Fix #222 multi-symbol paper engine support
Tyler Goodlet
parent
ae71168216
commit
2766fad719
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@ -31,6 +31,7 @@ from ..log import get_logger
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from ._ems import _emsd_main
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from .._daemon import maybe_open_emsd
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from ._messages import Order, Cancel
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from ..brokers import get_brokermod
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log = get_logger(__name__)
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@ -203,14 +204,21 @@ async def open_ems(
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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mode: str = 'live'
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async with maybe_open_emsd(broker) as portal:
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mod = get_brokermod(broker)
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if not getattr(mod, 'trades_dialogue', None):
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mode = 'paper'
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async with (
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# connect to emsd
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portal.open_context(
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_emsd_main,
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fqsn=fqsn,
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exec_mode=mode,
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) as (ctx, (positions, accounts)),
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@ -331,12 +331,11 @@ class Router(Struct):
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@asynccontextmanager
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async def maybe_open_brokerd_trades_dialogue(
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self,
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feed: Feed,
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symbol: str,
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dark_book: _DarkBook,
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_exec_mode: str,
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exec_mode: str,
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loglevel: str,
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) -> tuple[dict, tractor.MsgStream]:
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@ -346,14 +345,23 @@ class Router(Struct):
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'''
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relay = self.relays.get(feed.mod.name)
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if relay is None:
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if (
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relay is None
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# We always want to spawn a new relay for the paper engine
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# per symbol since we need a new tractor context to be
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# opened for every every symbol such that a new data feed
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# and ``PaperBoi`` client will be created and then used to
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# simulate clearing events.
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or exec_mode == 'paper'
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):
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relay = await self.nursery.start(
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open_brokerd_trades_dialogue,
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self,
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feed,
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symbol,
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_exec_mode,
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exec_mode,
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loglevel,
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)
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@ -380,7 +388,7 @@ async def open_brokerd_trades_dialogue(
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router: Router,
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feed: Feed,
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symbol: str,
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_exec_mode: str,
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exec_mode: str,
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loglevel: str,
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task_status: TaskStatus[TradesRelay] = trio.TASK_STATUS_IGNORED,
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@ -404,20 +412,20 @@ async def open_brokerd_trades_dialogue(
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# when the data feed closes it may result in a half-closed
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# channel that the brokerd side thinks is still open somehow!?
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async with maybe_spawn_brokerd(
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broker,
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loglevel=loglevel,
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) as portal:
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if trades_endpoint is None or _exec_mode == 'paper':
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if (
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trades_endpoint is None
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or exec_mode == 'paper'
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):
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running a
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# paper-simulator clearing engine.
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# so we load bidir stream to a new sub-actor running
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# a paper-simulator clearing engine.
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# load the paper trading engine
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_exec_mode = 'paper'
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exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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# load the paper trading engine as a subactor of this emsd
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@ -1009,8 +1017,8 @@ async def _emsd_main(
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ctx: tractor.Context,
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fqsn: str,
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exec_mode: str, # ('paper', 'live')
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_exec_mode: str = 'dark', # ('paper', 'dark', 'live')
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loglevel: str = 'info',
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) -> None:
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@ -1086,7 +1094,7 @@ async def _emsd_main(
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feed,
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symbol,
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dark_book,
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_exec_mode,
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exec_mode,
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loglevel,
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) as relay,
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@ -268,7 +268,7 @@ class PaperBoi:
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tid=oid,
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size=size,
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price=price,
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cost=1., # todo cost model
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cost=0, # TODO: cost model
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dt=pendulum.from_timestamp(fill_time_s),
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bsuid=symbol,
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)
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@ -466,7 +466,6 @@ async def trades_dialogue(
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tractor.log.get_console_log(loglevel)
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async with (
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data.open_feed(
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[fqsn],
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loglevel=loglevel,
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@ -482,7 +481,6 @@ async def trades_dialogue(
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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client = PaperBoi(
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broker,
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ems_stream,
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@ -498,7 +496,11 @@ async def trades_dialogue(
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_trade_ledger={},
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)
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n.start_soon(handle_order_requests, client, ems_stream)
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n.start_soon(
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handle_order_requests,
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client,
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ems_stream,
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)
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# paper engine simulator clearing task
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await simulate_fills(feed.stream, client)
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@ -526,16 +528,17 @@ async def open_paperboi(
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# (we likely don't need more then one proc for basic
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# simulated order clearing)
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if portal is None:
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log.info('Starting new paper-engine actor')
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portal = await tn.start_actor(
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service_name,
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enable_modules=[__name__]
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)
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async with portal.open_context(
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trades_dialogue,
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broker=broker,
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fqsn=fqsn,
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loglevel=loglevel,
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trades_dialogue,
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broker=broker,
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fqsn=fqsn,
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loglevel=loglevel,
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) as (ctx, first):
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yield ctx, first
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