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Fill clearable prices asap

basic_orders
Tyler Goodlet 2021-02-20 16:43:33 -05:00
parent d8b157d209
commit 38b2e99002
1 changed files with 36 additions and 27 deletions
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63
piker/_ems.py
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@ -163,18 +163,6 @@ class PaperBoi:
# {'local_trades': (event_name, msg)} # {'local_trades': (event_name, msg)}
reqid = str(uuid.uuid4()) reqid = str(uuid.uuid4())
# register this submissions as a paper live order
if action == 'buy':
orders = self._buys
elif action == 'sell':
orders = self._sells
# buys/sells: (symbol -> (price -> order))
orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
self._reqids[reqid] = (oid, symbol, action, price)
# TODO: net latency model # TODO: net latency model
# we checkpoint here quickly particulalry # we checkpoint here quickly particulalry
# for dark orders since we want the dark_executed # for dark orders since we want the dark_executed
@ -198,6 +186,30 @@ class PaperBoi:
}, },
}), }),
}) })
# register order internally
self._reqids[reqid] = (oid, symbol, action, price)
# if we're already a clearing price simulate an immediate fill
if (
action == 'buy' and (clear_price := self.last_ask[0]) <= price
) or (
action == 'sell' and (clear_price := self.last_bid[0]) >= price
):
await self.fake_fill(clear_price, size, action, reqid, oid)
else: # register this submissions as a paper live order
# submit order to book simulation fill loop
if action == 'buy':
orders = self._buys
elif action == 'sell':
orders = self._sells
# buys/sells: (symbol -> (price -> order))
orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
return reqid return reqid
async def submit_cancel( async def submit_cancel(
@ -327,30 +339,26 @@ async def simulate_fills(
async for quotes in quote_stream: async for quotes in quote_stream:
for sym, quote in quotes.items(): for sym, quote in quotes.items():
buys, sells = client._buys.get(sym), client._sells.get(sym)
if not (buys or sells):
continue
for tick in iterticks( for tick in iterticks(
quote, quote,
# dark order price filter(s) # dark order price filter(s)
types=('ask', 'bid', 'trade', 'last') types=('ask', 'bid', 'trade', 'last')
): ):
print(tick) # print(tick)
tick_price = tick.get('price') tick_price = tick.get('price')
ttype = tick['type'] ttype = tick['type']
if ttype in ('ask',) and buys: if ttype in ('ask',):
client.last_ask = ( client.last_ask = (
tick_price, tick_price,
tick.get('size', client.last_ask[1]), tick.get('size', client.last_ask[1]),
) )
buys = client._buys.get(sym, {})
# iterate book prices descending # iterate book prices descending
for our_bid in reversed(sorted(buys.keys())): for our_bid in reversed(sorted(buys.keys())):
if tick_price < our_bid: if tick_price < our_bid:
# retreive order info # retreive order info
@ -370,16 +378,17 @@ async def simulate_fills(
# we're done # we're done
break break
if ttype in ('bid',) and sells: if ttype in ('bid',):
client.last_bid = (
tick_price,
tick.get('size', client.last_bid[1]),
)
sells = client._sells.get(sym, {})
# iterate book prices ascending # iterate book prices ascending
for our_ask in sorted(sells.keys()): for our_ask in sorted(sells.keys()):
client.last_bid = (
tick_price,
tick.get('bid', client.last_bid[1]),
)
if tick_price > our_ask: if tick_price > our_ask:
# retreive order info # retreive order info