Merge pull request #218 from pikers/paper_pp_tracking

Paper pp tracking

piker/brokers/ib.py

@@ -1419,6 +1419,7 @@ async def trades_dialogue(
             # - short-sale but securities haven't been located, in this
             #   case we should probably keep the order in some kind of
             #   weird state or cancel it outright?
+
             # status='PendingSubmit', message=''),
             # status='Cancelled', message='Error 404,
             #   reqId 1550: Order held while securities are located.'),

piker/clearing/_paper_engine.py

@@ -35,7 +35,7 @@ from ..data._normalize import iterticks
 from ..log import get_logger
 from ._messages import (
     BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
-    BrokerdFill,
+    BrokerdFill, BrokerdPosition,
 )
 
 
@@ -60,6 +60,7 @@ class PaperBoi:
     _buys: bidict
     _sells: bidict
     _reqids: bidict
+    _positions: dict[str, BrokerdPosition]
 
     # init edge case L1 spread
     last_ask: Tuple[float, float] = (float('inf'), 0)  # price, size
@@ -101,6 +102,9 @@ class PaperBoi:
         # in the broker trades event processing loop
         await trio.sleep(0.05)
 
+        if action == 'sell':
+            size = -size
+
         msg = BrokerdStatus(
             status='submitted',
             reqid=reqid,
@@ -118,7 +122,7 @@ class PaperBoi:
             ) or (
             action == 'sell' and (clear_price := self.last_bid[0]) >= price
         ):
-            await self.fake_fill(clear_price, size, action, reqid, oid)
+            await self.fake_fill(symbol, clear_price, size, action, reqid, oid)
 
         else:
             # register this submissions as a paper live order
@@ -170,6 +174,8 @@ class PaperBoi:
 
     async def fake_fill(
         self,
+
+        symbol: str,
         price: float,
         size: float,
         action: str,  # one of {'buy', 'sell'}
@@ -181,6 +187,7 @@ class PaperBoi:
         # remaining lots to fill
         order_complete: bool = True,
         remaining: float = 0,
+
     ) -> None:
         """Pretend to fill a broker order @ price and size.
 
@@ -232,6 +239,49 @@ class PaperBoi:
             )
             await self.ems_trades_stream.send(msg.dict())
 
+        # lookup any existing position
+        token = f'{symbol}.{self.broker}'
+        pp_msg = self._positions.setdefault(
+            token,
+            BrokerdPosition(
+                broker=self.broker,
+                account='paper',
+                symbol=symbol,
+                # TODO: we need to look up the asset currency from
+                # broker info. i guess for crypto this can be
+                # inferred from the pair?
+                currency='',
+                size=0.0,
+                avg_price=0,
+            )
+        )
+
+        # "avg position price" calcs
+        # TODO: eventually it'd be nice to have a small set of routines
+        # to do this stuff from a sequence of cleared orders to enable
+        # so called "contextual positions".
+        new_size = size + pp_msg.size
+
+        # old size minus the new size gives us size differential with
+        # +ve -> increase in pp size
+        # -ve -> decrease in pp size
+        size_diff = abs(new_size) - abs(pp_msg.size)
+
+        if new_size == 0:
+            pp_msg.avg_price = 0
+
+        elif size_diff > 0:
+            # only update the "average position price" when the position
+            # size increases not when it decreases (i.e. the position is
+            # being made smaller)
+            pp_msg.avg_price = (
+                abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
+            ) / abs(new_size)
+
+        pp_msg.size = new_size
+
+        await self.ems_trades_stream.send(pp_msg.dict())
+
 
 async def simulate_fills(
     quote_stream: 'tractor.ReceiveStream',  # noqa
@@ -255,6 +305,7 @@ async def simulate_fills(
 
     # this stream may eventually contain multiple symbols
     async for quotes in quote_stream:
+
         for sym, quote in quotes.items():
 
             for tick in iterticks(
@@ -274,6 +325,7 @@ async def simulate_fills(
                     )
 
                     orders = client._buys.get(sym, {})
+
                     book_sequence = reversed(
                         sorted(orders.keys(), key=itemgetter(1)))
 
@@ -307,6 +359,7 @@ async def simulate_fills(
 
                         # clearing price would have filled entirely
                         await client.fake_fill(
+                            symbol=sym,
                             # todo slippage to determine fill price
                             price=tick_price,
                             size=size,
@@ -411,6 +464,9 @@ async def trades_dialogue(
                 _sells={},
 
                 _reqids={},
+
+                # TODO: load paper positions from ``positions.toml``
+                _positions={},
             )
 
             n.start_soon(handle_order_requests, client, ems_stream)
@@ -452,10 +508,5 @@ async def open_paperboi(
                 loglevel=loglevel,
 
         ) as (ctx, first):
-            try:
-                yield ctx, first
 
-            finally:
+            yield ctx, first
-                # be sure to tear down the paper service on exit
-                with trio.CancelScope(shield=True):
-                    await portal.cancel_actor()

piker/ui/_annotate.py

@@ -26,9 +26,11 @@ import numpy as np
 
 
 def mk_marker(
+
     style,
     size: float = 20.0,
     use_qgpath: bool = True,
+
 ) -> QGraphicsPathItem:
     """Add a marker to be displayed on the line wrapped in a ``QGraphicsPathItem``
     ready to be placed using scene coordinates (not view).

piker/ui/_chart.py

@@ -40,13 +40,13 @@ from ._axes import (
     PriceAxis,
     YAxisLabel,
 )
-from ._graphics._cursor import (
+from ._cursor import (
     Cursor,
     ContentsLabel,
 )
 from ._l1 import L1Labels
-from ._graphics._ohlc import BarItems
+from ._ohlc import BarItems
-from ._graphics._curve import FastAppendCurve
+from ._curve import FastAppendCurve
 from ._style import (
     hcolor,
     CHART_MARGINS,
@@ -296,7 +296,7 @@ class LinkedSplits(QtWidgets.QWidget):
 
     def set_split_sizes(
         self,
-        prop: float = 0.28  # proportion allocated to consumer subcharts
+        prop: float = 0.375  # proportion allocated to consumer subcharts
     ) -> None:
         """Set the proportion of space allocated for linked subcharts.
         """
@@ -1317,7 +1317,7 @@ async def run_fsp(
         # graphics.curve.setFillLevel(50)
 
         if fsp_func_name == 'rsi':
-            from ._graphics._lines import level_line
+            from ._lines import level_line
             # add moveable over-[sold/bought] lines
             # and labels only for the 70/30 lines
             level_line(chart, 20)

piker/ui/_cursor.py

@@ -27,13 +27,13 @@ import pyqtgraph as pg
 from PyQt5 import QtCore, QtGui, QtWidgets
 from PyQt5.QtCore import QPointF, QRectF
 
-from .._style import (
+from ._style import (
     _xaxis_at,
     hcolor,
     _font_small,
 )
-from .._axes import YAxisLabel, XAxisLabel
+from ._axes import YAxisLabel, XAxisLabel
-from ...log import get_logger
+from ..log import get_logger
 
 
 log = get_logger(__name__)

piker/ui/_curve.py

@@ -23,7 +23,7 @@ from typing import Tuple
 import pyqtgraph as pg
 from PyQt5 import QtCore, QtGui, QtWidgets
 
-from ..._profile import pg_profile_enabled
+from .._profile import pg_profile_enabled
 
 
 # TODO: got a feeling that dropping this inheritance gets us even more speedups

piker/ui/_editors.py

@@ -28,7 +28,7 @@ from PyQt5.QtCore import QPointF
 import numpy as np
 
 from ._style import hcolor, _font
-from ._graphics._lines import order_line, LevelLine
+from ._lines import order_line, LevelLine
 from ..log import get_logger
 
 
@@ -237,7 +237,6 @@ class LineEditor:
             log.warning(f'No line for {uuid} could be found?')
             return
         else:
-            assert line.oid == uuid
             line.show_labels()
 
             # TODO: other flashy things to indicate the order is active
@@ -260,18 +259,16 @@ class LineEditor:
         self,
         line: LevelLine = None,
         uuid: str = None,
-    ) -> LevelLine:
+
-        """Remove a line by refernce or uuid.
+    ) -> Optional[LevelLine]:
+        '''Remove a line by refernce or uuid.
 
         If no lines or ids are provided remove all lines under the
         cursor position.
 
-        """
+        '''
-        if line:
-            uuid = line.oid
-
         # try to look up line from our registry
-        line = self._order_lines.pop(uuid, None)
+        line = self._order_lines.pop(uuid, line)
         if line:
 
             # if hovered remove from cursor set
@@ -284,8 +281,13 @@ class LineEditor:
                 # just because we never got a un-hover event
                 cursor.show_xhair()
 
+            log.debug(f'deleting {line} with oid: {uuid}')
             line.delete()
-            return line
+
+        else:
+            log.warning(f'Could not find line for {line}')
+
+        return line
 
 
 class SelectRect(QtGui.QGraphicsRectItem):

piker/ui/_graphics/__init__.py

@@ -1,20 +0,0 @@
-# piker: trading gear for hackers
-# Copyright (C) 2018-present  Tyler Goodlet (in stewardship of piker0)
-
-# This program is free software: you can redistribute it and/or modify
-# it under the terms of the GNU Affero General Public License as published by
-# the Free Software Foundation, either version 3 of the License, or
-# (at your option) any later version.
-
-# This program is distributed in the hope that it will be useful,
-# but WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-# GNU Affero General Public License for more details.
-
-# You should have received a copy of the GNU Affero General Public License
-# along with this program.  If not, see <https://www.gnu.org/licenses/>.
-
-"""
-Internal custom graphics mostly built for low latency and reuse.
-
-"""

piker/ui/_lines.py

@@ -26,9 +26,9 @@ from pyqtgraph import Point, functions as fn
 from PyQt5 import QtCore, QtGui, QtWidgets
 from PyQt5.QtCore import QPointF
 
-from .._annotate import mk_marker, qgo_draw_markers
+from ._annotate import mk_marker, qgo_draw_markers
-from .._label import Label, vbr_left, right_axis
+from ._label import Label, vbr_left, right_axis
-from .._style import hcolor, _font
+from ._style import hcolor, _font
 
 
 # TODO: probably worth investigating if we can
@@ -352,6 +352,21 @@ class LevelLine(pg.InfiniteLine):
 
         return up_to_l1_sc
 
+    def marker_right_points(self) -> (float, float, float):
+
+        chart = self._chart
+        l1_len = chart._max_l1_line_len
+        ryaxis = chart.getAxis('right')
+
+        r_axis_x = ryaxis.pos().x()
+        up_to_l1_sc = r_axis_x - l1_len
+
+        size = self._default_mkr_size
+        marker_right = up_to_l1_sc - (1.375 * 2*size)
+        line_end = marker_right - (6/16 * size)
+
+        return line_end, marker_right, r_axis_x
+
     def paint(
         self,
         p: QtGui.QPainter,
@@ -366,26 +381,14 @@ class LevelLine(pg.InfiniteLine):
 
         # these are in viewbox coords
         vb_left, vb_right = self._endPoints
-
-        chart = self._chart
-        l1_len = chart._max_l1_line_len
-        ryaxis = chart.getAxis('right')
-
-        r_axis_x = ryaxis.pos().x()
-        up_to_l1_sc = r_axis_x - l1_len
-
         vb = self.getViewBox()
 
-        size = self._default_mkr_size
+        line_end, marker_right, r_axis_x = self.marker_right_points()
-        marker_right = up_to_l1_sc - (1.375 * 2*size)
-        line_end = marker_right - (6/16 * size)
 
         if self.show_markers and self.markers:
 
-            size = self.markers[0][2]
-
             p.setPen(self.pen)
-            size = qgo_draw_markers(
+            qgo_draw_markers(
                 self.markers,
                 self.pen.color(),
                 p,
@@ -438,9 +441,8 @@ class LevelLine(pg.InfiniteLine):
         path: QtWidgets.QGraphicsPathItem,
     ) -> None:
 
-        # chart = self._chart
+        # add path to scene
-        vb = self.getViewBox()
+        self.getViewBox().scene().addItem(path)
-        vb.scene().addItem(path)
 
         self._marker = path
 
@@ -758,27 +760,31 @@ def position_line(
         vr = vb.state['viewRange']
         ymn, ymx = vr[1]
         level = line.value()
+        path = line._marker
 
-        if gt := level > ymx or (lt := level < ymn):
+        # provide "nav hub" like indicator for where
+        # the position is on the y-dimension
+        # print(path._height)
+        # print(vb.shape())
+        # print(vb.boundingRect())
+        # print(vb.height())
+        _, marker_right, _ = line.marker_right_points()
 
-            if chartview.mode.name == 'order':
+        if level > ymx:  # pin to top of view
+            path.setPos(
+                QPointF(
+                    marker_right,
+                    2 + path._height,
+                )
+            )
 
-                # provide "nav hub" like indicator for where
+        elif level < ymn:  # pin to bottom of view
-                # the position is on the y-dimension
+            path.setPos(
-                if gt:
+                QPointF(
-                    # pin to top of view since position is above current
+                    marker_right,
-                    # y-range
+                    vb.height() - 16 + path._height,
-                    pass
+                )
-
+            )
-                elif lt:
-                    # pin to bottom of view since position is above
-                    # below y-range
-                    pass
-
-            else:
-                # order mode is not active
-                # so hide the pp market
-                line._marker.hide()
 
         else:
             # pp line is viewable so show marker
@@ -812,6 +818,10 @@ def position_line(
         style = '>|'
 
     arrow_path = mk_marker(style, size=arrow_size)
+
+    # monkey-cache height for sizing on pp nav-hub
+    arrow_path._height = arrow_path.boundingRect().height()
+
     # XXX: uses new marker drawing approach
     line.add_marker(arrow_path)
     line.set_level(level)

piker/ui/_ohlc.py

@@ -27,8 +27,8 @@ from PyQt5.QtCore import QLineF, QPointF
 # from numba import types as ntypes
 # from ..data._source import numba_ohlc_dtype
 
-from ..._profile import pg_profile_enabled
+from .._profile import pg_profile_enabled
-from .._style import hcolor
+from ._style import hcolor
 
 
 def _mk_lines_array(

piker/ui/order_mode.py

@@ -29,7 +29,7 @@ import pyqtgraph as pg
 from pydantic import BaseModel
 import trio
 
-from ._graphics._lines import LevelLine, position_line
+from ._lines import LevelLine, position_line
 from ._editors import LineEditor, ArrowEditor
 from ._window import MultiStatus, main_window
 from ..clearing._client import open_ems, OrderBook
@@ -41,12 +41,31 @@ log = get_logger(__name__)
 
 
 class Position(BaseModel):
+    '''Basic pp representation with attached fills history.
+
+    '''
     symbol: Symbol
     size: float
-    avg_price: float
+    avg_price: float  # TODO: contextual pricing
     fills: Dict[str, Any] = {}
 
 
+class OrderDialog(BaseModel):
+    '''Trade dialogue meta-data describing the lifetime
+    of an order submission to ``emsd`` from a chart.
+
+    '''
+    uuid: str
+    line: LevelLine
+    last_status_close: Callable = lambda: None
+    msgs: dict[str, dict] = {}
+    fills: Dict[str, Any] = {}
+
+    class Config:
+        arbitrary_types_allowed = True
+        underscore_attrs_are_private = False
+
+
 @dataclass
 class OrderMode:
     '''Major mode for placing orders on a chart view.
@@ -60,8 +79,8 @@ class OrderMode:
     Current manual:
         a -> alert
         s/ctrl -> submission type modifier {on: live, off: dark}
-        f (fill) -> buy limit order
+        f (fill) -> 'buy' limit order
-        d (dump) -> sell 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(
+    dialogs: dict[str, OrderDialog] = field(default_factory=dict)
-        default_factory=dict)
 
     def on_position_update(
         self,
@@ -139,33 +157,34 @@ class OrderMode:
             action=action,
         )
 
-    def on_submit(self, uuid: str) -> dict:
+    def on_submit(self, uuid: str) -> OrderDialog:
-        """On order submitted event, commit the order line
+        '''Order submitted status event handler.
-        and registered order uuid, store ack time stamp.
 
-        TODO: annotate order line with submission type ('live' vs.
+        Commit the order line and registered order uuid, store ack time stamp.
-        'dark').
 
-        """
+        '''
         line = self.lines.commit_line(uuid)
 
-        pending = self._pending_submissions.get(uuid)
+        # a submission is the start of a new order dialog
-        if pending:
+        dialog = self.dialogs[uuid]
-            order_line, func = pending
+        dialog.line = line
-            assert order_line is line
+        dialog.last_status_close()
-            func()
 
-        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)
+            dialog = self.dialogs.pop(uuid, None)
-            if pending:
+            if dialog:
-                order_line, func = pending
+                dialog.last_status_close()
-                func()
         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
+        return dialog
-        # 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
 
     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:
+                if dialog:
-                    self._pending_submissions[oid] = (
+                    oid = dialog.uuid
-                        line,
+
-                        self.status_bar.open_status(
+                    cancel_status_close = self.status_bar.open_status(
-                            f'cancelling order {oid[:6]}',
+                        f'cancelling order {oid[:6]}',
-                            group_key=key,
+                        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',):