pikers
/
piker
3
0
Fork 0
Code Issues 5 Pull Requests 7 Packages Projects Releases Wiki Activity

Finally, sanely normalize local trades event data

basic_orders
Tyler Goodlet 2021-01-15 19:40:09 -05:00
parent c835cc10e0
commit bdc02010cf
1 changed files with 82 additions and 61 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

141
piker/brokers/ib.py
View File

@ -32,6 +32,8 @@ import inspect
import itertools
import time
import trio
import tractor
from async_generator import aclosing
from ib_insync.wrapper import RequestError
from ib_insync.contract import Contract, ContractDetails
@ -40,15 +42,12 @@ from ib_insync.ticker import Ticker
import ib_insync as ibis
from ib_insync.wrapper import Wrapper
from ib_insync.client import Client as ib_Client
import trio
import tractor
from ..log import get_logger, get_console_log
from ..data import (
maybe_spawn_brokerd,
iterticks,
attach_shm_array,
# get_shm_token,
subscribe_ohlc_for_increment,
_buffer,
)
@ -217,7 +216,6 @@ class Client:
# barSizeSetting='1 min',
# always use extended hours
useRTH=False,
@ -306,6 +304,10 @@ class Client:
# into state clobbering (eg. List: Ticker.ticks). It probably
# makes sense to try this once we get the pub-sub working on
# individual symbols...
# XXX UPDATE: we can probably do the tick/trades scraping
# inside our eventkit handler instead to bypass this entirely?
# try:
# # give the cache a go
# return self._contracts[symbol]
@ -386,7 +388,6 @@ class Client:
to_trio,
opts: Tuple[int] = ('375', '233',),
contract: Optional[Contract] = None,
# opts: Tuple[int] = ('459',),
) -> None:
"""Stream a ticker using the std L1 api.
"""
@ -435,11 +436,11 @@ class Client:
# async to be consistent for the client proxy, and cuz why not.
async def submit_limit(
self,
oid: str,
oid: str, # XXX: see return value
symbol: str,
price: float,
action: str = 'BUY',
quantity: int = 100,
action: str,
size: int = 100,
) -> int:
"""Place an order and return integer request id provided by client.
@ -452,16 +453,14 @@ class Client:
# against non-known prices.
raise RuntimeError("Can not order {symbol}, no live feed?")
# contract.exchange = 'SMART'
trade = self.ib.placeOrder(
contract,
Order(
# orderId=oid,
# orderId=oid, # stupid api devs..
action=action.upper(), # BUY/SELL
orderType='LMT',
lmtPrice=price,
totalQuantity=quantity,
totalQuantity=size,
outsideRth=True,
optOutSmartRouting=True,
@ -469,18 +468,21 @@ class Client:
designatedLocation='SMART',
),
)
# ib doesn't support setting your own id outside
# their own weird client int counting ids..
return trade.order.orderId
async def submit_cancel(
self,
oid: str,
reqid: str,
) -> None:
"""Send cancel request for order id ``oid``.
"""
self.ib.cancelOrder(
Order(
orderId=oid,
orderId=reqid,
clientId=self.ib.client.clientId,
)
)
@ -491,43 +493,37 @@ class Client:
) -> None:
"""Stream a ticker using the std L1 api.
"""
# contract = contract or (await self.find_contract(symbol))
self.inline_errors(to_trio)
def push_tradesies(eventkit_obj, trade, fill=None):
"""Push events to trio task.
"""
# if fill is not None:
# heyoo we executed, and thanks to ib_insync
# we have to handle the callback signature differently
# due to its consistently non-consistent design.
if fill is not None:
# execution details event
item = ('fill', (trade, fill))
else:
item = ('status', trade)
# yet again convert the datetime since they aren't
# ipc serializable...
# fill.time = fill.time.timestamp
# trade.fill = fill
log.info(f'{eventkit_obj}: {item}')
print(f'{eventkit_obj}: {trade}')
log.debug(trade)
if trade is None:
print("YO WTF NONE")
try:
to_trio.send_nowait(trade)
to_trio.send_nowait(item)
except trio.BrokenResourceError:
# XXX: eventkit's ``Event.emit()`` for whatever redic
# reason will catch and ignore regular exceptions
# resulting in tracebacks spammed to console..
# Manually do the dereg ourselves.
log.exception(f'Disconnected from {eventkit_obj} updates')
eventkit_obj.disconnect(push_tradesies)
# hook up to the weird eventkit object - event stream api
for ev_name in [
'orderStatusEvent',
'execDetailsEvent',
# XXX: not sure yet if we need these
'orderStatusEvent', # all order updates
'execDetailsEvent', # all "fill" updates
# 'commissionReportEvent',
# XXX: ugh, it is a separate event from IB and it's
# emitted as follows:
# self.ib.commissionReportEvent.emit(trade, fill, report)
# XXX: not sure yet if we need these
# 'updatePortfolioEvent',
# 'positionEvent',
@ -559,13 +555,13 @@ class Client:
) -> None:
log.error(errorString)
try:
to_trio.send_nowait(
{'error': {
'brid': reqId,
to_trio.send_nowait((
'error',
# error "object"
{'reqid': reqId,
'message': errorString,
'contract': contract,
}}
)
'contract': contract}
))
except trio.BrokenResourceError:
# XXX: eventkit's ``Event.emit()`` for whatever redic
# reason will catch and ignore regular exceptions
@ -838,8 +834,8 @@ async def fill_bars(
method='bars',
symbol=sym,
end_dt=next_dt,
)
shm.push(bars_array, prepend=True)
i += 1
next_dt = bars[0].date
@ -1092,25 +1088,50 @@ async def stream_trades(
method='recv_trade_updates',
)
# init startup msg
yield {'trade_events': 'started'}
# startup msg
yield {'local_trades': 'start'}
async for event in stream:
from pprint import pprint
async for event_name, item in stream:
if not isinstance(event, dict):
# remove trade log entries for now until we figure out if we
# even want to retreive them this way and because they're using
# datetimes
event = asdict(event)
pprint(event)
event.pop('log', None)
# XXX: begin normalization of nonsense ib_insync internal
# object-state tracking representations...
# fills = event.get('fills')
# if fills:
# await tractor.breakpoint()
# for fill in fills:
# fill['time'] = fill['time'].timestamp
# exec = fill.pop('execution')
if event_name == 'status':
yield {'trade_events': event}
# unwrap needed data from ib_insync internal objects
trade = item
status = trade.orderStatus
# skip duplicate filled updates - we get the deats
# from the execution details event
msg = {
'reqid': trade.order.orderId,
'status': status.status,
'filled': status.filled,
'reason': status.whyHeld,
# this seems to not be necessarily up to date in the
# execDetails event.. so we have to send it here I guess?
'remaining': status.remaining,
}
elif event_name == 'fill':
trade, fill = item
execu = fill.execution
msg = {
'reqid': execu.orderId,
'execid': execu.execId,
# supposedly IB server fill time
'broker_time': execu.time, # converted to float by us
'time': fill.time, # ns in main TCP handler by us
'time_ns': time.time_ns(), # cuz why not
'action': {'BOT': 'buy', 'SLD': 'sell'}[execu.side],
'size': execu.shares,
'price': execu.price,
}
elif event_name == 'error':
msg = item
yield {'local_trades': (event_name, msg)}