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