Get live mode correct and working
Tyler Goodlet
parent
3e959ec260
commit
5acd780eb6
196
piker/_ems.py
196
piker/_ems.py
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@ -61,11 +61,6 @@ class OrderBook:
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_to_ems: trio.abc.SendChannel = _to_ems
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_from_order_book: trio.abc.ReceiveChannel = _from_order_book
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# def on_fill(self, uuid: str) -> None:
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# cmd = self._sent_orders[uuid]
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# log.info(f"Order executed: {cmd}")
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# self._confirmed_orders[uuid] = cmd
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def send(
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self,
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uuid: str,
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@ -217,10 +212,6 @@ def get_book(broker: str) -> _ExecBook:
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return _books.setdefault(broker, _ExecBook(broker))
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# def scan_quotes(
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# quotes: dict,
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async def exec_loop(
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ctx: tractor.Context,
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broker: str,
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@ -263,8 +254,8 @@ async def exec_loop(
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# start = time.time()
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for sym, quote in quotes.items():
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execs = book.orders.get((broker, sym))
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if not execs:
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execs = book.orders.pop(sym, None)
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if execs is None:
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continue
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for tick in quote.get('ticks', ()):
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@ -283,30 +274,37 @@ async def exec_loop(
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if pred(price):
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# register broker id for ems id
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order_id = await client.submit_limit(
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oid=oid,
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reqid = await client.submit_limit(
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# oid=oid,
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symbol=sym,
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action=cmd['action'],
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price=round(price, 2),
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)
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# resp = book._broker2ems_ids.setdefault(
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book._broker2ems_ids[order_id] = oid
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book._broker2ems_ids[reqid] = oid
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resp = {
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'resp': 'submitted',
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'resp': 'dark_exec',
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'name': name,
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'ems_trigger_time_ns': time.time_ns(),
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# current shm array index
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'index': feed.shm._last.value - 1,
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'time_ns': time.time_ns(),
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'trigger_price': price,
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'broker_reqid': reqid,
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'broker': broker,
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# 'condition': True,
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# current shm array index - this needed?
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'ohlc_index': feed.shm._last.value - 1,
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}
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await ctx.send_yield(resp)
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# remove exec-condition from set
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log.info(f'removing pred for {oid}')
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pred, name, cmd = execs.pop(oid)
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log.debug(f'execs are {execs}')
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await ctx.send_yield(resp)
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else: # condition scan loop complete
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log.debug(f'execs are {execs}')
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if execs:
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book.orders[symbol] = execs
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# print(f'execs scan took: {time.time() - start}')
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# feed teardown
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@ -318,10 +316,11 @@ async def exec_loop(
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# should probably keep the order in some kind of weird state or cancel
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# it outright?
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404, reqId 1550: Order held while securities are located.'),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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# status='PreSubmitted', message='')],
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async def receive_trade_updates(
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async def process_broker_trades(
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ctx: tractor.Context,
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feed: 'Feed', # noqa
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book: _ExecBook,
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@ -339,75 +338,55 @@ async def receive_trade_updates(
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first = await trades_stream.__anext__()
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# startup msg
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assert first['trade_events'] == 'started'
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assert first['local_trades'] == 'start'
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task_status.started()
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async for trade_event in trades_stream:
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event = trade_event['trade_events']
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async for msg in trades_stream:
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name, ev = msg['local_trades']
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log.info(f'Received broker trade event:\n{pformat(ev)}')
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try:
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order = event['order']
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except KeyError:
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# broker request id - must be normalized
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# into error transmission by broker backend.
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reqid = ev['reqid']
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oid = book._broker2ems_ids.get(reqid)
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# Relay broker error messages
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err = event['error']
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# make response packet to EMS client(s)
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resp = {'oid': oid}
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# broker request id - must be normalized
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# into error transmission by broker backend.
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reqid = err['brid']
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# TODO: handle updates!
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oid = book._broker2ems_ids.get(reqid)
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if name in ('error',):
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# TODO: figure out how this will interact with EMS clients
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# for ex. on an error do we react with a dark orders
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# management response, like cancelling all dark orders?
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# XXX should we make one when it's blank?
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log.error(pformat(err['message']))
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log.error(pformat(ev['message']))
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else:
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log.info(f'Received broker trade event:\n{pformat(event)}')
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elif name in ('status',):
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status = event['orderStatus']['status']
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reqid = order['orderId']
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status = ev['status'].lower()
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# TODO: handle updates!
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oid = book._broker2ems_ids.get(reqid)
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if status == 'filled':
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# conditional execution is fully complete
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if not ev['remaining']:
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log.info(f'Execution for {oid} is complete!')
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await ctx.send_yield({'resp': 'executed', 'oid': oid})
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else:
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# one of (submitted, cancelled)
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resp['resp'] = 'broker_' + status
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if status in {'Cancelled'}:
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resp = {'resp': 'cancelled'}
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await ctx.send_yield(resp)
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elif status in {'Submitted'}:
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# ack-response that order is live/submitted
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# to the broker
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resp = {'resp': 'submitted'}
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# elif status in {'Executed', 'Filled'}:
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elif status in {'Filled'}:
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# order was filled by broker
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fills = []
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for fill in event['fills']:
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e = fill['execution']
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fills.append(
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(e.time, e.price, e.shares, e.side)
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)
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resp = {
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'resp': 'executed',
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'fills': fills,
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}
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else: # active in EMS
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# ack-response that order is live in EMS
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# (aka as a client side limit)
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resp = {'resp': 'active'}
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# send response packet to EMS client(s)
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resp['oid'] = oid
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elif name in ('fill',):
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# proxy through the "fill" result(s)
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resp['resp'] = 'broker_filled'
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resp.update(ev)
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log.info(f'Fill for {oid} cleared with\n{pformat(resp)}')
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await ctx.send_yield(resp)
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@tractor.stream
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async def stream_and_route(
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async def _ems_main(
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ctx: tractor.Context,
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client_actor_name: str,
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broker: str,
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@ -440,7 +419,7 @@ async def stream_and_route(
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# for paper mode we need to mock this trades response feed
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await n.start(
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receive_trade_updates,
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process_broker_trades,
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ctx,
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feed,
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book,
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@ -452,32 +431,31 @@ async def stream_and_route(
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action = cmd['action']
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oid = cmd['oid']
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sym = cmd['symbol']
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if action == 'cancel':
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if action in ('cancel',):
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# check for live-broker order
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brid = book._broker2ems_ids.inverse[oid]
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if brid:
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log.info("Submitting cancel for live order")
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await client.submit_cancel(oid=brid)
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await client.submit_cancel(reqid=brid)
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# check for EMS active exec
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else:
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book.orders[symbol].pop(oid, None)
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await ctx.send_yield(
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{'action': 'cancelled',
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{'action': 'dark_cancelled',
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'oid': oid}
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)
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elif action in ('alert', 'buy', 'sell',):
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sym = cmd['symbol']
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trigger_price = cmd['price']
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brokers = cmd['brokers']
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broker = brokers[0]
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last = book.lasts[(broker, sym)]
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# print(f'Known last is {last}')
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if action in ('buy', 'sell',):
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@ -491,17 +469,18 @@ async def stream_and_route(
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# register broker id for ems id
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order_id = await client.submit_limit(
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oid=oid,
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oid=oid, # no ib support for this
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symbol=sym,
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action=action,
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price=round(trigger_price, 2),
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size=1,
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)
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book._broker2ems_ids[order_id] = oid
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# book.orders[symbol][oid] = None
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# XXX: the trades data broker response loop
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# (``receive_trade_updates()`` above) will
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# (``process_broker_trades()`` above) will
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# handle sending the ems side acks back to
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# the cmd sender from here
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@ -516,30 +495,52 @@ async def stream_and_route(
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pred, name = mk_check(trigger_price, last)
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# submit execution/order to EMS scanner loop
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# create list of executions on first entry
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book.orders.setdefault(
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(broker, sym), {}
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)[oid] = (pred, name, cmd)
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# ack-response that order is live here
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await ctx.send_yield({
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'resp': 'ems_active',
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'resp': 'dark_submitted',
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'oid': oid
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})
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# continue and wait on next order cmd
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async def _ems_main(
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async def open_ems(
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order_mode,
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broker: str,
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symbol: Symbol,
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# lines: 'LinesEditor',
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task_status: TaskStatus[str] = trio.TASK_STATUS_IGNORED,
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) -> None:
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"""Spawn an EMS daemon and begin sending orders and receiving
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alerts.
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This EMS tries to reduce most broker's terrible order entry apis to
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a very simple protocol built on a few easy to grok and/or
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"rantsy" premises:
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- most users will prefer "dark mode" where orders are not submitted
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to a broker until and execution condition is triggered
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(aka client-side "hidden orders")
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- Brokers over-complicate their apis and generally speaking hire
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poor designers to create them. We're better off using creating a super
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minimal, schema-simple, request-event-stream protocol to unify all the
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existing piles of shit (and shocker, it'll probably just end up
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looking like a decent crypto exchange's api)
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- all order types can be implemented with client-side limit orders
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- we aren't reinventing a wheel in this case since none of these
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brokers are exposing FIX protocol; it is they doing the re-invention.
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TODO: make some fancy diagrams using this:
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"""
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actor = tractor.current_actor()
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@ -553,7 +554,7 @@ async def _ems_main(
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enable_modules=[__name__],
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)
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stream = await portal.run(
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stream_and_route,
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_ems_main,
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client_actor_name=actor.name,
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broker=broker,
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symbol=symbol.key,
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@ -564,29 +565,36 @@ async def _ems_main(
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# let parent task continue
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task_status.started(_to_ems)
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# begin the trigger-alert stream
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# Begin order-response streaming
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# this is where we receive **back** messages
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# about executions **from** the EMS actor
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async for msg in stream:
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log.info(f'Received order msg: {pformat(msg)}')
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# delete the line from view
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oid = msg['oid']
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resp = msg['resp']
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# response to 'action' request (buy/sell)
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if resp in ('ems_active', 'submitted'):
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if resp in ('dark_submitted', 'broker_submitted'):
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log.info(f"order accepted: {msg}")
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# show line label once order is live
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order_mode.on_submit(oid)
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# response to 'cancel' request
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elif resp in ('cancelled',):
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# resp to 'cancel' request or error condition for action request
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elif resp in ('broker_cancelled', 'dark_cancelled'):
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# delete level from view
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order_mode.on_cancel(oid)
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log.info(f'deleting line with oid: {oid}')
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# response to 'action' request (buy/sell)
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# response to completed 'action' request for buy/sell
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elif resp in ('executed',):
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await order_mode.on_exec(oid, msg)
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# each clearing tick is responded individually
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elif resp in ('broker_filled',):
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# TODO: some kinda progress system
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order_mode.on_fill(oid, msg)
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@ -186,7 +186,7 @@ class Feed:
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# the broker side must declare this key
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# in messages, though we could probably use
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# more then one?
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topics=['trade_events'],
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topics=['local_trades'],
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)
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return self._trade_stream
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@ -59,7 +59,7 @@ from ..log import get_logger
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from ._exec import run_qtractor, current_screen
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from ._interaction import ChartView, open_order_mode
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from .. import fsp
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from .._ems import _ems_main
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from .._ems import open_ems
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log = get_logger(__name__)
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@ -958,8 +958,8 @@ async def _async_main(
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# inside the above mngr?
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# spawn EMS actor-service
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to_ems_chan = await n.start(
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_ems_main,
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await n.start(
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open_ems,
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order_mode,
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brokername,
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symbol,
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