Add functionality and tests for executing mutliple orders
parent
4eb9b68b0e
commit
1397a75d2c
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@ -11,6 +11,7 @@ from typing import (
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Literal,
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)
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from pathlib import Path
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from operator import attrgetter
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import pytest
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import tractor
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@ -60,7 +61,6 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir):
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oid = ""
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test_exec_mode = "live"
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test_account = "paper"
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test_size = 1
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(fqsn, symbol, broker) = get_fqsn("kraken", "xbtusdt")
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brokers = [broker]
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test_pp_account = "piker-paper"
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@ -76,16 +76,19 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir):
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assert_entries: bool = False,
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assert_pps: bool = False,
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assert_zeroed_pps: bool = False,
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assert_precision: bool = False,
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executions: int = 1,
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size: float = 0.01,
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) -> None:
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"""Spawn a paper piper actor, place a trade and assert entries are present
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"""Start piker, place a trade and assert entries are present
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in both trade ledger and pps tomls. Then restart piker and ensure
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that pps from previous trade exists in the ems pps.
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Finally close the position and ensure that the position in pps.toml is closed.
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"""
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nonlocal oid
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book: OrderBook
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nonlocal positions
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book: OrderBook
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msg = ()
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# Set up piker and EMS
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async with (
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open_test_pikerd() as (_, _, _, services),
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@ -99,56 +102,80 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir):
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):
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# Send order to EMS
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if action:
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oid = str(uuid4())
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order = Order(
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exec_mode=test_exec_mode,
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action=action,
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oid=oid,
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account=test_account,
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size=test_size,
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symbol=fqsn,
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price=price,
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brokers=brokers,
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)
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# This is actually a syncronous call to push a message
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# to the async ems clue - hence why we call trio.sleep afterwards
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book.send(order)
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await trio.sleep(2)
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for x in range(executions):
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print(f"Sending {action} order num {x}")
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oid = str(uuid4())
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order = Order(
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exec_mode=test_exec_mode,
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action=action,
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oid=oid,
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account=test_account,
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size=size,
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symbol=fqsn,
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price=price,
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brokers=brokers,
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)
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# This is actually a syncronous call to push a message
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# to the async ems clue - hence why we call trio.sleep afterwards
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book.send(order)
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async for msg in trades_stream:
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msg = await trades_stream.receive()
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try:
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if msg["name"] == "position":
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break
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except (NameError, AttributeError):
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pass
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# Do nothing, message isn't a position
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await trio.sleep(1)
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# Assert entries are made in both ledger and PPS
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if assert_entries or assert_pps or assert_zeroed_pps:
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_assert(assert_entries, assert_pps, assert_zeroed_pps, pps)
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if assert_entries or assert_pps or assert_zeroed_pps or assert_precision:
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_assert(
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assert_entries,
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assert_pps,
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assert_zeroed_pps,
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assert_precision,
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pps,
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msg,
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)
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# Close piker like a user would
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raise KeyboardInterrupt
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def _assert(assert_entries: bool, assert_pps: bool, assert_zerod_pps, pps):
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def _assert(
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assert_entries, assert_pps, assert_zerod_pps, assert_precision, pps, msg
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):
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with (
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open_trade_ledger(broker, test_account) as ledger,
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open_pps(broker, test_pp_account) as table,
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):
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# TODO: Assert between msg and pp, ledger and pp, ledger and message
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# for proper values
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print(f"assertion msg: {msg}")
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# assert that entires are have been written
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if assert_entries:
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cleared_ledger_entry = ledger[oid]
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assert list(ledger.keys())[-1] == oid
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assert cleared_ledger_entry["size"] == test_size
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assert cleared_ledger_entry["fqsn"] == fqsn
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latest_ledger_entry = ledger[oid]
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latest_position = pps[(broker, test_account)][-1]
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pp_price = table.conf[broker][test_pp_account][fqsn]["ppu"]
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# assert most
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assert list(ledger.keys())[-1] == oid
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assert latest_ledger_entry["size"] == test_size
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assert latest_ledger_entry["fqsn"] == fqsn
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# Ensure the price-per-unit (breakeven) price is close to our clearing price
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assert math.isclose(pp_price, cleared_ledger_entry["size"], rel_tol=1)
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assert math.isclose(pp_price, latest_ledger_entry["size"], rel_tol=1)
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assert table.brokername == broker
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assert table.acctid == test_pp_account
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# assert that the last pps price is the same as the ledger price
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if assert_pps:
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assert (
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pps[(broker, test_account)][-1]["avg_price"] == ledger[oid]["price"]
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)
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latest_ledger_entry = ledger[oid]
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latest_position = pps[(broker, test_account)][-1]
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assert latest_position["avg_price"] == latest_ledger_entry["price"]
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if assert_zerod_pps:
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# assert that positions are present
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assert not bool(table)
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assert not bool(table.pps)
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# Close position and assert empty position in pps
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def _run_test_and_check(exception, fn):
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@ -156,61 +183,45 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir):
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trio.run(fn)
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for exception in exc_info.value.exceptions:
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assert isinstance(exception, KeyboardInterrupt) or isinstance(
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exception, ContextCancelled
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assert (
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isinstance(exception, KeyboardInterrupt)
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or isinstance(exception, ContextCancelled)
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or isinstance(exception, KeyError)
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)
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# Setablend and execute a trade and assert trade
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# Enter a trade and assert entries are made in pps and ledger files
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_run_test_and_check(
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BaseExceptionGroup,
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partial(_async_main, action="buy", assert_entries=True),
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)
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# Open ems and assert existence of pps entries
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_run_test_and_check(
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BaseExceptionGroup,
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partial(_async_main, assert_pps=True),
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)
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# Sell position
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_run_test_and_check(
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BaseExceptionGroup,
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partial(_async_main, action="sell", price=1),
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)
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# Ensure pps are zeroed
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_run_test_and_check(
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BaseExceptionGroup,
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partial(_async_main, assert_zeroed_pps=True),
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)
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# Make 5 market limit buy orders
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_run_test_and_check(
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BaseExceptionGroup, partial(_async_main, action="buy", executions=5)
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)
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# Sell 5 slots at the same price, assert cleared positions
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_run_test_and_check(
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BaseExceptionGroup,
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partial(
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_async_main, action="sell", price=1
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_async_main, action="sell", executions=5, price=1, assert_zeroed_pps=True
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),
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)
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_run_test_and_check(
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BaseExceptionGroup,
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partial(
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_async_main, assert_zeroed_pps=True
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),
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)
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# def test_paper_client(open_test_pikerd: AsyncContextManager):
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# async def _async_main(
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# open_pikerd: AsyncContextManager,
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# ):
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# (fqsn, symbol, broker) = get_fqsn("kraken", "xbtusdt")
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# async with (
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# open_pikerd() as (_, _, _, services),
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# open_ems(fqsn, mode="paper") as (
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# book,
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# trades_stream,
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# pps,
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# accounts,
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# dialogs,
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# ),
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# ):
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# # async with open_cached_client(broker) as client:
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# # symbol_info = await client.symbol_info()
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# # print(f'client: {symbol_info['XBTUSDT']}')
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# with (open_pps(broker, "piker-paper") as table,):
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# print(f"table: {table}")
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#
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# trio.run(
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# partial(
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# _async_main,
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# open_pikerd=open_test_pikerd,
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# ),
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# )
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