Use the ``newuserref`` field on order edits
Why we need so many fields to accomplish passing through a dialog key to orders is beyond me but this is how they do it with edits.. Allows not having to handle `editOrderStatus` msgs to update the dialog key table and instead just do it in the `openOrders` sub by checking the canceled msg for a 'cancel_reason' of 'Order replaced', in which case we just pop the txid and wait for the new order the kraken backend engine will submit automatically, which will now have the correct 'userref' value we passed in via the `newuserref`, and then we add that new `txid` to our table.kraken_userref_hackzin
Tyler Goodlet
parent
227a80469e
commit
1cbf45b4c4
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@ -138,9 +138,13 @@ async def handle_order_requests(
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ep = 'editOrder'
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reqid = ids[order.oid] # integer not txid
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try:
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# txid = reqids2txids.pop(reqid)
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txid = reqids2txids[reqid]
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except KeyError:
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assert 0
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# XXX: not sure if this block ever gets hit now?
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log.error('TOO FAST EDIT')
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reqids2txids[reqid] = TooFastEdit(reqid)
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await ems_order_stream.send(
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BrokerdError(
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@ -155,7 +159,7 @@ async def handle_order_requests(
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else:
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extra = {
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'orderid': txid, # txid
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# 'newuserref': reqid,
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'newuserref': str(reqid),
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}
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else:
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@ -200,15 +204,12 @@ async def handle_order_requests(
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# issue was never there lmao... coorps bro.
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# 'userref': str(reqid),
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'userref': str(reqid),
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'pair': pair,
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'price': str(order.price),
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'volume': str(order.size),
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# only ensures request is valid, nothing more
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# validate: 'true',
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# validate: 'true', # validity check, nothing more
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} | extra
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log.info(f'Submitting WS order request:\n{pformat(req)}')
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await ws.send_msg(req)
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@ -229,9 +230,7 @@ async def handle_order_requests(
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symbol=msg['symbol'],
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reason=(
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'Invalid request msg:\n{msg}'
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),
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)
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))
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)
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@ -253,7 +252,6 @@ async def subscribe(
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'''
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# more specific logic for this in kraken's sync client:
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# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
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assert token
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for sub in subs:
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msg = {
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@ -499,16 +497,9 @@ async def trades_dialogue(
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)
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await ctx.started((ppmsgs, [acc_name]))
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# XXX: not fucking clue but putting this finally block
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# will suppress errors inside the direct await below!?!
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# likely something to do with the exist stack inside
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# the nobsws stuff...
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# try:
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# Get websocket token for authenticated data stream
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# Assert that a token was actually received.
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resp = await client.endpoint('GetWebSocketsToken', {})
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err = resp.get('error')
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if err:
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raise BrokerError(err)
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@ -582,18 +573,37 @@ async def handle_order_updates(
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defined in the signature clear to the reader.
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'''
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async for msg in ws_stream:
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match msg:
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# process and relay clearing trade events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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# TODO: turns out you get the fill events from the
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# `openOrders` before you get this, so it might be better
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# to do all fill/status/pp updates in that sub and just use
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# this one for ledger syncs?
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# XXX: ASK SUPPORT ABOUT THIS!
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# For eg. we could take the "last 50 trades" and do a diff
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# with the ledger and then only do a re-sync if something
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# seems amiss?
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# process and relay clearing trade events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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# format as tid -> trade event map
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# eg. received msg format,
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# [{'TOKWHY-SMTUB-G5DOI6': {
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# 'cost': '95.29047',
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# 'fee': '0.24776',
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# 'margin': '0.00000',
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# 'ordertxid': 'OKSUXM-3OLSB-L7TN72',
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# 'ordertype': 'limit',
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# 'pair': 'XBT/EUR',
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# 'postxid': 'TKH2SE-M7IF5-CFI7LT',
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# 'price': '21268.20000',
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# 'time': '1657990947.640891',
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# 'type': 'buy',
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# 'vol': '0.00448042'
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# }}]
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case [
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trades_msgs,
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'ownTrades',
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@ -603,26 +613,6 @@ async def handle_order_updates(
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f'ownTrades update_{seq}:\n'
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f'{pformat(trades_msgs)}'
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)
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# XXX: a fix / todo
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# see the comment in the caller about weird error
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# suppression around a commented `try:`
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# assert 0
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# format as tid -> trade event map
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# eg. received msg format,
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# [{'TOKWHY-SMTUB-G5DOI6': {
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# 'cost': '95.29047',
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# 'fee': '0.24776',
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# 'margin': '0.00000',
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# 'ordertxid': 'OKSUXM-3OLSB-L7TN72',
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# 'ordertype': 'limit',
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# 'pair': 'XBT/EUR',
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# 'postxid': 'TKH2SE-M7IF5-CFI7LT',
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# 'price': '21268.20000',
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# 'time': '1657990947.640891',
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# 'type': 'buy',
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# 'vol': '0.00448042'
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# }}]
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trades = {
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tid: trade
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for entry in trades_msgs
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@ -665,7 +655,7 @@ async def handle_order_updates(
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)
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await ems_stream.send(fill_msg)
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filled_msg = BrokerdStatus(
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status_msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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@ -687,7 +677,7 @@ async def handle_order_updates(
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg)
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await ems_stream.send(status_msg)
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new_trans = norm_trade_records(trades)
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ppmsgs = trades2pps(
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@ -715,22 +705,31 @@ async def handle_order_updates(
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txid, update_msg = list(order_msg.items())[0]
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match update_msg:
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# we ignore internal order updates triggered by
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# kraken's "edit" endpoint.
