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Comments clean and improvments

ems_to_bidir_streaming
Tyler Goodlet 2021-06-10 08:24:10 -04:00
parent a1f605bd52
commit b06cb5bb5a
5 changed files with 49 additions and 59 deletions
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1
piker/_daemon.py
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@ -248,7 +248,6 @@ async def maybe_spawn_daemon(
if pikerd_portal is None: if pikerd_portal is None:
# we are root so spawn brokerd directly in our tree # we are root so spawn brokerd directly in our tree
# the root nursery is accessed through process global state # the root nursery is accessed through process global state
# await spawn_brokerd(brokername, loglevel=loglevel)
await spawn_func(**spawn_args) await spawn_func(**spawn_args)
else: else:

3
piker/clearing/_client.py
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@ -223,12 +223,11 @@ async def open_ems(
# connect to emsd # connect to emsd
portal.open_context( portal.open_context(
_emsd_main, _emsd_main,
broker=broker, broker=broker,
symbol=symbol.key, symbol=symbol.key,
# TODO: ``first`` here should be the active orders/execs
# persistent on the ems so that loca UI's can be populated.
) as (ctx, positions), ) as (ctx, positions),
# open 2-way trade command stream # open 2-way trade command stream

92
piker/clearing/_ems.py
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@ -124,15 +124,12 @@ _DEFAULT_SIZE: float = 1.0
async def clear_dark_triggers( async def clear_dark_triggers(
# ctx: tractor.Context,
brokerd_orders_stream: tractor.MsgStream, brokerd_orders_stream: tractor.MsgStream,
ems_client_order_stream: tractor.MsgStream, ems_client_order_stream: tractor.MsgStream,
quote_stream: tractor.ReceiveMsgStream, # noqa quote_stream: tractor.ReceiveMsgStream, # noqa
broker: str, broker: str,
symbol: str, symbol: str,
# client: 'Client', # noqa
# order_msg_stream: 'Client', # noqa
book: _DarkBook, book: _DarkBook,
@ -189,8 +186,7 @@ async def clear_dark_triggers(
# message back to the requesting ems client # message back to the requesting ems client
resp = 'alert_triggered' resp = 'alert_triggered'
else: else: # executable order submission
# executable order submission
# submit_price = price + price*percent_away # submit_price = price + price*percent_away
submit_price = price + abs_diff_away submit_price = price + abs_diff_away
@ -199,18 +195,17 @@ async def clear_dark_triggers(
f'Dark order triggered for price {price}\n' f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}') f'Submitting order @ price {submit_price}')
# TODO: port to BrokerdOrder message sending
msg = BrokerdOrder( msg = BrokerdOrder(
action=cmd['action'], action=cmd['action'],
oid=oid, oid=oid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
# this **creates** new order request for the
# this is a brand new order request for the
# underlying broker so we set a "broker # underlying broker so we set a "broker
# request id" (brid) to "nothing" so that the # request id" (``reqid`` kwarg) to ``None``
# broker client knows that we aren't trying # so that the broker client knows that we
# to modify an existing order-request. # aren't trying to modify an existing
# order-request and instead create a new one.
reqid=None, reqid=None,
symbol=sym, symbol=sym,
@ -218,13 +213,21 @@ async def clear_dark_triggers(
size=cmd['size'], size=cmd['size'],
) )
await brokerd_orders_stream.send(msg.dict()) await brokerd_orders_stream.send(msg.dict())
# mark this entry as having send an order request
# mark this entry as having sent an order
# request. the entry will be replaced once the
# target broker replies back with
# a ``BrokerdOrderAck`` msg including the
# allocated unique ``BrokerdOrderAck.reqid`` key
# generated by the broker's own systems.
book._ems_entries[oid] = msg book._ems_entries[oid] = msg
# our internal status value for client-side
# triggered "dark orders"
resp = 'dark_triggered' resp = 'dark_triggered'
msg = Status( msg = Status(
oid=oid, # piker order id oid=oid, # ems order id
resp=resp, resp=resp,
time_ns=time.time_ns(), time_ns=time.time_ns(),
@ -340,11 +343,11 @@ async def translate_and_relay_brokerd_events(
# initial response to brokerd order request # initial response to brokerd order request
if name == 'ack': if name == 'ack':
# register the brokerd request id (that was likely # register the brokerd request id (that was generated
# generated internally) with our locall ems order id for # / created internally by the broker backend) with our
# reverse lookup later. a BrokerdOrderAck **must** be # local ems order id for reverse lookup later.
# sent after an order request in order to establish this # a ``BrokerdOrderAck`` **must** be sent after an order
# id mapping. # request in order to establish this id mapping.
book._ems2brokerd_ids[oid] = reqid book._ems2brokerd_ids[oid] = reqid
# new order which has not yet be registered into the # new order which has not yet be registered into the
@ -455,16 +458,17 @@ async def translate_and_relay_brokerd_events(
else: else:
raise ValueError(f'Brokerd message {brokerd_msg} is invalid') raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
# Create and relay EMS response status message # Create and relay response status message
resp = Status( # to requesting EMS client
oid=oid, await ems_client_order_stream.send(
resp=resp, Status(
time_ns=time.time_ns(), oid=oid,
broker_reqid=reqid, resp=resp,
brokerd_msg=broker_details, time_ns=time.time_ns(),
broker_reqid=reqid,
brokerd_msg=broker_details,
).dict()
) )
# relay response to requesting EMS client
await ems_client_order_stream.send(resp.dict())
async def process_client_order_cmds( async def process_client_order_cmds(
@ -509,9 +513,9 @@ async def process_client_order_cmds(
await brokerd_order_stream.send(msg.dict()) await brokerd_order_stream.send(msg.dict())
else: else:
# might be a cancel for order that hasn't been acked yet # this might be a cancel for an order that hasn't been
# by brokerd so register a cancel for then the order # acked yet by a brokerd, so register a cancel for when
# does show up later # the order ack does show up later
dark_book._ems_entries[oid] = msg dark_book._ems_entries[oid] = msg
# check for EMS active exec # check for EMS active exec
@ -552,10 +556,9 @@ async def process_client_order_cmds(
# if we already had a broker order id then # if we already had a broker order id then
# this is likely an order update commmand. # this is likely an order update commmand.
log.info(f"Modifying order: {live_entry.reqid}") log.info(
f"Modifying live {broker} order: {live_entry.reqid}")
# TODO: port to BrokerdOrder message sending
# register broker id for ems id
msg = BrokerdOrder( msg = BrokerdOrder(
oid=oid, # no ib support for oids... oid=oid, # no ib support for oids...
time_ns=time.time_ns(), time_ns=time.time_ns(),
@ -575,7 +578,7 @@ async def process_client_order_cmds(
# (``translate_and_relay_brokerd_events()`` above) will # (``translate_and_relay_brokerd_events()`` above) will
# handle relaying the ems side responses back to # handle relaying the ems side responses back to
# the client/cmd sender from this request # the client/cmd sender from this request
print(f'sending live order {msg}') log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
await brokerd_order_stream.send(msg.dict()) await brokerd_order_stream.send(msg.dict())
# an immediate response should be brokerd ack with order # an immediate response should be brokerd ack with order
@ -653,14 +656,13 @@ async def process_client_order_cmds(
async def _emsd_main( async def _emsd_main(
ctx: tractor.Context, ctx: tractor.Context,
# client_actor_name: str,
broker: str, broker: str,
symbol: str, symbol: str,
_exec_mode: str = 'dark', # ('paper', 'dark', 'live') _exec_mode: str = 'dark', # ('paper', 'dark', 'live')
loglevel: str = 'info', loglevel: str = 'info',
) -> None: ) -> None:
"""EMS (sub)actor entrypoint providing the '''EMS (sub)actor entrypoint providing the
execution management (micro)service which conducts broker execution management (micro)service which conducts broker
order control on behalf of clients. order control on behalf of clients.
@ -693,12 +695,13 @@ async def _emsd_main(
accepts order cmds from requesting piker clients, registers accepts order cmds from requesting piker clients, registers
execs with exec loop execs with exec loop
""" '''
# from ._client import send_order_cmds
global _router global _router
dark_book = _router.get_dark_book(broker) dark_book = _router.get_dark_book(broker)
# TODO: would be nice if in tractor we can require either a ctx arg,
# or a named arg with ctx in it and a type annotation of
# tractor.Context instead of strictly requiring a ctx arg.
ems_ctx = ctx ems_ctx = ctx
cached_feed = _router.feeds.get((broker, symbol)) cached_feed = _router.feeds.get((broker, symbol))
@ -742,9 +745,9 @@ async def _emsd_main(
_exec_mode = 'paper' _exec_mode = 'paper'
log.warning(f'Entering paper trading mode for {broker}') log.warning(f'Entering paper trading mode for {broker}')
# load the paper trading engine inside the brokerd # load the paper trading engine as a subactor of this emsd
# actor to simulate the real load it'll likely be under # actor to simulate the real IPC load it'll have when also
# when also pulling data from feeds # pulling data from feeds
open_trades_endpoint = paper.open_paperboi( open_trades_endpoint = paper.open_paperboi(
broker=broker, broker=broker,
symbol=symbol, symbol=symbol,
@ -814,7 +817,7 @@ class _Router(BaseModel):
''' '''
nursery: trio.Nursery nursery: trio.Nursery
feeds: dict[str, tuple[trio.CancelScope, float]] = {} feeds: dict[tuple[str, str], data.feed.Feed] = {}
books: dict[str, _DarkBook] = {} books: dict[str, _DarkBook] = {}
class Config: class Config:
@ -842,8 +845,9 @@ async def _setup_persistent_emsd(
global _router global _router
# spawn one task per broker feed # open a root "service nursery" for the ``emsd`` actor
async with trio.open_nursery() as service_nursery: async with trio.open_nursery() as service_nursery:
_router = _Router(nursery=service_nursery) _router = _Router(nursery=service_nursery)
# TODO: send back the full set of persistent orders/execs persistent # TODO: send back the full set of persistent orders/execs persistent

8
piker/clearing/_paper_engine.py
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@ -216,7 +216,6 @@ class PaperBoi:
time_ns=time.time_ns(), time_ns=time.time_ns(),
status='filled', status='filled',
# broker=self.broker,
filled=size, filled=size,
remaining=0 if order_complete else remaining, remaining=0 if order_complete else remaining,
@ -224,7 +223,6 @@ class PaperBoi:
size=size, size=size,
price=price, price=price,
# broker=self.broker,
broker_details={ broker_details={
'paper_info': { 'paper_info': {
'oid': oid, 'oid': oid,
@ -321,12 +319,6 @@ async def simulate_fills(
break break
# class MockBrokerdMsgStream:
# async def MockContext(*args, **kwargs):
async def handle_order_requests( async def handle_order_requests(
client: PaperBoi, client: PaperBoi,

4
piker/ui/order_mode.py
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@ -127,10 +127,6 @@ class OrderMode:
""" """
line = self.lines.commit_line(uuid) line = self.lines.commit_line(uuid)
# req_msg = self.book._sent_orders.get(uuid)
# if req_msg:
# req_msg.ack_time_ns = time.time_ns()
return line return line
def on_fill( def on_fill(