Port paper engine to new msgs and run in sub-actor
This makes the paper engine look IPC-wise exactly like any broker-provider backend module and uses the new ``trades_dialogue()`` 2-way streaming endpoint for commanding order requests. This serves as a first step toward truly distributed forward testing since the paper engine can now be run out-of tree from `pikerd` if needed thus demonstrating how real-time clearing signals can be shared between fully distinct services.ems_to_bidir_streaming
Tyler Goodlet
parent
23094d8624
commit
0dabc6ad26
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@ -18,17 +18,28 @@
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Fake trading for forward testing.
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"""
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from contextlib import asynccontextmanager
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from datetime import datetime
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from operator import itemgetter
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import time
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from typing import Tuple, Optional
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from typing import Tuple, Optional, Callable
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import uuid
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from bidict import bidict
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import trio
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import tractor
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from dataclasses import dataclass
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from .. import data
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from ..data._normalize import iterticks
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from ..log import get_logger
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from ._messages import (
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BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdFill,
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)
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log = get_logger(__name__)
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@dataclass
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@ -41,8 +52,8 @@ class PaperBoi:
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"""
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broker: str
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_to_trade_stream: trio.abc.SendChannel
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trade_stream: trio.abc.ReceiveChannel
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ems_trades_stream: tractor.MsgStream
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# map of paper "live" orders which be used
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# to simulate fills based on paper engine settings
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@ -61,20 +72,20 @@ class PaperBoi:
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price: float,
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action: str,
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size: float,
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brid: Optional[str],
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reqid: Optional[str],
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) -> int:
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"""Place an order and return integer request id provided by client.
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"""
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if brid is None:
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is_modify: bool = False
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if reqid is None:
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reqid = str(uuid.uuid4())
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else:
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# order is already existing, this is a modify
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(oid, symbol, action, old_price) = self._reqids[brid]
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(oid, symbol, action, old_price) = self._reqids[reqid]
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assert old_price != price
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reqid = brid
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is_modify = True
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# register order internally
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self._reqids[reqid] = (oid, symbol, action, price)
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@ -90,22 +101,16 @@ class PaperBoi:
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# in the broker trades event processing loop
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'reqid': reqid,
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'status': 'submitted',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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msg = BrokerdStatus(
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status='submitted',
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reqid=reqid,
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broker=self.broker,
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time_ns=time.time_ns(),
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filled=0.0,
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reason='paper_trigger',
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remaining=size,
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)
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await self.ems_trades_stream.send(msg.dict())
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# if we're already a clearing price simulate an immediate fill
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if (
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@ -129,7 +134,7 @@ class PaperBoi:
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# and trigger by the simulated clearing task normally
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# running ``simulate_fills()``.
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if brid is not None:
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if is_modify:
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# remove any existing order for the old price
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orders[symbol].pop((oid, old_price))
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@ -144,7 +149,6 @@ class PaperBoi:
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) -> None:
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# TODO: fake market simulation effects
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# await self._to_trade_stream.send(
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oid, symbol, action, price = self._reqids[reqid]
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if action == 'buy':
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@ -155,21 +159,14 @@ class PaperBoi:
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# TODO: net latency model
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'oid': oid,
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'reqid': reqid,
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'status': 'cancelled',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper': True,
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}),
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})
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msg = BrokerdStatus(
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status='cancelled',
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oid=oid,
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reqid=reqid,
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broker=self.broker,
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time_ns=time.time_ns(),
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)
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await self.ems_trades_stream.send(msg.dict())
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async def fake_fill(
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self,
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@ -191,56 +188,51 @@ class PaperBoi:
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# TODO: net latency model
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await trio.sleep(0.05)
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# the trades stream expects events in the form
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# {'local_trades': (event_name, msg)}
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await self._to_trade_stream.send({
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msg = BrokerdFill(
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'local_trades': ('fill', {
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reqid=reqid,
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time_ns=time.time_ns(),
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'status': 'filled',
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'broker': self.broker,
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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'action': action,
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'size': size,
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'price': price,
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'remaining': 0 if order_complete else remaining,
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# normally filled by real `brokerd` daemon
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'time': time.time_ns(),
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'time_ns': time.time_ns(), # cuz why not
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# fake ids
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'reqid': reqid,
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action=action,
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size=size,
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price=price,
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broker_time=datetime.now().timestamp(),
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broker_details={
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'paper_info': {
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'oid': oid,
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},
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# mocking ib
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'name': self.broker + '_paper',
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},
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)
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await self.ems_trades_stream.send(msg.dict())
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# XXX: fields we might not need to emulate?
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# execution id from broker
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# 'execid': execu.execId,
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# 'cmd': cmd, # original request message?
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}),
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})
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if order_complete:
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'reqid': reqid,
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'status': 'filled',
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'broker': self.broker,
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'filled': size,
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'remaining': 0 if order_complete else remaining,
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msg = BrokerdStatus(
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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reqid=reqid,
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time_ns=time.time_ns(),
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status='filled',
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# broker=self.broker,
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filled=size,
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remaining=0 if order_complete else remaining,
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action=action,
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size=size,
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price=price,
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# broker=self.broker,
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broker_details={
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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'name': self.broker,
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},
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)
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await self.ems_trades_stream.send(msg.dict())
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async def simulate_fills(
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@ -327,3 +319,145 @@ async def simulate_fills(
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else:
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# prices are iterated in sorted order so we're done
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break
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# class MockBrokerdMsgStream:
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# async def MockContext(*args, **kwargs):
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async def handle_order_requests(
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client: PaperBoi,
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ems_order_stream: tractor.MsgStream,
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) -> None:
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# order_request: dict
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async for request_msg in ems_order_stream:
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action = request_msg['action']
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if action in {'buy', 'sell'}:
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# validate
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order = BrokerdOrder(**request_msg)
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# call our client api to submit the order
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reqid = await client.submit_limit(
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oid=order.oid,
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symbol=order.symbol,
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price=order.price,
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action=order.action,
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size=order.size,
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# XXX: by default 0 tells ``ib_insync`` methods that
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# there is no existing order so ask the client to create
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# a new one (which it seems to do by allocating an int
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# counter - collision prone..)
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reqid=order.reqid,
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)
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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).dict()
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)
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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await client.submit_cancel(
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reqid=msg.reqid
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)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@tractor.context
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async def trades_dialogue(
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ctx: tractor.Context,
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broker: str,
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symbol: str,
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loglevel: str = None,
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) -> None:
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async with (
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data.open_feed(
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broker,
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[symbol],
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loglevel=loglevel,
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) as feed,
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):
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# TODO: load paper positions per broker from .toml config file
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# and pass as symbol to position data mapping: ``dict[str, dict]``
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# await ctx.started(all_positions)
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await ctx.started({})
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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client = PaperBoi(
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broker,
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ems_stream,
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_buys={},
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_sells={},
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_reqids={},
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)
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n.start_soon(handle_order_requests, client, ems_stream)
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# paper engine simulator clearing task
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await simulate_fills(feed.stream, client)
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@asynccontextmanager
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async def open_paperboi(
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broker: str,
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symbol: str,
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loglevel: str,
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) -> Callable:
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'''Spawn a paper engine actor and yield through access to
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its context.
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'''
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service_name = f'paperboi.{broker}'
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async with (
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tractor.find_actor(service_name) as portal,
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tractor.open_nursery() as tn,
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):
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# only spawn if no paperboi already is up
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# (we likely don't need more then one proc for basic
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# simulated order clearing)
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if portal is None:
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portal = await tn.start_actor(
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service_name,
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enable_modules=[__name__]
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)
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async with portal.open_context(
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trades_dialogue,
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broker=broker,
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symbol=symbol,
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loglevel=loglevel,
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) as (ctx, first):
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yield ctx, first
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