`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 2023-03-27 14:14:39 -04:00
parent 978c59f5f0
commit 29ad20bc63
1 changed files with 34 additions and 39 deletions

View File

@ -38,6 +38,7 @@ from trio_typing import TaskStatus
import tractor
from ib_insync.contract import (
Contract,
Option,
)
from ib_insync.order import (
Trade,
@ -88,14 +89,17 @@ from .api import (
def pack_position(
pos: IbPosition
) -> dict[str, Any]:
) -> tuple[
str,
dict[str, Any]
]:
con = pos.contract
fqsn, calc_price = con2fqsn(con)
# TODO: options contracts into a sane format..
return (
con.conId,
str(con.conId),
BrokerdPosition(
broker='ib',
account=pos.account,
@ -383,20 +387,19 @@ async def update_and_audit_msgs(
# raise ValueError(
log.error(
f'POSITION MISMATCH ib <-> piker ledger:\n'
f'ib: {ibppmsg}\n'
f'piker: {msg}\n'
f'reverse_split_ratio: {reverse_split_ratio}\n'
f'split_ratio: {split_ratio}\n\n'
'FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?\n\n'
'If you are expecting a (reverse) split in this '
'instrument you should probably put the following '
'instrument you should probably put the following\n\n'
f'in the `pps.toml` section:\n{entry}'
f'IB:\nm{ibppmsg.to_dict()}\n\n'
f'PIKER:\n{msg.to_dict()}\n\n'
# f'reverse_split_ratio: {reverse_split_ratio}\n'
# f'split_ratio: {split_ratio}\n\n'
)
msg.size = ibsize
if ibppmsg.avg_price != msg.avg_price:
# TODO: make this a "propoganda" log level?
# TODO: make this a "propaganda" log level?
log.warning(
'The mega-cucks at IB want you to believe with their '
f'"FIFO" positioning for {msg.symbol}:\n'
@ -425,10 +428,10 @@ async def update_and_audit_msgs(
if validate and p.size:
# raise ValueError(
log.error(
f'UNEXPECTED POSITION says ib:\n'
f'piker: {msg}\n'
f'UNEXPECTED POSITION says IB:\n'
'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?\n'
'THEY LIQUIDATED YOU OR YOUR MISSING LEDGER RECORDS!?'
'THEY LIQUIDATED YOU OR YOUR MISSING LEDGER RECORDS!?\n'
f'PIKER:\n{msg.to_dict()}\n'
)
msgs.append(msg)
@ -611,6 +614,8 @@ async def trades_dialogue(
# api clients which report trades for **this session**.
trades = await proxy.trades()
if trades:
trans_by_acct: dict[str, Transaction]
api_to_ledger_entries: dict[str, dict]
(
trans_by_acct,
api_to_ledger_entries,
@ -637,17 +642,30 @@ async def trades_dialogue(
if trans:
table.update_from_trans(trans)
trans = norm_trade_records(ledger)
table.update_from_trans(trans)
# process pp value reported from ib's system. we only
# use these to cross-check sizing since average pricing
# on their end uses the so called (bs) "FIFO" style
# which more or less results in a price that's not
# useful for traders who want to not lose money.. xb
# -> collect all ib-pp reported positions so that we can be
# sure know which positions to update from the ledger if
# any are missing from the ``pps.toml``
pos: IbPosition # named tuple actually
for pos in client.positions():
# collect all ib-pp reported positions so that we can be
# sure know which positions to update from the ledger if
# any are missing from the ``pps.toml``
bs_mktid, msg = pack_position(pos)
# NOTE XXX: we skip options for now since we don't
# yet support the symbology nor the live feeds.
if isinstance(pos.contract, Option):
log.warning(
f'Option contracts not supported for now:\n'
f'{pos._asdict()}'
)
continue
bs_mktid, msg = pack_position(pos)
acctid = msg.account = accounts_def.inverse[msg.account]
acctid = acctid.strip('ib.')
cids2pps[(acctid, bs_mktid)] = msg
@ -663,29 +681,6 @@ async def trades_dialogue(
not pp
or pp.size != msg.size
):
trans = norm_trade_records(ledger)
table.update_from_trans(trans)
# XXX: not sure exactly why it wouldn't be in
# the updated output (maybe this is a bug?) but
# if you create a pos from TWS and then load it
# from the api trades it seems we get a key
# error from ``update[bs_mktid]`` ?
pp = table.pps.get(bs_mktid)
if not pp:
log.error(
f'The contract id for {msg} may have '
f'changed to {bs_mktid}\nYou may need to '
'adjust your ledger for this, skipping '
'for now.'
)
continue
# XXX: not sure exactly why it wouldn't be in
# the updated output (maybe this is a bug?) but
# if you create a pos from TWS and then load it
# from the api trades it seems we get a key
# error from ``update[bs_mktid]`` ?
pp = table.pps[bs_mktid]
pairinfo = pp.symbol
if msg.size != pp.size: