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Don't pop zero pps from table in `.dump_active()` 

In order to avoid double transaction adds/updates and too-early-discard
of zero sized pps (like when trades are loaded from a backend broker but
were already added to a ledger or `pps.toml` prior) we now **don't** pop
such `Position` entries from the `.pps` table in order to keep each
position's clears table always in place. This avoids the edge case where
an entry was removed too early (due to zero size) but then duplicate
trade entries that were in that entrie's clears show up from the backend
and are entered into a new entry resulting in an incorrect size in a new
entry..We still only push non-net-zero entries to the `pps.toml`.

More fixes:
- return the updated set of `Positions` from `.lifo_update()`.
- return the full table set from `update_pps()`.
- use `PpTable.update_from_trans()` more throughout.
- always write the `pps.toml` on `open_pps()` exit.
- only return table from `load_pps_from_toml()`.
pptables
Tyler Goodlet 2022-07-19 08:26:28 -04:00
parent 9326379b04
commit 6747831677
1 changed files with 49 additions and 38 deletions
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87
piker/pp.py
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@ -34,7 +34,6 @@ from typing import (
Union,
)
from msgspec import Struct
import pendulum
from pendulum import datetime, now
import tomli
@ -45,6 +44,7 @@ from .brokers import get_brokermod
from .clearing._messages import BrokerdPosition, Status
from .data._source import Symbol
from .log import get_logger
from .data.types import Struct
log = get_logger(__name__)
@ -314,6 +314,8 @@ class PpTable(Struct):
pps = self.pps
updated: dict[str, Position] = {}
# lifo update all pps from records
for tid, r in trans.items():
@ -358,7 +360,9 @@ class PpTable(Struct):
# track clearing data
pp.update(r)
return pps
updated[r.bsuid] = pp
return updated
def dump_active(
self,
@ -393,16 +397,23 @@ class PpTable(Struct):
pp.minimize_clears()
if (
# "net-zero" is a "closed" position
pp.size == 0
# drop time-expired positions (normally derivatives)
# time-expired pps (normally derivatives) are "closed"
or (pp.expiry and pp.expiry < now())
):
# if expired the position is closed
# for expired cases
pp.size = 0
# position is already closed aka "net zero"
closed_pp = pp_objs.pop(bsuid, None)
# NOTE: we DO NOT pop the pp here since it can still be
# used to check for duplicate clears that may come in as
# new transaction from some backend API and need to be
# ignored; the closed positions won't be written to the
# ``pps.toml`` since ``pp_entries`` above is what's
# written.
# closed_pp = pp_objs.pop(bsuid, None)
closed_pp = pp_objs.get(bsuid)
if closed_pp:
closed_pp_objs[bsuid] = closed_pp
@ -440,7 +451,9 @@ def update_pps(
'''
pps: dict[str, Position] = pps or {}
return PpTable(pps).update_from_trans(records)
table = PpTable(pps)
table.update_from_trans(records)
return table.pps
def load_trans_from_ledger(
@ -629,7 +642,7 @@ def load_pps_from_toml(
# does a full refresh of pps from the available ledger.
update_from_ledger: bool = False,
) -> tuple[dict, dict[str, Position]]:
) -> tuple[PpTable, dict[str, str]]:
'''
Load and marshal to objects all pps from either an existing
``pps.toml`` config, or from scratch from a ledger file when
@ -646,9 +659,7 @@ def load_pps_from_toml(
brokername,
acctid,
)
# TODO: just call `.update_from_trans()`?
ledger_pp_objs = update_pps(trans)
pp_objs.update(ledger_pp_objs)
table.update_from_trans(trans)
# Reload symbol specific ledger entries if requested by the
# caller **AND** none exist in the current pps state table.
@ -662,15 +673,14 @@ def load_pps_from_toml(
acctid,
filter_by=reload_records,
)
ledger_pp_objs = update_pps(trans)
pp_objs.update(ledger_pp_objs)
table.update_from_trans(trans)
if not pp_objs:
if not table.pps:
log.warning(
f'No `pps.toml` values could be loaded {brokername}:{acctid}'
)
return table, table.conf, table.pps
return table, table.conf
@cm
@ -687,6 +697,7 @@ def open_pps(
conf, path = config.load('pps')
brokersection = conf.setdefault(brokername, {})
pps = brokersection.setdefault(acctid, {})
pp_objs = {}
table = PpTable(pp_objs, conf=conf)
@ -747,32 +758,33 @@ def open_pps(
clears=clears,
)
orig = pp_objs.copy()
# orig = pp_objs.copy()
try:
yield table
finally:
if orig != pp_objs:
# breakpoint()
# if orig != table.pps:
# TODO: show diff output?
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
print(f'Updating ``pps.toml`` for {path}:\n')
# TODO: show diff output?
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
print(f'Updating ``pps.toml`` for {path}:\n')
pp_entries, closed_pp_objs = table.dump_active(brokername)
conf[brokername][acctid] = pp_entries
pp_entries, closed_pp_objs = table.dump_active(brokername)
conf[brokername][acctid] = pp_entries
# TODO: why tf haven't they already done this for inline
# tables smh..
enc = PpsEncoder(preserve=True)
# table_bs_type = type(toml.TomlDecoder().get_empty_inline_table())
enc.dump_funcs[
toml.decoder.InlineTableDict
] = enc.dump_inline_table
# TODO: why tf haven't they already done this for inline
# tables smh..
enc = PpsEncoder(preserve=True)
# table_bs_type = type(toml.TomlDecoder().get_empty_inline_table())
enc.dump_funcs[
toml.decoder.InlineTableDict
] = enc.dump_inline_table
config.write(
conf,
'pps',
encoder=enc,
)
config.write(
conf,
'pps',
encoder=enc,
)
def update_pps_conf(
@ -803,10 +815,7 @@ def update_pps_conf(
for tid, r in trade_records.items():
ledger_reload[r.bsuid] = r.fqsn
# this maps `.bsuid` values to positions
pp_objs: dict[Union[str, int], Position]
table, conf, pp_objs = load_pps_from_toml(
table, conf = load_pps_from_toml(
brokername,
acctid,
reload_records=ledger_reload,
@ -817,7 +826,9 @@ def update_pps_conf(
if trade_records:
table.update_from_trans(trade_records)
# this maps `.bsuid` values to positions
pp_entries, closed_pp_objs = table.dump_active(brokername)
pp_objs: dict[Union[str, int], Position] = table.pps
conf[brokername][acctid] = pp_entries