goodboy
GitHub
commit
9651ca84bf
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@ -23,7 +23,11 @@ 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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from typing import AsyncIterator, Callable
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from typing import (
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AsyncIterator,
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Any,
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Callable,
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)
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from bidict import bidict
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import trio
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@ -170,10 +174,9 @@ async def clear_dark_triggers(
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)
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):
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price = tick.get('price')
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ttype = tick['type']
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# update to keep new cmds informed
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book.lasts[sym] = price
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ttype = tick['type']
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for oid, (
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pred,
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@ -189,50 +192,47 @@ async def clear_dark_triggers(
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ttype not in tf or
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not pred(price)
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):
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log.debug(
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f'skipping quote for {sym} '
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f'{pred}, {ttype} not in {tf}?, {pred(price)}'
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)
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# log.runtime(
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# f'skipping quote for {sym} '
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# f'{pred} -> {pred(price)}\n'
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# f'{ttype} not in {tf}?'
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# )
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# majority of iterations will be non-matches
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continue
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action: str = cmd['action']
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symbol: str = cmd['symbol']
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bfqsn: str = symbol.replace(f'.{broker}', '')
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if action == 'alert':
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# nothing to do but relay a status
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# message back to the requesting ems client
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match cmd:
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# alert: nothing to do but relay a status
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# back to the requesting ems client
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case {
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'action': 'alert',
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}:
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resp = 'alert_triggered'
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else: # executable order submission
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# submit_price = price + price*percent_away
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# executable order submission
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case {
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'action': action,
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'symbol': symbol,
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'account': account,
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'size': size,
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}:
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bfqsn: str = symbol.replace(f'.{broker}', '')
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submit_price = price + abs_diff_away
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resp = 'dark_triggered' # hidden on client-side
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log.info(
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f'Dark order triggered for price {price}\n'
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f'Submitting order @ price {submit_price}')
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msg = BrokerdOrder(
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action=cmd['action'],
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live_req = BrokerdOrder(
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action=action,
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oid=oid,
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account=cmd['account'],
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account=account,
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time_ns=time.time_ns(),
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# this **creates** new order request for the
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# underlying broker so we set a "broker
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# request id" (``reqid`` kwarg) to ``None``
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# so that the broker client knows that we
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# aren't trying to modify an existing
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# order-request and instead create a new one.
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reqid=None,
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symbol=bfqsn,
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price=submit_price,
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size=cmd['size'],
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size=size,
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)
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await brokerd_orders_stream.send(msg)
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await brokerd_orders_stream.send(live_req)
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# mark this entry as having sent an order
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# request. the entry will be replaced once the
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@ -240,14 +240,14 @@ 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] = msg
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book._ems_entries[oid] = live_req
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# our internal status value for client-side
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# triggered "dark orders"
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resp = 'dark_triggered'
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case _:
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raise ValueError(f'Invalid dark book entry: {cmd}')
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msg = Status(
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oid=oid, # ems order id
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# fallthrough logic
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resp = Status(
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oid=oid, # ems dialog id
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time_ns=time.time_ns(),
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resp=resp,
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trigger_price=price,
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@ -262,13 +262,14 @@ async def clear_dark_triggers(
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f'pred for {oid} was already removed!?'
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)
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# send response to client-side
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try:
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await ems_client_order_stream.send(msg)
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await ems_client_order_stream.send(resp)
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except (
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trio.ClosedResourceError,
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):
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log.warning(
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f'client {ems_client_order_stream} stream is broke'
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f'{ems_client_order_stream} stream broke?'
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)
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break
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@ -572,22 +573,25 @@ async def translate_and_relay_brokerd_events(
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assert relay.brokerd_dialogue == brokerd_trades_stream
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brokerd_msg: dict[str, Any]
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async for brokerd_msg in brokerd_trades_stream:
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name = brokerd_msg['name']
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log.info(
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f'Received broker trade event:\n'
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f'{pformat(brokerd_msg)}'
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)
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match brokerd_msg:
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if name == 'position':
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# BrokerdPosition
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case {
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'name': 'position',
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'symbol': sym,
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'broker': broker,
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}:
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pos_msg = BrokerdPosition(**brokerd_msg)
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# XXX: this will be useful for automatic strats yah?
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# keep pps per account up to date locally in ``emsd`` mem
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sym, broker = pos_msg.symbol, pos_msg.broker
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# sym, broker = pos_msg.symbol, pos_msg.broker
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relay.positions.setdefault(
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# NOTE: translate to a FQSN!
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@ -610,60 +614,16 @@ async def translate_and_relay_brokerd_events(
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continue
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# Get the broker (order) request id, this **must** be normalized
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# into messaging provided by the broker backend
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reqid = brokerd_msg['reqid']
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# all piker originated requests will have an ems generated oid field
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oid = brokerd_msg.get(
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'oid',
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book._ems2brokerd_ids.inverse.get(reqid)
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)
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if oid is None:
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# XXX: paper clearing special cases
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# paper engine race case: ``Client.submit_limit()`` hasn't
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# returned yet and provided an output reqid to register
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# locally, so we need to retreive the oid that was already
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# packed at submission since we already know it ahead of
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# time
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paper = brokerd_msg['broker_details'].get('paper_info')
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ext = brokerd_msg['broker_details'].get('external')
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if paper:
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# paperboi keeps the ems id up front
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oid = paper['oid']
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elif ext:
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# may be an order msg specified as "external" to the
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# piker ems flow (i.e. generated by some other
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# external broker backend client (like tws for ib)
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log.error(f"External trade event {ext}")
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continue
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else:
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# something is out of order, we don't have an oid for
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# this broker-side message.
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log.error(
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f'Unknown oid: {oid} for 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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# check for existing live flow entry
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entry = book._ems_entries.get(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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# BrokerdOrderAck
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case {
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'name': 'ack',
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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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):
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# initial response to brokerd order request
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if name == 'ack':
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# if name == 'ack':
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# register the brokerd request id (that was generated
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# / created internally by the broker backend) with our
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@ -697,60 +657,52 @@ async def translate_and_relay_brokerd_events(
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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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# no msg to client necessary
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continue
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# a live flow now exists
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oid = entry.oid
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# BrokerdOrderError
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case {
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'name': 'error',
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'oid': oid, # ems order-dialog id
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'reqid': reqid, # brokerd generated order-request id
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'symbol': sym,
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'broker_details': details,
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# 'reason': reason,
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}:
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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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# TODO: instead this should be our status set.
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# ack, open, fill, closed, cancelled'
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resp = None
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broker_details = {}
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if name in (
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'error',
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):
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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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# management response, like cancelling all dark orders?
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# This looks like a supervision policy for pending orders on
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# some unexpected failure - something we need to think more
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# about. In most default situations, with composed orders
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# (ex. brackets), most brokers seem to use a oca policy.
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msg = BrokerdError(**brokerd_msg)
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# BrokerdStatus
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case {
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'name': 'status',
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'status': status,
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'reqid': reqid, # brokerd generated order-request id
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# TODO: feels like the wrong msg for this field?
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'remaining': remaining,
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# XXX should we make one when it's blank?
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log.error(pformat(msg))
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# TODO: getting this bs, prolly need to handle status messages
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# 'Market data farm connection is OK:usfarm.nj'
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# another stupid ib error to handle
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# if 10147 in message: cancel
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resp = 'broker_errored'
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broker_details = msg
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# don't relay message to order requester client
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# continue
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elif name in (
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'status',
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} if (
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oid := book._ems2brokerd_ids.inverse.get(reqid)
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):
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msg = BrokerdStatus(**brokerd_msg)
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if msg.status == 'cancelled':
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# TODO: should we flatten out these cases and/or should
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# they maybe even eventually be separate messages?
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if status == 'cancelled':
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log.info(f'Cancellation for {oid} is complete!')
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if msg.status == 'filled':
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if status == 'filled':
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# conditional execution is fully complete, no more
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# fills for the noted order
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if not msg.remaining:
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if not remaining:
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resp = 'broker_executed'
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@ -766,23 +718,76 @@ 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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# pass the BrokerdStatus msg inside the broker details field
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broker_details = msg
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elif name in (
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'fill',
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# BrokerdFill
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case {
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'name': 'fill',
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'reqid': reqid, # brokerd generated order-request id
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# 'symbol': sym, # paper engine doesn't have this, nbd?
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} if (
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oid := book._ems2brokerd_ids.inverse.get(reqid)
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):
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msg = BrokerdFill(**brokerd_msg)
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# proxy through the "fill" result(s)
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msg = BrokerdFill(**brokerd_msg)
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resp = 'broker_filled'
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broker_details = msg
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log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
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else:
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# unknown valid message case?
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# case {
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# 'name': name,
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# 'symbol': sym,
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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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# 'broker_details': details,
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# } if (
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# book._ems2brokerd_ids.inverse.get(reqid) is None
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# ):
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# # TODO: pretty sure we can drop this now?
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# # XXX: paper clearing special cases
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# # paper engine race case: ``Client.submit_limit()`` hasn't
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# # returned yet and provided an output reqid to register
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# # locally, so we need to retreive the oid that was already
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# # packed at submission since we already know it ahead of
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# # time
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# paper = details.get('paper_info')
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# ext = details.get('external')
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# if paper:
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# # paperboi keeps the ems id up front
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# oid = paper['oid']
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# elif ext:
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# # may be an order msg specified as "external" to the
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# # piker ems flow (i.e. generated by some other
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# # external broker backend client (like tws for ib)
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# log.error(f"External trade event {name}@{ext}")
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# else:
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# # something is out of order, we don't have an oid for
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# # this broker-side message.
