minor changes, prepare for rebase of overlays branch

paper_trade_improvements_rebase
algorandpa 2023-02-09 14:53:57 -05:00 committed by jaredgoldman
parent cc608dfee7
commit 2580259ebe
5 changed files with 169 additions and 9 deletions

View File

@ -100,7 +100,7 @@ class Order(Struct):
price: float
size: float # -ve is "sell", +ve is "buy"
brokers: Optional[list[str]] = []
brokers: list[str] = []
class Cancel(Struct):

View File

@ -330,6 +330,7 @@ async def simulate_fills(
# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
# this stream may eventually contain multiple symbols
async for quotes in quote_stream:
for sym, quote in quotes.items():
for tick in iterticks(
@ -424,8 +425,8 @@ async def simulate_fills(
case _:
continue
# iterate all potentially clearable book prices
# in FIFO order per side.
# iterate alcl potentially clearable book prices
# in FIFO order per side.c
for order_info, pred in iter_entries:
(our_price, size, reqid, action) = order_info
@ -438,6 +439,8 @@ async def simulate_fills(
'sell': sells
}[action].inverse.pop(order_info)
log.warning(f'order_info: {order_info}')
# clearing price would have filled entirely
await client.fake_fill(
fqsn=sym,
@ -553,6 +556,7 @@ async def trades_dialogue(
) as feed,
):
with open_pps(broker, 'paper-id') as table:
# save pps in local state
_positions.update(table.pps)
@ -589,7 +593,6 @@ async def trades_dialogue(
_reqids=_reqids,
# TODO: load paper positions from ``positions.toml``
_positions=_positions,
# TODO: load postions from ledger file
@ -628,7 +631,6 @@ async def open_paperboi(
# (we likely don't need more then one proc for basic
# simulated order clearing)
if portal is None:
log.info('Starting new paper-engine actor')
portal = await tn.start_actor(
service_name,
enable_modules=[__name__]

3
pytest.ini 100644
View File

@ -0,0 +1,3 @@
[pytest]
trio_mode=True
log_cli=1

143
tests/test_paper.py 100644
View File

@ -0,0 +1,143 @@
from datetime import datetime
import time
import trio
import pytest
import tractor
import math
from piker.log import get_logger
from piker.clearing._messages import (
Order
)
from typing import AsyncContextManager
from piker.pp import (
Position,
Transaction,
open_trade_ledger,
open_pps
)
from piker._daemon import (
find_service,
check_for_service,
Services,
)
from piker.data import (
open_feed,
)
from piker.clearing import (
open_ems,
)
from piker.clearing._messages import (
BrokerdPosition,
Status,
)
from piker.clearing._client import (
OrderBook,
)
log = get_logger(__name__)
def test_paper_trade(
open_test_pikerd: AsyncContextManager
):
async def main():
# type declares
book: OrderBook
trades_stream: tractor.MsgStream
pps: dict[str, list[BrokerdPosition]]
accounts: list[str]
dialogs: dict[str, Status]
async with (
open_test_pikerd() as (_, _, _, services),
open_ems(
'xbtusdt.kraken',
mode='paper',
) as (
book,
trades_stream,
pps,
accounts,
dialogs,
),
):
test_exec_mode='live'
test_action = 'buy'
test_oid = '560beac8-b1b1-4dee-bd1e-6604a704c9ea'
test_account = 'paper'
test_size = 1
test_price = 30000
test_broker = 'kraken'
test_brokers = [test_broker]
test_symbol = 'xbtusdt'
test_fqsn = f'{test_symbol}.{test_broker}'
test_pp_account = 'piker-paper'
order = Order(
exec_mode=test_exec_mode,
action=test_action,
oid=test_oid,
account=test_account,
size=test_size,
symbol=test_fqsn,
price=test_price,
brokers=test_brokers
)
book.send(order)
await trio.sleep(1)
cleared_ledger_entry = {}
# check if trades have been updated in in ledge and pp
with open_trade_ledger(test_broker, test_account) as ledger:
log.warning(f'ledger: {ledger}')
cleared_ledger_entry = ledger[test_oid]
assert list(ledger.keys())[0] == test_oid
assert cleared_ledger_entry['size'] == test_size
assert cleared_ledger_entry['fqsn'] == test_fqsn
with open_pps(test_broker, test_pp_account) as table:
# save pps in local state
assert table.brokername == test_broker
assert table.acctid == test_pp_account
# assert cleared_ledger_entry['price'] == table.conf.clears[0].price
pp_price = table.conf[test_broker][test_pp_account][test_fqsn]["ppu"]
assert math.isclose(pp_price, cleared_ledger_entry['size'], rel_tol=1)
raise KeyboardInterrupt
with pytest.raises(
trio.MultiError
) as exc_info:
trio.run(main)
def test_trades_persist(
open_test_pikerd: AsyncContextManager
):
async def main():
async with (
open_test_pikerd() as (_, _, _, services),
open_ems(
'xbtusdt.kraken',
mode='paper',
) as (
book,
trades_stream,
pps,
accounts,
dialogs,
),
):
print(f'pps: {pps}')
trio.run(main)

View File

@ -9,6 +9,13 @@ import pytest
import trio
import tractor
from datetime import datetime
import time
from piker.log import get_logger
from piker.clearing._messages import (
BrokerdFill
)
from piker._daemon import (
find_service,
Services,
@ -27,6 +34,8 @@ from piker.clearing._client import (
OrderBook,
)
log = get_logger(__name__)
def test_runtime_boot(
open_test_pikerd: AsyncContextManager
@ -174,5 +183,8 @@ def test_ensure_ems_in_paper_actors(
) as exc_info:
trio.run(main)
cancel_msg: str = '`_emsd_main()` was remotely cancelled by its caller'
cancel_msg: str = '_emsd_main was remotely cancelled by its caller'
assert cancel_msg in exc_info.value.args[0]