Expect fqsn in ems and order mode
Use fqsn as input to the client-side EMS apis but strip broker-name stuff before generating and sending `Brokerd*` msgs to each backend for live order requests (since it's weird for a backend to expect it's own name, though maybe that could be a sanity check?). Summary of fqsn use vs. broker native keys: - client side pps, order requests and general UX for order management use an fqsn for tracking - brokerd side order dialogs use the broker-specific symbol which is usually nearly the same key minus the broker name - internal dark book and quote feed lookups use the fqsn where possiblefqsns
Tyler Goodlet
parent
d62a636bcc
commit
c7f3e59105
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@ -18,7 +18,7 @@
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Orders and execution client API.
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"""
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager as acm
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from typing import Dict
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from pprint import pformat
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from dataclasses import dataclass, field
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@ -27,7 +27,6 @@ import trio
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import tractor
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from tractor.trionics import broadcast_receiver
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from ..data._source import Symbol
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from ..log import get_logger
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from ._ems import _emsd_main
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from .._daemon import maybe_open_emsd
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@ -156,16 +155,19 @@ async def relay_order_cmds_from_sync_code(
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await to_ems_stream.send(cmd)
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@asynccontextmanager
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@acm
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async def open_ems(
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broker: str,
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symbol: Symbol,
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fqsn: str,
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) -> (OrderBook, tractor.MsgStream, dict):
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"""Spawn an EMS daemon and begin sending orders and receiving
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) -> (
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OrderBook,
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tractor.MsgStream,
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dict,
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):
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'''
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Spawn an EMS daemon and begin sending orders and receiving
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alerts.
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This EMS tries to reduce most broker's terrible order entry apis to
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a very simple protocol built on a few easy to grok and/or
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"rantsy" premises:
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@ -194,21 +196,22 @@ async def open_ems(
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- 'dark_executed', 'broker_executed'
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- 'broker_filled'
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"""
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'''
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# wait for service to connect back to us signalling
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# ready for order commands
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book = get_orders()
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from ..data._source import uncons_fqsn
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broker, symbol, suffix = uncons_fqsn(fqsn)
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async with maybe_open_emsd(broker) as portal:
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async with (
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# connect to emsd
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portal.open_context(
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_emsd_main,
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broker=broker,
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symbol=symbol.key,
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fqsn=fqsn,
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) as (ctx, (positions, accounts)),
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@ -218,7 +221,7 @@ async def open_ems(
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async with trio.open_nursery() as n:
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n.start_soon(
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relay_order_cmds_from_sync_code,
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symbol.key,
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fqsn,
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trades_stream
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)
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@ -20,7 +20,7 @@ In da suit parlances: "Execution management systems"
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"""
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from math import isnan
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# from math import isnan
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from pprint import pformat
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import time
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from typing import AsyncIterator, Callable
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@ -113,8 +113,8 @@ class _DarkBook:
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# tracks most recent values per symbol each from data feed
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lasts: dict[
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tuple[str, str],
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float
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str,
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float,
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] = field(default_factory=dict)
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# mapping of piker ems order ids to current brokerd order flow message
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@ -135,7 +135,7 @@ async def clear_dark_triggers(
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ems_client_order_stream: tractor.MsgStream,
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quote_stream: tractor.ReceiveMsgStream, # noqa
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broker: str,
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symbol: str,
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fqsn: str,
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book: _DarkBook,
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@ -155,7 +155,6 @@ async def clear_dark_triggers(
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# start = time.time()
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for sym, quote in quotes.items():
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execs = book.orders.get(sym, {})
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for tick in iterticks(
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quote,
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# dark order price filter(s)
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@ -171,7 +170,7 @@ async def clear_dark_triggers(
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ttype = tick['type']
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# update to keep new cmds informed
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book.lasts[(broker, symbol)] = price
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book.lasts[sym] = price
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for oid, (
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pred,
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@ -196,6 +195,7 @@ async def clear_dark_triggers(
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action: str = cmd['action']
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symbol: str = cmd['symbol']
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bfqsn: str = symbol.replace(f'.{broker}', '')
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if action == 'alert':
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# nothing to do but relay a status
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@ -225,7 +225,7 @@ async def clear_dark_triggers(
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# order-request and instead create a new one.
