Flatten the brokerd-dialog relay loop using `match:`
Tyler Goodlet
parent
46c51b55f7
commit
2309e7ab05
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@ -23,7 +23,11 @@ from dataclasses import dataclass, field
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from math import isnan
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from math import isnan
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from pprint import pformat
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from pprint import pformat
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import time
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import time
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from typing import AsyncIterator, Callable
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from typing import (
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AsyncIterator,
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Any,
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Callable,
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)
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from bidict import bidict
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from bidict import bidict
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import trio
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import trio
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@ -572,98 +576,57 @@ async def translate_and_relay_brokerd_events(
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assert relay.brokerd_dialogue == brokerd_trades_stream
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assert relay.brokerd_dialogue == brokerd_trades_stream
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brokerd_msg: dict[str, Any]
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async for brokerd_msg in brokerd_trades_stream:
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async for brokerd_msg in brokerd_trades_stream:
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name = brokerd_msg['name']
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log.info(
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log.info(
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f'Received broker trade event:\n'
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f'Received broker trade event:\n'
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f'{pformat(brokerd_msg)}'
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f'{pformat(brokerd_msg)}'
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)
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)
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match brokerd_msg:
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if name == 'position':
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# BrokerdPosition
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case {
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'name': 'position',
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'symbol': sym,
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'broker': broker,
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}:
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pos_msg = BrokerdPosition(**brokerd_msg)
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pos_msg = BrokerdPosition(**brokerd_msg)
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# XXX: this will be useful for automatic strats yah?
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# keep pps per account up to date locally in ``emsd`` mem
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# sym, broker = pos_msg.symbol, pos_msg.broker
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# XXX: this will be useful for automatic strats yah?
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relay.positions.setdefault(
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# keep pps per account up to date locally in ``emsd`` mem
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# NOTE: translate to a FQSN!
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sym, broker = pos_msg.symbol, pos_msg.broker
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(broker, sym),
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[]
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).append(pos_msg)
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relay.positions.setdefault(
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# fan-out-relay position msgs immediately by
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# NOTE: translate to a FQSN!
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# broadcasting updates on all client streams
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(broker, sym),
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for client_stream in router.clients.copy():
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[]
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try:
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).append(pos_msg)
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await client_stream.send(pos_msg)
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except(
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# fan-out-relay position msgs immediately by
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trio.ClosedResourceError,
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# broadcasting updates on all client streams
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trio.BrokenResourceError,
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for client_stream in router.clients.copy():
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):
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try:
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router.clients.remove(client_stream)
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await client_stream.send(pos_msg)
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log.warning(
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except(
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f'client for {client_stream} was already closed?')
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trio.ClosedResourceError,
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trio.BrokenResourceError,
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):
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router.clients.remove(client_stream)
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log.warning(
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f'client for {client_stream} was already closed?')
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continue
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# Get the broker (order) request id, this **must** be normalized
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# into messaging provided by the broker backend
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reqid = brokerd_msg['reqid']
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# all piker originated requests will have an ems generated oid field
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oid = brokerd_msg.get(
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'oid',
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book._ems2brokerd_ids.inverse.get(reqid)
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)
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if oid is None:
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# XXX: paper clearing special cases
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# paper engine race case: ``Client.submit_limit()`` hasn't
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# returned yet and provided an output reqid to register
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# locally, so we need to retreive the oid that was already
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# packed at submission since we already know it ahead of
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# time
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paper = brokerd_msg['broker_details'].get('paper_info')
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ext = brokerd_msg['broker_details'].get('external')
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if paper:
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# paperboi keeps the ems id up front
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oid = paper['oid']
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elif ext:
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# may be an order msg specified as "external" to the
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# piker ems flow (i.e. generated by some other
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# external broker backend client (like tws for ib)
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log.error(f"External trade event {ext}")
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continue
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continue
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else:
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# BrokerdOrderAck
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# something is out of order, we don't have an oid for
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case {
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# this broker-side message.
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'name': 'ack',
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log.error(
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'reqid': reqid, # brokerd generated order-request id
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f'Unknown oid: {oid} for msg:\n'
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'oid': oid, # ems order-dialog id
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f'{pformat(brokerd_msg)}\n'
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} if (
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'Unable to relay message to client side!?'
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entry := book._ems_entries.get(oid)
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)
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):
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# initial response to brokerd order request
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else:
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# if name == 'ack':
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# check for existing live flow entry
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entry = book._ems_entries.get(oid)
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old_reqid = entry.reqid
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if old_reqid and old_reqid != reqid:
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log.warning(
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f'Brokerd order id change for {oid}:\n'
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f'{old_reqid} -> {reqid}'
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)
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# initial response to brokerd order request
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if name == 'ack':
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# register the brokerd request id (that was generated
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# register the brokerd request id (that was generated
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# / created internally by the broker backend) with our
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# / created internally by the broker backend) with our
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@ -697,91 +660,136 @@ async def translate_and_relay_brokerd_events(
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# update the flow with the ack msg
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# update the flow with the ack msg
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book._ems_entries[oid] = BrokerdOrderAck(**brokerd_msg)
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book._ems_entries[oid] = BrokerdOrderAck(**brokerd_msg)
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# no msg to client necessary
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continue
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continue
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# a live flow now exists
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# BrokerdOrderError
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oid = entry.oid
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case {
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'name': 'error',
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'oid': oid, # ems order-dialog id
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'reqid': reqid, # brokerd generated order-request id
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'symbol': sym,
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'broker_details': details,
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# 'reason': reason,
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}:
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msg = BrokerdError(**brokerd_msg)
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resp = 'broker_errored'
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log.error(pformat(msg)) # XXX make one when it's blank?
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# TODO: instead this should be our status set.
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# TODO: figure out how this will interact with EMS clients
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# ack, open, fill, closed, cancelled'
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# for ex. on an error do we react with a dark orders
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# management response, like cancelling all dark orders?
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# This looks like a supervision policy for pending orders on
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# some unexpected failure - something we need to think more
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# about. In most default situations, with composed orders
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# (ex. brackets), most brokers seem to use a oca policy.
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resp = None
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broker_details = {}
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if name in (
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# BrokerdStatus
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'error',
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case {
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):
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'name': 'status',
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# TODO: figure out how this will interact with EMS clients
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'status': status,
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# for ex. on an error do we react with a dark orders
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'reqid': reqid, # brokerd generated order-request id
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# management response, like cancelling all dark orders?
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# TODO: feels like the wrong msg for this field?
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'remaining': remaining,
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# This looks like a supervision policy for pending orders on
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} if (
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# some unexpected failure - something we need to think more
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oid := book._ems2brokerd_ids.inverse.get(reqid)
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# about. In most default situations, with composed orders
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):
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# (ex. brackets), most brokers seem to use a oca policy.
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msg = BrokerdStatus(**brokerd_msg)
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msg = BrokerdError(**brokerd_msg)
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# TODO: should we flatten out these cases and/or should
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# they maybe even eventually be separate messages?
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if status == 'cancelled':
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log.info(f'Cancellation for {oid} is complete!')
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# XXX should we make one when it's blank?
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if status == 'filled':
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log.error(pformat(msg))
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# conditional execution is fully complete, no more
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# fills for the noted order
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if not remaining:
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# TODO: getting this bs, prolly need to handle status messages
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resp = 'broker_executed'
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# 'Market data farm connection is OK:usfarm.nj'
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# another stupid ib error to handle
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# be sure to pop this stream from our dialogue set
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# if 10147 in message: cancel
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# since the order dialogue should be done.
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log.info(f'Execution for {oid} is complete!')
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resp = 'broker_errored'
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# just log it
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broker_details = msg
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else:
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log.info(f'{broker} filled {msg}')
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# don't relay message to order requester client
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# continue
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elif name in (
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'status',
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):
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msg = BrokerdStatus(**brokerd_msg)
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if msg.status == 'cancelled':
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log.info(f'Cancellation for {oid} is complete!')
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if msg.status == 'filled':
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# conditional execution is fully complete, no more
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# fills for the noted order
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if not msg.remaining:
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resp = 'broker_executed'
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# be sure to pop this stream from our dialogue set
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# since the order dialogue should be done.
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log.info(f'Execution for {oid} is complete!')
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# just log it
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else:
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else:
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log.info(f'{broker} filled {msg}')
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# one of {submitted, cancelled}
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resp = 'broker_' + msg.status
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else:
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# BrokerdFill
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# one of {submitted, cancelled}
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case {
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resp = 'broker_' + msg.status
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'name': 'fill',
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'reqid': reqid, # brokerd generated order-request id
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# 'symbol': sym, # paper engine doesn't have this, nbd?
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} if (
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oid := book._ems2brokerd_ids.inverse.get(reqid)
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):
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# proxy through the "fill" result(s)
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msg = BrokerdFill(**brokerd_msg)
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resp = 'broker_filled'
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log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
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# pass the BrokerdStatus msg inside the broker details field
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# unknown valid message case?
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broker_details = msg
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case {
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'name': name,
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'symbol': sym,
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'reqid': reqid, # brokerd generated order-request id
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# 'oid': oid, # ems order-dialog id
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'broker_details': details,
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elif name in (
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} if (
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'fill',
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book._ems2brokerd_ids.inverse.get(reqid) is None
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):
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):
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msg = BrokerdFill(**brokerd_msg)
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# TODO: pretty sure we can drop this now?
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# XXX: paper clearing special cases
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# paper engine race case: ``Client.submit_limit()`` hasn't
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# returned yet and provided an output reqid to register
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# locally, so we need to retreive the oid that was already
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# packed at submission since we already know it ahead of
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# time
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paper = details.get('paper_info')
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ext = details.get('external')
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# proxy through the "fill" result(s)
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if paper:
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resp = 'broker_filled'
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# paperboi keeps the ems id up front
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broker_details = msg
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oid = paper['oid']
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log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
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elif ext:
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# may be an order msg specified as "external" to the
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# piker ems flow (i.e. generated by some other
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# external broker backend client (like tws for ib)
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log.error(f"External trade event {name}@{ext}")
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else:
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else:
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raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
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# something is out of order, we don't have an oid for
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# this broker-side message.
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log.error(
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f'Unknown oid: {oid} for msg {name}:\n'
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f'{pformat(brokerd_msg)}\n'
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'Unable to relay message to client side!?'
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)
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continue
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case _:
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raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
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# retrieve existing live flow
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entry = book._ems_entries[oid]
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assert entry.oid == oid
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old_reqid = entry.reqid
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if old_reqid and old_reqid != reqid:
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log.warning(
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f'Brokerd order id change for {oid}:\n'
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f'{old_reqid} -> {reqid}'
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)
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# Create and relay response status message
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# Create and relay response status message
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# to requesting EMS client
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# to requesting EMS client
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@ -793,7 +801,7 @@ async def translate_and_relay_brokerd_events(
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resp=resp,
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resp=resp,
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time_ns=time.time_ns(),
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time_ns=time.time_ns(),
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broker_reqid=reqid,
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broker_reqid=reqid,
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brokerd_msg=broker_details,
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brokerd_msg=msg,
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)
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)
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)
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)
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except KeyError:
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except KeyError:
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Reference in New Issue