Allocate pnl calc subtask inside order mode machinery

fsp_feeds
Tyler Goodlet 2021-08-28 14:18:37 -04:00
parent fd982df7a9
commit 423fc8332c
2 changed files with 113 additions and 41 deletions

View File

@ -41,7 +41,6 @@ from .._daemon import (
maybe_spawn_brokerd, maybe_spawn_brokerd,
) )
from ..brokers import get_brokermod from ..brokers import get_brokermod
from ..calc import percent_change
from ._axes import ( from ._axes import (
DynamicDateAxis, DynamicDateAxis,
PriceAxis, PriceAxis,
@ -68,7 +67,6 @@ from ..data import maybe_open_shm_array
from ..data.feed import open_feed, Feed, install_brokerd_search from ..data.feed import open_feed, Feed, install_brokerd_search
from ..data._source import Symbol from ..data._source import Symbol
from ..data._sharedmem import ShmArray from ..data._sharedmem import ShmArray
from ..data._normalize import iterticks
from .. import brokers from .. import brokers
from ..log import get_logger from ..log import get_logger
from ._exec import run_qtractor from ._exec import run_qtractor
@ -1841,49 +1839,14 @@ async def display_symbol_data(
async with ( async with (
open_order_mode( open_order_mode(
feed,
chart, chart,
symbol, symbol,
provider, provider,
order_mode_started order_mode_started
) as order_mode, ) as order_mode,
): ):
pp = order_mode.pp await trio.sleep_forever()
live = pp.live_pp
if live.size < 0:
types = ('ask', 'last')
elif live.size > 0:
types = ('bid', 'last')
else:
raise RuntimeError('No pp?!?!')
# real-time update pnl on the order mode
async with feed.stream.subscribe() as bstream:
last_tick = time.time()
async for quotes in bstream:
now = time.time()
period = now - last_tick
for sym, quote in quotes.items():
for tick in iterticks(quote, types):
print(f'{1/period} Hz')
# compute and display pnl status
order_mode.pane.pnl_label.format(
pnl=round(
live.size * percent_change(
live.avg_price,
tick['price'],
),
ndigits=2,
)
)
last_tick = time.time()
async def load_provider_search( async def load_provider_search(

View File

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