Port EMS to typed messaging + bidir streaming
This moves the entire clearing system to use typed messages using `pydantic.BaseModel` such that the streamed request-response order submission protocols can be explicitly viewed in terms of message schema, flow, and sequencing. Using the explicit message formats we can now dig into simplifying and normalizing across broker provider apis to get the best uniformity and simplicity. The order submission sequence is now fully async: an order request is expected to be explicitly acked with a new message and if cancellation is requested by the client before the ack arrives, the cancel message is stashed and then later sent immediately on receipt of the order submission's ack from the backend broker. Backend brokers are now controlled using a 2-way request-response streaming dialogue which is fully api agnostic of the clearing system's core processing; This leverages the new bi-directional streaming apis from `tractor`. The clearing core (emsd) was also simplified by moving the paper engine to it's own sub-actor and making it api-symmetric with expected `brokerd` endpoints. A couple of the ems status messages were changed/added: 'dark_executed' -> 'dark_triggered' added 'alert_triggered' More cleaning of old code to come!ems_to_bidir_streaming
Tyler Goodlet
parent
0dabc6ad26
commit
6e58f31fd8
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@ -19,34 +19,23 @@ Orders and execution client API.
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"""
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from contextlib import asynccontextmanager
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from typing import Dict, Tuple, List
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from typing import Dict
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from pprint import pformat
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from dataclasses import dataclass, field
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import trio
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import tractor
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# import msgspec
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from ..data._source import Symbol
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from ..log import get_logger
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from ._ems import _emsd_main
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from .._daemon import maybe_open_emsd
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from ._messages import Order, Cancel
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log = get_logger(__name__)
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# TODO: some kinda validation like this
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# class Order(msgspec.Struct):
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# action: str
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# price: float
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# size: float
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# symbol: str
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# brokers: List[str]
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# oid: str
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# exec_mode: str
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@dataclass
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class OrderBook:
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"""Buy-side (client-side ?) order book ctl and tracking.
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@ -64,31 +53,34 @@ class OrderBook:
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_to_ems: trio.abc.SendChannel
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_from_order_book: trio.abc.ReceiveChannel
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_sent_orders: Dict[str, dict] = field(default_factory=dict)
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_sent_orders: Dict[str, Order] = field(default_factory=dict)
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_ready_to_receive: trio.Event = trio.Event()
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def send(
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self,
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uuid: str,
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symbol: str,
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brokers: List[str],
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brokers: list[str],
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price: float,
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size: float,
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action: str,
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exec_mode: str,
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) -> dict:
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cmd = {
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'action': action,
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'price': price,
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'size': size,
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'symbol': symbol,
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'brokers': brokers,
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'oid': uuid,
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'exec_mode': exec_mode, # dark or live
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}
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self._sent_orders[uuid] = cmd
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self._to_ems.send_nowait(cmd)
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return cmd
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msg = Order(
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action=action,
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price=price,
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size=size,
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symbol=symbol,
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brokers=brokers,
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oid=uuid,
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exec_mode=exec_mode, # dark or live
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)
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self._sent_orders[uuid] = msg
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self._to_ems.send_nowait(msg.dict())
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return msg
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def update(
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self,
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@ -98,28 +90,27 @@ class OrderBook:
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cmd = self._sent_orders[uuid]
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msg = cmd.dict()
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msg.update(data)
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self._sent_orders[uuid] = OrderMsg(**msg)
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self._sent_orders[uuid] = Order(**msg)
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self._to_ems.send_nowait(msg)
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return cmd
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def cancel(self, uuid: str) -> bool:
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"""Cancel an order (or alert) from the EMS.
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"""Cancel an order (or alert) in the EMS.
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"""
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cmd = self._sent_orders[uuid]
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msg = {
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'action': 'cancel',
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'oid': uuid,
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'symbol': cmd['symbol'],
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}
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self._to_ems.send_nowait(msg)
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msg = Cancel(
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oid=uuid,
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symbol=cmd.symbol,
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)
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self._to_ems.send_nowait(msg.dict())
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_orders: OrderBook = None
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def get_orders(
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emsd_uid: Tuple[str, str] = None
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emsd_uid: tuple[str, str] = None
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) -> OrderBook:
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""""
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OrderBook singleton factory per actor.
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@ -139,7 +130,10 @@ def get_orders(
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return _orders
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# TODO: we can get rid of this relay loop once we move
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# order_mode inputs to async code!
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async def relay_order_cmds_from_sync_code(
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symbol_key: str,
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to_ems_stream: tractor.MsgStream,
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@ -184,7 +178,8 @@ async def relay_order_cmds_from_sync_code(
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async def open_ems(
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broker: str,
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symbol: Symbol,
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) -> None:
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) -> (OrderBook, tractor.MsgStream, dict):
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"""Spawn an EMS daemon and begin sending orders and receiving
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alerts.
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@ -232,9 +227,9 @@ async def open_ems(
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broker=broker,
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symbol=symbol.key,
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# TODO: ``first`` here should be the active orders/execs
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# persistent on the ems so that loca UI's can be populated.
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) as (ctx, first),
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# TODO: ``first`` here should be the active orders/execs
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# persistent on the ems so that loca UI's can be populated.
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) as (ctx, positions),
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# open 2-way trade command stream
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ctx.open_stream() as trades_stream,
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@ -246,4 +241,4 @@ async def open_ems(
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trades_stream
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)
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yield book, trades_stream
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yield book, trades_stream, positions
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File diff suppressed because it is too large
Load Diff
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@ -127,9 +127,9 @@ class OrderMode:
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"""
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line = self.lines.commit_line(uuid)
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req_msg = self.book._sent_orders.get(uuid)
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if req_msg:
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req_msg.ack_time_ns = time.time_ns()
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# req_msg = self.book._sent_orders.get(uuid)
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# if req_msg:
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# req_msg.ack_time_ns = time.time_ns()
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return line
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@ -317,10 +317,14 @@ async def start_order_mode(
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# spawn EMS actor-service
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async with (
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open_ems(brokername, symbol) as (book, trades_stream),
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open_ems(brokername, symbol) as (book, trades_stream, positions),
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open_order_mode(symbol, chart, book) as order_mode
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):
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# update any exising positions
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for sym, msg in positions.items():
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order_mode.on_position_update(msg)
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def get_index(time: float):
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# XXX: not sure why the time is so off here
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@ -343,16 +347,15 @@ async def start_order_mode(
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fmsg = pformat(msg)
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log.info(f'Received order msg:\n{fmsg}')
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resp = msg['resp']
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if resp in (
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name = msg['name']
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if name in (
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'position',
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):
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# show line label once order is live
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order_mode.on_position_update(msg)
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continue
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# delete the line from view
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resp = msg['resp']
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oid = msg['oid']
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# response to 'action' request (buy/sell)
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@ -375,21 +378,21 @@ async def start_order_mode(
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order_mode.on_cancel(oid)
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elif resp in (
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'dark_executed'
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'dark_triggered'
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):
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log.info(f'Dark order triggered for {fmsg}')
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# for alerts add a triangle and remove the
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# level line
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if msg['cmd']['action'] == 'alert':
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# should only be one "fill" for an alert
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order_mode.on_fill(
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oid,
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price=msg['trigger_price'],
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arrow_index=get_index(time.time())
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)
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await order_mode.on_exec(oid, msg)
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elif resp in (
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'alert_triggered'
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):
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# should only be one "fill" for an alert
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# add a triangle and remove the level line
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order_mode.on_fill(
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oid,
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price=msg['trigger_price'],
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arrow_index=get_index(time.time())
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)
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await order_mode.on_exec(oid, msg)
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# response to completed 'action' request for buy/sell
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elif resp in (
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@ -400,12 +403,15 @@ async def start_order_mode(
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# each clearing tick is responded individually
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elif resp in ('broker_filled',):
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action = msg['action']
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action = book._sent_orders[oid].action
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details = msg['brokerd_msg']
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# TODO: some kinda progress system
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order_mode.on_fill(
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oid,
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price=msg['price'],
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arrow_index=get_index(msg['broker_time']),
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price=details['price'],
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pointing='up' if action == 'buy' else 'down',
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# TODO: put the actual exchange timestamp
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arrow_index=get_index(details['broker_time']),
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)
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