Use `datetime` sorting on clears table appends
In order to avoid issues with reloading ledger and API trades after an existing `pps.toml` exists we have to make sure we not only avoid duplicate entries but also avoid re-adding entries that would have been removed during a prior call to the `Position.minimize_clears()` filter. The easiest way to do this is to sort on timestamps and avoid adding any record that pre-existed the last net-zero position ledger event that `.minimize_clears()` discarded. In order to implement this it means parsing config file clears table's timestamps into datetime objects for inequality checks and we add a `Position.first_clear_dt` attr for storing this value when managing pps in object form but never store it in the config (since it should be obviously from the sorted clear event table).doin_the_splits
parent
7bec989eed
commit
0cf4e07b84
44
piker/pp.py
44
piker/pp.py
|
@ -141,6 +141,7 @@ class Position(Struct):
|
|||
Union[str, int, Status], # trade id
|
||||
dict[str, Any], # transaction history summaries
|
||||
] = {}
|
||||
first_clear_dt: Optional[datetime] = None
|
||||
|
||||
expiry: Optional[datetime] = None
|
||||
|
||||
|
@ -164,6 +165,9 @@ class Position(Struct):
|
|||
if self.split_ratio is None:
|
||||
d.pop('split_ratio')
|
||||
|
||||
# should be obvious from clears/event table
|
||||
d.pop('first_clear_dt')
|
||||
|
||||
# TODO: we need to figure out how to have one top level
|
||||
# listing venue here even when the backend isn't providing
|
||||
# it via the trades ledger..
|
||||
|
@ -189,7 +193,8 @@ class Position(Struct):
|
|||
):
|
||||
inline_table = toml.TomlDecoder().get_empty_inline_table()
|
||||
|
||||
inline_table['dt'] = data['dt']
|
||||
# serialize datetime to parsable `str`
|
||||
inline_table['dt'] = str(data['dt'])
|
||||
|
||||
# insert optional clear fields in column order
|
||||
for k in ['ppu', 'accum_size']:
|
||||
|
@ -236,6 +241,10 @@ class Position(Struct):
|
|||
)
|
||||
ppu = cppu
|
||||
|
||||
self.first_clear_dt = min(
|
||||
list(entry['dt'] for entry in self.clears.values())
|
||||
)
|
||||
|
||||
return size, ppu
|
||||
|
||||
def update_from_msg(
|
||||
|
@ -449,15 +458,16 @@ class Position(Struct):
|
|||
'cost': t.cost,
|
||||
'price': t.price,
|
||||
'size': t.size,
|
||||
'dt': str(t.dt),
|
||||
'dt': t.dt,
|
||||
}
|
||||
|
||||
# TODO: compute these incrementally instead
|
||||
# of re-looping through each time resulting in O(n**2)
|
||||
# behaviour..
|
||||
# compute these **after** adding the entry
|
||||
# in order to make the recurrence relation math work
|
||||
# inside ``.calc_size()``.
|
||||
# behaviour..?
|
||||
|
||||
# NOTE: we compute these **after** adding the entry in order to
|
||||
# make the recurrence relation math work inside
|
||||
# ``.calc_size()``.
|
||||
self.size = clear['accum_size'] = self.calc_size()
|
||||
self.ppu = clear['ppu'] = self.calc_ppu()
|
||||
|
||||
|
@ -499,10 +509,16 @@ class PpTable(Struct):
|
|||
expiry=t.expiry,
|
||||
)
|
||||
)
|
||||
clears = pp.clears
|
||||
if clears:
|
||||
first_clear_dt = pp.first_clear_dt
|
||||
|
||||
# don't do updates for ledger records we already have
|
||||
# included in the current pps state.
|
||||
if t.tid in pp.clears:
|
||||
if (
|
||||
t.tid in clears
|
||||
or first_clear_dt and t.dt < first_clear_dt
|
||||
):
|
||||
# NOTE: likely you'll see repeats of the same
|
||||
# ``Transaction`` passed in here if/when you are restarting
|
||||
# a ``brokerd.ib`` where the API will re-report trades from
|
||||
|
@ -850,17 +866,21 @@ def open_pps(
|
|||
# index clears entries in "object" form by tid in a top
|
||||
# level dict instead of a list (as is presented in our
|
||||
# ``pps.toml``).
|
||||
pp = pp_objs.get(bsuid)
|
||||
if pp:
|
||||
clears = pp.clears
|
||||
else:
|
||||
clears = {}
|
||||
clears = pp_objs.setdefault(bsuid, {})
|
||||
|
||||
# TODO: should be make a ``Struct`` for clear/event entries?
|
||||
# convert "clear events table" from the toml config (list of
|
||||
# a dicts) and load it into object form for use in position
|
||||
# processing of new clear events.
|
||||
for clears_table in clears_list:
|
||||
tid = clears_table.pop('tid')
|
||||
dtstr = clears_table['dt']
|
||||
dt = pendulum.parse(dtstr)
|
||||
clears_table['dt'] = dt
|
||||
clears[tid] = clears_table
|
||||
|
||||
size = entry['size']
|
||||
|
||||
# TODO: remove but, handle old field name for now
|
||||
ppu = entry.get('ppu', entry.get('be_price', 0))
|
||||
split_ratio = entry.get('split_ratio')
|
||||
|
|
Loading…
Reference in New Issue