Merge pull request #470 from pikers/decimalization_take_2
Fixed float dust bug on zero positionxdo_and_you
goodboy
GitHub
commit
201f86e482
|
|
@ -70,7 +70,10 @@ from piker.clearing._messages import (
|
|||
BrokerdFill,
|
||||
BrokerdError,
|
||||
)
|
||||
from piker.data._source import Symbol
|
||||
from piker.data._source import (
|
||||
Symbol,
|
||||
float_digits,
|
||||
)
|
||||
from .api import (
|
||||
_accounts2clients,
|
||||
con2fqsn,
|
||||
|
|
@ -304,6 +307,9 @@ async def update_ledger_from_api_trades(
|
|||
|
||||
entry['listingExchange'] = pexch
|
||||
|
||||
# pack in the ``Contract.secType``
|
||||
entry['asset_type'] = condict['secType']
|
||||
|
||||
conf = get_config()
|
||||
entries = api_trades_to_ledger_entries(
|
||||
conf['accounts'].inverse,
|
||||
|
|
@ -616,9 +622,10 @@ async def trades_dialogue(
|
|||
# from the api trades it seems we get a key
|
||||
# error from ``update[bsuid]`` ?
|
||||
pp = table.pps[bsuid]
|
||||
pairinfo = pp.symbol
|
||||
if msg.size != pp.size:
|
||||
log.error(
|
||||
f'Position mismatch {pp.symbol.front_fqsn()}:\n'
|
||||
f'Pos size mismatch {pairinfo.front_fqsn()}:\n'
|
||||
f'ib: {msg.size}\n'
|
||||
f'piker: {pp.size}\n'
|
||||
)
|
||||
|
|
@ -1095,13 +1102,15 @@ def norm_trade_records(
|
|||
|
||||
'''
|
||||
records: list[Transaction] = []
|
||||
for tid, record in ledger.items():
|
||||
|
||||
for tid, record in ledger.items():
|
||||
conid = record.get('conId') or record['conid']
|
||||
comms = record.get('commission')
|
||||
if comms is None:
|
||||
comms = -1*record['ibCommission']
|
||||
|
||||
price = record.get('price') or record['tradePrice']
|
||||
price_tick_digits = float_digits(price)
|
||||
|
||||
# the api doesn't do the -/+ on the quantity for you but flex
|
||||
# records do.. are you fucking serious ib...!?
|
||||
|
|
@ -1144,9 +1153,14 @@ def norm_trade_records(
|
|||
|
||||
# special handling of symbol extraction from
|
||||
# flex records using some ad-hoc schema parsing.
|
||||
instr = record.get('assetCategory')
|
||||
if instr == 'FUT':
|
||||
symbol = record['description'][:3]
|
||||
asset_type: str = record.get('assetCategory') or record['secType']
|
||||
|
||||
# TODO: XXX: WOA this is kinda hacky.. probably
|
||||
# should figure out the correct future pair key more
|
||||
# explicitly and consistently?
|
||||
if asset_type == 'FUT':
|
||||
# (flex) ledger entries don't have any simple 3-char key?
|
||||
symbol = record['symbol'][:3]
|
||||
|
||||
# try to build out piker fqsn from record.
|
||||
expiry = record.get(
|
||||
|
|
@ -1156,10 +1170,34 @@ def norm_trade_records(
|
|||
suffix = f'{exch}.{expiry}'
|
||||
expiry = pendulum.parse(expiry)
|
||||
|
||||
fqsn = Symbol.from_fqsn(
|
||||
src: str = record['currency']
|
||||
|
||||
pair = Symbol.from_fqsn(
|
||||
fqsn=f'{symbol}.{suffix}.ib',
|
||||
info={},
|
||||
).front_fqsn().rstrip('.ib')
|
||||
info={
|
||||
'tick_size_digits': price_tick_digits,
|
||||
|
||||
# NOTE: for "legacy" assets, volume is normally discreet, not
|
||||
# a float, but we keep a digit in case the suitz decide
|
||||
# to get crazy and change it; we'll be kinda ready
|
||||
# schema-wise..
|
||||
'lot_size_digits': 1,
|
||||
|
||||
# TODO: remove when we switching from
|
||||
# ``Symbol`` -> ``MktPair``
|
||||
'asset_type': asset_type,
|
||||
|
||||
# TODO: figure out a target fin-type name
|
||||
# set and normalize to that here!
|
||||
'dst_type': asset_type.lower(),
|
||||
|
||||
# starting to use new key naming as in ``MktPair``
|
||||
# type have drafted...
|
||||
'src': src,
|
||||
'src_type': 'fiat',
|
||||
},
|
||||
)
|
||||
fqsn = pair.front_fqsn().rstrip('.ib')
|
||||
|
||||
# NOTE: for flex records the normal fields for defining an fqsn
|
||||
# sometimes won't be available so we rely on two approaches for
|
||||
|
|
@ -1175,6 +1213,7 @@ def norm_trade_records(
|
|||
records,
|
||||
Transaction(
|
||||
fqsn=fqsn,
|
||||
sym=pair,
|
||||
tid=tid,
|
||||
size=size,
|
||||
price=price,
|
||||
|
|
@ -1201,7 +1240,11 @@ def parse_flex_dt(
|
|||
|
||||
def api_trades_to_ledger_entries(
|
||||
accounts: bidict,
|
||||
trade_entries: list[object],
|
||||
|
||||
# TODO: maybe we should just be passing through the
|
||||
# ``ib_insync.order.Trade`` instance directly here
|
||||
# instead of pre-casting to dicts?
|
||||
trade_entries: list[dict],
|
||||
|
||||
) -> dict:
|
||||
'''
|
||||
|
|
|
|||
|
|
@ -770,7 +770,7 @@ async def stream_quotes(
|
|||
|
||||
syminfo['price_tick_size'] = max(syminfo['minTick'], min_tick)
|
||||
|
||||
# for "traditional" assets, volume is normally discreet, not
|
||||
# for "legacy" assets, volume is normally discreet, not
|
||||
# a float
|
||||
syminfo['lot_tick_size'] = 0.0
|
||||
|
||||
|
|
|
|||
|
|
@ -40,6 +40,8 @@ import base64
|
|||
import trio
|
||||
|
||||
from piker import config
|
||||
from piker.data.types import Struct
|
||||
from piker.data._source import Symbol
|
||||
from piker.brokers._util import (
|
||||
resproc,
|
||||
SymbolNotFound,
|
||||
|
|
@ -113,11 +115,53 @@ class InvalidKey(ValueError):
|
|||
'''
|
||||
|
||||
|
||||
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||
class Pair(Struct):
|
||||
altname: str # alternate pair name
|
||||
wsname: str # WebSocket pair name (if available)
|
||||
aclass_base: str # asset class of base component
|
||||
base: str # asset id of base component
|
||||
aclass_quote: str # asset class of quote component
|
||||
quote: str # asset id of quote component
|
||||
lot: str # volume lot size
|
||||
|
||||
cost_decimals: int
|
||||
costmin: float
|
||||
pair_decimals: int # scaling decimal places for pair
|
||||
lot_decimals: int # scaling decimal places for volume
|
||||
|
||||
# amount to multiply lot volume by to get currency volume
|
||||
lot_multiplier: float
|
||||
|
||||
# array of leverage amounts available when buying
|
||||
leverage_buy: list[int]
|
||||
# array of leverage amounts available when selling
|
||||
leverage_sell: list[int]
|
||||
|
||||
# fee schedule array in [volume, percent fee] tuples
|
||||
fees: list[tuple[int, float]]
|
||||
|
||||
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||
# maker/taker)
|
||||
fees_maker: list[tuple[int, float]]
|
||||
|
||||
fee_volume_currency: str # volume discount currency
|
||||
margin_call: str # margin call level
|
||||
margin_stop: str # stop-out/liquidation margin level
|
||||
ordermin: float # minimum order volume for pair
|
||||
tick_size: float # min price step size
|
||||
status: str
|
||||
|
||||
short_position_limit: float = 0
|
||||
long_position_limit: float = float('inf')
|
||||
|
||||
|
||||
class Client:
|
||||
|
||||
# global symbol normalization table
|
||||
_ntable: dict[str, str] = {}
|
||||
_atable: bidict[str, str] = bidict()
|
||||
_pairs: dict[str, Pair] = {}
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
|
|
@ -133,13 +177,12 @@ class Client:
|
|||
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
|
||||
})
|
||||
self.conf: dict[str, str] = config
|
||||
self._pairs: list[str] = []
|
||||
self._name = name
|
||||
self._api_key = api_key
|
||||
self._secret = secret
|
||||
|
||||
@property
|
||||
def pairs(self) -> dict[str, Any]:
|
||||
def pairs(self) -> dict[str, Pair]:
|
||||
if self._pairs is None:
|
||||
raise RuntimeError(
|
||||
"Make sure to run `cache_symbols()` on startup!"
|
||||
|
|
@ -295,15 +338,28 @@ class Client:
|
|||
|
||||
trans: dict[str, Transaction] = {}
|
||||
for entry in xfers:
|
||||
# look up the normalized name
|
||||
asset = self._atable[entry['asset']].lower()
|
||||
|
||||
# look up the normalized name and asset info
|
||||
asset_key = entry['asset']
|
||||
asset_info = self.assets[asset_key]
|
||||
asset = self._atable[asset_key].lower()
