WIP playing with a `ChainMap` of messages
Tyler Goodlet
parent
2548aae73d
commit
87ed9abefa
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@ -127,7 +127,8 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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))
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)
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)
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continue
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client = _accounts2clients.get(account)
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@ -495,17 +496,16 @@ async def trades_dialogue(
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'BUY': 1,
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}[order.action] * quant
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fqsn, _ = con2fqsn(trade.contract)
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reqid = order.orderId
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# TODO: maybe embed a ``BrokerdOrder`` instead
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# since then we can directly load it on the client
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# side in the order mode loop?
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msg = BrokerdStatus(
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reqid=order.orderId,
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time_ns=time.time_ns(),
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account=accounts_def.inverse[order.account],
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reqid=reqid,
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time_ns=(ts := time.time_ns()),
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status='submitted',
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size=size,
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price=order.lmtPrice,
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account=accounts_def.inverse[order.account],
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filled=0,
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reason='Existing live order',
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@ -516,6 +516,17 @@ async def trades_dialogue(
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broker_details={
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'name': 'ib',
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'fqsn': fqsn,
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# this is a embedded/boxed order
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# msg that can be loaded by the ems
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# and for relay to clients.
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'order': BrokerdOrder(
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symbol=fqsn,
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account=accounts_def.inverse[order.account],
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oid=reqid,
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time_ns=ts,
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size=size,
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price=order.lmtPrice,
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),
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},
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)
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order_msgs.append(msg)
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@ -18,8 +18,8 @@
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In da suit parlances: "Execution management systems"
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"""
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from collections import defaultdict, ChainMap
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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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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@ -41,9 +41,15 @@ from ..data.types import Struct
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from .._daemon import maybe_spawn_brokerd
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from . import _paper_engine as paper
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from ._messages import (
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Status, Order,
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BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdFill, BrokerdError, BrokerdPosition,
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Order,
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Status,
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BrokerdCancel,
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BrokerdOrder,
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BrokerdOrderAck,
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BrokerdStatus,
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BrokerdFill,
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BrokerdError,
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BrokerdPosition,
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)
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@ -90,8 +96,7 @@ def mk_check(
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)
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@dataclass
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class _DarkBook:
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class _DarkBook(Struct):
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'''
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EMS-trigger execution book.
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@ -116,17 +121,23 @@ class _DarkBook:
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dict, # cmd / msg type
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]
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]
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] = field(default_factory=dict)
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] = {}
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# tracks most recent values per symbol each from data feed
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lasts: dict[
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str,
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float,
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] = field(default_factory=dict)
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] = {}
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# mapping of piker ems order ids to current brokerd order flow message
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_ems_entries: dict[str, str] = field(default_factory=dict)
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_ems2brokerd_ids: dict[str, str] = field(default_factory=bidict)
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# _ems_entries: dict[str, str] = {}
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# mapping of ems dialog ids to msg flow history
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_msgflows: defaultdict[
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int,
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ChainMap[dict[str, dict]],
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] = defaultdict(ChainMap)
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_ems2brokerd_ids: dict[str, str] = bidict()
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# XXX: this is in place to prevent accidental positions that are too
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@ -240,7 +251,8 @@ async def clear_dark_triggers(
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# a ``BrokerdOrderAck`` msg including the
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# allocated unique ``BrokerdOrderAck.reqid`` key
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# generated by the broker's own systems.
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book._ems_entries[oid] = live_req
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# book._ems_entries[oid] = live_req
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book._msgflows[oid].append(live_req)
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case _:
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raise ValueError(f'Invalid dark book entry: {cmd}')
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@ -281,8 +293,7 @@ async def clear_dark_triggers(
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# print(f'execs scan took: {time.time() - start}')
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@dataclass
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class TradesRelay:
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class TradesRelay(Struct):
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# for now we keep only a single connection open with
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# each ``brokerd`` for simplicity.
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@ -318,7 +329,10 @@ class Router(Struct):
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# order id to client stream map
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clients: set[tractor.MsgStream] = set()
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dialogues: dict[str, list[tractor.MsgStream]] = {}
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dialogues: dict[
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str,
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list[tractor.MsgStream]
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] = {}
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# brokername to trades-dialogues streams with ``brokerd`` actors
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relays: dict[str, TradesRelay] = {}
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@ -341,8 +355,9 @@ class Router(Struct):
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loglevel: str,
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) -> tuple[dict, tractor.MsgStream]:
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'''Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if
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none already exists.
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'''
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relay: TradesRelay = self.relays.get(feed.mod.name)
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@ -614,7 +629,8 @@ async def translate_and_relay_brokerd_events(
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'reqid': reqid, # brokerd generated order-request id
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'oid': oid, # ems order-dialog id
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} if (
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entry := book._ems_entries.get(oid)
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# entry := book._ems_entries.get(oid)
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flow := book._msgflows.get(oid)
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):
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# initial response to brokerd order request
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# if name == 'ack':
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@ -637,10 +653,14 @@ async def translate_and_relay_brokerd_events(
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# cancelled by the ems controlling client before we
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# received this ack, in which case we relay that cancel
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# signal **asap** to the backend broker
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action = getattr(entry, 'action', None)
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action = flow.get('action')
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# action = getattr(entry, 'action', None)
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if action and action == 'cancel':
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# assign newly providerd broker backend request id
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entry.reqid = reqid
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flow['reqid'] = reqid
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# entry.reqid = reqid
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entry = flow.maps[0]
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# tell broker to cancel immediately
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await brokerd_trades_stream.send(entry)
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@ -649,7 +669,11 @@ async def translate_and_relay_brokerd_events(
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# our book -> registered as live flow
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else:
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# update the flow with the ack msg
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book._ems_entries[oid] = BrokerdOrderAck(**brokerd_msg)
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# book._ems_entries[oid] = BrokerdOrderAck(**brokerd_msg)
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flow.maps.insert(
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0,
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BrokerdOrderAck(**brokerd_msg).to_dict()
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)
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# no msg to client necessary
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continue
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@ -666,6 +690,7 @@ async def translate_and_relay_brokerd_events(
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msg = BrokerdError(**brokerd_msg)
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resp = 'broker_errored'
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log.error(pformat(msg)) # XXX make one when it's blank?
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book._msgflows[oid].maps.insert(0, msg.to_dict())
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# TODO: figure out how this will interact with EMS clients
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# for ex. on an error do we react with a dark orders
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@ -686,6 +711,9 @@ async def translate_and_relay_brokerd_events(
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} if (
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oid := book._ems2brokerd_ids.inverse.get(reqid)
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):
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# ack = book._ems_entries[oid]
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# ack = book._msgflows[oid].maps[0]
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msg = BrokerdStatus(**brokerd_msg)
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# TODO: should we flatten out these cases and/or should
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@ -704,6 +732,9 @@ async def translate_and_relay_brokerd_events(
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# since the order dialogue should be done.
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log.info(f'Execution for {oid} is complete!')
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# remove from active flows
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book._msgflows.pop(oid)
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# just log it
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else:
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log.info(f'{broker} filled {msg}')
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@ -712,7 +743,21 @@ async def translate_and_relay_brokerd_events(
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# one of {submitted, cancelled}
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resp = 'broker_' + msg.status
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# unknown valid BrokerdStatus
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# book._ems_entries[oid] = msg
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book._msgflows[oid].maps.insert(0, msg.to_dict())
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# TODO: i wonder if we should just support receiving an
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# actual ``BrokerdOrder`` msg here? Is it a bad idea to
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# presume that inbound orders on the backend dialog can be
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# used to drive order tracking/tracing in the EMS *over*
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# a set of backends from some other non-ems owner?
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# this will likely feel better once we get open_msg_scope()
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# or wtv finished.
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# BrokerdStatus containing an embedded order msg which
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# should be loaded as a "pre-existing open order" from the
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# brokerd backend.
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case {
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'name': 'status',
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'status': status,
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@ -724,7 +769,18 @@ async def translate_and_relay_brokerd_events(
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# to be able to more formally handle multi-player
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# trading...
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if status == 'submitted':
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if status != 'submitted':
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log.error(
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f'Unknown status msg:\n'
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f'{pformat(brokerd_msg)}\n'
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'Unable to relay message to client side!?'
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)
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else:
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# existing open backend order which we broadcast to
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# all currently connected clients.
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order_dict = brokerd_msg['broker_details'].pop('order')
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order = BrokerdOrder(**order_dict)
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msg = BrokerdStatus(**brokerd_msg)
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log.info(
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f'Relaying existing open order:\n {brokerd_msg}'
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@ -734,21 +790,48 @@ async def translate_and_relay_brokerd_events(
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# may end up with collisions?
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broker = details['name']
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oid = str(reqid)
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book._ems_entries[oid] = msg
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# attempt to avoid collisions
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msg.reqid = oid
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resp = 'broker_submitted'
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# XXX: MEGA HACK ALERT FOR the dialog entries delivery
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# on client connect...
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# TODO: fix this garbage..
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msg.broker_details['resp'] = resp = 'broker_submitted'
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# register this existing broker-side dialog
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book._ems2brokerd_ids[oid] = reqid
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# book._ems_entries[oid] = msg
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else:
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log.error(
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f'Unknown status msg:\n'
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f'{pformat(brokerd_msg)}\n'
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'Unable to relay message to client side!?'
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)
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# fill in approximate msg flow history
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flow = book._msgflows[oid]
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flow.maps.insert(0, order.to_dict())
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flow.maps.insert(0, msg.to_dict())
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flow.maps.insert(0, details)
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flattened = dict(flow)
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# await tractor.breakpoint()
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# fan-out-relay position msgs immediately by
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# broadcasting updates on all client streams
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for client_stream in router.clients.copy():
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try:
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await client_stream.send(flattened)
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# Status(
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# oid=oid,
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# resp=resp,
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# time_ns=time.time_ns(),
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# broker_reqid=reqid,
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# brokerd_msg=flattened,
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# )
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# )
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except(
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trio.ClosedResourceError,
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trio.BrokenResourceError,
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):
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router.clients.remove(client_stream)
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log.warning(
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f'client for {client_stream} was already closed?')
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# don't fall through
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continue
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# BrokerdFill
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@ -768,16 +851,14 @@ async def translate_and_relay_brokerd_events(
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raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
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# retrieve existing live flow
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entry = book._ems_entries[oid]
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if getattr(entry, 'oid', None):
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assert entry.oid == oid
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old_reqid = entry.reqid
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if old_reqid and old_reqid != reqid:
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log.warning(
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f'Brokerd order id change for {oid}:\n'
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f'{old_reqid} -> {reqid}'
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)
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# entry = book._ems_entries[oid]
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# assert entry.oid == oid # from when we only stored the first ack
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# old_reqid = entry.reqid
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# if old_reqid and old_reqid != reqid:
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# log.warning(
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# f'Brokerd order id change for {oid}:\n'
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# f'{old_reqid} -> {reqid}'
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# )
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# Create and relay response status message
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# to requesting EMS client
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@ -796,31 +877,6 @@ async def translate_and_relay_brokerd_events(
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log.error(
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f'Received `brokerd` msg for unknown client oid: {oid}')
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else:
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# existing open order relay
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assert oid == entry.reqid
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# fan-out-relay position msgs immediately by
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# broadcasting updates on all client streams
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for client_stream in router.clients.copy():
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try:
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await client_stream.send(
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Status(
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oid=oid,
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resp=resp,
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time_ns=time.time_ns(),
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broker_reqid=reqid,
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brokerd_msg=msg,
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)
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)
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except(
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trio.ClosedResourceError,
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trio.BrokenResourceError,
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):
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router.clients.remove(client_stream)
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log.warning(
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f'client for {client_stream} was already closed?')
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# TODO: do we want this to keep things cleaned up?
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# it might require a special status from brokerd to affirm the
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# flow is complete?
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@ -854,7 +910,8 @@ async def process_client_order_cmds(
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# others who are registered for such order affiliated msgs).
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client_dialogues[oid] = client_order_stream
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reqid = dark_book._ems2brokerd_ids.inverse.get(oid)
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live_entry = dark_book._ems_entries.get(oid)
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# live_entry = dark_book._ems_entries.get(oid)
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live_entry = dark_book._msgflows.get(oid)
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match cmd:
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# existing live-broker order cancel
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@ -862,12 +919,14 @@ async def process_client_order_cmds(
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'action': 'cancel',
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'oid': oid,
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} if live_entry:
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reqid = live_entry.reqid
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# reqid = live_entry.reqid
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reqid = live_entry['reqid']
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msg = BrokerdCancel(
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oid=oid,
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reqid=reqid,
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time_ns=time.time_ns(),
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account=live_entry.account,
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# account=live_entry.account,
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account=live_entry['account'],
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)
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# NOTE: cancel response will be relayed back in messages
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@ -885,6 +944,7 @@ async def process_client_order_cmds(
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# the order ack does show up later such that the brokerd
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# order request can be cancelled at that time.
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dark_book._ems_entries[oid] = msg
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live_entry.maps.insert(0, msg.to_dict())
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# dark trigger cancel
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case {
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@ -936,7 +996,8 @@ async def process_client_order_cmds(
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# the only msg will be a ``BrokerdStatus``
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# assert live_entry.oid == oid
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reqid = live_entry.reqid
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# reqid = live_entry.reqid
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reqid = live_entry['reqid']
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# if we already had a broker order id then
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# this is likely an order update commmand.
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log.info(f"Modifying live {broker} order: {reqid}")
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@ -971,7 +1032,8 @@ async def process_client_order_cmds(
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# client, before that ack, when the ack does arrive we
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# immediately take the reqid from the broker and cancel
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# that live order asap.
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dark_book._ems_entries[oid] = msg
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# dark_book._ems_entries[oid] = msg
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dark_book._msgflows[oid].maps.insert(0, msg.to_dict())
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# dark-order / alert submission
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case {
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@ -1144,12 +1206,35 @@ async def _emsd_main(
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brokerd_stream = relay.brokerd_dialogue # .clone()
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# convert dialogs to status msgs for client delivery
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statuses = {}
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# for oid, msg in book._ems_entries.items():
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for oid, msgflow in book._msgflows.items():
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# we relay to the client side a msg that contains
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# all data flattened from the message history.
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# status = msgflow['status']
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flattened = dict(msgflow)
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# status = flattened['status']
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flattened.pop('brokerd_msg', None)
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statuses[oid] = flattened
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# Status(
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# oid=oid,
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# time_ns=flattened['time_ns'],
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# # time_ns=msg.time_ns,
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# # resp=f'broker_{msg.status}',
|
||||
# resp=f'broker_{status}',
|
||||
# # trigger_price=msg.order.price,
|
||||
# trigger_price=flattened['price'],
|
||||
# brokerd_msg=flattened,
|
||||
# )
|
||||
# await tractor.breakpoint()
|
||||
|
||||
# signal to client that we're started and deliver
|
||||
# all known pps and accounts for this ``brokerd``.
|
||||
await ems_ctx.started((
|
||||
relay.positions,
|
||||
list(relay.accounts),
|
||||
book._ems_entries,
|
||||
statuses,
|
||||
))
|
||||
|
||||
# establish 2-way stream with requesting order-client and
|
||||
|
|
|
|||
|
|
@ -67,7 +67,7 @@ class Order(Struct):
|
|||
# determines whether the create execution
|
||||
# will be submitted to the ems or directly to
|
||||
# the backend broker
|
||||
exec_mode: str # {'dark', 'live', 'paper'}
|
||||
exec_mode: str # {'dark', 'live'}
|
||||
|
||||
|
||||
# --------------
|
||||
|
|
@ -136,11 +136,14 @@ class BrokerdCancel(Struct):
|
|||
|
||||
class BrokerdOrder(Struct):
|
||||
|
||||
action: str # {buy, sell}
|
||||
oid: str
|
||||
account: str
|
||||
time_ns: int
|
||||
|
||||
# TODO: if we instead rely on a +ve/-ve size to determine
|
||||
# the action we more or less don't need this field right?
|
||||
action: str = '' # {buy, sell}
|
||||
|
||||
# "broker request id": broker specific/internal order id if this is
|
||||
# None, creates a new order otherwise if the id is valid the backend
|
||||
# api must modify the existing matching order. If the broker allows
|
||||
|
|
@ -149,7 +152,7 @@ class BrokerdOrder(Struct):
|
|||
# field
|
||||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
symbol: str # symbol.<providername> ?
|
||||
symbol: str # fqsn
|
||||
price: float
|
||||
size: float
|
||||
|
||||
|
|
@ -183,25 +186,21 @@ class BrokerdStatus(Struct):
|
|||
reqid: Union[int, str]
|
||||
time_ns: int
|
||||
|
||||
# XXX: should be best effort set for every update
|
||||
account: str = ''
|
||||
|
||||
# TODO: instead (ack, pending, open, fill, clos(ed), cancelled)
|
||||
# {
|
||||
# 'submitted',
|
||||
# 'cancelled',
|
||||
# 'filled',
|
||||
# 'submitted', # open
|
||||
# 'cancelled', # canceled
|
||||
# 'filled', # closed
|
||||
# }
|
||||
status: str
|
||||
|
||||
# +ve is buy, -ve is sell
|
||||
size: float = 0.0
|
||||
price: float = 0.0
|
||||
|
||||
account: str
|
||||
filled: float = 0.0
|
||||
reason: str = ''
|
||||
remaining: float = 0.0
|
||||
|
||||
external: bool = False
|
||||
# order: Optional[BrokerdOrder] = None
|
||||
|
||||
# XXX: better design/name here?
|
||||
# flag that can be set to indicate a message for an order
|
||||
# event that wasn't originated by piker's emsd (eg. some external
|
||||
|
|
|
|||
|
|
@ -49,9 +49,14 @@ from ._position import (
|
|||
SettingsPane,
|
||||
)
|
||||
from ._forms import FieldsForm
|
||||
# from ._label import FormatLabel
|
||||
from ._window import MultiStatus
|
||||
from ..clearing._messages import Order, BrokerdPosition
|
||||
from ..clearing._messages import (
|
||||
Order,
|
||||
Status,
|
||||
# BrokerdOrder,
|
||||
# BrokerdStatus,
|
||||
BrokerdPosition,
|
||||
)
|
||||
from ._forms import open_form_input_handling
|
||||
|
||||
|
||||
|
|
@ -519,22 +524,36 @@ class OrderMode:
|
|||
|
||||
def load_unknown_dialog_from_msg(
|
||||
self,
|
||||
# status: Status,
|
||||
msg: dict,
|
||||
|
||||
) -> OrderDialog:
|
||||
|
||||
oid = str(msg['oid'])
|
||||
size = msg['brokerd_msg']['size']
|
||||
# oid = str(status.oid)
|
||||
|
||||
# bstatus = BrokerdStatus(**msg.brokerd_msg)
|
||||
# NOTE: the `.order` attr **must** be set with the
|
||||
# equivalent order msg in order to be loaded.
|
||||
# border = BrokerdOrder(**bstatus.broker_details['order'])
|
||||
# msg = msg['brokerd_msg']
|
||||
|
||||
# size = border.size
|
||||
size = msg['size']
|
||||
if size >= 0:
|
||||
action = 'buy'
|
||||
else:
|
||||
action = 'sell'
|
||||
|
||||
acct = msg['brokerd_msg']['account']
|
||||
price = msg['brokerd_msg']['price']
|
||||
deats = msg['brokerd_msg']['broker_details']
|
||||
# acct = border.account
|
||||
# price = border.price
|
||||
# price = msg['brokerd_msg']['price']
|
||||
symbol = msg['symbol']
|
||||
deats = msg['broker_details']
|
||||
brokername = deats['name']
|
||||
fqsn = (
|
||||
deats['fqsn'] + '.' + deats['name']
|
||||
# deats['fqsn'] + '.' + deats['name']
|
||||
symbol + '.' + brokername
|
||||
)
|
||||
symbol = Symbol.from_fqsn(
|
||||
fqsn=fqsn,
|
||||
|
|
@ -543,11 +562,11 @@ class OrderMode:
|
|||
# map to order composite-type
|
||||
order = Order(
|
||||
action=action,
|
||||
price=price,
|
||||
account=acct,
|
||||
price=msg['price'],
|
||||
account=msg['account'],
|
||||
size=size,
|
||||
symbol=symbol,
|
||||
brokers=symbol.brokers,
|
||||
brokers=[brokername],
|
||||
oid=oid,
|
||||
exec_mode='live', # dark or live
|
||||
)
|
||||
|
|
@ -808,8 +827,8 @@ async def open_order_mode(
|
|||
# HACK ALERT: ensure a resp field is filled out since
|
||||
# techincally the call below expects a ``Status``. TODO:
|
||||
# parse into proper ``Status`` equivalents ems-side?
|
||||
msg.setdefault('resp', msg['broker_details']['resp'])
|
||||
msg.setdefault('oid', msg['broker_details']['oid'])
|
||||
# msg.setdefault('resp', msg['broker_details']['resp'])
|
||||
# msg.setdefault('oid', msg['broker_details']['oid'])
|
||||
msg['brokerd_msg'] = msg
|
||||
|
||||
await process_trade_msg(
|
||||
|
|
@ -892,6 +911,7 @@ async def process_trade_msg(
|
|||
log.warning(
|
||||
f'received msg for untracked dialog:\n{fmsg}'
|
||||
)
|
||||
# dialog = mode.load_unknown_dialog_from_msg(Status(**msg))
|
||||
dialog = mode.load_unknown_dialog_from_msg(msg)
|
||||
|
||||
# record message to dialog tracking
|
||||
|
|
|
|||
Loading…
Reference in New Issue