goodboy
GitHub
commit
86cb8421d9
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@ -1419,6 +1419,7 @@ async def trades_dialogue(
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# - short-sale but securities haven't been located, in this
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# case we should probably keep the order in some kind of
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# weird state or cancel it outright?
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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@ -35,7 +35,7 @@ from ..data._normalize import iterticks
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from ..log import get_logger
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from ._messages import (
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BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdFill,
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BrokerdFill, BrokerdPosition,
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)
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@ -60,6 +60,7 @@ class PaperBoi:
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_buys: bidict
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_sells: bidict
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_reqids: bidict
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_positions: dict[str, BrokerdPosition]
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# init edge case L1 spread
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last_ask: Tuple[float, float] = (float('inf'), 0) # price, size
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@ -101,6 +102,9 @@ class PaperBoi:
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# in the broker trades event processing loop
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await trio.sleep(0.05)
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if action == 'sell':
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size = -size
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msg = BrokerdStatus(
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status='submitted',
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reqid=reqid,
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@ -118,7 +122,7 @@ class PaperBoi:
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) or (
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action == 'sell' and (clear_price := self.last_bid[0]) >= price
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):
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await self.fake_fill(clear_price, size, action, reqid, oid)
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await self.fake_fill(symbol, clear_price, size, action, reqid, oid)
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else:
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# register this submissions as a paper live order
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@ -170,6 +174,8 @@ class PaperBoi:
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async def fake_fill(
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self,
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symbol: str,
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price: float,
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size: float,
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action: str, # one of {'buy', 'sell'}
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@ -181,6 +187,7 @@ class PaperBoi:
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# remaining lots to fill
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order_complete: bool = True,
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remaining: float = 0,
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) -> None:
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"""Pretend to fill a broker order @ price and size.
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@ -232,6 +239,49 @@ class PaperBoi:
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)
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await self.ems_trades_stream.send(msg.dict())
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# lookup any existing position
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token = f'{symbol}.{self.broker}'
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pp_msg = self._positions.setdefault(
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token,
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BrokerdPosition(
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broker=self.broker,
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account='paper',
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symbol=symbol,
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# TODO: we need to look up the asset currency from
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# broker info. i guess for crypto this can be
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# inferred from the pair?
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currency='',
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size=0.0,
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avg_price=0,
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)
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)
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# "avg position price" calcs
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# TODO: eventually it'd be nice to have a small set of routines
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# to do this stuff from a sequence of cleared orders to enable
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# so called "contextual positions".
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new_size = size + pp_msg.size
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# old size minus the new size gives us size differential with
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# +ve -> increase in pp size
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# -ve -> decrease in pp size
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size_diff = abs(new_size) - abs(pp_msg.size)
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if new_size == 0:
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pp_msg.avg_price = 0
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elif size_diff > 0:
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# only update the "average position price" when the position
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# size increases not when it decreases (i.e. the position is
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# being made smaller)
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pp_msg.avg_price = (
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abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
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) / abs(new_size)
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pp_msg.size = new_size
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await self.ems_trades_stream.send(pp_msg.dict())
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async def simulate_fills(
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quote_stream: 'tractor.ReceiveStream', # noqa
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@ -255,6 +305,7 @@ async def simulate_fills(
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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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@ -274,6 +325,7 @@ async def simulate_fills(
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)
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orders = client._buys.get(sym, {})
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book_sequence = reversed(
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sorted(orders.keys(), key=itemgetter(1)))
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@ -307,6 +359,7 @@ async def simulate_fills(
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# clearing price would have filled entirely
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await client.fake_fill(
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symbol=sym,
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# todo slippage to determine fill price
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price=tick_price,
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size=size,
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@ -411,6 +464,9 @@ async def trades_dialogue(
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_sells={},
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_reqids={},
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# TODO: load paper positions from ``positions.toml``
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_positions={},
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)
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n.start_soon(handle_order_requests, client, ems_stream)
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@ -452,10 +508,5 @@ async def open_paperboi(
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loglevel=loglevel,
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) as (ctx, first):
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try:
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yield ctx, first
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finally:
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# be sure to tear down the paper service on exit
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with trio.CancelScope(shield=True):
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await portal.cancel_actor()
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yield ctx, first
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@ -26,9 +26,11 @@ import numpy as np
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def mk_marker(
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style,
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size: float = 20.0,
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use_qgpath: bool = True,
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) -> QGraphicsPathItem:
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"""Add a marker to be displayed on the line wrapped in a ``QGraphicsPathItem``
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ready to be placed using scene coordinates (not view).
