First try mega-basic stock (reverse) split support with `ib` and `pps.toml`
Tyler Goodlet
parent
6856ca207f
commit
7bec989eed
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@ -36,8 +36,6 @@ from trio_typing import TaskStatus
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import tractor
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from ib_insync.contract import (
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Contract,
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# Option,
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# Forex,
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)
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from ib_insync.order import (
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Trade,
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@ -357,11 +355,24 @@ async def update_and_audit_msgs(
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# presume we're at least not more in the shit then we
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# thought.
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if diff:
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reverse_split_ratio = pikersize / ibsize
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split_ratio = 1/reverse_split_ratio
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if split_ratio >= reverse_split_ratio:
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entry = f'split_ratio = {int(split_ratio)}'
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else:
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entry = f'split_ratio = 1/{int(reverse_split_ratio)}'
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raise ValueError(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {ibppmsg}\n'
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f'piker: {msg}\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?'
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f'reverse_split_ratio: {reverse_split_ratio}\n'
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f'split_ratio: {split_ratio}\n\n'
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'FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?\n\n'
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'If you are expecting a (reverse) split in this '
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'instrument you should probably put the following '
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f'in the `pps.toml` section:\n{entry}'
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)
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msg.size = ibsize
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@ -480,6 +491,7 @@ async def trades_dialogue(
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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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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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@ -493,7 +505,7 @@ async def trades_dialogue(
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or pp.size != msg.size
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):
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trans = norm_trade_records(ledger)
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updated = table.update_from_trans(trans)
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table.update_from_trans(trans)
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# update trades ledgers for all accounts from connected
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# api clients which report trades for **this session**.
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trades = await proxy.trades()
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@ -519,14 +531,22 @@ async def trades_dialogue(
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trans = trans_by_acct.get(acctid)
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if trans:
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table.update_from_trans(trans)
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updated = table.update_from_trans(trans)
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# XXX: not sure exactly why it wouldn't be in
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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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pp = table.pps.get(bsuid)
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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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'adjust your ledger for this, skipping '
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'for now.'
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)
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continue
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if msg.size != pp.size:
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log.error(
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'Position mismatch {pp.symbol.front_fqsn()}:\n'
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@ -670,6 +690,22 @@ async def emit_pp_update(
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await ems_stream.send(msg)
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_statuses: dict[str, str] = {
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'cancelled': 'canceled',
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'submitted': 'open',
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# XXX: just pass these through? it duplicates actual fill events other
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# then the case where you the `.remaining == 0` case which is our
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# 'closed'` case.
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# 'filled': 'pending',
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# 'pendingsubmit': 'pending',
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# TODO: see a current ``ib_insync`` issue around this:
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# https://github.com/erdewit/ib_insync/issues/363
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'inactive': 'pending',
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}
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async def deliver_trade_events(
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trade_event_stream: trio.MemoryReceiveChannel,
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19
piker/pp.py
19
piker/pp.py
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@ -134,6 +134,8 @@ class Position(Struct):
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# unique backend symbol id
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bsuid: str
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split_ratio: Optional[int] = 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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@ -159,6 +161,9 @@ class Position(Struct):
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clears = d.pop('clears')
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expiry = d.pop('expiry')
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if self.split_ratio is None:
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d.pop('split_ratio')
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# TODO: we need to figure out how to have one top level
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# listing venue here even when the backend isn't providing
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# it via the trades ledger..
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@ -384,12 +389,22 @@ class Position(Struct):
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asize_h.append(accum_size)
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ppu_h.append(ppu_h[-1])
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return ppu_h[-1] if ppu_h else 0
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final_ppu = ppu_h[-1] if ppu_h else 0
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# handle any split info entered (for now) manually by user
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if self.split_ratio is not None:
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final_ppu /= self.split_ratio
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return final_ppu
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def calc_size(self) -> float:
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size: float = 0
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for tid, entry in self.clears.items():
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size += entry['size']
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if self.split_ratio is not None:
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size = round(size * self.split_ratio)
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return size
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def minimize_clears(
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@ -848,6 +863,7 @@ def open_pps(
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size = entry['size']
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# TODO: remove but, handle old field name for now
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ppu = entry.get('ppu', entry.get('be_price', 0))
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split_ratio = entry.get('split_ratio')
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expiry = entry.get('expiry')
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if expiry:
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@ -857,6 +873,7 @@ def open_pps(
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Symbol.from_fqsn(fqsn, info={}),
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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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