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Cast to `float` as needed from order-mode and ems 

Since we're not quite yet using automatic typed msging from
`tractor`/`msgspec` (i.e. still manually decoding order ctl msgs from
built-in types..`dict`s still not `msgspec.Struct`) this adds the
appropriate typecasting ops to ensure the required precision is attained
prior to processing and/or submission to a brokerd backend service.

For the `.clearing._ems`,
- flip all `trigger_price` previously presumed to be `float` to just
  the field-identical `price: Decimal` and ensure we cast to `float`
  for any `trigger_price` usage, like before passing to `mk_check()`.

For `.ui.order_mode.OrderMode`,
- add a new `.curr_mkt: MktPair` convenience property to get the
  chart-active value.
- ensure we always use the `.curr_mkt.quantize() -> Decimal` before
  setting any IPC-msg's `.price` field!
- always cast `float(Order.price)` before use in setting line-levels.
- don't bother setting `Order.symbol` to a (now fully removed) `Symbol`
  instance since it's not really required-for-use anywhere; leaving it
  a `str` (per the type-annot) is fine for now?
decimal_prices_thru_ems
Tyler Goodlet 2025-04-21 20:36:28 -04:00
parent cbbf674737
commit 84ad34f51e
2 changed files with 71 additions and 39 deletions
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14
piker/clearing/_ems.py
View File

@ -76,7 +76,6 @@ if TYPE_CHECKING:
# TODO: numba all of this # TODO: numba all of this
def mk_check( def mk_check(
trigger_price: float, trigger_price: float,
known_last: float, known_last: float,
action: str, action: str,
@ -1297,7 +1296,7 @@ async def process_client_order_cmds(
case { case {
'oid': oid, 'oid': oid,
'symbol': fqme, 'symbol': fqme,
'price': trigger_price, 'price': price,
'size': size, 'size': size,
'action': ('buy' | 'sell') as action, 'action': ('buy' | 'sell') as action,
'exec_mode': ('live' | 'paper'), 'exec_mode': ('live' | 'paper'),
@ -1329,7 +1328,7 @@ async def process_client_order_cmds(
symbol=sym, symbol=sym,
action=action, action=action,
price=trigger_price, price=price,
size=size, size=size,
account=req.account, account=req.account,
) )
@ -1371,7 +1370,7 @@ async def process_client_order_cmds(
case { case {
'oid': oid, 'oid': oid,
'symbol': fqme, 'symbol': fqme,
'price': trigger_price, 'price': price,
'size': size, 'size': size,
'exec_mode': exec_mode, 'exec_mode': exec_mode,
'action': action, 'action': action,
@ -1399,7 +1398,12 @@ async def process_client_order_cmds(
if isnan(last): if isnan(last):
last = flume.rt_shm.array[-1]['close'] last = flume.rt_shm.array[-1]['close']
pred = mk_check(trigger_price, last, action) trigger_price: float = float(price)
pred = mk_check(
trigger_price,
last,
action,
)
# NOTE: for dark orders currently we submit # NOTE: for dark orders currently we submit
# the triggered live order at a price 5 ticks # the triggered live order at a price 5 ticks

96
piker/ui/order_mode.py
View File

@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
from __future__ import annotations from __future__ import annotations
from contextlib import asynccontextmanager from contextlib import asynccontextmanager
from dataclasses import dataclass, field from dataclasses import dataclass, field
from decimal import Decimal
from functools import partial from functools import partial
from pprint import pformat from pprint import pformat
import time import time
@ -41,7 +42,6 @@ from piker.accounting import (
Position, Position,
mk_allocator, mk_allocator,
MktPair, MktPair,
Symbol,
) )
from piker.clearing import ( from piker.clearing import (
open_ems, open_ems,
@ -143,6 +143,15 @@ class OrderMode:
} }
_staged_order: Order | None = None _staged_order: Order | None = None
@property
def curr_mkt(self) -> MktPair:
'''
Deliver the currently selected `MktPair` according
chart state.
'''
return self.chart.linked.mkt
def on_level_change_update_next_order_info( def on_level_change_update_next_order_info(
self, self,
level: float, level: float,
@ -172,7 +181,12 @@ class OrderMode:
line.update_labels(order_info) line.update_labels(order_info)
# update bound-in staged order # update bound-in staged order
order.price = level # order.price = level
mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=level,
quantity_type='price',
)
order.size = order_info['size'] order.size = order_info['size']
# when an order is changed we flip the settings side-pane to # when an order is changed we flip the settings side-pane to
@ -187,7 +201,9 @@ class OrderMode:
) -> LevelLine: ) -> LevelLine:
level = order.price # TODO, if we instead just always decimalize at the ems layer
# we can avoid this back-n-forth casting?
level = float(order.price)
line = order_line( line = order_line(
chart or self.chart, chart or self.chart,
@ -224,7 +240,12 @@ class OrderMode:
# the order mode allocator but we still need to update the # the order mode allocator but we still need to update the
# "staged" order message we'll send to the ems # "staged" order message we'll send to the ems
def update_order_price(y: float) -> None: def update_order_price(y: float) -> None:
order.price = y mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=y,
quantity_type='price',
)
# order.price = y
line._on_level_change = update_order_price line._on_level_change = update_order_price
@ -275,34 +296,31 @@ class OrderMode:
chart = cursor.linked.chart chart = cursor.linked.chart
if ( if (
not chart not chart
and cursor and
and cursor.active_plot cursor
and
cursor.active_plot
): ):
return return
chart = cursor.active_plot chart = cursor.active_plot
price = cursor._datum_xy[1] price: float = cursor._datum_xy[1]
if not price: if not price:
# zero prices are not supported by any means # zero prices are not supported by any means
# since that's illogical / a no-op. # since that's illogical / a no-op.
return return
mkt: MktPair = self.chart.linked.mkt
# NOTE : we could also use instead,
# mkt.quantize(price, quantity_type='price')
# but it returns a Decimal and it's probably gonna
# be slower?
# TODO: should we be enforcing this precision # TODO: should we be enforcing this precision
# at a different layer in the stack? right now # at a different layer in the stack?
# any precision error will literally be relayed # |_ might require `MktPair` tracking in the EMS?
# all the way back from the backend. # |_ right now any precision error will be relayed
# all the way back from the backend and vice-versa..
price = round( #
price, mkt: MktPair = self.curr_mkt
ndigits=mkt.price_tick_digits, price: Decimal = mkt.quantize(
size=price,
quantity_type='price',
) )
order = self._staged_order = Order( order = self._staged_order = Order(
action=action, action=action,
price=price, price=price,
@ -515,14 +533,15 @@ class OrderMode:
# if an order msg is provided update the line # if an order msg is provided update the line
# **from** that msg. # **from** that msg.
if order: if order:
if order.price <= 0: price: float = float(order.price)
if price <= 0:
log.error(f'Order has 0 price, cancelling..\n{order}') log.error(f'Order has 0 price, cancelling..\n{order}')
self.cancel_orders([order.oid]) self.cancel_orders([order.oid])
return None return None
line.set_level(order.price) line.set_level(price)
self.on_level_change_update_next_order_info( self.on_level_change_update_next_order_info(
level=order.price, level=price,
line=line, line=line,
order=order, order=order,
# use the corresponding position tracker for the # use the corresponding position tracker for the
@ -681,9 +700,9 @@ class OrderMode:
) -> Dialog | None: ) -> Dialog | None:
# NOTE: the `.order` attr **must** be set with the # NOTE: the `.order` attr **must** be set with the
# equivalent order msg in order to be loaded. # equivalent order msg in order to be loaded.
order = msg.req order: Order = msg.req
oid = str(msg.oid) oid = str(msg.oid)
symbol = order.symbol symbol: str = order.symbol
# TODO: MEGA UGGG ZONEEEE! # TODO: MEGA UGGG ZONEEEE!
src = msg.src src = msg.src
@ -702,13 +721,22 @@ class OrderMode:
order.oid = str(order.oid) order.oid = str(order.oid)
order.brokers = [brokername] order.brokers = [brokername]
# TODO: change this over to `MktPair`, but it's # ?TODO? change this over to `MktPair`, but it's gonna be
# gonna be tough since we don't have any such data # tough since we don't have any such data really in our
# really in our clearing msg schema.. # clearing msg schema..
order.symbol = Symbol.from_fqme( # BUT WAIT! WHY do we even want/need this!?
fqsn=fqme, #
info={}, # order.symbol = self.curr_mkt
) #
# XXX, the old approach.. which i don't quire member why..
# -[ ] verify we for sure don't require this any more!
# |_https://github.com/pikers/piker/issues/517
#
# order.symbol = Symbol.from_fqme(
# fqsn=fqme,
# info={},
# )
maybe_dialog: Dialog | None = self.submit_order( maybe_dialog: Dialog | None = self.submit_order(
send_msg=False, send_msg=False,
order=order, order=order,
@ -1101,7 +1129,7 @@ async def process_trade_msg(
) )
) )
): ):
msg.req = order msg.req: Order = order
dialog: ( dialog: (
Dialog Dialog
# NOTE: on an invalid order submission (eg. # NOTE: on an invalid order submission (eg.