Make `ib` backend multi-client capable
This adds full support for a single `brokerd` managing multiple API endpoint clients in tandem. Get the client scan loop correct and load accounts from all discovered clients as specified in a user's `broker.toml`. We now just always re-scan for all clients and if there's a cache hit just skip a creation/connection logic. Route orders with an account name to the correct client in the `handle_order_requests()` endpoint and spawn an event relay task per client for transmitting trade events back to `emsd`.fsp_feeds
parent
dedfb27a3a
commit
c53b8ec43c
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@ -219,6 +219,8 @@ class Client:
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Note: this client requires running inside an ``asyncio`` loop.
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"""
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_contracts: dict[str, Contract] = {}
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def __init__(
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self,
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@ -229,7 +231,6 @@ class Client:
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self.ib.RaiseRequestErrors = True
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# contract cache
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self._contracts: dict[str, Contract] = {}
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self._feeds: dict[str, trio.abc.SendChannel] = {}
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# NOTE: the ib.client here is "throttled" to 45 rps by default
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@ -505,7 +506,7 @@ class Client:
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return contract, ticker, details
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# async to be consistent for the client proxy, and cuz why not.
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async def submit_limit(
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def submit_limit(
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self,
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# ignored since ib doesn't support defining your
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# own order id
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@ -554,7 +555,7 @@ class Client:
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# their own weird client int counting ids..
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return trade.order.orderId
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async def submit_cancel(
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def submit_cancel(
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self,
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reqid: str,
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) -> None:
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@ -571,6 +572,7 @@ class Client:
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async def recv_trade_updates(
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self,
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to_trio: trio.abc.SendChannel,
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) -> None:
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"""Stream a ticker using the std L1 api.
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"""
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@ -720,50 +722,32 @@ async def load_aio_clients(
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global _client_cache
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conf = get_config()
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ib = None
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client = None
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# first check cache for existing client
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if port:
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log.info(f'Loading requested client on port: {port}')
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client = _client_cache.get((host, port))
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# attempt to get connection info from config; if no .toml entry
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# exists, we try to load from a default localhost connection.
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host = conf.get('host', '127.0.0.1')
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ports = conf.get(
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'ports',
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if client and client.ib.isConnected():
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yield client, _client_cache, _accounts2clients
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return
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# default order is to check for gw first
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{
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'gw': 4002,
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'tws': 7497,
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'order': ['gw', 'tws']
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}
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)
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order = ports['order']
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accounts_def = config.load_accounts('ib')
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try_ports = [ports[key] for key in order]
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ports = try_ports if port is None else [port]
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we_connected = []
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# allocate new and/or reload disconnected but cached clients
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try:
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# TODO: in case the arbiter has no record
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# of existing brokerd we need to broadcast for one.
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if client_id is None:
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# if this is a persistent brokerd, try to allocate a new id for
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# each client
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client_id = next(_client_ids)
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ib = NonShittyIB()
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# attempt to get connection info from config; if no .toml entry
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# exists, we try to load from a default localhost connection.
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host = conf.get('host', '127.0.0.1')
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ports = conf.get(
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'ports',
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# default order is to check for gw first
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{
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'gw': 4002,
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'tws': 7497,
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'order': ['gw', 'tws']
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}
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)
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order = ports['order']
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accounts_def = config.load_accounts('ib')
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try_ports = [ports[key] for key in order]
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ports = try_ports if port is None else [port]
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# TODO: support multiple clients allowing for execution on
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# multiple accounts (including a paper instance running on the
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# same machine) and switching between accounts in the EMs
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@ -774,9 +758,15 @@ async def load_aio_clients(
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# from connection details in ``brokers.toml``.
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for port in ports:
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client = _client_cache.get((host, port))
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accounts_found: dict[str, Client] = {}
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if not client or not client.ib.isConnected():
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try:
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ib = NonShittyIB()
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# if this is a persistent brokerd, try to allocate
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# a new id for each client
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client_id = next(_client_ids)
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log.info(f"Connecting to the EYEBEE on port {port}!")
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await ib.connectAsync(host, port, clientId=client_id)
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@ -789,7 +779,7 @@ async def load_aio_clients(
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pps = ib.positions()
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if pps:
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for pp in pps:
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_accounts2clients[
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accounts_found[
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accounts_def.inverse[pp.account]
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] = client
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@ -798,18 +788,21 @@ async def load_aio_clients(
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# them for this client
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for value in ib.accountValues():
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acct = value.account
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if acct not in _accounts2clients:
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_accounts2clients[
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if acct not in accounts_found:
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accounts_found[
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accounts_def.inverse[acct]
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] = client
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log.info(
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f'Loaded accounts: {_accounts2clients} for {client} '
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f'@ {host}:{port}'
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f'Loaded accounts for client @ {host}:{port}\n'
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f'{pformat(accounts_found)}'
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)
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# update all actor-global caches
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log.info(f"Caching client for {(host, port)}")
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_client_cache[(host, port)] = client
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we_connected.append(client)
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_accounts2clients.update(accounts_found)
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except ConnectionRefusedError as ce:
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_err = ce
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@ -826,7 +819,8 @@ async def load_aio_clients(
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yield client, _client_cache, _accounts2clients
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except BaseException:
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ib.disconnect()
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for client in we_connected:
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client.ib.disconnect()
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raise
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@ -834,14 +828,16 @@ async def _aio_run_client_method(
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meth: str,
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to_trio=None,
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from_trio=None,
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client=None,
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**kwargs,
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) -> None:
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async with load_aio_clients() as (
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client,
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_client,
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clients,
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accts2clients,
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):
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client = client or _client
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async_meth = getattr(client, meth)
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# handle streaming methods
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@ -855,7 +851,9 @@ async def _aio_run_client_method(
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async def _trio_run_client_method(
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method: str,
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client: Optional[Client] = None,
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**kwargs,
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) -> None:
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"""Asyncio entry point to run tasks against the ``ib_insync`` api.
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@ -875,12 +873,12 @@ async def _trio_run_client_method(
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):
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kwargs['_treat_as_stream'] = True
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result = await tractor.to_asyncio.run_task(
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return await tractor.to_asyncio.run_task(
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_aio_run_client_method,
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meth=method,
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client=client,
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**kwargs
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)
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return result
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class _MethodProxy:
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@ -1371,11 +1369,11 @@ def pack_position(pos: Position) -> dict[str, Any]:
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async def handle_order_requests(
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ems_order_stream: tractor.MsgStream,
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accounts_def: dict[str, str],
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) -> None:
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global _accounts2clients
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accounts_def = config.load_accounts('ib')
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# request_msg: dict
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async for request_msg in ems_order_stream:
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@ -1415,15 +1413,13 @@ async def handle_order_requests(
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order = BrokerdOrder(**request_msg)
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# call our client api to submit the order
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reqid = await _trio_run_client_method(
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method='submit_limit',
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reqid = client.submit_limit(
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oid=order.oid,
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symbol=order.symbol,
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price=order.price,
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action=order.action,
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size=order.size,
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account=order.account,
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account=acct_number,
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# XXX: by default 0 tells ``ib_insync`` methods that
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# there is no existing order so ask the client to create
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@ -1446,11 +1442,7 @@ async def handle_order_requests(
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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await _trio_run_client_method(
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method='submit_cancel',
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reqid=msg.reqid
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)
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client.submit_cancel(reqid=msg.reqid)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@ -1467,169 +1459,202 @@ async def trades_dialogue(
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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ib_trade_events_stream = await _trio_run_client_method(
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method='recv_trade_updates',
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)
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accounts_def = config.load_accounts('ib')
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global _accounts2clients
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global _client_cache
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# deliver positions to subscriber before anything else
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all_positions = {}
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for client in _client_cache.values():
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for pos in client.positions():
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msg = pack_position(pos)
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all_positions[msg.symbol] = msg.dict()
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clients: list[tuple[Client, trio.MemoryReceiveChannel]] = []
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for account, client in _accounts2clients.items():
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# each client to an api endpoint will have it's own event stream
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trade_event_stream = await _trio_run_client_method(
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method='recv_trade_updates',
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client=client,
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)
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clients.append((client, trade_event_stream))
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for client in _client_cache.values():
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for pos in client.positions():
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msg = pack_position(pos)
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all_positions[msg.symbol] = msg.dict()
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await ctx.started(all_positions)
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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# start order request handler **before** local trades event loop
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n.start_soon(handle_order_requests, ems_stream)
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n.start_soon(handle_order_requests, ems_stream, accounts_def)
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# TODO: for some reason we can receive a ``None`` here when the
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# ib-gw goes down? Not sure exactly how that's happening looking
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# at the eventkit code above but we should probably handle it...
