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Get "dark (order) mode" workin! 

Basically a stop limit mode where the dirty execution-condition deats
are entirely held client side away from the broker. For now, there's
a static order size setting and a 0.5% limit setting relative to the
trigger price. Swap to using 'd' for dump and 'f' for fill - they're
easier for use with ctrl (which is used now to submit orders directly to
broker - ala "live (order) mode"). Still more kinks to work out with too
fast cancelled orders and alerts but we're getting there.
basic_orders
Tyler Goodlet 2021-01-19 16:58:01 -05:00
parent 794665db70
commit 149820b3b0
1 changed files with 59 additions and 30 deletions
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77
piker/_ems.py
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@ -34,6 +34,7 @@ import tractor
from . import data from . import data
from .log import get_logger from .log import get_logger
from .data._source import Symbol from .data._source import Symbol
from .data._normalize import iterticks
log = get_logger(__name__) log = get_logger(__name__)
@ -58,14 +59,14 @@ def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
def check_gt(price: float) -> bool: def check_gt(price: float) -> bool:
return price >= trigger_price return price >= trigger_price
return check_gt, 'down' return check_gt
elif trigger_price <= known_last: elif trigger_price <= known_last:
def check_lt(price: float) -> bool: def check_lt(price: float) -> bool:
return price <= trigger_price return price <= trigger_price
return check_lt, 'up' return check_lt
else: else:
return None, None return None, None
@ -113,6 +114,9 @@ def get_book(broker: str) -> _ExecBook:
return _books.setdefault(broker, _ExecBook(broker)) return _books.setdefault(broker, _ExecBook(broker))
_DEFAULT_SIZE: float = 100.0
@dataclass @dataclass
class PaperBoi: class PaperBoi:
"""Emulates a broker order client providing the same API and """Emulates a broker order client providing the same API and
@ -130,7 +134,7 @@ class PaperBoi:
symbol: str, symbol: str,
price: float, price: float,
action: str, action: str,
size: int = 100, size: int = _DEFAULT_SIZE,
) -> int: ) -> int:
"""Place an order and return integer request id provided by client. """Place an order and return integer request id provided by client.
@ -212,38 +216,51 @@ async def exec_loop(
# start = time.time() # start = time.time()
for sym, quote in quotes.items(): for sym, quote in quotes.items():
execs = book.orders.pop(sym, None) execs = book.orders.get(sym, None)
if execs is None: if execs is None:
continue continue
for tick in quote.get('ticks', ()): for tick in iterticks(
quote,
# dark order price filter(s)
types=('ask', 'bid', 'trade', 'last')
):
price = tick.get('price') price = tick.get('price')
if price < 0: ttype = tick['type']
# lel, fuck you ib # lel, fuck you ib
if price < 0:
log.error(f'!!?!?!VOLUME TICK {tick}!?!?')
continue continue
# update to keep new cmds informed # update to keep new cmds informed
book.lasts[(broker, symbol)] = price book.lasts[(broker, symbol)] = price
for oid, (pred, name, cmd) in tuple(execs.items()): for oid, (pred, tf, cmd, percent_away) in (
tuple(execs.items())
):
if (ttype not in tf) or (not pred(price)):
# majority of iterations will be non-matches # majority of iterations will be non-matches
if not pred(price):
continue continue
submit_price = price + price*percent_away
print(
f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}')
reqid = await client.submit_limit( reqid = await client.submit_limit(
oid=oid, oid=oid,
symbol=sym, symbol=sym,
action=cmd['action'], action=cmd['action'],
price=round(price, 2), price=round(submit_price, 2),
size=1, size=_DEFAULT_SIZE,
) )
# register broker request id to ems id # register broker request id to ems id
book._broker2ems_ids[reqid] = oid book._broker2ems_ids[reqid] = oid
resp = { resp = {
'resp': 'dark_executed', 'resp': 'dark_executed',
'name': name,
'time_ns': time.time_ns(), 'time_ns': time.time_ns(),
'trigger_price': price, 'trigger_price': price,
'broker_reqid': reqid, 'broker_reqid': reqid,
@ -257,7 +274,7 @@ async def exec_loop(
# remove exec-condition from set # remove exec-condition from set
log.info(f'removing pred for {oid}') log.info(f'removing pred for {oid}')
pred, name, cmd = execs.pop(oid) pred, tf, cmd, percent_away = execs.pop(oid)
await ctx.send_yield(resp) await ctx.send_yield(resp)
@ -306,7 +323,7 @@ async def process_broker_trades(
""" """
broker = feed.mod.name broker = feed.mod.name
with trio.fail_after(3): with trio.fail_after(5):
trades_stream = await feed.recv_trades_data() trades_stream = await feed.recv_trades_data()
first = await trades_stream.__anext__() first = await trades_stream.__anext__()
@ -383,7 +400,7 @@ async def _ems_main(
client_actor_name: str, client_actor_name: str,
broker: str, broker: str,
symbol: str, symbol: str,
mode: str = 'live', # ('paper', 'dark', 'live') mode: str = 'dark', # ('paper', 'dark', 'live')
) -> None: ) -> None:
"""EMS (sub)actor entrypoint providing the """EMS (sub)actor entrypoint providing the
execution management (micro)service which conducts broker execution management (micro)service which conducts broker
@ -454,12 +471,15 @@ async def _ems_main(
# check for EMS active exec # check for EMS active exec
else: else:
try:
book.orders[symbol].pop(oid, None) book.orders[symbol].pop(oid, None)
await ctx.send_yield({ await ctx.send_yield({
'resp': 'dark_cancelled', 'resp': 'dark_cancelled',
'oid': oid 'oid': oid
}) })
except KeyError:
log.exception(f'No dark order for {symbol}?')
