ib: more fixes to try and get positioning correct..
Define and bind in the `tx_sort()` routine to be used by `open_trade_ledger()` when datetime sorting trade records. Further deats: - always use the IB reported position size (since apparently our ledger based accounting is getting rekt on occasion..). - better ib pos msg formatting when there's mismatches with the piker equivalent. - never emit zero-size pos msgs (in terms of strict ib pos sizing) since when there's piker ledger sizing errors we'll send the wrong thing to the ems and its clients..account_tests
Tyler Goodlet
parent
8a10cbf6ab
commit
5eb310cac9
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@ -38,6 +38,7 @@ from .broker import (
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from .ledger import (
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norm_trade,
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norm_trade_records,
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tx_sort,
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)
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from .symbols import (
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get_mkt_info,
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@ -55,6 +56,7 @@ __all__ = [
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'open_symbol_search',
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'stream_quotes',
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'_search_conf',
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'tx_sort',
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]
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_brokerd_mods: list[str] = [
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@ -49,7 +49,6 @@ from ib_insync.objects import (
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CommissionReport,
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)
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from ib_insync.objects import Position as IbPosition
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import pendulum
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from piker import config
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from piker.accounting import (
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@ -59,7 +58,6 @@ from piker.accounting import (
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Transaction,
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open_trade_ledger,
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TransactionLedger,
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iter_by_dt,
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open_account,
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Account,
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)
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@ -87,14 +85,13 @@ from .api import (
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Client,
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MethodProxy,
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)
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from ._flex_reports import parse_flex_dt
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from .ledger import (
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norm_trade_records,
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api_trades_to_ledger_entries,
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tx_sort,
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)
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def pack_position(
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pos: IbPosition
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@ -368,8 +365,6 @@ async def update_and_audit_msgs(
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# breakeven pp calcs.
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ibppmsg = cids2pps.get((acctid, bs_mktid))
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if ibppmsg:
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symbol: str = ibppmsg.symbol
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msg = BrokerdPosition(
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broker='ib',
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@ -379,10 +374,18 @@ async def update_and_audit_msgs(
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# need it and/or it's prefixed in the section
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# table..
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account=ibppmsg.account,
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# XXX: the `.ib` is stripped..?
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symbol=symbol,
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currency=ibppmsg.currency,
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size=p.size,
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symbol=ibppmsg.symbol,
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# remove..
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# currency=ibppmsg.currency,
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# NOTE: always take their size since it's usually the
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# true gospel..
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# size=p.size,
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size=ibppmsg.size,
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avg_price=p.ppu,
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)
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msgs.append(msg)
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@ -404,8 +407,6 @@ async def update_and_audit_msgs(
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or ibsize
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)
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):
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# if 'mbt.cme' in msg.symbol:
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# await tractor.pause()
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# reverse_split_ratio = pikersize / ibsize
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# split_ratio = 1/reverse_split_ratio
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@ -434,17 +435,19 @@ async def update_and_audit_msgs(
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# await tractor.pause()
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log.error(logmsg)
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if ibppmsg.avg_price != msg.avg_price:
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# TODO: make this a "propaganda" log level?
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if ibppmsg.avg_price != msg.avg_price:
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log.warning(
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f'IB "FIFO" avg price for {msg.symbol} is DIFF:\n'
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f'ib: {pformat(ibppmsg)}\n'
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f'ib: {ibfmtmsg}\n'
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'---------------------------\n'
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f'piker: {msg.to_dict()}'
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f'piker: {pformat(msg.to_dict())}'
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)
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else:
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# make brand new message
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# XXX: though it shouldn't be possible (means an error
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# in our accounting subsys) create a new message for
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# a supposed "missing position" that IB never reported.
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msg = BrokerdPosition(
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broker='ib',
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@ -455,9 +458,13 @@ async def update_and_audit_msgs(
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# table.. we should just strip this from the message
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# right since `.broker` is already included?
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account=f'ib.{acctid}',
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# XXX: the `.ib` is stripped..?
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symbol=p.mkt.fqme,
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# TODO: we should remove from msg schema..
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# currency=ibppmsg.currency,
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size=p.size,
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avg_price=p.ppu,
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)
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@ -467,11 +474,8 @@ async def update_and_audit_msgs(
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'Maybe they LIQUIDATED YOU or are missing ledger entries?\n'
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)
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log.error(logmsg)
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# if validate:
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# raise ValueError(logmsg)
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msgs.append(msg)
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if validate:
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raise ValueError(logmsg)
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return msgs
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@ -558,13 +562,8 @@ async def open_trade_dialog(
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) -> AsyncIterator[dict[str, Any]]:
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# from piker.brokers import (
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# get_brokermod,
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# )
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accounts_def = config.load_accounts(['ib'])
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global _client_cache
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# deliver positions to subscriber before anything else
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all_positions = []
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accounts = set()
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@ -606,16 +605,7 @@ async def open_trade_dialog(
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open_trade_ledger(
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'ib',
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acctid,
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tx_sort=partial(
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iter_by_dt,
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parsers={
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'dateTime': parse_flex_dt,
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'datetime': pendulum.parse,
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# for some some fucking 2022 and
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# back options records...fuck me.
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'date': pendulum.parse,
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},
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),
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tx_sort=tx_sort,
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symcache=symcache,
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)
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)
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@ -680,7 +670,6 @@ async def open_trade_dialog(
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api_to_ledger_entries
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and (trade_entries := api_to_ledger_entries.get(acctid))
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):
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# TODO: fix this `tractor` BUG!
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# https://github.com/goodboy/tractor/issues/354
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# await tractor.pp()
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@ -724,8 +713,8 @@ async def open_trade_dialog(
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continue
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bs_mktid, msg = pack_position(pos)
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acctid = msg.account = accounts_def.inverse[msg.account]
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acctid = acctid.strip('ib.')
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msg.account = accounts_def.inverse[msg.account]
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acctid = msg.account.strip('ib.')
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cids2pps[(acctid, bs_mktid)] = msg
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assert msg.account in accounts, (
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@ -744,7 +733,7 @@ async def open_trade_dialog(
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cids2pps,
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validate=False,
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)
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all_positions.extend(msg for msg in msgs)
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all_positions.extend(msg for msg in msgs if msg.size != 0)
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if not all_positions and cids2pps:
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raise RuntimeError(
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@ -782,7 +771,7 @@ async def open_trade_dialog(
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# allocate event relay tasks for each client connection
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n.start_soon(
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deliver_trade_events,
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n,
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# n,
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trade_event_stream,
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ems_stream,
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accounts_def,
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@ -838,26 +827,33 @@ async def emit_pp_update(
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acctid = fq_acctid.strip('ib.')
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acnt = acnts[acctid]
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ledger: dict = ledgers[acctid]
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acnt.update_from_ledger(trans)
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acnt.update_from_ledger(
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trans,
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symcache=ledger.symcache
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)
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active, closed = acnt.dump_active()
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# NOTE: update ledger with all new trades
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for fq_acctid, trades_by_id in api_to_ledger_entries.items():
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acctid = fq_acctid.strip('ib.')
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ledger = ledgers[acctid]
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acctid: str = fq_acctid.strip('ib.')
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ledger: dict = ledgers[acctid]
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for tid, tdict in trades_by_id.items():
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# NOTE: don't override flex/previous entries with new API
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# ones, just update with new fields!
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for tid, tdict in trades_by_id.items():
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ledger.setdefault(tid, {}).update(tdict)
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# generate pp msgs and cross check with ib's positions data, relay
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# re-formatted pps as msgs to the ems.
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for pos in filter(
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bool,
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[active.get(tx.bs_mktid), closed.get(tx.bs_mktid)]
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[
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active.get(tx.bs_mktid),
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closed.get(tx.bs_mktid)
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]
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):
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msgs = await update_and_audit_msgs(
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acctid,
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@ -869,7 +865,7 @@ async def emit_pp_update(
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)
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if msgs:
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msg = msgs[0]
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log.info('Emitting pp msg: {msg}')
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log.info(f'Emitting pp msg: {msg}')
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break
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await ems_stream.send(msg)
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@ -889,11 +885,19 @@ _statuses: dict[str, str] = {
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# https://github.com/erdewit/ib_insync/issues/363
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'inactive': 'pending',
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}
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_action_map = {
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'BOT': 'buy',
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'SLD': 'sell',
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}
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# TODO: maybe just make this a flat func without an interal loop
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# and call it *from* the `trade_event_stream` loop? Might look
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# a lot nicer doing that from open_trade_dialog() instead of
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# starting a separate task?
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async def deliver_trade_events(
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nurse: trio.Nursery,
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# nurse: trio.Nursery,
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trade_event_stream: trio.MemoryReceiveChannel,
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ems_stream: tractor.MsgStream,
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accounts_def: dict[str, str], # eg. `'ib.main'` -> `'DU999999'`
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@ -908,7 +912,6 @@ async def deliver_trade_events(
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Format and relay all trade events for a given client to emsd.
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'''
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
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ids2fills: dict[str, dict] = {}
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# TODO: for some reason we can receive a ``None`` here when the
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@ -916,7 +919,6 @@ async def deliver_trade_events(
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# at the eventkit code above but we should probably handle it...
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async for event_name, item in trade_event_stream:
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log.info(f'ib sending {event_name}:\n{pformat(item)}')
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match event_name:
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# NOTE: we remap statuses to the ems set via the
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# ``_statuses: dict`` above.
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@ -999,7 +1001,7 @@ async def deliver_trade_events(
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# `.submit_limit()`
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reqid=execu.orderId,
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time_ns=time.time_ns(), # cuz why not
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action=action_map[execu.side],
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action=_action_map[execu.side],
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size=execu.shares,
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price=execu.price,
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# broker_details=execdict,
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@ -1163,8 +1165,16 @@ async def deliver_trade_events(
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case 'position':
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cid, msg = pack_position(item)
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pos: IbPosition = item
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bs_mktid, msg = pack_position(pos)
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log.info(f'New IB position msg: {msg}')
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# always update with latest ib pos msg info since
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# we generally audit against it for sanity and
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# testing AND we require it to be updated to avoid
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# error msgs emitted from `update_and_audit_msgs()`
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cids2pps[(msg.account, bs_mktid)] = msg
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# cuck ib and it's shitty fifo sys for pps!
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continue
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@ -20,9 +20,11 @@ Trade transaction accounting and normalization.
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'''
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from bisect import insort
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from decimal import Decimal
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from functools import partial
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from pprint import pformat
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from typing import (
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Any,
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Callable,
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)
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from bidict import bidict
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@ -38,11 +40,24 @@ from piker.accounting import (
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digits_to_dec,
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Transaction,
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MktPair,
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iter_by_dt,
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)
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from ._flex_reports import parse_flex_dt
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from ._util import log
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tx_sort: Callable = partial(
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iter_by_dt,
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parsers={
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'dateTime': parse_flex_dt,
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'datetime': pendulum.parse,
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# for some some fucking 2022 and
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# back options records...fuck me.
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'date': pendulum.parse,
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}
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)
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def norm_trade(
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tid: str,
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record: dict[str, Any],
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