Repair already-open order relay, fix causality dilemma
With the refactor of the dark loop into a daemon task already-open order relaying from a `brokerd` was broken since no subscribed clients were registered prior to the relay loop sending status msgs for such existing live orders. Repair that by adding one more synchronization phase to the `Router.open_trade_relays()` task: deliver a `client_ready: trio.Event` which is set by the client task once the client stream has been established and don't start the `brokerd` order dialog relay loop until this event is ready. Further implementation deats: - factor the `brokerd` relay caching back into it's own `@acm` method: `maybe_open_brokerd_dialog()` since we do want (but only this) stream singleton-cached per broker backend. - spawn all relay tasks on every entry for the moment until we figure out what we're caching against (any client pre-existing right, which would mean there's an entry in the `.subscribers` table?) - rename `_DarkBook` -> `DarkBook` and `DarkBook.orders` -> `.triggers`offline_dark_clearing
Tyler Goodlet
parent
1d9ab7b0de
commit
2bc25e3593
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@ -23,6 +23,7 @@ from collections import (
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defaultdict,
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# ChainMap,
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)
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from contextlib import asynccontextmanager as acm
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from math import isnan
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from pprint import pformat
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import time
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@ -40,6 +41,10 @@ import tractor
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from ..log import get_logger
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from ..data._normalize import iterticks
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from ..data._source import (
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unpack_fqsn,
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mk_fqsn,
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)
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from ..data.feed import (
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Feed,
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maybe_open_feed,
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@ -104,7 +109,7 @@ def mk_check(
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)
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class _DarkBook(Struct):
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class DarkBook(Struct):
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'''
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EMS-trigger execution book.
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@ -119,7 +124,7 @@ class _DarkBook(Struct):
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broker: str
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# levels which have an executable action (eg. alert, order, signal)
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orders: dict[
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triggers: dict[
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str, # symbol
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dict[
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str, # uuid
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@ -131,14 +136,8 @@ class _DarkBook(Struct):
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]
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] = {}
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# tracks most recent values per symbol each from data feed
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lasts: dict[
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str,
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float,
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] = {}
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_active: dict = {}
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lasts: dict[str, float] = {} # quote prices
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_active: dict[str, Status] = {} # active order dialogs
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_ems2brokerd_ids: dict[str, str] = bidict()
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@ -157,7 +156,7 @@ async def clear_dark_triggers(
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broker: str,
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fqsn: str,
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book: _DarkBook,
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book: DarkBook,
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) -> None:
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'''
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@ -174,7 +173,7 @@ async def clear_dark_triggers(
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async for quotes in quote_stream:
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# start = time.time()
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for sym, quote in quotes.items():
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execs = book.orders.get(sym, {})
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execs = book.triggers.get(sym, {})
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for tick in iterticks(
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quote,
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# dark order price filter(s)
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@ -292,7 +291,7 @@ async def clear_dark_triggers(
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else: # condition scan loop complete
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log.debug(f'execs are {execs}')
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if execs:
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book.orders[fqsn] = execs
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book.triggers[fqsn] = execs
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# print(f'execs scan took: {time.time() - start}')
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@ -329,7 +328,7 @@ class Router(Struct):
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nursery: trio.Nursery
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# broker to book map
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books: dict[str, _DarkBook] = {}
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books: dict[str, DarkBook] = {}
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# sets of clients mapped from subscription keys
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subscribers: defaultdict[
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@ -360,9 +359,9 @@ class Router(Struct):
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self,
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brokername: str,
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) -> _DarkBook:
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) -> DarkBook:
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return self.books.setdefault(brokername, _DarkBook(brokername))
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return self.books.setdefault(brokername, DarkBook(brokername))
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def get_subs(
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self,
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@ -378,52 +377,30 @@ class Router(Struct):
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if not stream._closed
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)
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async def maybe_open_trade_relays(
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@acm
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async def maybe_open_brokerd_dialog(
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self,
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fqsn: str,
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feed: Feed,
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exec_mode: str,
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symbol: str,
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loglevel: str,
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task_status: TaskStatus[
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tuple[TradesRelay, Feed]
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] = trio.TASK_STATUS_IGNORED,
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) -> tuple[TradesRelay, Feed]:
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if
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none already exists.
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'''
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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async with (
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maybe_open_feed(
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[fqsn],
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loglevel=loglevel,
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) as (feed, quote_stream),
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):
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) -> None:
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brokermod = feed.mod
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broker = brokermod.name
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# XXX: this should be initial price quote from target provider
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first_quote: dict = feed.first_quotes[fqsn]
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book: _DarkBook = self.get_dark_book(broker)
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book.lasts[fqsn]: float = first_quote['last']
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relay: TradesRelay = self.relays.get(broker)
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if (
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relay
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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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# We always want to spawn a new relay for the paper
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# engine per symbol since we need a new tractor context
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# to be opened for every every symbol such that a new
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# data feed and ``PaperBoi`` client will be created and
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# then used to simulate clearing events.
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and exec_mode != 'paper'
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):
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task_status.started((relay, feed))
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await trio.sleep_forever()
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# deliver already cached instance
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yield relay
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return
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trades_endpoint = getattr(brokermod, 'trades_dialogue', None)
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@ -455,7 +432,6 @@ class Router(Struct):
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)
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# open trades-dialog endpoint with backend broker
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try:
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positions: list[BrokerdPosition]
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accounts: tuple[str]
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@ -512,14 +488,57 @@ class Router(Struct):
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self.relays[broker] = relay
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# spawn a ``brokerd`` order control dialog stream
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# that syncs lifetime with the parent `emsd` daemon.
