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Deliver existing dialog (msgs) to every EMS client 

Ideally every client that connects to the ems can know its state
(immediately) meaning relay all the order dialogs that are currently
active. This adds full (hacky WIP) support to receive those dialog
(msgs) from the `open_ems()` startup values via the `.started()` msg
from `_emsd_main()`.

Further this adds support to the order mode chart-UI to display existing
(live) orders on the chart during startup. Details include,

- add a `OrderMode.load_unknown_dialog_from_msg()` for processing and
  displaying a ``BrokerdStatus`` (for now) msg from the EMS that was not
  previously created by the current ems client and registering and
  displaying it on the chart.
- break out the ems msg processing into a new
  `order_mode.process_trade_msg()` func so that it can be called on the
  startup dialog-msg set as well as eventually used a more general low
  level auto-strat API (eg. when we get to displaying auto-strat and
  group trading automatically on an observing chart UI.
- hackyness around msg-processing for the dialogs delivery since we're
  technically delivering `BrokerdStatus` msgs when the client-side
  processing technically expects `Status` msgs.. we'll rectify this
  soon!
dict_differ
Tyler Goodlet 2022-08-05 20:39:00 -04:00
parent aa204228ab
commit 5ac5743c66
2 changed files with 205 additions and 160 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

18
piker/clearing/_client.py
View File

@ -224,11 +224,19 @@ async def open_ems(
fqsn=fqsn,
exec_mode=mode,
) as (ctx, (positions, accounts)),
) as (
ctx,
(
positions,
accounts,
dialogs,
)
),
# open 2-way trade command stream
ctx.open_stream() as trades_stream,
):
# start sync code order msg delivery task
async with trio.open_nursery() as n:
n.start_soon(
relay_order_cmds_from_sync_code,
@ -236,4 +244,10 @@ async def open_ems(
trades_stream
)
yield book, trades_stream, positions, accounts
yield (
book,
trades_stream,
positions,
accounts,
dialogs,
)

133
piker/ui/order_mode.py
View File

@ -517,6 +517,48 @@ class OrderMode:
return ids
def load_unknown_dialog_from_msg(
self,
msg: dict,
) -> OrderDialog:
oid = str(msg['oid'])
size = msg['brokerd_msg']['size']
if size >= 0:
action = 'buy'
else:
action = 'sell'
acct = msg['brokerd_msg']['account']
price = msg['brokerd_msg']['price']
deats = msg['brokerd_msg']['broker_details']
fqsn = (
deats['fqsn'] + '.' + deats['name']
)
symbol = Symbol.from_fqsn(
fqsn=fqsn,
info={},
)
# map to order composite-type
order = Order(
action=action,
price=price,
account=acct,
size=size,
symbol=symbol,
brokers=symbol.brokers,
oid=oid,
exec_mode='live', # dark or live
)
dialog = self.submit_order(
send_msg=False,
order=order,
)
assert self.dialogs[oid] == dialog
return dialog
@asynccontextmanager
async def open_order_mode(
@ -554,6 +596,7 @@ async def open_order_mode(
trades_stream,
position_msgs,
brokerd_accounts,
ems_dialog_msgs,
),
trio.open_nursery() as tn,
@ -760,37 +803,59 @@ async def open_order_mode(
# to handle input since the ems connection is ready
started.set()
for oid, msg in ems_dialog_msgs.items():
# HACK ALERT: ensure a resp field is filled out since
# techincally the call below expects a ``Status``. TODO:
# parse into proper ``Status`` equivalents ems-side?
msg.setdefault('resp', msg['broker_details']['resp'])
msg.setdefault('oid', msg['broker_details']['oid'])
msg['brokerd_msg'] = msg
await process_trade_msg(
mode,
book,
msg,
)
tn.start_soon(
process_trades_and_update_ui,
tn,
feed,
mode,
trades_stream,
mode,
book,
)
yield mode
async def process_trades_and_update_ui(
n: trio.Nursery,
feed: Feed,
mode: OrderMode,
trades_stream: tractor.MsgStream,
mode: OrderMode,
book: OrderBook,
) -> None:
get_index = mode.chart.get_index
global _pnl_tasks
# this is where we receive **back** messages
# about executions **from** the EMS actor
async for msg in trades_stream:
await process_trade_msg(
mode,
book,
msg,
)
async def process_trade_msg(
mode: OrderMode,
book: OrderBook,
msg: dict,
) -> None:
get_index = mode.chart.get_index
fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}')
name = msg['name']
if name in (
'position',
@ -816,51 +881,18 @@ async def process_trades_and_update_ui(
# short circuit to next msg to avoid
# unnecessary msg content lookups
continue
return
# continue
resp = msg['resp']
oid = str(msg['oid'])
dialog = mode.dialogs.get(oid)
if dialog is None:
log.warning(f'received msg for untracked dialog:\n{fmsg}')
size = msg['brokerd_msg']['size']
if size >= 0:
action = 'buy'
else:
action = 'sell'
acct = msg['brokerd_msg']['account']
price = msg['brokerd_msg']['price']
deats = msg['brokerd_msg']['broker_details']
fqsn = (
deats['fqsn'] + '.' + deats['name']
log.warning(
f'received msg for untracked dialog:\n{fmsg}'
)
symbol = Symbol.from_fqsn(
fqsn=fqsn,
info={},
)
# map to order composite-type
order = Order(
action=action,
price=price,
account=acct,
size=size,
symbol=symbol,
brokers=symbol.brokers,
oid=oid,
exec_mode='live', # dark or live
)
dialog = mode.submit_order(
send_msg=False,
order=order,
)
# # TODO: enable pure tracking / mirroring of dialogs
# # is desired.
# continue
dialog = mode.load_unknown_dialog_from_msg(msg)
# record message to dialog tracking
dialog.msgs[oid] = msg
@ -870,7 +902,6 @@ async def process_trades_and_update_ui(
'dark_submitted',
'broker_submitted'
):
# show line label once order is live
mode.on_submit(oid)
@ -930,11 +961,11 @@ async def process_trades_and_update_ui(
elif resp in (
'broker_filled',
):
known_order = book._sent_orders.get(oid)
if not known_order:
log.warning(f'order {oid} is unknown')
continue
return
# continue
action = known_order.action
details = msg['brokerd_msg']