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(<value>, ndigits=<here>)` 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.basic_buy_bot
Tyler Goodlet
parent
a149e71fb1
commit
80461e18a5
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@ -24,6 +24,7 @@ from collections import (
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# ChainMap,
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)
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from contextlib import asynccontextmanager as acm
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from decimal import Decimal
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from math import isnan
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from pprint import pformat
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import time
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@ -49,7 +50,7 @@ from ._util import (
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from ..data._normalize import iterticks
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from ..accounting._mktinfo import (
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unpack_fqme,
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float_digits,
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dec_digits,
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)
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from ..ui._notify import notify_from_ems_status_msg
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from ..data.types import Struct
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@ -130,11 +131,16 @@ class DarkBook(Struct):
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triggers: dict[
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str, # symbol
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dict[
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str, # uuid
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str, # uuid for triggerable execution
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tuple[
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Callable[[float], bool], # predicate
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str, # name
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dict, # cmd / msg type
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tuple[str, ...], # tickfilter
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dict | Order, # cmd / msg type
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# live submission constraint parameters
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float, # percent_away max price diff
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float, # abs_diff_away max price diff
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int, # min_tick_digits to round the clearable price
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]
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]
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] = {}
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@ -177,7 +183,8 @@ async def clear_dark_triggers(
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async for quotes in quote_stream:
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# start = time.time()
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for sym, quote in quotes.items():
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execs = book.triggers.get(sym, {})
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# TODO: make this a msg-compat struct
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execs: tuple = book.triggers.get(sym, {})
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for tick in iterticks(
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quote,
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# dark order price filter(s)
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@ -200,7 +207,8 @@ async def clear_dark_triggers(
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# TODO: send this msg instead?
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cmd,
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percent_away,
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abs_diff_away
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abs_diff_away,
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price_tick_digits,
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) in (
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tuple(execs.items())
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):
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@ -233,8 +241,11 @@ async def clear_dark_triggers(
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size=size,
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):
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bfqme: str = symbol.replace(f'.{broker}', '')
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submit_price = price + abs_diff_away
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resp = 'triggered' # hidden on client-side
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submit_price: float = round(
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price + abs_diff_away,
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ndigits=price_tick_digits,
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)
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resp: str = 'triggered' # hidden on client-side
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log.info(
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f'Dark order triggered for price {price}\n'
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@ -264,11 +275,11 @@ async def clear_dark_triggers(
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)
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# remove exec-condition from set
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log.info(f'removing pred for {oid}')
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pred = execs.pop(oid, None)
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if not pred:
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log.info(f'Removing trigger for {oid}')
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trigger: tuple | None = execs.pop(oid, None)
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if not trigger:
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log.warning(
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f'pred for {oid} was already removed!?'
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f'trigger for {oid} was already removed!?'
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)
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# update actives
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@ -1215,14 +1226,15 @@ async def process_client_order_cmds(
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and status.resp == 'dark_open'
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):
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# remove from dark book clearing
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entry = dark_book.triggers[fqme].pop(oid, None)
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entry: tuple | None = dark_book.triggers[fqme].pop(oid, None)
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if entry:
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(
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pred,
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tickfilter,
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cmd,
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percent_away,
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abs_diff_away
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abs_diff_away,
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min_tick_digits,
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) = entry
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# tell client side that we've cancelled the
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@ -1357,33 +1369,36 @@ async def process_client_order_cmds(
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# TODO: make this configurable from our top level
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# config, prolly in a .clearing` section?
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spread_slap: float = 5
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min_tick = float(flume.mkt.size_tick)
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min_tick_digits = float_digits(min_tick)
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min_tick = Decimal(flume.mkt.price_tick)
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min_tick_digits: int = dec_digits(min_tick)
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tickfilter: tuple[str, ...]
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percent_away: float
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if action == 'buy':
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tickfilter = ('ask', 'last', 'trade')
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percent_away = 0.005
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percent_away: float = 0.005
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# TODO: we probably need to scale this based
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# on some near term historical spread
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# measure?
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abs_diff_away = round(
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abs_diff_away = float(round(
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spread_slap * min_tick,
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ndigits=min_tick_digits,
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)
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))
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elif action == 'sell':
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tickfilter = ('bid', 'last', 'trade')
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percent_away = -0.005
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abs_diff_away = round(
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percent_away: float = -0.005
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abs_diff_away: float = float(round(
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-spread_slap * min_tick,
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ndigits=min_tick_digits,
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)
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))
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else: # alert
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tickfilter = ('trade', 'utrade', 'last')
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percent_away = 0
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abs_diff_away = 0
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percent_away: float = 0
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abs_diff_away: float = 0
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# submit execution/order to EMS scan loop
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# NOTE: this may result in an override of an existing
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@ -1395,7 +1410,8 @@ async def process_client_order_cmds(
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tickfilter,
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req,
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percent_away,
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abs_diff_away
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abs_diff_away,
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min_tick_digits,
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)
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resp = 'dark_open'
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