Clear out old commented code
Tyler Goodlet
parent
8e8a005128
commit
a1f605bd52
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@ -26,7 +26,6 @@ from typing import AsyncIterator, Callable
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from bidict import bidict
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from bidict import bidict
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from pydantic import BaseModel
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from pydantic import BaseModel
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import trio
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import trio
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from trio_typing import TaskStatus
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import tractor
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import tractor
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from .. import data
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from .. import data
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@ -224,44 +223,6 @@ async def clear_dark_triggers(
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resp = 'dark_triggered'
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resp = 'dark_triggered'
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# an internal brokerd-broker specific
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# order-request id is expected to be generated
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# reqid = await client.submit_limit(
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# oid=oid,
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# # this is a brand new order request for the
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# # underlying broker so we set a "broker
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# # request id" (brid) to "nothing" so that the
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# # broker client knows that we aren't trying
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# # to modify an existing order-request.
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# brid=None,
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# symbol=sym,
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# action=cmd['action'],
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# price=submit_price,
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# size=cmd['size'],
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# )
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# # register broker request id to ems id
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# else:
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# # alerts have no broker request id
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# reqid = ''
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# resp = {
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# 'resp': 'dark_executed',
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# 'cmd': cmd, # original request message
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# 'time_ns': time.time_ns(),
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# 'trigger_price': price,
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# 'broker_reqid': reqid,
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# 'broker': broker,
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# 'oid': oid, # piker order id
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# }
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msg = Status(
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msg = Status(
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oid=oid, # piker order id
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oid=oid, # piker order id
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resp=resp,
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resp=resp,
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@ -270,7 +231,6 @@ async def clear_dark_triggers(
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symbol=symbol,
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symbol=symbol,
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trigger_price=price,
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trigger_price=price,
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# broker_reqid=reqid,
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broker_details={'name': broker},
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broker_details={'name': broker},
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cmd=cmd, # original request message
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cmd=cmd, # original request message
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@ -281,7 +241,6 @@ async def clear_dark_triggers(
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log.info(f'removing pred for {oid}')
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log.info(f'removing pred for {oid}')
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execs.pop(oid)
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execs.pop(oid)
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# await ctx.send_yield(resp)
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await ems_client_order_stream.send(msg)
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await ems_client_order_stream.send(msg)
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else: # condition scan loop complete
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else: # condition scan loop complete
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@ -292,51 +251,6 @@ async def clear_dark_triggers(
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# print(f'execs scan took: {time.time() - start}')
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# print(f'execs scan took: {time.time() - start}')
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# async def start_clearing(
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# # ctx: tractor.Context,
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# brokerd_order_stream: tractor.MsgStream,
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# quote_stream: tractor.MsgStream,
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# # client: 'Client',
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# # feed: 'Feed', # noqa
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# broker: str,
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# symbol: str,
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# _exec_mode: str,
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# book: _DarkBook,
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# # task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
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# ) -> AsyncIterator[dict]:
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# """Main scan loop for order execution conditions and submission
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# to brokers.
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# """
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# async with trio.open_nursery() as n:
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# # trigger scan and exec loop
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# n.start_soon(
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# trigger_executions,
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# brokerd_order_stream,
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# quote_stream,
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# broker,
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# symbol,
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# book
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# # ctx,
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# # client,
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# )
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# # # paper engine simulator task
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# # if _exec_mode == 'paper':
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# # # TODO: make this an actual broadcast channels as in:
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# # # https://github.com/python-trio/trio/issues/987
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# # n.start_soon(simulate_fills, quote_stream, client)
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# TODO: lots of cases still to handle
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# TODO: lots of cases still to handle
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# XXX: right now this is very very ad-hoc to IB
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# XXX: right now this is very very ad-hoc to IB
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# - short-sale but securities haven't been located, in this case we
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# - short-sale but securities haven't been located, in this case we
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@ -349,15 +263,11 @@ async def clear_dark_triggers(
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async def translate_and_relay_brokerd_events(
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async def translate_and_relay_brokerd_events(
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# ctx: tractor.Context,
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broker: str,
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broker: str,
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ems_client_order_stream: tractor.MsgStream,
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ems_client_order_stream: tractor.MsgStream,
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brokerd_trades_stream: tractor.MsgStream,
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brokerd_trades_stream: tractor.MsgStream,
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book: _DarkBook,
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book: _DarkBook,
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# feed: 'Feed', # noqa
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task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
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) -> AsyncIterator[dict]:
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) -> AsyncIterator[dict]:
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"""Trades update loop - receive updates from broker, convert
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"""Trades update loop - receive updates from broker, convert
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to EMS responses, transmit to ordering client(s).
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to EMS responses, transmit to ordering client(s).
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@ -377,27 +287,13 @@ async def translate_and_relay_brokerd_events(
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{'presubmitted', 'submitted', 'cancelled', 'inactive'}
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{'presubmitted', 'submitted', 'cancelled', 'inactive'}
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"""
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"""
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# broker = feed.mod.name
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# TODO: make this a context
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# in the paper engine case this is just a mem receive channel
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# async with feed.receive_trades_data() as brokerd_trades_stream:
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# first = await brokerd_trades_stream.__anext__()
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# startup msg expected as first from broker backend
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# assert first['local_trades'] == 'start'
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# task_status.started()
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async for brokerd_msg in brokerd_trades_stream:
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async for brokerd_msg in brokerd_trades_stream:
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# name, msg = event['local_trades']
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name = brokerd_msg['name']
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name = brokerd_msg['name']
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log.info(f'Received broker trade event:\n{pformat(brokerd_msg)}')
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log.info(f'Received broker trade event:\n{pformat(brokerd_msg)}')
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if name == 'position':
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if name == 'position':
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# msg['resp'] = 'position'
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# relay through position msgs immediately
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# relay through position msgs immediately
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await ems_client_order_stream.send(
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await ems_client_order_stream.send(
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@ -476,34 +372,6 @@ async def translate_and_relay_brokerd_events(
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# a live flow now exists
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# a live flow now exists
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oid = entry.oid
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oid = entry.oid
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# make response packet to EMS client(s)
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# reqid = book._ems_entries.get(oid)
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# # msg is for unknown emsd order id
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# if oid is None:
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# oid = msg['oid']
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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 = msg.get('paper_info')
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# if paper:
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# oid = paper['oid']
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# else:
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# msg.get('external')
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# if not msg:
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# log.error(f"Unknown trade event {event}")
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# continue
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# resp = {
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# 'resp': None, # placeholder
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# 'oid': oid
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# }
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resp = None
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resp = None
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broker_details = {}
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broker_details = {}
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@ -551,7 +419,6 @@ async def translate_and_relay_brokerd_events(
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# everyone doin camel case
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# everyone doin camel case
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msg = BrokerdStatus(**brokerd_msg)
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msg = BrokerdStatus(**brokerd_msg)
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# status = msg['status'].lower()
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if msg.status == 'filled':
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if msg.status == 'filled':
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@ -563,12 +430,10 @@ async def translate_and_relay_brokerd_events(
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log.info(f'Execution for {oid} is complete!')
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log.info(f'Execution for {oid} is complete!')
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# just log it
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# just log it
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else:
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else:
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log.info(f'{broker} filled {msg}')
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log.info(f'{broker} filled {msg}')
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else:
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else:
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# one of {submitted, cancelled}
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# one of {submitted, cancelled}
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resp = 'broker_' + msg.status
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resp = 'broker_' + msg.status
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@ -604,13 +469,11 @@ async def translate_and_relay_brokerd_events(
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async def process_client_order_cmds(
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async def process_client_order_cmds(
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# ctx: tractor.Context,
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client_order_stream: tractor.MsgStream, # noqa
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client_order_stream: tractor.MsgStream, # noqa
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brokerd_order_stream: tractor.MsgStream,
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brokerd_order_stream: tractor.MsgStream,
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symbol: str,
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symbol: str,
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feed: 'Feed', # noqa
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feed: 'Feed', # noqa
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# client: 'Client', # noqa
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dark_book: _DarkBook,
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dark_book: _DarkBook,
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) -> None:
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) -> None:
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@ -643,7 +506,6 @@ async def process_client_order_cmds(
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# NOTE: cancel response will be relayed back in messages
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# NOTE: cancel response will be relayed back in messages
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# from corresponding broker
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# from corresponding broker
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# await client.submit_cancel(reqid=reqid)
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await brokerd_order_stream.send(msg.dict())
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await brokerd_order_stream.send(msg.dict())
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else:
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else:
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@ -675,12 +537,6 @@ async def process_client_order_cmds(
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msg = Order(**cmd)
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msg = Order(**cmd)
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# sym = cmd['symbol']
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# trigger_price = cmd['price']
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# size = cmd['size']
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# brokers = cmd['brokers']
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# exec_mode = cmd['exec_mode']
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sym = msg.symbol
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sym = msg.symbol
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trigger_price = msg.price
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trigger_price = msg.price
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size = msg.size
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size = msg.size
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@ -722,20 +578,6 @@ async def process_client_order_cmds(
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print(f'sending live order {msg}')
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print(f'sending live order {msg}')
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await brokerd_order_stream.send(msg.dict())
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await brokerd_order_stream.send(msg.dict())
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# order_id = await client.submit_limit(
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# oid=oid, # no ib support for oids...
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# # if this is None, creates a new order
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# # otherwise will modify any existing one
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# brid=brid,
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# symbol=sym,
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# action=action,
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# price=trigger_price,
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# size=size,
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# )
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# an immediate response should be brokerd ack with order
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# an immediate response should be brokerd ack with order
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# id but we register our request as part of the flow
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# id but we register our request as part of the flow
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dark_book._ems_entries[oid] = msg
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dark_book._ems_entries[oid] = msg
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@ -793,14 +635,6 @@ async def process_client_order_cmds(
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abs_diff_away
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abs_diff_away
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)
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)
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# TODO: if the predicate resolves immediately send the
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# execution to the broker asap? Or no?
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# ack-response that order is live in EMS
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# await ctx.send_yield(
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# {'resp': 'dark_submitted',
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# 'oid': oid}
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# )
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if action == 'alert':
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if action == 'alert':
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resp = 'alert_submitted'
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resp = 'alert_submitted'
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else:
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else:
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@ -846,8 +680,9 @@ async def _emsd_main(
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sets up brokerd feed, order feed with ems client, trades dialogue with
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sets up brokerd feed, order feed with ems client, trades dialogue with
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brokderd trading api.
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brokderd trading api.
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- ``start_clearing()``:
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- ``clear_dark_triggers()``:
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run (dark) conditions on inputs and trigger broker submissions
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run (dark order) conditions on inputs and trigger brokerd "live"
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order submissions.
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- ``translate_and_relay_brokerd_events()``:
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- ``translate_and_relay_brokerd_events()``:
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accept normalized trades responses from brokerd, process and
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accept normalized trades responses from brokerd, process and
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@ -899,6 +734,10 @@ async def _emsd_main(
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if trades_endpoint is None or _exec_mode == 'paper':
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if trades_endpoint is None or _exec_mode == 'paper':
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running a
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# paper-simulator clearing engine.
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# load the paper trading engine
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# load the paper trading engine
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_exec_mode = 'paper'
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_exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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log.warning(f'Entering paper trading mode for {broker}')
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@ -912,14 +751,6 @@ async def _emsd_main(
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loglevel=loglevel,
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loglevel=loglevel,
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)
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)
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# for paper mode we need to mock this trades response feed
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# so we pass a duck-typed feed-looking mem chan which is fed
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# fill and submission events from the exec loop
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# feed._trade_stream = client.trade_stream
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# init the trades stream
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# client._to_trade_stream.send_nowait({'local_trades': 'start'})
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else:
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else:
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# open live brokerd trades endpoint
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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open_trades_endpoint = portal.open_context(
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@ -931,36 +762,9 @@ async def _emsd_main(
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open_trades_endpoint as (brokerd_ctx, positions),
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open_trades_endpoint as (brokerd_ctx, positions),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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):
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# if trades_endpoint is not None and _exec_mode != 'paper':
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# # TODO: open a bidir stream here?
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# # we have an order API for this broker
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# client = client_factory(feed._brokerd_portal)
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# else:
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# return control to parent task
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# task_status.started((first_quote, feed, client))
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# stream = feed.stream
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# start the real-time clearing condition scan loop and
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# paper engine simulator.
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# n.start_soon(
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# start_clearing,
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# brokerd_trades_stream,
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# feed.stream, # quote stream
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# # client,
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# broker,
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# symbol,
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# _exec_mode,
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# book,
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# )
|
|
||||||
|
|
||||||
# signal to client that we're started
|
# signal to client that we're started
|
||||||
# TODO: we could send back **all** brokerd positions here?
|
# TODO: we could eventually send back **all** brokerd
|
||||||
|
# positions here?
|
||||||
await ems_ctx.started(positions)
|
await ems_ctx.started(positions)
|
||||||
|
|
||||||
# establish 2-way stream with requesting order-client and
|
# establish 2-way stream with requesting order-client and
|
||||||
|
|
@ -978,14 +782,15 @@ async def _emsd_main(
|
||||||
broker,
|
broker,
|
||||||
symbol,
|
symbol,
|
||||||
book
|
book
|
||||||
# ctx,
|
|
||||||
# client,
|
|
||||||
)
|
)
|
||||||
|
|
||||||
# begin processing order events from the target brokerd backend
|
# begin processing order events from the target brokerd backend
|
||||||
|
# by receiving order submission response messages,
|
||||||
|
# normalizing them to EMS messages and relaying back to
|
||||||
|
# the piker order client.
|
||||||
n.start_soon(
|
n.start_soon(
|
||||||
|
|
||||||
translate_and_relay_brokerd_events,
|
translate_and_relay_brokerd_events,
|
||||||
|
|
||||||
broker,
|
broker,
|
||||||
ems_client_order_stream,
|
ems_client_order_stream,
|
||||||
brokerd_trades_stream,
|
brokerd_trades_stream,
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue