goodboy
GitHub
commit
37f634a2ed
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@ -22,10 +22,10 @@ from typing import Optional, Union, Callable, Any
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from contextlib import asynccontextmanager as acm
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from collections import defaultdict
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from pydantic import BaseModel
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from msgspec import Struct
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import tractor
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import trio
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from trio_typing import TaskStatus
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import tractor
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from .log import get_logger, get_console_log
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from .brokers import get_brokermod
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@ -47,16 +47,13 @@ _root_modules = [
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]
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class Services(BaseModel):
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class Services(Struct):
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actor_n: tractor._supervise.ActorNursery
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service_n: trio.Nursery
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debug_mode: bool # tractor sub-actor debug mode flag
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service_tasks: dict[str, tuple[trio.CancelScope, tractor.Portal]] = {}
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class Config:
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arbitrary_types_allowed = True
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async def start_service_task(
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self,
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name: str,
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@ -34,13 +34,13 @@ from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data.types import Struct
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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log = get_logger(__name__)
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@ -79,12 +79,14 @@ _show_wap_in_history = False
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# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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class Pair(BaseModel):
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class Pair(Struct, frozen=True):
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symbol: str
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status: str
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baseAsset: str
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baseAssetPrecision: int
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cancelReplaceAllowed: bool
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allowTrailingStop: bool
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quoteAsset: str
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quotePrecision: int
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quoteAssetPrecision: int
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@ -287,7 +289,7 @@ async def get_client() -> Client:
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# validation type
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class AggTrade(BaseModel):
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class AggTrade(Struct):
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e: str # Event type
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E: int # Event time
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s: str # Symbol
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@ -341,7 +343,9 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
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elif msg.get('e') == 'aggTrade':
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# validate
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# NOTE: this is purely for a definition, ``msgspec.Struct``
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# does not runtime-validate until you decode/encode.
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# see: https://jcristharif.com/msgspec/structs.html#type-validation
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msg = AggTrade(**msg)
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# TODO: type out and require this quote format
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@ -352,8 +356,8 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
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'brokerd_ts': time.time(),
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'ticks': [{
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'type': 'trade',
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'price': msg.p,
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'size': msg.q,
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'price': float(msg.p),
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'size': float(msg.q),
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'broker_ts': msg.T,
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}],
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}
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@ -448,7 +452,7 @@ async def stream_quotes(
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d = cache[sym.upper()]
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syminfo = Pair(**d) # validation
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si = sym_infos[sym] = syminfo.dict()
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si = sym_infos[sym] = syminfo.to_dict()
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# XXX: after manually inspecting the response format we
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# just directly pick out the info we need
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@ -148,7 +148,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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).dict())
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))
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continue
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client = _accounts2clients.get(account)
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@ -161,7 +161,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No api client loaded for account: `{account}` ?',
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).dict())
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))
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continue
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if action in {'buy', 'sell'}:
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@ -188,7 +188,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason='Order already active?',
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).dict())
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))
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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@ -197,9 +197,8 @@ async def handle_order_requests(
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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account=account,
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).dict()
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)
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)
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elif action == 'cancel':
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@ -559,7 +558,7 @@ async def trades_dialogue(
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cids2pps,
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validate=True,
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)
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all_positions.extend(msg.dict() for msg in msgs)
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all_positions.extend(msg for msg in msgs)
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if not all_positions and cids2pps:
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raise RuntimeError(
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@ -665,7 +664,7 @@ async def emit_pp_update(
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msg = msgs[0]
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break
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await ems_stream.send(msg.dict())
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await ems_stream.send(msg)
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async def deliver_trade_events(
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@ -743,7 +742,7 @@ async def deliver_trade_events(
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broker_details={'name': 'ib'},
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)
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await ems_stream.send(msg.dict())
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await ems_stream.send(msg)
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case 'fill':
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@ -803,7 +802,7 @@ async def deliver_trade_events(
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broker_time=trade_entry['broker_time'],
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)
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await ems_stream.send(msg.dict())
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await ems_stream.send(msg)
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# 2 cases:
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# - fill comes first or
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@ -879,7 +878,7 @@ async def deliver_trade_events(
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cid, msg = pack_position(item)
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# acctid = msg.account = accounts_def.inverse[msg.account]
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# cuck ib and it's shitty fifo sys for pps!
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# await ems_stream.send(msg.dict())
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# await ems_stream.send(msg)
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case 'event':
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@ -891,7 +890,7 @@ async def deliver_trade_events(
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# level...
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# reqid = item.get('reqid', 0)
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# if getattr(msg, 'reqid', 0) < -1:
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# log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
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# log.info(f"TWS triggered trade\n{pformat(msg)}")
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# msg.reqid = 'tws-' + str(-1 * reqid)
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@ -32,7 +32,6 @@ from typing import (
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)
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import pendulum
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from pydantic import BaseModel
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import trio
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import tractor
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import wsproto
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@ -47,6 +46,7 @@ from piker.clearing._messages import (
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BrokerdPosition,
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BrokerdStatus,
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)
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from piker.data.types import Struct
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from . import log
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from .api import (
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Client,
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@ -62,7 +62,7 @@ from .feed import (
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)
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class Trade(BaseModel):
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class Trade(Struct):
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'''
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Trade class that helps parse and validate ownTrades stream
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@ -110,7 +110,7 @@ async def handle_order_requests(
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'https://github.com/pikers/piker/issues/299'
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),
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).dict())
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))
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continue
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# validate
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@ -136,7 +136,7 @@ async def handle_order_requests(
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symbol=order.symbol,
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reason="Failed order submission",
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broker_details=resp
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).dict()
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)
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)
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else:
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# TODO: handle multiple orders (cancels?)
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@ -161,7 +161,7 @@ async def handle_order_requests(
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# account the made the order
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account=order.account
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).dict()
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)
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)
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elif action == 'cancel':
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@ -189,7 +189,7 @@ async def handle_order_requests(
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symbol=msg.symbol,
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reason="Failed order cancel",
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broker_details=resp
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).dict()
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)
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)
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if not error:
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@ -217,7 +217,7 @@ async def handle_order_requests(
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# cancels will eventually get cancelled
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reason="Order cancel is still pending?",
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broker_details=resp
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).dict()
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)
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)
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else: # order cancel success case.
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@ -230,7 +230,7 @@ async def handle_order_requests(
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status='cancelled',
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reason='Order cancelled',
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broker_details={'name': 'kraken'}
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).dict()
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)
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)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@ -330,7 +330,7 @@ async def trades_dialogue(
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avg_price=p.be_price,
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currency='',
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)
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position_msgs.append(msg.dict())
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position_msgs.append(msg)
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await ctx.started(
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(position_msgs, [acc_name])
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@ -408,7 +408,7 @@ async def trades_dialogue(
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg.dict())
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await ems_stream.send(fill_msg)
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filled_msg = BrokerdStatus(
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reqid=reqid,
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@ -432,7 +432,7 @@ async def trades_dialogue(
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg.dict())
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await ems_stream.send(filled_msg)
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# update ledger and position tracking
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trans = await update_ledger(acctid, trades)
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@ -469,7 +469,7 @@ async def trades_dialogue(
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# TODO
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# currency=''
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)
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await ems_stream.send(pp_msg.dict())
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await ems_stream.send(pp_msg)
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case [
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trades_msgs,
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@ -31,7 +31,6 @@ import time
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import pendulum
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from pydantic import BaseModel
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from trio_typing import TaskStatus
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import tractor
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import trio
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@ -45,6 +44,7 @@ from piker.brokers._util import (
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)
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from piker.log import get_console_log
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from piker.data import ShmArray
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from piker.data.types import Struct
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from piker.data._web_bs import open_autorecon_ws, NoBsWs
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from . import log
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from .api import (
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@ -54,7 +54,7 @@ from .api import (
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# https://www.kraken.com/features/api#get-tradable-pairs
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class Pair(BaseModel):
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class Pair(Struct):
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altname: str # alternate pair name
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wsname: str # WebSocket pair name (if available)
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aclass_base: str # asset class of base component
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@ -316,7 +316,7 @@ async def stream_quotes(
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sym = sym.upper()
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si = Pair(**await client.symbol_info(sym)) # validation
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syminfo = si.dict()
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syminfo = si.to_dict()
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syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
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syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
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syminfo['asset_type'] = 'crypto'
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|
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@ -22,10 +22,9 @@ from enum import Enum
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from typing import Optional
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from bidict import bidict
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from pydantic import BaseModel, validator
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# from msgspec import Struct
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from ..data._source import Symbol
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from ..data.types import Struct
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from ..pp import Position
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@ -41,33 +40,30 @@ SizeUnit = Enum(
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)
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class Allocator(BaseModel):
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class Config:
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validate_assignment = True
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copy_on_model_validation = False
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arbitrary_types_allowed = True
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# required to get the account validator lookup working?
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extra = 'allow'
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underscore_attrs_are_private = False
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class Allocator(Struct):
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symbol: Symbol
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account: Optional[str] = 'paper'
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_size_units: bidict[str, Optional[str]] = _size_units
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# TODO: for enums this clearly doesn't fucking work, you can't set
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# a default at startup by passing in a `dict` but yet you can set
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# that value through assignment..for wtv cucked reason.. honestly, pure
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# unintuitive garbage.