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case {
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'cancel_reason': 'Order replaced',
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'status': status,
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'userref': reqid, # XXX: always zero bug XD
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# **rest,
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}:
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# TODO:
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# - put the edit order status update code here.
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# - send open order status msg.
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log.info(
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f'Order {txid}@reqid={reqid} was replaced'
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)
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continue
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# XXX: eg. of full msg schema:
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# {'avg_price': _,
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# 'cost': _,
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# 'descr': {
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# 'close': None,
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# 'leverage': None,
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# 'order': descr,
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# 'ordertype': 'limit',
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# 'pair': 'XMR/EUR',
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# 'price': '74.94000000',
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# 'price2': '0.00000000',
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# 'type': 'buy'
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# },
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# 'expiretm': None,
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# 'fee': '0.00000000',
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# 'limitprice': '0.00000000',
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# 'misc': '',
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# 'oflags': 'fciq',
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# 'opentm': '1656966131.337344',
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# 'refid': None,
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# 'starttm': None,
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# 'stopprice': '0.00000000',
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# 'timeinforce': 'GTC',
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# 'vol': submit_vlm, # '13.34400854',
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# 'vol_exec': exec_vlm} # 0.0000
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case {
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'userref': reqid,
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@ -739,42 +738,7 @@ async def handle_order_updates(
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# actual status updates.. see case above.
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'status': status,
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**rest,
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# XXX: eg. of remaining msg schema:
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# 'avg_price': _,
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# 'cost': _,
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# 'descr': {
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# 'close': None,
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# 'leverage': None,
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# 'order': descr,
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# 'ordertype': 'limit',
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# 'pair': 'XMR/EUR',
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# 'price': '74.94000000',
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# 'price2': '0.00000000',
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# 'type': 'buy'
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# },
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# 'expiretm': None,
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# 'fee': '0.00000000',
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# 'limitprice': '0.00000000',
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# 'misc': '',
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# 'oflags': 'fciq',
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# 'opentm': '1656966131.337344',
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# 'refid': None,
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# 'starttm': None,
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# 'stopprice': '0.00000000',
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# 'timeinforce': 'GTC',
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# 'vol': submit_vlm, # '13.34400854',
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# 'vol_exec': exec_vlm, # 0.0000
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}:
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ems_status = {
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'open': 'submitted',
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'closed': 'filled',
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'canceled': 'cancelled',
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# do we even need to forward
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# this state to the ems?
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'pending': 'pending',
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}[status]
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# TODO: store this in a ChainMap instance
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# per order dialog.
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# submit_vlm = rest.get('vol', 0)
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@ -784,21 +748,39 @@ async def handle_order_updates(
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else:
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vlm = rest.get('vol_exec', 0)
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# XXX: keep kraken engine's ``txid`` synced
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# with the ems dialog's ``reqid``.
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ourreqid = reqids2txids.inverse.get(txid)
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if reqid > 0:
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if status == 'canceled':
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reqids2txids.pop(reqid)
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# we specially ignore internal order
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# updates triggered by kraken's "edit"
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# endpoint.
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if rest['cancel_reason'] == 'Order replaced':
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# TODO:
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# - put the edit order status update
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# code here?
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# - send open order status msg.
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log.info(
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f'Order replaced: {txid}@reqid={reqid}'
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)
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# we don't do normal msg emission on
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# a replacement cancel since it's
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# the result of an "edited order"
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# and thus we mask the kraken
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# backend cancel then create details
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# from the ems side.
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continue
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else:
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# XXX: keep kraken engine's ``txid`` synced
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# with the ems dialog's ``reqid``.
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reqids2txids[reqid] = txid
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ourreqid = reqids2txids.inverse.get(txid)
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if ourreqid is None:
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log.info(
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'Mapping new txid to our reqid:\n'
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f'{reqid} -> {txid}'
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)
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reqids2txids[reqid] = txid
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else:
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# NOTE: if is to hack around edit order not
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# realying userref field
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reqid = ourreqid
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oid = ids.inverse.get(reqid)
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@ -845,7 +827,7 @@ async def handle_order_updates(
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# by not moving the client side line
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# until an edit confirmation
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# arrives...
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log.warning(
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log.cancel(
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f'Received too fast edit {txid}:\n'
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f'{update_msg}\n'
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'Cancelling order for now!..'
