minor changes, prepare for rebase of overlays branch
algorandpa
parent
5bb93ccc5f
commit
86b4386522
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@ -100,7 +100,7 @@ class Order(Struct):
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price: float
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size: float # -ve is "sell", +ve is "buy"
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brokers: Optional[list[str]] = []
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brokers: list[str] = []
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class Cancel(Struct):
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@ -330,6 +330,7 @@ async def simulate_fills(
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
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# this stream may eventually contain multiple symbols
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async for quotes in quote_stream:
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for sym, quote in quotes.items():
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for tick in iterticks(
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@ -424,8 +425,8 @@ async def simulate_fills(
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case _:
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continue
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# iterate all potentially clearable book prices
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# in FIFO order per side.
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# iterate alcl potentially clearable book prices
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# in FIFO order per side.c
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for order_info, pred in iter_entries:
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(our_price, size, reqid, action) = order_info
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@ -438,6 +439,8 @@ async def simulate_fills(
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'sell': sells
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}[action].inverse.pop(order_info)
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log.warning(f'order_info: {order_info}')
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# clearing price would have filled entirely
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await client.fake_fill(
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fqsn=sym,
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@ -553,6 +556,7 @@ async def trades_dialogue(
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) as feed,
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):
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with open_pps(broker, 'paper-id') as table:
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# save pps in local state
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_positions.update(table.pps)
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@ -589,7 +593,6 @@ async def trades_dialogue(
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_reqids=_reqids,
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# TODO: load paper positions from ``positions.toml``
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_positions=_positions,
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# TODO: load postions from ledger file
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@ -628,7 +631,6 @@ async def open_paperboi(
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# (we likely don't need more then one proc for basic
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# simulated order clearing)
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if portal is None:
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log.info('Starting new paper-engine actor')
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portal = await tn.start_actor(
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service_name,
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enable_modules=[__name__]
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@ -0,0 +1,3 @@
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[pytest]
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trio_mode=True
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log_cli=1
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@ -0,0 +1,143 @@
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from datetime import datetime
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import time
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import trio
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import pytest
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import tractor
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import math
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from piker.log import get_logger
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from piker.clearing._messages import (
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Order
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)
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from typing import AsyncContextManager
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from piker.pp import (
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Position,
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Transaction,
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open_trade_ledger,
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open_pps
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)
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from piker._daemon import (
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find_service,
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check_for_service,
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Services,
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)
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from piker.data import (
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open_feed,
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)
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from piker.clearing import (
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open_ems,
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)
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from piker.clearing._messages import (
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BrokerdPosition,
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Status,
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)
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from piker.clearing._client import (
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OrderBook,
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)
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log = get_logger(__name__)
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def test_paper_trade(
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open_test_pikerd: AsyncContextManager
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):
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async def main():
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# type declares
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book: OrderBook
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trades_stream: tractor.MsgStream
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pps: dict[str, list[BrokerdPosition]]
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accounts: list[str]
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dialogs: dict[str, Status]
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async with (
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open_test_pikerd() as (_, _, _, services),
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open_ems(
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'xbtusdt.kraken',
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mode='paper',
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) as (
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book,
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trades_stream,
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pps,
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accounts,
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dialogs,
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),
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):
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test_exec_mode='live'
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test_action = 'buy'
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test_oid = '560beac8-b1b1-4dee-bd1e-6604a704c9ea'
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test_account = 'paper'
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test_size = 1
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test_price = 30000
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test_broker = 'kraken'
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test_brokers = [test_broker]
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test_symbol = 'xbtusdt'
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test_fqsn = f'{test_symbol}.{test_broker}'
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test_pp_account = 'piker-paper'
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order = Order(
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exec_mode=test_exec_mode,
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action=test_action,
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oid=test_oid,
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account=test_account,
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size=test_size,
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symbol=test_fqsn,
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price=test_price,
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brokers=test_brokers
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)
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book.send(order)
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await trio.sleep(1)
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cleared_ledger_entry = {}
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# check if trades have been updated in in ledge and pp
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with open_trade_ledger(test_broker, test_account) as ledger:
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log.warning(f'ledger: {ledger}')
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cleared_ledger_entry = ledger[test_oid]
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assert list(ledger.keys())[0] == test_oid
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assert cleared_ledger_entry['size'] == test_size
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assert cleared_ledger_entry['fqsn'] == test_fqsn
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with open_pps(test_broker, test_pp_account) as table:
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# save pps in local state
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assert table.brokername == test_broker
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assert table.acctid == test_pp_account
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# assert cleared_ledger_entry['price'] == table.conf.clears[0].price
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pp_price = table.conf[test_broker][test_pp_account][test_fqsn]["ppu"]
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assert math.isclose(pp_price, cleared_ledger_entry['size'], rel_tol=1)
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raise KeyboardInterrupt
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with pytest.raises(
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trio.MultiError
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) as exc_info:
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trio.run(main)
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def test_trades_persist(
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open_test_pikerd: AsyncContextManager
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):
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async def main():
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async with (
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open_test_pikerd() as (_, _, _, services),
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open_ems(
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'xbtusdt.kraken',
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mode='paper',
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) as (
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book,
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trades_stream,
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pps,
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accounts,
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dialogs,
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),
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):
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print(f'pps: {pps}')
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trio.run(main)
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@ -9,6 +9,13 @@ import pytest
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import trio
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import tractor
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from datetime import datetime
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import time
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from piker.log import get_logger
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from piker.clearing._messages import (
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BrokerdFill
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)
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from piker._daemon import (
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find_service,
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Services,
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@ -27,6 +34,8 @@ from piker.clearing._client import (
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OrderBook,
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)
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log = get_logger(__name__)
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def test_runtime_boot(
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open_test_pikerd: AsyncContextManager
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@ -174,5 +183,8 @@ def test_ensure_ems_in_paper_actors(
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) as exc_info:
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trio.run(main)
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cancel_msg: str = '`_emsd_main()` was remotely cancelled by its caller'
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cancel_msg: str = '_emsd_main was remotely cancelled by its caller'
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assert cancel_msg in exc_info.value.args[0]
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