Move `Allocator` to module level, `OrderPane` over to pp mod
Tyler Goodlet
parent
6be6f25797
commit
58afe07a88
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@ -633,29 +633,6 @@ def mk_fill_status_bar(
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return hbox, bar
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class OrderPane(pydantic.BaseModel):
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'''Set of widgets plus an allocator model
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for configuring order entry sizes.
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'''
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class Config:
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arbitrary_types_allowed = True
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underscore_attrs_are_private = False
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# config for and underlying validation model
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form: FieldsForm
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model: pydantic.BaseModel
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# fill status + labels
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fill_status_bar: FillStatusBar
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step_label: QLabel
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pnl_label: QLabel
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limit_label: QLabel
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def config_ui_from_model(self) -> None:
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...
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def mk_order_pane_layout(
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parent: QWidget,
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@ -23,7 +23,6 @@ from enum import Enum
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from functools import partial
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from math import floor
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# from pprint import pprint
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import sys
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from typing import Optional
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@ -42,7 +41,7 @@ from ..data._source import Symbol
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from ._label import Label
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from ._lines import LevelLine, level_line
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from ._style import _font
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from ._forms import FieldsForm
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from ._forms import FieldsForm, FillStatusBar, QLabel
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from ..log import get_logger
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@ -65,6 +64,145 @@ class Position(BaseModel):
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fills: list[Status] = []
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_size_units = bidict({
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'currency': '$ size',
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'units': '# units',
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# TODO: but we'll need a `<brokermod>.get_accounts()` or something
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# 'percent_of_port': '% of port',
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})
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SizeUnit = Enum(
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'SizeUnit',
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_size_units,
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)
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class Allocator(BaseModel):
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class Config:
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validate_assignment = True
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copy_on_model_validation = False
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extra = 'allow'
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# underscore_attrs_are_private = False
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account: Optional[str] = 'paper'
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_accounts: bidict[str, Optional[str]]
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@validator('account', pre=True)
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def set_account(cls, v, values):
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if v:
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return values['_accounts'][v]
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size_unit: SizeUnit = 'currency'
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_size_units: dict[str, Optional[str]] = _size_units
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@validator('size_unit')
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def lookup_key(cls, v):
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# apply the corresponding enum key for the text "description" value
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return v.name
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disti_weight: str = 'uniform'
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size: float
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slots: int
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_position: Position = None
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_widget: QWidget = None
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def slotted_units(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots
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def size_from_currency_limit(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots / price
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_sizers = {
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'currency': size_from_currency_limit,
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'units': slotted_units,
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# 'percent_of_port': lambda: 0,
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}
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def get_order_info(
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self,
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# TODO: apply the symbol when the chart it is selected
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symbol: Symbol,
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price: float,
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action: str,
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) -> dict:
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'''Generate order request info for the "next" submittable order
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depending on position / order entry config.
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'''
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tracker = self._position
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pp_size = tracker.live_pp.size
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ld = symbol.lot_size_digits
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if (
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action == 'buy' and pp_size > 0 or
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action == 'sell' and pp_size < 0 or
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pp_size == 0
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): # an entry
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# try to read existing position and compute
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# next entry/exit size from distribution weight policy
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# (and possibly TODO: commissions info).
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entry_size = self._sizers[self.size_unit](
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self, symbol, self.size, price
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)
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if ld == 0:
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# in discrete units case (eg. stocks, futures, opts)
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# we always round down
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units = floor(entry_size)
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else:
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# we can return a float lot size rounded to nearest tick
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units = round(entry_size, ndigits=ld)
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return {
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'size': units,
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'size_digits': ld
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}
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elif action != 'alert': # an exit
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pp_size = tracker.startup_pp.size
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if ld == 0:
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# exit at the slot size worth of units or the remaining
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# units left for the position to be net-zero, whichever
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# is smaller
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evenly, r = divmod(pp_size, self.slots)
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exit_size = min(evenly, pp_size)
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# "front" weight the exit order sizes
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# TODO: make this configurable?
