Factor msg loop into new func: `handle_order_updates()`
Tyler Goodlet
parent
9723d2737a
commit
4d19c0f910
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@ -329,355 +329,383 @@ async def trades_dialogue(
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ids,
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ids,
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)
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)
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# process and relay trades events to ems
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# enter relay loop
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await handle_order_updates(
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ws,
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ems_stream,
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emsflow,
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ids,
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trans,
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acctid,
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acc_name,
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token,
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)
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async def handle_order_updates(
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ws: NoBsWs,
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ems_stream: tractor.MsgStream,
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emsflow: dict[str, list[MsgUnion]],
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ids: bidict[str, int],
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trans: list[pp.Transaction],
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acctid: str,
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acc_name: str,
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token: str,
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) -> None:
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'''
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Main msg handling loop for all things order management.
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This code is broken out to make the context explicit and state variables
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defined in the signature clear to the reader.
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'''
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async for msg in stream_messages(ws):
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match msg:
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# process and relay clearing trade events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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# https://docs.kraken.com/websockets/#message-ownTrades
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async for msg in stream_messages(ws):
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case [
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match msg:
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trades_msgs,
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case [
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'ownTrades',
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trades_msgs,
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{'sequence': seq},
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'ownTrades',
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]:
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{'sequence': seq},
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# flatten msgs for processing
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]:
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trades = {
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# flatten msgs for processing
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tid: trade
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trades = {
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for entry in trades_msgs
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tid: trade
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for (tid, trade) in entry.items()
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for entry in trades_msgs
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for (tid, trade) in entry.items()
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# only emit entries which are already not-in-ledger
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# only emit entries which are already not-in-ledger
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if tid not in {r.tid for r in trans}
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if tid not in {r.tid for r in trans}
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}
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}
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for tid, trade in trades.items():
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for tid, trade in trades.items():
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# parse-cast
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# parse-cast
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reqid = trade['ordertxid']
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reqid = trade['ordertxid']
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action = trade['type']
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action = trade['type']
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price = float(trade['price'])
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price = float(trade['price'])
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size = float(trade['vol'])
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size = float(trade['vol'])
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broker_time = float(trade['time'])
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broker_time = float(trade['time'])
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# send a fill msg for gui update
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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fill_msg = BrokerdFill(
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reqid=reqid,
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reqid=reqid,
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time_ns=time.time_ns(),
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time_ns=time.time_ns(),
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action=action,
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action=action,
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size=size,
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size=size,
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price=price,
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price=price,
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# TODO: maybe capture more msg data
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# TODO: maybe capture more msg data
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# i.e fees?
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# i.e fees?
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broker_details={'name': 'kraken'},
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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broker_time=broker_time
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)
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)
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await ems_stream.send(fill_msg.dict())
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await ems_stream.send(fill_msg.dict())
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filled_msg = BrokerdStatus(
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filled_msg = BrokerdStatus(
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reqid=reqid,
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reqid=reqid,
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time_ns=time.time_ns(),
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time_ns=time.time_ns(),
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account=acc_name,
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account=acc_name,
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status='filled',
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status='filled',
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filled=size,
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filled=size,
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reason='Order filled by kraken',
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reason='Order filled by kraken',
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broker_details={
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broker_details={
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'name': 'kraken',
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'name': 'kraken',
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'broker_time': broker_time
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'broker_time': broker_time
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},
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},
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# TODO: figure out if kraken gives a count
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# TODO: figure out if kraken gives a count
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# of how many units of underlying were
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# of how many units of underlying were
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# filled. Alternatively we can decrement
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# filled. Alternatively we can decrement
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# this value ourselves by associating and
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# this value ourselves by associating and
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# calcing from the diff with the original
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# calcing from the diff with the original
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# client-side request, see:
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# client-side request, see:
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# https://github.com/pikers/piker/issues/296
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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remaining=0,
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)
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)
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await ems_stream.send(filled_msg.dict())
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await ems_stream.send(filled_msg.dict())
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# update ledger and position tracking
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# update ledger and position tracking
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trans = await update_ledger(acctid, trades)
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trans = await update_ledger(acctid, trades)
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active, closed = pp.update_pps_conf(
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active, closed = pp.update_pps_conf(
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'kraken',
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'kraken',
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acctid,
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acctid,
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trade_records=trans,
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trade_records=trans,
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ledger_reload={}.fromkeys(
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ledger_reload={}.fromkeys(
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t.bsuid for t in trans),
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t.bsuid for t in trans),
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)
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)
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# emit pp msgs
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# emit any new pp msgs to ems
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for pos in filter(
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for pos in filter(
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bool,
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bool,
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chain(active.values(), closed.values()),
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chain(active.values(), closed.values()),
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):
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):
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pp_msg = BrokerdPosition(
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pp_msg = BrokerdPosition(
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broker='kraken',
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broker='kraken',
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# XXX: ok so this is annoying, we're
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# XXX: ok so this is annoying, we're
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# relaying an account name with the
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# relaying an account name with the
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# backend suffix prefixed but when
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# backend suffix prefixed but when
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# reading accounts from ledgers we
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# reading accounts from ledgers we
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# don't need it and/or it's prefixed
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# don't need it and/or it's prefixed
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# in the section table.. we should
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# in the section table.. we should
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# just strip this from the message
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# just strip this from the message
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# right since `.broker` is already
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# right since `.broker` is already
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# included?