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# log.error(
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# f'Unknown oid: {oid} for msg {name}:\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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# continue
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case _:
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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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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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# Create and relay response status message
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# to requesting EMS client
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try:
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@ -793,7 +798,7 @@ async def translate_and_relay_brokerd_events(
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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=broker_details,
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brokerd_msg=msg,
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)
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)
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except KeyError:
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@ -808,11 +813,11 @@ async def translate_and_relay_brokerd_events(
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async def process_client_order_cmds(
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client_order_stream: tractor.MsgStream, # noqa
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client_order_stream: tractor.MsgStream,
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brokerd_order_stream: tractor.MsgStream,
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symbol: str,
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feed: Feed, # noqa
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feed: Feed,
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dark_book: _DarkBook,
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router: Router,
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@ -822,34 +827,24 @@ async def process_client_order_cmds(
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# cmd: dict
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async for cmd in client_order_stream:
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log.info(f'Received order cmd:\n{pformat(cmd)}')
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action = cmd['action']
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oid = cmd['oid']
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# TODO: make ``tractor.MsgStream`` a frozen type again such that it
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# can be stored in sets like the old context was.
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# wait, maybe this **is** already working thanks to our parent
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# `trio` type?
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# register this stream as an active dialogue for this order id
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# such that translated message from the brokerd backend can be
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# routed (relayed) to **just** that client stream (and in theory
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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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# 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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if live_entry:
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match cmd:
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# existing live-broker order cancel
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case {
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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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msg = BrokerdCancel(
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oid=oid,
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reqid=reqid,
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|
@ -860,12 +855,10 @@ async def process_client_order_cmds(
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# NOTE: cancel response will be relayed back in messages
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# from corresponding broker
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if reqid is not None:
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||||
# send cancel to brokerd immediately!
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log.info(
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f'Submitting cancel for live order {reqid}'
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||||
)
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|
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await brokerd_order_stream.send(msg)
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else:
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|
|
@ -876,7 +869,10 @@ async def process_client_order_cmds(
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dark_book._ems_entries[oid] = msg
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||||
|
||||
# dark trigger cancel
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||||
else:
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case {
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'action': 'cancel',
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'oid': oid,
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||||
} if not live_entry:
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try:
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# remove from dark book clearing
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dark_book.orders[symbol].pop(oid, None)
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|
|
@ -896,25 +892,27 @@ async def process_client_order_cmds(
|
|||
except KeyError:
|
||||
log.exception(f'No dark order for {symbol}?')
|
||||
|
||||
# TODO: 3.10 struct-pattern matching and unpacking here
|
||||
elif action in ('alert', 'buy', 'sell',):
|
||||
# live order submission
|
||||
case {
|
||||
'oid': oid,
|
||||
'symbol': fqsn,
|
||||
'price': trigger_price,
|
||||
'size': size,
|
||||
'action': ('buy' | 'sell') as action,
|
||||
'exec_mode': 'live',
|
||||
}:
|
||||
# TODO: eventually we should be receiving
|
||||
# this struct on the wire unpacked in a scoped protocol
|
||||
# setup with ``tractor``.
|
||||
req = Order(**cmd)
|
||||
broker = req.brokers[0]
|
||||
|
||||
msg = Order(**cmd)
|
||||
|
||||
fqsn = msg.symbol
|
||||
trigger_price = msg.price
|
||||
size = msg.size
|
||||
exec_mode = msg.exec_mode
|
||||
broker = msg.brokers[0]
|
||||
# remove the broker part before creating a message
|
||||
# to send to the specific broker since they probably
|
||||
# aren't expectig their own name, but should they?
|
||||
sym = fqsn.replace(f'.{broker}', '')
|
||||
|
||||
if exec_mode == 'live' and action in ('buy', 'sell',):
|
||||
|
||||
if live_entry is not None:
|
||||
|
||||
# sanity check on emsd id
|
||||
assert live_entry.oid == oid
|
||||
reqid = live_entry.reqid
|
||||
|
|
@ -934,7 +932,7 @@ async def process_client_order_cmds(
|
|||
action=action,
|
||||
price=trigger_price,
|
||||
size=size,
|
||||
account=msg.account,
|
||||
account=req.account,
|
||||
)
|
||||
|
||||
# send request to backend
|
||||
|
|
@ -954,12 +952,22 @@ async def process_client_order_cmds(
|
|||
# that live order asap.
|
||||
dark_book._ems_entries[oid] = msg
|
||||
|
||||
# dark-order / alert submission
|
||||
case {
|
||||
'oid': oid,
|
||||
'symbol': fqsn,
|
||||
'price': trigger_price,
|
||||
'size': size,
|
||||
'exec_mode': exec_mode,
|
||||
'action': action,
|
||||
'brokers': brokers, # list
|
||||
} if (
|
||||
# "DARK" triggers
|
||||
# submit order to local EMS book and scan loop,
|
||||
# effectively a local clearing engine, which
|
||||
# scans for conditions and triggers matching executions
|
||||
elif exec_mode in ('dark', 'paper') or (
|
||||
action in ('alert')
|
||||
exec_mode in ('dark', 'paper')
|
||||
or action == 'alert'
|
||||
):
|
||||
# Auto-gen scanner predicate:
|
||||
# we automatically figure out what the alert check
|
||||
|
|
@ -977,6 +985,7 @@ async def process_client_order_cmds(
|
|||
pred = mk_check(trigger_price, last, action)
|
||||
|
||||
spread_slap: float = 5
|
||||
sym = fqsn.replace(f'.{brokers[0]}', '')
|
||||
min_tick = feed.symbols[sym].tick_size
|
||||
|
||||
if action == 'buy':
|
||||
|
|
@ -999,10 +1008,8 @@ async def process_client_order_cmds(
|
|||
abs_diff_away = 0
|
||||
|
||||
# submit execution/order to EMS scan loop
|
||||
|
||||
# NOTE: this may result in an override of an existing
|
||||
# dark book entry if the order id already exists
|
||||
|
||||
dark_book.orders.setdefault(
|
||||
fqsn, {}
|
||||
)[oid] = (
|
||||
|
|
@ -1029,17 +1036,16 @@ async def process_client_order_cmds(
|
|||
|
||||
@tractor.context
|
||||
async def _emsd_main(
|
||||
|
||||
ctx: tractor.Context,
|
||||
fqsn: str,
|
||||
exec_mode: str, # ('paper', 'live')
|
||||
|
||||
loglevel: str = 'info',
|
||||
|
||||
) -> None:
|
||||
'''EMS (sub)actor entrypoint providing the
|
||||
execution management (micro)service which conducts broker
|
||||
order clearing control on behalf of clients.
|
||||
'''
|
||||
EMS (sub)actor entrypoint providing the execution management
|
||||
(micro)service which conducts broker order clearing control on
|
||||
behalf of clients.
|
||||
|
||||
This is the daemon (child) side routine which starts an EMS runtime
|
||||
task (one per broker-feed) and and begins streaming back alerts from
|
||||
|
|
@ -1083,9 +1089,8 @@ async def _emsd_main(
|
|||
# tractor.Context instead of strictly requiring a ctx arg.
|
||||
ems_ctx = ctx
|
||||
|
||||
feed: Feed
|
||||
|
||||
# spawn one task per broker feed
|
||||
feed: Feed
|
||||
async with (
|
||||
maybe_open_feed(
|
||||
[fqsn],
|
||||
|
|
|
|||
|
|
@ -312,47 +312,51 @@ async def simulate_fills(
|
|||
|
||||
# this stream may eventually contain multiple symbols
|
||||
async for quotes in quote_stream:
|
||||
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
for tick in iterticks(
|
||||
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',):
|
||||
|
||||
match tick:
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': 'ask',
|
||||
}:
|
||||
client.last_ask = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_ask[1]),
|
||||
)
|
||||
|
||||
orders = client._buys.get(sym, {})
|
||||
|
||||
book_sequence = reversed(
|
||||
sorted(orders.keys(), key=itemgetter(1)))
|
||||
|
||||
def pred(our_price):
|
||||
return tick_price < our_price
|
||||
|
||||
elif ttype in ('bid',):
|
||||
return tick_price <= our_price
|
||||
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': 'bid',
|
||||
}:
|
||||
client.last_bid = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_bid[1]),
|
||||
)
|
||||
|
||||
orders = client._sells.get(sym, {})
|
||||
book_sequence = sorted(orders.keys(), key=itemgetter(1))
|
||||
book_sequence = sorted(
|
||||
orders.keys(),
|
||||
key=itemgetter(1)
|
||||
)
|
||||
|
||||
def pred(our_price):
|
||||
return tick_price > our_price
|
||||
return tick_price >= our_price
|
||||
|
||||
elif ttype in ('trade', 'last'):
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': ('trade' | 'last'),
|
||||
}:
|
||||
# TODO: simulate actual book queues and our orders
|
||||
# place in it, might require full L2 data?
|
||||
continue
|
||||
|
|
|
|||
Loading…
Reference in New Issue