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@ -40,13 +40,13 @@ from ._axes import (
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PriceAxis,
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YAxisLabel,
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)
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from ._graphics._cursor import (
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from ._cursor import (
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Cursor,
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ContentsLabel,
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)
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from ._l1 import L1Labels
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from ._graphics._ohlc import BarItems
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from ._graphics._curve import FastAppendCurve
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from ._ohlc import BarItems
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from ._curve import FastAppendCurve
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from ._style import (
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hcolor,
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CHART_MARGINS,
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@ -296,7 +296,7 @@ class LinkedSplits(QtWidgets.QWidget):
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def set_split_sizes(
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self,
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prop: float = 0.28 # proportion allocated to consumer subcharts
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prop: float = 0.375 # proportion allocated to consumer subcharts
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) -> None:
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"""Set the proportion of space allocated for linked subcharts.
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"""
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@ -1317,7 +1317,7 @@ async def run_fsp(
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# graphics.curve.setFillLevel(50)
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if fsp_func_name == 'rsi':
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from ._graphics._lines import level_line
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from ._lines import level_line
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# add moveable over-[sold/bought] lines
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# and labels only for the 70/30 lines
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level_line(chart, 20)
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@ -27,13 +27,13 @@ import pyqtgraph as pg
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from PyQt5 import QtCore, QtGui, QtWidgets
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from PyQt5.QtCore import QPointF, QRectF
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from .._style import (
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from ._style import (
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_xaxis_at,
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hcolor,
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_font_small,
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)
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from .._axes import YAxisLabel, XAxisLabel
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from ...log import get_logger
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from ._axes import YAxisLabel, XAxisLabel
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from ..log import get_logger
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log = get_logger(__name__)
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@ -23,7 +23,7 @@ from typing import Tuple
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import pyqtgraph as pg
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from PyQt5 import QtCore, QtGui, QtWidgets
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from ..._profile import pg_profile_enabled
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from .._profile import pg_profile_enabled
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# TODO: got a feeling that dropping this inheritance gets us even more speedups
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@ -28,7 +28,7 @@ from PyQt5.QtCore import QPointF
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import numpy as np
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from ._style import hcolor, _font
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from ._graphics._lines import order_line, LevelLine
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from ._lines import order_line, LevelLine
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from ..log import get_logger
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@ -237,7 +237,6 @@ class LineEditor:
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log.warning(f'No line for {uuid} could be found?')
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return
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else:
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assert line.oid == uuid
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line.show_labels()
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# TODO: other flashy things to indicate the order is active
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@ -260,18 +259,16 @@ class LineEditor:
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self,
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line: LevelLine = None,
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uuid: str = None,
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) -> LevelLine:
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"""Remove a line by refernce or uuid.
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) -> Optional[LevelLine]:
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'''Remove a line by refernce or uuid.
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If no lines or ids are provided remove all lines under the
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cursor position.
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"""
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if line:
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uuid = line.oid
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'''
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# try to look up line from our registry
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line = self._order_lines.pop(uuid, None)
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line = self._order_lines.pop(uuid, line)
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if line:
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# if hovered remove from cursor set
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@ -284,8 +281,13 @@ class LineEditor:
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# just because we never got a un-hover event
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cursor.show_xhair()
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log.debug(f'deleting {line} with oid: {uuid}')
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line.delete()
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return line
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else:
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log.warning(f'Could not find line for {line}')
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return line
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class SelectRect(QtGui.QGraphicsRectItem):
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@ -1,20 +0,0 @@
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# piker: trading gear for hackers
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# Copyright (C) 2018-present Tyler Goodlet (in stewardship of piker0)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Internal custom graphics mostly built for low latency and reuse.
