From 80461e18a5cf04d07b7afc8324543ea818ed052f Mon Sep 17 00:00:00 2001 From: Tyler Goodlet Date: Mon, 19 Jun 2023 13:05:34 -0400 Subject: [PATCH] Use `MktPair.price_tick: Decimal` in dark triggers This was actually incorrect prior, we were rounding triggered limit orders with the `.size_tick` value's digits when we should have been using the `.price_tick` (facepalm). So fix that and compute the rounding number of digits (as passed to the round(, ndigits=)` builtin) and store it in the `DarkBook.triggers` tuples so that at trigger/match time the round call is done *just prior* to msg send to `brokerd` given the last known live L1 queue price. --- piker/clearing/_ems.py | 66 ++++++++++++++++++++++++++---------------- 1 file changed, 41 insertions(+), 25 deletions(-) diff --git a/piker/clearing/_ems.py b/piker/clearing/_ems.py index 68639ae8..96782141 100644 --- a/piker/clearing/_ems.py +++ b/piker/clearing/_ems.py @@ -24,6 +24,7 @@ from collections import ( # ChainMap, ) from contextlib import asynccontextmanager as acm +from decimal import Decimal from math import isnan from pprint import pformat import time @@ -49,7 +50,7 @@ from ._util import ( from ..data._normalize import iterticks from ..accounting._mktinfo import ( unpack_fqme, - float_digits, + dec_digits, ) from ..ui._notify import notify_from_ems_status_msg from ..data.types import Struct @@ -130,11 +131,16 @@ class DarkBook(Struct): triggers: dict[ str, # symbol dict[ - str, # uuid + str, # uuid for triggerable execution tuple[ Callable[[float], bool], # predicate - str, # name - dict, # cmd / msg type + tuple[str, ...], # tickfilter + dict | Order, # cmd / msg type + + # live submission constraint parameters + float, # percent_away max price diff + float, # abs_diff_away max price diff + int, # min_tick_digits to round the clearable price ] ] ] = {} @@ -177,7 +183,8 @@ async def clear_dark_triggers( async for quotes in quote_stream: # start = time.time() for sym, quote in quotes.items(): - execs = book.triggers.get(sym, {}) + # TODO: make this a msg-compat struct + execs: tuple = book.triggers.get(sym, {}) for tick in iterticks( quote, # dark order price filter(s) @@ -200,7 +207,8 @@ async def clear_dark_triggers( # TODO: send this msg instead? cmd, percent_away, - abs_diff_away + abs_diff_away, + price_tick_digits, ) in ( tuple(execs.items()) ): @@ -233,8 +241,11 @@ async def clear_dark_triggers( size=size, ): bfqme: str = symbol.replace(f'.{broker}', '') - submit_price = price + abs_diff_away - resp = 'triggered' # hidden on client-side + submit_price: float = round( + price + abs_diff_away, + ndigits=price_tick_digits, + ) + resp: str = 'triggered' # hidden on client-side log.info( f'Dark order triggered for price {price}\n' @@ -264,11 +275,11 @@ async def clear_dark_triggers( ) # remove exec-condition from set - log.info(f'removing pred for {oid}') - pred = execs.pop(oid, None) - if not pred: + log.info(f'Removing trigger for {oid}') + trigger: tuple | None = execs.pop(oid, None) + if not trigger: log.warning( - f'pred for {oid} was already removed!?' + f'trigger for {oid} was already removed!?' ) # update actives @@ -1215,14 +1226,15 @@ async def process_client_order_cmds( and status.resp == 'dark_open' ): # remove from dark book clearing - entry = dark_book.triggers[fqme].pop(oid, None) + entry: tuple | None = dark_book.triggers[fqme].pop(oid, None) if entry: ( pred, tickfilter, cmd, percent_away, - abs_diff_away + abs_diff_away, + min_tick_digits, ) = entry # tell client side that we've cancelled the @@ -1357,33 +1369,36 @@ async def process_client_order_cmds( # TODO: make this configurable from our top level # config, prolly in a .clearing` section? spread_slap: float = 5 - min_tick = float(flume.mkt.size_tick) - min_tick_digits = float_digits(min_tick) + min_tick = Decimal(flume.mkt.price_tick) + min_tick_digits: int = dec_digits(min_tick) + + tickfilter: tuple[str, ...] + percent_away: float if action == 'buy': tickfilter = ('ask', 'last', 'trade') - percent_away = 0.005 + percent_away: float = 0.005 # TODO: we probably need to scale this based # on some near term historical spread # measure? - abs_diff_away = round( + abs_diff_away = float(round( spread_slap * min_tick, ndigits=min_tick_digits, - ) + )) elif action == 'sell': tickfilter = ('bid', 'last', 'trade') - percent_away = -0.005 - abs_diff_away = round( + percent_away: float = -0.005 + abs_diff_away: float = float(round( -spread_slap * min_tick, ndigits=min_tick_digits, - ) + )) else: # alert tickfilter = ('trade', 'utrade', 'last') - percent_away = 0 - abs_diff_away = 0 + percent_away: float = 0 + abs_diff_away: float = 0 # submit execution/order to EMS scan loop # NOTE: this may result in an override of an existing @@ -1395,7 +1410,8 @@ async def process_client_order_cmds( tickfilter, req, percent_away, - abs_diff_away + abs_diff_away, + min_tick_digits, ) resp = 'dark_open'