Relay existing open orders from ib on startup

open_order_loading
Tyler Goodlet 2022-08-05 14:50:10 -04:00
parent 8bef67642e
commit 9e36dbe47f
1 changed files with 40 additions and 1 deletions

View File

@ -41,6 +41,7 @@ from ib_insync.contract import (
from ib_insync.order import (
Trade,
OrderStatus,
Order,
)
from ib_insync.objects import (
Fill,
@ -451,7 +452,6 @@ async def trades_dialogue(
# we might also want to delegate a specific actor for
# ledger writing / reading for speed?
async with (
# trio.open_nursery() as nurse,
open_client_proxies() as (proxies, aioclients),
):
# Open a trade ledgers stack for appending trade records over
@ -481,6 +481,42 @@ async def trades_dialogue(
for account, proxy in proxies.items():
client = aioclients[account]
trades: list[Trade] = client.ib.openTrades()
order_msgs = []
for trade in trades:
order = trade.order
quant = trade.order.totalQuantity
size = {
'SELL': -1,
'BUY': 1,
}[order.action] * quant
fqsn, _ = con2fqsn(trade.contract)
# TODO: maybe embed a ``BrokerdOrder`` instead
# since then we can directly load it on the client
# side in the order mode loop?
msg = BrokerdStatus(
reqid=order.orderId,
time_ns=time.time_ns(),
account=accounts_def.inverse[order.account],
status='submitted',
size=size,
price=order.lmtPrice,
filled=0,
reason='Existing live order',
# this seems to not be necessarily up to date in
# the execDetails event.. so we have to send it
# here I guess?
remaining=quant,
broker_details={
'name': 'ib',
'fqsn': fqsn,
},
)
order_msgs.append(msg)
# process pp value reported from ib's system. we only use these
# to cross-check sizing since average pricing on their end uses
# the so called (bs) "FIFO" style which more or less results in
@ -615,6 +651,9 @@ async def trades_dialogue(
ctx.open_stream() as ems_stream,
trio.open_nursery() as n,
):
# relay existing open orders to ems
for msg in order_msgs:
await ems_stream.send(msg)
for client in set(aioclients.values()):
trade_event_stream = await n.start(