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reqid=None,
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symbol=sym,
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symbol=bfqsn,
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price=submit_price,
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size=cmd['size'],
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)
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@ -247,12 +247,9 @@ async def clear_dark_triggers(
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oid=oid, # ems order id
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resp=resp,
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time_ns=time.time_ns(),
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symbol=symbol,
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symbol=fqsn,
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trigger_price=price,
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broker_details={'name': broker},
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cmd=cmd, # original request message
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).dict()
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@ -270,7 +267,7 @@ async def clear_dark_triggers(
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else: # condition scan loop complete
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log.debug(f'execs are {execs}')
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if execs:
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book.orders[symbol] = execs
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book.orders[fqsn] = execs
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# print(f'execs scan took: {time.time() - start}')
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@ -382,7 +379,8 @@ async def open_brokerd_trades_dialogue(
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task_status: TaskStatus[TradesRelay] = trio.TASK_STATUS_IGNORED,
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) -> tuple[dict, tractor.MsgStream]:
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'''Open and yield ``brokerd`` trades dialogue context-stream if none
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'''
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Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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@ -458,12 +456,13 @@ async def open_brokerd_trades_dialogue(
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# locally cache and track positions per account.
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pps = {}
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for msg in positions:
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log.info(f'loading pp: {msg}')
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account = msg['account']
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assert account in accounts
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pps.setdefault(
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msg['symbol'],
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f'{msg["symbol"]}.{broker}',
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{}
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)[account] = msg
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@ -563,7 +562,13 @@ async def translate_and_relay_brokerd_events(
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# XXX: this will be useful for automatic strats yah?
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# keep pps per account up to date locally in ``emsd`` mem
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relay.positions.setdefault(pos_msg['symbol'], {}).setdefault(
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sym, broker = pos_msg['symbol'], pos_msg['broker']
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relay.positions.setdefault(
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# NOTE: translate to a FQSN!
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f'{sym}.{broker}',
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{}
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).setdefault(
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pos_msg['account'], {}
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).update(pos_msg)
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@ -840,11 +845,15 @@ async def process_client_order_cmds(
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msg = Order(**cmd)
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sym = msg.symbol
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fqsn = msg.symbol
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trigger_price = msg.price
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size = msg.size
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exec_mode = msg.exec_mode
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broker = msg.brokers[0]
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# remove the broker part before creating a message
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# to send to the specific broker since they probably
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# aren't expectig their own name, but should they?
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sym = fqsn.replace(f'.{broker}', '')
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if exec_mode == 'live' and action in ('buy', 'sell',):
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@ -902,7 +911,7 @@ async def process_client_order_cmds(
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# price received from the feed, instead of being
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# like every other shitty tina platform that makes
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# the user choose the predicate operator.
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last = dark_book.lasts[(broker, sym)]
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last = dark_book.lasts[fqsn]
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pred = mk_check(trigger_price, last, action)
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spread_slap: float = 5
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@ -933,7 +942,7 @@ async def process_client_order_cmds(
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# dark book entry if the order id already exists
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dark_book.orders.setdefault(
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sym, {}
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fqsn, {}
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)[oid] = (
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pred,
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tickfilter,
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@ -960,8 +969,8 @@ async def process_client_order_cmds(
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async def _emsd_main(
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ctx: tractor.Context,
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broker: str,
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symbol: str,
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fqsn: str,
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_exec_mode: str = 'dark', # ('paper', 'dark', 'live')
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loglevel: str = 'info',
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@ -1003,6 +1012,8 @@ async def _emsd_main(
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global _router
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assert _router
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from ..data._source import uncons_fqsn
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broker, symbol, suffix = uncons_fqsn(fqsn)
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dark_book = _router.get_dark_book(broker)
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# TODO: would be nice if in tractor we can require either a ctx arg,
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@ -1015,17 +1026,16 @@ async def _emsd_main(
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# spawn one task per broker feed
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async with (
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maybe_open_feed(
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broker,
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[symbol],
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[fqsn],
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loglevel=loglevel,
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) as (feed, stream),
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) as (feed, quote_stream),
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):
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# XXX: this should be initial price quote from target provider
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first_quote = feed.first_quotes[symbol]
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first_quote = feed.first_quotes[fqsn]
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book = _router.get_dark_book(broker)
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last = book.lasts[(broker, symbol)] = first_quote['last']
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book.lasts[fqsn] = first_quote['last']
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# XXX: ib is a cucker but we've fixed avoiding receiving any
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# `Nan`s in the backend during market hours (right?). this was
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@ -1054,8 +1064,8 @@ async def _emsd_main(
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# flatten out collected pps from brokerd for delivery
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pp_msgs = {
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sym: list(pps.values())
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for sym, pps in relay.positions.items()
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fqsn: list(pps.values())
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for fqsn, pps in relay.positions.items()
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}
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# signal to client that we're started and deliver
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@ -1072,9 +1082,9 @@ async def _emsd_main(
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brokerd_stream,
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ems_client_order_stream,
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stream,
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quote_stream,
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broker,
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symbol,
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fqsn, # form: <name>.<venue>.<suffix>.<broker>
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book
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)
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@ -1090,7 +1100,7 @@ async def _emsd_main(
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# relay.brokerd_dialogue,
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brokerd_stream,
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symbol,
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fqsn,
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feed,
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dark_book,
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_router,
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@ -268,13 +268,14 @@ class OrderMode:
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'''
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staged = self._staged_order
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symbol = staged.symbol
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symbol: Symbol = staged.symbol
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oid = str(uuid.uuid4())
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# format order data for ems
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fqsn = symbol.front_fqsn()
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order = staged.copy(
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update={
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'symbol': symbol.key,
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'symbol': fqsn,
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'oid': oid,
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}
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)
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@ -519,8 +520,7 @@ async def open_order_mode(
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feed: Feed,
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chart: 'ChartPlotWidget', # noqa
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symbol: Symbol,
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brokername: str,
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fqsn: str,
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started: trio.Event,
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) -> None:
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@ -546,8 +546,7 @@ async def open_order_mode(
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# spawn EMS actor-service
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async with (
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open_ems(brokername, symbol) as (
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open_ems(fqsn) as (
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book,
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trades_stream,
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position_msgs,
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@ -556,8 +555,7 @@ async def open_order_mode(
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trio.open_nursery() as tn,
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):
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log.info(f'Opening order mode for {brokername}.{symbol.key}')
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log.info(f'Opening order mode for {fqsn}')
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view = chart.view
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# annotations editors
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@ -566,7 +564,7 @@ async def open_order_mode(
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# symbol id
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symbol = chart.linked.symbol
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symkey = symbol.key
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symkey = symbol.front_fqsn()
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# map of per-provider account keys to position tracker instances
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trackers: dict[str, PositionTracker] = {}
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@ -610,7 +608,7 @@ async def open_order_mode(
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log.info(f'Loading pp for {symkey}:\n{pformat(msg)}')
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startup_pp.update_from_msg(msg)
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# allocator
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# allocator config
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alloc = mk_allocator(
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symbol=symbol,
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account=account_name,
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@ -818,8 +816,10 @@ async def process_trades_and_update_ui(
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'position',
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):
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sym = mode.chart.linked.symbol
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if msg['symbol'].lower() in sym.key:
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symbol = msg['symbol'].lower()
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fqsn = sym.front_fqsn()
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if symbol in fqsn:
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tracker = mode.trackers[msg['account']]
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tracker.live_pp.update_from_msg(msg)
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# update order pane widgets
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Loading…
Reference in New Issue