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size_unit: str = 'currency'
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_size_units: dict[str, Optional[str]] = _size_units
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_size_unit: str = 'currency'
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@validator('size_unit', pre=True)
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def maybe_lookup_key(cls, v):
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# apply the corresponding enum key for the text "description" value
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@property
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def size_unit(self) -> str:
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return self._size_unit
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@size_unit.setter
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def size_unit(self, v: str) -> Optional[str]:
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if v not in _size_units:
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return _size_units.inverse[v]
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v = _size_units.inverse[v]
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assert v in _size_units
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self._size_unit = v
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return v
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# TODO: if we ever want ot support non-uniform entry-slot-proportion
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@ -262,7 +258,7 @@ def mk_allocator(
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# default allocation settings
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defaults: dict[str, float] = {
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'account': None, # select paper by default
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'size_unit': 'currency',
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# 'size_unit': 'currency',
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'units_limit': 400,
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'currency_limit': 5e3,
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'slots': 4,
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@ -301,6 +297,9 @@ def mk_allocator(
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# entry step 1.0
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alloc.units_limit = alloc.slots
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else:
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alloc.size_unit = 'currency'
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# if the current position is already greater then the limit
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# settings, increase the limit to the current position
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if alloc.size_unit == 'currency':
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|
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@ -58,11 +58,11 @@ class OrderBook:
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def send(
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self,
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msg: Order,
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msg: Order | dict,
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) -> dict:
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self._sent_orders[msg.oid] = msg
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self._to_ems.send_nowait(msg.dict())
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self._to_ems.send_nowait(msg)
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return msg
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def update(
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@ -73,9 +73,8 @@ class OrderBook:
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) -> dict:
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cmd = self._sent_orders[uuid]
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msg = cmd.dict()
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msg.update(data)
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self._sent_orders[uuid] = Order(**msg)
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msg = cmd.copy(update=data)
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self._sent_orders[uuid] = msg
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self._to_ems.send_nowait(msg)
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return cmd
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@ -88,7 +87,7 @@ class OrderBook:
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oid=uuid,
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symbol=cmd.symbol,
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)
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self._to_ems.send_nowait(msg.dict())
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self._to_ems.send_nowait(msg)
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_orders: OrderBook = None
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|
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@ -149,7 +148,7 @@ async def relay_order_cmds_from_sync_code(
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book = get_orders()
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async with book._from_order_book.subscribe() as orders_stream:
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async for cmd in orders_stream:
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if cmd['symbol'] == symbol_key:
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if cmd.symbol == symbol_key:
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log.info(f'Send order cmd:\n{pformat(cmd)}')
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# send msg over IPC / wire
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await to_ems_stream.send(cmd)
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|
|
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|
|
@ -26,7 +26,6 @@ import time
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from typing import AsyncIterator, Callable
|
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|
||||
from bidict import bidict
|
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from pydantic import BaseModel
|
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import trio
|
||||
from trio_typing import TaskStatus
|
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import tractor
|
||||
|
|
@ -34,6 +33,7 @@ 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.feed import Feed, maybe_open_feed
|
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from ..data.types import Struct
|
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from .._daemon import maybe_spawn_brokerd
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from . import _paper_engine as paper
|
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from ._messages import (
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|
|
@ -231,7 +231,7 @@ async def clear_dark_triggers(
|
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price=submit_price,
|
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size=cmd['size'],
|
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)
|
||||
await brokerd_orders_stream.send(msg.dict())
|
||||
await brokerd_orders_stream.send(msg)
|
||||
|
||||
# mark this entry as having sent an order
|
||||
# request. the entry will be replaced once the
|
||||
|
|
@ -247,14 +247,11 @@ async def clear_dark_triggers(
|
|||
|
||||
msg = Status(
|
||||
oid=oid, # ems order id
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
symbol=fqsn,
|
||||
resp=resp,
|
||||
trigger_price=price,
|
||||
broker_details={'name': broker},
|
||||
cmd=cmd, # original request message
|
||||
|
||||
).dict()
|
||||
brokerd_msg=cmd,
|
||||
)
|
||||
|
||||
# remove exec-condition from set
|
||||
log.info(f'removing pred for {oid}')
|
||||
|
|
@ -303,7 +300,7 @@ class TradesRelay:
|
|||
consumers: int = 0
|
||||
|
||||
|
||||
class Router(BaseModel):
|
||||
class Router(Struct):
|
||||
'''
|
||||
Order router which manages and tracks per-broker dark book,
|
||||
alerts, clearing and related data feed management.
