Handle read and write of `pps.toml` using `MktPair`
Add a logic branch for now that switches on an instance check. Generally swap over all `Position.symbol` and `Transaction.sym` refs to `MktPair`. Do a wholesale rename of all `.bsuid` var names to `.bs_mktid`.rekt_pps
parent
7b28c7a43f
commit
72c97d4672
piker
accounting
brokers/ib
clearing
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@ -48,7 +48,7 @@ __all__ = [
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def get_likely_pair(
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src: str,
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dst: str,
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bsuid: str,
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bs_mktid: str,
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) -> str:
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'''
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@ -57,7 +57,7 @@ def get_likely_pair(
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'''
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try:
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src_name_start = bsuid.rindex(src)
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src_name_start = bs_mktid.rindex(src)
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except (
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ValueError, # substr not found
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):
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@ -66,13 +66,13 @@ def get_likely_pair(
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# buy some other dst which was furhter used
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# to buy another dst..)
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log.warning(
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f'No src fiat {src} found in {bsuid}?'
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f'No src fiat {src} found in {bs_mktid}?'
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)
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return
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likely_dst = bsuid[:src_name_start]
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likely_dst = bs_mktid[:src_name_start]
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if likely_dst == dst:
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return bsuid
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return bs_mktid
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if __name__ == '__main__':
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@ -129,12 +129,7 @@ class Transaction(Struct, frozen=True):
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# in the "their backend/system" sense; i.e. this uid for the market
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# as defined (internally) in some namespace defined by the broker
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# service.
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bsuid: str | int | None = None
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@property
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def bs_mktid(self) -> str | int | None:
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print(f'STOP USING .bsuid` for {self.fqme}')
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return self.bs_mktid
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bs_mktid: str | int | None = None
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# XXX NOTE: this will come from the `MktPair`
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# instead of defined here right?
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@ -45,7 +45,8 @@ from ._ledger import (
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)
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from ._mktinfo import (
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Symbol,
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# MktPair,
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MktPair,
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Asset,
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unpack_fqsn,
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)
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from .. import config
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@ -63,7 +64,7 @@ class Position(Struct):
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transaction history.
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'''
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symbol: Symbol # | MktPair
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symbol: Symbol | MktPair
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# can be +ve or -ve for long/short
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size: float
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@ -72,17 +73,17 @@ class Position(Struct):
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# zero for the entirety of the current "trade state".
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ppu: float
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# unique backend symbol id
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bsuid: str
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# unique "backend system market id"
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bs_mktid: str
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split_ratio: Optional[int] = None
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split_ratio: int | None = None
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# ordered record of known constituent trade messages
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clears: dict[
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Union[str, int, Status], # trade id
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dict[str, Any], # transaction history summaries
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] = {}
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first_clear_dt: Optional[datetime] = None
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first_clear_dt: datetime | None = None
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expiry: Optional[datetime] = None
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@ -117,20 +118,35 @@ class Position(Struct):
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fqsn = s.fqme
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broker, key, suffix = unpack_fqsn(fqsn)
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sym_info = s.broker_info[broker]
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if isinstance(s, Symbol):
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sym_info = s.broker_info[broker]
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d['asset_type'] = sym_info['asset_type']
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d['price_tick_size'] = (
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d['price_tick'] = (
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sym_info.get('price_tick_size')
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or
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s.tick_size
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)
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d['lot_tick_size'] = (
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d['size_tick'] = (
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sym_info.get('lot_tick_size')
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or
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s.lot_tick_size
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)
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# the newwww wayyy B)
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else:
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mkt = s
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assert isinstance(mkt, MktPair)
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# an asset resolved mkt where we have ``Asset`` info about
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# each tradeable asset in the market.
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if mkt.resolved:
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dst: Asset = mkt.dst
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d['asset_type'] = dst.atype
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d['price_tick'] = mkt.price_tick
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d['size_tick'] = mkt.size_tick
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if self.expiry is None:
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d.pop('expiry', None)
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elif expiry:
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@ -217,14 +233,19 @@ class Position(Struct):
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# XXX: better place to do this?
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symbol = self.symbol
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lot_size_digits = symbol.lot_size_digits
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# TODO: switch to new fields..?
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# .size_tick_digits, .price_tick_digits
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size_tick_digits = symbol.lot_size_digits
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price_tick_digits = symbol.tick_size_digits
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self.ppu = round(
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# TODO: change this to ppu?
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msg['avg_price'],
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ndigits=symbol.tick_size_digits,
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ndigits=price_tick_digits,
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)
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self.size = round(
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msg['size'],
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ndigits=lot_size_digits,
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ndigits=size_tick_digits,
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)
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@property
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@ -490,7 +511,7 @@ class PpTable(Struct):
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reverse=True,
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):
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pp = pps.setdefault(
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t.bsuid,
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t.bs_mktid,
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# if no existing pp, allocate fresh one.
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Position(
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) if not t.sym else t.sym,
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size=0.0,
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ppu=0.0,
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bsuid=t.bsuid,
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bs_mktid=t.bs_mktid,
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expiry=t.expiry,
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)
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)
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# update clearing table
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pp.add_clear(t)
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updated[t.bsuid] = pp
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updated[t.bs_mktid] = pp
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# minimize clears tables and update sizing.
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for bsuid, pp in updated.items():
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for bs_mktid, pp in updated.items():
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pp.ensure_state()
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# deliver only the position entries that were actually updated
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@ -557,14 +578,8 @@ class PpTable(Struct):
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open_pp_objs: dict[str, Position] = {}
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pp_objs = self.pps
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for bsuid in list(pp_objs):
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pp = pp_objs[bsuid]
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# XXX: debug hook for size mismatches
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# qqqbsuid = 320227571
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# if bsuid == qqqbsuid:
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# breakpoint()
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for bs_mktid in list(pp_objs):
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pp = pp_objs[bs_mktid]
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pp.ensure_state()
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if (
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# ignored; the closed positions won't be written to the
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# ``pps.toml`` since ``pp_active_entries`` above is what's
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# written.
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closed_pp_objs[bsuid] = pp
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closed_pp_objs[bs_mktid] = pp
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else:
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open_pp_objs[bsuid] = pp
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open_pp_objs[bs_mktid] = pp
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return open_pp_objs, closed_pp_objs
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@ -600,7 +615,7 @@ class PpTable(Struct):
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# we don't store in the ``pps.toml``.
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to_toml_dict = {}
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for bsuid, pos in active.items():
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for bs_mktid, pos in active.items():
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# keep the minimal amount of clears that make up this
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# position since the last net-zero state.
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Open a ledger file by broker name and account and read in and
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process any trade records into our normalized ``Transaction`` form
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and then update the equivalent ``Pptable`` and deliver the two
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bsuid-mapped dict-sets of the transactions and pps.
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bs_mktid-mapped dict-sets of the transactions and pps.
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'''
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with (
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if filter_by:
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records = {}
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bsuids = set(filter_by)
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bs_mktids = set(filter_by)
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for tid, r in src_records.items():
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if r.bsuid in bsuids:
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if r.bs_mktid in bs_mktids:
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records[tid] = r
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else:
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records = src_records
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@ -868,22 +883,35 @@ def open_pps(
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# unmarshal/load ``pps.toml`` config entries into object form
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# and update `PpTable` obj entries.
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for fqsn, entry in pps.items():
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bsuid = entry['bsuid']
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symbol = Symbol.from_fqsn(
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fqsn,
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for fqme, entry in pps.items():
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# NOTE & TODO: right now we fill in the defaults from
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# `.data._source.Symbol` but eventually these should always
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# either be already written to the pos table or provided at
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# write time to ensure always having these values somewhere
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# and thus allowing us to get our pos sizing precision
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# correct!
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info={
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'asset_type': entry.get('asset_type', '<unknown>'),
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'price_tick_size': entry.get('price_tick_size', 0.01),
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'lot_tick_size': entry.get('lot_tick_size', 0.0),
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}
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# atype = entry.get('asset_type', '<unknown>')
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# unique broker market id
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bs_mktid = (
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entry.get('bsuid')
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or entry.get('bs_mktid')
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)
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price_tick = (
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entry.get('price_tick_size')
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or entry.get('price_tick')
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or 0.01
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)
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size_tick = (
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entry.get('lot_tick_size')
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or entry.get('size_tick')
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or 0.0
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)
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# load the pair using the fqme which
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# will make the pair "unresolved" until
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# the backend broker actually loads
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# the market and position info.
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mkt = MktPair.from_fqme(
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fqme,
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price_tick=price_tick,
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size_tick=size_tick,
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bs_mktid=bs_mktid
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)
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# convert clears sub-tables (only in this form
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@ -893,7 +921,7 @@ def open_pps(
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# index clears entries in "object" form by tid in a top
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# level dict instead of a list (as is presented in our
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# ``pps.toml``).
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clears = pp_objs.setdefault(bsuid, {})
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clears = pp_objs.setdefault(bs_mktid, {})
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# TODO: should be make a ``Struct`` for clear/event entries?
