goodboy
GitHub
commit
479ad1bb15
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@ -20,15 +20,10 @@ Interactive Brokers API backend.
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Sub-modules within break into the core functionalities:
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- ``broker.py`` part for orders / trading endpoints
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- ``data.py`` for real-time data feed endpoints
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- ``client.py`` for the core API machinery which is ``trio``-ized
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- ``feed.py`` for real-time data feed endpoints
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- ``api.py`` for the core API machinery which is ``trio``-ized
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wrapping around ``ib_insync``.
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- ``report.py`` for the hackery to build manual pp calcs
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to avoid ib's absolute bullshit FIFO style position
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tracking..
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"""
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from .api import (
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get_client,
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@ -296,8 +296,7 @@ async def update_ledger_from_api_trades(
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client: Union[Client, MethodProxy],
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) -> dict[str, pp.Transaction]:
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# construct piker pps from trade ledger, underneath using
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# LIFO style breakeven pricing calcs.
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conf = get_config()
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# XXX; ERRGGG..
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@ -289,7 +289,11 @@ class TradesRelay:
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brokerd_dialogue: tractor.MsgStream
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# map of symbols to dicts of accounts to pp msgs
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positions: dict[str, dict[str, BrokerdPosition]]
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positions: dict[
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# brokername, acctid
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tuple[str, str],
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list[BrokerdPosition],
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]
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# allowed account names
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accounts: tuple[str]
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@ -461,18 +465,24 @@ async def open_brokerd_trades_dialogue(
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# normalizing them to EMS messages and relaying back to
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# the piker order client set.
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# locally cache and track positions per account.
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# locally cache and track positions per account with
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# a table of (brokername, acctid) -> `BrokerdPosition`
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# msgs.
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pps = {}
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for msg in positions:
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log.info(f'loading pp: {msg}')
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account = msg['account']
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# TODO: better value error for this which
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# dumps the account and message and states the
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# mismatch..
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assert account in accounts
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pps.setdefault(
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f'{msg["symbol"]}.{broker}',
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{}
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)[account] = msg
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(broker, account),
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[],
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).append(msg)
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relay = TradesRelay(
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brokerd_dialogue=brokerd_trades_stream,
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@ -578,11 +588,9 @@ async def translate_and_relay_brokerd_events(
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relay.positions.setdefault(
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# NOTE: translate to a FQSN!
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f'{sym}.{broker}',
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{}
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).setdefault(
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pos_msg['account'], {}
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).update(pos_msg)
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(broker, sym),
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[]
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).append(pos_msg)
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# fan-out-relay position msgs immediately by
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# broadcasting updates on all client streams
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@ -635,8 +643,8 @@ async def translate_and_relay_brokerd_events(
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# something is out of order, we don't have an oid for
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# this broker-side message.
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log.error(
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'Unknown oid:{oid} for msg:\n'
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f'{pformat(brokerd_msg)}'
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f'Unknown oid: {oid} for msg:\n'
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f'{pformat(brokerd_msg)}\n'
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'Unable to relay message to client side!?'
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)
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@ -1088,15 +1096,12 @@ async def _emsd_main(
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brokerd_stream = relay.brokerd_dialogue # .clone()
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# flatten out collected pps from brokerd for delivery
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pp_msgs = {
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fqsn: list(pps.values())
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for fqsn, pps in relay.positions.items()
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}
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# signal to client that we're started and deliver
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# all known pps and accounts for this ``brokerd``.
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await ems_ctx.started((pp_msgs, list(relay.accounts)))
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await ems_ctx.started((
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relay.positions,
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list(relay.accounts),
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))
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# establish 2-way stream with requesting order-client and
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# begin handling inbound order requests and updates
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17
piker/pp.py
17
piker/pp.py
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@ -285,15 +285,14 @@ class Position(Struct):
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all transactions before the last net zero size to avoid
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unecessary history irrelevant to the current pp state.
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'''
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size: float = 0
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size: float = self.size
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clears_since_zero: deque[tuple(str, dict)] = deque()
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# scan for the last "net zero" position by
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# iterating clears in reverse.
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for tid, clear in reversed(self.clears.items()):
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size += clear['size']
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size -= clear['size']
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clears_since_zero.appendleft((tid, clear))
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if size == 0:
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@ -358,8 +357,6 @@ def update_pps(
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# track clearing data
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pp.update(r)
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assert len(set(pp.clears)) == len(pp.clears)
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return pps
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@ -632,7 +629,12 @@ def load_pps_from_toml(
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# index clears entries in "object" form by tid in a top
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# level dict instead of a list (as is presented in our
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# ``pps.toml``).
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pp = pp_objs.get(bsuid)
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if pp:
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clears = pp.clears
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else:
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clears = {}
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for clears_table in clears_list:
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tid = clears_table.pop('tid')
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clears[tid] = clears_table
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@ -716,6 +718,11 @@ def update_pps_conf(
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for bsuid in list(pp_objs):
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pp = pp_objs[bsuid]
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# XXX: debug hook for size mismatches
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# if bsuid == 447767096:
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# breakpoint()
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pp.minimize_clears()
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if (
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@ -579,9 +579,9 @@ async def open_order_mode(
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providers=symbol.brokers
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)
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# XXX: ``brokerd`` delivers a set of account names that it allows
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# use of but the user also can define the accounts they'd like
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# to use, in order, in their `brokers.toml` file.
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# XXX: ``brokerd`` delivers a set of account names that it
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# allows use of but the user also can define the accounts they'd
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# like to use, in order, in their `brokers.toml` file.
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accounts = {}
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for name in brokerd_accounts:
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# ensure name is in ``brokers.toml``
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@ -594,10 +594,21 @@ async def open_order_mode(
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iter(accounts.keys())
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) if accounts else 'paper'
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# Pack position messages by account, should only be one-to-one.
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# NOTE: requires the backend exactly specifies
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# the expected symbol key in its positions msg.
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pp_msgs = position_msgs.get(symkey, ())
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pps_by_account = {msg['account']: msg for msg in pp_msgs}
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pps_by_account = {}
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for (broker, acctid), msgs in position_msgs.items():
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for msg in msgs:
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sym = msg['symbol']
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if (
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sym == symkey or
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# mega-UGH, i think we need to fix the FQSN stuff sooner
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# then later..
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sym == symkey.removesuffix(f'.{broker}')
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):
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pps_by_account[acctid] = msg
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# update pp trackers with data relayed from ``brokerd``.
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for account_name in accounts:
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