Relay brokerd errors to client side, correctly..
Turns out we were expecting/processing `Status(resp='error')` msgs not `BrokerdError` (i guess bc latter was only really being used in initial `brokerd` msg responses and not for relay of actual provider clearing engine failures?) and the case block match / logic wasn't really correct. So this changes a few things: - always do reverse `oid` lookups from `reqid`s if possible in error msg handling case. - add a new `Error` client-dialog msg (derived from `Status`) which we now relay when `brokerd` sends a `BrokerdError` and no prior `Status` can be found (when it is we still fill in appropriate fields from the backend-error and just send back the last status msg like before). - try hard to look up the original `Order.symbol: str` for client broadcasting trying first using any `Status.req` and failing over to embedded `.brokerd_msg` field lookups. - drop the `Status.name = 'error'` from literal def.account_tests
Tyler Goodlet
parent
ff2bbd5aca
commit
562d027ee6
|
|
@ -27,7 +27,7 @@ from contextlib import asynccontextmanager as acm
|
|||
from decimal import Decimal
|
||||
from math import isnan
|
||||
from pprint import pformat
|
||||
import time
|
||||
from time import time_ns
|
||||
from types import ModuleType
|
||||
from typing import (
|
||||
AsyncIterator,
|
||||
|
|
@ -57,6 +57,7 @@ from ..data import iterticks
|
|||
from ._messages import (
|
||||
Order,
|
||||
Status,
|
||||
Error,
|
||||
BrokerdCancel,
|
||||
BrokerdOrder,
|
||||
# BrokerdOrderAck,
|
||||
|
|
@ -255,7 +256,7 @@ async def clear_dark_triggers(
|
|||
action=action,
|
||||
oid=oid,
|
||||
account=account,
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
symbol=bfqme,
|
||||
price=submit_price,
|
||||
size=size,
|
||||
|
|
@ -268,7 +269,7 @@ async def clear_dark_triggers(
|
|||
# fallthrough logic
|
||||
status = Status(
|
||||
oid=oid, # ems dialog id
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
resp=resp,
|
||||
req=cmd,
|
||||
brokerd_msg=brokerd_msg,
|
||||
|
|
@ -826,8 +827,8 @@ async def translate_and_relay_brokerd_events(
|
|||
# keep pps per account up to date locally in ``emsd`` mem
|
||||
# sym, broker = pos_msg.symbol, pos_msg.broker
|
||||
|
||||
# NOTE: translate to a FQME!
|
||||
relay.positions.setdefault(
|
||||
# NOTE: translate to a FQSN!
|
||||
(broker, pos_msg.account),
|
||||
{}
|
||||
)[pos_msg.symbol] = pos_msg
|
||||
|
|
@ -883,7 +884,7 @@ async def translate_and_relay_brokerd_events(
|
|||
BrokerdCancel(
|
||||
oid=oid,
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
account=status_msg.req.account,
|
||||
)
|
||||
)
|
||||
|
|
@ -898,38 +899,63 @@ async def translate_and_relay_brokerd_events(
|
|||
continue
|
||||
|
||||
# BrokerdError
|
||||
# TODO: figure out how this will interact with EMS clients
|
||||
# for ex. on an error do we react with a dark orders
|
||||
# management response, like cancelling all dark orders?
|
||||
# This looks like a supervision policy for pending orders on
|
||||
# some unexpected failure - something we need to think more
|
||||
# about. In most default situations, with composed orders
|
||||
# (ex. brackets), most brokers seem to use a oca policy.
|
||||
case {
|
||||
'name': 'error',
|
||||
'oid': oid, # ems order-dialog id
|
||||
'reqid': reqid, # brokerd generated order-request id
|
||||
}:
|
||||
status_msg = book._active.get(oid)
|
||||
if (
|
||||
not oid
|
||||
):
|
||||
oid: str = book._ems2brokerd_ids.inverse[reqid]
|
||||
|
||||
msg = BrokerdError(**brokerd_msg)
|
||||
log.error(fmsg) # XXX make one when it's blank?
|
||||
|
||||
# TODO: figure out how this will interact with EMS clients
|
||||
# for ex. on an error do we react with a dark orders
|
||||
# management response, like cancelling all dark orders?
|
||||
# This looks like a supervision policy for pending orders on
|
||||
# some unexpected failure - something we need to think more
|
||||
# about. In most default situations, with composed orders
|
||||
# (ex. brackets), most brokers seem to use a oca policy.
|
||||
|
||||
# only relay to client side if we have an active
|
||||
# ongoing dialog
|
||||
if status_msg:
|
||||
# NOTE: retreive the last client-side response
|
||||
# OR create an error when we have no last msg /dialog
|
||||
# on record
|
||||
status_msg: Status
|
||||
if not (status_msg := book._active.get(oid)):
|
||||
status_msg = Error(
|
||||
time_ns=time_ns(),
|
||||
oid=oid,
|
||||
reqid=reqid,
|
||||
brokerd_msg=msg,
|
||||
)
|
||||
else:
|
||||
# only modify last status if we have an active
|
||||
# ongoing dialog..
|
||||
status_msg.resp = 'error'
|
||||
status_msg.brokerd_msg = msg
|
||||
book._active[oid] = status_msg
|
||||
|
||||
await router.client_broadcast(
|
||||
status_msg.req.symbol,
|
||||
status_msg,
|
||||
book._active[oid] = status_msg
|
||||
|
||||
log.error(
|
||||
'Translating brokerd error to status:\n'
|
||||
f'{fmsg}'
|
||||
f'{status_msg.to_dict()}'
|
||||
)
|
||||
if req := status_msg.req:
|
||||
fqme: str = req.symbol
|
||||
else:
|
||||
bdmsg: Struct = status_msg.brokerd_msg
|
||||
fqme: str = (
|
||||
bdmsg.symbol # might be None
|
||||
or
|
||||
bdmsg.broker_details['flow']['symbol']
|
||||
)
|
||||
|
||||
else:
|
||||
log.error(f'Error for unknown order flow:\n{msg}')
|
||||
continue
|
||||
await router.client_broadcast(
|
||||
fqme,
|
||||
status_msg,
|
||||
)
|
||||
|
||||
# BrokerdStatus
|
||||
case {
|
||||
|
|
@ -1070,7 +1096,7 @@ async def translate_and_relay_brokerd_events(
|
|||
status_msg.req = order
|
||||
|
||||
assert status_msg.src # source tag?
|
||||
oid = str(status_msg.reqid)
|
||||
oid: str = str(status_msg.reqid)
|
||||
|
||||
# attempt to avoid collisions
|
||||
status_msg.reqid = oid
|
||||
|
|
@ -1087,38 +1113,28 @@ async def translate_and_relay_brokerd_events(
|
|||
status_msg,
|
||||
)
|
||||
|
||||
# don't fall through
|
||||
continue
|
||||
|
||||
# brokerd error
|
||||
case {
|
||||
'name': 'status',
|
||||
'status': 'error',
|
||||
}:
|
||||
log.error(f'Broker error:\n{fmsg}')
|
||||
# XXX: we presume the brokerd cancels its own order
|
||||
continue
|
||||
|
||||
# TOO FAST ``BrokerdStatus`` that arrives
|
||||
# before the ``BrokerdAck``.
|
||||
# NOTE XXX: sometimes there is a race with the backend (like
|
||||
# `ib` where the pending status will be relayed *before*
|
||||
# the ack msg, in which case we just ignore the faster
|
||||
# pending msg and wait for our expected ack to arrive
|
||||
# later (i.e. the first block below should enter).
|
||||
case {
|
||||
# XXX: sometimes there is a race with the backend (like
|
||||
# `ib` where the pending stauts will be related before
|
||||
# the ack, in which case we just ignore the faster
|
||||
# pending msg and wait for our expected ack to arrive
|
||||
# later (i.e. the first block below should enter).
|
||||
'name': 'status',
|
||||
'status': status,
|
||||
'reqid': reqid,
|
||||
}:
|
||||
oid = book._ems2brokerd_ids.inverse.get(reqid)
|
||||
msg = f'Unhandled broker status for dialog {reqid}:\n'
|
||||
if oid:
|
||||
status_msg = book._active.get(oid)
|
||||
# status msg may not have been set yet or popped?
|
||||
msg = (
|
||||
f'Unhandled broker status for dialog {reqid}:\n'
|
||||
f'{pformat(brokerd_msg)}'
|
||||
)
|
||||
if (
|
||||
oid := book._ems2brokerd_ids.inverse.get(reqid)
|
||||
):
|
||||
# NOTE: have seen a key error here on kraken
|
||||
# clearable limits..
|
||||
if status_msg:
|
||||
if status_msg := book._active.get(oid):
|
||||
msg += (
|
||||
f'last status msg: {pformat(status_msg)}\n\n'
|
||||
f'this msg:{fmsg}\n'
|
||||
|
|
@ -1214,7 +1230,7 @@ async def process_client_order_cmds(
|
|||
BrokerdCancel(
|
||||
oid=oid,
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
account=order.account,
|
||||
)
|
||||
)
|
||||
|
|
@ -1289,7 +1305,7 @@ async def process_client_order_cmds(
|
|||
|
||||
msg = BrokerdOrder(
|
||||
oid=oid, # no ib support for oids...
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
|
||||
# if this is None, creates a new order
|
||||
# otherwise will modify any existing one
|
||||
|
|
@ -1307,7 +1323,7 @@ async def process_client_order_cmds(
|
|||
oid=oid,
|
||||
reqid=reqid,
|
||||
resp='pending',
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
brokerd_msg=msg,
|
||||
req=req,
|
||||
)
|
||||
|
|
@ -1424,7 +1440,7 @@ async def process_client_order_cmds(
|
|||
status = Status(
|
||||
resp=resp,
|
||||
oid=oid,
|
||||
time_ns=time.time_ns(),
|
||||
time_ns=time_ns(),
|
||||
req=req,
|
||||
src='dark',
|
||||
)
|
||||
|
|
|
|||
|
|
@ -18,10 +18,7 @@
|
|||
Clearing sub-system message and protocols.
|
||||
|
||||
"""
|
||||
# from collections import (
|
||||
# ChainMap,
|
||||
# deque,
|
||||
# )
|
||||
from __future__ import annotations
|
||||
from typing import (
|
||||
Literal,
|
||||
)
|
||||
|
|
@ -31,28 +28,6 @@ from msgspec import field
|
|||
from piker.types import Struct
|
||||
|
||||
|
||||
# TODO: a composite for tracking msg flow on 2-legged
|
||||
# dialogs.
|
||||
# class Dialog(ChainMap):
|
||||
# '''
|
||||
# Msg collection abstraction to easily track the state changes of
|
||||
# a msg flow in one high level, query-able and immutable construct.
|
||||
|
||||
# The main use case is to query data from a (long-running)
|
||||
# msg-transaction-sequence
|
||||
|
||||
|
||||
# '''
|
||||
# def update(
|
||||
# self,
|
||||
# msg,
|
||||
# ) -> None:
|
||||
# self.maps.insert(0, msg.to_dict())
|
||||
|
||||
# def flatten(self) -> dict:
|
||||
# return dict(self)
|
||||
|
||||
|
||||
# TODO: ``msgspec`` stuff worth paying attention to:
|
||||
# - schema evolution:
|
||||
# https://jcristharif.com/msgspec/usage.html#schema-evolution
|
||||
|
|
@ -163,6 +138,18 @@ class Status(Struct):
|
|||
brokerd_msg: dict = {}
|
||||
|
||||
|
||||
class Error(Status):
|
||||
resp: str = 'error'
|
||||
|
||||
# TODO: allow re-wrapping from existing (last) status?
|
||||
@classmethod
|
||||
def from_status(
|
||||
cls,
|
||||
msg: Status,
|
||||
) -> Error:
|
||||
...
|
||||
|
||||
|
||||
# ---------------
|
||||
# emsd -> brokerd
|
||||
# ---------------
|
||||
|
|
@ -226,6 +213,7 @@ class BrokerdOrderAck(Struct):
|
|||
|
||||
# emsd id originally sent in matching request msg
|
||||
oid: str
|
||||
# TODO: do we need this?
|
||||
account: str = ''
|
||||
name: str = 'ack'
|
||||
|
||||
|
|
@ -238,13 +226,14 @@ class BrokerdStatus(Struct):
|
|||
'open',
|
||||
'canceled',
|
||||
'pending',
|
||||
'error',
|
||||
# 'error', # NOTE: use `BrokerdError`
|
||||
'closed',
|
||||
]
|
||||
name: str = 'status'
|
||||
|
||||
oid: str = ''
|
||||
# TODO: do we need this?
|
||||
account: str | None = None,
|
||||
name: str = 'status'
|
||||
filled: float = 0.0
|
||||
reason: str = ''
|
||||
remaining: float = 0.0
|
||||
|
|
@ -287,15 +276,15 @@ class BrokerdError(Struct):
|
|||
This is still a TODO thing since we're not sure how to employ it yet.
|
||||
|
||||
'''
|
||||
oid: str
|
||||
reason: str
|
||||
|
||||
# TODO: drop this right?
|
||||
symbol: str | None = None
|
||||
|
||||
oid: str | None = None
|
||||
# if no brokerd order request was actually submitted (eg. we errored
|
||||
# at the ``pikerd`` layer) then there will be ``reqid`` allocated.
|
||||
reqid: int | str | None = None
|
||||
reqid: str | None = None
|
||||
|
||||
name: str = 'error'
|
||||
broker_details: dict = {}
|
||||
|
|
|
|||
Loading…
Reference in New Issue