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# included?
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account=f'kraken.{acctid}',
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account=f'kraken.{acctid}',
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symbol=pos.symbol.front_fqsn(),
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symbol=pos.symbol.front_fqsn(),
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size=pos.size,
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size=pos.size,
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avg_price=pos.be_price,
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avg_price=pos.be_price,
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# TODO
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# TODO
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# currency=''
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# currency=''
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)
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)
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await ems_stream.send(pp_msg.dict())
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await ems_stream.send(pp_msg.dict())
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case [
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# process and relay order state change events
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order_msgs,
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# https://docs.kraken.com/websockets/#message-openOrders
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'openOrders',
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case [
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{'sequence': seq},
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order_msgs,
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]:
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'openOrders',
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# TODO: async order update handling which we
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{'sequence': seq},
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# should remove from `handle_order_requests()`
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]:
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# above:
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for order_msg in order_msgs:
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# https://github.com/pikers/piker/issues/293
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log.info(
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# https://github.com/pikers/piker/issues/310
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f'Order msg update_{seq}:\n'
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for order_msg in order_msgs:
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f'{pformat(order_msg)}'
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log.info(
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)
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'Order msg update_{seq}:\n'
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txid, update_msg = list(order_msg.items())[0]
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f'{pformat(order_msg)}'
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match update_msg:
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)
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case {
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txid, update_msg = list(order_msg.items())[0]
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'cancel_reason': 'Order replaced',
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match update_msg:
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'status': status,
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case {
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'userref': reqid,
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'cancel_reason': 'Order replaced',
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**rest,
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'status': status,
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}:
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'userref': reqid,
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# we ignore internal order updates
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**rest,
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# triggered by kraken's "edit"
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}:
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# endpoint.
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# we ignore internal order updates
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continue
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# triggered by kraken's "edit"
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# endpoint.
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continue
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case {
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case {
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'status': status,
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'status': status,
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'userref': reqid,
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'userref': reqid,
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**rest,
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**rest,
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# XXX: eg. of remaining msg schema:
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# XXX: eg. of remaining msg schema:
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# 'avg_price': _,
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# 'avg_price': _,
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# 'cost': _,
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# 'cost': _,
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# 'descr': {
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# 'descr': {
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# 'close': None,
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# 'close': None,
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# 'leverage': None,
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# 'leverage': None,
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# 'order': descr,
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# 'order': descr,
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# 'ordertype': 'limit',
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# 'ordertype': 'limit',
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# 'pair': 'XMR/EUR',
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# 'pair': 'XMR/EUR',
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# 'price': '74.94000000',
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# 'price': '74.94000000',
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# 'price2': '0.00000000',
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# 'price2': '0.00000000',
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# 'type': 'buy'
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# 'type': 'buy'
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# },
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# },
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# 'expiretm': None,
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# 'expiretm': None,
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# 'fee': '0.00000000',
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# 'fee': '0.00000000',
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# 'limitprice': '0.00000000',
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# 'limitprice': '0.00000000',
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# 'misc': '',
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# 'misc': '',
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# 'oflags': 'fciq',
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# 'oflags': 'fciq',
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# 'opentm': '1656966131.337344',
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# 'opentm': '1656966131.337344',
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# 'refid': None,
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# 'refid': None,
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# 'starttm': None,
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# 'starttm': None,
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# 'stopprice': '0.00000000',
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# 'stopprice': '0.00000000',
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# 'timeinforce': 'GTC',
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# 'timeinforce': 'GTC',
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# 'vol': submit_vlm, # '13.34400854',
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# 'vol': submit_vlm, # '13.34400854',
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# 'vol_exec': exec_vlm, # 0.0000
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# 'vol_exec': exec_vlm, # 0.0000
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}:
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}:
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ems_status = {
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ems_status = {
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'open': 'submitted',
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'open': 'submitted',
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'closed': 'cancelled',
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'closed': 'cancelled',
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'canceled': 'cancelled',
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'canceled': 'cancelled',
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# do we even need to forward
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# do we even need to forward
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# this state to the ems?
