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Change `Position.clears` -> `._clears[list[dict]]` 

When you look at usage we don't end up really needing clear entries to
be keyed by their `Transaction.tid`, instead it's much more important to
ensure the time sorted order of trade-clearing transactions such that
position properties such as the size and ppu are calculated correctly.
Thus, this instead simplified the `.clears` table to a list of clear
dict entries making a bunch of things simpler:
- object form `Position._clears` compared to the offline TOML schema
  (saved in account files) is now data-structure-symmetrical.
- `Position.add_clear()` now uses `bisect.insort()` to
  datetime-field-sort-insert into the *list* which saves having to worry
  about sorting on every sequence *read*.

Further deats:
- adjust `.accounting._ledger.iter_by_dt()` to expect an input `list`.
- change `Position.iter_clears()` to iterate only the clearing entry
  dicts without yielding a key/tid; no more tuples.
- drop `Position.to_dict()` since parent `Struct` already implements it.
basic_buy_bot
Tyler Goodlet 2023-06-27 12:58:50 -04:00
parent 66d402b80e
commit c0d575c009
2 changed files with 106 additions and 94 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

30
piker/accounting/_ledger.py
View File

@ -160,15 +160,16 @@ class TransactionLedger(UserDict):
# normer = mod.norm_trade_record(txdict) # normer = mod.norm_trade_record(txdict)
# TODO: use tx_sort here yah? # TODO: use tx_sort here yah?
for tid, txdict in self.data.items(): for txdict in self.tx_sort(self.data.values()):
# for tid, txdict in self.data.items():
# special field handling for datetimes # special field handling for datetimes
# to ensure pendulum is used! # to ensure pendulum is used!
fqme = txdict.get('fqme') or txdict['fqsn'] tid: str = txdict['tid']
dt = parse(txdict['dt']) fqme: str = txdict.get('fqme') or txdict['fqsn']
expiry = txdict.get('expiry') dt: DateTime = parse(txdict['dt'])
expiry: str | None = txdict.get('expiry')
mkt = mkt_by_fqme.get(fqme) if not (mkt := mkt_by_fqme.get(fqme)):
if not mkt:
# we can't build a trans if we don't have # we can't build a trans if we don't have
# the ``.sys: MktPair`` info, so skip. # the ``.sys: MktPair`` info, so skip.
continue continue
@ -229,7 +230,7 @@ class TransactionLedger(UserDict):
def iter_by_dt( def iter_by_dt(
records: dict[str, Any], records: dict[str, dict[str, Any]] | list[dict],
# NOTE: parsers are looked up in the insert order # NOTE: parsers are looked up in the insert order
# so if you know that the record stats show some field # so if you know that the record stats show some field
@ -247,21 +248,20 @@ def iter_by_dt(
datetime presumably set at the ``'dt'`` field in each entry. datetime presumably set at the ``'dt'`` field in each entry.
''' '''
def dyn_parse_to_dt( def dyn_parse_to_dt(txdict: dict[str, Any]) -> DateTime:
pair: tuple[str, dict],
) -> DateTime:
_, txdict = pair
k, v, parser = next( k, v, parser = next(
(k, txdict[k], parsers[k]) for k in parsers if k in txdict (k, txdict[k], parsers[k]) for k in parsers if k in txdict
) )
return parser(v) if parser else v return parser(v) if parser else v
for tid, data in sorted( if isinstance(records, dict):
records.items(), records = records.values()
for entry in sorted(
records,
key=key or dyn_parse_to_dt, key=key or dyn_parse_to_dt,
): ):
yield tid, data yield entry
def load_ledger( def load_ledger(

170
piker/accounting/_pos.py
View File

@ -22,6 +22,7 @@ that doesn't try to cuk most humans who prefer to not lose their moneys..
''' '''
from __future__ import annotations from __future__ import annotations
from bisect import insort
from contextlib import contextmanager as cm from contextlib import contextmanager as cm
from decimal import Decimal from decimal import Decimal
from math import copysign from math import copysign
@ -30,7 +31,6 @@ from pathlib import Path
from typing import ( from typing import (
Any, Any,
Iterator, Iterator,
Union,
Generator Generator
) )
@ -52,7 +52,6 @@ from ._mktinfo import (
from .. import config from .. import config
from ..clearing._messages import ( from ..clearing._messages import (
BrokerdPosition, BrokerdPosition,
Status,
) )
from ..data.types import Struct from ..data.types import Struct
from ..log import get_logger from ..log import get_logger
@ -66,16 +65,17 @@ class Position(Struct):
A financial "position" in `piker` terms is a summary of accounting A financial "position" in `piker` terms is a summary of accounting
metrics computed from a transaction ledger; generally it describes metrics computed from a transaction ledger; generally it describes
some acumulative "size" and "average price" from the summarized some accumulative "size" and "average price" from the summarized
underlying transaction set. underlying transaction set.
In piker we focus on the `.ppu` (price per unit) and the `.bep` In piker we focus on the `.ppu` (price per unit) and the `.bep`
(break even price) including all transaction entries and exits since (break even price) including all transaction entries and exits since
the last "net-zero" size of the destination asset's holding. the last "net-zero" size of the destination asset's holding.
This interface serves as an object API for computing and tracking This interface serves as an object API for computing and
positions as well as supports serialization for storage in the local tracking positions as well as supports serialization for
file system (in TOML) and to interchange as a msg over IPC. storage in the local file system (in TOML) and to interchange
as a msg over IPC.
''' '''
mkt: MktPair mkt: MktPair
@ -100,10 +100,9 @@ class Position(Struct):
split_ratio: int | None = None split_ratio: int | None = None
# ordered record of known constituent trade messages # ordered record of known constituent trade messages
clears: dict[ _clears: list[
Union[str, int, Status], # trade id
dict[str, Any], # transaction history summaries dict[str, Any], # transaction history summaries
] = {} ] = []
first_clear_dt: datetime | None = None first_clear_dt: datetime | None = None
expiry: datetime | None = None expiry: datetime | None = None
@ -111,34 +110,30 @@ class Position(Struct):
def __repr__(self) -> str: def __repr__(self) -> str:
return pformat(self.to_dict()) return pformat(self.to_dict())
def to_dict(self) -> dict:
return {
f: getattr(self, f)
for f in self.__struct_fields__
}
def to_pretoml(self) -> tuple[str, dict]: def to_pretoml(self) -> tuple[str, dict]:
''' '''
Prep this position's data contents for export to toml including Prep this position's data contents for export as an entry
re-structuring of the ``.clears`` table to an array of in a TOML "account file" (such as
inline-subtables for better ``pps.toml`` compactness. `account.binance.paper.toml`) including re-structuring of
the ``._clears`` entries as an array of inline-subtables
for better ``pps.toml`` compactness.
''' '''
d = self.to_dict() asdict = self.to_dict()
clears = d.pop('clears') clears: list[dict] = asdict.pop('_clears')
expiry = d.pop('expiry') expiry = asdict.pop('expiry')
if self.split_ratio is None: if self.split_ratio is None:
d.pop('split_ratio') asdict.pop('split_ratio')
# should be obvious from clears/event table # should be obvious from clears/event table
d.pop('first_clear_dt') asdict.pop('first_clear_dt')
# TODO: we need to figure out how to have one top level # TODO: we need to figure out how to have one top level
# listing venue here even when the backend isn't providing # listing venue here even when the backend isn't providing
# it via the trades ledger.. # it via the trades ledger..
# drop symbol obj in serialized form # drop symbol obj in serialized form
mkt: MktPair = d.pop('mkt') mkt: MktPair = asdict.pop('mkt')
assert isinstance(mkt, MktPair) assert isinstance(mkt, MktPair)
fqme = mkt.fqme fqme = mkt.fqme
@ -148,15 +143,15 @@ class Position(Struct):
# each tradeable asset in the market. # each tradeable asset in the market.
if mkt.resolved: if mkt.resolved:
dst: Asset = mkt.dst dst: Asset = mkt.dst
d['asset_type'] = dst.atype asdict['asset_type'] = dst.atype
d['price_tick'] = mkt.price_tick asdict['price_tick'] = mkt.price_tick
d['size_tick'] = mkt.size_tick asdict['size_tick'] = mkt.size_tick
if self.expiry is None: if self.expiry is None:
d.pop('expiry', None) asdict.pop('expiry', None)
elif expiry: elif expiry:
d['expiry'] = str(expiry) asdict['expiry'] = str(expiry)
clears_table: tomlkit.Array = tomlkit.array() clears_table: tomlkit.Array = tomlkit.array()
clears_table.multiline( clears_table.multiline(
@ -165,30 +160,29 @@ class Position(Struct):
) )
# reverse sort so latest clears are at top of section? # reverse sort so latest clears are at top of section?
for tid, data in iter_by_dt(clears): for entry in iter_by_dt(clears):
inline_table = tomlkit.inline_table() inline_table = tomlkit.inline_table()
# serialize datetime to parsable `str` # serialize datetime to parsable `str`
dtstr = inline_table['dt'] = data['dt'].isoformat('T') dtstr = inline_table['dt'] = entry['dt'].isoformat('T')
assert 'Datetime' not in dtstr assert 'Datetime' not in dtstr
# insert optional clear fields in column order # insert optional clear fields in column order
for k in ['ppu', 'accum_size']: for k in ['ppu', 'accum_size']:
val = data.get(k) if val := entry.get(k):
if val:
inline_table[k] = val inline_table[k] = val
# insert required fields # insert required fields
for k in ['price', 'size', 'cost']: for k in ['price', 'size', 'cost']:
inline_table[k] = data[k] inline_table[k] = entry[k]
inline_table['tid'] = tid inline_table['tid'] = entry['tid']
clears_table.append(inline_table) clears_table.append(inline_table)
d['clears'] = clears_table asdict['clears'] = clears_table
return fqme, d return fqme, asdict
def ensure_state(self) -> None: def ensure_state(self) -> None:
''' '''
@ -197,18 +191,16 @@ class Position(Struct):
they differ and log warnings to console. they differ and log warnings to console.
''' '''
clears = list(self.clears.values()) clears: list[dict] = self._clears
self.first_clear_dt = min( self.first_clear_dt = min(clears, key=lambda e: e['dt'])['dt']
list(entry['dt'] for entry in clears) last_clear: dict = clears[-1]
) csize: float = self.calc_size()
last_clear = clears[-1] accum: float = last_clear['accum_size']
csize = self.calc_size()
accum = last_clear['accum_size']
if not self.expired(): if not self.expired():
if ( if (
csize != accum csize != accum
and csize != round(accum * self.split_ratio or 1) and csize != round(accum * (self.split_ratio or 1))
): ):
raise ValueError(f'Size mismatch: {csize}') raise ValueError(f'Size mismatch: {csize}')
else: else:
@ -221,11 +213,12 @@ class Position(Struct):
) )
self.size = csize self.size = csize
cppu = self.calc_ppu() cppu: float = self.calc_ppu()
ppu = last_clear['ppu'] ppu: float = last_clear['ppu']
if ( if (
cppu != ppu cppu != ppu
and self.split_ratio is not None and self.split_ratio is not None
# handle any split info entered (for now) manually by user # handle any split info entered (for now) manually by user
and cppu != (ppu / self.split_ratio) and cppu != (ppu / self.split_ratio)
): ):
@ -281,15 +274,15 @@ class Position(Struct):
def iter_clears(self) -> Iterator[tuple[str, dict]]: def iter_clears(self) -> Iterator[tuple[str, dict]]:
''' '''
Iterate the internally managed ``.clears: dict`` table in Iterate the internally managed ``._clears: dict`` table in
datetime-stamped order. datetime-stamped order.
''' '''
# sort on the already existing datetime that should have # sort on the already existing datetime that should have
# been generated for the entry's table # been generated for the entry's table
return iter_by_dt( return iter_by_dt(
self.clears, self._clears,
key=lambda entry: entry[1]['dt'] key=lambda entry: entry['dt']
) )
def calc_ppu( def calc_ppu(
@ -323,9 +316,8 @@ class Position(Struct):
asize_h: list[float] = [] # historical accumulative size asize_h: list[float] = [] # historical accumulative size
ppu_h: list[float] = [] # historical price-per-unit ppu_h: list[float] = [] # historical price-per-unit
tid: str
entry: dict[str, Any] entry: dict[str, Any]
for (tid, entry) in self.iter_clears(): for entry in self.iter_clears():
clear_size = entry['size'] clear_size = entry['size']
clear_price: str | float = entry['price'] clear_price: str | float = entry['price']
is_clear: bool = not isinstance(clear_price, str) is_clear: bool = not isinstance(clear_price, str)
@ -451,7 +443,7 @@ class Position(Struct):
if self.expired(): if self.expired():
return 0. return 0.
for tid, entry in self.clears.items(): for entry in self._clears:
size += entry['size'] size += entry['size']
# XXX: do we need it every step? # XXX: do we need it every step?
# no right since rounding is an LT? # no right since rounding is an LT?
@ -474,11 +466,11 @@ class Position(Struct):
''' '''
Minimize the position's clears entries by removing Minimize the position's clears entries by removing
all transactions before the last net zero size to avoid all transactions before the last net zero size to avoid
unecessary history irrelevant to the current pp state. unnecessary history irrelevant to the current pp state.
