Handle `Position.split_ratio` in state audits
This firstly changes `.audit_sizing()` => `.ensure_state()` and makes it return `None` as well as only error when split ratio denoted (via config) positions do not size as expected. Further refinements, - add an `.expired()` predicate method - always return a size of zero from `.calc_size()` on expired assets - load each `pps.toml` entry's clear tabe into `Transaction`s and use `.add_clear()` during from config init.doin_the_splits
parent
23ba0e5e69
commit
999ae5a1c6
110
piker/pp.py
110
piker/pp.py
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@ -175,16 +175,14 @@ class Position(Struct):
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s = d.pop('symbol')
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s = d.pop('symbol')
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fqsn = s.front_fqsn()
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fqsn = s.front_fqsn()
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size = d.pop('size')
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ppu = d.pop('ppu')
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d['size'], d['ppu'] = self.audit_sizing(size, ppu)
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if self.expiry is None:
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if self.expiry is None:
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d.pop('expiry', None)
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d.pop('expiry', None)
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elif expiry:
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elif expiry:
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d['expiry'] = str(expiry)
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d['expiry'] = str(expiry)
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toml_clears_list = []
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toml_clears_list = []
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# reverse sort so latest clears are at top of section?
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for tid, data in sorted(
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for tid, data in sorted(
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list(clears.items()),
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list(clears.items()),
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@ -213,39 +211,51 @@ class Position(Struct):
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return fqsn, d
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return fqsn, d
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def audit_sizing(
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def ensure_state(self) -> None:
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self,
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size: Optional[float] = None,
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ppu: Optional[float] = None,
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) -> tuple[float, float]:
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'''
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'''
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Audit either the `.size` and `.ppu` values or equvialent
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Audit either the `.size` and `.ppu` local instance vars against
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passed in values against the clears table calculations and
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the clears table calculations and return the calc-ed values if
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return the calc-ed values if they differ and log warnings to
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they differ and log warnings to console.
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console.
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'''
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'''
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size = size or self.size
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clears = list(self.clears.values())
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ppu = ppu or self.ppu
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self.first_clear_dt = min(list(entry['dt'] for entry in clears))
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last_clear = clears[-1]
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csize = self.calc_size()
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csize = self.calc_size()
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cppu = self.calc_ppu()
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accum = last_clear['accum_size']
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if not self.expired():
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if (
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csize != accum
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and csize != round(accum * self.split_ratio or 1)
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):
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raise ValueError(f'Size mismatch: {csize}')
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else:
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assert csize == 0, 'Contract is expired but non-zero size?'
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if size != csize:
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if self.size != csize:
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log.warning(f'size != calculated size: {size} != {csize}')
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size = csize
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if ppu != cppu:
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log.warning(
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log.warning(
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f'ppu != calculated ppu: {ppu} != {cppu}'
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'Position state mismatch:\n'
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f'{self.size} => {csize}'
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)
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)
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ppu = cppu
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self.size = csize
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self.first_clear_dt = min(
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cppu = self.calc_ppu()
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list(entry['dt'] for entry in self.clears.values())
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ppu = last_clear['ppu']
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if (
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cppu != ppu
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and self.split_ratio is not None
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# handle any split info entered (for now) manually by user
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and cppu != (ppu / self.split_ratio)
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):
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raise ValueError(f'PPU mismatch: {cppu}')
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if self.ppu != cppu:
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log.warning(
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'Position state mismatch:\n'
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f'{self.ppu} => {cppu}'
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)
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)
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self.ppu = cppu
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return size, ppu
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def update_from_msg(
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def update_from_msg(
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self,
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self,
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@ -406,8 +416,26 @@ class Position(Struct):
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return final_ppu
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return final_ppu
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def expired(self) -> bool:
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'''
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Predicate which checks if the contract/instrument is past its expiry.
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'''
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return bool(self.expiry) and self.expiry < now()
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def calc_size(self) -> float:
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def calc_size(self) -> float:
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'''
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Calculate the unit size of this position in the destination
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asset using the clears/trade event table; zero if expired.
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'''
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size: float = 0
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size: float = 0
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# time-expired pps (normally derivatives) are "closed"
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# and have a zero size.
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if self.expired():
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return 0
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for tid, entry in self.clears.items():
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for tid, entry in self.clears.items():
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size += entry['size']
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size += entry['size']
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@ -473,6 +501,9 @@ class Position(Struct):
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return clear
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return clear
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def sugest_split(self) -> float:
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...
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class PpTable(Struct):
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class PpTable(Struct):
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@ -532,7 +563,7 @@ class PpTable(Struct):
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# minimize clears tables and update sizing.
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# minimize clears tables and update sizing.
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for bsuid, pp in updated.items():
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for bsuid, pp in updated.items():
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pp.size, pp.ppu = pp.audit_sizing()
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pp.ensure_state()
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return updated
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return updated
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@ -565,7 +596,7 @@ class PpTable(Struct):
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# if bsuid == qqqbsuid:
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# if bsuid == qqqbsuid:
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# breakpoint()
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# breakpoint()
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pp.size, pp.ppu = pp.audit_sizing()
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pp.ensure_state()
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if (
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if (
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# "net-zero" is a "closed" position
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# "net-zero" is a "closed" position
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@ -605,6 +636,7 @@ class PpTable(Struct):
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# keep the minimal amount of clears that make up this
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# keep the minimal amount of clears that make up this
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# position since the last net-zero state.
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# position since the last net-zero state.
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pos.minimize_clears()
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pos.minimize_clears()
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pos.ensure_state()
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# serialize to pre-toml form
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# serialize to pre-toml form
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fqsn, asdict = pos.to_pretoml()
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fqsn, asdict = pos.to_pretoml()
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@ -872,11 +904,22 @@ def open_pps(
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# convert "clear events table" from the toml config (list of
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# convert "clear events table" from the toml config (list of
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# a dicts) and load it into object form for use in position
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# a dicts) and load it into object form for use in position
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# processing of new clear events.
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# processing of new clear events.
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trans: list[Transaction] = []
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for clears_table in clears_list:
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for clears_table in clears_list:
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tid = clears_table.pop('tid')
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tid = clears_table.pop('tid')
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dtstr = clears_table['dt']
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dtstr = clears_table['dt']
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dt = pendulum.parse(dtstr)
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dt = pendulum.parse(dtstr)
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clears_table['dt'] = dt
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clears_table['dt'] = dt
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trans.append(Transaction(
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fqsn=bsuid,
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bsuid=bsuid,
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tid=tid,
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size=clears_table['size'],
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price=clears_table['price'],
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cost=clears_table['cost'],
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dt=dt,
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))
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clears[tid] = clears_table
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clears[tid] = clears_table
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size = entry['size']
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size = entry['size']
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@ -896,17 +939,18 @@ def open_pps(
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split_ratio=split_ratio,
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split_ratio=split_ratio,
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expiry=expiry,
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expiry=expiry,
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bsuid=entry['bsuid'],
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bsuid=entry['bsuid'],
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)
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# XXX: super critical, we need to be sure to include
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# XXX: super critical, we need to be sure to include
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# all pps.toml clears to avoid reusing clears that were
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# all pps.toml clears to avoid reusing clears that were
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# already included in the current incremental update
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# already included in the current incremental update
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# state, since today's records may have already been
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# state, since today's records may have already been
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# processed!
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# processed!
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clears=clears,
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for t in trans:
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)
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pp.add_clear(t)
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# audit entries loaded from toml
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# audit entries loaded from toml
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pp.size, pp.ppu = pp.audit_sizing()
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pp.ensure_state()
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try:
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try:
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yield table
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yield table
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