Port paper engine to latest `.accounting` sys fixes
- only preload necessary (one for clearing, all for ledger sync) `MktPair` info from the backend using `.get_mkt_info()`, build the `mkt_by_fqme: dict[str, MktPair]` and pass it to `TransactionLedger.iter_trans()`. - use new `TransactionLedger.update_from_t()` method on clears. - sanity check all `mkt_by_fqme` entries against `Flume.mkt` values when we open a data feed. - rename `PaperBoi._syms` -> `._mkts`.rekt_pps
Tyler Goodlet
parent
7ee6f36e62
commit
4b7ac1d895
|
|
@ -38,7 +38,6 @@ from ..brokers import get_brokermod
|
|||
from .. import data
|
||||
from ..data.types import Struct
|
||||
from ..accounting._mktinfo import (
|
||||
Symbol,
|
||||
MktPair,
|
||||
)
|
||||
from ..accounting import (
|
||||
|
|
@ -85,7 +84,7 @@ class PaperBoi(Struct):
|
|||
_buys: defaultdict[str, bidict]
|
||||
_sells: defaultdict[str, bidict]
|
||||
_reqids: bidict
|
||||
_syms: dict[str, Symbol] = {}
|
||||
_mkts: dict[str, MktPair] = {}
|
||||
|
||||
# init edge case L1 spread
|
||||
last_ask: tuple[float, float] = (float('inf'), 0) # price, size
|
||||
|
|
@ -262,7 +261,7 @@ class PaperBoi(Struct):
|
|||
bs_mktid: str = fqme
|
||||
t = Transaction(
|
||||
fqsn=fqme,
|
||||
sym=self._syms[fqme],
|
||||
sym=self._mkts[fqme],
|
||||
tid=oid,
|
||||
size=size,
|
||||
price=price,
|
||||
|
|
@ -271,11 +270,8 @@ class PaperBoi(Struct):
|
|||
bs_mktid=bs_mktid,
|
||||
)
|
||||
|
||||
tx = t.to_dict()
|
||||
tx.pop('sym')
|
||||
|
||||
# update in-mem ledger and pos table
|
||||
self.ledger.update({oid: tx})
|
||||
self.ledger.update_from_t(t)
|
||||
self.ppt.update_from_trans({oid: t})
|
||||
|
||||
# transmit pp msg to ems
|
||||
|
|
@ -293,12 +289,13 @@ class PaperBoi(Struct):
|
|||
# inferred from the pair?
|
||||
# currency=bs_mktid,
|
||||
)
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
|
||||
# write all updates to filesys
|
||||
# write all updates to filesys immediately
|
||||
# (adds latency but that works for simulation anyway)
|
||||
self.ledger.write_config()
|
||||
self.ppt.write_config()
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
quote_stream: tractor.MsgStream, # noqa
|
||||
|
|
@ -552,36 +549,51 @@ async def trades_dialogue(
|
|||
'paper',
|
||||
) as ledger
|
||||
):
|
||||
# attempt to get market info from the backend instead of presuming
|
||||
# the ledger entries have everything correct.
|
||||
# NOTE: retreive market(pair) info from the backend broker
|
||||
# since ledger entries (in their backend native format) often
|
||||
# don't contain necessary market info per trade record entry..
|
||||
# - if no fqme was passed in, we presume we're running in
|
||||
# "ledger-sync-only mode" and thus we load mkt info for
|
||||
# each symbol found in the ledger to a ppt table manually.
|
||||
|
||||
# TODO: how to process ledger info from backends?
|
||||
# - should we be rolling our own actor-cached version of these
|
||||
# client API refs or using portal IPC to send requests to the
|
||||
# existing brokerd daemon?
|
||||
# - alternatively we can possibly expect and use
|
||||
# a `.broker.norm_trade_records()` ep?
|
||||
fqmes: list[str] = [fqme]
|
||||
if fqme is None:
|
||||
fqmes = list(ppt.pps)
|
||||
|
||||
for fqme in fqmes:
|
||||
mkt: MktPair | None = None
|
||||
brokermod = get_brokermod(broker)
|
||||
gmi = getattr(brokermod, 'get_mkt_info', None)
|
||||
if gmi:
|
||||
|
||||
# update all transactions with mkt info before
|
||||
# loading any pps
|
||||
mkt_by_fqme: dict[str, MktPair | None] = {}
|
||||
for tid, tdict in ledger.data.items():
|
||||
|
||||
# TODO: switch this to fqme
|
||||
l_fqme = tdict['fqsn']
|
||||
if (
|
||||
gmi
|
||||
and l_fqme not in mkt_by_fqme
|
||||
):
|
||||
mkt, pair = await brokermod.get_mkt_info(
|
||||
fqme.rstrip(f'.{broker}'),
|
||||
l_fqme.rstrip(f'.{broker}'),
|
||||
)
|
||||
mkt_by_fqme[l_fqme] = mkt
|
||||
|
||||
# update pos table from ledger history
|
||||
ppt.update_from_trans(
|
||||
ledger.to_trans(),
|
||||
# if an ``fqme: str`` input was provided we only
|
||||
# need a ``MktPair`` for that one market, since we're
|
||||
# running in real simulated-clearing mode, not just ledger
|
||||
# syncing.
|
||||
if (
|
||||
fqme is not None
|
||||
and fqme in mkt_by_fqme
|
||||
):
|
||||
break
|
||||
|
||||
# NOTE: here we pass in any `MktPair` provided by the
|
||||
# backend broker instead of assuming the pps.toml contains
|
||||
# the correct contents!
|
||||
force_mkt=mkt
|
||||
)
|
||||
# update pos table from ledger history and provide a ``MktPair``
|
||||
# lookup for internal position accounting calcs.
|
||||
ppt.update_from_trans(ledger.to_trans(mkt_by_fqme=mkt_by_fqme))
|
||||
|
||||
pp_msgs: list[BrokerdPosition] = []
|
||||
pos: Position
|
||||
|
|
@ -621,6 +633,10 @@ async def trades_dialogue(
|
|||
loglevel=loglevel,
|
||||
) as feed,
|
||||
):
|
||||
# sanity check all the mkt infos
|
||||
for fqme, flume in feed.flumes.items():
|
||||
assert mkt_by_fqme[fqme] == flume.mkt
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
|
|
@ -635,11 +651,8 @@ async def trades_dialogue(
|
|||
_sells=_sells,
|
||||
_reqids=_reqids,
|
||||
|
||||
# TODO: load postions from ledger file
|
||||
_syms={
|
||||
fqme: flume.symbol
|
||||
for fqme, flume in feed.flumes.items()
|
||||
}
|
||||
_mkts=mkt_by_fqme,
|
||||
|
||||
)
|
||||
|
||||
n.start_soon(
|
||||
|
|
|
|||
Loading…
Reference in New Issue