Add symcache support to paper eng
- add the `.norm_trade()` required ep (for symcache offline loading) - port to new `Account` apis (which now require a symcache input)account_tests
Tyler Goodlet
parent
55c3d617fa
commit
4123c97139
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@ -45,7 +45,7 @@ from ..accounting._mktinfo import (
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)
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from ..accounting import (
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Position,
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PpTable,
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Account,
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Transaction,
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TransactionLedger,
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open_trade_ledger,
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@ -77,10 +77,8 @@ class PaperBoi(Struct):
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'''
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broker: str
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ems_trades_stream: tractor.MsgStream
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ppt: PpTable
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acnt: Account
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ledger: TransactionLedger
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# map of paper "live" orders which be used
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@ -263,9 +261,9 @@ class PaperBoi(Struct):
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# we don't actually have any unique backend symbol ourselves
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# other then this thing, our fqme address.
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bs_mktid: str = fqme
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assert self._mkts[fqme].fqme == fqme
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t = Transaction(
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fqme=fqme,
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sym=self._mkts[fqme],
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tid=oid,
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size=size,
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price=price,
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@ -276,10 +274,13 @@ class PaperBoi(Struct):
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# update in-mem ledger and pos table
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self.ledger.update_from_t(t)
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self.ppt.update_from_trans({oid: t})
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self.acnt.update_from_ledger(
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{oid: t},
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symcache=self.ledger._symcache,
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)
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# transmit pp msg to ems
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pp = self.ppt.pps[bs_mktid]
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pp = self.acnt.pps[bs_mktid]
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pp_msg = BrokerdPosition(
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broker=self.broker,
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account='paper',
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@ -296,7 +297,7 @@ class PaperBoi(Struct):
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# write all updates to filesys immediately
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# (adds latency but that works for simulation anyway)
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self.ledger.write_config()
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self.ppt.write_config()
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self.acnt.write_config()
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await self.ems_trades_stream.send(pp_msg)
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@ -540,14 +541,14 @@ async def open_trade_dialog(
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# enable piker.clearing console log for *this* subactor
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get_console_log(loglevel)
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ppt: PpTable
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acnt: Account
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ledger: TransactionLedger
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with (
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open_pps(
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broker,
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'paper',
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write_on_exit=True,
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) as ppt,
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) as acnt,
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open_trade_ledger(
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broker,
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@ -559,7 +560,7 @@ async def open_trade_dialog(
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# don't contain necessary market info per trade record entry..
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# - if no fqme was passed in, we presume we're running in
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# "ledger-sync-only mode" and thus we load mkt info for
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# each symbol found in the ledger to a ppt table manually.
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# each symbol found in the ledger to a acnt table manually.
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# TODO: how to process ledger info from backends?
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# - should we be rolling our own actor-cached version of these
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@ -575,7 +576,7 @@ async def open_trade_dialog(
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mkt_by_fqme: dict[str, MktPair] = {}
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if fqme:
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bs_fqme, _, broker = fqme.rpartition('.')
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mkt, _ = await brokermod.get_mkt_info(bs_fqme)
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mkt, pair = await brokermod.get_mkt_info(bs_fqme)
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mkt_by_fqme[mkt.fqme] = mkt
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# for each sym in the ledger load it's `MktPair` info
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@ -586,7 +587,7 @@ async def open_trade_dialog(
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gmi
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and l_fqme not in mkt_by_fqme
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):
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mkt, pair = await brokermod.get_mkt_info(
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mkt, pair = await gmi(
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l_fqme.rstrip(f'.{broker}'),
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)
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mkt_by_fqme[l_fqme] = mkt
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@ -603,12 +604,12 @@ async def open_trade_dialog(
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# update pos table from ledger history and provide a ``MktPair``
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# lookup for internal position accounting calcs.
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ppt.update_from_trans(ledger.to_trans(mkt_by_fqme=mkt_by_fqme))
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acnt.update_from_ledger(ledger)
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pp_msgs: list[BrokerdPosition] = []
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pos: Position
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token: str # f'{symbol}.{self.broker}'
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for token, pos in ppt.pps.items():
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for token, pos in acnt.pps.items():
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pp_msgs.append(BrokerdPosition(
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broker=broker,
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account='paper',
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@ -624,7 +625,7 @@ async def open_trade_dialog(
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# write new positions state in case ledger was
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# newer then that tracked in pps.toml
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ppt.write_config()
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acnt.write_config()
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# exit early since no fqme was passed,
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# normally this case is just to load
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@ -645,7 +646,9 @@ async def open_trade_dialog(
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):
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# sanity check all the mkt infos
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for fqme, flume in feed.flumes.items():
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assert mkt_by_fqme[fqme] == flume.mkt
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mkt = mkt_by_fqme[fqme]
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print(mkt - flume.mkt)
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assert mkt == flume.mkt
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async with (
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ctx.open_stream() as ems_stream,
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@ -654,7 +657,7 @@ async def open_trade_dialog(
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client = PaperBoi(
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broker=broker,
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ems_trades_stream=ems_stream,
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ppt=ppt,
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acnt=acnt,
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ledger=ledger,
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_buys=_buys,
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@ -723,3 +726,31 @@ async def open_paperboi(
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await ctx.cancel()
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if we_spawned:
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await portal.cancel_actor()
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def norm_trade(
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txdict: dict,
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) -> Transaction:
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from pendulum import (
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DateTime,
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parse,
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)
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# special field handling for datetimes
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# to ensure pendulum is used!
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dt: DateTime = parse(txdict['dt'])
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expiry: str | None = txdict.get('expiry')
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fqme: str = txdict.get('fqme') or txdict.pop('fqsn')
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return Transaction(
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fqme=fqme,
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tid=txdict['tid'],
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dt=dt,
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price=txdict['price'],
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size=txdict['size'],
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cost=txdict.get('cost', 0),
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bs_mktid=txdict['bs_mktid'],
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expiry=parse(expiry) if expiry else None,
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etype='clear',
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)
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