Add an a pane composite and throw ui update methods on it
Tyler Goodlet
parent
2b8c3f69b1
commit
b09d0d7129
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@ -19,6 +19,7 @@ Position info and display
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"""
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from __future__ import annotations
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from dataclasses import dataclass
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from enum import Enum
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from functools import partial
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from math import floor
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@ -26,7 +27,7 @@ from math import floor
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from typing import Optional
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from PyQt5.QtWidgets import QWidget
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# from PyQt5.QtWidgets import QWidget
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from bidict import bidict
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from pyqtgraph import functions as fn
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from pydantic import BaseModel, validator
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@ -43,7 +44,7 @@ from ._lines import LevelLine, level_line
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from ._style import _font
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from ._forms import FieldsForm, FillStatusBar, QLabel
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from ..log import get_logger
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from ..clearing._messages import Order
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log = get_logger(__name__)
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@ -78,11 +79,12 @@ SizeUnit = Enum(
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class Allocator(BaseModel):
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symbol: Symbol
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class Config:
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validate_assignment = True
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copy_on_model_validation = False
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extra = 'allow'
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# underscore_attrs_are_private = False
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arbitrary_types_allowed = True
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account: Optional[str] = 'paper'
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_accounts: bidict[str, Optional[str]]
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@ -102,39 +104,15 @@ class Allocator(BaseModel):
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disti_weight: str = 'uniform'
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size: float
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units_size: float
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currency_size: float
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slots: int
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_position: Position = None
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_widget: QWidget = None
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def slotted_units(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots
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def size_from_currency_limit(
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self,
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symbol: Symbol,
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size: float,
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price: float,
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) -> float:
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return size / self.slots / price
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_sizers = {
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'currency': size_from_currency_limit,
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'units': slotted_units,
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# 'percent_of_port': lambda: 0,
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}
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def get_order_info(
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def next_order_info(
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self,
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# TODO: apply the symbol when the chart it is selected
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symbol: Symbol,
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startup_pp: Position,
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live_pp: Position,
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price: float,
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action: str,
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@ -143,30 +121,30 @@ class Allocator(BaseModel):
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depending on position / order entry config.
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'''
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tracker = self._position
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pp_size = tracker.live_pp.size
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ld = symbol.lot_size_digits
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sym = self.symbol
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ld = sym.lot_size_digits
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startup_size = startup_pp.size
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live_size = live_pp.size
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if (
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action == 'buy' and pp_size > 0 or
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action == 'sell' and pp_size < 0 or
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pp_size == 0
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action == 'buy' and startup_size > 0 or
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action == 'sell' and startup_size < 0 or
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live_size == 0
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): # an entry
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# try to read existing position and compute
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# next entry/exit size from distribution weight policy
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# (and possibly TODO: commissions info).
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entry_size = self._sizers[self.size_unit](
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self, symbol, self.size, price
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)
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size_step = self.units_size / self.slots
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if self.size_unit == 'currency':
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size_step = self.currency_size / self.slots / price
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if ld == 0:
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# in discrete units case (eg. stocks, futures, opts)
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# we always round down
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units = floor(entry_size)
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units = floor(size_step)
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else:
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# we can return a float lot size rounded to nearest tick
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units = round(entry_size, ndigits=ld)
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units = round(size_step, ndigits=ld)
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return {
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'size': units,
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@ -175,13 +153,12 @@ class Allocator(BaseModel):
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elif action != 'alert': # an exit
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pp_size = tracker.startup_pp.size
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if ld == 0:
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# exit at the slot size worth of units or the remaining
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# units left for the position to be net-zero, whichever
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# is smaller
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evenly, r = divmod(pp_size, self.slots)
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exit_size = min(evenly, pp_size)
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evenly, r = divmod(startup_size, self.slots)
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exit_size = min(evenly, startup_size)
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# "front" weight the exit order sizes
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# TODO: make this configurable?
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@ -190,8 +167,8 @@ class Allocator(BaseModel):
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else: # we can return a float lot size rounded to nearest tick
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exit_size = min(
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round(pp_size / self.slots, ndigits=ld),
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pp_size
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round(startup_size / self.slots, ndigits=ld),
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startup_size
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)
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return {
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@ -205,56 +182,108 @@ class Allocator(BaseModel):
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def mk_alloc(
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accounts: dict[str, Optional[str]] = {
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'paper': None,
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},
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symbol: Symbol,
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accounts: dict[str, Optional[str]],
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) -> Allocator: # noqa
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from ..brokers import config
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conf, path = config.load()
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section = conf.get('accounts')
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if section is None:
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log.warning('No accounts config found?')
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for brokername, account_labels in section.items():
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for name, value in account_labels.items():
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accounts[f'{brokername}.{name}'] = value
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return Allocator(
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symbol=symbol,
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account=None,
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_accounts=bidict(accounts),
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size_unit=_size_units['currency'],
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size=5e3,
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units_size=400,
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currency_size=5e3,
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slots=4,
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)
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class OrderPane(BaseModel):
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'''Set of widgets plus an allocator model
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for configuring order entry sizes.
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@dataclass
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class OrderModePane:
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'''Composite set of widgets plus an allocator model for configuring
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order entry sizes and position limits per tradable instrument.
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'''
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class Config:
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arbitrary_types_allowed = True
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# underscore_attrs_are_private = False
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# config for and underlying validation model
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form: FieldsForm
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model: BaseModel
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tracker: PositionTracker
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alloc: Allocator
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# input fields
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form: FieldsForm
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# output fill status and labels
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fill_bar: FillStatusBar
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# fill status + labels
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fill_status_bar: FillStatusBar
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step_label: QLabel
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pnl_label: QLabel
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limit_label: QLabel
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def config_ui_from_model(self) -> None:
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def update_ui_from_alloc(self) -> None:
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...
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def transform_to(self, size_unit: str) -> None:
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...
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def init_status_ui(
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self,
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):
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pp = self.tracker.startup_pp
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# calculate proportion of position size limit
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# that exists and display in fill bar
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size = pp.size
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if self.alloc.size_unit == 'currency':
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size = size * pp.avg_price
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self.update_status_ui(size)
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def update_status_ui(
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self,
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size: float = None,
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) -> None:
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alloc = self.alloc
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prop = size / alloc.units_size
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slots = alloc.slots
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if alloc.size_unit == 'currency':
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used = floor(prop * slots)
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else:
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used = alloc.units_size
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self.fill_bar.set_slots(
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slots,
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min(used, slots)
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)
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def on_level_change_update_next_order_info(
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self,
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level: float,
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line: LevelLine,
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order: Order,
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) -> None:
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'''A callback applied for each level change to the line
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which will recompute the order size based on allocator
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settings. this is assigned inside
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``OrderMode.line_from_order()``
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'''
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order_info = self.alloc.next_order_info(
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startup_pp=self.tracker.startup_pp,
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live_pp=self.tracker.live_pp,
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price=level,
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action=order.action,
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)
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line.update_labels(order_info)
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# update bound-in staged order
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order.price = level
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order.size = order_info['size']
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class PositionTracker:
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'''Track and display a real-time position for a single symbol
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@ -567,29 +596,3 @@ class PositionTracker:
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# remove pp line from view
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line.delete()
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self.line = None
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def init_status_ui(
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self,
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):
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pp = self.startup_pp
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# calculate proportion of position size limit
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# that exists and display in fill bar
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size = pp.size
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if self.alloc.size_unit == 'currency':
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size = size * pp.avg_price
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self.update_status_ui(size)
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def update_status_ui(
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self,
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size: float,
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) -> None:
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alloc = self.alloc
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prop = size / alloc.size
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slots = alloc.slots
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pane = self.pane
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pane.fill_bar.set_slots(slots, min(floor(prop * slots), slots))
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