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"""
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@ -26,9 +26,9 @@ from pyqtgraph import Point, functions as fn
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from PyQt5 import QtCore, QtGui, QtWidgets
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from PyQt5.QtCore import QPointF
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from .._annotate import mk_marker, qgo_draw_markers
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from .._label import Label, vbr_left, right_axis
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from .._style import hcolor, _font
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from ._annotate import mk_marker, qgo_draw_markers
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from ._label import Label, vbr_left, right_axis
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from ._style import hcolor, _font
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# TODO: probably worth investigating if we can
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@ -352,6 +352,21 @@ class LevelLine(pg.InfiniteLine):
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return up_to_l1_sc
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def marker_right_points(self) -> (float, float, float):
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chart = self._chart
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l1_len = chart._max_l1_line_len
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ryaxis = chart.getAxis('right')
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r_axis_x = ryaxis.pos().x()
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up_to_l1_sc = r_axis_x - l1_len
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size = self._default_mkr_size
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marker_right = up_to_l1_sc - (1.375 * 2*size)
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line_end = marker_right - (6/16 * size)
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return line_end, marker_right, r_axis_x
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def paint(
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self,
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p: QtGui.QPainter,
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@ -366,26 +381,14 @@ class LevelLine(pg.InfiniteLine):
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# these are in viewbox coords
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vb_left, vb_right = self._endPoints
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chart = self._chart
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l1_len = chart._max_l1_line_len
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ryaxis = chart.getAxis('right')
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r_axis_x = ryaxis.pos().x()
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up_to_l1_sc = r_axis_x - l1_len
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vb = self.getViewBox()
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size = self._default_mkr_size
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marker_right = up_to_l1_sc - (1.375 * 2*size)
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line_end = marker_right - (6/16 * size)
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line_end, marker_right, r_axis_x = self.marker_right_points()
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if self.show_markers and self.markers:
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size = self.markers[0][2]
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p.setPen(self.pen)
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size = qgo_draw_markers(
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qgo_draw_markers(
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self.markers,
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self.pen.color(),
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p,
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@ -438,9 +441,8 @@ class LevelLine(pg.InfiniteLine):
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path: QtWidgets.QGraphicsPathItem,
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) -> None:
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# chart = self._chart
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vb = self.getViewBox()
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vb.scene().addItem(path)
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# add path to scene
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self.getViewBox().scene().addItem(path)
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self._marker = path
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@ -758,27 +760,31 @@ def position_line(
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vr = vb.state['viewRange']
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ymn, ymx = vr[1]
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level = line.value()
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path = line._marker
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if gt := level > ymx or (lt := level < ymn):
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# provide "nav hub" like indicator for where
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# the position is on the y-dimension
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# print(path._height)
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# print(vb.shape())
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# print(vb.boundingRect())
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# print(vb.height())
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_, marker_right, _ = line.marker_right_points()
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if chartview.mode.name == 'order':
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if level > ymx: # pin to top of view
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path.setPos(
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QPointF(
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marker_right,
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2 + path._height,
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)
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)
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# provide "nav hub" like indicator for where
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# the position is on the y-dimension
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if gt:
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# pin to top of view since position is above current
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# y-range
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pass
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elif lt:
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# pin to bottom of view since position is above
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# below y-range
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pass
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else:
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# order mode is not active
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# so hide the pp market
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line._marker.hide()
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elif level < ymn: # pin to bottom of view
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path.setPos(
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QPointF(
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marker_right,
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vb.height() - 16 + path._height,
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)
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)
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else:
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# pp line is viewable so show marker
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@ -812,6 +818,10 @@ def position_line(
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style = '>|'
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arrow_path = mk_marker(style, size=arrow_size)
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# monkey-cache height for sizing on pp nav-hub
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arrow_path._height = arrow_path.boundingRect().height()
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# XXX: uses new marker drawing approach
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line.add_marker(arrow_path)
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line.set_level(level)
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@ -27,8 +27,8 @@ from PyQt5.QtCore import QLineF, QPointF
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# from numba import types as ntypes
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# from ..data._source import numba_ohlc_dtype
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from ..._profile import pg_profile_enabled
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from .._style import hcolor
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from .._profile import pg_profile_enabled
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from ._style import hcolor
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def _mk_lines_array(
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@ -29,7 +29,7 @@ import pyqtgraph as pg
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from pydantic import BaseModel
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import trio
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from ._graphics._lines import LevelLine, position_line
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from ._lines import LevelLine, position_line
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from ._editors import LineEditor, ArrowEditor
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from ._window import MultiStatus, main_window
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from ..clearing._client import open_ems, OrderBook
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@ -41,12 +41,31 @@ log = get_logger(__name__)
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class Position(BaseModel):
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'''Basic pp representation with attached fills history.
