First draft: relay open orders through ems and display on chart
parent
9e36dbe47f
commit
682a0191ef
|
@ -149,10 +149,14 @@ async def relay_order_cmds_from_sync_code(
|
|||
book = get_orders()
|
||||
async with book._from_order_book.subscribe() as orders_stream:
|
||||
async for cmd in orders_stream:
|
||||
if cmd.symbol == symbol_key:
|
||||
log.info(f'Send order cmd:\n{pformat(cmd)}')
|
||||
sym = cmd.symbol
|
||||
msg = pformat(cmd)
|
||||
if sym == symbol_key:
|
||||
log.info(f'Send order cmd:\n{msg}')
|
||||
# send msg over IPC / wire
|
||||
await to_ems_stream.send(cmd)
|
||||
else:
|
||||
log.warning(f'Ignoring unmatched order cmd for {sym}: {msg}')
|
||||
|
||||
|
||||
@acm
|
||||
|
|
|
@ -188,9 +188,9 @@ async def clear_dark_triggers(
|
|||
tuple(execs.items())
|
||||
):
|
||||
if (
|
||||
not pred or
|
||||
ttype not in tf or
|
||||
not pred(price)
|
||||
not pred
|
||||
or ttype not in tf
|
||||
or not pred(price)
|
||||
):
|
||||
# log.runtime(
|
||||
# f'skipping quote for {sym} '
|
||||
|
@ -345,7 +345,7 @@ class Router(Struct):
|
|||
already exists.
|
||||
|
||||
'''
|
||||
relay = self.relays.get(feed.mod.name)
|
||||
relay: TradesRelay = self.relays.get(feed.mod.name)
|
||||
|
||||
if (
|
||||
relay is None
|
||||
|
@ -452,7 +452,6 @@ async def open_brokerd_trades_dialogue(
|
|||
async with (
|
||||
open_trades_endpoint as (brokerd_ctx, (positions, accounts,)),
|
||||
brokerd_ctx.open_stream() as brokerd_trades_stream,
|
||||
|
||||
):
|
||||
# XXX: really we only want one stream per `emsd` actor
|
||||
# to relay global `brokerd` order events unless we're
|
||||
|
@ -718,6 +717,43 @@ async def translate_and_relay_brokerd_events(
|
|||
# one of {submitted, cancelled}
|
||||
resp = 'broker_' + msg.status
|
||||
|
||||
# unknown valid BrokerdStatus
|
||||
case {
|
||||
'name': 'status',
|
||||
'status': status,
|
||||
'reqid': reqid, # brokerd generated order-request id
|
||||
'broker_details': details,
|
||||
}:
|
||||
# TODO: we probably want some kind of "tagging" system
|
||||
# for external order submissions like this eventually
|
||||
# to be able to more formally handle multi-player
|
||||
# trading...
|
||||
|
||||
if status == 'submitted':
|
||||
msg = BrokerdStatus(**brokerd_msg)
|
||||
log.info('Relaying existing open order:\n {brokerd_msg}')
|
||||
|
||||
# use backend request id as our ems id though this
|
||||
# may end up with collisions?
|
||||
broker = details['name']
|
||||
# oid = f'{broker}-{reqid}'
|
||||
oid = reqid
|
||||
book._ems_entries[oid] = msg
|
||||
# attempt to avoid collisions
|
||||
msg.reqid = oid
|
||||
resp = 'broker_submitted'
|
||||
|
||||
# register this existing broker-side dialog
|
||||
book._ems2brokerd_ids[oid] = reqid
|
||||
|
||||
else:
|
||||
log.error(
|
||||
f'Unknown status msg:\n'
|
||||
f'{pformat(brokerd_msg)}\n'
|
||||
'Unable to relay message to client side!?'
|
||||
)
|
||||
continue
|
||||
|
||||
# BrokerdFill
|
||||
case {
|
||||
'name': 'fill',
|
||||
|
@ -731,79 +767,62 @@ async def translate_and_relay_brokerd_events(
|
|||
resp = 'broker_filled'
|
||||
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||
|
||||
# unknown valid message case?
|
||||
# case {
|
||||
# 'name': name,
|
||||
# 'symbol': sym,
|
||||
# 'reqid': reqid, # brokerd generated order-request id
|
||||
# # 'oid': oid, # ems order-dialog id
|
||||
# 'broker_details': details,
|
||||
|
||||
# } if (
|
||||
# book._ems2brokerd_ids.inverse.get(reqid) is None
|
||||
# ):
|
||||
# # TODO: pretty sure we can drop this now?
|
||||
|
||||
# # XXX: paper clearing special cases
|
||||
# # paper engine race case: ``Client.submit_limit()`` hasn't
|
||||
# # returned yet and provided an output reqid to register
|
||||
# # locally, so we need to retreive the oid that was already
|
||||
# # packed at submission since we already know it ahead of
|
||||
# # time
|
||||
# paper = details.get('paper_info')
|
||||
# ext = details.get('external')
|
||||
|
||||
# if paper:
|
||||
# # paperboi keeps the ems id up front
|
||||
# oid = paper['oid']
|
||||
|
||||
# elif ext:
|
||||
# # may be an order msg specified as "external" to the
|
||||
# # piker ems flow (i.e. generated by some other
|
||||
# # external broker backend client (like tws for ib)
|
||||
# log.error(f"External trade event {name}@{ext}")
|
||||
|
||||
# else:
|
||||
# # something is out of order, we don't have an oid for
|
||||
# # this broker-side message.
|
||||
# log.error(
|
||||
# f'Unknown oid: {oid} for msg {name}:\n'
|
||||
# f'{pformat(brokerd_msg)}\n'
|
||||
# 'Unable to relay message to client side!?'
|
||||
# )
|
||||
|
||||
# continue
|
||||
|
||||
case _:
|
||||
raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
|
||||
|
||||
# retrieve existing live flow
|
||||
entry = book._ems_entries[oid]
|
||||
assert entry.oid == oid
|
||||
|
||||
old_reqid = entry.reqid
|
||||
if old_reqid and old_reqid != reqid:
|
||||
log.warning(
|
||||
f'Brokerd order id change for {oid}:\n'
|
||||
f'{old_reqid} -> {reqid}'
|
||||
)
|
||||
|
||||
# Create and relay response status message
|
||||
# to requesting EMS client
|
||||
try:
|
||||
ems_client_order_stream = router.dialogues[oid]
|
||||
await ems_client_order_stream.send(
|
||||
Status(
|
||||
oid=oid,
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
broker_reqid=reqid,
|
||||
brokerd_msg=msg,
|
||||
if getattr(entry, 'oid', None):
|
||||
assert entry.oid == oid
|
||||
old_reqid = entry.reqid
|
||||
if old_reqid and old_reqid != reqid:
|
||||
log.warning(
|
||||
f'Brokerd order id change for {oid}:\n'
|
||||
f'{old_reqid} -> {reqid}'
|
||||
)
|
||||
)
|
||||
except KeyError:
|
||||
log.error(
|
||||
f'Received `brokerd` msg for unknown client with oid: {oid}')
|
||||
|
||||
# Create and relay response status message
|
||||
# to requesting EMS client
|
||||
try:
|
||||
ems_client_order_stream = router.dialogues[oid]
|
||||
await ems_client_order_stream.send(
|
||||
Status(
|
||||
oid=oid,
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
broker_reqid=reqid,
|
||||
brokerd_msg=msg,
|
||||
)
|
||||
)
|
||||
except KeyError:
|
||||
log.error(
|
||||
f'Received `brokerd` msg for unknown client oid: {oid}')
|
||||
|
||||
else:
|
||||
# existing open order relay
|
||||
assert oid == entry.reqid
|
||||
|
||||
# fan-out-relay position msgs immediately by
|
||||
# broadcasting updates on all client streams
|
||||
for client_stream in router.clients.copy():
|
||||
try:
|
||||
await client_stream.send(
|
||||
Status(
|
||||
oid=oid,
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
broker_reqid=reqid,
|
||||
brokerd_msg=msg,
|
||||
)
|
||||
)
|
||||
except(
|
||||
trio.ClosedResourceError,
|
||||
trio.BrokenResourceError,
|
||||
):
|
||||
router.clients.remove(client_stream)
|
||||
log.warning(
|
||||
f'client for {client_stream} was already closed?')
|
||||
|
||||
# TODO: do we want this to keep things cleaned up?
|
||||
# it might require a special status from brokerd to affirm the
|
||||
|
|
|
@ -194,6 +194,10 @@ class BrokerdStatus(Struct):
|
|||
# }
|
||||
status: str
|
||||
|
||||
# +ve is buy, -ve is sell
|
||||
size: float = 0.0
|
||||
price: float = 0.0
|
||||
|
||||
filled: float = 0.0
|
||||
reason: str = ''
|
||||
remaining: float = 0.0
|
||||
|
|
|
@ -152,10 +152,7 @@ class OrderMode:
|
|||
|
||||
def line_from_order(
|
||||
self,
|
||||
|
||||
order: Order,
|
||||
symbol: Symbol,
|
||||
|
||||
**line_kwargs,
|
||||
|
||||
) -> LevelLine:
|
||||
|
@ -173,8 +170,7 @@ class OrderMode:
|
|||
color=self._colors[order.action],
|
||||
|
||||
dotted=True if (
|
||||
order.exec_mode == 'dark' and
|
||||
order.action != 'alert'
|
||||
order.exec_mode == 'dark' and order.action != 'alert'
|
||||
) else False,
|
||||
|
||||
**line_kwargs,
|
||||
|
@ -236,7 +232,6 @@ class OrderMode:
|
|||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
symbol,
|
||||
|
||||
show_markers=True,
|
||||
# just for the stage line to avoid
|
||||
|
@ -262,6 +257,8 @@ class OrderMode:
|
|||
|
||||
def submit_order(
|
||||
self,
|
||||
send_msg: bool = True,
|
||||
order: Optional[Order] = None,
|
||||
|
||||
) -> OrderDialog:
|
||||
'''
|
||||
|
@ -269,18 +266,19 @@ class OrderMode:
|
|||
represent the order on a chart.
|
||||
|
||||
'''
|
||||
staged = self._staged_order
|
||||
symbol: Symbol = staged.symbol
|
||||
oid = str(uuid.uuid4())
|
||||
if not order:
|
||||
staged = self._staged_order
|
||||
oid = str(uuid.uuid4())
|
||||
# symbol: Symbol = staged.symbol
|
||||
|
||||
# format order data for ems
|
||||
order = staged.copy()
|
||||
order.oid = oid
|
||||
order.symbol = symbol.front_fqsn()
|
||||
# format order data for ems
|
||||
order = staged.copy()
|
||||
order.oid = oid
|
||||
|
||||
order.symbol = order.symbol.front_fqsn()
|
||||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
symbol,
|
||||
|
||||
show_markers=True,
|
||||
only_show_markers_on_hover=True,
|
||||
|
@ -298,17 +296,17 @@ class OrderMode:
|
|||
# color once the submission ack arrives.
|
||||
self.lines.submit_line(
|
||||
line=line,
|
||||
uuid=oid,
|
||||
uuid=order.oid,
|
||||
)
|
||||
|
||||
dialog = OrderDialog(
|
||||
uuid=oid,
|
||||
uuid=order.oid,
|
||||
order=order,
|
||||
symbol=symbol,
|
||||
symbol=order.symbol,
|
||||
line=line,
|
||||
last_status_close=self.multistatus.open_status(
|
||||
f'submitting {self._trigger_type}-{order.action}',
|
||||
final_msg=f'submitted {self._trigger_type}-{order.action}',
|
||||
f'submitting {order.exec_mode}-{order.action}',
|
||||
final_msg=f'submitted {order.exec_mode}-{order.action}',
|
||||
clear_on_next=True,
|
||||
)
|
||||
)
|
||||
|
@ -318,14 +316,21 @@ class OrderMode:
|
|||
|
||||
# enter submission which will be popped once a response
|
||||
# from the EMS is received to move the order to a different# status
|
||||
self.dialogs[oid] = dialog
|
||||
self.dialogs[order.oid] = dialog
|
||||
|
||||
# hook up mouse drag handlers
|
||||
line._on_drag_start = self.order_line_modify_start
|
||||
line._on_drag_end = self.order_line_modify_complete
|
||||
|
||||
# send order cmd to ems
|
||||
self.book.send(order)
|
||||
if send_msg:
|
||||
self.book.send(order)
|
||||
else:
|
||||
# just register for control over this order
|
||||
# TODO: some kind of mini-perms system here based on
|
||||
# an out-of-band tagging/auth sub-sys for multiplayer
|
||||
# order control?
|
||||
self.book._sent_orders[order.oid] = order
|
||||
|
||||
return dialog
|
||||
|
||||
|
@ -502,7 +507,7 @@ class OrderMode:
|
|||
oid = dialog.uuid
|
||||
|
||||
cancel_status_close = self.multistatus.open_status(
|
||||
f'cancelling order {oid[:6]}',
|
||||
f'cancelling order {oid}',
|
||||
group_key=key,
|
||||
)
|
||||
dialog.last_status_close = cancel_status_close
|
||||
|
@ -596,10 +601,10 @@ async def open_order_mode(
|
|||
|
||||
sym = msg['symbol']
|
||||
if (
|
||||
sym == symkey or
|
||||
# mega-UGH, i think we need to fix the FQSN stuff sooner
|
||||
# then later..
|
||||
sym == symkey.removesuffix(f'.{broker}')
|
||||
(sym == symkey) or (
|
||||
# mega-UGH, i think we need to fix the FQSN
|
||||
# stuff sooner then later..
|
||||
sym == symkey.removesuffix(f'.{broker}'))
|
||||
):
|
||||
pps_by_account[acctid] = msg
|
||||
|
||||
|
@ -653,7 +658,7 @@ async def open_order_mode(
|
|||
# setup order mode sidepane widgets
|
||||
form: FieldsForm = chart.sidepane
|
||||
form.vbox.setSpacing(
|
||||
int((1 + 5/8)*_font.px_size)
|
||||
int((1 + 5 / 8) * _font.px_size)
|
||||
)
|
||||
|
||||
from ._feedstatus import mk_feed_label
|
||||
|
@ -814,15 +819,48 @@ async def process_trades_and_update_ui(
|
|||
continue
|
||||
|
||||
resp = msg['resp']
|
||||
oid = msg['oid']
|
||||
|
||||
oid = str(msg['oid'])
|
||||
dialog = mode.dialogs.get(oid)
|
||||
|
||||
if dialog is None:
|
||||
log.warning(f'received msg for untracked dialog:\n{fmsg}')
|
||||
|
||||
# TODO: enable pure tracking / mirroring of dialogs
|
||||
# is desired.
|
||||
continue
|
||||
size = msg['brokerd_msg']['size']
|
||||
if size >= 0:
|
||||
action = 'buy'
|
||||
else:
|
||||
action = 'sell'
|
||||
|
||||
acct = msg['brokerd_msg']['account']
|
||||
price = msg['brokerd_msg']['price']
|
||||
deats = msg['brokerd_msg']['broker_details']
|
||||
fqsn = (
|
||||
deats['fqsn'] + '.' + deats['name']
|
||||
)
|
||||
symbol = Symbol.from_fqsn(
|
||||
fqsn=fqsn,
|
||||
info={},
|
||||
)
|
||||
# map to order composite-type
|
||||
order = Order(
|
||||
action=action,
|
||||
price=price,
|
||||
account=acct,
|
||||
size=size,
|
||||
symbol=symbol,
|
||||
brokers=symbol.brokers,
|
||||
oid=oid,
|
||||
exec_mode='live', # dark or live
|
||||
)
|
||||
|
||||
dialog = mode.submit_order(
|
||||
send_msg=False,
|
||||
order=order,
|
||||
)
|
||||
|
||||
# # TODO: enable pure tracking / mirroring of dialogs
|
||||
# # is desired.
|
||||
# continue
|
||||
|
||||
# record message to dialog tracking
|
||||
dialog.msgs[oid] = msg
|
||||
|
|
Loading…
Reference in New Issue