ib: fully handle `MktPair.src` and `.dst` in ledger loading
In an effort to properly support fiat pairs (aka forex) as well as more generally insert a fully-qualified `MktPair` in for the `Transaction.sys`. Note that there's a bit of special handling for API `Contract`s-as-dict records vs. flex-report-from-xml equivalents.account_tests
Tyler Goodlet
parent
c0929c042a
commit
10ebc855e4
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@ -29,6 +29,7 @@ from bidict import bidict
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import pendulum
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from piker.accounting import (
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Asset,
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dec_digits,
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digits_to_dec,
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Transaction,
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@ -43,10 +44,12 @@ def norm_trade_records(
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) -> dict[str, Transaction]:
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'''
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Normalize a flex report or API retrieved executions
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ledger into our standard record format.
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Normalize (xml) flex-report or (recent) API trade records into
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our ledger format with parsing for `MktPair` and `Asset`
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extraction to fill in the `Transaction.sys: MktPair` field.
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'''
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# select: list[transactions] = []
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records: list[Transaction] = []
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for tid, record in ledger.items():
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@ -64,26 +67,25 @@ def norm_trade_records(
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'SLD': -1,
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}[record['side']]
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exch = record['exchange']
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lexch = record.get('listingExchange')
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symbol: str = record['symbol']
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exch: str = record.get('listingExchange') or record['exchange']
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# NOTE: remove null values since `tomlkit` can't serialize
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# them to file.
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dnc = record.pop('deltaNeutralContract', False)
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if dnc is not None:
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if dnc := record.pop('deltaNeutralContract', None):
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record['deltaNeutralContract'] = dnc
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suffix = lexch or exch
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symbol = record['symbol']
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# likely an opts contract record from a flex report..
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# TODO: no idea how to parse ^ the strike part from flex..
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# (00010000 any, or 00007500 tsla, ..)
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# we probably must do the contract lookup for this?
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if ' ' in symbol or '--' in exch:
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if (
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' ' in symbol
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or '--' in exch
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):
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underlying, _, tail = symbol.partition(' ')
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suffix = exch = 'opt'
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expiry = tail[:6]
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exch: str = 'opt'
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expiry: str = tail[:6]
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# otype = tail[6]
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# strike = tail[7:]
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@ -108,45 +110,107 @@ def norm_trade_records(
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'assetCategory'
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) or record.get('secType', 'STK')
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# TODO: XXX: WOA this is kinda hacky.. probably
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# should figure out the correct future pair key more
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# explicitly and consistently?
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if asset_type == 'FUT':
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# (flex) ledger entries don't have any simple 3-char key?
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symbol = record['symbol'][:3]
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asset_type: str = 'future'
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if (expiry := (
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record.get('lastTradeDateOrContractMonth')
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or record.get('expiry')
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)
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):
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expiry: str = str(expiry).strip(' ')
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# NOTE: we directly use the (simple and usually short)
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# date-string expiry token when packing the `MktPair`
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# since we want the fqme to contain *that* token.
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# It might make sense later to instead parse and then
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# render different output str format(s) for this same
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# purpose depending on asset-type-market down the road.
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# Eg. for derivs we use the short token only for fqme
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# but use the isoformat('T') for transactions and
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# account file position entries?
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# dt_str: str = pendulum.parse(expiry).isoformat('T')
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elif asset_type == 'STK':
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asset_type: str = 'stock'
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# try to build out piker fqme from record.
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expiry = (
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record.get('lastTradeDateOrContractMonth')
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or record.get('expiry')
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# XXX: pretty much all legacy market assets have a fiat
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# currency (denomination) determined by their venue.
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currency: str = record['currency']
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src = Asset(
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name=currency.lower(),
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atype='fiat',
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tx_tick=Decimal('0.01'),
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)
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if expiry:
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expiry = str(expiry).strip(' ')
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suffix = f'{exch}.{expiry}'
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expiry = pendulum.parse(expiry)
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match asset_type:
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case 'FUT':
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# (flex) ledger entries don't have any simple 3-char key?
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# TODO: XXX: WOA this is kinda hacky.. probably
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# should figure out the correct future pair key more
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# explicitly and consistently?
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symbol: str = symbol[:3]
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dst = Asset(
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name=symbol.lower(),
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atype='future',
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tx_tick=Decimal('1'),
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)
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case 'STK':
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dst = Asset(
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name=symbol.lower(),
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atype='stock',
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tx_tick=Decimal('1'),
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)
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case 'CASH':
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if currency not in symbol:
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# likely a dict-casted `Forex` contract which
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# has .symbol as the dst and .currency as the
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# src.
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name: str = symbol.lower()
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else:
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# likely a flex-report record which puts
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# EUR.USD as the symbol field and just USD in
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# the currency field.
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name: str = symbol.lower().replace(f'.{src.name}', '')
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dst = Asset(
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name=name,
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atype='fiat',
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tx_tick=Decimal('0.01'),
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)
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case 'OPT':
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dst = Asset(
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name=symbol.lower(),
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atype='option',
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tx_tick=Decimal('1'),
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)
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# try to build out piker fqme from record.
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# src: str = record['currency']
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price_tick: Decimal = digits_to_dec(dec_digits(price))
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pair = MktPair.from_fqme(
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fqme=f'{symbol}.{suffix}.ib',
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# NOTE: can't serlialize `tomlkit.String` so cast to native
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atype: str = str(dst.atype)
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pair = MktPair(
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bs_mktid=str(conid),
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_atype=str(asset_type), # XXX: can't serlialize `tomlkit.String`
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dst=dst,
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price_tick=price_tick,
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# NOTE: for "legacy" assets, volume is normally discreet, not
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# a float, but we keep a digit in case the suitz decide
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# to get crazy and change it; we'll be kinda ready
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# schema-wise..
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size_tick='1',
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size_tick=Decimal('1'),
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src=src, # XXX: normally always a fiat
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_atype=atype,
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venue=exch,
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expiry=expiry,
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broker='ib',
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_fqme_without_src=(atype != 'fiat'),
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)
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fqme = pair.fqme
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fqme: str = pair.fqme
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# NOTE: for flex records the normal fields for defining an fqme
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# sometimes won't be available so we rely on two approaches for
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@ -158,22 +222,32 @@ def norm_trade_records(
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# should already have entries if the pps are still open, in
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# which case, we can pull the fqme from that table (see
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# `trades_dialogue()` above).
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trans = Transaction(
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fqme=fqme,
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sym=pair,
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tid=tid,
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size=size,
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price=price,
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cost=comms,
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dt=dt,
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expiry=expiry,
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bs_mktid=str(conid),
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)
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insort(
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records,
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Transaction(
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fqme=fqme,
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sym=pair,
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tid=tid,
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size=size,
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price=price,
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cost=comms,
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dt=dt,
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expiry=expiry,
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bs_mktid=str(conid),
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),
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trans,
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key=lambda t: t.dt
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)
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# if (
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# atype == 'fiat'
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# or atype == 'option'
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# ):
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# select.append(trans)
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# if select:
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# breakpoint()
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return {r.tid: r for r in records}
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