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Merge pull request 'decimal_prices_thru_ems 

Yeah, just suck it up and do `Order.price: Decimal` for now..'

(#44) from decimal_prices_thru_ems into main
Reviewed-on: https://www.pikers.dev/pikers/piker/pulls/44
main
Gud Boi 2026-01-07 03:25:27 +00:00
parent fa0d088ebc 838ddd6e79
commit 8a17a75ba2
5 changed files with 98 additions and 51 deletions
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32
piker/clearing/_ems.py
View File

@ -76,7 +76,6 @@ if TYPE_CHECKING:
# TODO: numba all of this
def mk_check(
trigger_price: float,
known_last: float,
action: str,
@ -1190,12 +1189,16 @@ async def process_client_order_cmds(
submitting live orders immediately if requested by the client.
'''
# cmd: dict
# TODO, only allow `msgspec.Struct` form!
cmd: dict
async for cmd in client_order_stream:
log.info(f'Received order cmd:\n{pformat(cmd)}')
log.info(
f'Received order cmd:\n'
f'{pformat(cmd)}\n'
)
# CAWT DAMN we need struct support!
oid = str(cmd['oid'])
oid: str = str(cmd['oid'])
# register this stream as an active order dialog (msg flow) for
# this order id such that translated message from the brokerd
@ -1301,7 +1304,7 @@ async def process_client_order_cmds(
case {
'oid': oid,
'symbol': fqme,
'price': trigger_price,
'price': price,
'size': size,
'action': ('buy' | 'sell') as action,
'exec_mode': ('live' | 'paper'),
@ -1333,7 +1336,7 @@ async def process_client_order_cmds(
symbol=sym,
action=action,
price=trigger_price,
price=price,
size=size,
account=req.account,
)
@ -1355,7 +1358,11 @@ async def process_client_order_cmds(
# (``translate_and_relay_brokerd_events()`` above) will
# handle relaying the ems side responses back to
# the client/cmd sender from this request
log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
log.info(
f'Sending live order to {broker}:\n'
f'{pformat(msg)}'
)
await brokerd_order_stream.send(msg)
# an immediate response should be ``BrokerdOrderAck``
@ -1371,7 +1378,7 @@ async def process_client_order_cmds(
case {
'oid': oid,
'symbol': fqme,
'price': trigger_price,
'price': price,
'size': size,
'exec_mode': exec_mode,
'action': action,
@ -1399,7 +1406,12 @@ async def process_client_order_cmds(
if isnan(last):
last = flume.rt_shm.array[-1]['close']
pred = mk_check(trigger_price, last, action)
trigger_price: float = float(price)
pred = mk_check(
trigger_price,
last,
action,
)
# NOTE: for dark orders currently we submit
# the triggered live order at a price 5 ticks
@ -1539,7 +1551,7 @@ async def _emsd_main(
ctx: tractor.Context,
fqme: str,
exec_mode: str, # ('paper', 'live')
loglevel: str | None = None,
loglevel: str|None = None,
) -> tuple[
dict[

13
piker/clearing/_messages.py
View File

@ -19,6 +19,7 @@ Clearing sub-system message and protocols.
"""
from __future__ import annotations
from decimal import Decimal
from typing import (
Literal,
)
@ -71,7 +72,15 @@ class Order(Struct):
symbol: str # | MktPair
account: str # should we set a default as '' ?
price: float
# https://docs.python.org/3/library/decimal.html#decimal-objects
#
# ?TODO? decimal usage throughout?
# -[ ] possibly leverage the `Encoder(decimal_format='number')`
# bit?
# |_https://jcristharif.com/msgspec/supported-types.html#decimal
# -[ ] should we also use it for .size?
#
price: Decimal
size: float # -ve is "sell", +ve is "buy"
brokers: list[str] = []
@ -178,7 +187,7 @@ class BrokerdOrder(Struct):
time_ns: int
symbol: str # fqme
price: float
price: Decimal
size: float
# TODO: if we instead rely on a +ve/-ve size to determine

2
piker/clearing/_paper_engine.py
View File

@ -510,7 +510,7 @@ async def handle_order_requests(
reqid = await client.submit_limit(
oid=order.oid,
symbol=f'{order.symbol}.{client.broker}',
price=order.price,
price=float(order.price),
action=order.action,
size=order.size,
# XXX: by default 0 tells ``ib_insync`` methods that