''' '''
size: float = 0 size: float = 0
clears_since_zero: list[tuple(str, dict)] = [] clears_since_zero: list[dict] = []
# TODO: we might just want to always do this when iterating # TODO: we might just want to always do this when iterating
# a ledger? keep a state of the last net-zero and only do the # a ledger? keep a state of the last net-zero and only do the
@ -486,34 +478,44 @@ class Position(Struct):
# scan for the last "net zero" position by iterating # scan for the last "net zero" position by iterating
# transactions until the next net-zero size, rinse, repeat. # transactions until the next net-zero size, rinse, repeat.
for tid, clear in self.clears.items(): for clear in self._clears:
size = float( size = float(
self.mkt.quantize(size + clear['size']) self.mkt.quantize(size + clear['size'])
) )
clears_since_zero.append((tid, clear)) clears_since_zero.append(clear)
if size == 0: if size == 0:
clears_since_zero.clear() clears_since_zero.clear()
self.clears = dict(clears_since_zero) self._clears = clears_since_zero
return self.clears return self._clears
def add_clear( def add_clear(
self, self,
t: Transaction, t: Transaction,
) -> dict: ) -> dict:
''' '''
Update clearing table and populate rolling ppu and accumulative Update clearing table by calculating the rolling ppu and
size in both the clears entry and local attrs state. (accumulative) size in both the clears entry and local
attrs state.
Inserts are always done in datetime sorted order.
''' '''
clear = self.clears[t.tid] = { clear: dict[str, float | str | int] = {
'tid': t.tid,
'cost': t.cost, 'cost': t.cost,
'price': t.price, 'price': t.price,
'size': t.size, 'size': t.size,
'dt': t.dt 'dt': t.dt
} }
insort(
self._clears,
clear,
key=lambda entry: entry['dt']
)
# TODO: compute these incrementally instead # TODO: compute these incrementally instead
# of re-looping through each time resulting in O(n**2) # of re-looping through each time resulting in O(n**2)
# behaviour..? # behaviour..?
@ -526,10 +528,14 @@ class Position(Struct):
return clear return clear
# def sugest_split(self) -> float: # TODO: once we have an `.events` table with diff
# mkt event types..?
# def suggest_split(self) -> float:
# ... # ...
# TODO: maybe a better name is just `Account` and we include
# a table of asset balances as `.balances: dict[Asset, float]`?
class PpTable(Struct): class PpTable(Struct):
brokername: str brokername: str
@ -544,7 +550,12 @@ class PpTable(Struct):
cost_scalar: float = 2, cost_scalar: float = 2,
) -> dict[str, Position]: ) -> dict[str, Position]:
'''
Update the internal `.pps[str, Position]` table from input
transactions recomputing the price-per-unit (ppu) and
accumulative size for each entry.
'''
pps = self.pps pps = self.pps
updated: dict[str, Position] = {} updated: dict[str, Position] = {}
@ -553,7 +564,7 @@ class PpTable(Struct):
for t in sorted( for t in sorted(
trans.values(), trans.values(),
key=lambda t: t.dt, key=lambda t: t.dt,
reverse=True, # reverse=True,
): ):
fqme = t.fqme fqme = t.fqme
bs_mktid = t.bs_mktid bs_mktid = t.bs_mktid
@ -561,10 +572,10 @@ class PpTable(Struct):
# template the mkt-info presuming a legacy market ticks # template the mkt-info presuming a legacy market ticks
# if no info exists in the transactions.. # if no info exists in the transactions..
mkt: MktPair = t.sys mkt: MktPair = t.sys
pp = pps.get(bs_mktid) pos = pps.get(bs_mktid)
if not pp: if not pos:
# if no existing pp, allocate fresh one. # if no existing pos, allocate fresh one.
pp = pps[bs_mktid] = Position( pos = pps[bs_mktid] = Position(
mkt=mkt, mkt=mkt,
size=0.0, size=0.0,
ppu=0.0, ppu=0.0,
@ -577,12 +588,12 @@ class PpTable(Struct):
# a shorter string), instead use the one from the # a shorter string), instead use the one from the
# transaction since it likely has (more) full # transaction since it likely has (more) full
# information from the provider. # information from the provider.
if len(pp.mkt.fqme) < len(fqme): if len(pos.mkt.fqme) < len(fqme):
pp.mkt = mkt pos.mkt = mkt
clears = pp.clears clears: list[dict] = pos._clears
if clears: if clears:
first_clear_dt = pp.first_clear_dt first_clear_dt = pos.first_clear_dt
# don't do updates for ledger records we already have # don't do updates for ledger records we already have
# included in the current pps state. # included in the current pps state.
@ -601,15 +612,16 @@ class PpTable(Struct):
continue continue
# update clearing table # update clearing table
pp.add_clear(t) pos.add_clear(t)
updated[t.bs_mktid] = pp updated[t.bs_mktid] = pos
# minimize clears tables and update sizing. # re-calc ppu and accumulative sizing.
for bs_mktid, pp in updated.items(): for bs_mktid, pos in updated.items():
pp.ensure_state() pos.ensure_state()
# deliver only the position entries that were actually updated # NOTE: deliver only the position entries that were
# (modified the state) from the input transaction set. # actually updated (modified the state) from the input
# transaction set.
return updated return updated
def dump_active( def dump_active(