Split out ems daemon, client api and paper engine into new mods
Tyler Goodlet
parent
a9bbc223bb
commit
948e133cae
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@ -0,0 +1,212 @@
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# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for 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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Orders and execution client API.
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"""
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from contextlib import asynccontextmanager
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from typing import Dict, Tuple
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from pprint import pformat
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from dataclasses import dataclass, field
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import trio
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import tractor
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from ..data._source import Symbol
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from ..log import get_logger
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from ._ems import _ems_main
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log = get_logger(__name__)
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@dataclass
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class OrderBook:
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"""Buy-side (client-side ?) order book ctl and tracking.
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A style similar to "model-view" is used here where this api is
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provided as a supervised control for an EMS actor which does all the
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hard/fast work of talking to brokers/exchanges to conduct
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executions.
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Currently, this is mostly for keeping local state to match the EMS
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and use received events to trigger graphics updates.
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"""
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# mem channels used to relay order requests to the EMS daemon
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_to_ems: trio.abc.SendChannel
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_from_order_book: trio.abc.ReceiveChannel
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_sent_orders: Dict[str, dict] = field(default_factory=dict)
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_ready_to_receive: trio.Event = trio.Event()
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def send(
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self,
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uuid: str,
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symbol: 'Symbol',
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price: float,
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size: float,
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action: str,
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exec_mode: str,
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) -> dict:
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cmd = {
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'action': action,
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'price': price,
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'size': size,
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'symbol': symbol.key,
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'brokers': symbol.brokers,
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'oid': uuid,
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'exec_mode': exec_mode, # dark or live
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}
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self._sent_orders[uuid] = cmd
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self._to_ems.send_nowait(cmd)
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return cmd
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async def modify(self, oid: str, price) -> bool:
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...
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def cancel(self, uuid: str) -> bool:
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"""Cancel an order (or alert) from the EMS.
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"""
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cmd = self._sent_orders[uuid]
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msg = {
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'action': 'cancel',
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'oid': uuid,
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'symbol': cmd['symbol'],
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}
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self._to_ems.send_nowait(msg)
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_orders: OrderBook = None
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def get_orders(
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emsd_uid: Tuple[str, str] = None
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) -> OrderBook:
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""""
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OrderBook singleton factory per actor.
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"""
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if emsd_uid is not None:
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# TODO: read in target emsd's active book on startup
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pass
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global _orders
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if _orders is None:
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# setup local ui event streaming channels for request/resp
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# streamging with EMS daemon
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_orders = OrderBook(*trio.open_memory_channel(100))
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return _orders
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# TODO: make this a ``tractor.msg.pub``
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async def send_order_cmds():
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"""Order streaming task: deliver orders transmitted from UI
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to downstream consumers.
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This is run in the UI actor (usually the one running Qt but could be
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any other client service code). This process simply delivers order
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messages to the above ``_to_ems`` send channel (from sync code using
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``.send_nowait()``), these values are pulled from the channel here
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and relayed to any consumer(s) that called this function using
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a ``tractor`` portal.
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This effectively makes order messages look like they're being
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"pushed" from the parent to the EMS where local sync code is likely
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doing the pushing from some UI.
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"""
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book = get_orders()
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orders_stream = book._from_order_book
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# signal that ems connection is up and ready
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book._ready_to_receive.set()
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async for cmd in orders_stream:
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# send msg over IPC / wire
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log.info(f'Send order cmd:\n{pformat(cmd)}')
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yield cmd
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@asynccontextmanager
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async def open_ems(
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broker: str,
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symbol: Symbol,
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) -> None:
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"""Spawn an EMS daemon and begin sending orders and receiving
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alerts.
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This EMS tries to reduce most broker's terrible order entry apis to
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a very simple protocol built on a few easy to grok and/or
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"rantsy" premises:
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- most users will prefer "dark mode" where orders are not submitted
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to a broker until and execution condition is triggered
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(aka client-side "hidden orders")
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- Brokers over-complicate their apis and generally speaking hire
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poor designers to create them. We're better off using creating a super
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minimal, schema-simple, request-event-stream protocol to unify all the
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existing piles of shit (and shocker, it'll probably just end up
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looking like a decent crypto exchange's api)
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- all order types can be implemented with client-side limit orders
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- we aren't reinventing a wheel in this case since none of these
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brokers are exposing FIX protocol; it is they doing the re-invention.