|
||||
|
||||
# XXX: this is in the asset units (likely) so it isn't
|
||||
# quite the same as a commisions cost necessarily..)
|
||||
cost = float(entry['fee'])
|
||||
|
||||
fqsn = asset + '.kraken'
|
||||
pairinfo = Symbol.from_fqsn(
|
||||
fqsn,
|
||||
info={
|
||||
'asset_type': 'crypto',
|
||||
'lot_tick_size': asset_info['decimals'],
|
||||
},
|
||||
)
|
||||
|
||||
tran = Transaction(
|
||||
fqsn=asset + '.kraken',
|
||||
fqsn=fqsn,
|
||||
sym=pairinfo,
|
||||
tid=entry['txid'],
|
||||
dt=pendulum.from_timestamp(entry['time']),
|
||||
bsuid=f'{asset}{src_asset}',
|
||||
|
|
@ -317,7 +373,7 @@ class Client:
|
|||
price='NaN',
|
||||
|
||||
# XXX: see note above
|
||||
cost=0,
|
||||
cost=cost,
|
||||
)
|
||||
trans[tran.tid] = tran
|
||||
|
||||
|
|
@ -372,7 +428,7 @@ class Client:
|
|||
self,
|
||||
pair: Optional[str] = None,
|
||||
|
||||
) -> dict[str, dict[str, str]]:
|
||||
) -> dict[str, Pair] | Pair:
|
||||
|
||||
if pair is not None:
|
||||
pairs = {'pair': pair}
|
||||
|
|
@ -389,19 +445,36 @@ class Client:
|
|||
|
||||
if pair is not None:
|
||||
_, data = next(iter(pairs.items()))
|
||||
return data
|
||||
return Pair(**data)
|
||||
else:
|
||||
return pairs
|
||||
return {key: Pair(**data) for key, data in pairs.items()}
|
||||
|
||||
async def cache_symbols(
|
||||
self,
|
||||
) -> dict:
|
||||
async def cache_symbols(self) -> dict:
|
||||
'''
|
||||
Load all market pair info build and cache it for downstream use.
|
||||
|
||||
A ``._ntable: dict[str, str]`` is available for mapping the
|
||||
websocket pair name-keys and their http endpoint API (smh)
|
||||
equivalents to the "alternative name" which is generally the one
|
||||
we actually want to use XD
|
||||
|
||||
'''
|
||||
if not self._pairs:
|
||||
self._pairs = await self.symbol_info()
|
||||
self._pairs.update(await self.symbol_info())
|
||||
|
||||
ntable = {}
|
||||
for restapikey, info in self._pairs.items():
|
||||
ntable[restapikey] = ntable[info['wsname']] = info['altname']
|
||||
# table of all ws and rest keys to their alt-name values.
|
||||
ntable: dict[str, str] = {}
|
||||
|
||||
for rest_key in list(self._pairs.keys()):
|
||||
|
||||
pair: Pair = self._pairs[rest_key]
|
||||
altname = pair.altname
|
||||
wsname = pair.wsname
|
||||
ntable[rest_key] = ntable[wsname] = altname
|
||||
|
||||
# register the pair under all monikers, a giant flat
|
||||
# surjection of all possible names to each info obj.
|
||||
self._pairs[altname] = self._pairs[wsname] = pair
|
||||
|
||||
self._ntable.update(ntable)
|
||||
|
||||
|
|
@ -411,26 +484,34 @@ class Client:
|
|||
self,
|
||||
pattern: str,
|
||||
limit: int = None,
|
||||
|
||||
) -> dict[str, Any]:
|
||||
if self._pairs is not None:
|
||||
data = self._pairs
|
||||
else:
|
||||
data = await self.symbol_info()
|
||||
'''
|
||||
Search for a symbol by "alt name"..
|
||||
|
||||
It is expected that the ``Client._pairs`` table
|
||||
gets populated before conducting the underlying fuzzy-search
|
||||
over the pair-key set.
|
||||
|
||||
'''
|
||||
if not len(self._pairs):
|
||||
await self.cache_symbols()
|
||||
assert self._pairs, '`Client.cache_symbols()` was never called!?'
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
data,
|
||||
self._pairs,
|
||||
score_cutoff=50,
|
||||
)
|
||||
# repack in dict form
|
||||
return {item[0]['altname']: item[0] for item in matches}
|
||||
return {item[0].altname: item[0] for item in matches}
|
||||
|
||||
async def bars(
|
||||
self,
|
||||
symbol: str = 'XBTUSD',
|
||||
|
||||
# UTC 2017-07-02 12:53:20
|
||||
since: Optional[Union[int, datetime]] = None,
|
||||
since: Union[int, datetime] | None = None,
|
||||
count: int = 720, # <- max allowed per query
|
||||
as_np: bool = True,
|
||||
|
||||
|
|
@ -506,7 +587,7 @@ class Client:
|
|||
def normalize_symbol(
|
||||
cls,
|
||||
ticker: str
|
||||
) -> str:
|
||||
) -> tuple[str, Pair]:
|
||||
'''
|
||||
Normalize symbol names to to a 3x3 pair from the global
|
||||
definition map which we build out from the data retreived from
|
||||
|
|
@ -514,7 +595,7 @@ class Client:
|
|||
|
||||
'''
|
||||
ticker = cls._ntable[ticker]
|
||||
return ticker.lower()
|
||||
return ticker.lower(), cls._pairs[ticker]
|
||||
|
||||
|
||||
@acm
|
||||
|
|
|
|||
|
|
@ -48,6 +48,7 @@ from piker.pp import (
|
|||
open_trade_ledger,
|
||||
open_pps,
|
||||
)
|
||||
from piker.data._source import Symbol
|
||||
from piker.clearing._messages import (
|
||||
Order,
|
||||
Status,
|
||||
|
|
@ -469,13 +470,12 @@ async def trades_dialogue(
|
|||
with (
|
||||
open_pps(
|
||||
'kraken',
|
||||
acctid,
|
||||
write_on_exit=True,
|
||||
acctid
|
||||
) as table,
|
||||
|
||||
open_trade_ledger(
|
||||
'kraken',
|
||||
acctid,
|
||||
acctid
|
||||
) as ledger_dict,
|
||||
):
|
||||
# transaction-ify the ledger entries
|
||||
|
|
@ -1197,10 +1197,21 @@ def norm_trade_records(
|
|||
}[record['type']]
|
||||
|
||||
# we normalize to kraken's `altname` always..
|
||||
bsuid = norm_sym = Client.normalize_symbol(record['pair'])
|
||||
bsuid, pair_info = Client.normalize_symbol(record['pair'])
|
||||
fqsn = f'{bsuid}.kraken'
|
||||
|
||||
mktpair = Symbol.from_fqsn(
|
||||
fqsn,
|
||||
info={
|
||||
'lot_size_digits': pair_info.lot_decimals,
|
||||
'tick_size_digits': pair_info.pair_decimals,
|
||||
'asset_type': 'crypto',
|
||||
},
|
||||
)
|
||||
|
||||
records[tid] = Transaction(
|
||||
fqsn=f'{norm_sym}.kraken',
|
||||
fqsn=fqsn,
|
||||
sym=mktpair,
|
||||
tid=tid,
|
||||
size=size,
|
||||
price=float(record['price']),
|
||||
|
|
|
|||
|
|
@ -42,56 +42,15 @@ from piker.brokers._util import (
|
|||
DataUnavailable,
|
||||
)
|
||||
from piker.log import get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.data.types import Struct
|
||||
from piker.data._web_bs import open_autorecon_ws, NoBsWs
|
||||
from . import log
|
||||
from .api import (
|
||||
Client,
|
||||
Pair,
|
||||
)
|
||||
|
||||
|
||||
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||
class Pair(Struct):
|
||||
altname: str # alternate pair name
|
||||
wsname: str # WebSocket pair name (if available)
|
||||
aclass_base: str # asset class of base component
|
||||
base: str # asset id of base component
|
||||
aclass_quote: str # asset class of quote component
|
||||
quote: str # asset id of quote component
|
||||
lot: str # volume lot size
|
||||
|
||||
cost_decimals: int
|
||||
costmin: float
|
||||
pair_decimals: int # scaling decimal places for pair
|
||||
lot_decimals: int # scaling decimal places for volume
|
||||
|
||||
# amount to multiply lot volume by to get currency volume
|
||||
lot_multiplier: float
|
||||
|
||||
# array of leverage amounts available when buying
|
||||
leverage_buy: list[int]
|
||||
# array of leverage amounts available when selling
|
||||
leverage_sell: list[int]
|
||||
|
||||
# fee schedule array in [volume, percent fee] tuples
|
||||
fees: list[tuple[int, float]]
|
||||
|
||||
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||
# maker/taker)
|
||||
fees_maker: list[tuple[int, float]]
|
||||
|
||||
fee_volume_currency: str # volume discount currency
|
||||
margin_call: str # margin call level
|
||||
margin_stop: str # stop-out/liquidation margin level
|
||||
ordermin: float # minimum order volume for pair
|
||||
tick_size: float # min price step size
|
||||
status: str
|
||||
|
||||
short_position_limit: float
|
||||
long_position_limit: float
|
||||
|
||||
|
||||
class OHLC(Struct):
|
||||
'''
|
||||
Description of the flattened OHLC quote format.
|
||||
|
|
@ -336,17 +295,17 @@ async def stream_quotes(
|
|||
|
||||
# transform to upper since piker style is always lower
|
||||
sym = sym.upper()
|
||||
sym_info = await client.symbol_info(sym)
|
||||
try:
|
||||
si = Pair(**sym_info) # validation
|
||||
except TypeError:
|
||||
fields_diff = set(sym_info) - set(Pair.__struct_fields__)
|
||||
raise TypeError(
|
||||
f'Missing msg fields {fields_diff}'
|
||||
)
|
||||
si: Pair = await client.symbol_info(sym)
|
||||
# try:
|
||||
# si = Pair(**sym_info) # validation
|
||||
# except TypeError:
|
||||
# fields_diff = set(sym_info) - set(Pair.__struct_fields__)
|
||||
# raise TypeError(
|
||||
# f'Missing msg fields {fields_diff}'
|
||||
# )
|
||||
syminfo = si.to_dict()
|
||||
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
|
||||
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
|
||||
syminfo['price_tick_size'] = 1. / 10**si.pair_decimals
|
||||
syminfo['lot_tick_size'] = 1. / 10**si.lot_decimals
|
||||
syminfo['asset_type'] = 'crypto'
|
||||
sym_infos[sym] = syminfo
|
||||
ws_pairs[sym] = si.wsname
|
||||
|
|
|
|||
|
|
@ -38,6 +38,7 @@ import tractor
|
|||
|
||||
from .. import data
|
||||
from ..data.types import Struct
|
||||
from ..data._source import Symbol
|
||||
from ..pp import (
|
||||
Position,
|
||||
Transaction,
|
||||
|
|
@ -81,6 +82,7 @@ class PaperBoi(Struct):
|
|||
_reqids: bidict
|
||||
_positions: dict[str, Position]
|
||||
_trade_ledger: dict[str, Any]
|
||||
_syms: dict[str, Symbol] = {}
|
||||
|
||||
# init edge case L1 spread
|
||||
last_ask: tuple[float, float] = (float('inf'), 0) # price, size
|
||||
|
|
@ -252,6 +254,7 @@ class PaperBoi(Struct):
|
|||
key = fqsn.rstrip(f'.{self.broker}')
|
||||
t = Transaction(
|
||||
fqsn=fqsn,
|
||||
sym=self._syms[fqsn],
|
||||
tid=oid,
|
||||
size=size,
|
||||
price=price,
|
||||
|
|
@ -261,27 +264,29 @@ class PaperBoi(Struct):
|
|||
)
|
||||
|
||||
with (
|
||||
open_trade_ledger(self.broker, 'paper') as ledger,
|
||||
open_pps(self.broker, 'paper', True) as table
|
||||
):
|
||||
ledger.update({oid: t.to_dict()})
|
||||
# Write to pps toml right now
|
||||
table.update_from_trans({oid: t})
|
||||
open_trade_ledger(self.broker, 'paper') as ledger,
|
||||
open_pps(self.broker, 'paper', write_on_exit=True) as table
|
||||
):
|
||||
tx = t.to_dict()
|
||||
tx.pop('sym')
|
||||
ledger.update({oid: tx})
|
||||
# Write to pps toml right now
|
||||
table.update_from_trans({oid: t})
|
||||
|
||||
pp = table.pps[key]
|
||||
pp_msg = BrokerdPosition(
|
||||
broker=self.broker,
|
||||
account='paper',
|
||||
symbol=fqsn,
|
||||
# TODO: we need to look up the asset currency from
|
||||
# broker info. i guess for crypto this can be
|
||||
# inferred from the pair?
|
||||
currency=key,
|
||||
size=pp.size,
|
||||
avg_price=pp.ppu,
|
||||
)
|
||||
pp = table.pps[key]
|
||||
pp_msg = BrokerdPosition(
|
||||
broker=self.broker,
|
||||
account='paper',
|
||||
symbol=fqsn,
|
||||
# TODO: we need to look up the asset currency from
|
||||
# broker info. i guess for crypto this can be
|
||||
# inferred from the pair?
|
||||
currency=key,
|
||||
size=pp.size,
|
||||
avg_price=pp.ppu,
|
||||
)
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
|
|
@ -567,6 +572,10 @@ async def trades_dialogue(
|
|||
|
||||
# TODO: load postions from ledger file
|
||||
_trade_ledger={},
|
||||
_syms={
|
||||
fqsn: flume.symbol
|
||||
for fqsn, flume in feed.flumes.items()
|
||||
}
|
||||
)
|
||||
|
||||
n.start_soon(
|
||||
|
|
|
|||
|
|
@ -237,6 +237,7 @@ def write(
|
|||
config: dict, # toml config as dict
|
||||
name: str = 'brokers',
|
||||
path: str = None,
|
||||
fail_empty: bool = True,
|
||||
**toml_kwargs,
|
||||
|
||||
) -> None:
|
||||
|
|
@ -252,7 +253,7 @@ def write(
|
|||
log.debug(f"Creating config dir {_config_dir}")
|
||||
os.makedirs(dirname)
|
||||
|
||||
if not config:
|
||||
if not config and fail_empty:
|
||||
raise ValueError(
|
||||
"Watch out you're trying to write a blank config!")
|
||||
|
||||
|
|
|
|||
|
|
@ -18,8 +18,11 @@
|
|||
numpy data source coversion helpers.
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from decimal import (
|
||||
Decimal,
|
||||
ROUND_HALF_EVEN,
|
||||
)
|
||||
from typing import Any
|
||||
import decimal
|
||||
|
||||
from bidict import bidict
|
||||
import numpy as np
|
||||
|
|
@ -77,10 +80,14 @@ def mk_fqsn(
|
|||
def float_digits(
|
||||
value: float,
|
||||
) -> int:
|
||||
'''
|
||||
Return the number of precision digits read from a float value.
|
||||
|
||||
'''
|
||||
if value == 0:
|
||||
return 0
|
||||
|
||||
return int(-decimal.Decimal(str(value)).as_tuple().exponent)
|
||||
return int(-Decimal(str(value)).as_tuple().exponent)
|
||||
|
||||
|
||||
def ohlc_zeros(length: int) -> np.ndarray:
|
||||
|
|
@ -127,6 +134,56 @@ def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
|
|||
)
|
||||
|
||||
|
||||
class MktPair(Struct, frozen=True):
|
||||
|
||||
src: str # source asset name being used to buy
|
||||
src_type: str # source asset's financial type/classification name
|
||||
# ^ specifies a "class" of financial instrument
|
||||
# egs. stock, futer, option, bond etc.
|
||||
|
||||
dst: str # destination asset name being bought
|
||||
dst_type: str # destination asset's financial type/classification name
|
||||
|
||||
price_tick: float # minimum price increment value increment
|
||||
price_tick_digits: int # required decimal digits for above
|
||||
|
||||
size_tick: float # minimum size (aka vlm) increment value increment
|
||||
size_tick_digits: int # required decimal digits for above
|
||||
|
||||
venue: str | None = None # market venue provider name
|
||||
expiry: str | None = None # for derivs, expiry datetime parseable str
|
||||
|
||||
# for derivs, info describing contract, egs.
|
||||
# strike price, call or put, swap type, exercise model, etc.
|
||||
contract_info: str | None = None
|
||||
|
||||
@classmethod
|
||||
def from_msg(
|
||||
self,
|
||||
msg: dict[str, Any],
|
||||
|
||||
) -> MktPair:
|
||||
'''
|
||||
Constructor for a received msg-dict normally received over IPC.
|
||||
|
||||
'''
|
||||
...
|
||||
|
||||
# fqa, fqma, .. etc. see issue:
|
||||
# https://github.com/pikers/piker/issues/467
|
||||
@property
|
||||
def fqsn(self) -> str:
|
||||
'''
|
||||
Return the fully qualified market (endpoint) name for the
|
||||
pair of transacting assets.
|
||||
|
||||
'''
|
||||
...
|
||||
|
||||
|
||||
# TODO: rework the below `Symbol` (which was originally inspired and
|
||||
# derived from stuff in quantdom) into a simpler, ipc msg ready, market
|
||||
# endpoint meta-data container type as per the drafted interace above.
|
||||
class Symbol(Struct):
|
||||
'''
|
||||
I guess this is some kinda container thing for dealing with
|
||||
|
|
@ -141,10 +198,6 @@ class Symbol(Struct):
|
|||
suffix: str = ''
|
||||
broker_info: dict[str, dict[str, Any]] = {}
|
||||
|
||||
# specifies a "class" of financial instrument
|
||||
# ex. stock, futer, option, bond etc.
|
||||
|
||||
# @validate_arguments
|
||||
@classmethod
|
||||
def from_broker_info(
|
||||
cls,
|
||||
|
|
@ -156,14 +209,14 @@ class Symbol(Struct):
|
|||
) -> Symbol:
|
||||
|
||||
tick_size = info.get('price_tick_size', 0.01)
|
||||
lot_tick_size = info.get('lot_tick_size', 0.0)
|
||||
lot_size = info.get('lot_tick_size', 0.0)
|
||||
|
||||
return Symbol(
|
||||
key=symbol,
|
||||
tick_size=tick_size,
|
||||
lot_tick_size=lot_tick_size,
|
||||
lot_tick_size=lot_size,
|
||||
tick_size_digits=float_digits(tick_size),
|
||||
lot_size_digits=float_digits(lot_tick_size),
|
||||
lot_size_digits=float_digits(lot_size),
|
||||
suffix=suffix,
|
||||
broker_info={broker: info},
|
||||
)
|
||||
|
|
@ -244,15 +297,21 @@ class Symbol(Struct):
|
|||
fqsn = '.'.join(map(str.lower, tokens))
|
||||
return fqsn
|
||||
|
||||
def iterfqsns(self) -> list[str]:
|
||||
keys = []
|
||||
for broker in self.broker_info.keys():
|
||||
fqsn = mk_fqsn(self.key, broker)
|
||||
if self.suffix:
|
||||
fqsn += f'.{self.suffix}'
|
||||
keys.append(fqsn)
|
||||
def quantize_size(
|
||||
self,
|
||||
size: float,
|
||||
|
||||
return keys
|
||||
) -> Decimal:
|
||||
'''
|
||||
Truncate input ``size: float`` using ``Decimal``
|
||||
and ``.lot_size_digits``.
|
||||
|
||||
'''
|
||||
digits = self.lot_size_digits
|
||||
return Decimal(size).quantize(
|
||||
Decimal(f'1.{"0".ljust(digits, "0")}'),
|
||||
rounding=ROUND_HALF_EVEN
|
||||
)
|
||||
|
||||
|
||||
def _nan_to_closest_num(array: np.ndarray):
|
||||
|
|
|
|||
68
piker/pp.py
68
piker/pp.py
|
|
@ -44,7 +44,7 @@ import toml
|
|||
from . import config
|
||||
from .brokers import get_brokermod
|
||||
from .clearing._messages import BrokerdPosition, Status
|
||||
from .data._source import Symbol
|
||||
from .data._source import Symbol, unpack_fqsn
|
||||
from .log import get_logger
|
||||
from .data.types import Struct
|
||||
|
||||
|
|
@ -82,17 +82,19 @@ def open_trade_ledger(
|
|||
with open(tradesfile, 'rb') as cf:
|
||||
start = time.time()
|
||||
ledger = tomli.load(cf)
|
||||
print(f'Ledger load took {time.time() - start}s')
|
||||
log.info(f'Ledger load took {time.time() - start}s')
|
||||
cpy = ledger.copy()
|
||||
|
||||
try:
|
||||
yield cpy
|
||||
finally:
|
||||
if cpy != ledger:
|
||||
|
||||
# TODO: show diff output?
|
||||
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
|
||||
print(f'Updating ledger for {tradesfile}:\n')
|
||||
log.info(f'Updating ledger for {tradesfile}:\n')
|
||||
ledger.update(cpy)
|
||||
|
||||
# we write on close the mutated ledger data
|
||||
with open(tradesfile, 'w') as cf:
|
||||
toml.dump(ledger, cf)
|
||||
|
|
@ -102,17 +104,18 @@ class Transaction(Struct, frozen=True):
|
|||
# TODO: should this be ``.to`` (see below)?
|
||||
fqsn: str
|
||||
|
||||
sym: Symbol
|
||||
tid: Union[str, int] # unique transaction id
|
||||
size: float
|
||||
price: float
|
||||
cost: float # commisions or other additional costs
|
||||
dt: datetime
|
||||
expiry: Optional[datetime] = None
|
||||
expiry: datetime | None = None
|
||||
|
||||
# optional key normally derived from the broker
|
||||
# backend which ensures the instrument-symbol this record
|
||||
# is for is truly unique.
|
||||
bsuid: Optional[Union[str, int]] = None
|
||||
bsuid: Union[str, int] | None = None
|
||||
|
||||
# optional fqsn for the source "asset"/money symbol?
|
||||
# from: Optional[str] = None
|
||||
|
|
@ -192,6 +195,13 @@ class Position(Struct):
|
|||
s = d.pop('symbol')
|
||||
fqsn = s.front_fqsn()
|
||||
|
||||
broker, key, suffix = unpack_fqsn(fqsn)
|
||||
sym_info = s.broker_info[broker]
|
||||
|
||||
d['asset_type'] = sym_info['asset_type']
|
||||
d['price_tick_size'] = sym_info['price_tick_size']
|
||||
d['lot_tick_size'] = sym_info['lot_tick_size']
|
||||
|
||||
if self.expiry is None:
|
||||
d.pop('expiry', None)
|
||||
elif expiry:
|
||||
|
|
@ -466,7 +476,7 @@ class Position(Struct):
|
|||
if self.split_ratio is not None:
|
||||
size = round(size * self.split_ratio)
|
||||
|
||||
return size
|
||||
return float(self.symbol.quantize_size(size))
|
||||
|
||||
def minimize_clears(
|
||||
self,
|
||||
|
|
@ -510,7 +520,7 @@ class Position(Struct):
|
|||
'cost': t.cost,
|
||||
'price': t.price,
|
||||
'size': t.size,
|
||||
'dt': t.dt,
|
||||
'dt': t.dt
|
||||
}
|
||||
|
||||
# TODO: compute these incrementally instead
|
||||
|
|
@ -557,7 +567,7 @@ class PpTable(Struct):
|
|||
Symbol.from_fqsn(
|
||||
t.fqsn,
|
||||
info={},
|
||||
),
|
||||
) if not t.sym else t.sym,
|
||||
size=0.0,
|
||||
ppu=0.0,
|
||||
bsuid=t.bsuid,
|
||||
|
|
@ -680,11 +690,20 @@ class PpTable(Struct):
|
|||
'''
|
||||
# TODO: show diff output?
|
||||
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
|
||||
print(f'Updating ``pps.toml`` for {path}:\n')
|
||||
|
||||
# active, closed_pp_objs = table.dump_active()
|
||||
pp_entries = self.to_toml()
|
||||
self.conf[self.brokername][self.acctid] = pp_entries
|
||||
if pp_entries:
|
||||
log.info(f'Updating ``pps.toml`` for {path}:\n')
|
||||
log.info(f'Current positions:\n{pp_entries}')
|
||||
self.conf[self.brokername][self.acctid] = pp_entries
|
||||
|
||||
elif (
|
||||
self.brokername in self.conf and
|
||||
self.acctid in self.conf[self.brokername]
|
||||
):
|
||||
del self.conf[self.brokername][self.acctid]
|
||||
if len(self.conf[self.brokername]) == 0:
|
||||
del self.conf[self.brokername]
|
||||
|
||||
# TODO: why tf haven't they already done this for inline
|
||||
# tables smh..
|
||||
|
|
@ -698,6 +717,7 @@ class PpTable(Struct):
|
|||
self.conf,
|
||||
'pps',
|
||||
encoder=enc,
|
||||
fail_empty=False
|
||||
)
|
||||
|
||||
|
||||
|
|
@ -881,7 +901,6 @@ def open_pps(
|
|||
brokername: str,
|
||||
acctid: str,
|
||||
write_on_exit: bool = False,
|
||||
|
||||
) -> Generator[PpTable, None, None]:
|
||||
'''
|
||||
Read out broker-specific position entries from
|
||||
|
|
@ -914,6 +933,21 @@ def open_pps(
|
|||
# and update `PpTable` obj entries.
|
||||
for fqsn, entry in pps.items():
|
||||
bsuid = entry['bsuid']
|
||||
symbol = Symbol.from_fqsn(
|
||||
fqsn,
|
||||
|
||||
# NOTE & TODO: right now we fill in the defaults from
|
||||
# `.data._source.Symbol` but eventually these should always
|
||||
# either be already written to the pos table or provided at
|
||||
# write time to ensure always having these values somewhere
|
||||
# and thus allowing us to get our pos sizing precision
|
||||
# correct!
|
||||
info={
|
||||
'asset_type': entry.get('asset_type', '<unknown>'),
|
||||
'price_tick_size': entry.get('price_tick_size', 0.01),
|
||||
'lot_tick_size': entry.get('lot_tick_size', 0.0),
|
||||
}
|
||||
)
|
||||
|
||||
# convert clears sub-tables (only in this form
|
||||
# for toml re-presentation) back into a master table.
|
||||
|
|
@ -935,8 +969,10 @@ def open_pps(
|
|||
dtstr = clears_table['dt']
|
||||
dt = pendulum.parse(dtstr)
|
||||
clears_table['dt'] = dt
|
||||
|
||||
trans.append(Transaction(
|
||||
fqsn=bsuid,
|
||||
sym=symbol,
|
||||
bsuid=bsuid,
|
||||
tid=tid,
|
||||
size=clears_table['size'],
|
||||
|
|
@ -949,7 +985,11 @@ def open_pps(
|
|||
size = entry['size']
|
||||
|
||||
# TODO: remove but, handle old field name for now
|
||||
ppu = entry.get('ppu', entry.get('be_price', 0))
|
||||
ppu = entry.get(
|
||||
'ppu',
|
||||
entry.get('be_price', 0),
|
||||
)
|
||||
|
||||
split_ratio = entry.get('split_ratio')
|
||||
|
||||
expiry = entry.get('expiry')
|
||||
|
|
@ -957,7 +997,7 @@ def open_pps(
|
|||
expiry = pendulum.parse(expiry)
|
||||
|
||||
pp = pp_objs[bsuid] = Position(
|
||||
Symbol.from_fqsn(fqsn, info={}),
|
||||
symbol,
|
||||
size=size,
|
||||
ppu=ppu,
|
||||
split_ratio=split_ratio,
|
||||
|
|
|
|||
|
|
@ -84,25 +84,20 @@ async def _async_main(
|
|||
case {'name': 'position'}:
|
||||
break
|
||||
|
||||
if (
|
||||
assert_entries
|
||||
or assert_pps
|
||||
or assert_zeroed_pps
|
||||
or assert_msg
|
||||
):
|
||||
_assert(
|
||||
assert_entries,
|
||||
assert_pps,
|
||||
assert_zeroed_pps,
|
||||
pps,
|
||||
last_msg,
|
||||
size,
|
||||
executions,
|
||||
)
|
||||
|
||||
# Teardown piker like a user would
|
||||
raise KeyboardInterrupt
|
||||
|
||||
if assert_entries or assert_pps or assert_zeroed_pps or assert_msg:
|
||||
_assert(
|
||||
assert_entries,
|
||||
assert_pps,
|
||||
assert_zeroed_pps,
|
||||
pps,
|
||||
last_msg,
|
||||
size,
|
||||
executions,
|
||||
)
|
||||
|
||||
|
||||
def _assert(
|
||||
assert_entries,
|
||||
|
|
@ -206,8 +201,6 @@ def test_sell(
|
|||
),
|
||||
)
|
||||
|
||||
|
||||
@pytest.mark.xfail(reason='Due to precision issues, this test will currently fail')
|
||||
def test_multi_sell(
|
||||
open_test_pikerd_and_ems: AsyncContextManager,
|
||||
delete_testing_dir
|
||||
|
|
|
|||
Loading…
Reference in New Issue