elif action in ('alert', 'buy', 'sell',): elif action in ('alert', 'buy', 'sell',):
@ -467,6 +487,7 @@ async def _ems_main(
trigger_price = cmd['price'] trigger_price = cmd['price']
brokers = cmd['brokers'] brokers = cmd['brokers']
broker = brokers[0] broker = brokers[0]
mode = cmd.get('exec_mode', mode)
last = book.lasts[(broker, sym)] last = book.lasts[(broker, sym)]
@ -478,7 +499,7 @@ async def _ems_main(
symbol=sym, symbol=sym,
action=action, action=action,
price=round(trigger_price, 2), price=round(trigger_price, 2),
size=1, size=_DEFAULT_SIZE,
) )
book._broker2ems_ids[order_id] = oid book._broker2ems_ids[order_id] = oid
@ -489,12 +510,8 @@ async def _ems_main(
elif mode in ('dark', 'paper') or action in ('alert'): elif mode in ('dark', 'paper') or action in ('alert'):
# if the predicate resolves immediately send the # TODO: if the predicate resolves immediately send the
# execution to the broker asap # execution to the broker asap? Or no?
# if pred(last):
# send order
# IF SEND ORDER RIGHT AWAY CONDITION
# submit order to local EMS # submit order to local EMS
@ -504,12 +521,22 @@ async def _ems_main(
# price received from the feed, instead of being # price received from the feed, instead of being
# like every other shitty tina platform that makes # like every other shitty tina platform that makes
# the user choose the predicate operator. # the user choose the predicate operator.
pred, name = mk_check(trigger_price, last) pred = mk_check(trigger_price, last)
if action == 'buy':
tickfilter = ('ask', 'last', 'trade')
percent_away = 0.005
elif action == 'sell':
tickfilter = ('bid', 'last', 'trade')
percent_away = -0.005
else: # alert
tickfilter = ('trade', 'utrade', 'last')
percent_away = 0
# submit execution/order to EMS scanner loop # submit execution/order to EMS scanner loop
book.orders.setdefault( book.orders.setdefault(
sym, {} sym, {}
)[oid] = (pred, name, cmd) )[oid] = (pred, tickfilter, cmd, percent_away)
# ack-response that order is live here # ack-response that order is live here
await ctx.send_yield({ await ctx.send_yield({
@ -545,6 +572,7 @@ class OrderBook:
symbol: 'Symbol', symbol: 'Symbol',
price: float, price: float,
action: str, action: str,
exec_mode: str,
) -> str: ) -> str:
cmd = { cmd = {
'action': action, 'action': action,
@ -552,6 +580,7 @@ class OrderBook:
'symbol': symbol.key, 'symbol': symbol.key,
'brokers': symbol.brokers, 'brokers': symbol.brokers,
'oid': uuid, 'oid': uuid,
'exec_mode': exec_mode, # dark or live
} }
self._sent_orders[uuid] = cmd self._sent_orders[uuid] = cmd
self._to_ems.send_nowait(cmd) self._to_ems.send_nowait(cmd)
@ -683,7 +712,7 @@ async def open_ems(
# ready for order commands # ready for order commands
book = get_orders() book = get_orders()
with trio.fail_after(3): with trio.fail_after(5):
await book._ready_to_receive.wait() await book._ready_to_receive.wait()
yield book, trades_stream yield book, trades_stream