100
piker/ui/order_mode.py
View File

@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
from __future__ import annotations
from contextlib import asynccontextmanager
from dataclasses import dataclass, field
from decimal import Decimal
from functools import partial
from pprint import pformat
import time
@ -41,7 +42,6 @@ from piker.accounting import (
Position,
mk_allocator,
MktPair,
Symbol,
)
from piker.clearing import (
open_ems,
@ -143,6 +143,15 @@ class OrderMode:
}
_staged_order: Order | None = None
@property
def curr_mkt(self) -> MktPair:
'''
Deliver the currently selected `MktPair` according
chart state.
'''
return self.chart.linked.mkt
def on_level_change_update_next_order_info(
self,
level: float,
@ -172,7 +181,11 @@ class OrderMode:
line.update_labels(order_info)
# update bound-in staged order
order.price = level
mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=level,
quantity_type='price',
)
order.size = order_info['size']
# when an order is changed we flip the settings side-pane to
@ -187,7 +200,9 @@ class OrderMode:
) -> LevelLine:
level = order.price
# TODO, if we instead just always decimalize at the ems layer
# we can avoid this back-n-forth casting?
level = float(order.price)
line = order_line(
chart or self.chart,
@ -224,7 +239,11 @@ class OrderMode:
# the order mode allocator but we still need to update the
# "staged" order message we'll send to the ems
def update_order_price(y: float) -> None:
order.price = y
mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=y,
quantity_type='price',
)
line._on_level_change = update_order_price
@ -275,34 +294,31 @@ class OrderMode:
chart = cursor.linked.chart
if (
not chart
and cursor
and cursor.active_plot
and
cursor
and
cursor.active_plot
):
return
chart = cursor.active_plot
price = cursor._datum_xy[1]
price: float = cursor._datum_xy[1]
if not price:
# zero prices are not supported by any means
# since that's illogical / a no-op.
return
mkt: MktPair = self.chart.linked.mkt
# NOTE : we could also use instead,
# mkt.quantize(price, quantity_type='price')
# but it returns a Decimal and it's probably gonna
# be slower?
# TODO: should we be enforcing this precision
# at a different layer in the stack? right now
# any precision error will literally be relayed
# all the way back from the backend.
price = round(
price,
ndigits=mkt.price_tick_digits,
# at a different layer in the stack?
# |_ might require `MktPair` tracking in the EMS?
# |_ right now any precision error will be relayed
# all the way back from the backend and vice-versa..
#
mkt: MktPair = self.curr_mkt
price: Decimal = mkt.quantize(
size=price,
quantity_type='price',
)
order = self._staged_order = Order(
action=action,
price=price,
@ -378,7 +394,7 @@ class OrderMode:
'oid': oid,
})
if order.price <= 0:
if float(order.price) <= 0:
log.error(
'*!? Invalid `Order.price <= 0` ?!*\n'
# TODO: make this present multi-line in object form
@ -515,14 +531,15 @@ class OrderMode:
# if an order msg is provided update the line
# **from** that msg.
if order:
if order.price <= 0:
price: float = float(order.price)
if price <= 0:
log.error(f'Order has 0 price, cancelling..\n{order}')
self.cancel_orders([order.oid])
return None
line.set_level(order.price)
line.set_level(price)
self.on_level_change_update_next_order_info(
level=order.price,
level=price,
line=line,
order=order,
# use the corresponding position tracker for the
@ -681,9 +698,9 @@ class OrderMode:
) -> Dialog | None:
# NOTE: the `.order` attr **must** be set with the
# equivalent order msg in order to be loaded.
order = msg.req
order: Order = msg.req
oid = str(msg.oid)
symbol = order.symbol
symbol: str = order.symbol
# TODO: MEGA UGGG ZONEEEE!
src = msg.src
@ -702,13 +719,22 @@ class OrderMode:
order.oid = str(order.oid)
order.brokers = [brokername]
# TODO: change this over to `MktPair`, but it's
# gonna be tough since we don't have any such data
# really in our clearing msg schema..
order.symbol = Symbol.from_fqme(
fqsn=fqme,
info={},
)
# ?TODO? change this over to `MktPair`, but it's gonna be
# tough since we don't have any such data really in our
# clearing msg schema..
# BUT WAIT! WHY do we even want/need this!?
#
# order.symbol = self.curr_mkt
#
# XXX, the old approach.. which i don't quire member why..
# -[ ] verify we for sure don't require this any more!
# |_https://github.com/pikers/piker/issues/517
#
# order.symbol = Symbol.from_fqme(
# fqsn=fqme,
# info={},
# )
maybe_dialog: Dialog | None = self.submit_order(
send_msg=False,
order=order,
@ -1101,7 +1127,7 @@ async def process_trade_msg(
)
)
):
msg.req = order
msg.req: Order = order
dialog: (
Dialog
# NOTE: on an invalid order submission (eg.
@ -1166,7 +1192,7 @@ async def process_trade_msg(
tm = time.time()
mode.on_fill(
oid,
price=req.price,
price=float(req.price),
time_s=tm,
)
mode.lines.remove_line(uuid=oid)
@ -1221,7 +1247,7 @@ async def process_trade_msg(
tm = details['broker_time']
mode.on_fill(
oid,
price=details['price'],
price=float(details['price']),
time_s=tm,
pointing='up' if action == 'buy' else 'down',
)

2
tests/test_ems.py
View File

@ -179,7 +179,7 @@ def test_ems_err_on_bad_broker(
# NOTE: emsd should error on the actor's enabled modules
# import phase, when looking for a backend named `doggy`.
except tractor.RemoteActorError as re:
assert re.type == ModuleNotFoundError
assert re.type is ModuleNotFoundError
run_and_tollerate_cancels(load_bad_fqme)