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if r:
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exit_size += 1
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else: # we can return a float lot size rounded to nearest tick
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exit_size = min(
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round(pp_size / self.slots, ndigits=ld),
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pp_size
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)
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return {
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'size': exit_size,
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'size_digits': ld
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}
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else: # likely an alert
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return {'size': 0}
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def mk_alloc(
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accounts: dict[str, Optional[str]] = {
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@ -83,157 +221,41 @@ def mk_alloc(
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for name, value in account_labels.items():
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accounts[f'{brokername}.{name}'] = value
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# lol we have to do this module patching bc ``pydantic``
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# needs types to exist at module level:
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# https://pydantic-docs.helpmanual.io/usage/postponed_annotations/
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mod = sys.modules[__name__]
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accounts = bidict(accounts)
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Account = mod.Account = Enum('Account', accounts)
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size_units = bidict({
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'currency': '$ size',
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'units': '# units',
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# 'percent_of_port': '% of port', # TODO:
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})
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SizeUnit = mod.SizeUnit = Enum(
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'SizeUnit',
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size_units,
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)
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class Allocator(BaseModel):
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class Config:
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validate_assignment = True
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copy_on_model_validation = False
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extra = 'allow'
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account: Account = None
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_accounts: dict[str, Optional[str]] = accounts
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@validator('account', pre=True)
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def set_account(cls, v):
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if v:
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return cls._accounts[v]
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size_unit: SizeUnit = 'currency'
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_size_units: dict[str, Optional[str]] = size_units
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@validator('size_unit')
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def lookup_key(cls, v):
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# apply the corresponding enum key for the text "description" value
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return v.name
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disti_weight: str = 'uniform'
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size: float
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slots: int
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_position: Position = None
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_widget: QWidget = None
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def slotted_units(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots
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def size_from_currency_limit(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots / price
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_sizers = {
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'currency': size_from_currency_limit,
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'units': slotted_units,
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# 'percent_of_port': lambda: 0,
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}
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def get_order_info(
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self,
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# TODO: apply the symbol when the chart it is selected
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symbol: Symbol,
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price: float,
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action: str,
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) -> dict:
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'''Generate order request info for the "next" submittable order
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depending on position / order entry config.
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'''
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tracker = self._position
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pp_size = tracker.live_pp.size
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ld = symbol.lot_size_digits
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if (
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action == 'buy' and pp_size > 0 or
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action == 'sell' and pp_size < 0 or
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pp_size == 0
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): # an entry
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# try to read existing position and compute
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# next entry/exit size from distribution weight policy
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# (and possibly TODO: commissions info).
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entry_size = self._sizers[self.size_unit](
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self, symbol, self.size, price
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)
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if ld == 0:
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# in discrete units case (eg. stocks, futures, opts)
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# we always round down
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units = floor(entry_size)
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else:
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# we can return a float lot size rounded to nearest tick
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units = round(entry_size, ndigits=ld)
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return {
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'size': units,
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'size_digits': ld
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}
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elif action != 'alert': # an exit
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pp_size = tracker.startup_pp.size
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if ld == 0:
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# exit at the slot size worth of units or the remaining
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# units left for the position to be net-zero, whichever
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# is smaller
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evenly, r = divmod(pp_size, self.slots)
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exit_size = min(evenly, pp_size)
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# "front" weight the exit order sizes
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# TODO: make this configurable?
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if r:
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exit_size += 1
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else: # we can return a float lot size rounded to nearest tick
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exit_size = min(
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round(pp_size / self.slots, ndigits=ld),
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pp_size
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)
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return {
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'size': exit_size,
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'size_digits': ld
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}
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else: # likely an alert
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return {'size': 0}
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return Allocator(
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account=None,
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size_unit=size_units['currency'],
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_accounts=bidict(accounts),
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size_unit=_size_units['currency'],
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size=5e3,
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slots=4,
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)
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class OrderPane(BaseModel):
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'''Set of widgets plus an allocator model
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for configuring order entry sizes.
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'''
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class Config:
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arbitrary_types_allowed = True
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# underscore_attrs_are_private = False
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# config for and underlying validation model
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form: FieldsForm
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model: BaseModel
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# fill status + labels
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fill_status_bar: FillStatusBar
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step_label: QLabel
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pnl_label: QLabel
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limit_label: QLabel
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def config_ui_from_model(self) -> None:
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...
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def transform_to(self, size_unit: str) -> None:
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...
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class PositionTracker:
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'''Track and display a real-time position for a single symbol
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on a chart.
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@ -509,6 +531,7 @@ class PositionTracker:
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return line
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# TODO: per account lines on a single (or very related) symbol
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def update_line(
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self,
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