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@ -855,7 +837,7 @@ async def handle_order_updates(
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# TODO: handle these and relay them
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# through the EMS to the client / UI
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# side!
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log.warning(
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log.cancel(
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f'Rx unknown active order {txid}:\n'
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f'{update_msg}\n'
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'Cancelling order for now!..'
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@ -871,6 +853,18 @@ async def handle_order_updates(
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})
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continue
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# remap statuses to ems set.
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ems_status = {
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'open': 'submitted',
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'closed': 'filled',
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'canceled': 'cancelled',
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# do we even need to forward
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# this state to the ems?
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'pending': 'pending',
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}[status]
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# TODO: i like the open / closed semantics
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# more we should consider them for internals
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# send BrokerdStatus messages for all
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# order state updates
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resp = BrokerdStatus(
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@ -902,22 +896,22 @@ async def handle_order_updates(
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apiflows[reqid].maps.append(update_msg)
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await ems_stream.send(resp)
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# fill event.
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# there is no `status` field
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# fill msg.
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# eg. contents (in total):
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# {
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# 'vol_exec': '0.84709869',
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# 'cost': '101.25370642',
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# 'fee': '0.26325964',
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# 'avg_price': '119.53000001',
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# 'userref': 0,
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# }
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# NOTE: there is no `status` field
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case {
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'vol_exec': vlm,
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'userref': reqid,
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**rest,
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}:
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# eg. fill msg contents (in total):
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# {
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# 'vol_exec': '0.84709869',
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# 'cost': '101.25370642',
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# 'fee': '0.26325964',
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# 'avg_price': '119.53000001',
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# 'userref': 0,
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# }
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# TODO: emit fill msg from here
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# TODO: emit fill msg from here?
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ourreqid = reqids2txids.inverse[txid]
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assert reqid == ourreqid
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log.info(
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@ -932,18 +926,12 @@ async def handle_order_updates(
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f'{txid}:{order_msg}'
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)
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# TODO: given the 'openOrders' sub , pretty
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# much all the msgs we get for this sub are duplicate
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# of the (incremental) updates in that one though we still
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# need them because that sub seems to have a bug where the
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# `userref` field is always 0 instead of our generated reqid
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# value...
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# SOLVED: pass both a reqid and a userref in the init
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# request msg.
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# NOTE: The only reason for this seems to be remapping
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# underlying `txid` values on order "edits" which the
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# `openOrders` sub doesn't seem to have any knowledge of.
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# UPDATE: seems like we don't need this any more thanks to
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# passing through the dialog key / reqid in the `newuserref`
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# field on edit requests.
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# I'd also like to ask them which event guarantees that the
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# the live order is now in the book, since these status ones
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@ -968,7 +956,6 @@ async def handle_order_updates(
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txid = rest.get('txid')
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lasttxid = reqids2txids.get(reqid)
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print(f'txids: {(txid, lasttxid)}')
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# TODO: relay these to EMS once it supports
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# open order loading.
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@ -980,7 +967,6 @@ async def handle_order_updates(
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)
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continue
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# if reqid is not None:
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# update the msg chain
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chain = apiflows[reqid]
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chain.maps.append(event)
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@ -992,24 +978,30 @@ async def handle_order_updates(
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chain,
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reqids2txids,
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)
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if resps:
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for resp in resps:
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await ems_stream.send(resp)
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if txid or lasttxid:
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if (
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isinstance(lasttxid, TooFastEdit)
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or errored
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):
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# client was editting too quickly
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# so we instead cancel this order
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log.cancel(f'Cancelling order for {reqid}@{txid}')
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid or 0,
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'txid': [txid],
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})
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txid = txid or lasttxid
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if (
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# errored likely on a rate limit or bad input
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errored
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and txid
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# we throttle too-fast-requests on the ems side
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or (txid and isinstance(txid, TooFastEdit))
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):
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# client was editting too quickly
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# so we instead cancel this order
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log.cancel(
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f'Cancelling {reqid}@{txid} due to error:\n {event}')
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid or 0,
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'txid': [txid],
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})
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case _:
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log.warning(f'Unhandled trades update msg: {msg}')
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|
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|
|
@ -1088,7 +1080,7 @@ def process_status(
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# doesn't relay through the ``userref`` value..
|
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# (hopefully kraken will fix this so we don't need this
|
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# line.)
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reqids2txids[reqid] = txid
|
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# reqids2txids[reqid] = txid
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# deliver another ack to update the ems-side `.reqid`.
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return [], False
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|
|
@ -1106,8 +1098,8 @@ def process_status(
|
|||
f'Cancelling order {oid}[requid={reqid}]:\n'
|
||||
f'brokerd reqid: {reqid}\n'
|
||||
)
|
||||
if txid == reqids2txids[reqid]:
|
||||
reqids2txids.pop(reqid)
|
||||
# if txid == reqids2txids[reqid]:
|
||||
# reqids2txids.pop(reqid)
|
||||
|
||||
return [], False
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue