Allocate pnl calc subtask inside order mode machinery
Tyler Goodlet
parent
fd982df7a9
commit
423fc8332c
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@ -41,7 +41,6 @@ from .._daemon import (
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maybe_spawn_brokerd,
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)
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from ..brokers import get_brokermod
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from ..calc import percent_change
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from ._axes import (
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DynamicDateAxis,
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PriceAxis,
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@ -68,7 +67,6 @@ from ..data import maybe_open_shm_array
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from ..data.feed import open_feed, Feed, install_brokerd_search
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from ..data._source import Symbol
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from ..data._sharedmem import ShmArray
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from ..data._normalize import iterticks
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from .. import brokers
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from ..log import get_logger
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from ._exec import run_qtractor
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@ -1841,49 +1839,14 @@ async def display_symbol_data(
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async with (
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open_order_mode(
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feed,
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chart,
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symbol,
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provider,
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order_mode_started
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) as order_mode,
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):
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pp = order_mode.pp
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live = pp.live_pp
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if live.size < 0:
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types = ('ask', 'last')
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elif live.size > 0:
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types = ('bid', 'last')
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else:
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raise RuntimeError('No pp?!?!')
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# real-time update pnl on the order mode
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async with feed.stream.subscribe() as bstream:
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last_tick = time.time()
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async for quotes in bstream:
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now = time.time()
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period = now - last_tick
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for sym, quote in quotes.items():
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for tick in iterticks(quote, types):
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print(f'{1/period} Hz')
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# compute and display pnl status
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order_mode.pane.pnl_label.format(
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pnl=round(
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live.size * percent_change(
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live.avg_price,
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tick['price'],
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),
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ndigits=2,
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)
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)
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last_tick = time.time()
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await trio.sleep_forever()
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async def load_provider_search(
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@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from functools import partial
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from math import copysign
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from pprint import pformat
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import time
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from typing import Optional, Dict, Callable, Any
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@ -32,8 +33,11 @@ import tractor
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import trio
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from .. import brokers
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from ..calc import percent_change
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from ..clearing._client import open_ems, OrderBook
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from ..data._source import Symbol
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from ..data._normalize import iterticks
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from ..data.feed import Feed
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from ..log import get_logger
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from ._editors import LineEditor, ArrowEditor
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from ._lines import order_line, LevelLine
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@ -466,6 +470,7 @@ class OrderMode:
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@asynccontextmanager
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async def open_order_mode(
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feed: Feed,
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chart: 'ChartPlotWidget', # noqa
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symbol: Symbol,
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brokername: str,
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@ -520,7 +525,7 @@ async def open_order_mode(
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form = chart.sidepane
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form.model = alloc
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pp_tracker = PositionTracker(chart)
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pp_tracker = PositionTracker(chart, alloc)
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pp_tracker.hide()
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# order pane widgets and allocation model
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@ -574,6 +579,35 @@ async def open_order_mode(
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pp_tracker.update(msg, position=pp_tracker.startup_pp)
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pp_tracker.update(msg)
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live_pp = mode.pp.live_pp
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size = live_pp.size
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if size:
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global _zero_pp
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_zero_pp = False
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# compute and display pnl status immediately
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mode.pane.pnl_label.format(
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pnl=round(
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copysign(1, size) * percent_change(
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live_pp.avg_price,
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# last historical close price
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feed.shm.array[-1][['close']][0],
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),
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ndigits=2,
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)
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)
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# spawn updater task
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n.start_soon(
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display_pnl,
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feed,
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mode,
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)
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else:
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# set 0% pnl
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mode.pane.pnl_label.format(pnl=0)
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# make fill bar and positioning snapshot
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order_pane.init_status_ui()
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@ -601,16 +635,83 @@ async def open_order_mode(
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n.start_soon(
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process_trades_and_update_ui,
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n,
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feed,
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mode,
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trades_stream,
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book,
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)
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yield mode
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# await trio.sleep_forever()
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_zero_pp: bool = True
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async def display_pnl(
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feed: Feed,
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order_mode: OrderMode,
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) -> None:
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'''Real-time display the current pp's PnL in the appropriate label.
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Error if this task is spawned where there is a net-zero pp.
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'''
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global _zero_pp
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assert not _zero_pp
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pp = order_mode.pp
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live = pp.live_pp
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if live.size < 0:
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types = ('ask', 'last', 'last', 'utrade')
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elif live.size > 0:
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types = ('bid', 'last', 'last', 'utrade')
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else:
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raise RuntimeError('No pp?!?!')
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# real-time update pnl on the status pane
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async with feed.stream.subscribe() as bstream:
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last_tick = time.time()
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async for quotes in bstream:
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now = time.time()
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period = now - last_tick
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for sym, quote in quotes.items():
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for tick in iterticks(quote, types):
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print(f'{1/period} Hz')
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size = live.size
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if size == 0:
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# terminate this update task since we're
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# no longer in a pp
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_zero_pp = True
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order_mode.pane.pnl_label.format(pnl=0)
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return
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else:
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# compute and display pnl status
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order_mode.pane.pnl_label.format(
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pnl=round(
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copysign(1, size) * percent_change(
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live.avg_price,
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tick['price'],
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),
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ndigits=2,
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)
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)
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last_tick = time.time()
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async def process_trades_and_update_ui(
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n: trio.Nursery,
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feed: Feed,
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mode: OrderMode,
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trades_stream: tractor.MsgStream,
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book: OrderBook,
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@ -619,6 +720,7 @@ async def process_trades_and_update_ui(
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get_index = mode.chart.get_index
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tracker = mode.pp
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global _zero_pp
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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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@ -640,6 +742,13 @@ async def process_trades_and_update_ui(
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# update order pane widgets
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mode.pane.update_status_ui()
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if mode.pp.live_pp.size and _zero_pp:
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_zero_pp = False
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n.start_soon(
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display_pnl,
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feed,
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mode,
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)
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# short circuit to next msg to avoid
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# uncessary msg content lookups
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continue
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