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