Support order modification in ems request loop
Tyler Goodlet
parent
a43ab1b983
commit
919ecab732
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@ -138,6 +138,7 @@ async def execute_triggers(
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"""
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# this stream may eventually contain multiple symbols
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# XXX: optimize this for speed!
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async for quotes in stream:
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# TODO: numba all this!
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@ -183,6 +184,14 @@ async def execute_triggers(
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reqid = await client.submit_limit(
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oid=oid,
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# this is a brand new order request for the
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# underlying broker so we set out "broker request
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# id" (brid) as nothing so that the broker
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# client knows that we aren't trying to modify
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# an existing order.
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brid=None,
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symbol=sym,
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action=cmd['action'],
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price=submit_price,
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@ -275,11 +284,6 @@ async def exec_loop(
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# return control to parent task
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task_status.started((first_quote, feed, client))
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##############################
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# begin price actions sequence
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# XXX: optimize this for speed
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##############################
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# shield this field so the remote brokerd does not get cancelled
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stream = feed.stream
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with stream.shield():
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@ -346,6 +350,7 @@ async def process_broker_trades(
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async for event in trades_stream:
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name, msg = event['local_trades']
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log.info(f'Received broker trade event:\n{pformat(msg)}')
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# Get the broker (order) request id, this **must** be normalized
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@ -413,7 +418,6 @@ async def process_broker_trades(
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status = msg['status'].lower()
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if status == 'filled':
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# await tractor.breakpoint()
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# conditional execution is fully complete, no more
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# fills for the noted order
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@ -445,7 +449,7 @@ async def process_broker_trades(
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@tractor.stream
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async def _ems_main(
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async def _emsd_main(
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ctx: tractor.Context,
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client_actor_name: str,
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broker: str,
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@ -467,7 +471,7 @@ async def _ems_main(
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streamed back up to the original calling task in the same client.
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The task tree is:
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- ``_ems_main()``:
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- ``_emsd_main()``:
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accepts order cmds, registers execs with exec loop
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- ``exec_loop()``:
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@ -479,7 +483,7 @@ async def _ems_main(
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"""
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from ._client import send_order_cmds
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book = get_dark_book(broker)
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dark_book = get_dark_book(broker)
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# get a portal back to the client
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async with tractor.wait_for_actor(client_actor_name) as portal:
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@ -502,7 +506,7 @@ async def _ems_main(
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process_broker_trades,
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ctx,
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feed,
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book,
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dark_book,
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)
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# connect back to the calling actor (the one that is
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@ -516,12 +520,13 @@ async def _ems_main(
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action = cmd['action']
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oid = cmd['oid']
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brid = dark_book._broker2ems_ids.inverse.get(oid)
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# TODO: can't wait for this stuff to land in 3.10
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# https://www.python.org/dev/peps/pep-0636/#going-to-the-cloud-mappings
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if action in ('cancel',):
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# check for live-broker order
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brid = book._broker2ems_ids.inverse.get(oid)
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if brid:
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log.info("Submitting cancel for live order")
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await client.submit_cancel(reqid=brid)
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@ -529,7 +534,7 @@ async def _ems_main(
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# check for EMS active exec
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else:
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try:
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book.orders[symbol].pop(oid, None)
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dark_book.orders[symbol].pop(oid, None)
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await ctx.send_yield({
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'resp': 'dark_cancelled',
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@ -547,30 +552,43 @@ async def _ems_main(
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exec_mode = cmd.get('exec_mode', _mode)
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broker = brokers[0]
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last = book.lasts[(broker, sym)]
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last = dark_book.lasts[(broker, sym)]
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if exec_mode == 'live' and action in ('buy', 'sell',):
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# register broker id for ems id
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order_id = await client.submit_limit(
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oid=oid, # no ib support for this
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oid=oid, # no ib support for oids...
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# if this is None, creates a new order
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# otherwise will modify any existing one
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brid=brid,
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symbol=sym,
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action=action,
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price=trigger_price,
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size=size,
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)
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book._broker2ems_ids[order_id] = oid
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if brid:
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assert dark_book._broker2ems_ids[brid] == oid
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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 order: {brid}")
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else:
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dark_book._broker2ems_ids[order_id] = oid
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# XXX: the trades data broker response loop
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# (``process_broker_trades()`` above) will
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# handle sending the ems side acks back to
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# the cmd sender from here
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elif exec_mode in ('dark', 'paper') or action in ('alert'):
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# TODO: if the predicate resolves immediately send the
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# execution to the broker asap? Or no?
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elif exec_mode in ('dark', 'paper') or (
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action in ('alert')
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):
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# submit order to local EMS
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# Auto-gen scanner predicate:
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@ -581,7 +599,7 @@ async def _ems_main(
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# the user choose the predicate operator.
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pred = mk_check(trigger_price, last)
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mt = feed.symbols[sym].tick_size
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min_tick = feed.symbols[sym].tick_size
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if action == 'buy':
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tickfilter = ('ask', 'last', 'trade')
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@ -590,12 +608,12 @@ async def _ems_main(
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# TODO: we probably need to scale this based
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# on some near term historical spread
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# measure?
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abs_diff_away = 3 * mt
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abs_diff_away = 3 * min_tick
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elif action == 'sell':
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tickfilter = ('bid', 'last', 'trade')
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percent_away = -0.005
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abs_diff_away = -3 * mt
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abs_diff_away = -3 * min_tick
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else: # alert
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tickfilter = ('trade', 'utrade', 'last')
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@ -603,7 +621,10 @@ async def _ems_main(
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abs_diff_away = 0
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# submit execution/order to EMS scan loop
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book.orders.setdefault(
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# FYI: this may result in an override of an existing
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# dark book entry if the order id already exists
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dark_book.orders.setdefault(
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sym, {}
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)[oid] = (
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pred,
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@ -612,6 +633,8 @@ async def _ems_main(
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percent_away,
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abs_diff_away
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)
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# TODO: if the predicate resolves immediately send the
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# execution to the broker asap? Or no?
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# ack-response that order is live in EMS
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await ctx.send_yield({
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