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`ib`: move flex utils to new submod

rekt_pps
Tyler Goodlet 2023-03-28 12:03:29 -04:00
parent a336def65f
commit 29a5910b90
2 changed files with 194 additions and 156 deletions
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187
piker/brokers/ib/_flex_reports.py 100644
View File

@ -0,0 +1,187 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
"FLEX" report processing utils.
"""
from bidict import bidict
import pendulum
from pprint import pformat
from typing import Any
from .api import (
get_config,
log,
)
from piker.accounting import (
open_trade_ledger,
)
def parse_flex_dt(
record: str,
) -> pendulum.datetime:
date, ts = record.split(';')
dt = pendulum.parse(date)
ts = f'{ts[:2]}:{ts[2:4]}:{ts[4:]}'
tsdt = pendulum.parse(ts)
return dt.set(hour=tsdt.hour, minute=tsdt.minute, second=tsdt.second)
def flex_records_to_ledger_entries(
accounts: bidict,
trade_entries: list[object],
) -> dict:
'''
Convert flex report entry objects into ``dict`` form, pretty much
straight up without modification except add a `pydatetime` field
from the parsed timestamp.
'''
trades_by_account = {}
for t in trade_entries:
entry = t.__dict__
# XXX: LOL apparently ``toml`` has a bug
# where a section key error will show up in the write
# if you leave a table key as an `int`? So i guess
# cast to strs for all keys..
# oddly for some so-called "BookTrade" entries
# this field seems to be blank, no cuckin clue.
# trade['ibExecID']
tid = str(entry.get('ibExecID') or entry['tradeID'])
# date = str(entry['tradeDate'])
# XXX: is it going to cause problems if a account name
# get's lost? The user should be able to find it based
# on the actual exec history right?
acctid = accounts[str(entry['accountId'])]
# probably a flex record with a wonky non-std timestamp..
dt = entry['pydatetime'] = parse_flex_dt(entry['dateTime'])
entry['datetime'] = str(dt)
if not tid:
# this is likely some kind of internal adjustment
# transaction, likely one of the following:
# - an expiry event that will show a "book trade" indicating
# some adjustment to cash balances: zeroing or itm settle.
# - a manual cash balance position adjustment likely done by
# the user from the accounts window in TWS where they can
# manually set the avg price and size:
# https://api.ibkr.com/lib/cstools/faq/web1/index.html#/tag/DTWS_ADJ_AVG_COST
log.warning(f'Skipping ID-less ledger entry:\n{pformat(entry)}')
continue
trades_by_account.setdefault(
acctid, {}
)[tid] = entry
for acctid in trades_by_account:
trades_by_account[acctid] = dict(sorted(
trades_by_account[acctid].items(),
key=lambda entry: entry[1]['pydatetime'],
))
return trades_by_account
def load_flex_trades(
path: str | None = None,
) -> dict[str, Any]:
from ib_insync import flexreport, util
conf = get_config()
if not path:
# load ``brokers.toml`` and try to get the flex
# token and query id that must be previously defined
# by the user.
token = conf.get('flex_token')
if not token:
raise ValueError(
'You must specify a ``flex_token`` field in your'
'`brokers.toml` in order load your trade log, see our'
'intructions for how to set this up here:\n'
'PUT LINK HERE!'
)
qid = conf['flex_trades_query_id']
# TODO: hack this into our logging
# system like we do with the API client..
util.logToConsole()
# TODO: rewrite the query part of this with async..httpx?
report = flexreport.FlexReport(
token=token,
queryId=qid,
)
else:
# XXX: another project we could potentially look at,
# https://pypi.org/project/ibflex/
report = flexreport.FlexReport(path=path)
trade_entries = report.extract('Trade')
ln = len(trade_entries)
log.info(f'Loaded {ln} trades from flex query')
trades_by_account = flex_records_to_ledger_entries(
conf['accounts'].inverse, # reverse map to user account names
trade_entries,
)
ledger_dict: dict | None = None
for acctid in trades_by_account:
trades_by_id = trades_by_account[acctid]
with open_trade_ledger('ib', acctid) as ledger_dict:
tid_delta = set(trades_by_id) - set(ledger_dict)
log.info(
'New trades detected\n'
f'{pformat(tid_delta)}'
)
if tid_delta:
sorted_delta = dict(sorted(
{tid: trades_by_id[tid] for tid in tid_delta}.items(),
key=lambda entry: entry[1].pop('pydatetime'),
))
ledger_dict.update(sorted_delta)
return ledger_dict
if __name__ == '__main__':
import sys
import os
args = sys.argv
if len(args) > 1:
args = args[1:]
for arg in args:
path = os.path.abspath(arg)
load_flex_trades(path=path)
else:
# expect brokers.toml to have an entry and
# pull from the web service.
load_flex_trades()

163
piker/brokers/ib/broker.py
View File

@ -13,6 +13,7 @@
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
Order and trades endpoints for use with ``piker``'s EMS.
@ -84,6 +85,7 @@ from .api import (
Client,
MethodProxy,
)
from ._flex_reports import parse_flex_dt
def pack_position(
@ -630,7 +632,11 @@ async def trades_dialogue(
# them for the ledger file and update the pptable.
if api_to_ledger_entries:
trade_entries = api_to_ledger_entries.get(acctid)
await tractor.breakpoint()
# TODO: fix this `tractor` BUG!
# https://github.com/goodboy/tractor/issues/354
# await tractor.breakpoint()
if trade_entries:
# write ledger with all new api_trades
# **AFTER** we've updated the `pps.toml`
@ -1283,16 +1289,6 @@ def norm_trade_records(
return {r.tid: r for r in records}
def parse_flex_dt(
record: str,
) -> pendulum.datetime:
date, ts = record.split(';')
dt = pendulum.parse(date)
ts = f'{ts[:2]}:{ts[2:4]}:{ts[4:]}'
tsdt = pendulum.parse(ts)
return dt.set(hour=tsdt.hour, minute=tsdt.minute, second=tsdt.second)
def api_trades_to_ledger_entries(
accounts: bidict[str, str],
@ -1364,148 +1360,3 @@ def api_trades_to_ledger_entries(
))
return trades_by_account
def flex_records_to_ledger_entries(
accounts: bidict,
trade_entries: list[object],
) -> dict:
'''
Convert flex report entry objects into ``dict`` form, pretty much
straight up without modification except add a `pydatetime` field
from the parsed timestamp.
'''
trades_by_account = {}
for t in trade_entries:
entry = t.__dict__
# XXX: LOL apparently ``toml`` has a bug
# where a section key error will show up in the write
# if you leave a table key as an `int`? So i guess
# cast to strs for all keys..
# oddly for some so-called "BookTrade" entries
# this field seems to be blank, no cuckin clue.
# trade['ibExecID']
tid = str(entry.get('ibExecID') or entry['tradeID'])
# date = str(entry['tradeDate'])
# XXX: is it going to cause problems if a account name
# get's lost? The user should be able to find it based
# on the actual exec history right?
acctid = accounts[str(entry['accountId'])]
# probably a flex record with a wonky non-std timestamp..
dt = entry['pydatetime'] = parse_flex_dt(entry['dateTime'])
entry['datetime'] = str(dt)
if not tid:
# this is likely some kind of internal adjustment
# transaction, likely one of the following:
# - an expiry event that will show a "book trade" indicating
# some adjustment to cash balances: zeroing or itm settle.
# - a manual cash balance position adjustment likely done by
# the user from the accounts window in TWS where they can
# manually set the avg price and size:
# https://api.ibkr.com/lib/cstools/faq/web1/index.html#/tag/DTWS_ADJ_AVG_COST
log.warning(f'Skipping ID-less ledger entry:\n{pformat(entry)}')
continue
trades_by_account.setdefault(
acctid, {}
)[tid] = entry
for acctid in trades_by_account:
trades_by_account[acctid] = dict(sorted(
trades_by_account[acctid].items(),
key=lambda entry: entry[1]['pydatetime'],
))
return trades_by_account
def load_flex_trades(
path: Optional[str] = None,
) -> dict[str, Any]:
from ib_insync import flexreport, util
conf = get_config()
if not path:
# load ``brokers.toml`` and try to get the flex
# token and query id that must be previously defined
# by the user.
token = conf.get('flex_token')
if not token:
raise ValueError(
'You must specify a ``flex_token`` field in your'
'`brokers.toml` in order load your trade log, see our'
'intructions for how to set this up here:\n'
'PUT LINK HERE!'
)
qid = conf['flex_trades_query_id']
# TODO: hack this into our logging
# system like we do with the API client..
util.logToConsole()
# TODO: rewrite the query part of this with async..httpx?
report = flexreport.FlexReport(
token=token,
queryId=qid,
)
else:
# XXX: another project we could potentially look at,
# https://pypi.org/project/ibflex/
report = flexreport.FlexReport(path=path)
trade_entries = report.extract('Trade')
ln = len(trade_entries)
log.info(f'Loaded {ln} trades from flex query')
trades_by_account = flex_records_to_ledger_entries(
conf['accounts'].inverse, # reverse map to user account names
trade_entries,
)
ledger_dict: Optional[dict] = None
for acctid in trades_by_account:
trades_by_id = trades_by_account[acctid]
with open_trade_ledger('ib', acctid) as ledger_dict:
tid_delta = set(trades_by_id) - set(ledger_dict)
log.info(
'New trades detected\n'
f'{pformat(tid_delta)}'
)
if tid_delta:
sorted_delta = dict(sorted(
{tid: trades_by_id[tid] for tid in tid_delta}.items(),
key=lambda entry: entry[1].pop('pydatetime'),
))
ledger_dict.update(sorted_delta)
return ledger_dict
if __name__ == '__main__':
import sys
import os
args = sys.argv
if len(args) > 1:
args = args[1:]
for arg in args:
path = os.path.abspath(arg)
load_flex_trades(path=path)
else:
# expect brokers.toml to have an entry and
# pull from the web service.
load_flex_trades()