Use `MktPair` building `Position` objects in `PpTable.update_from_trans()`
parent
7a8e615fa6
commit
17b976eb88
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@ -47,7 +47,7 @@ from ._mktinfo import (
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Symbol,
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Symbol,
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MktPair,
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MktPair,
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Asset,
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Asset,
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unpack_fqsn,
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unpack_fqme,
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)
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)
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from .. import config
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from .. import config
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from ..brokers import get_brokermod
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from ..brokers import get_brokermod
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@ -117,7 +117,7 @@ class Position(Struct):
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s = d.pop('symbol')
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s = d.pop('symbol')
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fqsn = s.fqme
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fqsn = s.fqme
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broker, key, suffix = unpack_fqsn(fqsn)
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broker, key, suffix = unpack_fqme(fqsn)
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if isinstance(s, Symbol):
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if isinstance(s, Symbol):
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sym_info = s.broker_info[broker]
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sym_info = s.broker_info[broker]
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@ -510,18 +510,29 @@ class PpTable(Struct):
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key=lambda t: t.dt,
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key=lambda t: t.dt,
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reverse=True,
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reverse=True,
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):
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):
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fqme = t.fqme
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bs_mktid = t.bs_mktid
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# template the mkt-info presuming a legacy market ticks
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# if no info exists in the transactions..
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mkt = t.sys
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if not mkt:
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mkt = MktPair.from_fqme(
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fqme,
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price_tick='0.01',
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size_tick='0.0',
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bs_mktid=bs_mktid,
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)
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pp = pps.setdefault(
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pp = pps.setdefault(
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t.bs_mktid,
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bs_mktid,
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# if no existing pp, allocate fresh one.
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# if no existing pp, allocate fresh one.
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Position(
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Position(
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Symbol.from_fqsn(
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mkt,
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t.fqsn,
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info={},
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) if not t.sym else t.sym,
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size=0.0,
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size=0.0,
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ppu=0.0,
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ppu=0.0,
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bs_mktid=t.bs_mktid,
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bs_mktid=bs_mktid,
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expiry=t.expiry,
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expiry=t.expiry,
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)
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)
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)
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)
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