Factor `brokerd` trade dialog init into acm
Connecting to a `brokerd` daemon's trading dialog via a helper `@acm` func is handy so that arbitrary trading middleware clients **and** the ems can setup a trading dialog and, at the least, query existing position state; this is in fact our immediate need when simply querying for an account's position status in the `.accounting.cli.ledger` cli. It's now exposed (for now) as `.clearing._ems.open_brokerd_dialog()` and is called by the `Router.maybe_open_brokerd_dialog()` for every new relay allocation or paper-account engine instance.basic_buy_bot
Tyler Goodlet
parent
d704d631ba
commit
cc3037149c
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@ -23,11 +23,15 @@ from ._client import (
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open_ems,
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OrderClient,
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)
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from ._ems import (
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open_brokerd_dialog,
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)
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__all__ = [
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'open_ems',
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'OrderClient',
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'open_brokerd_dialog',
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]
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@ -34,6 +34,7 @@ from typing import (
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Callable,
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Hashable,
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Optional,
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TYPE_CHECKING,
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)
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from bidict import bidict
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@ -50,14 +51,8 @@ from ..accounting._mktinfo import (
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unpack_fqme,
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float_digits,
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)
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from ..data.feed import (
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Feed,
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Flume,
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maybe_open_feed,
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)
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from ..ui._notify import notify_from_ems_status_msg
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from ..data.types import Struct
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from . import _paper_engine as paper
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from ._messages import (
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Order,
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Status,
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@ -70,6 +65,12 @@ from ._messages import (
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BrokerdPosition,
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)
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if TYPE_CHECKING:
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from ..data.feed import (
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Feed,
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Flume,
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)
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# TODO: numba all of this
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def mk_check(
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@ -307,15 +308,175 @@ class TradesRelay(Struct):
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# map of symbols to dicts of accounts to pp msgs
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positions: dict[
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# brokername, acctid
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# brokername, acctid ->
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tuple[str, str],
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list[BrokerdPosition],
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# fqme -> msg
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dict[str, BrokerdPosition],
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]
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# allowed account names
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accounts: tuple[str]
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@acm
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async def open_brokerd_dialog(
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brokermod: ModuleType,
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portal: tractor.Portal,
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exec_mode: str,
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fqme: str | None = None,
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loglevel: str | None = None,
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) -> tuple[
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tractor.MsgStream,
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# {(brokername, accountname) -> {fqme -> msg}}
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dict[(str, str), dict[str, BrokerdPosition]],
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list[str],
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]:
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'''
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Open either a live trades control dialog or a dialog with a new
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paper engine instance depending on live trading support for the
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broker backend, configuration, or client code usage.
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'''
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broker: str = brokermod.name
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def mk_paper_ep():
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from . import _paper_engine as paper_mod
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nonlocal brokermod, exec_mode
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# for logging purposes
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brokermod = paper_mod
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running
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# a paper-simulator clearing engine.
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# load the paper trading engine
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exec_mode = 'paper'
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log.info(f'{broker}: Entering `paper` trading mode')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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if not fqme:
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log.warning(
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f'Paper engine activate for {broker} but no fqme provided?'
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)
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return paper_mod.open_paperboi(
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fqme=fqme,
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broker=broker,
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loglevel=loglevel,
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)
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# TODO: ideally choose only one of these ep names..
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trades_endpoint: Callable
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for ep_name in [
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'trades_dialogue',
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'open_trade_dialog',
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]:
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trades_endpoint = getattr(
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brokermod,
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ep_name,
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None,
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)
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break
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if (
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trades_endpoint is not None
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or exec_mode != 'paper'
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):
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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else:
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exec_mode: str = 'paper'
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@acm
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async def maybe_open_paper_ep():
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if exec_mode == 'paper':
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async with mk_paper_ep() as msg:
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yield msg
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return
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# open trades-dialog endpoint with backend broker
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async with open_trades_endpoint as msg:
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ctx, first = msg
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# runtime indication that the backend can't support live
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# order ctrl yet, so boot the paperboi B0
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if first == 'paper':
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async with mk_paper_ep() as msg:
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yield msg
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return
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else:
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# working live ep case B)
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yield msg
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return
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pps_by_broker_account: dict[(str, str), BrokerdPosition] = {}
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async with (
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maybe_open_paper_ep() as (
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brokerd_ctx,
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(position_msgs, accounts),
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),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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# XXX: really we only want one stream per `emsd`
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# actor to relay global `brokerd` order events
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# unless we're going to expect each backend to
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# relay only orders affiliated with a particular
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# ``trades_dialogue()`` session (seems annoying
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# for implementers). So, here we cache the relay
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# task and instead of running multiple tasks
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# (which will result in multiples of the same
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# msg being relayed for each EMS client) we just
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# register each client stream to this single
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# relay loop in the dialog table.
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# begin processing order events from the target
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# brokerd backend by receiving order submission
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# response messages, normalizing them to EMS
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# messages and relaying back to the piker order
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# client set.
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# locally cache and track positions per account with
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# a nested table of msgs:
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# tuple(brokername, acctid) ->
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# (fqme: str ->
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# `BrokerdPosition`)
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for msg in position_msgs:
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msg = BrokerdPosition(**msg)
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log.info(
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f'loading pp for {brokermod.__name__}:\n'
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f'{pformat(msg.to_dict())}',
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)
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# TODO: state any mismatch here?
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account: str = msg.account
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assert account in accounts
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pps_by_broker_account.setdefault(
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(broker, account),
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{},
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)[msg.symbol] = msg
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# should be unique entries, verdad!
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assert len(set(accounts)) == len(accounts)
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yield (
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brokerd_trades_stream,
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pps_by_broker_account,
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accounts,
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)
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class Router(Struct):
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'''
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Order router which manages and tracks per-broker dark book,
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@ -407,118 +568,25 @@ class Router(Struct):
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yield relay
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return
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def mk_paper_ep():
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nonlocal brokermod, exec_mode
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async with open_brokerd_dialog(
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brokermod=brokermod,
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portal=portal,
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exec_mode=exec_mode,
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fqme=fqme,
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loglevel=loglevel,
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# for logging purposes
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brokermod = paper
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running
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# a paper-simulator clearing engine.
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# load the paper trading engine
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exec_mode = 'paper'
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log.info(f'{broker}: Entering `paper` trading mode')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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return paper.open_paperboi(
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fqme=fqme,
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loglevel=loglevel,
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)
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trades_endpoint = getattr(brokermod, 'trades_dialogue', None)
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if (
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trades_endpoint is not None
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or exec_mode != 'paper'
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) as (
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brokerd_stream,
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pp_msg_table,
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accounts,
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):
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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else:
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exec_mode: str = 'paper'
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@acm
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async def maybe_open_paper_ep():
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if exec_mode == 'paper':
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async with mk_paper_ep() as msg:
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yield msg
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return
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# open trades-dialog endpoint with backend broker
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async with open_trades_endpoint as msg:
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ctx, first = msg
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# runtime indication that the backend can't support live
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# order ctrl yet, so boot the paperboi B0
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if first == 'paper':
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async with mk_paper_ep() as msg:
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yield msg
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return
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else:
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# working live ep case B)
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yield msg
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return
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positions: list[BrokerdPosition]
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accounts: tuple[str]
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async with (
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maybe_open_paper_ep() as (
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brokerd_ctx,
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(positions, accounts),
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),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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# XXX: really we only want one stream per `emsd`
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# actor to relay global `brokerd` order events
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# unless we're going to expect each backend to
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# relay only orders affiliated with a particular
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# ``trades_dialogue()`` session (seems annoying
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# for implementers). So, here we cache the relay
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# task and instead of running multiple tasks
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# (which will result in multiples of the same
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# msg being relayed for each EMS client) we just
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# register each client stream to this single
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# relay loop in the dialog table.
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# begin processing order events from the target
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# brokerd backend by receiving order submission
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# response messages, normalizing them to EMS
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# messages and relaying back to the piker order
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# client set.
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# locally cache and track positions per account with
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# a nested table of msgs:
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# tuple(brokername, acctid) ->
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# (fqme: str ->
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# `BrokerdPosition`)
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# create a new relay and sync it's state according
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# to brokerd-backend reported position msgs.
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relay = TradesRelay(
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brokerd_stream=brokerd_trades_stream,
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positions={},
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accounts=accounts,
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brokerd_stream=brokerd_stream,
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positions=pp_msg_table,
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accounts=tuple(accounts),
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)
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for msg in positions:
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msg = BrokerdPosition(**msg)
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log.info(
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f'loading pp for {brokermod.__name__}:\n'
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f'{pformat(msg.to_dict())}',
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)
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# TODO: state any mismatch here?
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account = msg.account
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assert account in accounts
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relay.positions.setdefault(
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(broker, account),
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{},
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)[msg.symbol] = msg
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self.relays[broker] = relay
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# this context should block here indefinitely until
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@ -550,6 +618,8 @@ class Router(Struct):
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indefinitely.
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'''
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from ..data.feed import maybe_open_feed
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async with (
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maybe_open_feed(
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[fqme],
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