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Merge pull request #347 from pikers/pps_postmortem 

Pps postmortem
ib_rt_pp_update_hotfix
goodboy 2022-07-04 15:28:27 -04:00 committed by GitHub
parent d5bc43e8dd 7442d68ecf
commit 479ad1bb15
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GPG Key ID: 4AEE18F83AFDEB23
5 changed files with 56 additions and 39 deletions
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9
piker/brokers/ib/__init__.py
View File

@ -20,15 +20,10 @@ Interactive Brokers API backend.
Sub-modules within break into the core functionalities:
- ``broker.py`` part for orders / trading endpoints
- ``data.py`` for real-time data feed endpoints
- ``client.py`` for the core API machinery which is ``trio``-ized
- ``feed.py`` for real-time data feed endpoints
- ``api.py`` for the core API machinery which is ``trio``-ized
wrapping around ``ib_insync``.
- ``report.py`` for the hackery to build manual pp calcs
to avoid ib's absolute bullshit FIFO style position
tracking..
"""
from .api import (
get_client,

3
piker/brokers/ib/broker.py
View File

@ -296,8 +296,7 @@ async def update_ledger_from_api_trades(
client: Union[Client, MethodProxy],
) -> dict[str, pp.Transaction]:
# construct piker pps from trade ledger, underneath using
# LIFO style breakeven pricing calcs.
conf = get_config()
# XXX; ERRGGG..

43
piker/clearing/_ems.py
View File

@ -289,7 +289,11 @@ class TradesRelay:
brokerd_dialogue: tractor.MsgStream
# map of symbols to dicts of accounts to pp msgs
positions: dict[str, dict[str, BrokerdPosition]]
positions: dict[
# brokername, acctid
tuple[str, str],
list[BrokerdPosition],
]
# allowed account names
accounts: tuple[str]
@ -461,18 +465,24 @@ async def open_brokerd_trades_dialogue(
# normalizing them to EMS messages and relaying back to
# the piker order client set.
# locally cache and track positions per account.
# locally cache and track positions per account with
# a table of (brokername, acctid) -> `BrokerdPosition`
# msgs.
pps = {}
for msg in positions:
log.info(f'loading pp: {msg}')
account = msg['account']
# TODO: better value error for this which
# dumps the account and message and states the
# mismatch..
assert account in accounts
pps.setdefault(
f'{msg["symbol"]}.{broker}',
{}
)[account] = msg
(broker, account),
[],
).append(msg)
relay = TradesRelay(
brokerd_dialogue=brokerd_trades_stream,
@ -578,11 +588,9 @@ async def translate_and_relay_brokerd_events(
relay.positions.setdefault(
# NOTE: translate to a FQSN!
f'{sym}.{broker}',
{}
).setdefault(
pos_msg['account'], {}
).update(pos_msg)
(broker, sym),
[]
).append(pos_msg)
# fan-out-relay position msgs immediately by
# broadcasting updates on all client streams
@ -635,8 +643,8 @@ async def translate_and_relay_brokerd_events(
# something is out of order, we don't have an oid for
# this broker-side message.
log.error(
'Unknown oid:{oid} for msg:\n'
f'{pformat(brokerd_msg)}'
f'Unknown oid: {oid} for msg:\n'
f'{pformat(brokerd_msg)}\n'
'Unable to relay message to client side!?'
)
@ -1088,15 +1096,12 @@ async def _emsd_main(
brokerd_stream = relay.brokerd_dialogue # .clone()
# flatten out collected pps from brokerd for delivery
pp_msgs = {
fqsn: list(pps.values())
for fqsn, pps in relay.positions.items()
}
# signal to client that we're started and deliver
# all known pps and accounts for this ``brokerd``.
await ems_ctx.started((pp_msgs, list(relay.accounts)))
await ems_ctx.started((
relay.positions,
list(relay.accounts),
))
# establish 2-way stream with requesting order-client and
# begin handling inbound order requests and updates

19
piker/pp.py
View File

@ -285,15 +285,14 @@ class Position(Struct):
all transactions before the last net zero size to avoid
unecessary history irrelevant to the current pp state.
'''
size: float = 0
size: float = self.size
clears_since_zero: deque[tuple(str, dict)] = deque()
# scan for the last "net zero" position by
# iterating clears in reverse.
for tid, clear in reversed(self.clears.items()):
size += clear['size']
size -= clear['size']
clears_since_zero.appendleft((tid, clear))
if size == 0:
@ -358,8 +357,6 @@ def update_pps(
# track clearing data
pp.update(r)
assert len(set(pp.clears)) == len(pp.clears)
return pps
@ -632,7 +629,12 @@ def load_pps_from_toml(
# index clears entries in "object" form by tid in a top
# level dict instead of a list (as is presented in our
# ``pps.toml``).
clears = {}
pp = pp_objs.get(bsuid)
if pp:
clears = pp.clears
else:
clears = {}
for clears_table in clears_list:
tid = clears_table.pop('tid')
clears[tid] = clears_table
@ -716,6 +718,11 @@ def update_pps_conf(
for bsuid in list(pp_objs):
pp = pp_objs[bsuid]
# XXX: debug hook for size mismatches
# if bsuid == 447767096:
# breakpoint()
pp.minimize_clears()
if (

21
piker/ui/order_mode.py
View File

@ -579,9 +579,9 @@ async def open_order_mode(
providers=symbol.brokers
)
# XXX: ``brokerd`` delivers a set of account names that it allows
# use of but the user also can define the accounts they'd like
# to use, in order, in their `brokers.toml` file.
# XXX: ``brokerd`` delivers a set of account names that it
# allows use of but the user also can define the accounts they'd
# like to use, in order, in their `brokers.toml` file.
accounts = {}
for name in brokerd_accounts:
# ensure name is in ``brokers.toml``
@ -594,10 +594,21 @@ async def open_order_mode(
iter(accounts.keys())
) if accounts else 'paper'
# Pack position messages by account, should only be one-to-one.
# NOTE: requires the backend exactly specifies
# the expected symbol key in its positions msg.
pp_msgs = position_msgs.get(symkey, ())
pps_by_account = {msg['account']: msg for msg in pp_msgs}
pps_by_account = {}
for (broker, acctid), msgs in position_msgs.items():
for msg in msgs:
sym = msg['symbol']
if (
sym == symkey or
# mega-UGH, i think we need to fix the FQSN stuff sooner
# then later..
sym == symkey.removesuffix(f'.{broker}')
):
pps_by_account[acctid] = msg
# update pp trackers with data relayed from ``brokerd``.
for account_name in accounts: