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Error out clearing task on first quote being nan

windows_testing_volume
Tyler Goodlet 2021-10-27 12:58:41 -04:00
parent baf3fcb6fd
commit 43c59a2149
1 changed files with 15 additions and 4 deletions
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19
piker/clearing/_ems.py
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@ -20,6 +20,7 @@ In da suit parlances: "Execution management systems"
""" """
from contextlib import asynccontextmanager from contextlib import asynccontextmanager
from dataclasses import dataclass, field from dataclasses import dataclass, field
from math import isnan
from pprint import pformat from pprint import pformat
import time import time
from typing import AsyncIterator, Callable from typing import AsyncIterator, Callable
@ -47,9 +48,11 @@ log = get_logger(__name__)
# TODO: numba all of this # TODO: numba all of this
def mk_check( def mk_check(
trigger_price: float, trigger_price: float,
known_last: float, known_last: float,
action: str, action: str,
) -> Callable[[float, float], bool]: ) -> Callable[[float, float], bool]:
"""Create a predicate for given ``exec_price`` based on last known """Create a predicate for given ``exec_price`` based on last known
price, ``known_last``. price, ``known_last``.
@ -77,8 +80,7 @@ def mk_check(
return check_lt return check_lt
else: raise ValueError('trigger: {trigger_price}, last: {known_last}')
return None
@dataclass @dataclass
@ -177,7 +179,15 @@ async def clear_dark_triggers(
tuple(execs.items()) tuple(execs.items())
): ):
if not pred or (ttype not in tf) or (not pred(price)): if (
not pred or
ttype not in tf or
not pred(price)
):
log.debug(
f'skipping quote for {sym} '
f'{pred}, {ttype} not in {tf}?, {pred(price)}'
)
# majority of iterations will be non-matches # majority of iterations will be non-matches
continue continue
@ -1005,7 +1015,8 @@ async def _emsd_main(
first_quote = feed.first_quotes[symbol] first_quote = feed.first_quotes[symbol]
book = _router.get_dark_book(broker) book = _router.get_dark_book(broker)
book.lasts[(broker, symbol)] = first_quote['last'] last = book.lasts[(broker, symbol)] = first_quote['last']
assert not isnan(last) # ib is a cucker but we've fixed it in the backend
# open a stream with the brokerd backend for order # open a stream with the brokerd backend for order
# flow dialogue # flow dialogue