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# convert "clear events table" from the toml config (list of
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@ -908,9 +936,9 @@ def open_pps(
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clears_table['dt'] = dt
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trans.append(Transaction(
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fqsn=bsuid,
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sym=symbol,
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bsuid=bsuid,
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fqsn=bs_mktid,
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sym=mkt,
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bs_mktid=bs_mktid,
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tid=tid,
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size=clears_table['size'],
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price=clears_table['price'],
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@ -933,13 +961,13 @@ def open_pps(
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if expiry:
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expiry = pendulum.parse(expiry)
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pp = pp_objs[bsuid] = Position(
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symbol,
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pp = pp_objs[bs_mktid] = Position(
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mkt,
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size=size,
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ppu=ppu,
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split_ratio=split_ratio,
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expiry=expiry,
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bsuid=entry['bsuid'],
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bs_mktid=bs_mktid,
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)
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# XXX: super critical, we need to be sure to include
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@ -127,7 +127,7 @@ your ``pps.toml`` file will have position entries like,
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[ib.algopaper."mnq.globex.20221216"]
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size = -1.0
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ppu = 12423.630576923071
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bsuid = 515416577
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bs_mktid = 515416577
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expiry = "2022-12-16T00:00:00+00:00"
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clears = [
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{ dt = "2022-08-31T18:54:46+00:00", ppu = 12423.630576923071, accum_size = -19.0, price = 12372.75, size = 1.0, cost = 0.57, tid = "0000e1a7.630f5e5a.01.01" },
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@ -335,12 +335,12 @@ async def update_and_audit_msgs(
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msgs: list[BrokerdPosition] = []
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for p in pps:
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bsuid = p.bsuid
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bs_mktid = p.bs_mktid
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# retreive equivalent ib reported position message
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# for comparison/audit versus the piker equivalent
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# breakeven pp calcs.
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ibppmsg = cids2pps.get((acctid, bsuid))
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ibppmsg = cids2pps.get((acctid, bs_mktid))
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if ibppmsg:
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msg = BrokerdPosition(
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@ -555,18 +555,18 @@ async def trades_dialogue(
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# collect all ib-pp reported positions so that we can be
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# sure know which positions to update from the ledger if
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# any are missing from the ``pps.toml``
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bsuid, msg = pack_position(pos)
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bs_mktid, msg = pack_position(pos)
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acctid = msg.account = accounts_def.inverse[msg.account]
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acctid = acctid.strip('ib.')
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cids2pps[(acctid, bsuid)] = msg
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cids2pps[(acctid, bs_mktid)] = msg
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assert msg.account in accounts, (
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f'Position for unknown account: {msg.account}')
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ledger = ledgers[acctid]
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table = tables[acctid]
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pp = table.pps.get(bsuid)
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pp = table.pps.get(bs_mktid)
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if (
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not pp
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or pp.size != msg.size
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@ -605,12 +605,12 @@ async def trades_dialogue(
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# the updated output (maybe this is a bug?) but
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# if you create a pos from TWS and then load it
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# from the api trades it seems we get a key
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# error from ``update[bsuid]`` ?
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pp = table.pps.get(bsuid)
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# error from ``update[bs_mktid]`` ?
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pp = table.pps.get(bs_mktid)
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if not pp:
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log.error(
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f'The contract id for {msg} may have '
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f'changed to {bsuid}\nYou may need to '
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f'changed to {bs_mktid}\nYou may need to '
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'adjust your ledger for this, skipping '
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'for now.'
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)
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|
@ -620,8 +620,8 @@ async def trades_dialogue(
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# the updated output (maybe this is a bug?) but
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# if you create a pos from TWS and then load it
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# from the api trades it seems we get a key
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# error from ``update[bsuid]`` ?
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pp = table.pps[bsuid]
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# error from ``update[bs_mktid]`` ?
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pp = table.pps[bs_mktid]
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pairinfo = pp.symbol
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if msg.size != pp.size:
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log.error(
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|
@ -760,7 +760,7 @@ async def emit_pp_update(
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# re-formatted pps as msgs to the ems.
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for pos in filter(
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bool,
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[active.get(r.bsuid), closed.get(r.bsuid)]
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[active.get(r.bs_mktid), closed.get(r.bs_mktid)]
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):
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msgs = await update_and_audit_msgs(
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acctid,
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|
@ -1225,7 +1225,7 @@ def norm_trade_records(
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cost=comms,
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dt=dt,
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expiry=expiry,
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bsuid=conid,
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bs_mktid=conid,
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),
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key=lambda t: t.dt
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)
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|
|
|
@ -206,7 +206,7 @@ class Allocator(Struct):
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symbol=sym,
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size=order_size,
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ppu=price,
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bsuid=sym,
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bs_mktid=sym,
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)
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)
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|
|
|
@ -1,5 +1,5 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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|
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# 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
|
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|
@ -258,7 +258,7 @@ class PaperBoi(Struct):
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price=price,
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cost=0, # TODO: cost model
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dt=pendulum.from_timestamp(fill_time_s),
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bsuid=key,
|
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bs_mktid=key,
|
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)
|
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|
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with (
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|
|
|
@ -737,7 +737,7 @@ async def open_order_mode(
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ppu=0,
|
||||
|
||||
# XXX: BLEH, do we care about this on the client side?
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bsuid=symbol,
|
||||
bs_mktid=symbol.key,
|
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)
|
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|
||||
# allocator config
|
||||
|
|
Loading…
Reference in New Issue