Use `force_mkt` override in paper pps updates

When processing paper trades ledgers we normally won't have specific
`MktPair` info for the backend market we're simulating, as such we
need to look up this info when updating pps.toml files such that we
get precision info correct (particularly in the case of cryptos!) and
can also run paper ledger processing without running the simulated
clearing loop. In order to make it happen we lookup any `get_mkt_info()`
ep on the backend and pass the output to the `force_mkt` input of the
`PpTable.update_from_trans()` method.
rekt_pps
Tyler Goodlet 2023-04-05 14:15:02 -04:00
parent 83514b0e90
commit 55b4866d5e
2 changed files with 31 additions and 4 deletions

View File

@ -504,7 +504,7 @@ class PpTable(Struct):
trans: dict[str, Transaction],
cost_scalar: float = 2,
mkt: MktPair | None = None,
force_mkt: MktPair | None = None,
) -> dict[str, Position]:
@ -523,7 +523,7 @@ class PpTable(Struct):
# template the mkt-info presuming a legacy market ticks
# if no info exists in the transactions..
mkt: MktPair | Symbol | None = mkt or t.sys
mkt: MktPair | Symbol | None = force_mkt or t.sys
if not mkt:
mkt = MktPair.from_fqme(
fqme,

View File

@ -34,9 +34,13 @@ import pendulum
import trio
import tractor
from ..brokers import get_brokermod
from .. import data
from ..data.types import Struct
from ..accounting._mktinfo import Symbol
from ..accounting._mktinfo import (
Symbol,
MktPair,
)
from ..accounting import (
Position,
PpTable,
@ -545,8 +549,31 @@ async def trades_dialogue(
'paper',
) as ledger
):
# attempt to get market info from the backend instead of presuming
# the ledger entries have everything correct.
# 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?
mkt: MktPair | None = None
brokermod = get_brokermod(broker)
gmi = getattr(brokermod, 'get_mkt_info', None)
if gmi:
mkt, pair = await brokermod.get_mkt_info(
fqme.rstrip(f'.{broker}'),
)
# update pos table from ledger history
ppt.update_from_trans(ledger.to_trans())
ppt.update_from_trans(
ledger.to_trans(),
# 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
)
pp_msgs: list[BrokerdPosition] = []
pos: Position