Factor order request processing into new func
Tyler Goodlet
parent
e71bcb363c
commit
5deea50963
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@ -448,6 +448,145 @@ async def process_broker_trades(
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await ctx.send_yield(resp)
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async def process_order_cmds(
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ctx: tractor.Context,
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cmd_stream: 'tractor.ReceiveStream', # noqa
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symbol: str,
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feed: 'Feed', # noqa
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client: 'Client', # noqa
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dark_book: _DarkBook,
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) -> None:
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async for cmd in cmd_stream:
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log.info(f'Received order cmd:\n{pformat(cmd)}')
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action = cmd['action']
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oid = cmd['oid']
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brid = dark_book._broker2ems_ids.inverse.get(oid)
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# TODO: can't wait for this stuff to land in 3.10
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# https://www.python.org/dev/peps/pep-0636/#going-to-the-cloud-mappings
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if action in ('cancel',):
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# check for live-broker order
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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(reqid=brid)
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# check for EMS active exec
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else:
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try:
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dark_book.orders[symbol].pop(oid, None)
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await ctx.send_yield({
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'resp': 'dark_cancelled',
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'oid': oid
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})
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except KeyError:
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log.exception(f'No dark order for {symbol}?')
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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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size = cmd['size']
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brokers = cmd['brokers']
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exec_mode = cmd['exec_mode']
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broker = brokers[0]
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last = dark_book.lasts[(broker, sym)]
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if exec_mode == 'live' and action in ('buy', 'sell',):
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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, # no ib support for oids...
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# if this is None, creates a new order
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# otherwise will modify any existing one
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brid=brid,
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symbol=sym,
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action=action,
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price=trigger_price,
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size=size,
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)
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if brid:
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assert dark_book._broker2ems_ids[brid] == oid
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# if we already had a broker order id then
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# this is likely an order update commmand.
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log.info(f"Modifying order: {brid}")
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else:
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dark_book._broker2ems_ids[order_id] = oid
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# XXX: the trades data broker response loop
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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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elif exec_mode in ('dark', 'paper') or (
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action in ('alert')
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):
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# submit order to local EMS
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# Auto-gen scanner predicate:
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# we automatically figure out what the alert check
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# condition should be based on the current first
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# price received from the feed, instead of being
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# like every other shitty tina platform that makes
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# the user choose the predicate operator.
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pred = mk_check(trigger_price, last)
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min_tick = feed.symbols[sym].tick_size
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if action == 'buy':
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tickfilter = ('ask', 'last', 'trade')
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percent_away = 0.005
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# TODO: we probably need to scale this based
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# on some near term historical spread
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# measure?
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abs_diff_away = 3 * min_tick
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elif action == 'sell':
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tickfilter = ('bid', 'last', 'trade')
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percent_away = -0.005
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abs_diff_away = -3 * min_tick
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else: # alert
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tickfilter = ('trade', 'utrade', 'last')
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percent_away = 0
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abs_diff_away = 0
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# submit execution/order to EMS scan loop
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# FYI: this may result in an override of an existing
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# dark book entry if the order id already exists
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dark_book.orders.setdefault(
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sym, {}
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)[oid] = (
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pred,
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tickfilter,
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cmd,
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percent_away,
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abs_diff_away
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)
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# TODO: if the predicate resolves immediately send the
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# execution to the broker asap? Or no?
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# ack-response that order is live in EMS
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await ctx.send_yield({
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'resp': 'dark_submitted',
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'oid': oid
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})
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@tractor.stream
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async def _emsd_main(
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ctx: tractor.Context,
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@ -513,133 +652,14 @@ async def _emsd_main(
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# acting as an EMS client and will submit orders) to
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# receive requests pushed over a tractor stream
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# using (for now) an async generator.
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async for cmd in await portal.run(send_order_cmds):
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order_stream = await portal.run(send_order_cmds)
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log.info(f'Received order cmd:\n{pformat(cmd)}')
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action = cmd['action']
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oid = cmd['oid']
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brid = dark_book._broker2ems_ids.inverse.get(oid)
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# TODO: can't wait for this stuff to land in 3.10
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# https://www.python.org/dev/peps/pep-0636/#going-to-the-cloud-mappings
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if action in ('cancel',):
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# check for live-broker order
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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(reqid=brid)
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# check for EMS active exec
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else:
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try:
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dark_book.orders[symbol].pop(oid, None)
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await ctx.send_yield({
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'resp': 'dark_cancelled',
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'oid': oid
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})
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except KeyError:
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log.exception(f'No dark order for {symbol}?')
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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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size = cmd['size']
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brokers = cmd['brokers']
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exec_mode = cmd.get('exec_mode', _mode)
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broker = brokers[0]
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last = dark_book.lasts[(broker, sym)]
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if exec_mode == 'live' and action in ('buy', 'sell',):
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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, # no ib support for oids...
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# if this is None, creates a new order
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# otherwise will modify any existing one
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brid=brid,
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symbol=sym,
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action=action,
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price=trigger_price,
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size=size,
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)
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if brid:
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assert dark_book._broker2ems_ids[brid] == oid
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# if we already had a broker order id then
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# this is likely an order update commmand.
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log.info(f"Modifying order: {brid}")
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else:
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dark_book._broker2ems_ids[order_id] = oid
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# XXX: the trades data broker response loop
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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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elif exec_mode in ('dark', 'paper') or (
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action in ('alert')
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):
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# submit order to local EMS
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# Auto-gen scanner predicate:
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# we automatically figure out what the alert check
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# condition should be based on the current first
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# price received from the feed, instead of being
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# like every other shitty tina platform that makes
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# the user choose the predicate operator.
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pred = mk_check(trigger_price, last)
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min_tick = feed.symbols[sym].tick_size
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if action == 'buy':
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tickfilter = ('ask', 'last', 'trade')
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percent_away = 0.005
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# TODO: we probably need to scale this based
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# on some near term historical spread
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# measure?
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abs_diff_away = 3 * min_tick
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elif action == 'sell':
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tickfilter = ('bid', 'last', 'trade')
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percent_away = -0.005
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abs_diff_away = -3 * min_tick
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else: # alert
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tickfilter = ('trade', 'utrade', 'last')
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percent_away = 0
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abs_diff_away = 0
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# submit execution/order to EMS scan loop
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# FYI: this may result in an override of an existing
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# dark book entry if the order id already exists
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dark_book.orders.setdefault(
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sym, {}
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)[oid] = (
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pred,
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tickfilter,
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cmd,
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percent_away,
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abs_diff_away
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)
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# TODO: if the predicate resolves immediately send the
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# execution to the broker asap? Or no?
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# ack-response that order is live in EMS
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await ctx.send_yield({
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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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# start inbound order request processing
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await process_order_cmds(
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ctx,
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order_stream,
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symbol,
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feed,
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client,
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dark_book,
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)
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