Emit fills from `openOrders` block

The (partial) fills from this sub are most indicative of clears (also
says support) whereas the msgs in the `ownTrades` sub are only emitted
after the entire order request has completed - there is no size-vlm
remaining.

Further enhancements:
- this also includes proper subscription-syncing inside `subscribe()` with
  a small pre-msg-loop which waits on ack-msgs for each sub and raises any
  errors. This approach should probably be implemented for the data feed
  streams as well.
- configure the `ownTrades` sub to not bother sending historical data on
  startup.
- make the `openOrders` sub include rate limit counters.
- handle the rare case where the ems is trying to cancel an order which
  was just edited and hasn't yet had it's new `txid` registered.

piker/brokers/kraken/broker.py

@@ -114,8 +114,24 @@ async def handle_order_requests(
             }:
                 cancel = BrokerdCancel(**msg)
                 reqid = ids[cancel.oid]
-                txid = reqids2txids[reqid]
 
+                try:
+                    txid = reqids2txids[reqid]
+                except KeyError:
+                    # XXX: not sure if this block ever gets hit now?
+                    log.error('TOO FAST CANCEL/EDIT')
+                    reqids2txids[reqid] = TooFastEdit(reqid)
+                    await ems_order_stream.send(
+                        BrokerdError(
+                            oid=msg['oid'],
+                            symbol=msg['symbol'],
+                            reason=(
+                                f'TooFastEdit reqid:{reqid}, could not cancelling..'
+                            ),
+
+                        )
+                    )
+                else:
                     # call ws api to cancel:
                     # https://docs.kraken.com/websockets/#message-cancelOrder
                     await ws.send_msg({
@@ -235,9 +251,17 @@ async def handle_order_requests(
 async def subscribe(
     ws: wsproto.WSConnection,
     token: str,
-    subs: list[str] = [
+    subs: list[tuple[str, dict]] = [
-        'ownTrades',
+        ('ownTrades', {
-        'openOrders',
+            # don't send first 50 trades on startup,
+            # we already pull this manually from the rest endpoint.
+            'snapshot': False,
+        },),
+        ('openOrders', {
+            # include rate limit counters
+            'ratecounter': True,
+        },),
+
     ],
 ):
     '''
@@ -250,12 +274,15 @@ async def subscribe(
     # more specific logic for this in kraken's sync client:
     # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
     assert token
-    for sub in subs:
+    subnames: set[str] = set()
+
+    for name, sub_opts in subs:
         msg = {
             'event': 'subscribe',
             'subscription': {
-                'name': sub,
+                'name': name,
                 'token': token,
+                **sub_opts,
             }
         }
 
@@ -264,7 +291,34 @@ async def subscribe(
         # since internally the ws methods appear to be FIFO
         # locked.
         await ws.send_msg(msg)
+        subnames.add(name)
 
+    # wait on subscriptionn acks
+    with trio.move_on_after(5):
+        while True:
+            match (msg := await ws.recv_msg()):
+                case {
+                    'event': 'subscriptionStatus',
+                    'status': 'subscribed',
+                    'subscription': sub_opts,
+                } as msg:
+                    log.info(
+                        f'Sucessful subscribe for {sub_opts}:\n'
+                        f'{pformat(msg)}'
+                    )
+                    subnames.remove(sub_opts['name'])
+                    if not subnames:
+                        break
+
+                case {
+                    'event': 'subscriptionStatus',
+                    'status': 'error',
+                    'errorMessage': errmsg,
+                } as msg:
+                    raise RuntimeError(
+                        f'{errmsg}\n\n'
+                        f'{pformat(msg)}'
+                    )
     yield
 
     for sub in subs:
@@ -616,9 +670,10 @@ async def handle_order_updates(
                     for (tid, trade) in entry.items()
 
                     # don't re-process datums we've already seen
-                    if tid not in ledger_trans
+                    # if tid not in ledger_trans
                 }
                 for tid, trade in trades.items():
+                    assert tid not in ledger_trans
                     txid = trade['ordertxid']
                     reqid = trade.get('userref')
 
@@ -636,22 +691,8 @@ async def handle_order_updates(
                     size = float(trade['vol'])
                     broker_time = float(trade['time'])
 
-                    # send a fill msg for gui update
+                    # TODO: we can emit this on the "closed" state in
-                    fill_msg = BrokerdFill(
+                    # the `openOrders` sub-block below.
-                        time_ns=time.time_ns(),
-                        reqid=reqid,
-
-                        action=action,
-                        size=size,
-                        price=price,
-
-                        # TODO: maybe capture more msg data
-                        # i.e fees?
-                        broker_details={'name': 'kraken'} | trade,
-                        broker_time=broker_time
-                    )
-                    await ems_stream.send(fill_msg)
-
                     status_msg = BrokerdStatus(
                         reqid=reqid,
                         time_ns=time.time_ns(),
@@ -905,17 +946,33 @@ async def handle_order_updates(
                         # NOTE: there is no `status` field
                         case {
                             'vol_exec': vlm,
+                            'avg_price': price,
                             'userref': reqid,
                             **rest,
-                        }:
+                        } as msg:
-                            # TODO: emit fill msg from here?
+
                             ourreqid = reqids2txids.inverse[txid]
                             assert reqid == ourreqid
                             log.info(
                                 f'openOrders vlm={vlm} Fill for {reqid}:\n'
                                 f'{update_msg}'
                             )
-                            continue
+
+                            fill_msg = BrokerdFill(
+                                time_ns=time.time_ns(),
+                                reqid=reqid,
+
+                                # action=action,  # just use size value
+                                # for now?
+                                size=vlm,
+                                price=price,
+
+                                # TODO: maybe capture more msg data
+                                # i.e fees?
+                                broker_details={'name': 'kraken'} | trade,
+                                broker_time=broker_time
+                            )
+                            await ems_stream.send(fill_msg)
 
                         case _:
                             log.warning(
@@ -923,17 +980,7 @@ async def handle_order_updates(
                                 f'{txid}:{order_msg}'
                             )
 
-            # NOTE: The only reason for this seems to be remapping
+            # order request status updates
-            # underlying `txid` values on order "edits" which the
-            # `openOrders` sub doesn't seem to have any knowledge of.
-            # UPDATE: seems like we don't need this any more thanks to
-            # passing through the dialog key / reqid in the `newuserref`
-            # field on edit requests.
-
-            # I'd also like to ask them which event guarantees that the
-            # the live order is now in the book, since these status ones
-            # almost seem more like request-acks then state guarantees.
-            # ANSWER the `openOrders` is more indicative of "liveness".
             case {
                 'event': etype,
                 'status': status,
@@ -1003,8 +1050,8 @@ async def handle_order_updates(
                             'reqid': reqid or 0,
                             'txid': [txid],
                         })
-
             case _:
+
                 log.warning(f'Unhandled trades update msg: {msg}')
 
 

piker/clearing/_messages.py

@@ -222,10 +222,13 @@ class BrokerdFill(Struct):
     time_ns: int
 
     # order exeuction related
-    action: str
     size: float
     price: float
 
+    # TODO: pretty sure we can just remove this and instaed use
+    # +/- size values right?
+    action: Optional[str] = None
+
     broker_details: dict = {}  # meta-data (eg. commisions etc.)
 
     # brokerd timestamp required for order mode arrow placement on x-axis