Inline `process_trade_msgs()` into relay loop
Tyler Goodlet
parent
47777e4192
commit
aea7bec2c3
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@ -37,9 +37,13 @@ import wsproto
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from piker import pp
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from piker.clearing._messages import (
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BrokerdPosition, BrokerdOrder, BrokerdStatus,
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BrokerdOrderAck, BrokerdError, BrokerdCancel,
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BrokerdCancel,
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BrokerdError,
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BrokerdFill,
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BrokerdOrder,
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BrokerdOrderAck,
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BrokerdPosition,
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BrokerdStatus,
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)
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from .api import (
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Client,
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@ -338,6 +342,7 @@ async def trades_dialogue(
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token = resp['result']['token']
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ws: NoBsWs
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async with (
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ctx.open_stream() as ems_stream,
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open_autorecon_ws(
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@ -350,55 +355,78 @@ async def trades_dialogue(
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# task for processing inbound requests from ems
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n.start_soon(handle_order_requests, client, ems_stream)
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# begin trade event processing
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async for trade in process_trade_msgs(
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ws,
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trans, # pass in prior ledger transactions
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):
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match trade:
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# prepare and send a filled status update
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case Trade():
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filled_msg = BrokerdStatus(
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reqid=trade.reqid,
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time_ns=time.time_ns(),
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count: int = 0
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ledger_txids = {r.tid for r in trans}
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account=acc_name,
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status='filled',
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filled=float(trade.size),
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reason='Order filled by kraken',
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broker_details={
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'name': 'kraken',
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'broker_time': trade.broker_time
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},
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# process and relay trades events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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async for msg in stream_messages(ws):
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match msg:
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case [
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trades_msgs,
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'ownTrades',
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{'sequence': seq},
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]:
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# ensure that we are only processing new trades
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assert seq > count
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count += 1
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# TODO: figure out if kraken gives a count
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# of how many units of underlying were
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# filled. Alternatively we can decrement
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# this value ourselves by associating and
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# calcing from the diff with the original
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# client-side request, see:
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg.dict())
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for entries in trades_msgs:
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for tid, msg in entries.items():
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# send a fill msg for gui update
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fill_msg = BrokerdFill(
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reqid=trade.reqid,
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time_ns=time.time_ns(),
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if tid in ledger_txids:
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log.debug(f'Skipping ledgered {tid}:{msg}')
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continue
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action=trade.action,
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size=float(trade.size),
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price=float(trade.price),
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# TODO: maybe capture more msg data i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=float(trade.broker_time)
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)
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# yield trade
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reqid = msg['ordertxid']
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action = msg['type']
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price = float(msg['price'])
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size = float(msg['vol'])
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broker_time = float(msg['time'])
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await ems_stream.send(fill_msg.dict())
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filled_msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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account=acc_name,
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status='filled',
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filled=size,
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reason='Order filled by kraken',
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broker_details={
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'name': 'kraken',
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'broker_time': broker_time
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},
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# TODO: figure out if kraken gives a count
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# of how many units of underlying were
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# filled. Alternatively we can decrement
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# this value ourselves by associating and
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# calcing from the diff with the original
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# client-side request, see:
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg.dict())
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# send a fill msg for gui update
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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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action=action,
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size=size,
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price=price,
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# TODO: maybe capture more msg data
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# i.e fees?
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg.dict())
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case _:
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log.warning(f'Unhandled trades msg: {trade}')
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log.warning(f'Unhandled trades msg: {msg}')
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await tractor.breakpoint()
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@ -452,48 +480,3 @@ async def update_ledger(
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# normalize to transaction form
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records = norm_trade_records(trade_entries)
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return records
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async def process_trade_msgs(
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ws: NoBsWs,
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trans: list[pp.Transaction],
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):
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'''
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Parse and pack trades subscription messages, deliver framed
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sequences of messages?
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Ws api docs:
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https://docs.kraken.com/websockets/#message-ownTrades
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'''
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count: int = 0
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ledger_txids = {r.tid for r in trans}
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async for msg in stream_messages(ws):
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sub = msg[1]
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seq = msg[2]['sequence']
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# stream sanity checks
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assert sub == 'ownTrades'
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# ensure that we are only processing new trades
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assert seq > count
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count += 1
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trade_events = msg[0]
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for trade_event in trade_events:
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for tid, trade_data in trade_event.items():
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if tid in ledger_txids:
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continue
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trade = Trade(
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reqid=msg['ordertxid'],
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action=msg['type'],
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price=msg['price'],
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size=msg['vol'],
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broker_time=msg['time']
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)
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yield trade
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