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'''
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symbol: Symbol
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size: float
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avg_price: float
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avg_price: float # TODO: contextual pricing
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fills: Dict[str, Any] = {}
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class OrderDialog(BaseModel):
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'''Trade dialogue meta-data describing the lifetime
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of an order submission to ``emsd`` from a chart.
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'''
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uuid: str
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line: LevelLine
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last_status_close: Callable = lambda: None
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msgs: dict[str, dict] = {}
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fills: Dict[str, Any] = {}
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class Config:
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arbitrary_types_allowed = True
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underscore_attrs_are_private = False
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|
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|
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@dataclass
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class OrderMode:
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'''Major mode for placing orders on a chart view.
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|
|
@ -60,8 +79,8 @@ class OrderMode:
|
|||
Current manual:
|
||||
a -> alert
|
||||
s/ctrl -> submission type modifier {on: live, off: dark}
|
||||
f (fill) -> buy limit order
|
||||
d (dump) -> sell limit order
|
||||
f (fill) -> 'buy' limit order
|
||||
d (dump) -> 'sell' limit order
|
||||
c (cancel) -> cancel order under cursor
|
||||
cc -> cancel all submitted orders on chart
|
||||
mouse click and drag -> modify current order under cursor
|
||||
|
|
@ -85,8 +104,7 @@ class OrderMode:
|
|||
_position: Dict[str, Any] = field(default_factory=dict)
|
||||
_position_line: dict = None
|
||||
|
||||
_pending_submissions: dict[str, (LevelLine, Callable)] = field(
|
||||
default_factory=dict)
|
||||
dialogs: dict[str, OrderDialog] = field(default_factory=dict)
|
||||
|
||||
def on_position_update(
|
||||
self,
|
||||
|
|
@ -139,33 +157,34 @@ class OrderMode:
|
|||
action=action,
|
||||
)
|
||||
|
||||
def on_submit(self, uuid: str) -> dict:
|
||||
"""On order submitted event, commit the order line
|
||||
and registered order uuid, store ack time stamp.
|
||||
def on_submit(self, uuid: str) -> OrderDialog:
|
||||
'''Order submitted status event handler.
|
||||
|
||||
TODO: annotate order line with submission type ('live' vs.
|
||||
'dark').
|
||||
Commit the order line and registered order uuid, store ack time stamp.
|
||||
|
||||
"""
|
||||
'''
|
||||
line = self.lines.commit_line(uuid)
|
||||
|
||||
pending = self._pending_submissions.get(uuid)
|
||||
if pending:
|
||||
order_line, func = pending
|
||||
assert order_line is line
|
||||
func()
|
||||
# a submission is the start of a new order dialog
|
||||
dialog = self.dialogs[uuid]
|
||||
dialog.line = line
|
||||
dialog.last_status_close()
|
||||
|
||||
return line
|
||||
return dialog
|
||||
|
||||
def on_fill(
|
||||
|
||||
self,
|
||||
uuid: str,
|
||||
price: float,
|
||||
arrow_index: float,
|
||||
pointing: Optional[str] = None
|
||||
pointing: Optional[str] = None,
|
||||
# delete_line: bool = False,
|
||||
|
||||
) -> None:
|
||||
|
||||
line = self.lines._order_lines.get(uuid)
|
||||
dialog = self.dialogs[uuid]
|
||||
line = dialog.line
|
||||
if line:
|
||||
self.arrows.add(
|
||||
uuid,
|
||||
|
|
@ -174,6 +193,8 @@ class OrderMode:
|
|||
pointing=pointing,
|
||||
color=line.color
|
||||
)
|
||||
else:
|
||||
log.warn("No line for order {uuid}!?")
|
||||
|
||||
async def on_exec(
|
||||
self,
|
||||
|
|
@ -181,11 +202,6 @@ class OrderMode:
|
|||
msg: Dict[str, Any],
|
||||
) -> None:
|
||||
|
||||
# only once all fills have cleared and the execution
|
||||
# is complet do we remove our "order line"
|
||||
line = self.lines.remove_line(uuid=uuid)
|
||||
log.debug(f'deleting {line} with oid: {uuid}')
|
||||
|
||||
# DESKTOP NOTIFICATIONS
|
||||
#
|
||||
# TODO: this in another task?
|
||||
|
|
@ -212,10 +228,9 @@ class OrderMode:
|
|||
self.lines.remove_line(uuid=uuid)
|
||||
self.chart.linked.cursor.show_xhair()
|
||||
|
||||
pending = self._pending_submissions.pop(uuid, None)
|
||||
if pending:
|
||||
order_line, func = pending
|
||||
func()
|
||||
dialog = self.dialogs.pop(uuid, None)
|
||||
if dialog:
|
||||
dialog.last_status_close()
|
||||
else:
|
||||
log.warning(
|
||||
f'Received cancel for unsubmitted order {pformat(msg)}'
|
||||
|
|
@ -225,7 +240,7 @@ class OrderMode:
|
|||
self,
|
||||
size: Optional[float] = None,
|
||||
|
||||
) -> LevelLine:
|
||||
) -> OrderDialog:
|
||||
"""Send execution order to EMS return a level line to
|
||||
represent the order on a chart.
|
||||
|
||||
|
|
@ -234,7 +249,7 @@ class OrderMode:
|
|||
# to be displayed when above order ack arrives
|
||||
# (means the line graphic doesn't show on screen until the
|
||||
# order is live in the emsd).
|
||||
uid = str(uuid.uuid4())
|
||||
oid = str(uuid.uuid4())
|
||||
|
||||
size = size or self._size
|
||||
|
||||
|
|
@ -246,9 +261,46 @@ class OrderMode:
|
|||
|
||||
action = self._action
|
||||
|
||||
# TODO: update the line once an ack event comes back
|
||||
# from the EMS!
|
||||
|
||||
# TODO: place a grey line in "submission" mode
|
||||
# which will be updated to it's appropriate action
|
||||
# color once the submission ack arrives.
|
||||
|
||||
# make line graphic if order push was sucessful
|
||||
line = self.lines.create_order_line(
|
||||
oid,
|
||||
level=y,
|
||||
chart=chart,
|
||||
size=size,
|
||||
action=action,
|
||||
)
|
||||
|
||||
dialog = OrderDialog(
|
||||
uuid=oid,
|
||||
line=line,
|
||||
last_status_close=self.status_bar.open_status(
|
||||
f'submitting {self._exec_mode}-{action}',
|
||||
final_msg=f'submitted {self._exec_mode}-{action}',
|
||||
clear_on_next=True,
|
||||
)
|
||||
)
|
||||
|
||||
# TODO: create a new ``OrderLine`` with this optional var defined
|
||||
line.dialog = dialog
|
||||
|
||||
# enter submission which will be popped once a response
|
||||
# from the EMS is received to move the order to a different# status
|
||||
self.dialogs[oid] = dialog
|
||||
|
||||
# hook up mouse drag handlers
|
||||
line._on_drag_start = self.order_line_modify_start
|
||||
line._on_drag_end = self.order_line_modify_complete
|
||||
|
||||
# send order cmd to ems
|
||||
self.book.send(
|
||||
uuid=uid,
|
||||
uuid=oid,
|
||||
symbol=symbol.key,
|
||||
brokers=symbol.brokers,
|
||||
price=y,
|
||||
|
|
@ -257,36 +309,7 @@ class OrderMode:
|
|||
exec_mode=self._exec_mode,
|
||||
)
|
||||
|
||||
# TODO: update the line once an ack event comes back
|
||||
# from the EMS!
|
||||
|
||||
# make line graphic if order push was
|
||||
# sucessful
|
||||
line = self.lines.create_order_line(
|
||||
uid,
|
||||
level=y,
|
||||
chart=chart,
|
||||
size=size,
|
||||
action=action,
|
||||
)
|
||||
line.oid = uid
|
||||
|
||||
# enter submission which will be popped once a response
|
||||
# from the EMS is received to move the order to a different# status
|
||||
self._pending_submissions[uid] = (
|
||||
line,
|
||||
self.status_bar.open_status(
|
||||
f'submitting {self._exec_mode}-{action}',
|
||||
final_msg=f'submitted {self._exec_mode}-{action}',
|
||||
clear_on_next=True,
|
||||
)
|
||||
)
|
||||
|
||||
# hook up mouse drag handlers
|
||||
line._on_drag_start = self.order_line_modify_start
|
||||
line._on_drag_end = self.order_line_modify_complete
|
||||
|
||||
return line
|
||||
return dialog
|
||||
|
||||
def cancel_orders_under_cursor(self) -> list[str]:
|
||||
return self.cancel_orders_from_lines(
|
||||
|
|
@ -317,16 +340,16 @@ class OrderMode:
|
|||
|
||||
# cancel all active orders and triggers
|
||||
for line in lines:
|
||||
oid = getattr(line, 'oid', None)
|
||||
dialog = getattr(line, 'dialog', None)
|
||||
|
||||
if oid:
|
||||
self._pending_submissions[oid] = (
|
||||
line,
|
||||
self.status_bar.open_status(
|
||||
f'cancelling order {oid[:6]}',
|
||||
group_key=key,
|
||||
),
|
||||
if dialog:
|
||||
oid = dialog.uuid
|
||||
|
||||
cancel_status_close = self.status_bar.open_status(
|
||||
f'cancelling order {oid[:6]}',
|
||||
group_key=key,
|
||||
)
|
||||
dialog.last_status_close = cancel_status_close
|
||||
|
||||
ids.append(oid)
|
||||
self.book.cancel(uuid=oid)
|
||||
|
|
@ -338,16 +361,20 @@ class OrderMode:
|
|||
def order_line_modify_start(
|
||||
self,
|
||||
line: LevelLine,
|
||||
|
||||
) -> None:
|
||||
|
||||
print(f'Line modify: {line}')
|
||||
# cancel original order until new position is found
|
||||
|
||||
def order_line_modify_complete(
|
||||
self,
|
||||
line: LevelLine,
|
||||
|
||||
) -> None:
|
||||
|
||||
self.book.update(
|
||||
uuid=line.oid,
|
||||
uuid=line.dialog.uuid,
|
||||
|
||||
# TODO: should we round this to a nearest tick here?
|
||||
price=line.value(),
|
||||
|
|
@ -464,6 +491,10 @@ async def start_order_mode(
|
|||
resp = msg['resp']
|
||||
oid = msg['oid']
|
||||
|
||||
dialog = order_mode.dialogs[oid]
|
||||
# record message to dialog tracking
|
||||
dialog.msgs[oid] = msg
|
||||
|
||||
# response to 'action' request (buy/sell)
|
||||
if resp in (
|
||||
'dark_submitted',
|
||||
|
|
@ -496,16 +527,21 @@ async def start_order_mode(
|
|||
order_mode.on_fill(
|
||||
oid,
|
||||
price=msg['trigger_price'],
|
||||
arrow_index=get_index(time.time())
|
||||
arrow_index=get_index(time.time()),
|
||||
)
|
||||
order_mode.lines.remove_line(uuid=oid)
|
||||
await order_mode.on_exec(oid, msg)
|
||||
|
||||
# response to completed 'action' request for buy/sell
|
||||
elif resp in (
|
||||
'broker_executed',
|
||||
):
|
||||
# right now this is just triggering a system alert
|
||||
await order_mode.on_exec(oid, msg)
|
||||
|
||||
if msg['brokerd_msg']['remaining'] == 0:
|
||||
order_mode.lines.remove_line(uuid=oid)
|
||||
|
||||
# each clearing tick is responded individually
|
||||
elif resp in ('broker_filled',):
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue