Support live order loading (with caveats)
As you'd expect query and sync the EMS with existing live orders reported by the market venue by packing them in `Status` msgs and sending over the order dialog stream before starting the handler tasks. XXX CAVEAT: - there appears to be no way (at least on the usdtm market/venue) to distinguish between different contracts such as perps vs. the quarterlies? - for now we just assume that the perp is being used since there's no indicator otherwise in the 'symbol' field? - we should maybe open an issue with the futures-connector project to see how they'd recommend solving this discrepancy?basic_buy_bot
Tyler Goodlet
parent
dc3ac8de01
commit
5c315ba163
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@ -49,6 +49,9 @@ from fuzzywuzzy import process as fuzzy
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import numpy as np
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from piker import config
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from piker.clearing._messages import (
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Order,
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)
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from piker.accounting import (
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Asset,
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digits_to_dec,
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@ -378,9 +381,6 @@ class Client:
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raise SymbolNotFound(f'No market pairs found!?:\n{resp}')
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pairs_view_subtable: dict[str, Pair] = {}
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# if venue == 'spot':
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# import tractor
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# await tractor.breakpoint()
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for item in mkt_pairs:
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filters_ls: list = item.pop('filters', False)
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@ -619,6 +619,68 @@ class Client:
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signed=True,
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)
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async def get_open_orders(
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self,
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symbol: str | None = None,
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) -> list[Order]:
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'''
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Get all open orders for venue-account.
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WARNING: apparently not specifying the symbol is given
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a much heavier API "weight" meaning you shouldn't call it
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often to avoid getting throttled as per:
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'https://binance-docs.github.io/apidocs/futures/en/#current-all-open-orders-user_data
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'''
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params: dict[str, Any] = {
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'timestamp': binance_timestamp(now()),
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}
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if symbol is not None:
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params['symbol'] = symbol
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resp = await self.mkt_mode_req[self.mkt_mode](
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'openOrders',
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params=params,
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signed=True,
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action='get',
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)
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orders: list[Order] = []
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for entry in resp:
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oid: str = entry['clientOrderId']
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# XXX TODO XXX: it appears as though entries have no
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# indicator from the symbology system which market
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# / venue the order is from.. which normally isn't
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# a huge deal since you could assume based on the
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# endpoint you made the request to, BUT the futes USD-M
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# endpoints have multiple contracts for the same
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# symbols (eg. BTCUSDT.PERP, BTCUSDT.230630.. etc.)
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# NOTE: for now until we have a better system we're
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# going to assume orders that don't have some kind of
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# further info in the order resp dict are perps though
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# likely this will need to change in the future..
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venue: str = self.mkt_mode.rstrip('_futes')
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bs_mktid: str = entry['symbol']
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fqme: str = f'{bs_mktid.lower()}.{venue}.perp'
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orders.append(
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Order(
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oid=oid,
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symbol=fqme,
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action=entry['side'].lower(),
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price=float(entry['price']),
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size=float(entry['origQty']),
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exec_mode='live',
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account=f'binance.{venue}',
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)
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)
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return orders
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async def submit_limit(
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self,
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symbol: str,
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@ -62,6 +62,8 @@ from piker.clearing._messages import (
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BrokerdFill,
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BrokerdCancel,
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BrokerdError,
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Status,
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Order,
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)
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from .venues import Pair
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from .api import Client
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@ -69,6 +71,10 @@ from .api import Client
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log = get_logger('piker.brokers.binance')
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# TODO: factor this into `.clearing._util` (or something)
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# and use in other backends like kraken which currently has
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# a less formalized version more or less:
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# `apiflows[reqid].maps.append(status_msg.to_dict())`
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class OrderDialogs(Struct):
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'''
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Order control dialog (and thus transaction) tracking via
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@ -79,25 +85,49 @@ class OrderDialogs(Struct):
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state using the entire (reverse chronological) msg flow.
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'''
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_dialogs: defaultdict[str, ChainMap] = defaultdict(ChainMap)
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_flows: dict[str, ChainMap] = {}
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def add_msg(
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self,
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oid: str,
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msg: dict,
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) -> None:
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self._dialogs[oid].maps.insert(0, msg)
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# NOTE: manually enter a new map on the first msg add to
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# avoid creating one with an empty dict first entry in
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# `ChainMap.maps` which is the default if none passed at
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# init.
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cm: ChainMap = self._flows.get(oid)
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if cm:
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cm.maps.insert(0, msg)
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else:
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cm = ChainMap(msg)
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self._flows[oid] = cm
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# TODO: wrap all this in the `collections.abc.Mapping` interface?
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def get(
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self,
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oid: str,
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) -> ChainMap[str, Any]:
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'''
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Return the dialog `ChainMap` for provided id.
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'''
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return self._dialogs.get(oid, None)
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return self._flows.get(oid, None)
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def pop(
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self,
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oid: str,
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) -> ChainMap[str, Any]:
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'''
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Pop and thus remove the `ChainMap` containing the msg flow
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for the given order id.
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'''
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return self._flows.pop(oid)
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async def handle_order_requests(
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@ -277,11 +307,15 @@ async def open_trade_dialog(
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f"{listen_key}@account",
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f"{listen_key}@balance",
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f"{listen_key}@position",
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# TODO: does this even work!? seems to cause
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# a hang on the first msg..? lelelel.
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# f"{listen_key}@order",
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],
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"id": nsid
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})
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with trio.fail_after(1):
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with trio.fail_after(6):
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msg = await wss.recv_msg()
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assert msg['id'] == nsid
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@ -401,6 +435,24 @@ async def open_trade_dialog(
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trio.open_nursery() as tn,
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ctx.open_stream() as ems_stream,
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):
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# deliver all pre-exist open orders to EMS thus syncing
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# state with the binance existing live limit set.
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open_orders: list[Order] = await client.get_open_orders()
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# fill out `Status` with boxed `Order`s and sync the EMS.
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for order in open_orders:
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status_msg = Status(
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time_ns=time.time_ns(),
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resp='open',
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oid=order.oid,
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reqid=order.oid,
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# embedded order info
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req=order,
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src='binance',
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)
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dialogs.add_msg(order.oid, order.to_dict())
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await ems_stream.send(status_msg)
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tn.start_soon(
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handle_order_requests,
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@ -565,16 +617,14 @@ async def handle_order_updates(
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if accum_size_filled == req_size:
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status = 'closed'
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del dialogs._dialogs[oid]
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dialogs.pop(oid)
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case 'NEW':
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status = 'open'
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case 'EXPIRED':
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status = 'canceled'
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del dialogs._dialogs[oid]
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# case 'TRADE':
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dialogs.pop(oid)
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case _:
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status = status.lower()
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