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self.nursery.start_soon(
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translate_and_relay_brokerd_events,
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broker,
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relay.brokerd_stream,
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# this context should block here indefinitely until
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# the ``brokerd`` task either dies or is cancelled
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try:
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yield relay
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finally:
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# parent context must have been closed remove from cache so
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# next client will respawn if needed
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relay = self.relays.pop(broker, None)
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if not relay:
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log.warning(
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f'Relay for {broker} was already removed!?')
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async def open_trade_relays(
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self,
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)
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fqsn: str,
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exec_mode: str,
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loglevel: str,
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task_status: TaskStatus[
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tuple[TradesRelay, Feed]
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] = trio.TASK_STATUS_IGNORED,
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) -> tuple[TradesRelay, Feed]:
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if
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none already exists.
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'''
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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async with (
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maybe_open_feed(
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[fqsn],
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loglevel=loglevel,
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) as (feed, quote_stream),
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):
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brokermod = feed.mod
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broker = brokermod.name
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# XXX: this should be initial price quote from target provider
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first_quote: dict = feed.first_quotes[fqsn]
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book: DarkBook = self.get_dark_book(broker)
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book.lasts[fqsn]: float = first_quote['last']
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async with self.maybe_open_brokerd_dialog(
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feed=feed,
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exec_mode=exec_mode,
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symbol=symbol,
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loglevel=loglevel,
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) as relay:
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# dark book clearing loop, also lives with parent
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# daemon to allow dark order clearing while no
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@ -534,19 +553,26 @@ class Router(Struct):
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book
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)
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task_status.started((relay, feed))
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client_ready = trio.Event()
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task_status.started((relay, feed, client_ready))
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# sync to the client side by waiting for the stream
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# connection setup before relaying any existing live
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# orders from the brokerd.
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await client_ready.wait()
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assert self.subscribers
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# spawn a ``brokerd`` order control dialog stream
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# that syncs lifetime with the parent `emsd` daemon.
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self.nursery.start_soon(
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translate_and_relay_brokerd_events,
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broker,
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relay.brokerd_stream,
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self,
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)
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# this context should block here indefinitely until
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# the ``brokerd`` task either dies or is cancelled
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await trio.sleep_forever()
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finally:
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# parent context must have been closed remove from cache so
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# next client will respawn if needed
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relay = self.relays.pop(broker, None)
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if not relay:
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log.warning(f'Relay for {broker} was already removed!?')
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async def client_broadcast(
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self,
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sub_key: str,
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@ -584,7 +610,7 @@ class Router(Struct):
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and notify_on_headless
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):
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log.info(
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'No clients attached, firing notification for msg:\n'
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'No clients attached, firing notification for {sub_key} msg:\n'
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f'{msg}'
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)
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await notify_from_ems_status_msg(
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@ -645,7 +671,7 @@ async def translate_and_relay_brokerd_events(
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{'presubmitted', 'submitted', 'cancelled', 'inactive'}
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'''
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book: _DarkBook = router.get_dark_book(broker)
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book: DarkBook = router.get_dark_book(broker)
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relay: TradesRelay = router.relays[broker]
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assert relay.brokerd_stream == brokerd_trades_stream
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@ -885,7 +911,11 @@ async def translate_and_relay_brokerd_events(
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# use backend request id as our ems id though this
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# may end up with collisions?
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status_msg = Status(**brokerd_msg)
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# NOTE: be sure to pack an fqsn for the client side!
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order = Order(**status_msg.req)
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order.symbol = mk_fqsn(broker, order.symbol)
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assert order.price and order.size
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status_msg.req = order
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@ -961,7 +991,7 @@ async def process_client_order_cmds(
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fqsn: str,
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feed: Feed,
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dark_book: _DarkBook,
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dark_book: DarkBook,
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router: Router,
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) -> None:
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@ -1042,7 +1072,7 @@ async def process_client_order_cmds(
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and status.resp == 'dark_open'
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):
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# remove from dark book clearing
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entry = dark_book.orders[fqsn].pop(oid, None)
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entry = dark_book.triggers[fqsn].pop(oid, None)
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if entry:
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(
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pred,
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@ -1204,7 +1234,7 @@ async def process_client_order_cmds(
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# submit execution/order to EMS scan loop
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# NOTE: this may result in an override of an existing
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# dark book entry if the order id already exists
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dark_book.orders.setdefault(
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dark_book.triggers.setdefault(
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fqsn, {}
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)[oid] = (
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pred,
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@ -1287,7 +1317,6 @@ async def _emsd_main(
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global _router
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assert _router
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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# TODO: would be nice if in tractor we can require either a ctx arg,
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@ -1298,14 +1327,15 @@ async def _emsd_main(
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# spawn one task per broker feed
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relay: TradesRelay
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feed: Feed
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client_ready: trio.Event
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# open a stream with the brokerd backend for order flow dialogue
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# only open if one isn't already up: we try to keep as few duplicate
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# streams as necessary.
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# TODO: should we try using `tractor.trionics.maybe_open_context()`
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# here?
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relay, feed = await _router.nursery.start(
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_router.maybe_open_trade_relays,
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relay, feed, client_ready = await _router.nursery.start(
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_router.open_trade_relays,
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fqsn,
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exec_mode,
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loglevel,
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@ -1333,6 +1363,7 @@ async def _emsd_main(
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# allowed to see in terms of broadcasted order flow
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# updates per dialog.
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_router.subscribers[fqsn].add(client_stream)
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client_ready.set()
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# start inbound (from attached client) order request processing
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# main entrypoint, run here until cancelled.
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