
||||
'units': '# units',
|
||||
# 'percent_of_port': '% of port', # TODO:
|
||||
})
|
||||
SizeUnit = mod.SizeUnit = enum.Enum(
|
||||
SizeUnit = mod.SizeUnit = Enum(
|
||||
'SizeUnit',
|
||||
size_units.inverse
|
||||
size_units,
|
||||
)
|
||||
|
||||
class Allocator(BaseModel):
|
||||
|
||||
class Config:
|
||||
validate_assignment = True
|
||||
copy_on_model_validation = False
|
||||
extra = 'allow'
|
||||
|
||||
account: Account = None
|
||||
_accounts: dict[str, Optional[str]] = accounts
|
||||
|
||||
@validator('account', pre=True)
|
||||
def set_account(cls, v):
|
||||
if v:
|
||||
return cls._accounts[v]
|
||||
|
||||
size_unit: SizeUnit = 'currency'
|
||||
_size_units: dict[str, Optional[str]] = size_units
|
||||
|
||||
@validator('size_unit')
|
||||
def lookup_key(cls, v):
|
||||
# apply the corresponding enum key for the text "description" value
|
||||
return v.name
|
||||
|
||||
disti_weight: str = 'uniform'
|
||||
|
||||
size: float
|
||||
|
|
@ -108,31 +132,104 @@ def mk_pp_alloc(
|
|||
_position: Position = None
|
||||
_widget: QWidget = None
|
||||
|
||||
def slotted_units(
|
||||
self,
|
||||
symbol: Symbol,
|
||||
size: float,
|
||||
price: float,
|
||||
) -> float:
|
||||
return size / self.slots
|
||||
|
||||
def size_from_currency_limit(
|
||||
self,
|
||||
symbol: Symbol,
|
||||
size: float,
|
||||
price: float,
|
||||
) -> float:
|
||||
return size / self.slots / price
|
||||
|
||||
_sizers = {
|
||||
'currency': size_from_currency_limit,
|
||||
'units': slotted_units,
|
||||
# 'percent_of_port': lambda: 0,
|
||||
}
|
||||
|
||||
def get_order_info(
|
||||
self,
|
||||
|
||||
# TODO: apply the symbol when the chart it is selected
|
||||
symbol: Symbol,
|
||||
price: float,
|
||||
action: str,
|
||||
|
||||
) -> dict:
|
||||
'''Generate order request info for the "next" submittable order
|
||||
depending on position / order entry config.
|
||||
|
||||
# pprint(self._position.info.dict())
|
||||
|
||||
fiat_size = self.size / self.slots
|
||||
'''
|
||||
tracker = self._position
|
||||
pp_size = tracker.live_pp.size
|
||||
ld = symbol.lot_digits()
|
||||
units = round(fiat_size / price, ndigits=ld)
|
||||
|
||||
return {'size': units, 'size_digits': ld}
|
||||
if (
|
||||
action == 'buy' and pp_size > 0 or
|
||||
action == 'sell' and pp_size < 0 or
|
||||
pp_size == 0
|
||||
): # an entry
|
||||
|
||||
def pp_update(self) -> None:
|
||||
# update fill bar and labels
|
||||
...
|
||||
# try to read existing position and compute
|
||||
# next entry/exit size from distribution weight policy
|
||||
# (and possibly TODO: commissions info).
|
||||
entry_size = self._sizers[self.size_unit](
|
||||
self, symbol, self.size, price
|
||||
)
|
||||
|
||||
if ld == 0:
|
||||
# in discrete units case (eg. stocks, futures, opts)
|
||||
# we always round down
|
||||
units = floor(entry_size)
|
||||
else:
|
||||
# we can return a float lot size rounded to nearest tick
|
||||
units = round(entry_size, ndigits=ld)
|
||||
|
||||
return {
|
||||
'size': units,
|
||||
'size_digits': ld
|
||||
}
|
||||
|
||||
elif action != 'alert': # an exit
|
||||
|
||||
pp_size = tracker.startup_pp.size
|
||||
if ld == 0:
|
||||
# exit at the slot size worth of units or the remaining
|
||||
# units left for the position to be net-zero, whichever
|
||||
# is smaller
|
||||
evenly, r = divmod(pp_size, self.slots)
|
||||
exit_size = min(evenly, pp_size)
|
||||
|
||||
# "front" weight the exit order sizes
|
||||
# TODO: make this configurable?
|
||||
if r:
|
||||
exit_size += 1
|
||||
|
||||
else: # we can return a float lot size rounded to nearest tick
|
||||
exit_size = min(
|
||||
round(pp_size / self.slots, ndigits=ld),
|
||||
pp_size
|
||||
)
|
||||
|
||||
return {
|
||||
'size': exit_size,
|
||||
'size_digits': ld
|
||||
}
|
||||
|
||||
else: # likely an alert
|
||||
return {'size': 0}
|
||||
|
||||
return Allocator(
|
||||
account=None,
|
||||
size_unit=size_units.inverse['currency'],
|
||||
size=2000,
|
||||
size_unit=size_units['currency'],
|
||||
size=5e3,
|
||||
slots=4,
|
||||
)
|
||||
|
||||
|
|
@ -144,10 +241,11 @@ class PositionTracker:
|
|||
'''
|
||||
# inputs
|
||||
chart: 'ChartPlotWidget' # noqa
|
||||
alloc: 'Allocator'
|
||||
# alloc: 'Allocator'
|
||||
|
||||
# allocated
|
||||
info: Position
|
||||
startup_pp: Position
|
||||
live_pp: Position
|
||||
pp_label: Label
|
||||
size_label: Label
|
||||
line: Optional[LevelLine] = None
|
||||
|
|
@ -157,15 +255,18 @@ class PositionTracker:
|
|||
def __init__(
|
||||
self,
|
||||
chart: 'ChartPlotWidget', # noqa
|
||||
alloc: 'Allocator', # noqa
|
||||
|
||||
) -> None:
|
||||
|
||||
self.chart = chart
|
||||
self.info = Position(
|
||||
self.alloc = alloc
|
||||
self.live_pp = Position(
|
||||
symbol=chart.linked.symbol,
|
||||
size=0,
|
||||
avg_price=0,
|
||||
)
|
||||
self.startup_pp = self.live_pp.copy()
|
||||
|
||||
view = chart.getViewBox()
|
||||
|
||||
|
|
@ -197,7 +298,7 @@ class PositionTracker:
|
|||
# this is "static" label
|
||||
# update_on_range_change=False,
|
||||
fmt_str='\n'.join((
|
||||
':{entry_size:.{size_digits}f}',
|
||||
':{entry_size:.{size_digits}f}x',
|
||||
)),
|
||||
|
||||
fields={
|
||||
|
|
@ -236,6 +337,13 @@ class PositionTracker:
|
|||
# },
|
||||
# )
|
||||
|
||||
@property
|
||||
def pane(self) -> FieldsForm:
|
||||
'''Return handle to pp side pane form.
|
||||
|
||||
'''
|
||||
return self.chart.linked.godwidget.pp_pane
|
||||
|
||||
def update_graphics(
|
||||
self,
|
||||
marker: LevelMarker
|
||||
|
|
@ -253,15 +361,18 @@ class PositionTracker:
|
|||
def update(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
position: Optional[Position] = None,
|
||||
|
||||
) -> None:
|
||||
'''Update graphics and data from average price and size.
|
||||
|
||||
'''
|
||||
avg_price, size = msg['avg_price'], msg['size']
|
||||
# info updates
|
||||
self.info.avg_price = avg_price
|
||||
self.info.size = size
|
||||
|
||||
# live pp updates
|
||||
pp = position or self.live_pp
|
||||
pp.avg_price = avg_price
|
||||
pp.size = size
|
||||
|
||||
self.update_line(avg_price, size)
|
||||
|
||||
|
|
@ -293,7 +404,7 @@ class PositionTracker:
|
|||
return 0
|
||||
|
||||
def show(self) -> None:
|
||||
if self.info.size:
|
||||
if self.live_pp.size:
|
||||
self.line.show()
|
||||
self._level_marker.show()
|
||||
self.pp_label.show()
|
||||
|
|
@ -433,3 +544,29 @@ class PositionTracker:
|
|||
# remove pp line from view
|
||||
line.delete()
|
||||
self.line = None
|
||||
|
||||
def init_status_ui(
|
||||
self,
|
||||
):
|
||||
pp = self.startup_pp
|
||||
|
||||
# calculate proportion of position size limit
|
||||
# that exists and display in fill bar
|
||||
size = pp.size
|
||||
|
||||
if self.alloc.size_unit == 'currency':
|
||||
size = size * pp.avg_price
|
||||
|
||||
self.update_status_ui(size)
|
||||
|
||||
def update_status_ui(
|
||||
self,
|
||||
size: float,
|
||||
|
||||
) -> None:
|
||||
alloc = self.alloc
|
||||
prop = size / alloc.size
|
||||
slots = alloc.slots
|
||||
|
||||
pane = self.pane
|
||||
pane.fill_bar.set_slots(slots, min(floor(prop * slots), slots))
|
||||
|
|
|
|||
Loading…
Reference in New Issue