Error out clearing task on first quote being nan
parent
74fe27eb2c
commit
b63ce088f2
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@ -20,6 +20,7 @@ In da suit parlances: "Execution management systems"
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"""
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"""
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from dataclasses import dataclass, field
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from math import isnan
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from pprint import pformat
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from pprint import pformat
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import time
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import time
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from typing import AsyncIterator, Callable
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from typing import AsyncIterator, Callable
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@ -47,9 +48,11 @@ log = get_logger(__name__)
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# TODO: numba all of this
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# TODO: numba all of this
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def mk_check(
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def mk_check(
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trigger_price: float,
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trigger_price: float,
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known_last: float,
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known_last: float,
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action: str,
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action: str,
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) -> Callable[[float, float], bool]:
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) -> Callable[[float, float], bool]:
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"""Create a predicate for given ``exec_price`` based on last known
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"""Create a predicate for given ``exec_price`` based on last known
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price, ``known_last``.
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price, ``known_last``.
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@ -77,8 +80,7 @@ def mk_check(
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return check_lt
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return check_lt
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else:
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raise ValueError('trigger: {trigger_price}, last: {known_last}')
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return None
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@dataclass
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@dataclass
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@ -177,7 +179,15 @@ async def clear_dark_triggers(
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tuple(execs.items())
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tuple(execs.items())
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):
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):
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if not pred or (ttype not in tf) or (not pred(price)):
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if (
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not pred or
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ttype not in tf or
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not pred(price)
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):
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log.debug(
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f'skipping quote for {sym} '
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f'{pred}, {ttype} not in {tf}?, {pred(price)}'
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)
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# majority of iterations will be non-matches
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# majority of iterations will be non-matches
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continue
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continue
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@ -1005,7 +1015,8 @@ async def _emsd_main(
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first_quote = feed.first_quotes[symbol]
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first_quote = feed.first_quotes[symbol]
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book = _router.get_dark_book(broker)
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book = _router.get_dark_book(broker)
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book.lasts[(broker, symbol)] = first_quote['last']
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last = book.lasts[(broker, symbol)] = first_quote['last']
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assert not isnan(last) # ib is a cucker but we've fixed it in the backend
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# open a stream with the brokerd backend for order
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# open a stream with the brokerd backend for order
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# flow dialogue
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# flow dialogue
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