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Solve the short pps issue with nice `abs()`

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Tyler Goodlet 2021-08-26 15:08:29 -04:00
parent 5103204853
commit 1ab23dcba3
1 changed files with 42 additions and 25 deletions
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67
piker/ui/_position.py
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@ -115,12 +115,15 @@ class Allocator(BaseModel):
def step_sizes( def step_sizes(
self, self,
) -> dict[str, float]: ) -> (float, float):
'''Return the units size for each unit type as a tuple.
'''
slots = self.slots slots = self.slots
return { return (
'units': self.units_limit / slots, self.units_limit / slots,
'currency': self.currency_limit / slots, self.currency_limit / slots,
} )
def limit(self) -> float: def limit(self) -> float:
if self.size_unit == 'currency': if self.size_unit == 'currency':
@ -144,41 +147,49 @@ class Allocator(BaseModel):
sym = self.symbol sym = self.symbol
ld = sym.lot_size_digits ld = sym.lot_size_digits
live_size = live_pp.size live_size = abs(live_pp.size)
startup_size = startup_pp.size startup_size = abs(startup_pp.size)
steps = self.step_sizes() u_per_slot, currency_per_slot = self.step_sizes()
if self.size_unit == 'units': if self.size_unit == 'units':
# step_size = self.units_limit / self.slots enter_step = u_per_slot
step_size = steps['units']
l_sub_pp = self.units_limit - live_size l_sub_pp = self.units_limit - live_size
elif self.size_unit == 'currency': elif self.size_unit == 'currency':
startup_size = startup_pp.size * startup_pp.avg_price / price live_cost_basis = live_size * live_pp.avg_price
# step_size = self.currency_limit / self.slots / price enter_step = currency_per_slot / price
step_size = steps['currency'] / price l_sub_pp = (self.currency_limit - live_cost_basis) / price
l_sub_pp = (
self.currency_limit - live_size * live_pp.avg_price
) / price
# an entry (adding-to or starting a pp)
if ( if (
action == 'buy' and startup_size > 0 or action == 'buy' and startup_size > 0 or
action == 'sell' and startup_size < 0 or action == 'sell' and startup_size < 0 or
live_size == 0 live_size == 0
): # an entry ):
units_size = min(step_size, l_sub_pp) order_size = min(enter_step, l_sub_pp)
# an exit (removing-from or going to net-zero pp)
else: else:
# exit at the slot size worth of units or the remaining # always exit "at least" a unit-limit slot's worth of units
# since higher-level per-slot-calcs can result in
# non-uniform exit sizes per price, port alloc, etc.
exit_step = max(
startup_size / self.slots,
enter_step,
)
# exit at a slot size's worth of units or the remaining
# units left for the position to be net-zero, whichever # units left for the position to be net-zero, whichever
# is smaller # is smaller
units_size = min(step_size, live_size) order_size = min(
exit_step,
live_size,
)
units = round(units_size, ndigits=ld)
return { return {
'size': units, 'size': round(order_size, ndigits=ld),
'size_digits': ld 'size_digits': ld
} }
@ -265,7 +276,10 @@ class OrderModePane:
# account(s), if none then look to user config for default? # account(s), if none then look to user config for default?
self.update_status_ui() self.update_status_ui()
step_size = alloc.step_sizes()[size_unit] step_size, currency_per_slot = alloc.step_sizes()
if size_unit == 'currency':
step_size = currency_per_slot
self.step_label.format( self.step_label.format(
step_size=str(humanize(step_size)) + suffix step_size=str(humanize(step_size)) + suffix
@ -348,14 +362,17 @@ class OrderModePane:
alloc = self.alloc alloc = self.alloc
live_pp = self.tracker.live_pp live_pp = self.tracker.live_pp
live_pp_size = abs(live_pp.size)
slots = alloc.slots slots = alloc.slots
if alloc.size_unit == 'currency': if alloc.size_unit == 'currency':
live_currency_size = size or (live_pp.size * live_pp.avg_price) live_currency_size = size or (
live_pp_size * live_pp.avg_price
)
prop = live_currency_size / alloc.currency_limit prop = live_currency_size / alloc.currency_limit
else: else:
prop = (size or live_pp.size) / alloc.units_limit prop = (size or live_pp_size) / alloc.units_limit
# calculate proportion of position size limit # calculate proportion of position size limit
# that exists and display in fill bar # that exists and display in fill bar