Better handle order-cancelled-but-not-yet-acked races

When the client is faster then a `brokerd` at submitting and cancelling
an order we run into the case where we need to specify that the EMS
cancels the order-flow as soon as the brokerd's ack arrives. Previously
we were stashing a `BrokerdCancel` msg as the `Status.req` msg (to be
both tested for as a "already cancelled" and sent immediately on ack arrival to
the broker), but for such
cases we can't use that msg to find the fqsn (since only the client side
msgs have it defined) which is required by the new
`Router.client_broadcast()`.

So, Since `Status.req` is supposed to be a client-side flow msg anyway,
and we need the fqsn for client broadcasting, we change this `.req`
value to the client's submitted `Cancel` msg (thus rectifying the
missing `Router.client_broadcast()` fqsn input issue) and build the
`BrokerdCancel` request from that `Cancel` inline in the relay loop
from the `.req: Cancel` status msg lookup.

Further we allow `Cancel` msgs to define an `.account` and adjust the
order mode loop to expect `Cancel` source requests in cancelled status
updates.
even_moar_kraken_order_fixes
Tyler Goodlet 2022-10-27 14:44:59 -04:00
parent 8a61211c8c
commit 30994dac10
3 changed files with 46 additions and 19 deletions

View File

@ -56,7 +56,7 @@ from . import _paper_engine as paper
from ._messages import (
Order,
Status,
# Cancel,
Cancel,
BrokerdCancel,
BrokerdOrder,
# BrokerdOrderAck,
@ -748,7 +748,21 @@ async def translate_and_relay_brokerd_events(
# assign newly providerd broker backend request id
# and tell broker to cancel immediately
status_msg.reqid = reqid
await brokerd_trades_stream.send(req)
# NOTE: as per comment in cancel-request-block
# above: This is an ack to
# a client-already-cancelled order request so we
# must immediately send a cancel to the brokerd upon
# rx of this ACK.
cancel_req = status_msg.req
await brokerd_trades_stream.send(
BrokerdCancel(
oid=oid,
reqid=reqid,
time_ns=time.time_ns(),
account=cancel_req.account,
)
)
# 2. the order is now active and will be mirrored in
# our book -> registered as live flow
@ -1051,13 +1065,8 @@ async def process_client_order_cmds(
):
reqid = status.reqid
order = status.req
to_brokerd_msg = BrokerdCancel(
oid=oid,
reqid=reqid,
time_ns=time.time_ns(),
# account=live_entry.account,
account=order.account,
)
cancreq = status.req = Cancel(**cmd)
cancreq.account = order.account
# NOTE: cancel response will be relayed back in messages
# from corresponding broker
@ -1066,15 +1075,26 @@ async def process_client_order_cmds(
log.info(
f'Submitting cancel for live order {reqid}'
)
await brokerd_order_stream.send(to_brokerd_msg)
await brokerd_order_stream.send(
BrokerdCancel(
oid=oid,
reqid=reqid,
time_ns=time.time_ns(),
account=order.account,
)
)
else:
# else:
# this might be a cancel for an order that hasn't been
# acked yet by a brokerd, so register a cancel for when
# the order ack does show up later such that the brokerd
# order request can be cancelled at that time.
# acked yet by a brokerd (so it's in the midst of
# being ACKed for submission but we don't have that
# confirmation yet). In this race case, save the
# client-side cancel request for when
# the ack does show up (later) such that the brokerd
# live-order can be cancelled immediately upon
# reception.
# special case for now..
status.req = to_brokerd_msg
# status.req = to_brokerd_msg
# dark trigger cancel
case {

View File

@ -110,6 +110,7 @@ class Cancel(Struct):
action: str = 'cancel'
oid: str # uuid4
symbol: str
account: str = ''
# --------------

View File

@ -56,6 +56,7 @@ from ._position import (
from ._forms import FieldsForm
from ._window import MultiStatus
from ..clearing._messages import (
Cancel,
Order,
Status,
# BrokerdOrder,
@ -961,15 +962,20 @@ async def process_trade_msg(
dialog: Dialog = mode.dialogs.get(oid)
match msg:
case Status(resp='dark_open' | 'open'):
case Status(
resp='dark_open' | 'open',
) if msg.req['action'] != 'cancel':
order = Order(**msg.req)
if dialog is not None:
if (
dialog is not None
and order.action != 'cancel'
):
# show line label once order is live
mode.on_submit(oid, order=order)
else:
elif order.action != 'cancel':
log.warning(
f'received msg for untracked dialog:\n{fmsg}'
)
@ -1005,7 +1011,7 @@ async def process_trade_msg(
case Status(resp='canceled'):
# delete level line from view
mode.on_cancel(oid)
req = Order(**msg.req)
req = Cancel(**msg.req)
log.cancel(f'Canceled {req.action}:{oid}')
case Status(