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