Drop `Symbol` / `.symbol` support from `.accounting`
Only stuff left was the allocator stuff. Drop the top level subpkg exports and finally kill off the awkwardly named `Symbol.lot_size_digits` properties XD Expose a bunch more util funcs at subpkg top level, do some typing in allocator method internals.master
Tyler Goodlet
parent
738d0ca38b
commit
35f0520cb0
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@ -38,23 +38,33 @@ from ._mktinfo import (
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dec_digits,
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digits_to_dec,
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MktPair,
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Symbol,
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unpack_fqme,
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)
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from ._allocate import (
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mk_allocator,
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Allocator,
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)
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log = get_logger(__name__)
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__all__ = [
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'Allocator',
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'Asset',
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'dec_digits',
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'digits_to_dec',
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'MktPair',
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'Position',
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'PpTable',
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'Symbol',
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'Transaction',
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'TransactionLedger',
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'dec_digits',
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'digits_to_dec',
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'iter_by_dt',
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'load_pps_from_ledger',
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'mk_allocator',
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'open_pps',
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'open_trade_ledger',
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'unpack_fqme',
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]
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@ -24,7 +24,7 @@ from typing import Optional
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from bidict import bidict
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from ._pos import Position
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from ._mktinfo import Symbol
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from . import MktPair
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from ..data.types import Struct
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@ -42,7 +42,7 @@ SizeUnit = Enum(
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class Allocator(Struct):
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symbol: Symbol
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mkt: MktPair
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# TODO: if we ever want ot support non-uniform entry-slot-proportion
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# "sizes"
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@ -114,8 +114,8 @@ class Allocator(Struct):
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depending on position / order entry config.
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'''
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sym = self.symbol
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ld = sym.lot_size_digits
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mkt: MktPair = self.mkt
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ld: int = mkt.size_tick_digits
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size_unit = self.size_unit
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live_size = live_pp.size
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@ -125,13 +125,13 @@ class Allocator(Struct):
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u_per_slot, currency_per_slot = self.step_sizes()
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if size_unit == 'units':
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slot_size = u_per_slot
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l_sub_pp = self.units_limit - abs_live_size
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slot_size: float = u_per_slot
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l_sub_pp: float = self.units_limit - abs_live_size
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elif size_unit == 'currency':
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live_cost_basis = abs_live_size * live_pp.ppu
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slot_size = currency_per_slot / price
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l_sub_pp = (self.currency_limit - live_cost_basis) / price
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live_cost_basis: float = abs_live_size * live_pp.ppu
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slot_size: float = currency_per_slot / price
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l_sub_pp: float = (self.currency_limit - live_cost_basis) / price
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else:
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raise ValueError(
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@ -141,8 +141,14 @@ class Allocator(Struct):
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# an entry (adding-to or starting a pp)
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if (
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live_size == 0
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or (action == 'buy' and live_size > 0)
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or action == 'sell' and live_size < 0
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or (
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action == 'buy'
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and live_size > 0
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)
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or (
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action == 'sell'
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and live_size < 0
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)
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):
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order_size = min(
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slot_size,
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@ -178,7 +184,7 @@ class Allocator(Struct):
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order_size = max(slotted_pp, slot_size)
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if (
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abs_live_size < slot_size or
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abs_live_size < slot_size
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# NOTE: front/back "loading" heurstic:
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# if the remaining pp is in between 0-1.5x a slot's
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@ -187,14 +193,17 @@ class Allocator(Struct):
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# **without** going past a net-zero pp. if the pp is
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# > 1.5x a slot size, then front load: exit a slot's and
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# expect net-zero to be acquired on the final exit.
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slot_size < pp_size < round((1.5*slot_size), ndigits=ld) or
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or slot_size < pp_size < round((1.5*slot_size), ndigits=ld)
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or (
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# underlying requires discrete (int) units (eg. stocks)
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# and thus our slot size (based on our limit) would
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# exit a fractional unit's worth so, presuming we aren't
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# supporting a fractional-units-style broker, we need
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# exit the final unit.
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ld == 0 and abs_live_size == 1
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# underlying requires discrete (int) units (eg. stocks)
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# and thus our slot size (based on our limit) would
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# exit a fractional unit's worth so, presuming we aren't
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# supporting a fractional-units-style broker, we need
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# exit the final unit.
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ld == 0
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and abs_live_size == 1
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)
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):
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order_size = abs_live_size
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@ -203,13 +212,14 @@ class Allocator(Struct):
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# compute a fractional slots size to display
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slots_used = self.slots_used(
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Position(
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mkt=sym,
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mkt=mkt,
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size=order_size,
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ppu=price,
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bs_mktid=sym,
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bs_mktid=mkt.bs_mktid,
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)
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)
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# TODO: render an actual ``Executable`` type here?
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return {
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'size': abs(round(order_size, ndigits=ld)),
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'size_digits': ld,
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@ -249,7 +259,7 @@ class Allocator(Struct):
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def mk_allocator(
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symbol: Symbol,
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mkt: MktPair,
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startup_pp: Position,
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# default allocation settings
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@ -276,6 +286,6 @@ def mk_allocator(
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defaults.update(user_def)
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return Allocator(
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symbol=symbol,
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mkt=mkt,
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**defaults,
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)
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@ -22,9 +22,9 @@ from __future__ import annotations
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from collections import UserDict
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from contextlib import contextmanager as cm
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from pathlib import Path
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import time
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from typing import (
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Any,
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Callable,
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Iterator,
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Union,
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Generator
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@ -158,7 +158,7 @@ class TransactionLedger(UserDict):
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for tid, txdict in self.data.items():
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# special field handling for datetimes
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# to ensure pendulum is used!
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fqme = txdict.get('fqme', txdict['fqsn'])
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fqme = txdict.get('fqme') or txdict['fqsn']
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dt = parse(txdict['dt'])
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expiry = txdict.get('expiry')
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@ -242,8 +242,6 @@ def iter_by_dt(
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datetime presumably set at the ``'dt'`` field in each entry.
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'''
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txs = records.items()
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def dyn_parse_to_dt(
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pair: tuple[str, dict],
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) -> DateTime:
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@ -519,11 +519,11 @@ class MktPair(Struct, frozen=True):
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return self._atype
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@property
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def tick_size_digits(self) -> int:
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def price_tick_digits(self) -> int:
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return float_digits(self.price_tick)
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@property
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def lot_size_digits(self) -> int:
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def size_tick_digits(self) -> int:
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return float_digits(self.size_tick)
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@ -44,7 +44,6 @@ from ._ledger import (
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open_trade_ledger,
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)
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from ._mktinfo import (
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Symbol,
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MktPair,
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Asset,
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unpack_fqme,
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@ -247,11 +246,8 @@ class Position(Struct):
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# XXX: better place to do this?
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mkt = self.mkt
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# TODO: switch to new fields..?
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# .size_tick_digits, .price_tick_digits
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size_tick_digits = mkt.lot_size_digits
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price_tick_digits = mkt.tick_size_digits
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size_tick_digits = mkt.size_tick_digits
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price_tick_digits = mkt.price_tick_digits
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self.ppu = round(
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# TODO: change this to ppu?
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