WIP: refactor ib pp load init
Tyler Goodlet
parent
3e5da64571
commit
c59ec77d9c
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@ -59,7 +59,7 @@ from piker.accounting import (
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open_pps,
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PpTable,
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)
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from piker.log import get_console_log
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from .._util import get_console_log
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from piker.clearing._messages import (
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Order,
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Status,
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@ -281,18 +281,21 @@ async def recv_trade_updates(
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async def update_ledger_from_api_trades(
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trade_entries: list[dict[str, Any]],
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client: Union[Client, MethodProxy],
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accounts_def_inv: bidict[str, str],
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) -> tuple[
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dict[str, Transaction],
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dict[str, dict],
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]:
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# XXX; ERRGGG..
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# pack in the "primary/listing exchange" value from a
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# contract lookup since it seems this isn't available by
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# default from the `.fills()` method endpoint...
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for entry in trade_entries:
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condict = entry['contract']
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# print(
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# f"{condict['symbol']}: GETTING CONTRACT INFO!\n"
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# )
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conid = condict['conId']
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pexch = condict['primaryExchange']
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@ -310,9 +313,8 @@ async def update_ledger_from_api_trades(
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# pack in the ``Contract.secType``
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entry['asset_type'] = condict['secType']
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conf = get_config()
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entries = api_trades_to_ledger_entries(
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conf['accounts'].inverse,
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accounts_def_inv,
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trade_entries,
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)
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# normalize recent session's trades to the `Transaction` type
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@ -340,9 +342,16 @@ async def update_and_audit_msgs(
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# retreive equivalent ib reported position message
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# for comparison/audit versus the piker equivalent
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# breakeven pp calcs.
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# if (
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# acctid == 'reg'
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# and bs_mktid == 36285627
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# ):
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# await tractor.breakpoint()
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ibppmsg = cids2pps.get((acctid, bs_mktid))
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if ibppmsg:
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symbol = ibppmsg.symbol
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msg = BrokerdPosition(
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broker='ib',
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@ -353,7 +362,7 @@ async def update_and_audit_msgs(
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# table..
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account=ibppmsg.account,
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# XXX: the `.ib` is stripped..?
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symbol=ibppmsg.symbol,
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symbol=symbol,
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currency=ibppmsg.currency,
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size=p.size,
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avg_price=p.ppu,
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@ -432,6 +441,81 @@ async def update_and_audit_msgs(
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return msgs
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async def aggr_open_orders(
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order_msgs: list[Status],
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client: Client,
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proxy: MethodProxy,
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accounts_def: bidict[str, str],
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) -> None:
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'''
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Collect all open orders from client and fill in `order_msgs: list`.
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'''
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trades: list[Trade] = client.ib.openTrades()
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for trade in trades:
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order = trade.order
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quant = trade.order.totalQuantity
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action = order.action.lower()
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size = {
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'sell': -1,
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'buy': 1,
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}[action] * quant
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con = trade.contract
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# TODO: in the case of the SMART venue (aka ib's
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# router-clearing sys) we probably should handle
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# showing such orders overtop of the fqsn for the
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# primary exchange, how to map this easily is going
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# to be a bit tricky though?
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deats = await proxy.con_deats(contracts=[con])
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fqsn = list(deats)[0]
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reqid = order.orderId
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# TODO: maybe embed a ``BrokerdOrder`` instead
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# since then we can directly load it on the client
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# side in the order mode loop?
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msg = Status(
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time_ns=time.time_ns(),
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resp='open',
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oid=str(reqid),
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reqid=reqid,
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# embedded order info
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req=Order(
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action=action,
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exec_mode='live',
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oid=str(reqid),
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symbol=fqsn,
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account=accounts_def.inverse[order.account],
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price=order.lmtPrice,
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size=size,
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),
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src='ib',
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)
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order_msgs.append(msg)
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return order_msgs
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# proxy wrapper for starting trade event stream
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async def open_trade_event_stream(
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client: Client,
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task_status: TaskStatus[
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trio.abc.ReceiveChannel
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] = trio.TASK_STATUS_IGNORED,
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):
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# each api client has a unique event stream
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async with tractor.to_asyncio.open_channel_from(
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recv_trade_updates,
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client=client,
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) as (first, trade_event_stream):
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task_status.started(trade_event_stream)
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await trio.sleep_forever()
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@tractor.context
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async def trades_dialogue(
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@ -465,7 +549,10 @@ async def trades_dialogue(
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# we might also want to delegate a specific actor for
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# ledger writing / reading for speed?