|
||||
|
|
@ -324,10 +321,6 @@ class Router(BaseModel):
|
|||
# brokername to trades-dialogues streams with ``brokerd`` actors
|
||||
relays: dict[str, TradesRelay] = {}
|
||||
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
def get_dark_book(
|
||||
self,
|
||||
brokername: str,
|
||||
|
|
@ -581,11 +574,11 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
if name == 'position':
|
||||
|
||||
pos_msg = BrokerdPosition(**brokerd_msg).dict()
|
||||
pos_msg = BrokerdPosition(**brokerd_msg)
|
||||
|
||||
# XXX: this will be useful for automatic strats yah?
|
||||
# keep pps per account up to date locally in ``emsd`` mem
|
||||
sym, broker = pos_msg['symbol'], pos_msg['broker']
|
||||
sym, broker = pos_msg.symbol, pos_msg.broker
|
||||
|
||||
relay.positions.setdefault(
|
||||
# NOTE: translate to a FQSN!
|
||||
|
|
@ -676,7 +669,7 @@ async def translate_and_relay_brokerd_events(
|
|||
entry.reqid = reqid
|
||||
|
||||
# tell broker to cancel immediately
|
||||
await brokerd_trades_stream.send(entry.dict())
|
||||
await brokerd_trades_stream.send(entry)
|
||||
|
||||
# - the order is now active and will be mirrored in
|
||||
# our book -> registered as live flow
|
||||
|
|
@ -716,7 +709,7 @@ async def translate_and_relay_brokerd_events(
|
|||
# if 10147 in message: cancel
|
||||
|
||||
resp = 'broker_errored'
|
||||
broker_details = msg.dict()
|
||||
broker_details = msg
|
||||
|
||||
# don't relay message to order requester client
|
||||
# continue
|
||||
|
|
@ -751,7 +744,7 @@ async def translate_and_relay_brokerd_events(
|
|||
resp = 'broker_' + msg.status
|
||||
|
||||
# pass the BrokerdStatus msg inside the broker details field
|
||||
broker_details = msg.dict()
|
||||
broker_details = msg
|
||||
|
||||
elif name in (
|
||||
'fill',
|
||||
|
|
@ -760,7 +753,7 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
# proxy through the "fill" result(s)
|
||||
resp = 'broker_filled'
|
||||
broker_details = msg.dict()
|
||||
broker_details = msg
|
||||
|
||||
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||
|
||||
|
|
@ -778,7 +771,7 @@ async def translate_and_relay_brokerd_events(
|
|||
time_ns=time.time_ns(),
|
||||
broker_reqid=reqid,
|
||||
brokerd_msg=broker_details,
|
||||
).dict()
|
||||
)
|
||||
)
|
||||
except KeyError:
|
||||
log.error(
|
||||
|
|
@ -843,14 +836,14 @@ async def process_client_order_cmds(
|
|||
|
||||
# NOTE: cancel response will be relayed back in messages
|
||||
# from corresponding broker
|
||||
if reqid:
|
||||
if reqid is not None:
|
||||
|
||||
# send cancel to brokerd immediately!
|
||||
log.info(
|
||||
f'Submitting cancel for live order {reqid}'
|
||||
)
|
||||
|
||||
await brokerd_order_stream.send(msg.dict())
|
||||
await brokerd_order_stream.send(msg)
|
||||
|
||||
else:
|
||||
# this might be a cancel for an order that hasn't been
|
||||
|
|
@ -872,7 +865,7 @@ async def process_client_order_cmds(
|
|||
resp='dark_cancelled',
|
||||
oid=oid,
|
||||
time_ns=time.time_ns(),
|
||||
).dict()
|
||||
)
|
||||
)
|
||||
# de-register this client dialogue
|
||||
router.dialogues.pop(oid)
|
||||
|
|
@ -927,7 +920,7 @@ async def process_client_order_cmds(
|
|||
# handle relaying the ems side responses back to
|
||||
# the client/cmd sender from this request
|
||||
log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
|
||||
await brokerd_order_stream.send(msg.dict())
|
||||
await brokerd_order_stream.send(msg)
|
||||
|
||||
# an immediate response should be ``BrokerdOrderAck``
|
||||
# with ems order id from the ``trades_dialogue()``
|
||||
|
|
@ -1007,7 +1000,7 @@ async def process_client_order_cmds(
|
|||
resp=resp,
|
||||
oid=oid,
|
||||
time_ns=time.time_ns(),
|
||||
).dict()
|
||||
)
|
||||
)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
|
|
@ -15,21 +15,26 @@
|
|||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Clearing system messagingn types and protocols.
|
||||
Clearing sub-system message and protocols.
|
||||
|
||||
"""
|
||||
from typing import Optional, Union
|
||||
|
||||
# TODO: try out just encoding/send direction for now?
|
||||
# import msgspec
|
||||
from pydantic import BaseModel
|
||||
|
||||
from ..data._source import Symbol
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
# TODO: ``msgspec`` stuff worth paying attention to:
|
||||
# - schema evolution: https://jcristharif.com/msgspec/usage.html#schema-evolution
|
||||
# - use literals for a common msg determined by diff keys?
|
||||
# - https://jcristharif.com/msgspec/usage.html#literal
|
||||
# - for eg. ``BrokerdStatus``, instead just have separate messages?
|
||||
|
||||
# --------------
|
||||
# Client -> emsd
|
||||
# --------------
|
||||
|
||||
|
||||
class Cancel(BaseModel):
|
||||
class Cancel(Struct):
|
||||
'''Cancel msg for removing a dark (ems triggered) or
|
||||
broker-submitted (live) trigger/order.
|
||||
|
||||
|
|
@ -39,8 +44,10 @@ class Cancel(BaseModel):
|
|||
symbol: str
|
||||
|
||||
|
||||
class Order(BaseModel):
|
||||
class Order(Struct):
|
||||
|
||||
# TODO: use ``msgspec.Literal``
|
||||
# https://jcristharif.com/msgspec/usage.html#literal
|
||||
action: str # {'buy', 'sell', 'alert'}
|
||||
# internal ``emdsd`` unique "order id"
|
||||
oid: str # uuid4
|
||||
|
|
@ -48,6 +55,9 @@ class Order(BaseModel):
|
|||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
# TODO: could we drop the ``.action`` field above and instead just
|
||||
# use +/- values here? Would make the msg smaller at the sake of a
|
||||
# teensie fp precision?
|
||||
size: float
|
||||
brokers: list[str]
|
||||
|
||||
|
|
@ -59,20 +69,14 @@ class Order(BaseModel):
|
|||
# the backend broker
|
||||
exec_mode: str # {'dark', 'live', 'paper'}
|
||||
|
||||
class Config:
|
||||
# just for pre-loading a ``Symbol`` when used
|
||||
# in the order mode staging process
|
||||
arbitrary_types_allowed = True
|
||||
# don't copy this model instance when used in
|
||||
# a recursive model
|
||||
copy_on_model_validation = False
|
||||
|
||||
# --------------
|
||||
# Client <- emsd
|
||||
# --------------
|
||||
# update msgs from ems which relay state change info
|
||||
# from the active clearing engine.
|
||||
|
||||
|
||||
class Status(BaseModel):
|
||||
class Status(Struct):
|
||||
|
||||
name: str = 'status'
|
||||
oid: str # uuid4
|
||||
|
|
@ -95,8 +99,6 @@ class Status(BaseModel):
|
|||
# }
|
||||
resp: str # "response", see above
|
||||
|
||||
# symbol: str
|
||||
|
||||
# trigger info
|
||||
trigger_price: Optional[float] = None
|
||||
# price: float
|
||||
|
|
@ -111,10 +113,12 @@ class Status(BaseModel):
|
|||
brokerd_msg: dict = {}
|
||||
|
||||
|
||||
# ---------------
|
||||
# emsd -> brokerd
|
||||
# ---------------
|
||||
# requests *sent* from ems to respective backend broker daemon
|
||||
|
||||
class BrokerdCancel(BaseModel):
|
||||
class BrokerdCancel(Struct):
|
||||
|
||||
action: str = 'cancel'
|
||||
oid: str # piker emsd order id
|
||||
|
|
@ -130,7 +134,7 @@ class BrokerdCancel(BaseModel):
|
|||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
|
||||
class BrokerdOrder(BaseModel):
|
||||
class BrokerdOrder(Struct):
|
||||
|
||||
action: str # {buy, sell}
|
||||
oid: str
|
||||
|
|
@ -150,11 +154,12 @@ class BrokerdOrder(BaseModel):
|
|||
size: float
|
||||
|
||||
|
||||
# ---------------
|
||||
# emsd <- brokerd
|
||||
# ---------------
|
||||
# requests *received* to ems from broker backend
|
||||
|
||||
|
||||
class BrokerdOrderAck(BaseModel):
|
||||
class BrokerdOrderAck(Struct):
|
||||
'''
|
||||
Immediate reponse to a brokerd order request providing the broker
|
||||
specific unique order id so that the EMS can associate this
|
||||
|
|
@ -172,7 +177,7 @@ class BrokerdOrderAck(BaseModel):
|
|||
account: str = ''
|
||||
|
||||
|
||||
class BrokerdStatus(BaseModel):
|
||||
class BrokerdStatus(Struct):
|
||||
|
||||
name: str = 'status'
|
||||
reqid: Union[int, str]
|
||||
|
|
@ -205,7 +210,7 @@ class BrokerdStatus(BaseModel):
|
|||
}
|
||||
|
||||
|
||||
class BrokerdFill(BaseModel):
|
||||
class BrokerdFill(Struct):
|
||||
'''
|
||||
A single message indicating a "fill-details" event from the broker
|
||||
if avaiable.
|
||||
|
|
@ -230,7 +235,7 @@ class BrokerdFill(BaseModel):
|
|||
broker_time: float
|
||||
|
||||
|
||||
class BrokerdError(BaseModel):
|
||||
class BrokerdError(Struct):
|
||||
'''
|
||||
Optional error type that can be relayed to emsd for error handling.
|
||||
|
||||
|
|
@ -249,7 +254,7 @@ class BrokerdError(BaseModel):
|
|||
broker_details: dict = {}
|
||||
|
||||
|
||||
class BrokerdPosition(BaseModel):
|
||||
class BrokerdPosition(Struct):
|
||||
'''Position update event from brokerd.
|
||||
|
||||
'''
|
||||
|
|
|
|||
|
|
@ -117,7 +117,7 @@ class PaperBoi:
|
|||
reason='paper_trigger',
|
||||
remaining=size,
|
||||
)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
await self.ems_trades_stream.send(msg)
|
||||
|
||||
# if we're already a clearing price simulate an immediate fill
|
||||
if (
|
||||
|
|
@ -173,7 +173,7 @@ class PaperBoi:
|
|||
broker=self.broker,
|
||||
time_ns=time.time_ns(),
|
||||
)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
await self.ems_trades_stream.send(msg)
|
||||
|
||||
async def fake_fill(
|
||||
self,
|
||||
|
|
@ -216,7 +216,7 @@ class PaperBoi:
|
|||
'name': self.broker + '_paper',
|
||||
},
|
||||
)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
await self.ems_trades_stream.send(msg)
|
||||
|
||||
if order_complete:
|
||||
|
||||
|
|
@ -240,7 +240,7 @@ class PaperBoi:
|
|||
'name': self.broker,
|
||||
},
|
||||
)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
await self.ems_trades_stream.send(msg)
|
||||
|
||||
# lookup any existing position
|
||||
token = f'{symbol}.{self.broker}'
|
||||
|
|
@ -268,7 +268,7 @@ class PaperBoi:
|
|||
)
|
||||
pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg.dict())
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
|
|
@ -384,7 +384,7 @@ async def handle_order_requests(
|
|||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'Paper only. No account found: `{account}` ?',
|
||||
).dict())
|
||||
))
|
||||
continue
|
||||
|
||||
# validate
|
||||
|
|
@ -416,7 +416,7 @@ async def handle_order_requests(
|
|||
# broker specific request id
|
||||
reqid=reqid,
|
||||
|
||||
).dict()
|
||||
)
|
||||
)
|
||||
|
||||
elif action == 'cancel':
|
||||
|
|
|
|||
|
|
@ -27,13 +27,14 @@ from multiprocessing.shared_memory import SharedMemory, _USE_POSIX
|
|||
if _USE_POSIX:
|
||||
from _posixshmem import shm_unlink
|
||||
|
||||
import tractor
|
||||
# import msgspec
|
||||
import numpy as np
|
||||
from pydantic import BaseModel
|
||||
from numpy.lib import recfunctions as rfn
|
||||
import tractor
|
||||
|
||||
from ..log import get_logger
|
||||
from ._source import base_iohlc_dtype
|
||||
from .types import Struct
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -107,15 +108,12 @@ class SharedInt:
|
|||
log.warning(f'Shm for {name} already unlinked?')
|
||||
|
||||
|
||||
class _Token(BaseModel):
|
||||
class _Token(Struct, frozen=True):
|
||||
'''
|
||||
Internal represenation of a shared memory "token"
|
||||
which can be used to key a system wide post shm entry.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
frozen = True
|
||||
|
||||
shm_name: str # this servers as a "key" value
|
||||
shm_first_index_name: str
|
||||
shm_last_index_name: str
|
||||
|
|
@ -126,17 +124,22 @@ class _Token(BaseModel):
|
|||
return np.dtype(list(map(tuple, self.dtype_descr))).descr
|
||||
|
||||
def as_msg(self):
|
||||
return self.dict()
|
||||
return self.to_dict()
|
||||
|
||||
@classmethod
|
||||
def from_msg(cls, msg: dict) -> _Token:
|
||||
if isinstance(msg, _Token):
|
||||
return msg
|
||||
|
||||
# TODO: native struct decoding
|
||||
# return _token_dec.decode(msg)
|
||||
|
||||
msg['dtype_descr'] = tuple(map(tuple, msg['dtype_descr']))
|
||||
return _Token(**msg)