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async for event_name, item in ib_trade_events_stream:
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# allocate event relay tasks for each client connection
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for client, stream in clients:
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n.start_soon(
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deliver_trade_events,
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stream,
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ems_stream,
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accounts_def
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)
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log.info(f'ib sending {event_name}:\n{pformat(item)}')
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# block until cancelled
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await trio.sleep_forever()
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# TODO: templating the ib statuses in comparison with other
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# brokers is likely the way to go:
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# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
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# short list:
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# - PendingSubmit
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# - PendingCancel
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# - PreSubmitted (simulated orders)
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# - ApiCancelled (cancelled by client before submission
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# to routing)
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# - Cancelled
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# - Filled
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# - Inactive (reject or cancelled but not by trader)
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# XXX: here's some other sucky cases from the api
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# - short-sale but securities haven't been located, in this
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# case we should probably keep the order in some kind of
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# weird state or cancel it outright?
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async def deliver_trade_events(
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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# status='PreSubmitted', message='')],
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trade_event_stream: trio.MemoryReceiveChannel,
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ems_stream: tractor.MsgStream,
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accounts_def: dict[str, str],
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if event_name == 'status':
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) -> None:
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'''Format and relay all trade events for a given client to the EMS.
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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'''
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
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# unwrap needed data from ib_insync internal types
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trade: Trade = item
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status: OrderStatus = trade.orderStatus
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# TODO: for some reason we can receive a ``None`` here when the
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# ib-gw goes down? Not sure exactly how that's happening looking
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# at the eventkit code above but we should probably handle it...
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async for event_name, item in trade_event_stream:
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = BrokerdStatus(
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log.info(f'ib sending {event_name}:\n{pformat(item)}')
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reqid=trade.order.orderId,
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time_ns=time.time_ns(), # cuz why not
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# account=client.
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# TODO: templating the ib statuses in comparison with other
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# brokers is likely the way to go:
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# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
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# short list:
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# - PendingSubmit
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# - PendingCancel
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# - PreSubmitted (simulated orders)
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# - ApiCancelled (cancelled by client before submission
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# to routing)
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# - Cancelled
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# - Filled
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# - Inactive (reject or cancelled but not by trader)
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# everyone doin camel case..
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status=status.status.lower(), # force lower case
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# XXX: here's some other sucky cases from the api
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# - short-sale but securities haven't been located, in this
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# case we should probably keep the order in some kind of
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# weird state or cancel it outright?
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filled=status.filled,
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reason=status.whyHeld,
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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# status='PreSubmitted', message='')],
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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remaining=status.remaining,
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if event_name == 'status':
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broker_details={'name': 'ib'},
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)
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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elif event_name == 'fill':
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# unwrap needed data from ib_insync internal types
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trade: Trade = item
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status: OrderStatus = trade.orderStatus
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# for wtv reason this is a separate event type
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# from IB, not sure why it's needed other then for extra
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# complexity and over-engineering :eyeroll:.
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# we may just end up dropping these events (or
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# translating them to ``Status`` msgs) if we can
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# show the equivalent status events are no more latent.
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = BrokerdStatus(
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# unpack ib_insync types
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# pep-0526 style:
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# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
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trade: Trade
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fill: Fill
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trade, fill = item
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execu: Execution = fill.execution
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reqid=trade.order.orderId,
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time_ns=time.time_ns(), # cuz why not
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account=accounts_def.inverse[trade.order.account],
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# TODO: normalize out commissions details?
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details = {
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'contract': asdict(fill.contract),
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'execution': asdict(fill.execution),
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'commissions': asdict(fill.commissionReport),
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'broker_time': execu.time, # supposedly server fill time
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'name': 'ib',
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}
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# everyone doin camel case..
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status=status.status.lower(), # force lower case
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msg = BrokerdFill(
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# should match the value returned from `.submit_limit()`
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reqid=execu.orderId,
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time_ns=time.time_ns(), # cuz why not
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filled=status.filled,
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reason=status.whyHeld,
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action=action_map[execu.side],
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size=execu.shares,
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price=execu.price,
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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remaining=status.remaining,
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broker_details=details,
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# XXX: required by order mode currently
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broker_time=details['broker_time'],
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broker_details={'name': 'ib'},
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)
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)
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elif event_name == 'fill':
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elif event_name == 'error':
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# for wtv reason this is a separate event type
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# from IB, not sure why it's needed other then for extra
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# complexity and over-engineering :eyeroll:.
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# we may just end up dropping these events (or
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# translating them to ``Status`` msgs) if we can
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# show the equivalent status events are no more latent.
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err: dict = item
|
||||
# unpack ib_insync types
|
||||
# pep-0526 style:
|
||||
# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
|
||||
trade: Trade
|
||||
fill: Fill
|
||||
trade, fill = item
|
||||
execu: Execution = fill.execution
|
||||
|
||||
# f$#$% gawd dammit insync..
|
||||
con = err['contract']
|
||||
if isinstance(con, Contract):
|
||||
err['contract'] = asdict(con)
|
||||
# TODO: normalize out commissions details?
|
||||
details = {
|
||||
'contract': asdict(fill.contract),
|
||||
'execution': asdict(fill.execution),
|
||||
'commissions': asdict(fill.commissionReport),
|
||||
'broker_time': execu.time, # supposedly server fill time
|
||||
'name': 'ib',
|
||||
}
|
||||
|
||||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
msg = BrokerdFill(
|
||||
# should match the value returned from `.submit_limit()`
|
||||
reqid=execu.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
|
||||
# don't forward for now, it's unecessary.. but if we wanted to,
|
||||
# msg = BrokerdError(**err)
|
||||
continue
|
||||
action=action_map[execu.side],
|
||||
size=execu.shares,
|
||||
price=execu.price,
|
||||
|
||||
elif event_name == 'position':
|
||||
msg = pack_position(item)
|
||||
broker_details=details,
|
||||
# XXX: required by order mode currently
|
||||
broker_time=details['broker_time'],
|
||||
|
||||
if getattr(msg, 'reqid', 0) < -1:
|
||||
)
|
||||
|
||||
# it's a trade event generated by TWS usage.
|
||||
log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
||||
elif event_name == 'error':
|
||||
|
||||
msg.reqid = 'tws-' + str(-1 * msg.reqid)
|
||||
err: dict = item
|
||||
|
||||
# mark msg as from "external system"
|
||||
# TODO: probably something better then this.. and start
|
||||
# considering multiplayer/group trades tracking
|
||||
msg.broker_details['external_src'] = 'tws'
|
||||
continue
|
||||
# f$#$% gawd dammit insync..
|
||||
con = err['contract']
|
||||
if isinstance(con, Contract):
|
||||
err['contract'] = asdict(con)
|
||||
|
||||
# XXX: we always serialize to a dict for msgpack
|
||||
# translations, ideally we can move to an msgspec (or other)
|
||||
# encoder # that can be enabled in ``tractor`` ahead of
|
||||
# time so we can pass through the message types directly.
|
||||
await ems_stream.send(msg.dict())
|
||||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
|
||||
# TODO: what schema for this msg if we're going to make it
|
||||
# portable across all backends?
|
||||
# msg = BrokerdError(**err)
|
||||
continue
|
||||
|
||||
elif event_name == 'position':
|
||||
msg = pack_position(item)
|
||||
|
||||
if getattr(msg, 'reqid', 0) < -1:
|
||||
|
||||
# it's a trade event generated by TWS usage.
|
||||
log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
||||
|
||||
msg.reqid = 'tws-' + str(-1 * msg.reqid)
|
||||
|
||||
# mark msg as from "external system"
|
||||
# TODO: probably something better then this.. and start
|
||||
# considering multiplayer/group trades tracking
|
||||
msg.broker_details['external_src'] = 'tws'
|
||||
continue
|
||||
|
||||
# XXX: we always serialize to a dict for msgpack
|
||||
# translations, ideally we can move to an msgspec (or other)
|
||||
# encoder # that can be enabled in ``tractor`` ahead of
|
||||
# time so we can pass through the message types directly.
|
||||
await ems_stream.send(msg.dict())
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
Loading…
Reference in New Issue