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async with (
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open_client_proxies() as (proxies, aioclients),
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open_client_proxies() as (
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proxies,
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aioclients,
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),
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):
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# Open a trade ledgers stack for appending trade records over
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# multiple accounts.
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@ -473,6 +560,9 @@ async def trades_dialogue(
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ledgers: dict[str, dict] = {}
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tables: dict[str, PpTable] = {}
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order_msgs: list[Status] = []
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conf = get_config()
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accounts_def_inv = conf['accounts'].inverse
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with (
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ExitStack() as lstack,
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):
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@ -491,7 +581,17 @@ async def trades_dialogue(
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acctid,
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)
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)
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table = tables[acctid] = lstack.enter_context(
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# load all positions from `pps.toml`, cross check with
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# ib's positions data, and relay re-formatted pps as
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# msgs to the ems.
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# __2 cases__:
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# - new trades have taken place this session that we want to
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# always reprocess indempotently,
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# - no new trades yet but we want to reload and audit any
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# positions reported by ib's sys that may not yet be in
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# piker's ``pps.toml`` state-file.
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tables[acctid] = lstack.enter_context(
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open_pps(
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'ib',
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acctid,
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@ -501,57 +601,54 @@ async def trades_dialogue(
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for account, proxy in proxies.items():
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client = aioclients[account]
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trades: list[Trade] = client.ib.openTrades()
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for trade in trades:
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order = trade.order
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quant = trade.order.totalQuantity
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action = order.action.lower()
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size = {
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'sell': -1,
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'buy': 1,
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}[action] * quant
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con = trade.contract
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# TODO: in the case of the SMART venue (aka ib's
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# router-clearing sys) we probably should handle
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# showing such orders overtop of the fqsn for the
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# primary exchange, how to map this easily is going
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# to be a bit tricky though?
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deats = await proxy.con_deats(contracts=[con])
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fqsn = list(deats)[0]
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# order_msgs is filled in by this helper
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await aggr_open_orders(
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order_msgs,
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client,
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proxy,
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accounts_def,
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)
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acctid: str = account.strip('ib.')
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ledger: dict = ledgers[acctid]
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table: PpTable = tables[acctid]
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reqid = order.orderId
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# TODO: maybe embed a ``BrokerdOrder`` instead
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# since then we can directly load it on the client
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# side in the order mode loop?
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msg = Status(
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time_ns=time.time_ns(),
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resp='open',
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oid=str(reqid),
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reqid=reqid,
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# embedded order info
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req=Order(
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action=action,
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exec_mode='live',
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oid=str(reqid),
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symbol=fqsn,
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account=accounts_def.inverse[order.account],
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price=order.lmtPrice,
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size=size,
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),
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src='ib',
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# update trades ledgers for all accounts from connected
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# api clients which report trades for **this session**.
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trades = await proxy.trades()
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if trades:
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(
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trans_by_acct,
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api_to_ledger_entries,
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) = await update_ledger_from_api_trades(
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trades,
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proxy,
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accounts_def_inv,
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)
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order_msgs.append(msg)
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# process pp value reported from ib's system. we only use these
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# to cross-check sizing since average pricing on their end uses
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# the so called (bs) "FIFO" style which more or less results in
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# a price that's not useful for traders who want to not lose
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# money.. xb
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# if new trades are detected from the API, prepare
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# them for the ledger file and update the pptable.
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if api_to_ledger_entries:
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trade_entries = api_to_ledger_entries.get(acctid)
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if trade_entries:
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# write ledger with all new trades
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# **AFTER** we've updated the
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# `pps.toml` from the original
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# ledger state! (i.e. this is
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# currently done on exit)
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ledger.update(trade_entries)
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trans = trans_by_acct.get(acctid)
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if trans:
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table.update_from_trans(trans)
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# process pp value reported from ib's system. we only
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# use these to cross-check sizing since average pricing
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# on their end uses the so called (bs) "FIFO" style
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# which more or less results in a price that's not
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# useful for traders who want to not lose money.. xb
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for pos in client.positions():
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# collect all ib-pp reported positions so that we can be
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# sure know which positions to update from the ledger if
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# any are missing from the ``pps.toml``
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@ -560,13 +657,14 @@ async def trades_dialogue(
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acctid = msg.account = accounts_def.inverse[msg.account]
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acctid = acctid.strip('ib.')
