Add basic client-side order entry to EMS
Tyler Goodlet
parent
f9d4df7378
commit
140f3231e7
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@ -18,7 +18,7 @@
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In suit parlance: "Execution management systems"
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"""
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# import time
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import time
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from dataclasses import dataclass, field
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from typing import (
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AsyncIterator, Dict, Callable, Tuple,
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@ -59,19 +59,20 @@ class OrderBook:
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_to_ems: trio.abc.SendChannel = _to_ems
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_from_order_book: trio.abc.ReceiveChannel = _from_order_book
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def on_fill(self, uuid: str) -> None:
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cmd = self._sent_orders[uuid]
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log.info(f"Order executed: {cmd}")
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self._confirmed_orders[uuid] = cmd
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# def on_fill(self, uuid: str) -> None:
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# cmd = self._sent_orders[uuid]
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# log.info(f"Order executed: {cmd}")
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# self._confirmed_orders[uuid] = cmd
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def alert(
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def send(
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self,
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uuid: str,
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symbol: 'Symbol',
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price: float
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price: float,
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action: str,
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) -> str:
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cmd = {
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'msg': 'alert',
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'msg': action,
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'price': price,
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'symbol': symbol.key,
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'brokers': symbol.brokers,
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@ -80,12 +81,6 @@ class OrderBook:
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self._sent_orders[uuid] = cmd
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self._to_ems.send_nowait(cmd)
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def buy(self, price: float) -> str:
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...
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def sell(self, price: float) -> str:
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...
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def cancel(self, uuid: str) -> bool:
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"""Cancel an order (or alert) from the EMS.
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@ -218,11 +213,10 @@ def get_book() -> _ExecBook:
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return _book
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async def exec_orders(
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async def exec_loop(
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ctx: tractor.Context,
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broker: str,
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symbol: str,
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exec_price: float,
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task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
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) -> AsyncIterator[dict]:
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@ -239,7 +233,9 @@ async def exec_orders(
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book = get_book()
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book.lasts[(broker, symbol)] = first_quote[symbol]['last']
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task_status.started((first_quote, feed))
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client = feed.mod.get_client_proxy(feed._brokerd_portal)
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task_status.started((first_quote, feed, client))
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# shield this field so the remote brokerd does not get cancelled
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stream = feed.stream
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@ -275,21 +271,24 @@ async def exec_orders(
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# (mocking for eg. a "fill")
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if pred(price):
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cmd['name'] = name
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cmd['index'] = feed.shm._last.value - 1
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# current shm array index
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cmd['trigger_price'] = price
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cmd['msg'] = 'executed'
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resp = {
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'msg': 'executed',
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'name': name,
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'time_ns': time.time_ns(),
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# current shm array index
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'index': feed.shm._last.value - 1,
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'exec_price': price,
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}
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await ctx.send_yield(cmd)
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await ctx.send_yield(resp)
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print(
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f"GOT ALERT FOR {exec_price} @ \n{tick}\n")
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f"GOT ALERT FOR {name} @ \n{tick}\n")
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print(f'removing pred for {oid}')
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log.info(f'removing pred for {oid}')
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pred, name, cmd = execs.pop(oid)
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print(f'execs are {execs}')
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log.debug(f'execs are {execs}')
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# print(f'execs scan took: {time.time() - start}')
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# feed teardown
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@ -335,7 +334,7 @@ async def stream_and_route(ctx, ui_name):
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# destroy exec
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pred, name, cmd = book.orders[_active_execs[oid]].pop(oid)
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# ack-cmdond that order is live
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# ack-cmd that order is live
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await ctx.send_yield({'msg': 'cancelled', 'oid': oid})
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continue
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@ -351,24 +350,26 @@ async def stream_and_route(ctx, ui_name):
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if last is None: # spawn new brokerd feed task
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quote, feed = await n.start(
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exec_orders,
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quote, feed, client = await n.start(
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exec_loop,
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ctx,
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# TODO: eventually support N-brokers
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# TODO: eventually support N-brokers?
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broker,
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sym,
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trigger_price,
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)
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# TODO: eventually support N-brokers
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n.start_soon(
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receive_trade_updates,
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ctx,
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# TODO: eventually support N-brokers
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feed,
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)
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last = book.lasts[(broker, sym)]
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print(f'Known last is {last}')
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# Auto-gen scanner predicate:
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@ -379,6 +380,11 @@ async def stream_and_route(ctx, ui_name):
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# the user choose the predicate operator.
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pred, name = mk_check(trigger_price, last)
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# if the predicate resolves immediately send the
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# execution to the broker asap
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if pred(last):
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# send order
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print("ORDER FILLED IMMEDIATELY!?!?!?!")
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# create list of executions on first entry
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book.orders.setdefault(
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@ -387,7 +393,7 @@ async def stream_and_route(ctx, ui_name):
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# reverse lookup for cancellations
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_active_execs[oid] = (broker, sym)
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# ack-cmdond that order is live
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# ack-response that order is live here
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await ctx.send_yield({
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'msg': 'active',
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'oid': oid
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@ -451,14 +457,15 @@ async def spawn_router_stream_alerts(
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elif resp in ('executed',):
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order_mode.lines.remove_line(uuid=oid)
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line = order_mode.lines.remove_line(uuid=oid)
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print(f'deleting line with oid: {oid}')
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order_mode.arrows.add(
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oid,
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msg['index'],
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msg['price'],
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pointing='up' if msg['name'] == 'up' else 'down'
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pointing='up' if msg['name'] == 'up' else 'down',
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color=line.color
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)
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# DESKTOP NOTIFICATIONS
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