Open data feed in ems main entrypoint
Tyler Goodlet
parent
14c5fc24ec
commit
7cc395b5bf
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@ -181,6 +181,7 @@ async def maybe_open_emsd(
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async with tractor.find_actor('pikerd') as portal:
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assert portal
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name = await portal.run(
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spawn_emsd,
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brokername=brokername,
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@ -40,7 +40,11 @@ log = get_logger(__name__)
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# TODO: numba all of this
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def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
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def mk_check(
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trigger_price: float,
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known_last: float,
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action: str,
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) -> Callable[[float, float], bool]:
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"""Create a predicate for given ``exec_price`` based on last known
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price, ``known_last``.
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@ -230,6 +234,7 @@ async def execute_triggers(
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async def exec_loop(
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ctx: tractor.Context,
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feed: 'Feed', # noqa
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broker: str,
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symbol: str,
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_exec_mode: str,
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@ -239,66 +244,61 @@ async def exec_loop(
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to brokers.
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"""
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async with data.open_feed(
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broker,
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[symbol],
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loglevel='info',
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) as feed:
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# TODO: get initial price quote from target broker
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first_quote = await feed.receive()
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# TODO: get initial price quote from target broker
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first_quote = await feed.receive()
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book = get_dark_book(broker)
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book.lasts[(broker, symbol)] = first_quote[symbol]['last']
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book = get_dark_book(broker)
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book.lasts[(broker, symbol)] = first_quote[symbol]['last']
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# TODO: wrap this in a more re-usable general api
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client_factory = getattr(feed.mod, 'get_client_proxy', None)
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# TODO: wrap this in a more re-usable general api
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client_factory = getattr(feed.mod, 'get_client_proxy', None)
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if client_factory is not None and _exec_mode != 'paper':
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if client_factory is not None and _exec_mode != 'paper':
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# we have an order API for this broker
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client = client_factory(feed._brokerd_portal)
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# we have an order API for this broker
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client = client_factory(feed._brokerd_portal)
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else:
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# force paper mode
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log.warning(f'Entering paper trading mode for {broker}')
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else:
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# force paper mode
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log.warning(f'Entering paper trading mode for {broker}')
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client = PaperBoi(
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broker,
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*trio.open_memory_channel(100),
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_buys={},
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_sells={},
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client = PaperBoi(
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broker,
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*trio.open_memory_channel(100),
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_buys={},
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_sells={},
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_reqids={},
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)
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_reqids={},
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)
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# for paper mode we need to mock this trades response feed
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# so we pass a duck-typed feed-looking mem chan which is fed
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# fill and submission events from the exec loop
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feed._trade_stream = client.trade_stream
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# for paper mode we need to mock this trades response feed
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# so we pass a duck-typed feed-looking mem chan which is fed
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# fill and submission events from the exec loop
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feed._trade_stream = client.trade_stream
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# init the trades stream
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client._to_trade_stream.send_nowait({'local_trades': 'start'})
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# init the trades stream
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client._to_trade_stream.send_nowait({'local_trades': 'start'})
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_exec_mode = 'paper'
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_exec_mode = 'paper'
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# return control to parent task
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task_status.started((first_quote, feed, client))
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# return control to parent task
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task_status.started((first_quote, feed, client))
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stream = feed.stream
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async with trio.open_nursery() as n:
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n.start_soon(
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execute_triggers,
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broker,
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symbol,
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stream,
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ctx,
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client,
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book
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)
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stream = feed.stream
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async with trio.open_nursery() as n:
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n.start_soon(
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execute_triggers,
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broker,
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symbol,
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stream,
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ctx,
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client,
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book
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)
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if _exec_mode == 'paper':
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n.start_soon(simulate_fills, stream.clone(), client)
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if _exec_mode == 'paper':
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n.start_soon(simulate_fills, stream.clone(), client)
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# TODO: lots of cases still to handle
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@ -556,7 +556,7 @@ async def process_order_cmds(
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# price received from the feed, instead of being
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# like every other shitty tina platform that makes
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# the user choose the predicate operator.
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pred = mk_check(trigger_price, last)
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pred = mk_check(trigger_price, last, action)
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tick_slap: float = 5
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min_tick = feed.symbols[sym].tick_size
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@ -646,35 +646,41 @@ async def _emsd_main(
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async with trio.open_nursery() as n:
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# TODO: eventually support N-brokers
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# start the condition scan loop
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quote, feed, client = await n.start(
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exec_loop,
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ctx,
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async with data.open_feed(
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broker,
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symbol,
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_mode,
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)
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[symbol],
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loglevel='info',
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) as feed:
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await n.start(
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process_broker_trades,
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ctx,
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feed,
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dark_book,
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)
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# start the condition scan loop
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quote, feed, client = await n.start(
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exec_loop,
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ctx,
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feed,
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broker,
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symbol,
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_mode,
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)
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# connect back to the calling actor (the one that is
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# acting as an EMS client and will submit orders) to
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# receive requests pushed over a tractor stream
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# using (for now) an async generator.
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order_stream = await portal.run(send_order_cmds)
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await n.start(
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process_broker_trades,
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ctx,
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feed,
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dark_book,
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)
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# start inbound order request processing
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await process_order_cmds(
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ctx,
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order_stream,
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symbol,
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feed,
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client,
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dark_book,
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)
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# connect back to the calling actor (the one that is
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# acting as an EMS client and will submit orders) to
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# receive requests pushed over a tractor stream
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# using (for now) an async generator.
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order_stream = await portal.run(send_order_cmds)
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# start inbound order request processing
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await process_order_cmds(
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ctx,
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order_stream,
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symbol,
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feed,
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client,
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dark_book,
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)
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