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cids2pps[(acctid, bs_mktid)] = msg
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assert msg.account in accounts, (
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f'Position for unknown account: {msg.account}')
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ledger = ledgers[acctid]
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table = tables[acctid]
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ledger: dict = ledgers[acctid]
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table: PpTable = tables[acctid]
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pp: Position = table.pps.get(bs_mktid)
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pp = table.pps.get(bs_mktid)
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if (
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not pp
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or pp.size != msg.size
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@ -574,33 +672,6 @@ async def trades_dialogue(
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trans = norm_trade_records(ledger)
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table.update_from_trans(trans)
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# update trades ledgers for all accounts from connected
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# api clients which report trades for **this session**.
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trades = await proxy.trades()
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(
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trans_by_acct,
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api_to_ledger_entries,
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) = await update_ledger_from_api_trades(
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trades,
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proxy,
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)
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# if new trades are detected from the API, prepare
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# them for the ledger file and update the pptable.
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if api_to_ledger_entries:
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trade_entries = api_to_ledger_entries.get(acctid)
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if trade_entries:
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# write ledger with all new trades **AFTER**
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# we've updated the `pps.toml` from the
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# original ledger state! (i.e. this is
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# currently done on exit)
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ledger.update(trade_entries)
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trans = trans_by_acct.get(acctid)
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if trans:
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table.update_from_trans(trans)
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# XXX: not sure exactly why it wouldn't be in
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# the updated output (maybe this is a bug?) but
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# if you create a pos from TWS and then load it
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@ -630,17 +701,12 @@ async def trades_dialogue(
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f'piker: {pp.size}\n'
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)
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# iterate all (newly) updated pps tables for every
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# client-account and build out position msgs to deliver to
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# EMS.
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for acctid, table in tables.items():
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active_pps, closed_pps = table.dump_active()
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# load all positions from `pps.toml`, cross check with
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# ib's positions data, and relay re-formatted pps as
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# msgs to the ems.
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# __2 cases__:
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# - new trades have taken place this session that we want to
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# always reprocess indempotently,
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# - no new trades yet but we want to reload and audit any
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# positions reported by ib's sys that may not yet be in
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# piker's ``pps.toml`` state-file.
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for pps in [active_pps, closed_pps]:
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msgs = await update_and_audit_msgs(
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acctid,
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@ -661,22 +727,6 @@ async def trades_dialogue(
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tuple(name for name in accounts_def if name in accounts),
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))
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# proxy wrapper for starting trade event stream
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async def open_trade_event_stream(
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client: Client,
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task_status: TaskStatus[
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trio.abc.ReceiveChannel
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] = trio.TASK_STATUS_IGNORED,
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):
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# each api client has a unique event stream
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async with tractor.to_asyncio.open_channel_from(
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recv_trade_updates,
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client=client,
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) as (first, trade_event_stream):
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task_status.started(trade_event_stream)
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await trio.sleep_forever()
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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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@ -723,7 +773,7 @@ async def trades_dialogue(
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async def emit_pp_update(
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ems_stream: tractor.MsgStream,
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trade_entry: dict,
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accounts_def: bidict,
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accounts_def: bidict[str, str],
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proxies: dict,
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cids2pps: dict,
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@ -733,16 +783,16 @@ async def emit_pp_update(
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) -> None:
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# compute and relay incrementally updated piker pp
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acctid = accounts_def.inverse[trade_entry['execution']['acctNumber']]
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accounts_def_inv: bidict[str, str] = accounts_def.inverse
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acctid = accounts_def_inv[trade_entry['execution']['acctNumber']]
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proxy = proxies[acctid]
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acctid = acctid.strip('ib.')
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(
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records_by_acct,
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api_to_ledger_entries,
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) = await update_ledger_from_api_trades(
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[trade_entry],
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proxy,
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accounts_def_inv,
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)
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trans = records_by_acct[acctid]
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r = list(trans.values())[0]
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@ -1244,7 +1294,7 @@ def parse_flex_dt(
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def api_trades_to_ledger_entries(
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accounts: bidict,
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accounts: bidict[str, str],
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# TODO: maybe we should just be passing through the
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# ``ib_insync.order.Trade`` instance directly here
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