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# this state to the ems?
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'pending': 'pending',
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'pending': 'pending',
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}[status]
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}[status]
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submit_vlm = rest.get('vol', 0)
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submit_vlm = rest.get('vol', 0)
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exec_vlm = rest.get('vol_exec', 0)
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exec_vlm = rest.get('vol_exec', 0)
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oid = ids.inverse[reqid]
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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msgs = emsflow[oid]
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# send BrokerdStatus messages for all
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# send BrokerdStatus messages for all
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# order state updates
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# order state updates
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resp = BrokerdStatus(
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reqid=txid,
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time_ns=time.time_ns(), # cuz why not
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account=f'kraken.{acctid}',
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# everyone doin camel case..
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status=ems_status, # force lower case
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filled=exec_vlm,
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reason='', # why held?
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remaining=(
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float(submit_vlm)
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-
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float(exec_vlm)
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),
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broker_details=dict(
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{'name': 'kraken'}, **update_msg
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),
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)
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msgs.append(resp)
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await ems_stream.send(resp.dict())
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case _:
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log.warning(
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'Unknown orders msg:\n'
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f'{txid}:{order_msg}'
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)
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case {
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'event': etype,
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'status': status,
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'errorMessage': errmsg,
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'reqid': reqid,
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} if (
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etype in {'addOrderStatus', 'editOrderStatus'}
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and status == 'error'
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):
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log.error(
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f'Failed to submit/edit order {reqid}:\n'
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f'{errmsg}'
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)
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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last = msgs[-1]
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resp = BrokerdError(
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oid=oid,
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# use old reqid in case it changed?
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reqid=last.reqid,
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symbol=last.symbol,
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reason=f'Failed submit:\n{errmsg}',
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broker_details=resp
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)
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msgs.append(resp)
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await ems_stream.send(resp.dict())
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# if we rx any error cancel the order again
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [last.reqid], # txid from submission
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})
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case {
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'event': 'addOrderStatus',
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'status': status,
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'reqid': reqid, # oid from ems side
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# NOTE: in the case of an edit request this is
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# a new value!
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'txid': txid,
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'descr': descr, # only on success?
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# 'originaltxid': txid, # only on edits
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# **rest,
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}:
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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last = msgs[-1]
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log.info(
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f'Submitting order: {descr}\n'
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f'ems oid: {oid}\n'
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f're-mapped reqid: {reqid}\n'
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f'txid: {txid}\n'
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)
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resp = BrokerdOrderAck(
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oid=oid, # ems order request id
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reqid=txid, # kraken unique order id
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account=last.account, # piker account
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)
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msgs.append(resp)
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await ems_stream.send(resp.dict())
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case {
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'event': 'editOrderStatus',
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'status': status,
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'reqid': reqid, # oid from ems side
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'descr': descr,
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# NOTE: for edit request this is a new value
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'txid': txid,
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'originaltxid': origtxid,
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}:
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log.info(
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f'Editting order {oid}[requid={reqid}]:\n'
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f'txid: {origtxid} -> {txid}\n'
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f'{descr}'
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)
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# deliver another ack to update the ems-side `.reqid`.
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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last = msgs[-1]
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resp = BrokerdOrderAck(
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oid=oid, # ems order request id
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reqid=txid, # kraken unique order id
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account=last.account, # piker account
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)
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msgs.append(resp)
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await ems_stream.send(resp.dict())
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# successful cancellation
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case {
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"event": "cancelOrderStatus",
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"status": "ok",
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'txid': txids,
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'reqid': reqid,
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|
||||||
}:
|
|
||||||
# TODO: should we support "batch" acking of
|
|
||||||
# multiple cancels thus avoiding the below loop?
|
|
||||||
oid = ids.inverse[reqid]
|
|
||||||
msgs = emsflow[oid]
|
|
||||||
last = msgs[-1]
|
|
||||||
|
|
||||||
for txid in txids:
|
|
||||||
resp = BrokerdStatus(
|
resp = BrokerdStatus(
|
||||||
|
|
||||||
reqid=txid,
|
reqid=txid,
|
||||||
account=last.account,
|
time_ns=time.time_ns(), # cuz why not
|
||||||
time_ns=time.time_ns(),
|
account=f'kraken.{acctid}',
|
||||||
status='cancelled',
|
|
||||||
reason='Cancel success: {oid}@{txid}',
|
# everyone doin camel case..
|
||||||
broker_details=resp,
|
status=ems_status, # force lower case
|
||||||
|
|
||||||
|
filled=exec_vlm,
|
||||||
|
reason='', # why held?
|
||||||
|
remaining=(
|
||||||
|
float(submit_vlm)
|
||||||
|
-
|
||||||
|
float(exec_vlm)
|
||||||
|
),
|
||||||
|
|
||||||
|
broker_details=dict(
|
||||||
|
{'name': 'kraken'}, **update_msg
|
||||||
|
),
|
||||||
)
|
)
|
||||||
msgs.append(resp)
|
msgs.append(resp)
|
||||||
await ems_stream.send(resp.dict())
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
# failed cancel
|
case _:
|
||||||
case {
|
log.warning(
|
||||||
"event": "cancelOrderStatus",
|
'Unknown orders msg:\n'
|
||||||
"status": "error",
|
f'{txid}:{order_msg}'
|
||||||
"errorMessage": errmsg,
|
)
|
||||||
'reqid': reqid,
|
|
||||||
}:
|
|
||||||
oid = ids.inverse[reqid]
|
|
||||||
msgs = emsflow[oid]
|
|
||||||
last = msgs[-1]
|
|
||||||
|
|
||||||
resp = BrokerdError(
|
case {
|
||||||
oid=oid,
|
'event': etype,
|
||||||
reqid=last.reqid,
|
'status': status,
|
||||||
symbol=last.symbol,
|
'errorMessage': errmsg,
|
||||||
reason=f'Failed order cancel {errmsg}',
|
'reqid': reqid,
|
||||||
broker_details=resp
|
} if (
|
||||||
)
|
etype in {'addOrderStatus', 'editOrderStatus'}
|
||||||
msgs.append(resp)
|
and status == 'error'
|
||||||
await ems_stream.send(resp.dict())
|
):
|
||||||
|
log.error(
|
||||||
|
f'Failed to submit/edit order {reqid}:\n'
|
||||||
|
f'{errmsg}'
|
||||||
|
)
|
||||||
|
oid = ids.inverse[reqid]
|
||||||
|
msgs = emsflow[oid]
|
||||||
|
last = msgs[-1]
|
||||||
|
resp = BrokerdError(
|
||||||
|
oid=oid,
|
||||||
|
# use old reqid in case it changed?
|
||||||
|
reqid=last.reqid,
|
||||||
|
symbol=last.symbol,
|
||||||
|
reason=f'Failed submit:\n{errmsg}',
|
||||||
|
broker_details=resp
|
||||||
|
)
|
||||||
|
msgs.append(resp)
|
||||||
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
case _:
|
# if we rx any error cancel the order again
|
||||||
log.warning(f'Unhandled trades msg: {msg}')
|
await ws.send_msg({
|
||||||
|
'event': 'cancelOrder',
|
||||||
|
'token': token,
|
||||||
|
'reqid': reqid,
|
||||||
|
'txid': [last.reqid], # txid from submission
|
||||||
|
})
|
||||||
|
|
||||||
|
case {
|
||||||
|
'event': 'addOrderStatus',
|
||||||
|
'status': status,
|
||||||
|
'reqid': reqid, # oid from ems side
|
||||||
|
|
||||||
|
# NOTE: in the case of an edit request this is
|
||||||
|
# a new value!
|
||||||
|
'txid': txid,
|
||||||
|
|
||||||
|
'descr': descr, # only on success?
|
||||||
|
# 'originaltxid': txid, # only on edits
|
||||||
|
# **rest,
|
||||||
|
}:
|
||||||
|
oid = ids.inverse[reqid]
|
||||||
|
msgs = emsflow[oid]
|
||||||
|
last = msgs[-1]
|
||||||
|
log.info(
|
||||||
|
f'Submitting order: {descr}\n'
|
||||||
|
f'ems oid: {oid}\n'
|
||||||
|
f're-mapped reqid: {reqid}\n'
|
||||||
|
f'txid: {txid}\n'
|
||||||
|
)
|
||||||
|
resp = BrokerdOrderAck(
|
||||||
|
oid=oid, # ems order request id
|
||||||
|
reqid=txid, # kraken unique order id
|
||||||
|
account=last.account, # piker account
|
||||||
|
)
|
||||||
|
msgs.append(resp)
|
||||||
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
|
case {
|
||||||
|
'event': 'editOrderStatus',
|
||||||
|
'status': status,
|
||||||
|
'reqid': reqid, # oid from ems side
|
||||||
|
'descr': descr,
|
||||||
|
|
||||||
|
# NOTE: for edit request this is a new value
|
||||||
|
'txid': txid,
|
||||||
|
'originaltxid': origtxid,
|
||||||
|
}:
|
||||||
|
log.info(
|
||||||
|
f'Editting order {oid}[requid={reqid}]:\n'
|
||||||
|
f'txid: {origtxid} -> {txid}\n'
|
||||||
|
f'{descr}'
|
||||||
|
)
|
||||||
|
# deliver another ack to update the ems-side `.reqid`.
|
||||||
|
oid = ids.inverse[reqid]
|
||||||
|
msgs = emsflow[oid]
|
||||||
|
last = msgs[-1]
|
||||||
|
resp = BrokerdOrderAck(
|
||||||
|
oid=oid, # ems order request id
|
||||||
|
reqid=txid, # kraken unique order id
|
||||||
|
account=last.account, # piker account
|
||||||
|
)
|
||||||
|
msgs.append(resp)
|
||||||
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
|
# successful cancellation
|
||||||
|
case {
|
||||||
|
"event": "cancelOrderStatus",
|
||||||
|
"status": "ok",
|
||||||
|
'txid': txids,
|
||||||
|
'reqid': reqid,
|
||||||
|
}:
|
||||||
|
# TODO: should we support "batch" acking of
|
||||||
|
# multiple cancels thus avoiding the below loop?
|
||||||
|
oid = ids.inverse[reqid]
|
||||||
|
msgs = emsflow[oid]
|
||||||
|
last = msgs[-1]
|
||||||
|
|
||||||
|
for txid in txids:
|
||||||
|
resp = BrokerdStatus(
|
||||||
|
reqid=txid,
|
||||||
|
account=last.account,
|
||||||
|
time_ns=time.time_ns(),
|
||||||
|
status='cancelled',
|
||||||
|
reason='Cancel success: {oid}@{txid}',
|
||||||
|
broker_details=resp,
|
||||||
|
)
|
||||||
|
msgs.append(resp)
|
||||||
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
|
# failed cancel
|
||||||
|
case {
|
||||||
|
"event": "cancelOrderStatus",
|
||||||
|
"status": "error",
|
||||||
|
"errorMessage": errmsg,
|
||||||
|
'reqid': reqid,
|
||||||
|
}:
|
||||||
|
oid = ids.inverse[reqid]
|
||||||
|
msgs = emsflow[oid]
|
||||||
|
last = msgs[-1]
|
||||||
|
|
||||||
|
resp = BrokerdError(
|
||||||
|
oid=oid,
|
||||||
|
reqid=last.reqid,
|
||||||
|
symbol=last.symbol,
|
||||||
|
reason=f'Failed order cancel {errmsg}',
|
||||||
|
broker_details=resp
|
||||||
|
)
|
||||||
|
msgs.append(resp)
|
||||||
|
await ems_stream.send(resp.dict())
|
||||||
|
|
||||||
|
case _:
|
||||||
|
log.warning(f'Unhandled trades msg: {msg}')
|
||||||
|
|
||||||
|
|
||||||
def norm_trade_records(
|
def norm_trade_records(
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue