Adjust paper-engine to use `Transaction` for pps updates
Tyler Goodlet
parent
7cbdc6a246
commit
a0c238daa7
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@ -22,17 +22,25 @@ from contextlib import asynccontextmanager
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from datetime import datetime
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from operator import itemgetter
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import time
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from typing import Tuple, Optional, Callable
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from typing import (
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Any,
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Optional,
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Callable,
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)
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import uuid
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from bidict import bidict
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import pendulum
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import trio
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import tractor
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from dataclasses import dataclass
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from .. import data
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from ..data._source import Symbol
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from ..pp import Position
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from ..pp import (
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Position,
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Transaction,
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)
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from ..data._normalize import iterticks
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from ..data._source import unpack_fqsn
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from ..log import get_logger
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@ -63,11 +71,12 @@ class PaperBoi:
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_buys: bidict
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_sells: bidict
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_reqids: bidict
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_positions: dict[str, BrokerdPosition]
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_positions: dict[str, Position]
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_trade_ledger: dict[str, Any]
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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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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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@ -77,22 +86,23 @@ class PaperBoi:
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action: str,
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size: float,
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reqid: Optional[str],
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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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Place an order and return integer request id provided by client.
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"""
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'''
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is_modify: bool = False
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if reqid is None:
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reqid = str(uuid.uuid4())
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else:
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entry = self._reqids.get(reqid)
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if entry:
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# order is already existing, this is a modify
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(oid, symbol, action, old_price) = self._reqids[reqid]
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(oid, symbol, action, old_price) = entry
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assert old_price != price
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is_modify = True
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# register order internally
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self._reqids[reqid] = (oid, symbol, action, price)
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else:
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# register order internally
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self._reqids[reqid] = (oid, symbol, action, price)
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if action == 'alert':
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# bypass all fill simulation
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@ -197,16 +207,15 @@ class PaperBoi:
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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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fill_time_ns = time.time_ns()
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fill_time_s = time.time()
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msg = BrokerdFill(
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fill_msg = BrokerdFill(
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reqid=reqid,
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time_ns=time.time_ns(),
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time_ns=fill_time_ns,
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action=action,
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size=size,
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price=price,
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broker_time=datetime.now().timestamp(),
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broker_details={
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'paper_info': {
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@ -216,7 +225,9 @@ class PaperBoi:
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'name': self.broker + '_paper',
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},
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)
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await self.ems_trades_stream.send(msg)
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await self.ems_trades_stream.send(fill_msg)
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self._trade_ledger.update(fill_msg.to_dict())
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if order_complete:
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@ -243,29 +254,37 @@ class PaperBoi:
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# lookup any existing position
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token = f'{symbol}.{self.broker}'
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pp_msg = self._positions.setdefault(
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pp = self._positions.setdefault(
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token,
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BrokerdPosition(
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broker=self.broker,
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account='paper',
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symbol=symbol,
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# TODO: we need to look up the asset currency from
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# broker info. i guess for crypto this can be
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# inferred from the pair?
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currency='',
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size=0.0,
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avg_price=0,
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Position(
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Symbol(key=symbol),
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size=size,
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be_price=price,
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bsuid=symbol,
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)
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)
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# delegate update to `.pp.Position.lifo_update()`
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pp = Position(
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Symbol(key=symbol),
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size=pp_msg.size,
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be_price=pp_msg.avg_price,
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t = Transaction(
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fqsn=symbol,
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tid=oid,
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size=size,
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price=price,
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cost=1., # todo cost model
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dt=pendulum.from_timestamp(fill_time_s),
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bsuid=symbol,
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)
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pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
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pp.add_clear(t)
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pp_msg = BrokerdPosition(
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broker=self.broker,
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account='paper',
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symbol=symbol,
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# TODO: we need to look up the asset currency from
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# broker info. i guess for crypto this can be
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# inferred from the pair?
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currency='',
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size=pp.size,
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avg_price=pp.be_price,
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)
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await self.ems_trades_stream.send(pp_msg)
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@ -273,6 +292,7 @@ class PaperBoi:
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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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@ -389,6 +409,24 @@ async def handle_order_requests(
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# validate
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order = BrokerdOrder(**request_msg)
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if order.reqid is None:
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reqid = str(uuid.uuid4())
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else:
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reqid = order.reqid
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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)
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)
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# call our client api to submit the order
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reqid = await client.submit_limit(
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@ -402,20 +440,7 @@ async def handle_order_requests(
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# there is no existing order so ask the client to create
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# a new one (which it seems to do by allocating an int
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# counter - collision prone..)
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reqid=order.reqid,
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)
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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)
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reqid=reqid,
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)
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elif action == 'cancel':
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@ -468,6 +493,9 @@ async def trades_dialogue(
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# TODO: load paper positions from ``positions.toml``
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_positions={},
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# TODO: load postions from ledger file
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_trade_ledger={},
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)
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n.start_soon(handle_order_requests, client, ems_stream)
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@ -510,5 +538,4 @@ async def open_paperboi(
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loglevel=loglevel,
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) as (ctx, first):
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yield ctx, first
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