Add `update_and_audit()` in prep for rt per-trade-event pp udpates
Tyler Goodlet
parent
7b2e8f1ba5
commit
3991d8f911
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@ -267,8 +267,9 @@ async def recv_trade_updates(
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async def update_ledger_from_api_trades(
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clients: list[Union[Client, MethodProxy]],
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trade_entries: dict[str, Any],
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ib_pp_msgs: dict[int, BrokerdPosition], # conid -> msg
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client: Union[Client, MethodProxy],
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) -> dict[str, Any]:
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@ -279,34 +280,34 @@ async def update_ledger_from_api_trades(
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# retreive new trade executions from the last session
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# and/or day's worth of trading and convert into trade
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# records suitable for a local ledger file.
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trades_by_account: dict = {}
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for client in clients:
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# trades_by_account: dict = {}
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# for client in clients:
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trade_entries = await client.trades()
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# trade_entries = await client.trades()
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# XXX; ERRGGG..
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# pack in the "primary/listing exchange" value from a
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# contract lookup since it seems this isn't available by
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# default from the `.fills()` method endpoint...
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for entry in trade_entries:
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condict = entry['contract']
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conid = condict['conId']
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pexch = condict['primaryExchange']
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# XXX; ERRGGG..
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# pack in the "primary/listing exchange" value from a
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# contract lookup since it seems this isn't available by
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# default from the `.fills()` method endpoint...
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for entry in trade_entries:
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condict = entry['contract']
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conid = condict['conId']
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pexch = condict['primaryExchange']
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if not pexch:
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con = (await client.get_con(conid=conid))[0]
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pexch = con.primaryExchange
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if not pexch:
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con = (await client.get_con(conid=conid))[0]
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pexch = con.primaryExchange
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entry['listingExchange'] = pexch
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entry['listingExchange'] = pexch
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records = trades_to_records(
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conf['accounts'].inverse,
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trade_entries,
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)
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trades_by_account.update(records)
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records = trades_to_records(
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conf['accounts'].inverse,
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trade_entries,
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)
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# trades_by_account.update(records)
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# write recent session's trades to the user's (local) ledger file.
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for acctid, trades_by_id in trades_by_account.items():
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for acctid, trades_by_id in records.items():
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with pp.open_trade_ledger('ib', acctid) as ledger:
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ledger.update(trades_by_id)
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@ -327,7 +328,76 @@ async def update_ledger_from_api_trades(
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)
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r.fqsn = normed_msg.symbol
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pp.update_pps_conf('ib', acctid, records)
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active = pp.update_pps_conf('ib', acctid, records)
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return active
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async def update_and_audit(
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by_fqsn: dict[str, pp.Position],
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cids2pps: dict[int, BrokerdPosition],
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) -> list[BrokerdPosition]:
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msgs: list[BrokerdPosition] = []
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pps: dict[int, pp.Position] = {}
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for fqsn, p in by_fqsn.items():
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bsuid = p.bsuid
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# build trade-session-actor local table
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# of pps from unique symbol ids.
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pps[bsuid] = p
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# retreive equivalent ib reported position message
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# for comparison/audit versus the piker equivalent
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# breakeven pp calcs.
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ibppmsg = cids2pps[bsuid]
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msg = BrokerdPosition(
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broker='ib',
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# XXX: ok so this is annoying, we're relaying
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# an account name with the backend suffix prefixed
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# but when reading accounts from ledgers we don't
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# need it and/or it's prefixed in the section
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# table..
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account=ibppmsg.account,
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# XXX: the `.ib` is stripped..?
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symbol=ibppmsg.symbol,
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currency=ibppmsg.currency,
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size=p.size,
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avg_price=p.avg_price,
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)
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ibsize = ibppmsg.size
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pikersize = msg.size
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diff = pikersize - ibsize
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# if ib reports a lesser pp it's not as bad since we can
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# presume we're at least not more in the shit then we
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# thought.
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if diff:
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raise ValueError(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {msg}\n'
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f'piker: {ibppmsg}\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?'
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)
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msg.size = ibsize
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if ibppmsg.avg_price != msg.avg_price:
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# TODO: make this a "propoganda" log level?
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log.warning(
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'The mega-cucks at IB want you to believe with their '
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f'"FIFO" positioning for {msg.symbol}:\n'
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f'"ib" mega-cucker avg price: {ibppmsg.avg_price}\n'
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f'piker, LIFO breakeven PnL price: {msg.avg_price}'
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)
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msgs.append(msg)
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return msgs
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@tractor.context
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@ -389,7 +459,6 @@ async def trades_dialogue(
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# money.. xb
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for client in aioclients.values():
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for pos in client.positions():
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cid, msg = pack_position(pos)
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acctid = msg.account = accounts_def.inverse[msg.account]
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used_accounts.add(acctid)
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@ -399,61 +468,21 @@ async def trades_dialogue(
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# update trades ledgers for all accounts from
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# connected api clients.
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await update_ledger_from_api_trades(
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proxies.values(),
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cids2pps, # pass these in to map to correct fqsns..
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)
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for account, proxy in proxies.items():
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await update_ledger_from_api_trades(
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await proxy.trades(),
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cids2pps, # pass these in to map to correct fqsns..
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proxy,
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)
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# load all positions from `pps.toml`, cross check with ib's
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# positions data, and relay re-formatted pps as msgs to the ems.
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for acctid, by_fqsn in pp.get_pps(
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'ib', acctids=used_accounts,
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).items():
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for fqsn, posdict in by_fqsn.items():
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ibppmsg = cids2pps[posdict['bsuid']]
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msg = BrokerdPosition(
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broker='ib',
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# XXX: ok so this is annoying, we're relaying
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# an account name with the backend suffix prefixed
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# but when reading accounts from ledgers we don't
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# need it and/or it's prefixed in the section
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# table..
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account=ibppmsg.account,
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# XXX: the `.ib` is stripped..?
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symbol=ibppmsg.symbol,
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currency=ibppmsg.currency,
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size=posdict['size'],
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avg_price=posdict['avg_price'],
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)
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print(msg)
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ibsize = ibppmsg.size
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pikersize = msg.size
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diff = pikersize - ibsize
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# if ib reports a lesser pp it's not as bad since we can
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# presume we're at least not more in the shit then we
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# thought.
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if diff:
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raise ValueError(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {ibsize}\n'
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f'piker: {pikersize}\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?'
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)
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msg.size = ibsize
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if ibppmsg.avg_price != msg.avg_price:
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# TODO: make this a "propoganda" log level?
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log.warning(
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'The mega-cucks at IB want you to believe with their '
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f'"FIFO" positioning for {msg.symbol}:\n'
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f'"ib" mega-cucker avg price: {ibppmsg.avg_price}\n'
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f'piker, LIFO breakeven PnL price: {msg.avg_price}'
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)
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all_positions.append(msg.dict())
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msgs = await update_and_audit(by_fqsn, cids2pps)
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all_positions.extend(msg.dict() for msg in msgs)
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if not all_positions and cids2pps:
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raise RuntimeError(
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@ -621,6 +650,7 @@ async def deliver_trade_events(
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continue
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elif event_name == 'position':
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cid, msg = pack_position(item)
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msg.account = accounts_def.inverse[msg.account]
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