Get order cancellation working
Tyler Goodlet
parent
dba8457be9
commit
39e4953a6a
227
piker/_ems.py
227
piker/_ems.py
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@ -18,12 +18,11 @@
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In suit parlance: "Execution management systems"
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"""
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import time
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from dataclasses import dataclass, field
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from typing import (
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AsyncIterator, Dict, Callable, Tuple,
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Any,
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)
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# import uuid
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import trio
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from trio_typing import TaskStatus
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@ -71,11 +70,6 @@ class OrderBook:
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symbol: 'Symbol',
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price: float
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) -> str:
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# XXX: should make this an explicit attr
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# it's assigned inside ``.add_plot()``
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# lc = self.view.linked_charts
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# uid = str(uuid.uuid4())
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cmd = {
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'msg': 'alert',
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'price': price,
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@ -86,17 +80,22 @@ class OrderBook:
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self._sent_orders[uuid] = cmd
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self._to_ems.send_nowait(cmd)
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async def buy(self, price: float) -> str:
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def buy(self, price: float) -> str:
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...
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async def sell(self, price: float) -> str:
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def sell(self, price: float) -> str:
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...
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async def cancel(self, oid: str) -> bool:
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def cancel(self, uuid: str) -> bool:
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"""Cancel an order (or alert) from the EMS.
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"""
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...
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cmd = {
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'msg': 'cancel',
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'oid': uuid,
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}
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self._sent_orders[uuid] = cmd
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self._to_ems.send_nowait(cmd)
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# higher level operations
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@ -138,9 +137,7 @@ async def send_order_cmds():
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"pushed" from the parent to the EMS actor.
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"""
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global _from_order_book
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# book = get_orders()
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async for cmd in _from_order_book:
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@ -148,27 +145,6 @@ async def send_order_cmds():
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log.info(f'sending order cmd: {cmd}')
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yield cmd
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# lc = order['chart']
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# symbol = order['symol']
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# msg = order['msg']
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# price = order['price']
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# oid = order['oid']
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# TODO
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# oid = str(uuid.uuid4())
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# cmd = {
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# 'price': price,
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# 'action': 'alert',
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# 'symbol': symbol.key,
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# 'brokers': symbol.brokers,
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# 'msg': msg,
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# 'price': price,
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# 'oid': oid,
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# }
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# book._sent_orders[oid] = cmd
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# TODO: numba all of this
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def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
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@ -210,13 +186,13 @@ class _ExecBook:
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# levels which have an executable action (eg. alert, order, signal)
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orders: Dict[
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Tuple[str, str],
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Tuple[
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# predicates
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Callable[[float], bool],
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# actions
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Callable[[float], Dict[str, Any]],
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Dict[
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str, # uuid
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Tuple[
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Callable[[float], bool], # predicate
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str, # name
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dict, # cmd / msg type
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]
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]
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] = field(default_factory=dict)
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@ -273,6 +249,7 @@ async def exec_orders(
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# XXX: optimize this for speed
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##############################
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start = time.time()
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for sym, quote in quotes.items():
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execs = book.orders.get((broker, sym))
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@ -289,7 +266,7 @@ async def exec_orders(
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if not execs:
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continue
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for oid, pred, name, cmd in tuple(execs):
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for oid, (pred, name, cmd) in tuple(execs.items()):
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# push trigger msg back to parent as an "alert"
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# (mocking for eg. a "fill")
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@ -299,25 +276,19 @@ async def exec_orders(
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cmd['index'] = feed.shm._last.value - 1
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# current shm array index
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cmd['trigger_price'] = price
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cmd['msg'] = 'executed'
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await ctx.send_yield(cmd)
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# await ctx.send_yield({
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# 'type': 'alert',
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# 'price': price,
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# # current shm array index
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# 'index': feed.shm._last.value - 1,
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# 'name': name,
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# 'oid': oid,
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# })
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print(
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f"GOT ALERT FOR {exec_price} @ \n{tick}\n")
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print(f'removing pred for {oid}')
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execs.remove((oid, pred, name, cmd))
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pred, name, cmd = execs.pop(oid)
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print(f'execs are {execs}')
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print(f'execs scan took: {time.time() - start}')
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# feed teardown
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@ -333,6 +304,8 @@ async def stream_and_route(ctx, ui_name):
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actor = tractor.current_actor()
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book = get_book()
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_active_execs: Dict[str, (str, str)] = {}
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# new router entry point
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async with tractor.wait_for_actor(ui_name) as portal:
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@ -341,52 +314,63 @@ async def stream_and_route(ctx, ui_name):
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async for cmd in await portal.run(send_order_cmds):
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log.info(f'{cmd} received in {actor.uid}')
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msg = cmd['msg']
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if msg == 'cancel':
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# TODO:
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pass
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trigger_price = cmd['price']
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sym = cmd['symbol']
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brokers = cmd['brokers']
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oid = cmd['oid']
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if msg == 'alert':
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log.info(f'Alert {cmd} received in {actor.uid}')
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if msg == 'cancel':
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# destroy exec
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pred, name, cmd = book.orders[_active_execs[oid]].pop(oid)
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broker = brokers[0]
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last = book.lasts.get((broker, sym))
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# ack-cmdond that order is live
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await ctx.send_yield({'msg': 'cancelled', 'oid': oid})
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if last is None: # spawn new brokerd feed task
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continue
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quote = await n.start(
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exec_orders,
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ctx,
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# TODO: eventually support N-brokers
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broker,
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sym,
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trigger_price,
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)
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print(f"received first quote {quote}")
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elif msg in ('alert', 'buy', 'sell',):
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last = book.lasts[(broker, sym)]
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print(f'Known last is {last}')
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trigger_price = cmd['price']
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sym = cmd['symbol']
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brokers = cmd['brokers']
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# Auto-gen scanner predicate:
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# we automatically figure out what the alert check condition
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# should be based on the current first price received from the
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# feed, instead of being like every other shitty tina platform
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# that makes the user choose the predicate operator.
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pred, name = mk_check(trigger_price, last)
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broker = brokers[0]
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last = book.lasts.get((broker, sym))
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# create list of executions on first entry
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book.orders.setdefault((broker, sym), []).append(
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(oid, pred, name, cmd)
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)
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if last is None: # spawn new brokerd feed task
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# ack-respond that order is live
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await ctx.send_yield({'msg': 'ack', 'oid': oid})
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quote = await n.start(
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exec_orders,
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ctx,
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# TODO: eventually support N-brokers
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broker,
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sym,
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trigger_price,
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)
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print(f"received first quote {quote}")
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last = book.lasts[(broker, sym)]
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print(f'Known last is {last}')
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# Auto-gen scanner predicate:
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# we automatically figure out what the alert check
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# condition should be based on the current first
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# price received from the feed, instead of being
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# like every other shitty tina platform that makes
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# the user choose the predicate operator.
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pred, name = mk_check(trigger_price, last)
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# create list of executions on first entry
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book.orders.setdefault(
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(broker, sym), {})[oid] = (pred, name, cmd)
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# reverse lookup for cancellations
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_active_execs[oid] = (broker, sym)
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# ack-cmdond that order is live
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await ctx.send_yield({
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'msg': 'active',
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'oid': oid
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})
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# continue and wait on next order cmd
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@ -410,7 +394,7 @@ async def spawn_router_stream_alerts(
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portal = await n.start_actor(
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subactor_name,
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rpc_module_paths=[__name__],
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enable_modules=[__name__],
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)
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stream = await portal.run(
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stream_and_route,
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@ -424,51 +408,52 @@ async def spawn_router_stream_alerts(
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# begin the trigger-alert stream
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# this is where we receive **back** messages
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# about executions **from** the EMS actor
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async for alert in stream:
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async for msg in stream:
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# delete the line from view
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oid = alert['oid']
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msg_type = alert['msg']
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oid = msg['oid']
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resp = msg['msg']
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if msg_type == 'ack':
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print(f"order accepted: {alert}")
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if resp in ('active',):
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print(f"order accepted: {msg}")
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# show line label once order is live
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order_mode.lines.commit_line(oid)
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continue
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order_mode.arrows.add(
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oid,
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alert['index'],
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alert['price'],
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pointing='up' if alert['name'] == 'up' else 'down'
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)
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elif resp in ('cancelled',):
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# print(f'_lines: {_lines}')
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print(f'deleting line with oid: {oid}')
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# delete level from view
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order_mode.lines.remove_line(uuid=oid)
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print(f'deleting line with oid: {oid}')
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# delete level from view
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order_mode.lines.remove_line(uuid=oid)
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elif resp in ('executed',):
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# chart._vb._lines_editor
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# _lines.pop(oid).delete()
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order_mode.lines.remove_line(uuid=oid)
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print(f'deleting line with oid: {oid}')
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# TODO: this in another task?
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# not sure if this will ever be a bottleneck,
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# we probably could do graphics stuff first tho?
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order_mode.arrows.add(
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oid,
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msg['index'],
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msg['price'],
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pointing='up' if msg['name'] == 'up' else 'down'
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)
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# XXX: linux only for now
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result = await trio.run_process(
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[
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'notify-send',
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'-u', 'normal',
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'-t', '10000',
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'piker',
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f'alert: {alert}',
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],
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)
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log.runtime(result)
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# DESKTOP NOTIFICATIONS
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#
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# TODO: this in another task?
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# not sure if this will ever be a bottleneck,
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# we probably could do graphics stuff first tho?
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# do we need this?
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# await _from_ems.put(alert)
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# XXX: linux only for now
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result = await trio.run_process(
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[
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'notify-send',
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'-u', 'normal',
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'-t', '10000',
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'piker',
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f'alert: {msg}',
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],
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)
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log.runtime(result)
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@ -308,6 +308,7 @@ class LineEditor:
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"""
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line = self._order_lines[uuid]
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line.oid = uuid
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line.label.show()
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# TODO: other flashy things to indicate the order is active
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@ -316,6 +317,13 @@ class LineEditor:
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return line
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def lines_under_cursor(self):
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"""Get the line(s) under the cursor position.
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"""
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# Delete any hoverable under the cursor
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return self.chart._cursor._hovered
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def remove_line(
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self,
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line: LevelLine = None,
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@ -328,21 +336,17 @@ class LineEditor:
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"""
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if line:
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# If line is passed delete it
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line.delete()
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uuid = line.oid
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elif uuid:
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# try to look up line from our registry
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self._order_lines.pop(uuid).delete()
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# try to look up line from our registry
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line = self._order_lines.pop(uuid)
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else:
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# Delete any hoverable under the cursor
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cursor = self.chart._cursor
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# if hovered remove from cursor set
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hovered = self.chart._cursor._hovered
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if line in hovered:
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hovered.remove(line)
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for item in cursor._hovered:
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# hovered items must also offer
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# a ``.delete()`` method
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item.delete()
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line.delete()
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@dataclass
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@ -392,10 +396,15 @@ class OrderMode:
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"""Major mode for placing orders on a chart view.
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"""
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chart: 'ChartPlotWidget'
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chart: 'ChartPlotWidget' # type: ignore # noqa
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book: OrderBook
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lines: LineEditor
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arrows: ArrowEditor
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_arrow_colors = {
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'alert': 'alert_yellow',
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'buy': 'buy_green',
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'sell': 'sell_red',
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}
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key_map: Dict[str, Callable] = field(default_factory=dict)
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@ -664,7 +673,6 @@ class ChartView(ViewBox):
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price=y
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)
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def keyReleaseEvent(self, ev):
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"""
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Key release to normally to trigger release of input mode
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@ -686,7 +694,6 @@ class ChartView(ViewBox):
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if text == 'a':
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# draw "staged" line under cursor position
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# self._lines_editor.unstage_line()
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self.mode.lines.unstage_line()
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def keyPressEvent(self, ev):
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@ -732,13 +739,14 @@ class ChartView(ViewBox):
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elif text == 'a':
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# add a line at the current cursor
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# self._lines_editor.stage_line()
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self.mode.lines.stage_line()
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elif text == 'd':
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# delete any lines under the cursor
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# self._lines_editor.remove_line()
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self.mode.lines.remove_line()
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mode = self.mode
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for line in mode.lines.lines_under_cursor():
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mode.book.cancel(uuid=line.oid)
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# XXX: Leaving this for light reference purposes, there
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# seems to be some work to at least gawk at for history mgmt.
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