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Add basic client-side order entry to EMS

basic_orders
Tyler Goodlet 2021-01-11 21:24:14 -05:00
parent f9d4df7378
commit 140f3231e7
1 changed files with 42 additions and 35 deletions
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77
piker/_ems.py
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@ -18,7 +18,7 @@
In suit parlance: "Execution management systems" In suit parlance: "Execution management systems"
""" """
# import time import time
from dataclasses import dataclass, field from dataclasses import dataclass, field
from typing import ( from typing import (
AsyncIterator, Dict, Callable, Tuple, AsyncIterator, Dict, Callable, Tuple,
@ -59,19 +59,20 @@ class OrderBook:
_to_ems: trio.abc.SendChannel = _to_ems _to_ems: trio.abc.SendChannel = _to_ems
_from_order_book: trio.abc.ReceiveChannel = _from_order_book _from_order_book: trio.abc.ReceiveChannel = _from_order_book
def on_fill(self, uuid: str) -> None: # def on_fill(self, uuid: str) -> None:
cmd = self._sent_orders[uuid] # cmd = self._sent_orders[uuid]
log.info(f"Order executed: {cmd}") # log.info(f"Order executed: {cmd}")
self._confirmed_orders[uuid] = cmd # self._confirmed_orders[uuid] = cmd
def alert( def send(
self, self,
uuid: str, uuid: str,
symbol: 'Symbol', symbol: 'Symbol',
price: float price: float,
action: str,
) -> str: ) -> str:
cmd = { cmd = {
'msg': 'alert', 'msg': action,
'price': price, 'price': price,
'symbol': symbol.key, 'symbol': symbol.key,
'brokers': symbol.brokers, 'brokers': symbol.brokers,
@ -80,12 +81,6 @@ class OrderBook:
self._sent_orders[uuid] = cmd self._sent_orders[uuid] = cmd
self._to_ems.send_nowait(cmd) self._to_ems.send_nowait(cmd)
def buy(self, price: float) -> str:
...
def sell(self, price: float) -> str:
...
def cancel(self, uuid: str) -> bool: def cancel(self, uuid: str) -> bool:
"""Cancel an order (or alert) from the EMS. """Cancel an order (or alert) from the EMS.
@ -218,11 +213,10 @@ def get_book() -> _ExecBook:
return _book return _book
async def exec_orders( async def exec_loop(
ctx: tractor.Context, ctx: tractor.Context,
broker: str, broker: str,
symbol: str, symbol: str,
exec_price: float,
task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED, task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
) -> AsyncIterator[dict]: ) -> AsyncIterator[dict]:
@ -239,7 +233,9 @@ async def exec_orders(
book = get_book() book = get_book()
book.lasts[(broker, symbol)] = first_quote[symbol]['last'] book.lasts[(broker, symbol)] = first_quote[symbol]['last']
task_status.started((first_quote, feed)) client = feed.mod.get_client_proxy(feed._brokerd_portal)
task_status.started((first_quote, feed, client))
# shield this field so the remote brokerd does not get cancelled # shield this field so the remote brokerd does not get cancelled
stream = feed.stream stream = feed.stream
@ -275,21 +271,24 @@ async def exec_orders(
# (mocking for eg. a "fill") # (mocking for eg. a "fill")
if pred(price): if pred(price):
cmd['name'] = name resp = {
cmd['index'] = feed.shm._last.value - 1 'msg': 'executed',
# current shm array index 'name': name,
cmd['trigger_price'] = price 'time_ns': time.time_ns(),
cmd['msg'] = 'executed' # current shm array index
'index': feed.shm._last.value - 1,
'exec_price': price,
}
await ctx.send_yield(cmd) await ctx.send_yield(resp)
print( print(
f"GOT ALERT FOR {exec_price} @ \n{tick}\n") f"GOT ALERT FOR {name} @ \n{tick}\n")
print(f'removing pred for {oid}') log.info(f'removing pred for {oid}')
pred, name, cmd = execs.pop(oid) pred, name, cmd = execs.pop(oid)
print(f'execs are {execs}') log.debug(f'execs are {execs}')
# print(f'execs scan took: {time.time() - start}') # print(f'execs scan took: {time.time() - start}')
# feed teardown # feed teardown
@ -335,7 +334,7 @@ async def stream_and_route(ctx, ui_name):
# destroy exec # destroy exec
pred, name, cmd = book.orders[_active_execs[oid]].pop(oid) pred, name, cmd = book.orders[_active_execs[oid]].pop(oid)
# ack-cmdond that order is live # ack-cmd that order is live
await ctx.send_yield({'msg': 'cancelled', 'oid': oid}) await ctx.send_yield({'msg': 'cancelled', 'oid': oid})
continue continue
@ -351,24 +350,26 @@ async def stream_and_route(ctx, ui_name):
if last is None: # spawn new brokerd feed task if last is None: # spawn new brokerd feed task
quote, feed = await n.start( quote, feed, client = await n.start(
exec_orders, exec_loop,
ctx, ctx,
# TODO: eventually support N-brokers
# TODO: eventually support N-brokers?
broker, broker,
sym, sym,
trigger_price, trigger_price,
) )
# TODO: eventually support N-brokers
n.start_soon( n.start_soon(
receive_trade_updates, receive_trade_updates,
ctx, ctx,
# TODO: eventually support N-brokers
feed, feed,
) )
last = book.lasts[(broker, sym)] last = book.lasts[(broker, sym)]
print(f'Known last is {last}') print(f'Known last is {last}')
# Auto-gen scanner predicate: # Auto-gen scanner predicate:
@ -379,6 +380,11 @@ async def stream_and_route(ctx, ui_name):
# the user choose the predicate operator. # the user choose the predicate operator.
pred, name = mk_check(trigger_price, last) pred, name = mk_check(trigger_price, last)
# if the predicate resolves immediately send the
# execution to the broker asap
if pred(last):
# send order
print("ORDER FILLED IMMEDIATELY!?!?!?!")
# create list of executions on first entry # create list of executions on first entry
book.orders.setdefault( book.orders.setdefault(
@ -387,7 +393,7 @@ async def stream_and_route(ctx, ui_name):
# reverse lookup for cancellations # reverse lookup for cancellations
_active_execs[oid] = (broker, sym) _active_execs[oid] = (broker, sym)
# ack-cmdond that order is live # ack-response that order is live here
await ctx.send_yield({ await ctx.send_yield({
'msg': 'active', 'msg': 'active',
'oid': oid 'oid': oid
@ -451,14 +457,15 @@ async def spawn_router_stream_alerts(
elif resp in ('executed',): elif resp in ('executed',):
order_mode.lines.remove_line(uuid=oid) line = order_mode.lines.remove_line(uuid=oid)
print(f'deleting line with oid: {oid}') print(f'deleting line with oid: {oid}')
order_mode.arrows.add( order_mode.arrows.add(
oid, oid,
msg['index'], msg['index'],
msg['price'], msg['price'],
pointing='up' if msg['name'] == 'up' else 'down' pointing='up' if msg['name'] == 'up' else 'down',
color=line.color
) )
# DESKTOP NOTIFICATIONS # DESKTOP NOTIFICATIONS