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Use a better exit slot heuristic 

When exiting a pp toward net-zero, we may sometimes run into the issue
of having a "fractional slot" worth of units in allocator limit terms.
This is further nuanced by live orders which are submitted above the
current clearing price which get allocated a size (based on that staged
but non-cleared price) according to their limit size unit which can be
calculated to be less then the size that would have been allocated at
the actual clearing price. In the short term cope with this discrepancy
by simply using a "slot and a half" as the decision point of whether to
exit a slot's worth or the remaining pp's worth of units. In other words
if you can exit 1.5x a slot's worth or less, exit the remaining pp,
otherwise exit a slot's worth. This is a stop gap until we have a better
solution to limiting staged orders to (some range around) the currently
computed clear-able price.
fsp_feeds
Tyler Goodlet 2021-08-28 12:58:08 -04:00
parent 03c38a1163
commit abc5c382ae
1 changed files with 31 additions and 13 deletions
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44
piker/ui/_position.py
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@ -147,17 +147,18 @@ class Allocator(BaseModel):
sym = self.symbol
ld = sym.lot_size_digits
size_unit = self.size_unit
live_size = live_pp.size
abs_live_size = abs(live_size)
abs_startup_size = abs(startup_pp.size)
u_per_slot, currency_per_slot = self.step_sizes()
if self.size_unit == 'units':
if size_unit == 'units':
enter_step = u_per_slot
l_sub_pp = self.units_limit - abs_live_size
elif self.size_unit == 'currency':
elif size_unit == 'currency':
live_cost_basis = abs_live_size * live_pp.avg_price
enter_step = currency_per_slot / price
l_sub_pp = (self.currency_limit - live_cost_basis) / price
@ -173,26 +174,41 @@ class Allocator(BaseModel):
# an exit (removing-from or going to net-zero pp)
else:
# when exiting a pp we always slot the position
# when exiting a pp we always try to slot the position
# in the instrument's units, since doing so in a derived
# size measure (eg. currency value, percent of port) would
# result in a mis-mapping of slots sizes in unit terms
# (i.e. it would take *more* slots to exit at a profit and
# *less* slots to exit at a loss).
slot_size = abs_startup_size / self.slots
pp_size = max(abs_startup_size, abs_live_size)
slotted_pp = pp_size / self.slots
if size_unit == 'currency':
# compute the "projected" limit's worth of units at the
# current pp (weighted) price:
slot_size = currency_per_slot / live_pp.avg_price
else:
slot_size = u_per_slot
# if our position is greater then our limit setting
# we'll want to use slot sizes which are larger then what
# the limit would normally determine
order_size = max(slotted_pp, slot_size)
if (
abs_live_size < slot_size or
slot_size < abs_live_size < (2*slot_size)
):
# the remaining pp is in between 0-2 slots
# so dump the whole position in this last exit
# therefore conducting so called "back loading"
# but **without** going past a net-zero pp.
order_size = abs_live_size
else:
order_size = slot_size
# NOTE: front/back "loading" heurstic:
# if the remaining pp is in between 0-1.5x a slot's
# worth, dump the whole position in this last exit
# therefore conducting so called "back loading" but
# **without** going past a net-zero pp. if the pp is
# > 1.5x a slot size, then front load: exit a slot's and
# expect net-zero to be acquired on the final exit.
slot_size < pp_size < round((1.5*slot_size), ndigits=ld)
):
order_size = abs_live_size
return {
'size': abs(round(order_size, ndigits=ld)),
@ -385,6 +401,8 @@ class SettingsPane:
# TODO: what should we do for fractional slot pps?
self.fill_bar.set_slots(
slots,
# TODO: how to show "partial" slots?
# min(round(prop * slots), slots)
min(ceil(prop * slots), slots)
)