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Create an order mode module

basic_orders
Tyler Goodlet 2021-03-08 09:05:37 -05:00
parent 7e214180a6
commit 7075a968b4
3 changed files with 361 additions and 325 deletions
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96
piker/ui/_chart.py
View File

@ -18,10 +18,8 @@
High level Qt chart widgets. High level Qt chart widgets.
""" """
from pprint import pformat
from typing import Tuple, Dict, Any, Optional, Callable from typing import Tuple, Dict, Any, Optional, Callable
from functools import partial from functools import partial
import time
from PyQt5 import QtCore, QtGui from PyQt5 import QtCore, QtGui
import numpy as np import numpy as np
@ -60,9 +58,9 @@ from .. import data
from ..data import maybe_open_shm_array from ..data import maybe_open_shm_array
from ..log import get_logger from ..log import get_logger
from ._exec import run_qtractor, current_screen from ._exec import run_qtractor, current_screen
from ._interaction import ChartView, open_order_mode from ._interaction import ChartView
from .order_mode import start_order_mode
from .. import fsp from .. import fsp
from ..exchange._client import open_ems
log = get_logger(__name__) log = get_logger(__name__)
@ -1061,95 +1059,7 @@ async def _async_main(
# chart, # chart,
# linked_charts, # linked_charts,
# ) # )
await start_order_mode(chart, symbol, brokername)
# spawn EMS actor-service
async with open_ems(
brokername,
symbol,
) as (book, trades_stream):
async with open_order_mode(
symbol,
chart,
book,
) as order_mode:
def get_index(time: float):
# XXX: not sure why the time is so off here
# looks like we're gonna have to do some fixing..
ohlc = chart._shm.array
indexes = ohlc['time'] >= time
if any(indexes):
return ohlc['index'][indexes[-1]]
else:
return ohlc['index'][-1]
# Begin order-response streaming
# this is where we receive **back** messages
# about executions **from** the EMS actor
async for msg in trades_stream:
fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}')
# delete the line from view
oid = msg['oid']
resp = msg['resp']
# response to 'action' request (buy/sell)
if resp in (
'dark_submitted',
'broker_submitted'
):
# show line label once order is live
order_mode.on_submit(oid)
# resp to 'cancel' request or error condition
# for action request
elif resp in (
'broker_cancelled',
'broker_inactive',
'dark_cancelled'
):
# delete level line from view
order_mode.on_cancel(oid)
elif resp in (
'dark_executed'
):
log.info(f'Dark order triggered for {fmsg}')
# for alerts add a triangle and remove the
# level line
if msg['cmd']['action'] == 'alert':
# should only be one "fill" for an alert
order_mode.on_fill(
oid,
price=msg['trigger_price'],
arrow_index=get_index(time.time())
)
await order_mode.on_exec(oid, msg)
# response to completed 'action' request for buy/sell
elif resp in (
'broker_executed',
):
await order_mode.on_exec(oid, msg)
# each clearing tick is responded individually
elif resp in ('broker_filled',):
action = msg['action']
# TODO: some kinda progress system
order_mode.on_fill(
oid,
price=msg['price'],
arrow_index=get_index(msg['broker_time']),
pointing='up' if action == 'buy' else 'down',
)
async def chart_from_quotes( async def chart_from_quotes(

233
piker/ui/_interaction.py
View File

@ -17,14 +17,9 @@
""" """
Chart view box primitives. Chart view box primitives.
""" """
import time
from contextlib import asynccontextmanager
from dataclasses import dataclass, field from dataclasses import dataclass, field
from pprint import pformat from typing import Optional, Dict
from typing import Optional, Dict, Callable, Any
import uuid
import trio
import pyqtgraph as pg import pyqtgraph as pg
from pyqtgraph import ViewBox, Point, QtCore, QtGui from pyqtgraph import ViewBox, Point, QtCore, QtGui
from pyqtgraph import functions as fn from pyqtgraph import functions as fn
@ -33,8 +28,6 @@ import numpy as np
from ..log import get_logger from ..log import get_logger
from ._style import _min_points_to_show, hcolor, _font from ._style import _min_points_to_show, hcolor, _font
from ._graphics._lines import order_line, LevelLine from ._graphics._lines import order_line, LevelLine
from ..exchange._client import OrderBook
from ..data._source import Symbol
log = get_logger(__name__) log = get_logger(__name__)
@ -440,230 +433,6 @@ class ArrowEditor:
self.chart.plotItem.removeItem(arrow) self.chart.plotItem.removeItem(arrow)
@dataclass
class OrderMode:
"""Major mode for placing orders on a chart view.