|
||||
|
||||
|
||||
# _token_dec = msgspec.msgpack.Decoder(_Token)
|
||||
|
||||
# TODO: this api?
|
||||
# _known_tokens = tractor.ActorVar('_shm_tokens', {})
|
||||
# _known_tokens = tractor.ContextStack('_known_tokens', )
|
||||
|
|
@ -167,7 +170,7 @@ def _make_token(
|
|||
shm_name=key,
|
||||
shm_first_index_name=key + "_first",
|
||||
shm_last_index_name=key + "_last",
|
||||
dtype_descr=np.dtype(dtype).descr
|
||||
dtype_descr=tuple(np.dtype(dtype).descr)
|
||||
)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -42,7 +42,6 @@ from trio_typing import TaskStatus
|
|||
import trimeter
|
||||
import tractor
|
||||
from tractor.trionics import maybe_open_context
|
||||
from pydantic import BaseModel
|
||||
import pendulum
|
||||
import numpy as np
|
||||
|
||||
|
|
@ -59,6 +58,7 @@ from ._sharedmem import (
|
|||
ShmArray,
|
||||
)
|
||||
from .ingest import get_ingestormod
|
||||
from .types import Struct
|
||||
from ._source import (
|
||||
base_iohlc_dtype,
|
||||
Symbol,
|
||||
|
|
@ -84,7 +84,7 @@ if TYPE_CHECKING:
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class _FeedsBus(BaseModel):
|
||||
class _FeedsBus(Struct):
|
||||
'''
|
||||
Data feeds broadcaster and persistence management.
|
||||
|
||||
|
|
@ -100,10 +100,6 @@ class _FeedsBus(BaseModel):
|
|||
a dedicated cancel scope.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
brokername: str
|
||||
nursery: trio.Nursery
|
||||
feeds: dict[str, tuple[dict, dict]] = {}
|
||||
|
|
|
|||
|
|
@ -0,0 +1,68 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Built-in (extension) types.
|
||||
|
||||
"""
|
||||
from typing import Optional
|
||||
from pprint import pformat
|
||||
|
||||
import msgspec
|
||||
|
||||
|
||||
class Struct(
|
||||
msgspec.Struct,
|
||||
|
||||
# https://jcristharif.com/msgspec/structs.html#tagged-unions
|
||||
# tag='pikerstruct',
|
||||
# tag=True,
|
||||
):
|
||||
'''
|
||||
A "human friendlier" (aka repl buddy) struct subtype.
|
||||
|
||||
'''
|
||||
def to_dict(self) -> dict:
|
||||
return {
|
||||
f: getattr(self, f)
|
||||
for f in self.__struct_fields__
|
||||
}
|
||||
|
||||
def __repr__(self):
|
||||
return f'Struct({pformat(self.to_dict())})'
|
||||
|
||||
def copy(
|
||||
self,
|
||||
update: Optional[dict] = None,
|
||||
|
||||
) -> msgspec.Struct:
|
||||
'''
|
||||
Validate-typecast all self defined fields, return a copy of us
|
||||
with all such fields.
|
||||
|
||||
This is kinda like the default behaviour in `pydantic.BaseModel`.
|
||||
|
||||
'''
|
||||
if update:
|
||||
for k, v in update.items():
|
||||
setattr(self, k, v)
|
||||
|
||||
# roundtrip serialize to validate
|
||||
return msgspec.msgpack.Decoder(
|
||||
type=type(self)
|
||||
).decode(
|
||||
msgspec.msgpack.Encoder().encode(self)
|
||||
)
|
||||
|
|
@ -21,7 +21,6 @@ Qt event proxying and processing using ``trio`` mem chans.
|
|||
from contextlib import asynccontextmanager, AsyncExitStack
|
||||
from typing import Callable
|
||||
|
||||
from pydantic import BaseModel
|
||||
import trio
|
||||
from PyQt5 import QtCore
|
||||
from PyQt5.QtCore import QEvent, pyqtBoundSignal
|
||||
|
|
@ -30,6 +29,8 @@ from PyQt5.QtWidgets import (
|
|||
QGraphicsSceneMouseEvent as gs_mouse,
|
||||
)
|
||||
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
MOUSE_EVENTS = {
|
||||
gs_mouse.GraphicsSceneMousePress,
|
||||
|
|
@ -43,13 +44,10 @@ MOUSE_EVENTS = {
|
|||
# TODO: maybe consider some constrained ints down the road?
|
||||
# https://pydantic-docs.helpmanual.io/usage/types/#constrained-types
|
||||
|
||||
class KeyboardMsg(BaseModel):
|
||||
class KeyboardMsg(Struct):
|
||||
'''Unpacked Qt keyboard event data.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
event: QEvent
|
||||
etype: int
|
||||
key: int
|
||||
|
|
@ -57,16 +55,13 @@ class KeyboardMsg(BaseModel):
|
|||
txt: str
|
||||
|
||||
def to_tuple(self) -> tuple:
|
||||
return tuple(self.dict().values())
|
||||
return tuple(self.to_dict().values())
|
||||
|
||||
|
||||
class MouseMsg(BaseModel):
|
||||
class MouseMsg(Struct):
|
||||
'''Unpacked Qt keyboard event data.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
event: QEvent
|
||||
etype: int
|
||||
button: int
|
||||
|
|
|
|||
|
|
@ -619,7 +619,7 @@ class FillStatusBar(QProgressBar):
|
|||
# color: #19232D;
|
||||
# width: 10px;
|
||||
|
||||
self.setRange(0, slots)
|
||||
self.setRange(0, int(slots))
|
||||
self.setValue(value)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -22,12 +22,9 @@ from __future__ import annotations
|
|||
from typing import (
|
||||
Optional, Generic,
|
||||
TypeVar, Callable,
|
||||
Literal,
|
||||
)
|
||||
import enum
|
||||
import sys
|
||||
|
||||
from pydantic import BaseModel, validator
|
||||
# from pydantic import BaseModel, validator
|
||||
from pydantic.generics import GenericModel
|
||||
from PyQt5.QtWidgets import (
|
||||
QWidget,
|
||||
|
|
@ -38,6 +35,7 @@ from ._forms import (
|
|||
# FontScaledDelegate,
|
||||
Edit,
|
||||
)
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
DataType = TypeVar('DataType')
|
||||
|
|
@ -62,7 +60,7 @@ class Selection(Field[DataType], Generic[DataType]):
|
|||
options: dict[str, DataType]
|
||||
# value: DataType = None
|
||||
|
||||
@validator('value') # , always=True)
|
||||
# @validator('value') # , always=True)
|
||||
def set_value_first(
|
||||
cls,
|
||||
|
||||
|
|
@ -100,7 +98,7 @@ class Edit(Field[DataType], Generic[DataType]):
|
|||
widget_factory = Edit
|
||||
|
||||
|
||||
class AllocatorPane(BaseModel):
|
||||
class AllocatorPane(Struct):
|
||||
|
||||
account = Selection[str](
|
||||
options=dict.fromkeys(
|
||||
|
|
|
|||
|
|
@ -27,7 +27,6 @@ import time
|
|||
from typing import Optional, Dict, Callable, Any
|
||||
import uuid
|
||||
|
||||
from pydantic import BaseModel
|
||||
import tractor
|
||||
import trio
|
||||
from PyQt5.QtCore import Qt
|
||||
|
|
@ -41,6 +40,7 @@ from ..clearing._allocate import (
|
|||
from ._style import _font
|
||||
from ..data._source import Symbol
|
||||
from ..data.feed import Feed
|
||||
from ..data.types import Struct
|
||||
from ..log import get_logger
|
||||
from ._editors import LineEditor, ArrowEditor
|
||||
from ._lines import order_line, LevelLine
|
||||
|
|
@ -58,7 +58,7 @@ from ._forms import open_form_input_handling
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class OrderDialog(BaseModel):
|
||||
class OrderDialog(Struct):
|
||||
'''
|
||||
Trade dialogue meta-data describing the lifetime
|
||||
of an order submission to ``emsd`` from a chart.
|
||||
|
|
@ -73,10 +73,6 @@ class OrderDialog(BaseModel):
|
|||
msgs: dict[str, dict] = {}
|
||||
fills: Dict[str, Any] = {}
|
||||
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
|
||||
|
|
@ -268,7 +264,8 @@ class OrderMode:
|
|||
self,
|
||||
|
||||
) -> OrderDialog:
|
||||
'''Send execution order to EMS return a level line to
|
||||
'''
|
||||
Send execution order to EMS return a level line to
|
||||
represent the order on a chart.
|
||||
|
||||
'''
|
||||
|
|
@ -277,13 +274,9 @@ class OrderMode:
|
|||
oid = str(uuid.uuid4())
|
||||
|
||||
# format order data for ems
|
||||
fqsn = symbol.front_fqsn()
|
||||
order = staged.copy(
|
||||
update={
|
||||
'symbol': fqsn,
|
||||
'oid': oid,
|
||||
}
|
||||
)
|
||||
order = staged.copy()
|
||||
order.oid = oid
|
||||
order.symbol = symbol.front_fqsn()
|
||||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
|
|
@ -858,7 +851,9 @@ async def process_trades_and_update_ui(
|
|||
# delete level line from view
|
||||
mode.on_cancel(oid)
|
||||
broker_msg = msg['brokerd_msg']
|
||||
log.warning(f'Order {oid} failed with:\n{pformat(broker_msg)}')
|
||||
log.warning(
|
||||
f'Order {oid} failed with:\n{pformat(broker_msg)}'
|
||||
)
|
||||
|
||||
elif resp in (
|
||||
'dark_triggered'
|
||||
|
|
|
|||
3
setup.py
3
setup.py
|
|
@ -47,12 +47,11 @@ setup(
|
|||
'attrs',
|
||||
'pygments',
|
||||
'colorama', # numba traceback coloring
|
||||
'pydantic', # structured data
|
||||
'msgspec', # performant IPC messaging and structs
|
||||
|
||||
# async
|
||||
'trio',
|
||||
'trio-websocket',
|
||||
'msgspec', # performant IPC messaging
|
||||
'async_generator',
|
||||
|
||||
# from github currently (see requirements.txt)
|
||||
|
|
|
|||
Loading…
Reference in New Issue