Run dark-clear-loop in daemon task
This enables "headless" dark order matching and clearing where an `emsd`
daemon subactor can be left running with active dark (or other
algorithmic) orders which will still trigger despite to attached-controlling
ems-client.
Impl details:
- rename/add `Router.maybe_open_trade_relays()` which now does all work
of starting up ems-side long living clearing and relay tasks and the
associated data feed; make is a `Nursery.start()`-able task instead of
an `@acm`.
- drop `open_brokerd_trades_dialog()` and move/factor contents into the
above method.
- add support for a `router.client_broadcast('all', msg)` to wholesale
fan out a msg to all clients.
offline_dark_clearing
Tyler Goodlet
parent
31b0d8cee8
commit
49433ea87d
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@ -23,7 +23,6 @@ from collections import (
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defaultdict,
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# ChainMap,
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)
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from contextlib import asynccontextmanager
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from math import isnan
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from pprint import pformat
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import time
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@ -41,9 +40,12 @@ import tractor
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from ..log import get_logger
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from ..data._normalize import iterticks
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from ..data.feed import Feed, maybe_open_feed
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from ..data.feed import (
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Feed,
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maybe_open_feed,
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)
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from ..data.types import Struct
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from .._daemon import maybe_spawn_brokerd
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# from .._daemon import maybe_spawn_brokerd
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from . import _paper_engine as paper
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from ._messages import (
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Order,
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@ -135,7 +137,6 @@ class _DarkBook(Struct):
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float,
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] = {}
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# _ems_entries: dict[str, str] = {}
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_active: dict = {}
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_ems2brokerd_ids: dict[str, str] = bidict()
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@ -247,7 +248,6 @@ async def clear_dark_triggers(
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await brokerd_orders_stream.send(brokerd_msg)
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# book._ems_entries[oid] = live_req
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# book._msgflows[oid].maps.insert(0, live_req)
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case _:
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@ -383,62 +383,174 @@ class Router(Struct):
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if not stream._closed
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)
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@asynccontextmanager
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async def maybe_open_brokerd_trades_dialogue(
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async def maybe_open_trade_relays(
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self,
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feed: Feed,
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symbol: str,
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dark_book: _DarkBook,
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fqsn: str,
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exec_mode: str,
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loglevel: str,
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) -> tuple[dict, tractor.MsgStream]:
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task_status: TaskStatus[
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tuple[TradesRelay, Feed]
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] = trio.TASK_STATUS_IGNORED,
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) -> tuple[TradesRelay, Feed]:
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if
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none already exists.
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'''
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broker = feed.mod.name
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relay: TradesRelay = self.relays.get(broker)
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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if (
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relay is None
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# We always want to spawn a new relay for the paper engine
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# per symbol since we need a new tractor context to be
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# opened for every every symbol such that a new data feed
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# and ``PaperBoi`` client will be created and then used to
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# simulate clearing events.
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or exec_mode == 'paper'
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async with (
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maybe_open_feed(
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[fqsn],
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loglevel=loglevel,
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) as (feed, quote_stream),
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):
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brokermod = feed.mod
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broker = brokermod.name
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relay = await self.nursery.start(
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open_brokerd_trades_dialog,
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self,
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feed,
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symbol,
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exec_mode,
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loglevel,
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)
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# XXX: this should be initial price quote from target provider
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first_quote: dict = feed.first_quotes[fqsn]
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book: _DarkBook = self.get_dark_book(broker)
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book.lasts[fqsn]: float = first_quote['last']
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self.nursery.start_soon(
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translate_and_relay_brokerd_events,
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broker,
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relay.brokerd_stream,
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self,
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)
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relay: TradesRelay = self.relays.get(broker)
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if (
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relay
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relay.consumers += 1
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# We always want to spawn a new relay for the paper engine
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# per symbol since we need a new tractor context to be
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# opened for every every symbol such that a new data feed
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# and ``PaperBoi`` client will be created and then used to
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# simulate clearing events.
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and exec_mode != 'paper'
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):
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task_status.started((relay, feed))
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await trio.sleep_forever()
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return
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# TODO: get updated positions here?
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assert relay.brokerd_stream
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try:
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yield relay
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finally:
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trades_endpoint = getattr(brokermod, 'trades_dialogue', None)
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if (
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trades_endpoint is None
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or exec_mode == 'paper'
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):
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running
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# a paper-simulator clearing engine.
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# TODO: what exactly needs to be torn down here or
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# are we just consumer tracking?
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relay.consumers -= 1
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# load the paper trading engine
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exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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open_trades_endpoint = paper.open_paperboi(
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fqsn='.'.join([symbol, broker]),
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loglevel=loglevel,
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)
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else:
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# open live brokerd trades endpoint
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open_trades_endpoint = feed.portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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# open trades-dialog endpoint with backend broker
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try:
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positions: list[BrokerdPosition]
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accounts: tuple[str]
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async with (
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open_trades_endpoint as (
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brokerd_ctx,
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(positions, accounts,),
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),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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# XXX: really we only want one stream per `emsd`
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# actor to relay global `brokerd` order events
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# unless we're going to expect each backend to
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# relay only orders affiliated with a particular
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# ``trades_dialogue()`` session (seems annoying
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# for implementers). So, here we cache the relay
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# task and instead of running multiple tasks
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# (which will result in multiples of the same
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# msg being relayed for each EMS client) we just
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# register each client stream to this single
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# relay loop in the dialog table.
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# begin processing order events from the target
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# brokerd backend by receiving order submission
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# response messages, normalizing them to EMS
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# messages and relaying back to the piker order
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# client set.
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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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(broker, account),
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[],
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).append(msg)
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relay = TradesRelay(
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brokerd_stream=brokerd_trades_stream,
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positions=pps,
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accounts=accounts,
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consumers=1,
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)
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self.relays[broker] = relay
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# spawn a ``brokerd`` order control dialog stream
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# that syncs lifetime with the parent `emsd` daemon.
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self.nursery.start_soon(
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translate_and_relay_brokerd_events,
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broker,
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relay.brokerd_stream,
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self,
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)
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# dark book clearing loop, also lives with parent
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# daemon to allow dark order clearing while no
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# client is connected.
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self.nursery.start_soon(
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clear_dark_triggers,
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self,
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relay.brokerd_stream,
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quote_stream,
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broker,
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fqsn, # form: <name>.<venue>.<suffix>.<broker>
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book
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)
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task_status.started((relay, feed))
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# this context should block here indefinitely until
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# the ``brokerd`` task either dies or is cancelled
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await trio.sleep_forever()
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finally:
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# parent context must have been closed remove from cache so
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# next client will respawn if needed
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relay = self.relays.pop(broker, None)
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if not relay:
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log.warning(f'Relay for {broker} was already removed!?')
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async def client_broadcast(
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self,
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@ -447,7 +559,14 @@ class Router(Struct):
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) -> None:
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to_remove: set[tractor.MsgStream] = set()
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subs = self.subscribers[sub_key]
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if sub_key == 'all':
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subs = set()
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for s in self.subscribers.values():
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subs |= s
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else:
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subs = self.subscribers[sub_key]
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for client_stream in subs:
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try:
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await client_stream.send(msg)
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@ -467,134 +586,6 @@ class Router(Struct):
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_router: Router = None
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async def open_brokerd_trades_dialog(
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router: Router,
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feed: Feed,
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symbol: str,
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exec_mode: str,
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loglevel: str,
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task_status: TaskStatus[TradesRelay] = trio.TASK_STATUS_IGNORED,
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) -> tuple[dict, tractor.MsgStream]:
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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trades_endpoint = getattr(feed.mod, 'trades_dialogue', None)
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broker = feed.mod.name
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# TODO: make a `tractor` bug/test for this!
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# if only i could member what the problem was..
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# probably some GC of the portal thing?
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# portal = feed.portal
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# XXX: we must have our own portal + channel otherwise
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# when the data feed closes it may result in a half-closed
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# channel that the brokerd side thinks is still open somehow!?
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async with maybe_spawn_brokerd(
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broker,
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loglevel=loglevel,
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) as portal:
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if (
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trades_endpoint is None
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or exec_mode == 'paper'
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):
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running
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# a paper-simulator clearing engine.
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# load the paper trading engine
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exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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open_trades_endpoint = paper.open_paperboi(
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fqsn='.'.join([symbol, broker]),
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loglevel=loglevel,
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)
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else:
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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try:
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positions: list[BrokerdPosition]
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accounts: tuple[str]
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async with (
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open_trades_endpoint as (brokerd_ctx, (positions, accounts,)),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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# XXX: really we only want one stream per `emsd` actor
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# to relay global `brokerd` order events unless we're
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# going to expect each backend to relay only orders
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# affiliated with a particular ``trades_dialogue()``
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# session (seems annoying for implementers). So, here
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# we cache the relay task and instead of running multiple
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# tasks (which will result in multiples of the same msg being
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# relayed for each EMS client) we just register each client
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# stream to this single relay loop in the dialog table.
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# begin processing order events from the target brokerd backend
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# by receiving order submission response messages,
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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 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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(broker, account),
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[],
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).append(msg)
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relay = TradesRelay(
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brokerd_stream=brokerd_trades_stream,
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positions=pps,
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accounts=accounts,
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consumers=1,
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)
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router.relays[broker] = relay
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# the ems scan loop may be cancelled by the client but we
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# want to keep the ``brokerd`` dialogue up regardless
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task_status.started(relay)
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# this context should block here indefinitely until
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# the ``brokerd`` task either dies or is cancelled
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await trio.sleep_forever()
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finally:
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# parent context must have been closed remove from cache so
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# next client will respawn if needed
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relay = router.relays.pop(broker, None)
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if not relay:
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log.warning(f'Relay for {broker} was already removed!?')
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@tractor.context
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async def _setup_persistent_emsd(
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@ -677,7 +668,7 @@ async def translate_and_relay_brokerd_events(
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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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await router.client_broadcast(sym, pos_msg)
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await router.client_broadcast('all', pos_msg)
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continue
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# BrokerdOrderAck
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@ -827,7 +818,7 @@ async def translate_and_relay_brokerd_events(
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# ``.oid`` in the msg since we're planning to
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# maybe-kinda offer that via using ``Status``
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# in the longer run anyway?
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log.warning(f'Unkown fill for {fmsg}')
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log.warning(f'Unknown fill for {fmsg}')
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continue
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# proxy through the "fill" result(s)
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@ -1026,7 +1017,6 @@ async def process_client_order_cmds(
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# acked yet by a brokerd, so register a cancel for when
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# the order ack does show up later such that the brokerd
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# order request can be cancelled at that time.
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# dark_book._ems_entries[oid] = msg
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# special case for now..
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status.req = to_brokerd_msg
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@ -1286,7 +1276,6 @@ async def _emsd_main(
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from ..data._source import unpack_fqsn
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broker, symbol, suffix = unpack_fqsn(fqsn)
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dark_book = _router.get_dark_book(broker)
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# TODO: would be nice if in tractor we can require either a ctx arg,
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# or a named arg with ctx in it and a type annotation of
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@ -1294,108 +1283,82 @@ async def _emsd_main(
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ems_ctx = ctx
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# spawn one task per broker feed
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relay: TradesRelay
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feed: Feed
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async with (
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maybe_open_feed(
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[fqsn],
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loglevel=loglevel,
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) as (feed, quote_stream),
|
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):
|
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|
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# XXX: this should be initial price quote from target provider
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first_quote: dict = feed.first_quotes[fqsn]
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book: _DarkBook = _router.get_dark_book(broker)
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book.lasts[fqsn]: float = first_quote['last']
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# open a stream with the brokerd backend for order flow dialogue
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# only open if one isn't already up: we try to keep as few duplicate
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# streams as necessary.
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# TODO: should we try using `tractor.trionics.maybe_open_context()`
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# here?
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relay, feed = await _router.nursery.start(
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_router.maybe_open_trade_relays,
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fqsn,
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exec_mode,
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loglevel,
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)
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brokerd_stream = relay.brokerd_stream
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dark_book = _router.get_dark_book(broker)
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# open a stream with the brokerd backend for order
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# flow dialogue
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async with (
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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((
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relay.positions,
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list(relay.accounts),
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dark_book._active,
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))
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# only open if one isn't already up: we try to keep
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# as few duplicate streams as necessary
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_router.maybe_open_brokerd_trades_dialogue(
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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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async with ems_ctx.open_stream() as client_stream:
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# register the client side before starting the
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# brokerd-side relay task to ensure the client is
|
||||
# delivered all exisiting open orders on startup.
|
||||
_router.clients.add(client_stream)
|
||||
|
||||
# TODO: instead of by fqsn we need a subscription
|
||||
# system/schema here to limit what each new client is
|
||||
# allowed to see in terms of broadcasted order flow
|
||||
# updates per dialog.
|
||||
_router.subscribers[fqsn].add(client_stream)
|
||||
|
||||
# start inbound (from attached client) order request processing
|
||||
# main entrypoint, run here until cancelled.
|
||||
try:
|
||||
await process_client_order_cmds(
|
||||
client_stream,
|
||||
brokerd_stream,
|
||||
fqsn,
|
||||
feed,
|
||||
symbol,
|
||||
dark_book,
|
||||
exec_mode,
|
||||
loglevel,
|
||||
_router,
|
||||
)
|
||||
|
||||
) as relay,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
|
||||
brokerd_stream = relay.brokerd_stream
|
||||
|
||||
# signal to client that we're started and deliver
|
||||
# all known pps and accounts for this ``brokerd``.
|
||||
await ems_ctx.started((
|
||||
relay.positions,
|
||||
list(relay.accounts),
|
||||
book._active,
|
||||
))
|
||||
|
||||
# establish 2-way stream with requesting order-client and
|
||||
# begin handling inbound order requests and updates
|
||||
async with ems_ctx.open_stream() as client_stream:
|
||||
|
||||
# register the client side before starting the
|
||||
# brokerd-side relay task to ensure the client is
|
||||
# delivered all exisiting open orders on startup.
|
||||
_router.clients.add(client_stream)
|
||||
|
||||
# TODO: instead of by fqsn we need a subscription
|
||||
# system/schema here to limit what each new client is
|
||||
# allowed to see in terms of broadcasted order flow
|
||||
# updates per dialog.
|
||||
_router.subscribers[fqsn].add(client_stream)
|
||||
|
||||
# trigger scan and exec loop
|
||||
n.start_soon(
|
||||
clear_dark_triggers,
|
||||
_router,
|
||||
brokerd_stream,
|
||||
quote_stream,
|
||||
broker,
|
||||
fqsn, # form: <name>.<venue>.<suffix>.<broker>
|
||||
book
|
||||
finally:
|
||||
# try to remove client from "registry"
|
||||
try:
|
||||
_router.clients.remove(client_stream)
|
||||
except KeyError:
|
||||
log.warning(
|
||||
f'Stream {client_stream._ctx.chan.uid}'
|
||||
' was already dropped?'
|
||||
)
|
||||
|
||||
# start inbound (from attached client) order request processing
|
||||
# main entrypoint, run here until cancelled.
|
||||
try:
|
||||
await process_client_order_cmds(
|
||||
client_stream,
|
||||
brokerd_stream,
|
||||
fqsn,
|
||||
feed,
|
||||
dark_book,
|
||||
_router,
|
||||
)
|
||||
_router.subscribers[fqsn].remove(client_stream)
|
||||
dialogs = _router.dialogs
|
||||
for oid, client_streams in dialogs.items():
|
||||
if client_stream in client_streams:
|
||||
client_streams.remove(client_stream)
|
||||
|
||||
finally:
|
||||
# try to remove client from "registry"
|
||||
try:
|
||||
_router.clients.remove(client_stream)
|
||||
except KeyError:
|
||||
# TODO: for order dialogs left "alive" in
|
||||
# the ems this is where we should allow some
|
||||
# system to take over management. Likely we
|
||||
# want to allow the user to choose what kind
|
||||
# of policy to use (eg. cancel all orders
|
||||
# from client, run some algo, etc.)
|
||||
if not client_streams:
|
||||
log.warning(
|
||||
f'Stream {client_stream._ctx.chan.uid}'
|
||||
' was already dropped?'
|
||||
f'Order dialog is being unmonitored:\n'
|
||||
f'{oid} ->\n{client_stream._ctx.chan.uid}'
|
||||
)
|
||||
|
||||
_router.subscribers[fqsn].remove(client_stream)
|
||||
dialogs = _router.dialogs
|
||||
for oid, client_streams in dialogs.items():
|
||||
if client_stream in client_streams:
|
||||
client_streams.remove(client_stream)
|
||||
|
||||
# TODO: for order dialogs left "alive" in
|
||||
# the ems this is where we should allow some
|
||||
# system to take over management. Likely we
|
||||
# want to allow the user to choose what kind
|
||||
# of policy to use (eg. cancel all orders
|
||||
# from client, run some algo, etc.)
|
||||
if not client_streams:
|
||||
log.warning(
|
||||
f'Order dialog is being unmonitored:\n'
|
||||
f'{oid} ->\n{client_stream._ctx.chan.uid}'
|
||||
)
|
||||
|
|
|
|||
Loading…
Reference in New Issue