This is the default mode that pairs with "follow mode"
(when wathing the rt price update at the current time step)
and allows entering orders using the ``a, d, f`` keys and
cancelling moused-over orders with the ``c`` key.
"""
chart: 'ChartPlotWidget' # type: ignore # noqa
book: OrderBook
lines: LineEditor
arrows: ArrowEditor
_colors = {
'alert': 'alert_yellow',
'buy': 'buy_green',
'sell': 'sell_red',
}
_action: str = 'alert'
_exec_mode: str = 'dark'
_size: float = 100.0
key_map: Dict[str, Callable] = field(default_factory=dict)
def uuid(self) -> str:
return str(uuid.uuid4())
def set_exec(
self,
action: str,
size: Optional[int] = None,
) -> None:
"""Set execution mode.
"""
self._action = action
self.lines.stage_line(
color=self._colors[action],
# hl_on_hover=True if self._exec_mode == 'live' else False,
dotted=True if self._exec_mode == 'dark' else False,
size=size or self._size,
)
def on_submit(self, uuid: str) -> dict:
"""On order submitted event, commit the order line
and registered order uuid, store ack time stamp.
TODO: annotate order line with submission type ('live' vs.
'dark').
"""
line = self.lines.commit_line(uuid)
req_msg = self.book._sent_orders.get(uuid)
if req_msg:
req_msg['ack_time_ns'] = time.time_ns()
return line
def on_fill(
self,
uuid: str,
price: float,
arrow_index: float,
pointing: Optional[str] = None
) -> None:
line = self.lines._order_lines.get(uuid)
if line:
self.arrows.add(
uuid,
arrow_index,
price,
pointing=pointing,
color=line.color
)
async def on_exec(
self,
uuid: str,
msg: Dict[str, Any],
) -> None:
# only once all fills have cleared and the execution
# is complet do we remove our "order line"
line = self.lines.remove_line(uuid=uuid)
log.debug(f'deleting {line} with oid: {uuid}')
# DESKTOP NOTIFICATIONS
#
# TODO: this in another task?
# not sure if this will ever be a bottleneck,
# we probably could do graphics stuff first tho?
# XXX: linux only for now
result = await trio.run_process(
[
'notify-send',
'-u', 'normal',
'-t', '10000',
'piker',
f'alert: {msg}',
],
)
log.runtime(result)
def on_cancel(self, uuid: str) -> None:
msg = self.book._sent_orders.pop(uuid, None)
if msg is not None:
self.lines.remove_line(uuid=uuid)
self.chart._cursor.show_xhair()
else:
log.warning(
f'Received cancel for unsubmitted order {pformat(msg)}'
)
def submit_exec(
self,
size: Optional[float] = None,
) -> LevelLine:
"""Send execution order to EMS.
"""
# register the "staged" line under the cursor
# to be displayed when above order ack arrives
# (means the line graphic doesn't show on screen until the
# order is live in the emsd).
uid = str(uuid.uuid4())
size = size or self._size
chart = self.chart._cursor.active_plot
y = chart._cursor._datum_xy[1]
symbol = self.chart._lc._symbol
# send order cmd to ems
self.book.send(
uuid=uid,
symbol=symbol.key,
brokers=symbol.brokers,
price=y,
size=size,
action=self._action,
exec_mode=self._exec_mode,
)
# make line graphic if order push was
# sucessful
line = self.lines.create_order_line(
uid,
level=y,
chart=chart,
size=size,
)
line.oid = uid
# hook up mouse drag handlers
line._on_drag_start = self.order_line_modify_start
line._on_drag_end = self.order_line_modify_complete
return line
def cancel_order_under_cursor(self) -> None:
for line in self.lines.lines_under_cursor():
self.book.cancel(uuid=line.oid)
# order-line modify handlers
def order_line_modify_start(
self,
line: LevelLine,
) -> None:
print(f'Line modify: {line}')
# cancel original order until new position is found
def order_line_modify_complete(
self,
line: LevelLine,
) -> None:
self.book.update(
uuid=line.oid,
# TODO: should we round this to a nearest tick here?
price=line.value(),
)
@asynccontextmanager
async def open_order_mode(
symbol: Symbol,
chart: pg.PlotWidget,
book: OrderBook,
):
view = chart._vb
lines = LineEditor(view=view, chart=chart, _order_lines=_order_lines)
arrows = ArrowEditor(chart, {})
log.info("Opening order mode")
mode = OrderMode(chart, book, lines, arrows)
view.mode = mode
asset_type = symbol.type_key
if asset_type == 'stock':
mode._size = 100.0
elif asset_type in ('future', 'option', 'futures_option'):
mode._size = 1.0
else: # to be safe
mode._size = 1.0
try:
yield mode
finally:
# XXX special teardown handling like for ex.
# - cancelling orders if needed?
# - closing positions if desired?
# - switching special condition orders to safer/more reliable variants
log.info("Closing order mode")
class ChartView(ViewBox): class ChartView(ViewBox):
"""Price chart view box with interaction behaviors you'd expect from """Price chart view box with interaction behaviors you'd expect from
any interactive platform: any interactive platform:

357
piker/ui/order_mode.py 100644
View File

@ -0,0 +1,357 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
Chart trading at it's finest.
"""
from contextlib import asynccontextmanager
from dataclasses import dataclass, field
from pprint import pformat
import time
from typing import Optional, Dict, Callable, Any
import uuid
import pyqtgraph as pg
import trio
from ._graphics._lines import LevelLine
from ._interaction import LineEditor, ArrowEditor, _order_lines
from ..exchange._client import open_ems, OrderBook
from ..data._source import Symbol
from ..log import get_logger
log = get_logger(__name__)
@dataclass
class OrderMode:
"""Major mode for placing orders on a chart view.
This is the default mode that pairs with "follow mode"
(when wathing the rt price update at the current time step)
and allows entering orders using the ``a, d, f`` keys and
cancelling moused-over orders with the ``c`` key.
"""
chart: 'ChartPlotWidget' # type: ignore # noqa
book: OrderBook
lines: LineEditor
arrows: ArrowEditor
_colors = {
'alert': 'alert_yellow',
'buy': 'buy_green',
'sell': 'sell_red',
}
_action: str = 'alert'
_exec_mode: str = 'dark'
_size: float = 100.0
key_map: Dict[str, Callable] = field(default_factory=dict)
def uuid(self) -> str:
return str(uuid.uuid4())
def set_exec(
self,
action: str,
size: Optional[int] = None,
) -> None:
"""Set execution mode.
"""
self._action = action
self.lines.stage_line(
color=self._colors[action],
# hl_on_hover=True if self._exec_mode == 'live' else False,
dotted=True if self._exec_mode == 'dark' else False,
size=size or self._size,
)
def on_submit(self, uuid: str) -> dict:
"""On order submitted event, commit the order line
and registered order uuid, store ack time stamp.
TODO: annotate order line with submission type ('live' vs.
'dark').
"""
line = self.lines.commit_line(uuid)
req_msg = self.book._sent_orders.get(uuid)
if req_msg:
req_msg['ack_time_ns'] = time.time_ns()
return line
def on_fill(
self,
uuid: str,
price: float,
arrow_index: float,
pointing: Optional[str] = None
) -> None:
line = self.lines._order_lines.get(uuid)
if line:
self.arrows.add(
uuid,
arrow_index,
price,
pointing=pointing,
color=line.color
)
async def on_exec(
self,
uuid: str,
msg: Dict[str, Any],
) -> None:
# only once all fills have cleared and the execution
# is complet do we remove our "order line"
line = self.lines.remove_line(uuid=uuid)
log.debug(f'deleting {line} with oid: {uuid}')
# DESKTOP NOTIFICATIONS
#
# TODO: this in another task?
# not sure if this will ever be a bottleneck,
# we probably could do graphics stuff first tho?
# XXX: linux only for now
result = await trio.run_process(
[
'notify-send',
'-u', 'normal',
'-t', '10000',
'piker',
f'alert: {msg}',
],
)
log.runtime(result)
def on_cancel(self, uuid: str) -> None:
msg = self.book._sent_orders.pop(uuid, None)
if msg is not None:
self.lines.remove_line(uuid=uuid)
self.chart._cursor.show_xhair()
else:
log.warning(
f'Received cancel for unsubmitted order {pformat(msg)}'
)
def submit_exec(
self,
size: Optional[float] = None,
) -> LevelLine:
"""Send execution order to EMS.
"""
# register the "staged" line under the cursor
# to be displayed when above order ack arrives
# (means the line graphic doesn't show on screen until the
# order is live in the emsd).
uid = str(uuid.uuid4())
size = size or self._size
chart = self.chart._cursor.active_plot
y = chart._cursor._datum_xy[1]
symbol = self.chart._lc._symbol
# send order cmd to ems
self.book.send(
uuid=uid,
symbol=symbol.key,
brokers=symbol.brokers,
price=y,
size=size,
action=self._action,
exec_mode=self._exec_mode,
)
# make line graphic if order push was
# sucessful
line = self.lines.create_order_line(
uid,
level=y,
chart=chart,
size=size,
)
line.oid = uid
# hook up mouse drag handlers
line._on_drag_start = self.order_line_modify_start
line._on_drag_end = self.order_line_modify_complete
return line
def cancel_order_under_cursor(self) -> None:
for line in self.lines.lines_under_cursor():
self.book.cancel(uuid=line.oid)
# order-line modify handlers
def order_line_modify_start(
self,
line: LevelLine,
) -> None:
print(f'Line modify: {line}')
# cancel original order until new position is found
def order_line_modify_complete(
self,
line: LevelLine,
) -> None:
self.book.update(
uuid=line.oid,
# TODO: should we round this to a nearest tick here?
price=line.value(),
)
@asynccontextmanager
async def open_order_mode(
symbol: Symbol,
chart: pg.PlotWidget,
book: OrderBook,
):
view = chart._vb
lines = LineEditor(view=view, chart=chart, _order_lines=_order_lines)
arrows = ArrowEditor(chart, {})
log.info("Opening order mode")
mode = OrderMode(chart, book, lines, arrows)
view.mode = mode
asset_type = symbol.type_key
if asset_type == 'stock':
mode._size = 100.0
elif asset_type in ('future', 'option', 'futures_option'):
mode._size = 1.0
else: # to be safe
mode._size = 1.0
try:
yield mode
finally:
# XXX special teardown handling like for ex.
# - cancelling orders if needed?
# - closing positions if desired?
# - switching special condition orders to safer/more reliable variants
log.info("Closing order mode")
async def start_order_mode(
chart: 'ChartPlotWidget', # noqa
symbol: Symbol,
brokername: str,
) -> None:
# spawn EMS actor-service
async with open_ems(
brokername,
symbol,
) as (book, trades_stream):
async with open_order_mode(
symbol,
chart,
book,
) as order_mode:
def get_index(time: float):
# XXX: not sure why the time is so off here
# looks like we're gonna have to do some fixing..
ohlc = chart._shm.array
indexes = ohlc['time'] >= time
if any(indexes):
return ohlc['index'][indexes[-1]]
else:
return ohlc['index'][-1]
# Begin order-response streaming
# this is where we receive **back** messages
# about executions **from** the EMS actor
async for msg in trades_stream:
fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}')
# delete the line from view
oid = msg['oid']
resp = msg['resp']
# response to 'action' request (buy/sell)
if resp in (
'dark_submitted',
'broker_submitted'
):
# show line label once order is live
order_mode.on_submit(oid)
# resp to 'cancel' request or error condition
# for action request
elif resp in (
'broker_cancelled',
'broker_inactive',
'dark_cancelled'
):
# delete level line from view
order_mode.on_cancel(oid)
elif resp in (
'dark_executed'
):
log.info(f'Dark order triggered for {fmsg}')
# for alerts add a triangle and remove the
# level line
if msg['cmd']['action'] == 'alert':
# should only be one "fill" for an alert
order_mode.on_fill(
oid,
price=msg['trigger_price'],
arrow_index=get_index(time.time())
)
await order_mode.on_exec(oid, msg)
# response to completed 'action' request for buy/sell
elif resp in (
'broker_executed',
):
await order_mode.on_exec(oid, msg)
# each clearing tick is responded individually
elif resp in ('broker_filled',):
action = msg['action']
# TODO: some kinda progress system
order_mode.on_fill(
oid,
price=msg['price'],
arrow_index=get_index(msg['broker_time']),
pointing='up' if action == 'buy' else 'down',
)