`ib`: only process ledger-txs once per client
Previous we were re-processing all ledgers for every position msg received from the API, per client.. Instead do that once in a first pass and drop all key-miss lookups for `bs_mktid`s; it should never happen. Better typing for in-routine vars, convert pos msg/objects to `dict` prior to logging so it's sane to read on console. Skip processing specifically option contracts for now.rekt_pps
Tyler Goodlet
parent
978c59f5f0
commit
29ad20bc63
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@ -38,6 +38,7 @@ from trio_typing import TaskStatus
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import tractor
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from ib_insync.contract import (
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Contract,
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Option,
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)
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from ib_insync.order import (
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Trade,
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@ -88,14 +89,17 @@ from .api import (
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def pack_position(
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pos: IbPosition
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) -> dict[str, Any]:
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) -> tuple[
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str,
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dict[str, Any]
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]:
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con = pos.contract
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fqsn, calc_price = con2fqsn(con)
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# TODO: options contracts into a sane format..
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return (
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con.conId,
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str(con.conId),
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BrokerdPosition(
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broker='ib',
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account=pos.account,
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@ -383,20 +387,19 @@ async def update_and_audit_msgs(
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# raise ValueError(
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log.error(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {ibppmsg}\n'
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f'piker: {msg}\n'
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f'reverse_split_ratio: {reverse_split_ratio}\n'
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f'split_ratio: {split_ratio}\n\n'
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'FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?\n\n'
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'If you are expecting a (reverse) split in this '
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'instrument you should probably put the following '
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'instrument you should probably put the following\n\n'
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f'in the `pps.toml` section:\n{entry}'
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f'IB:\nm{ibppmsg.to_dict()}\n\n'
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f'PIKER:\n{msg.to_dict()}\n\n'
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# f'reverse_split_ratio: {reverse_split_ratio}\n'
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# f'split_ratio: {split_ratio}\n\n'
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)
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msg.size = ibsize
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if ibppmsg.avg_price != msg.avg_price:
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# TODO: make this a "propoganda" log level?
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# TODO: make this a "propaganda" log level?
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log.warning(
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'The mega-cucks at IB want you to believe with their '
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f'"FIFO" positioning for {msg.symbol}:\n'
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@ -425,10 +428,10 @@ async def update_and_audit_msgs(
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if validate and p.size:
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# raise ValueError(
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log.error(
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f'UNEXPECTED POSITION says ib:\n'
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f'piker: {msg}\n'
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f'UNEXPECTED POSITION says IB:\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?\n'
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'THEY LIQUIDATED YOU OR YOUR MISSING LEDGER RECORDS!?'
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'THEY LIQUIDATED YOU OR YOUR MISSING LEDGER RECORDS!?\n'
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f'PIKER:\n{msg.to_dict()}\n'
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)
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msgs.append(msg)
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@ -611,6 +614,8 @@ async def trades_dialogue(
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# api clients which report trades for **this session**.
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trades = await proxy.trades()
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if trades:
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trans_by_acct: dict[str, Transaction]
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api_to_ledger_entries: dict[str, dict]
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(
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trans_by_acct,
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api_to_ledger_entries,
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@ -637,17 +642,30 @@ async def trades_dialogue(
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if trans:
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table.update_from_trans(trans)
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trans = norm_trade_records(ledger)
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table.update_from_trans(trans)
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# process pp value reported from ib's system. we only
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# use these to cross-check sizing since average pricing
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# on their end uses the so called (bs) "FIFO" style
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# which more or less results in a price that's not
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# useful for traders who want to not lose money.. xb
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for pos in client.positions():
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# collect all ib-pp reported positions so that we can be
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# -> collect all ib-pp reported positions so that we can be
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# sure know which positions to update from the ledger if
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# any are missing from the ``pps.toml``
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bs_mktid, msg = pack_position(pos)
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pos: IbPosition # named tuple actually
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for pos in client.positions():
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# NOTE XXX: we skip options for now since we don't
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# yet support the symbology nor the live feeds.
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if isinstance(pos.contract, Option):
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log.warning(
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f'Option contracts not supported for now:\n'
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f'{pos._asdict()}'
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)
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continue
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bs_mktid, msg = pack_position(pos)
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acctid = msg.account = accounts_def.inverse[msg.account]
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acctid = acctid.strip('ib.')
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cids2pps[(acctid, bs_mktid)] = msg
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@ -663,29 +681,6 @@ async def trades_dialogue(
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not pp
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or pp.size != msg.size
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):
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trans = norm_trade_records(ledger)
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table.update_from_trans(trans)
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# XXX: not sure exactly why it wouldn't be in
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# the updated output (maybe this is a bug?) but
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# if you create a pos from TWS and then load it
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# from the api trades it seems we get a key
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# error from ``update[bs_mktid]`` ?
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pp = table.pps.get(bs_mktid)
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if not pp:
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log.error(
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f'The contract id for {msg} may have '
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f'changed to {bs_mktid}\nYou may need to '
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'adjust your ledger for this, skipping '
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'for now.'
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)
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continue
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# XXX: not sure exactly why it wouldn't be in
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# the updated output (maybe this is a bug?) but
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# if you create a pos from TWS and then load it
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# from the api trades it seems we get a key
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# error from ``update[bs_mktid]`` ?
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pp = table.pps[bs_mktid]
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pairinfo = pp.symbol
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if msg.size != pp.size:
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