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TODO: make some fancy diagrams using mermaid.io
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the possible set of responses from the stream is currently:
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- 'dark_submitted', 'broker_submitted'
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- 'dark_cancelled', 'broker_cancelled'
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- 'dark_executed', 'broker_executed'
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- 'broker_filled'
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"""
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actor = tractor.current_actor()
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# TODO: add ``maybe_spawn_emsd()`` for this
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async with tractor.open_nursery() as n:
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portal = await n.start_actor(
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'emsd',
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enable_modules=[
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'piker.exchange._ems',
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],
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)
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trades_stream = await portal.run(
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_ems_main,
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client_actor_name=actor.name,
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broker=broker,
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symbol=symbol.key,
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)
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# wait for service to connect back to us signalling
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# ready for order commands
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book = get_orders()
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with trio.fail_after(10):
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await book._ready_to_receive.wait()
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yield book, trades_stream
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@ -20,13 +20,10 @@ In da suit parlances: "Execution management systems"
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"""
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from pprint import pformat
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import time
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from datetime import datetime
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from typing import (
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AsyncIterator, Dict, Callable, Tuple,
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)
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import uuid
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from bidict import bidict
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import trio
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@ -35,8 +32,8 @@ import tractor
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from .. import data
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from ..log import get_logger
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from ..data._source import Symbol
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from ..data._normalize import iterticks
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from ._paper_engine import PaperBoi, simulate_fills
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log = get_logger(__name__)
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@ -126,293 +123,6 @@ def get_dark_book(broker: str) -> _DarkBook:
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_DEFAULT_SIZE: float = 1.0
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@dataclass
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class PaperBoi:
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"""Emulates a broker order client providing the same API and
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order-event response event stream format but with methods for
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triggering desired events based on forward testing engine
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requirements.
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"""
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broker: str
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_to_trade_stream: trio.abc.SendChannel
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trade_stream: trio.abc.ReceiveChannel
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# map of paper "live" orders which be used
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# to simulate fills based on paper engine settings
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_buys: bidict
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_sells: bidict
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_reqids: bidict
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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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last_bid: Tuple[float, float] = (0, 0)
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async def submit_limit(
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self,
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oid: str, # XXX: see return value
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symbol: str,
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price: float,
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action: str,
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size: float,
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) -> int:
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"""Place an order and return integer request id provided by client.
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"""
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# the trades stream expects events in the form
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# {'local_trades': (event_name, msg)}
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reqid = str(uuid.uuid4())
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# TODO: net latency model
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# we checkpoint here quickly particulalry
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# for dark orders since we want the dark_executed
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# to trigger first thus creating a lookup entry
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# in the broker trades event processing loop
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'reqid': reqid,
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'status': 'submitted',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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# register order internally
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self._reqids[reqid] = (oid, symbol, action, price)
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# if we're already a clearing price simulate an immediate fill
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if (
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action == 'buy' and (clear_price := self.last_ask[0]) <= price
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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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else: # register this submissions as a paper live order
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# submit order to book simulation fill loop
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if action == 'buy':
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orders = self._buys
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elif action == 'sell':
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orders = self._sells
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# buys/sells: (symbol -> (price -> order))
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orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
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return reqid
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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# TODO: fake market simulation effects
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# await self._to_trade_stream.send(
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oid, symbol, action, price = self._reqids[reqid]
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if action == 'buy':
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self._buys[symbol].pop(price)
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elif action == 'sell':
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self._sells[symbol].pop(price)
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# TODO: net latency model
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'oid': oid,
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'reqid': reqid,
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'status': 'cancelled',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper': True,
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}),
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})
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async def fake_fill(
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self,
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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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reqid: str,
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oid: str,
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# determine whether to send a filled status that has zero
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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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"""
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# TODO: net latency model
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('fill', {
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'status': 'filled',
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'broker': self.broker,
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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'action': action,
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'size': size,
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'price': price,
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'remaining': 0 if order_complete else remaining,
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# normally filled by real `brokerd` daemon
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'time': time.time_ns(),
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'time_ns': time.time_ns(), # cuz why not
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# fake ids
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'reqid': reqid,
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'paper_info': {
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'oid': oid,
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},
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# XXX: fields we might not need to emulate?
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# execution id from broker
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# 'execid': execu.execId,
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# 'cmd': cmd, # original request message?
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}),
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})
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if order_complete:
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'reqid': reqid,
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'status': 'filled',
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'broker': self.broker,
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'filled': size,
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'remaining': 0 if order_complete else remaining,
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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async def simulate_fills(
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quote_stream: 'tractor.ReceiveStream', # noqa
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client: PaperBoi,
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) -> None:
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# TODO: more machinery to better simulate real-world market things:
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# - slippage models, check what quantopian has:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py
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# * this should help with simulating partial fills in a fast moving mkt
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# afaiu
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# - commisions models, also quantopian has em:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py
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# - network latency models ??
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# - position tracking:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
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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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quote,
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# dark order price filter(s)
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types=('ask', 'bid', 'trade', 'last')
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):
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# print(tick)
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tick_price = tick.get('price')
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ttype = tick['type']
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if ttype in ('ask',):
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client.last_ask = (
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tick_price,
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tick.get('size', client.last_ask[1]),
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)
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buys = client._buys.get(sym, {})
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# iterate book prices descending
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for our_bid in reversed(sorted(buys.keys())):
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if tick_price < our_bid:
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# retreive order info
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(size, oid, reqid, action) = buys.pop(our_bid)
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# clearing price would have filled entirely
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await client.fake_fill(
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# todo slippage to determine fill price
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tick_price,
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size,
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action,
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reqid,
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oid,
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)
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else:
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# prices are interated in sorted order so
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# we're done
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break
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if ttype in ('bid',):
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client.last_bid = (
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tick_price,
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tick.get('size', client.last_bid[1]),
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)
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sells = client._sells.get(sym, {})
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# iterate book prices ascending
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for our_ask in sorted(sells.keys()):
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if tick_price > our_ask:
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# retreive order info
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(size, oid, reqid, action) = sells.pop(our_ask)
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# clearing price would have filled entirely
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await client.fake_fill(
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tick_price,
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size,
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action,
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reqid,
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oid,
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)
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else:
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# prices are interated in sorted order so
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# we're done
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break
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if ttype in ('trade', 'last'):
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# TODO: simulate actual book queues and our orders
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# place in it, might require full L2 data?
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pass
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async def execute_triggers(
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broker: str,
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symbol: str,
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|
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@ -772,6 +482,8 @@ async def _ems_main(
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accept normalized trades responses, process and relay to ems client(s)
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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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# get a portal back to the client
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|
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@ -913,181 +625,3 @@ async def _ems_main(
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})
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# continue and wait on next order cmd
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@dataclass
|
||||
class OrderBook:
|
||||
"""Buy-side (client-side ?) order book ctl and tracking.
|
||||
|
||||
A style similar to "model-view" is used here where this api is
|
||||
provided as a supervised control for an EMS actor which does all the
|
||||
hard/fast work of talking to brokers/exchanges to conduct
|
||||
executions.
|
||||
|
||||
Currently, this is mostly for keeping local state to match the EMS
|
||||
and use received events to trigger graphics updates.
|
||||
|
||||
"""
|
||||
# mem channels used to relay order requests to the EMS daemon
|
||||
_to_ems: trio.abc.SendChannel
|
||||
_from_order_book: trio.abc.ReceiveChannel
|
||||
|
||||
_sent_orders: Dict[str, dict] = field(default_factory=dict)
|
||||
_ready_to_receive: trio.Event = trio.Event()
|
||||
|
||||
def send(
|
||||
self,
|
||||
uuid: str,
|
||||
symbol: 'Symbol',
|
||||
price: float,
|
||||
size: float,
|
||||
action: str,
|
||||
exec_mode: str,
|
||||
) -> dict:
|
||||
cmd = {
|
||||
'action': action,
|
||||
'price': price,
|
||||
'size': size,
|
||||
'symbol': symbol.key,
|
||||
'brokers': symbol.brokers,
|
||||
'oid': uuid,
|
||||
'exec_mode': exec_mode, # dark or live
|
||||
}
|
||||
self._sent_orders[uuid] = cmd
|
||||
self._to_ems.send_nowait(cmd)
|
||||
return cmd
|
||||
|
||||
async def modify(self, oid: str, price) -> bool:
|
||||
...
|
||||
|
||||
def cancel(self, uuid: str) -> bool:
|
||||
"""Cancel an order (or alert) from the EMS.
|
||||
|
||||
"""
|
||||
cmd = self._sent_orders[uuid]
|
||||
msg = {
|
||||
'action': 'cancel',
|
||||
'oid': uuid,
|
||||
'symbol': cmd['symbol'],
|
||||
}
|
||||
self._to_ems.send_nowait(msg)
|
||||
|
||||
|
||||
_orders: OrderBook = None
|
||||
|
||||
|
||||
def get_orders(
|
||||
emsd_uid: Tuple[str, str] = None
|
||||
) -> OrderBook:
|
||||
""""
|
||||
OrderBook singleton factory per actor.
|
||||
|
||||
"""
|
||||
if emsd_uid is not None:
|
||||
# TODO: read in target emsd's active book on startup
|
||||
pass
|
||||
|
||||
global _orders
|
||||
|
||||
if _orders is None:
|
||||
# setup local ui event streaming channels for request/resp
|
||||
# streamging with EMS daemon
|
||||
_orders = OrderBook(*trio.open_memory_channel(100))
|
||||
|
||||
return _orders
|
||||
|
||||
|
||||
# TODO: make this a ``tractor.msg.pub``
|
||||
async def send_order_cmds():
|
||||
"""Order streaming task: deliver orders transmitted from UI
|
||||
to downstream consumers.
|
||||
|
||||
This is run in the UI actor (usually the one running Qt but could be
|
||||
any other client service code). This process simply delivers order
|
||||
messages to the above ``_to_ems`` send channel (from sync code using
|
||||
``.send_nowait()``), these values are pulled from the channel here
|
||||
and relayed to any consumer(s) that called this function using
|
||||
a ``tractor`` portal.
|
||||
|
||||
This effectively makes order messages look like they're being
|
||||
"pushed" from the parent to the EMS where local sync code is likely
|
||||
doing the pushing from some UI.
|
||||
|
||||
"""
|
||||
book = get_orders()
|
||||
orders_stream = book._from_order_book
|
||||
|
||||
# signal that ems connection is up and ready
|
||||
book._ready_to_receive.set()
|
||||
|
||||
async for cmd in orders_stream:
|
||||
|
||||
# send msg over IPC / wire
|
||||
log.info(f'Send order cmd:\n{pformat(cmd)}')
|
||||
yield cmd
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def open_ems(
|
||||
broker: str,
|
||||
symbol: Symbol,
|
||||
# task_status: TaskStatus[str] = trio.TASK_STATUS_IGNORED,
|
||||
) -> None:
|
||||
"""Spawn an EMS daemon and begin sending orders and receiving
|
||||
alerts.
|
||||
|
||||
|
||||
This EMS tries to reduce most broker's terrible order entry apis to
|
||||
a very simple protocol built on a few easy to grok and/or
|
||||
"rantsy" premises:
|
||||
|
||||
- most users will prefer "dark mode" where orders are not submitted
|
||||
to a broker until and execution condition is triggered
|
||||
(aka client-side "hidden orders")
|
||||
|
||||
- Brokers over-complicate their apis and generally speaking hire
|
||||
poor designers to create them. We're better off using creating a super
|
||||
minimal, schema-simple, request-event-stream protocol to unify all the
|
||||
existing piles of shit (and shocker, it'll probably just end up
|
||||
looking like a decent crypto exchange's api)
|
||||
|
||||
- all order types can be implemented with client-side limit orders
|
||||
|
||||
- we aren't reinventing a wheel in this case since none of these
|
||||
brokers are exposing FIX protocol; it is they doing the re-invention.
|
||||
|
||||
|
||||
TODO: make some fancy diagrams using mermaid.io
|
||||
|
||||
the possible set of responses from the stream is currently:
|
||||
- 'dark_submitted', 'broker_submitted'
|
||||
- 'dark_cancelled', 'broker_cancelled'
|
||||
- 'dark_executed', 'broker_executed'
|
||||
- 'broker_filled'
|
||||
"""
|
||||
actor = tractor.current_actor()
|
||||
subactor_name = 'emsd'
|
||||
|
||||
# TODO: add ``maybe_spawn_emsd()`` for this
|
||||
async with tractor.open_nursery() as n:
|
||||
|
||||
portal = await n.start_actor(
|
||||
subactor_name,
|
||||
enable_modules=[__name__],
|
||||
)
|
||||
trades_stream = await portal.run(
|
||||
_ems_main,
|
||||
client_actor_name=actor.name,
|
||||
broker=broker,
|
||||
symbol=symbol.key,
|
||||
|
||||
)
|
||||
|
||||
# wait for service to connect back to us signalling
|
||||
# ready for order commands
|
||||
book = get_orders()
|
||||
|
||||
with trio.fail_after(10):
|
||||
await book._ready_to_receive.wait()
|
||||
|
||||
yield book, trades_stream
|
||||
|
|
|
|||
|
|
@ -0,0 +1,317 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for 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/>.
|
||||
|
||||
"""
|
||||
Fake trading for forward testing.
|
||||
|
||||
"""
|
||||
from datetime import datetime
|
||||
import time
|
||||
from typing import Tuple
|
||||
import uuid
|
||||
|
||||
from bidict import bidict
|
||||
import trio
|
||||
from dataclasses import dataclass
|
||||
|
||||
from ..data._normalize import iterticks
|
||||
|
||||
|
||||
@dataclass
|
||||
class PaperBoi:
|
||||
"""Emulates a broker order client providing the same API and
|
||||
order-event response event stream format but with methods for
|
||||
triggering desired events based on forward testing engine
|
||||
requirements.
|
||||
|
||||
"""
|
||||
broker: str
|
||||
_to_trade_stream: trio.abc.SendChannel
|
||||
trade_stream: trio.abc.ReceiveChannel
|
||||
|
||||
# map of paper "live" orders which be used
|
||||
# to simulate fills based on paper engine settings
|
||||
_buys: bidict
|
||||
_sells: bidict
|
||||
_reqids: bidict
|
||||
|
||||
# init edge case L1 spread
|
||||
last_ask: Tuple[float, float] = (float('inf'), 0) # price, size
|
||||
last_bid: Tuple[float, float] = (0, 0)
|
||||
|
||||
async def submit_limit(
|
||||
self,
|
||||
oid: str, # XXX: see return value
|
||||
symbol: str,
|
||||
price: float,
|
||||
action: str,
|
||||
size: float,
|
||||
) -> int:
|
||||
"""Place an order and return integer request id provided by client.
|
||||
|
||||
"""
|
||||
# the trades stream expects events in the form
|
||||
# {'local_trades': (event_name, msg)}
|
||||
reqid = str(uuid.uuid4())
|
||||
|
||||
# TODO: net latency model
|
||||
# we checkpoint here quickly particulalry
|
||||
# for dark orders since we want the dark_executed
|
||||
# to trigger first thus creating a lookup entry
|
||||
# in the broker trades event processing loop
|
||||
await trio.sleep(0.05)
|
||||
|
||||
await self._to_trade_stream.send({
|
||||
|
||||
'local_trades': ('status', {
|
||||
|
||||
'time_ns': time.time_ns(),
|
||||
'reqid': reqid,
|
||||
|
||||
'status': 'submitted',
|
||||
'broker': self.broker,
|
||||
# 'cmd': cmd, # original request message
|
||||
|
||||
'paper_info': {
|
||||
'oid': oid,
|
||||
},
|
||||
}),
|
||||
})
|
||||
|
||||
# register order internally
|
||||
self._reqids[reqid] = (oid, symbol, action, price)
|
||||
|
||||
# if we're already a clearing price simulate an immediate fill
|
||||
if (
|
||||
action == 'buy' and (clear_price := self.last_ask[0]) <= price
|
||||
) or (
|
||||
action == 'sell' and (clear_price := self.last_bid[0]) >= price
|
||||
):
|
||||
await self.fake_fill(clear_price, size, action, reqid, oid)
|
||||
|
||||
else: # register this submissions as a paper live order
|
||||
|
||||
# submit order to book simulation fill loop
|
||||
if action == 'buy':
|
||||
orders = self._buys
|
||||
|
||||
elif action == 'sell':
|
||||
orders = self._sells
|
||||
|
||||
# buys/sells: (symbol -> (price -> order))
|
||||
orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
|
||||
|
||||
return reqid
|
||||
|
||||
async def submit_cancel(
|
||||
self,
|
||||
reqid: str,
|
||||
) -> None:
|
||||
|
||||
# TODO: fake market simulation effects
|
||||
# await self._to_trade_stream.send(
|
||||
oid, symbol, action, price = self._reqids[reqid]
|
||||
|
||||
if action == 'buy':
|
||||
self._buys[symbol].pop(price)
|
||||
elif action == 'sell':
|
||||
self._sells[symbol].pop(price)
|
||||
|
||||
# TODO: net latency model
|
||||
await trio.sleep(0.05)
|
||||
|
||||
await self._to_trade_stream.send({
|
||||
|
||||
'local_trades': ('status', {
|
||||
|
||||
'time_ns': time.time_ns(),
|
||||
'oid': oid,
|
||||
'reqid': reqid,
|
||||
|
||||
'status': 'cancelled',
|
||||
'broker': self.broker,
|
||||
# 'cmd': cmd, # original request message
|
||||
|
||||
'paper': True,
|
||||
}),
|
||||
})
|
||||
|
||||
async def fake_fill(
|
||||
self,
|
||||
price: float,
|
||||
size: float,
|
||||
action: str, # one of {'buy', 'sell'}
|
||||
|
||||
reqid: str,
|
||||
oid: str,
|
||||
|
||||
# determine whether to send a filled status that has zero
|
||||
# remaining lots to fill
|
||||
order_complete: bool = True,
|
||||
remaining: float = 0,
|
||||
) -> None:
|
||||
"""Pretend to fill a broker order @ price and size.
|
||||
|
||||
"""
|
||||
# TODO: net latency model
|
||||
await trio.sleep(0.05)
|
||||
|
||||
await self._to_trade_stream.send({
|
||||
|
||||
'local_trades': ('fill', {
|
||||
|
||||
'status': 'filled',
|
||||
'broker': self.broker,
|
||||
# converted to float by us in ib backend
|
||||
'broker_time': datetime.now().timestamp(),
|
||||
|
||||
'action': action,
|
||||
'size': size,
|
||||
'price': price,
|
||||
'remaining': 0 if order_complete else remaining,
|
||||
|
||||
# normally filled by real `brokerd` daemon
|
||||
'time': time.time_ns(),
|
||||
'time_ns': time.time_ns(), # cuz why not
|
||||
|
||||
# fake ids
|
||||
'reqid': reqid,
|
||||
|
||||
'paper_info': {
|
||||
'oid': oid,
|
||||
},
|
||||
|
||||
# XXX: fields we might not need to emulate?
|
||||
# execution id from broker
|
||||
# 'execid': execu.execId,
|
||||
# 'cmd': cmd, # original request message?
|
||||
}),
|
||||
})
|
||||
if order_complete:
|
||||
await self._to_trade_stream.send({
|
||||
|
||||
'local_trades': ('status', {
|
||||
'reqid': reqid,
|
||||
'status': 'filled',
|
||||
'broker': self.broker,
|
||||
'filled': size,
|
||||
'remaining': 0 if order_complete else remaining,
|
||||
|
||||
# converted to float by us in ib backend
|
||||
'broker_time': datetime.now().timestamp(),
|
||||
'paper_info': {
|
||||
'oid': oid,
|
||||
},
|
||||
}),
|
||||
})
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
quote_stream: 'tractor.ReceiveStream', # noqa
|
||||
client: PaperBoi,
|
||||
) -> None:
|
||||
|
||||
# TODO: more machinery to better simulate real-world market things:
|
||||
|
||||
# - slippage models, check what quantopian has:
|
||||
# https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py
|
||||
# * this should help with simulating partial fills in a fast moving mkt
|
||||
# afaiu
|
||||
|
||||
# - commisions models, also quantopian has em:
|
||||
# https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py
|
||||
|
||||
# - network latency models ??
|
||||
|
||||
# - position tracking:
|
||||
# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
|
||||
|
||||
# this stream may eventually contain multiple symbols
|
||||
async for quotes in quote_stream:
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
# dark order price filter(s)
|
||||
types=('ask', 'bid', 'trade', 'last')
|
||||
):
|
||||
# print(tick)
|
||||
tick_price = tick.get('price')
|
||||
ttype = tick['type']
|
||||
|
||||
if ttype in ('ask',):
|
||||
|
||||
client.last_ask = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_ask[1]),
|
||||
)
|
||||
|
||||
buys = client._buys.get(sym, {})
|
||||
|
||||
# iterate book prices descending
|
||||
for our_bid in reversed(sorted(buys.keys())):
|
||||
if tick_price < our_bid:
|
||||
|
||||
# retreive order info
|
||||
(size, oid, reqid, action) = buys.pop(our_bid)
|
||||
|
||||
# clearing price would have filled entirely
|
||||
await client.fake_fill(
|
||||
# todo slippage to determine fill price
|
||||
tick_price,
|
||||
size,
|
||||
action,
|
||||
reqid,
|
||||
oid,
|
||||
)
|
||||
else:
|
||||
# prices are interated in sorted order so
|
||||
# we're done
|
||||
break
|
||||
|
||||
if ttype in ('bid',):
|
||||
|
||||
client.last_bid = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_bid[1]),
|
||||
)
|
||||
|
||||
sells = client._sells.get(sym, {})
|
||||
|
||||
# iterate book prices ascending
|
||||
for our_ask in sorted(sells.keys()):
|
||||
if tick_price > our_ask:
|
||||
|
||||
# retreive order info
|
||||
(size, oid, reqid, action) = sells.pop(our_ask)
|
||||
|
||||
# clearing price would have filled entirely
|
||||
await client.fake_fill(
|
||||
tick_price,
|
||||
size,
|
||||
action,
|
||||
reqid,
|
||||
oid,
|
||||
)
|
||||
else:
|
||||
# prices are interated in sorted order so
|
||||
# we're done
|
||||
break
|
||||
|
||||
if ttype in ('trade', 'last'):
|
||||
# TODO: simulate actual book queues and our orders
|
||||
# place in it, might require full L2 data?
|
||||
pass
|
||||
|
|
@ -62,7 +62,7 @@ from ..log import get_logger
|
|||
from ._exec import run_qtractor, current_screen
|
||||
from ._interaction import ChartView, open_order_mode
|
||||
from .. import fsp
|
||||
from ..exchange._ems import open_ems
|
||||
from ..exchange._client import open_ems
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
|
|||
|
|
@ -33,7 +33,7 @@ import numpy as np
|
|||
from ..log import get_logger
|
||||
from ._style import _min_points_to_show, hcolor, _font
|
||||
from ._graphics._lines import order_line, LevelLine
|
||||
from ..exchange._ems import OrderBook
|
||||
from ..exchange._client import OrderBook
|
||||
from ..data._source import Symbol
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -16,6 +16,7 @@
|
|||
|
||||
"""
|
||||
Console interface to UI components.
|
||||
|
||||
"""
|
||||
from functools import partial
|
||||
import os
|
||||
|
|
@ -149,6 +150,8 @@ def chart(config, symbol, profile):
|
|||
tractor_kwargs={
|
||||
'debug_mode': True,
|
||||
'loglevel': tractorloglevel,
|
||||
'enable_modules': ['piker.exchange._ems'],
|
||||
'enable_modules': [
|
||||
'piker.exchange._client'
|
||||
],
|
||||
},
|
||||
)
|
||||
|
|
|
|||
Loading…
Reference in New Issue