Merge pull request #223 from pikers/account_select
`brokerd`, `emsd` and UI multi-account per broker, order mode supportfsp_feeds
goodboy
GitHub
commit
cecba8904d
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@ -14,12 +14,14 @@ private_key = ""
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[ib]
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host = "127.0.0.1"
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[ib.accounts]
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margin = ""
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registered = ""
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paper = ""
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ports.gw = 4002
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ports.tws = 7497
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ports.order = ["gw", "tws",]
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[ib.ports]
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gw = 4002
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tws = 7497
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order = [ "gw", "tws",]
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accounts.margin = "X0000000"
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accounts.ira = "X0000000"
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accounts.paper = "XX0000000"
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# the order in which accounts will be selected (if found through
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# `brokerd`) when a new symbol is loaded
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accounts_order = ['paper', 'margin', 'ira']
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@ -53,7 +53,7 @@ from ib_insync.client import Client as ib_Client
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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from . import config
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from .. import config
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from ..log import get_logger, get_console_log
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from .._daemon import maybe_spawn_brokerd
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from ..data._source import from_df
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@ -62,8 +62,7 @@ from ._util import SymbolNotFound, NoData
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from ..clearing._messages import (
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BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdPosition, BrokerdCancel,
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BrokerdFill,
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# BrokerdError,
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BrokerdFill, BrokerdError,
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)
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@ -220,15 +219,18 @@ 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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ib: ibis.IB,
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) -> None:
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self.ib = ib
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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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@ -504,7 +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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@ -513,7 +515,7 @@ class Client:
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price: float,
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action: str,
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size: int,
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account: str = '', # if blank the "default" tws account is used
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account: str, # if blank the "default" tws account is used
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# XXX: by default 0 tells ``ib_insync`` methods that there is no
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# existing order so ask the client to create a new one (which it
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@ -536,6 +538,7 @@ class Client:
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Order(
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orderId=reqid or 0, # stupid api devs..
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action=action.upper(), # BUY/SELL
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# lookup the literal account number by name here.
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account=account,
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orderType='LMT',
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lmtPrice=price,
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@ -552,7 +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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@ -569,6 +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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@ -659,9 +663,10 @@ class Client:
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self.ib.errorEvent.connect(push_err)
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async def positions(
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def positions(
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self,
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account: str = '',
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) -> list[Position]:
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"""
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Retrieve position info for ``account``.
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@ -695,8 +700,11 @@ def get_config() -> dict[str, Any]:
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return section
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_accounts2clients: dict[str, Client] = {}
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@asynccontextmanager
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async def _aio_get_client(
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async def load_aio_clients(
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host: str = '127.0.0.1',
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port: int = None,
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@ -710,33 +718,12 @@ async def _aio_get_client(
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TODO: consider doing this with a ctx mngr eventually?
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'''
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global _accounts2clients
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global _client_cache
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conf = get_config()
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# first check cache for existing client
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try:
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if port:
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client = _client_cache[(host, port)]
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else:
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# grab first cached client
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client = list(_client_cache.values())[0]
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if not client.ib.isConnected():
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# we have a stale client to re-allocate
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raise KeyError
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yield client
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except (KeyError, IndexError):
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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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ib = None
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client = None
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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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@ -753,37 +740,87 @@ async def _aio_get_client(
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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: 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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_err = None
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# (re)load any and all clients that can be found
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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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break
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# create and cache client
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client = Client(ib)
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# Pre-collect all accounts available for this
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# connection and map account names to this client
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# instance.
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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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accounts_found[
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accounts_def.inverse[pp.account]
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] = client
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# if there are no positions or accounts
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# without positions we should still register
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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 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 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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log.warning(f'Failed to connect on {port}')
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else:
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if not _client_cache:
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raise ConnectionRefusedError(_err)
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# create and cache
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try:
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client = Client(ib)
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# retreive first loaded client
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clients = list(_client_cache.values())
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if clients:
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client = clients[0]
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_client_cache[(host, port)] = client
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log.debug(f"Caching client for {(host, port)}")
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yield client
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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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@ -791,10 +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 _aio_get_client() as client:
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async with load_aio_clients() as (
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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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@ -808,7 +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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@ -828,12 +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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@ -1081,8 +1126,11 @@ async def _setup_quote_stream(
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"""
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global _quote_streams
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async with _aio_get_client() as client:
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async with load_aio_clients() as (
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client,
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clients,
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accts2clients,
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):
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contract = contract or (await client.find_contract(symbol))
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ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
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@ -1277,8 +1325,6 @@ async def stream_quotes(
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calc_price=calc_price
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)
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# con = quote['contract']
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# topic = '.'.join((con['symbol'], suffix)).lower()
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quote['symbol'] = topic
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await send_chan.send({topic: quote})
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@ -1295,12 +1341,21 @@ def pack_position(pos: Position) -> dict[str, Any]:
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symbol = con.localSymbol.replace(' ', '')
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else:
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symbol = con.symbol
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symbol = con.symbol.lower()
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exch = (con.primaryExchange or con.exchange).lower()
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symkey = '.'.join((symbol, exch))
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if not exch:
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# attempt to lookup the symbol from our
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# hacked set..
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for sym in _adhoc_futes_set:
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if symbol in sym:
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symkey = sym
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break
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# TODO: options contracts into a sane format..
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symkey = '.'.join([
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symbol.lower(),
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(con.primaryExchange or con.exchange).lower(),
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])
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return BrokerdPosition(
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broker='ib',
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account=pos.account,
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@ -1314,28 +1369,57 @@ 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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# request_msg: dict
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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action = request_msg['action']
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account = request_msg['account']
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acct_number = accounts_def.get(account)
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if not acct_number:
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log.error(
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f'An IB account number for name {account} is not found?\n'
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'Make sure you have all TWS and GW instances running.'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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).dict())
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continue
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client = _accounts2clients.get(account)
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if not client:
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log.error(
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f'An IB client for account name {account} is not found.\n'
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'Make sure you have all TWS and GW instances running.'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No api client loaded for account: `{account}` ?',
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).dict())
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continue
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if action in {'buy', 'sell'}:
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# validate
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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=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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@ -1352,16 +1436,13 @@ async def handle_order_requests(
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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account=account,
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).dict()
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)
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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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|
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@ -1378,35 +1459,71 @@ 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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positions = await _trio_run_client_method(method='positions')
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all_positions = {}
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for pos in positions:
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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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all_positions.setdefault(
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msg.symbol, []
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).append(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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|
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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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|
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# block until cancelled
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await trio.sleep_forever()
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|
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|
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async def deliver_trade_events(
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|
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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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|
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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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|
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'''
|
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
|
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|
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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...
|
||||
async for event_name, item in ib_trade_events_stream:
|
||||
print(f' ib sending {item}')
|
||||
async for event_name, item in trade_event_stream:
|
||||
|
||||
log.info(f'ib sending {event_name}:\n{pformat(item)}')
|
||||
|
||||
# TODO: templating the ib statuses in comparison with other
|
||||
# brokers is likely the way to go:
|
||||
|
|
@ -1446,6 +1563,7 @@ async def trades_dialogue(
|
|||
|
||||
reqid=trade.order.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
account=accounts_def.inverse[trade.order.account],
|
||||
|
||||
# everyone doin camel case..
|
||||
status=status.status.lower(), # force lower case
|
||||
|
|
@ -1513,7 +1631,8 @@ async def trades_dialogue(
|
|||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
|
||||
# don't forward for now, it's unecessary.. but if we wanted to,
|
||||
# TODO: what schema for this msg if we're going to make it
|
||||
# portable across all backends?
|
||||
# msg = BrokerdError(**err)
|
||||
continue
|
||||
|
||||
|
|
|
|||
|
|
@ -43,7 +43,7 @@ import asks
|
|||
|
||||
from ..calc import humanize, percent_change
|
||||
from .._cacheables import open_cached_client, async_lifo_cache
|
||||
from . import config
|
||||
from .. import config
|
||||
from ._util import resproc, BrokerError, SymbolNotFound
|
||||
from ..log import get_logger, colorize_json, get_console_log
|
||||
from . import get_brokermod
|
||||
|
|
|
|||
|
|
@ -0,0 +1,328 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
'''
|
||||
Position allocation logic and protocols.
|
||||
|
||||
'''
|
||||
from enum import Enum
|
||||
from typing import Optional
|
||||
|
||||
from bidict import bidict
|
||||
from pydantic import BaseModel, validator
|
||||
|
||||
from ..data._source import Symbol
|
||||
from ._messages import BrokerdPosition, Status
|
||||
|
||||
|
||||
class Position(BaseModel):
|
||||
'''Basic pp (personal position) model with attached fills history.
|
||||
|
||||
This type should be IPC wire ready?
|
||||
|
||||
'''
|
||||
symbol: Symbol
|
||||
|
||||
# last size and avg entry price
|
||||
size: float
|
||||
avg_price: float # TODO: contextual pricing
|
||||
|
||||
# ordered record of known constituent trade messages
|
||||
fills: list[Status] = []
|
||||
|
||||
def update_from_msg(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
|
||||
) -> None:
|
||||
|
||||
# XXX: better place to do this?
|
||||
symbol = self.symbol
|
||||
|
||||
lot_size_digits = symbol.lot_size_digits
|
||||
avg_price, size = (
|
||||
round(msg['avg_price'], ndigits=symbol.tick_size_digits),
|
||||
round(msg['size'], ndigits=lot_size_digits),
|
||||
)
|
||||
|
||||
self.avg_price = avg_price
|
||||
self.size = size
|
||||
|
||||
|
||||
_size_units = bidict({
|
||||
'currency': '$ size',
|
||||
'units': '# units',
|
||||
# TODO: but we'll need a `<brokermod>.get_accounts()` or something
|
||||
# 'percent_of_port': '% of port',
|
||||
})
|
||||
SizeUnit = Enum(
|
||||
'SizeUnit',
|
||||
_size_units,
|
||||
)
|
||||
|
||||
|
||||
class Allocator(BaseModel):
|
||||
|
||||
class Config:
|
||||
validate_assignment = True
|
||||
copy_on_model_validation = False
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
# required to get the account validator lookup working?
|
||||
extra = 'allow'
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
symbol: Symbol
|
||||
accounts: bidict[str, Optional[str]]
|
||||
account: Optional[str] = 'paper'
|
||||
|
||||
@validator('account', pre=False)
|
||||
def set_account(cls, v, values):
|
||||
if v:
|
||||
return values['accounts'][v]
|
||||
|
||||
size_unit: SizeUnit = 'currency'
|
||||
_size_units: dict[str, Optional[str]] = _size_units
|
||||
|
||||
@validator('size_unit')
|
||||
def lookup_key(cls, v):
|
||||
# apply the corresponding enum key for the text "description" value
|
||||
return v.name
|
||||
|
||||
# TODO: if we ever want ot support non-uniform entry-slot-proportion
|
||||
# "sizes"
|
||||
# disti_weight: str = 'uniform'
|
||||
|
||||
units_limit: float
|
||||
currency_limit: float
|
||||
slots: int
|
||||
|
||||
def step_sizes(
|
||||
self,
|
||||
) -> (float, float):
|
||||
'''Return the units size for each unit type as a tuple.
|
||||
|
||||
'''
|
||||
slots = self.slots
|
||||
return (
|
||||
self.units_limit / slots,
|
||||
self.currency_limit / slots,
|
||||
)
|
||||
|
||||
def limit(self) -> float:
|
||||
if self.size_unit == 'currency':
|
||||
return self.currency_limit
|
||||
else:
|
||||
return self.units_limit
|
||||
|
||||
def account_name(self) -> str:
|
||||
return self.accounts.inverse[self.account]
|
||||
|
||||
def next_order_info(
|
||||
self,
|
||||
|
||||
# we only need a startup size for exit calcs, we can the
|
||||
# determine how large slots should be if the initial pp size was
|
||||
# larger then the current live one, and the live one is smaller
|
||||
# then the initial config settings.
|
||||
startup_pp: Position,
|
||||
live_pp: Position,
|
||||
price: float,
|
||||
action: str,
|
||||
|
||||
) -> dict:
|
||||
'''Generate order request info for the "next" submittable order
|
||||
depending on position / order entry config.
|
||||
|
||||
'''
|
||||
sym = self.symbol
|
||||
ld = sym.lot_size_digits
|
||||
|
||||
size_unit = self.size_unit
|
||||
live_size = live_pp.size
|
||||
abs_live_size = abs(live_size)
|
||||
abs_startup_size = abs(startup_pp.size)
|
||||
|
||||
u_per_slot, currency_per_slot = self.step_sizes()
|
||||
|
||||
if size_unit == 'units':
|
||||
slot_size = u_per_slot
|
||||
l_sub_pp = self.units_limit - abs_live_size
|
||||
|
||||
elif size_unit == 'currency':
|
||||
live_cost_basis = abs_live_size * live_pp.avg_price
|
||||
slot_size = currency_per_slot / price
|
||||
l_sub_pp = (self.currency_limit - live_cost_basis) / price
|
||||
|
||||
# an entry (adding-to or starting a pp)
|
||||
if (
|
||||
action == 'buy' and live_size > 0 or
|
||||
action == 'sell' and live_size < 0 or
|
||||
live_size == 0
|
||||
):
|
||||
|
||||
order_size = min(slot_size, l_sub_pp)
|
||||
|
||||
# an exit (removing-from or going to net-zero pp)
|
||||
else:
|
||||
# when exiting a pp we always try to slot the position
|
||||
# in the instrument's units, since doing so in a derived
|
||||
# size measure (eg. currency value, percent of port) would
|
||||
# result in a mis-mapping of slots sizes in unit terms
|
||||
# (i.e. it would take *more* slots to exit at a profit and
|
||||
# *less* slots to exit at a loss).
|
||||
pp_size = max(abs_startup_size, abs_live_size)
|
||||
slotted_pp = pp_size / self.slots
|
||||
|
||||
if size_unit == 'currency':
|
||||
# compute the "projected" limit's worth of units at the
|
||||
# current pp (weighted) price:
|
||||
slot_size = currency_per_slot / live_pp.avg_price
|
||||
|
||||
else:
|
||||
slot_size = u_per_slot
|
||||
|
||||
# TODO: ensure that the limit can never be set **lower**
|
||||
# then the current pp size? It should be configured
|
||||
# correctly at startup right?
|
||||
|
||||
# if our position is greater then our limit setting
|
||||
# we'll want to use slot sizes which are larger then what
|
||||
# the limit would normally determine.
|
||||
order_size = max(slotted_pp, slot_size)
|
||||
|
||||
if (
|
||||
abs_live_size < slot_size or
|
||||
|
||||
# NOTE: front/back "loading" heurstic:
|
||||
# if the remaining pp is in between 0-1.5x a slot's
|
||||
# worth, dump the whole position in this last exit
|
||||
# therefore conducting so called "back loading" but
|
||||
# **without** going past a net-zero pp. if the pp is
|
||||
# > 1.5x a slot size, then front load: exit a slot's and
|
||||
# expect net-zero to be acquired on the final exit.
|
||||
slot_size < pp_size < round((1.5*slot_size), ndigits=ld)
|
||||
):
|
||||
order_size = abs_live_size
|
||||
|
||||
slots_used = 1.0 # the default uniform policy
|
||||
if order_size < slot_size:
|
||||
# compute a fractional slots size to display
|
||||
slots_used = self.slots_used(
|
||||
Position(symbol=sym, size=order_size, avg_price=price)
|
||||
)
|
||||
|
||||
return {
|
||||
'size': abs(round(order_size, ndigits=ld)),
|
||||
'size_digits': ld,
|
||||
|
||||
# TODO: incorporate multipliers for relevant derivatives
|
||||
'fiat_size': round(order_size * price, ndigits=2),
|
||||
'slots_used': slots_used,
|
||||
|
||||
# update line LHS label with account name
|
||||
'account': self.account_name(),
|
||||
}
|
||||
|
||||
def slots_used(
|
||||
self,
|
||||
pp: Position,
|
||||
|
||||
) -> float:
|
||||
'''Calc and return the number of slots used by this ``Position``.
|
||||
|
||||
'''
|
||||
abs_pp_size = abs(pp.size)
|
||||
|
||||
if self.size_unit == 'currency':
|
||||
# live_currency_size = size or (abs_pp_size * pp.avg_price)
|
||||
live_currency_size = abs_pp_size * pp.avg_price
|
||||
prop = live_currency_size / self.currency_limit
|
||||
|
||||
else:
|
||||
# return (size or abs_pp_size) / alloc.units_limit
|
||||
prop = abs_pp_size / self.units_limit
|
||||
|
||||
# TODO: REALLY need a way to show partial slots..
|
||||
# for now we round at the midway point between slots
|
||||
return round(prop * self.slots)
|
||||
|
||||
|
||||
def mk_allocator(
|
||||
|
||||
symbol: Symbol,
|
||||
accounts: dict[str, str],
|
||||
startup_pp: Position,
|
||||
|
||||
# default allocation settings
|
||||
defaults: dict[str, float] = {
|
||||
'account': None, # select paper by default
|
||||
'size_unit': _size_units['currency'],
|
||||
'units_limit': 400,
|
||||
'currency_limit': 5e3,
|
||||
'slots': 4,
|
||||
},
|
||||
**kwargs,
|
||||
|
||||
) -> Allocator:
|
||||
|
||||
if kwargs:
|
||||
defaults.update(kwargs)
|
||||
|
||||
# load and retreive user settings for default allocations
|
||||
# ``config.toml``
|
||||
user_def = {
|
||||
'currency_limit': 5e3,
|
||||
'slots': 4,
|
||||
}
|
||||
|
||||
defaults.update(user_def)
|
||||
|
||||
alloc = Allocator(
|
||||
symbol=symbol,
|
||||
accounts=accounts,
|
||||
**defaults,
|
||||
)
|
||||
|
||||
asset_type = symbol.type_key
|
||||
|
||||
# specific configs by asset class / type
|
||||
|
||||
if asset_type in ('future', 'option', 'futures_option'):
|
||||
|
||||
# since it's harder to know how currency "applies" in this case
|
||||
# given leverage properties
|
||||
alloc.size_unit = '# units'
|
||||
|
||||
# set units limit to slots size thus making make the next
|
||||
# entry step 1.0
|
||||
alloc.units_limit = alloc.slots
|
||||
|
||||
# if the current position is already greater then the limit
|
||||
# settings, increase the limit to the current position
|
||||
if alloc.size_unit == 'currency':
|
||||
startup_size = startup_pp.size * startup_pp.avg_price
|
||||
|
||||
if startup_size > alloc.currency_limit:
|
||||
alloc.currency_limit = round(startup_size, ndigits=2)
|
||||
|
||||
else:
|
||||
startup_size = startup_pp.size
|
||||
|
||||
if startup_size > alloc.units_limit:
|
||||
alloc.units_limit = startup_size
|
||||
|
||||
return alloc
|
||||
|
|
@ -201,6 +201,7 @@ async def clear_dark_triggers(
|
|||
msg = BrokerdOrder(
|
||||
action=cmd['action'],
|
||||
oid=oid,
|
||||
account=cmd['account'],
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
# this **creates** new order request for the
|
||||
|
|
@ -259,8 +260,15 @@ async def clear_dark_triggers(
|
|||
|
||||
@dataclass
|
||||
class TradesRelay:
|
||||
|
||||
# for now we keep only a single connection open with
|
||||
# each ``brokerd`` for simplicity.
|
||||
brokerd_dialogue: tractor.MsgStream
|
||||
positions: dict[str, float]
|
||||
|
||||
# map of symbols to dicts of accounts to pp msgs
|
||||
positions: dict[str, dict[str, BrokerdPosition]]
|
||||
|
||||
# count of connected ems clients for this ``brokerd``
|
||||
consumers: int = 0
|
||||
|
||||
|
||||
|
|
@ -513,10 +521,13 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
pos_msg = BrokerdPosition(**brokerd_msg).dict()
|
||||
|
||||
# keep up to date locally in ``emsd``
|
||||
relay.positions.setdefault(pos_msg['symbol'], {}).update(pos_msg)
|
||||
# XXX: this will be useful for automatic strats yah?
|
||||
# keep pps per account up to date locally in ``emsd`` mem
|
||||
relay.positions.setdefault(pos_msg['symbol'], {}).setdefault(
|
||||
pos_msg['account'], {}
|
||||
).update(pos_msg)
|
||||
|
||||
# relay through position msgs immediately by
|
||||
# fan-out-relay position msgs immediately by
|
||||
# broadcasting updates on all client streams
|
||||
for client_stream in router.clients:
|
||||
await client_stream.send(pos_msg)
|
||||
|
|
@ -621,8 +632,11 @@ async def translate_and_relay_brokerd_events(
|
|||
# another stupid ib error to handle
|
||||
# if 10147 in message: cancel
|
||||
|
||||
resp = 'broker_errored'
|
||||
broker_details = msg.dict()
|
||||
|
||||
# don't relay message to order requester client
|
||||
continue
|
||||
# continue
|
||||
|
||||
elif name in (
|
||||
'status',
|
||||
|
|
@ -741,6 +755,7 @@ async def process_client_order_cmds(
|
|||
oid=oid,
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
account=live_entry.account,
|
||||
)
|
||||
|
||||
# NOTE: cancel response will be relayed back in messages
|
||||
|
|
@ -814,6 +829,7 @@ async def process_client_order_cmds(
|
|||
action=action,
|
||||
price=trigger_price,
|
||||
size=size,
|
||||
account=msg.account,
|
||||
)
|
||||
|
||||
# send request to backend
|
||||
|
|
@ -994,7 +1010,10 @@ async def _emsd_main(
|
|||
# signal to client that we're started
|
||||
# TODO: we could eventually send back **all** brokerd
|
||||
# positions here?
|
||||
await ems_ctx.started(relay.positions)
|
||||
await ems_ctx.started(
|
||||
{sym: list(pps.values())
|
||||
for sym, pps in relay.positions.items()}
|
||||
)
|
||||
|
||||
# establish 2-way stream with requesting order-client and
|
||||
# begin handling inbound order requests and updates
|
||||
|
|
@ -1016,6 +1035,7 @@ async def _emsd_main(
|
|||
try:
|
||||
_router.clients.add(ems_client_order_stream)
|
||||
|
||||
# main entrypoint, run here until cancelled.
|
||||
await process_client_order_cmds(
|
||||
|
||||
ems_client_order_stream,
|
||||
|
|
@ -1035,7 +1055,7 @@ async def _emsd_main(
|
|||
|
||||
dialogues = _router.dialogues
|
||||
|
||||
for oid, client_stream in dialogues.items():
|
||||
for oid, client_stream in dialogues.copy().items():
|
||||
|
||||
if client_stream == ems_client_order_stream:
|
||||
|
||||
|
|
|
|||
|
|
@ -45,6 +45,7 @@ class Order(BaseModel):
|
|||
# internal ``emdsd`` unique "order id"
|
||||
oid: str # uuid4
|
||||
symbol: Union[str, Symbol]
|
||||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
size: float
|
||||
|
|
@ -86,6 +87,7 @@ class Status(BaseModel):
|
|||
# 'broker_cancelled',
|
||||
# 'broker_executed',
|
||||
# 'broker_filled',
|
||||
# 'broker_errored',
|
||||
|
||||
# 'alert_submitted',
|
||||
# 'alert_triggered',
|
||||
|
|
@ -118,6 +120,7 @@ class BrokerdCancel(BaseModel):
|
|||
oid: str # piker emsd order id
|
||||
time_ns: int
|
||||
|
||||
account: str
|
||||
# "broker request id": broker specific/internal order id if this is
|
||||
# None, creates a new order otherwise if the id is valid the backend
|
||||
# api must modify the existing matching order. If the broker allows
|
||||
|
|
@ -131,6 +134,7 @@ class BrokerdOrder(BaseModel):
|
|||
|
||||
action: str # {buy, sell}
|
||||
oid: str
|
||||
account: str
|
||||
time_ns: int
|
||||
|
||||
# "broker request id": broker specific/internal order id if this is
|
||||
|
|
@ -162,6 +166,7 @@ class BrokerdOrderAck(BaseModel):
|
|||
|
||||
# emsd id originally sent in matching request msg
|
||||
oid: str
|
||||
account: str = ''
|
||||
|
||||
|
||||
class BrokerdStatus(BaseModel):
|
||||
|
|
@ -170,6 +175,9 @@ class BrokerdStatus(BaseModel):
|
|||
reqid: Union[int, str]
|
||||
time_ns: int
|
||||
|
||||
# XXX: should be best effort set for every update
|
||||
account: str = ''
|
||||
|
||||
# {
|
||||
# 'submitted',
|
||||
# 'cancelled',
|
||||
|
|
@ -224,7 +232,11 @@ class BrokerdError(BaseModel):
|
|||
This is still a TODO thing since we're not sure how to employ it yet.
|
||||
'''
|
||||
name: str = 'error'
|
||||
reqid: Union[int, str]
|
||||
oid: str
|
||||
|
||||
# if no brokerd order request was actually submitted (eg. we errored
|
||||
# at the ``pikerd`` layer) then there will be ``reqid`` allocated.
|
||||
reqid: Union[int, str] = ''
|
||||
|
||||
symbol: str
|
||||
reason: str
|
||||
|
|
|
|||
|
|
@ -35,7 +35,7 @@ from ..data._normalize import iterticks
|
|||
from ..log import get_logger
|
||||
from ._messages import (
|
||||
BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
|
||||
BrokerdFill, BrokerdPosition,
|
||||
BrokerdFill, BrokerdPosition, BrokerdError
|
||||
)
|
||||
|
||||
|
||||
|
|
@ -385,6 +385,19 @@ async def handle_order_requests(
|
|||
action = request_msg['action']
|
||||
|
||||
if action in {'buy', 'sell'}:
|
||||
|
||||
account = request_msg['account']
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account, only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'Paper only. No account found: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
# validate
|
||||
order = BrokerdOrder(**request_msg)
|
||||
|
||||
|
|
|
|||
|
|
@ -8,8 +8,9 @@ import trio
|
|||
import tractor
|
||||
|
||||
from ..log import get_console_log, get_logger, colorize_json
|
||||
from ..brokers import get_brokermod, config
|
||||
from ..brokers import get_brokermod
|
||||
from .._daemon import _tractor_kwargs
|
||||
from .. import config
|
||||
|
||||
|
||||
log = get_logger('cli')
|
||||
|
|
|
|||
|
|
@ -22,10 +22,11 @@ from os.path import dirname
|
|||
import shutil
|
||||
from typing import Optional
|
||||
|
||||
from bidict import bidict
|
||||
import toml
|
||||
import click
|
||||
|
||||
from ..log import get_logger
|
||||
from .log import get_logger
|
||||
|
||||
log = get_logger('broker-config')
|
||||
|
||||
|
|
@ -104,19 +105,29 @@ def write(
|
|||
return toml.dump(config, cf)
|
||||
|
||||
|
||||
def load_accounts() -> dict[str, Optional[str]]:
|
||||
def load_accounts(
|
||||
|
||||
# our default paper engine entry
|
||||
accounts: dict[str, Optional[str]] = {'paper': None}
|
||||
providers: Optional[list[str]] = None
|
||||
|
||||
) -> bidict[str, Optional[str]]:
|
||||
|
||||
conf, path = load()
|
||||
section = conf.get('accounts')
|
||||
if section is None:
|
||||
log.warning('No accounts config found?')
|
||||
|
||||
accounts = bidict()
|
||||
for provider_name, section in conf.items():
|
||||
accounts_section = section.get('accounts')
|
||||
if (
|
||||
providers is None or
|
||||
providers and provider_name in providers
|
||||
):
|
||||
if accounts_section is None:
|
||||
log.warning(f'No accounts named for {provider_name}?')
|
||||
continue
|
||||
else:
|
||||
for brokername, account_labels in section.items():
|
||||
for name, value in account_labels.items():
|
||||
accounts[f'{brokername}.{name}'] = value
|
||||
for label, value in accounts_section.items():
|
||||
accounts[
|
||||
f'{provider_name}.{label}'
|
||||
] = value
|
||||
|
||||
# our default paper engine entry
|
||||
accounts['paper'] = None
|
||||
return accounts
|
||||
|
|
@ -106,6 +106,7 @@ class Symbol(BaseModel):
|
|||
mult = 1 / self.tick_size
|
||||
return round(value * mult) / mult
|
||||
|
||||
|
||||
@validate_arguments
|
||||
def mk_symbol(
|
||||
|
||||
|
|
|
|||
|
|
@ -23,7 +23,7 @@ from typing import Tuple, Dict, Any, Optional
|
|||
from types import ModuleType
|
||||
from functools import partial
|
||||
|
||||
from PyQt5 import QtCore, QtGui, QtWidgets
|
||||
from PyQt5 import QtCore, QtWidgets
|
||||
from PyQt5.QtCore import Qt
|
||||
from PyQt5.QtCore import QEvent
|
||||
from PyQt5.QtWidgets import (
|
||||
|
|
@ -277,7 +277,7 @@ class ChartnPane(QFrame):
|
|||
|
||||
'''
|
||||
sidepane: FieldsForm
|
||||
hbox: QtGui.QHBoxLayout
|
||||
hbox: QtWidgets.QHBoxLayout
|
||||
chart: Optional['ChartPlotWidget'] = None
|
||||
|
||||
def __init__(
|
||||
|
|
@ -293,7 +293,7 @@ class ChartnPane(QFrame):
|
|||
self.sidepane = sidepane
|
||||
self.chart = None
|
||||
|
||||
hbox = self.hbox = QtGui.QHBoxLayout(self)
|
||||
hbox = self.hbox = QtWidgets.QHBoxLayout(self)
|
||||
hbox.setAlignment(Qt.AlignTop | Qt.AlignLeft)
|
||||
hbox.setContentsMargins(0, 0, 0, 0)
|
||||
hbox.setSpacing(3)
|
||||
|
|
|
|||
|
|
@ -47,7 +47,7 @@ from PyQt5.QtWidgets import (
|
|||
from ._event import open_handlers
|
||||
from ._style import hcolor, _font, _font_small, DpiAwareFont
|
||||
from ._label import FormatLabel
|
||||
from .. import brokers
|
||||
from .. import config
|
||||
|
||||
|
||||
class FontAndChartAwareLineEdit(QLineEdit):
|
||||
|
|
@ -382,21 +382,21 @@ def mk_form(
|
|||
form._font_size = font_size or _font_small.px_size
|
||||
|
||||
# generate sub-components from schema dict
|
||||
for key, config in fields_schema.items():
|
||||
wtype = config['type']
|
||||
label = str(config.get('label', key))
|
||||
for key, conf in fields_schema.items():
|
||||
wtype = conf['type']
|
||||
label = str(conf.get('label', key))
|
||||
|
||||
# plain (line) edit field
|
||||
if wtype == 'edit':
|
||||
w = form.add_edit_field(
|
||||
key,
|
||||
label,
|
||||
config['default_value']
|
||||
conf['default_value']
|
||||
)
|
||||
|
||||
# drop-down selection
|
||||
elif wtype == 'select':
|
||||
values = list(config['default_value'])
|
||||
values = list(conf['default_value'])
|
||||
w = form.add_select_field(
|
||||
key,
|
||||
label,
|
||||
|
|
@ -417,8 +417,6 @@ async def open_form_input_handling(
|
|||
|
||||
) -> FieldsForm:
|
||||
|
||||
# assert form.model, f'{form} must define a `.model`'
|
||||
|
||||
async with open_handlers(
|
||||
|
||||
list(form.fields.values()),
|
||||
|
|
@ -635,7 +633,7 @@ def mk_order_pane_layout(
|
|||
|
||||
# font_size: int = _font_small.px_size - 2
|
||||
font_size: int = _font.px_size - 2
|
||||
accounts = brokers.config.load_accounts()
|
||||
accounts = config.load_accounts()
|
||||
|
||||
# TODO: maybe just allocate the whole fields form here
|
||||
# and expect an async ctx entry?
|
||||
|
|
|
|||
|
|
@ -198,7 +198,7 @@ async def handle_viewmode_kb_inputs(
|
|||
Qt.Key_P,
|
||||
}
|
||||
):
|
||||
pp_pane = order_mode.pp.pane
|
||||
pp_pane = order_mode.current_pp.pane
|
||||
if pp_pane.isHidden():
|
||||
pp_pane.show()
|
||||
else:
|
||||
|
|
@ -213,7 +213,7 @@ async def handle_viewmode_kb_inputs(
|
|||
if order_keys_pressed:
|
||||
|
||||
# show the pp size label
|
||||
order_mode.pp.show()
|
||||
order_mode.current_pp.show()
|
||||
|
||||
# TODO: show pp config mini-params in status bar widget
|
||||
# mode.pp_config.show()
|
||||
|
|
@ -259,20 +259,23 @@ async def handle_viewmode_kb_inputs(
|
|||
) and
|
||||
key in NUMBER_LINE
|
||||
):
|
||||
# hot key to set order slots size
|
||||
# hot key to set order slots size.
|
||||
# change edit field to current number line value,
|
||||
# update the pp allocator bar, unhighlight the
|
||||
# field when ctrl is released.
|
||||
num = int(text)
|
||||
pp_pane = order_mode.pane
|
||||
pp_pane.on_ui_settings_change('slots', num)
|
||||
edit = pp_pane.form.fields['slots']
|
||||
edit.selectAll()
|
||||
# un-highlight on ctrl release
|
||||
on_next_release = edit.deselect
|
||||
|
||||
pp_pane.update_status_ui()
|
||||
|
||||
else: # none active
|
||||
|
||||
# hide pp label
|
||||
order_mode.pp.hide_info()
|
||||
order_mode.current_pp.hide_info()
|
||||
|
||||
# if none are pressed, remove "staged" level
|
||||
# line under cursor position
|
||||
|
|
|
|||
|
|
@ -224,6 +224,7 @@ class Label:
|
|||
|
||||
def show(self) -> None:
|
||||
self.txt.show()
|
||||
self.txt.update()
|
||||
|
||||
def hide(self) -> None:
|
||||
self.txt.hide()
|
||||
|
|
|
|||
|
|
@ -665,7 +665,7 @@ def order_line(
|
|||
# display the order pos size, which is some multiple
|
||||
# of the user defined base unit size
|
||||
fmt_str=(
|
||||
'{size:.{size_digits}f}u{fiat_text}'
|
||||
'{account_text}{size:.{size_digits}f}u{fiat_text}'
|
||||
),
|
||||
color=line.color,
|
||||
)
|
||||
|
|
@ -679,13 +679,23 @@ def order_line(
|
|||
if not fiat_size:
|
||||
return ''
|
||||
|
||||
return f' -> ${humanize(fiat_size)}'
|
||||
return f' ~ ${humanize(fiat_size)}'
|
||||
|
||||
def maybe_show_account_name(fields: dict) -> str:
|
||||
account = fields.get('account')
|
||||
if not account:
|
||||
return ''
|
||||
|
||||
return f'{account}: '
|
||||
|
||||
|
||||
label.fields = {
|
||||
'size': size,
|
||||
'size_digits': 0,
|
||||
'fiat_size': None,
|
||||
'fiat_text': maybe_show_fiat_text,
|
||||
'account': None,
|
||||
'account_text': maybe_show_account_name,
|
||||
}
|
||||
|
||||
label.orient_v = orient_v
|
||||
|
|
|
|||
|
|
@ -20,234 +20,93 @@ Position info and display
|
|||
"""
|
||||
from __future__ import annotations
|
||||
from dataclasses import dataclass
|
||||
from enum import Enum
|
||||
from functools import partial
|
||||
from math import floor
|
||||
from math import floor, copysign
|
||||
from typing import Optional
|
||||
|
||||
|
||||
from bidict import bidict
|
||||
from pyqtgraph import functions as fn
|
||||
from pydantic import BaseModel, validator
|
||||
|
||||
from ._annotate import LevelMarker
|
||||
from ._anchors import (
|
||||
pp_tight_and_right, # wanna keep it straight in the long run
|
||||
gpath_pin,
|
||||
)
|
||||
from ..calc import humanize
|
||||
from ..clearing._messages import BrokerdPosition, Status
|
||||
from ..data._source import Symbol
|
||||
from ..calc import humanize, pnl
|
||||
from ..clearing._allocate import Allocator, Position
|
||||
from ..data._normalize import iterticks
|
||||
from ..data.feed import Feed
|
||||
from ._label import Label
|
||||
from ._lines import LevelLine, order_line
|
||||
from ._style import _font
|
||||
from ._forms import FieldsForm, FillStatusBar, QLabel
|
||||
from ..log import get_logger
|
||||
from ..clearing._messages import Order
|
||||
|
||||
log = get_logger(__name__)
|
||||
_pnl_tasks: dict[str, bool] = {}
|
||||
|
||||
|
||||
class Position(BaseModel):
|
||||
'''Basic pp (personal position) model with attached fills history.
|
||||
async def display_pnl(
|
||||
|
||||
This type should be IPC wire ready?
|
||||
feed: Feed,
|
||||
order_mode: OrderMode, # noqa
|
||||
|
||||
) -> None:
|
||||
'''Real-time display the current pp's PnL in the appropriate label.
|
||||
|
||||
``ValueError`` if this task is spawned where there is a net-zero pp.
|
||||
|
||||
'''
|
||||
symbol: Symbol
|
||||
global _pnl_tasks
|
||||
|
||||
# last size and avg entry price
|
||||
size: float
|
||||
avg_price: float # TODO: contextual pricing
|
||||
pp = order_mode.current_pp
|
||||
live = pp.live_pp
|
||||
key = live.symbol.key
|
||||
|
||||
# ordered record of known constituent trade messages
|
||||
fills: list[Status] = []
|
||||
if live.size < 0:
|
||||
types = ('ask', 'last', 'last', 'utrade')
|
||||
|
||||
elif live.size > 0:
|
||||
types = ('bid', 'last', 'last', 'utrade')
|
||||
|
||||
_size_units = bidict({
|
||||
'currency': '$ size',
|
||||
'units': '# units',
|
||||
# TODO: but we'll need a `<brokermod>.get_accounts()` or something
|
||||
# 'percent_of_port': '% of port',
|
||||
})
|
||||
SizeUnit = Enum(
|
||||
'SizeUnit',
|
||||
_size_units,
|
||||
else:
|
||||
raise RuntimeError('No pp?!?!')
|
||||
|
||||
# real-time update pnl on the status pane
|
||||
try:
|
||||
async with feed.stream.subscribe() as bstream:
|
||||
# last_tick = time.time()
|
||||
async for quotes in bstream:
|
||||
|
||||
# now = time.time()
|
||||
# period = now - last_tick
|
||||
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
for tick in iterticks(quote, types):
|
||||
# print(f'{1/period} Hz')
|
||||
|
||||
size = order_mode.current_pp.live_pp.size
|
||||
if size == 0:
|
||||
# terminate this update task since we're
|
||||
# no longer in a pp
|
||||
order_mode.pane.pnl_label.format(pnl=0)
|
||||
return
|
||||
|
||||
else:
|
||||
# compute and display pnl status
|
||||
order_mode.pane.pnl_label.format(
|
||||
pnl=copysign(1, size) * pnl(
|
||||
# live.avg_price,
|
||||
order_mode.current_pp.live_pp.avg_price,
|
||||
tick['price'],
|
||||
),
|
||||
)
|
||||
|
||||
|
||||
class Allocator(BaseModel):
|
||||
|
||||
class Config:
|
||||
validate_assignment = True
|
||||
copy_on_model_validation = False
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
# required to get the account validator lookup working?
|
||||
extra = 'allow'
|
||||
# underscore_attrs_are_private = False
|
||||
|
||||
symbol: Symbol
|
||||
|
||||
account: Optional[str] = 'paper'
|
||||
_accounts: bidict[str, Optional[str]]
|
||||
|
||||
@validator('account', pre=True)
|
||||
def set_account(cls, v, values):
|
||||
if v:
|
||||
return values['_accounts'][v]
|
||||
|
||||
size_unit: SizeUnit = 'currency'
|
||||
_size_units: dict[str, Optional[str]] = _size_units
|
||||
|
||||
@validator('size_unit')
|
||||
def lookup_key(cls, v):
|
||||
# apply the corresponding enum key for the text "description" value
|
||||
return v.name
|
||||
|
||||
# TODO: if we ever want ot support non-uniform entry-slot-proportion
|
||||
# "sizes"
|
||||
# disti_weight: str = 'uniform'
|
||||
|
||||
units_limit: float
|
||||
currency_limit: float
|
||||
slots: int
|
||||
|
||||
def step_sizes(
|
||||
self,
|
||||
) -> (float, float):
|
||||
'''Return the units size for each unit type as a tuple.
|
||||
|
||||
'''
|
||||
slots = self.slots
|
||||
return (
|
||||
self.units_limit / slots,
|
||||
self.currency_limit / slots,
|
||||
)
|
||||
|
||||
def limit(self) -> float:
|
||||
if self.size_unit == 'currency':
|
||||
return self.currency_limit
|
||||
else:
|
||||
return self.units_limit
|
||||
|
||||
def next_order_info(
|
||||
self,
|
||||
|
||||
startup_pp: Position,
|
||||
live_pp: Position,
|
||||
price: float,
|
||||
action: str,
|
||||
|
||||
) -> dict:
|
||||
'''Generate order request info for the "next" submittable order
|
||||
depending on position / order entry config.
|
||||
|
||||
'''
|
||||
sym = self.symbol
|
||||
ld = sym.lot_size_digits
|
||||
|
||||
size_unit = self.size_unit
|
||||
live_size = live_pp.size
|
||||
abs_live_size = abs(live_size)
|
||||
abs_startup_size = abs(startup_pp.size)
|
||||
|
||||
u_per_slot, currency_per_slot = self.step_sizes()
|
||||
|
||||
if size_unit == 'units':
|
||||
slot_size = u_per_slot
|
||||
l_sub_pp = self.units_limit - abs_live_size
|
||||
|
||||
elif size_unit == 'currency':
|
||||
live_cost_basis = abs_live_size * live_pp.avg_price
|
||||
slot_size = currency_per_slot / price
|
||||
l_sub_pp = (self.currency_limit - live_cost_basis) / price
|
||||
|
||||
# an entry (adding-to or starting a pp)
|
||||
if (
|
||||
action == 'buy' and live_size > 0 or
|
||||
action == 'sell' and live_size < 0 or
|
||||
live_size == 0
|
||||
):
|
||||
|
||||
order_size = min(slot_size, l_sub_pp)
|
||||
|
||||
# an exit (removing-from or going to net-zero pp)
|
||||
else:
|
||||
# when exiting a pp we always try to slot the position
|
||||
# in the instrument's units, since doing so in a derived
|
||||
# size measure (eg. currency value, percent of port) would
|
||||
# result in a mis-mapping of slots sizes in unit terms
|
||||
# (i.e. it would take *more* slots to exit at a profit and
|
||||
# *less* slots to exit at a loss).
|
||||
pp_size = max(abs_startup_size, abs_live_size)
|
||||
slotted_pp = pp_size / self.slots
|
||||
|
||||
if size_unit == 'currency':
|
||||
# compute the "projected" limit's worth of units at the
|
||||
# current pp (weighted) price:
|
||||
slot_size = currency_per_slot / live_pp.avg_price
|
||||
|
||||
else:
|
||||
slot_size = u_per_slot
|
||||
|
||||
# if our position is greater then our limit setting
|
||||
# we'll want to use slot sizes which are larger then what
|
||||
# the limit would normally determine
|
||||
order_size = max(slotted_pp, slot_size)
|
||||
|
||||
if (
|
||||
abs_live_size < slot_size or
|
||||
|
||||
# NOTE: front/back "loading" heurstic:
|
||||
# if the remaining pp is in between 0-1.5x a slot's
|
||||
# worth, dump the whole position in this last exit
|
||||
# therefore conducting so called "back loading" but
|
||||
# **without** going past a net-zero pp. if the pp is
|
||||
# > 1.5x a slot size, then front load: exit a slot's and
|
||||
# expect net-zero to be acquired on the final exit.
|
||||
slot_size < pp_size < round((1.5*slot_size), ndigits=ld)
|
||||
):
|
||||
order_size = abs_live_size
|
||||
|
||||
slots_used = 1.0 # the default uniform policy
|
||||
if order_size < slot_size:
|
||||
# compute a fractional slots size to display
|
||||
slots_used = self.slots_used(
|
||||
Position(symbol=sym, size=order_size, avg_price=price)
|
||||
)
|
||||
|
||||
return {
|
||||
'size': abs(round(order_size, ndigits=ld)),
|
||||
'size_digits': ld,
|
||||
|
||||
# TODO: incorporate multipliers for relevant derivatives
|
||||
'fiat_size': round(order_size * price, ndigits=2),
|
||||
'slots_used': slots_used,
|
||||
}
|
||||
|
||||
def slots_used(
|
||||
self,
|
||||
pp: Position,
|
||||
|
||||
) -> float:
|
||||
'''Calc and return the number of slots used by this ``Position``.
|
||||
|
||||
'''
|
||||
abs_pp_size = abs(pp.size)
|
||||
|
||||
if self.size_unit == 'currency':
|
||||
# live_currency_size = size or (abs_pp_size * pp.avg_price)
|
||||
live_currency_size = abs_pp_size * pp.avg_price
|
||||
prop = live_currency_size / self.currency_limit
|
||||
|
||||
else:
|
||||
# return (size or abs_pp_size) / alloc.units_limit
|
||||
prop = abs_pp_size / self.units_limit
|
||||
|
||||
# TODO: REALLY need a way to show partial slots..
|
||||
# for now we round at the midway point between slots
|
||||
return round(prop * self.slots)
|
||||
# last_tick = time.time()
|
||||
finally:
|
||||
assert _pnl_tasks[key]
|
||||
assert _pnl_tasks.pop(key)
|
||||
|
||||
|
||||
@dataclass
|
||||
|
|
@ -256,10 +115,6 @@ class SettingsPane:
|
|||
order entry sizes and position limits per tradable instrument.
|
||||
|
||||
'''
|
||||
# config for and underlying validation model
|
||||
tracker: PositionTracker
|
||||
alloc: Allocator
|
||||
|
||||
# input fields
|
||||
form: FieldsForm
|
||||
|
||||
|
|
@ -270,9 +125,8 @@ class SettingsPane:
|
|||
pnl_label: QLabel
|
||||
limit_label: QLabel
|
||||
|
||||
def transform_to(self, size_unit: str) -> None:
|
||||
if self.alloc.size_unit == size_unit:
|
||||
return
|
||||
# encompasing high level namespace
|
||||
order_mode: Optional['OrderMode'] = None # typing: ignore # noqa
|
||||
|
||||
def on_selection_change(
|
||||
self,
|
||||
|
|
@ -284,8 +138,7 @@ class SettingsPane:
|
|||
'''Called on any order pane drop down selection change.
|
||||
|
||||
'''
|
||||
print(f'selection input: {text}')
|
||||
setattr(self.alloc, key, text)
|
||||
log.info(f'selection input: {text}')
|
||||
self.on_ui_settings_change(key, text)
|
||||
|
||||
def on_ui_settings_change(
|
||||
|
|
@ -298,11 +151,49 @@ class SettingsPane:
|
|||
'''Called on any order pane edit field value change.
|
||||
|
||||
'''
|
||||
print(f'settings change: {key}: {value}')
|
||||
alloc = self.alloc
|
||||
mode = self.order_mode
|
||||
|
||||
# an account switch request
|
||||
if key == 'account':
|
||||
|
||||
# hide details on the old selection
|
||||
old_tracker = mode.current_pp
|
||||
old_tracker.hide_info()
|
||||
|
||||
# re-assign the order mode tracker
|
||||
account_name = value
|
||||
tracker = mode.trackers.get(account_name)
|
||||
|
||||
# if selection can't be found (likely never discovered with
|
||||
# a ``brokerd`) then error and switch back to the last
|
||||
# selection.
|
||||
if tracker is None:
|
||||
sym = old_tracker.chart.linked.symbol.key
|
||||
log.error(
|
||||
f'Account `{account_name}` can not be set for {sym}'
|
||||
)
|
||||
self.form.fields['account'].setCurrentText(
|
||||
old_tracker.alloc.account_name())
|
||||
return
|
||||
|
||||
self.order_mode.current_pp = tracker
|
||||
assert tracker.alloc.account_name() == account_name
|
||||
self.form.fields['account'].setCurrentText(account_name)
|
||||
tracker.show()
|
||||
tracker.hide_info()
|
||||
|
||||
self.display_pnl(tracker)
|
||||
|
||||
# load the new account's allocator
|
||||
alloc = tracker.alloc
|
||||
|
||||
else:
|
||||
tracker = mode.current_pp
|
||||
alloc = tracker.alloc
|
||||
|
||||
size_unit = alloc.size_unit
|
||||
|
||||
# write any passed settings to allocator
|
||||
# WRITE any settings to current pp's allocator
|
||||
if key == 'limit':
|
||||
if size_unit == 'currency':
|
||||
alloc.currency_limit = float(value)
|
||||
|
|
@ -317,20 +208,18 @@ class SettingsPane:
|
|||
# the current settings in the new units
|
||||
pass
|
||||
|
||||
elif key == 'account':
|
||||
print(f'TODO: change account -> {value}')
|
||||
|
||||
else:
|
||||
elif key != 'account':
|
||||
raise ValueError(f'Unknown setting {key}')
|
||||
|
||||
# read out settings and update UI
|
||||
# READ out settings and update UI
|
||||
log.info(f'settings change: {key}: {value}')
|
||||
|
||||
suffix = {'currency': ' $', 'units': ' u'}[size_unit]
|
||||
limit = alloc.limit()
|
||||
|
||||
# TODO: a reverse look up from the position to the equivalent
|
||||
# account(s), if none then look to user config for default?
|
||||
self.update_status_ui()
|
||||
self.update_status_ui(pp=tracker)
|
||||
|
||||
step_size, currency_per_slot = alloc.step_sizes()
|
||||
|
||||
|
|
@ -356,68 +245,16 @@ class SettingsPane:
|
|||
# UI in some way?
|
||||
return True
|
||||
|
||||
def init_status_ui(
|
||||
self,
|
||||
):
|
||||
alloc = self.alloc
|
||||
asset_type = alloc.symbol.type_key
|
||||
# form = self.form
|
||||
|
||||
# TODO: pull from piker.toml
|
||||
# default config
|
||||
slots = 4
|
||||
currency_limit = 5e3
|
||||
|
||||
startup_pp = self.tracker.startup_pp
|
||||
|
||||
alloc.slots = slots
|
||||
alloc.currency_limit = currency_limit
|
||||
|
||||
# default entry sizing
|
||||
if asset_type in ('stock', 'crypto', 'forex'):
|
||||
|
||||
alloc.size_unit = '$ size'
|
||||
|
||||
elif asset_type in ('future', 'option', 'futures_option'):
|
||||
|
||||
# since it's harder to know how currency "applies" in this case
|
||||
# given leverage properties
|
||||
alloc.size_unit = '# units'
|
||||
|
||||
# set units limit to slots size thus making make the next
|
||||
# entry step 1.0
|
||||
alloc.units_limit = slots
|
||||
|
||||
# if the current position is already greater then the limit
|
||||
# settings, increase the limit to the current position
|
||||
if alloc.size_unit == 'currency':
|
||||
startup_size = startup_pp.size * startup_pp.avg_price
|
||||
|
||||
if startup_size > alloc.currency_limit:
|
||||
alloc.currency_limit = round(startup_size, ndigits=2)
|
||||
|
||||
limit_text = alloc.currency_limit
|
||||
|
||||
else:
|
||||
startup_size = startup_pp.size
|
||||
|
||||
if startup_size > alloc.units_limit:
|
||||
alloc.units_limit = startup_size
|
||||
|
||||
limit_text = alloc.units_limit
|
||||
|
||||
self.on_ui_settings_change('limit', limit_text)
|
||||
self.update_status_ui(size=startup_size)
|
||||
|
||||
def update_status_ui(
|
||||
self,
|
||||
size: float = None,
|
||||
|
||||
pp: PositionTracker,
|
||||
|
||||
) -> None:
|
||||
|
||||
alloc = self.alloc
|
||||
alloc = pp.alloc
|
||||
slots = alloc.slots
|
||||
used = alloc.slots_used(self.tracker.live_pp)
|
||||
used = alloc.slots_used(pp.live_pp)
|
||||
|
||||
# calculate proportion of position size limit
|
||||
# that exists and display in fill bar
|
||||
|
|
@ -430,31 +267,51 @@ class SettingsPane:
|
|||
min(used, slots)
|
||||
)
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
def display_pnl(
|
||||
self,
|
||||
tracker: PositionTracker,
|
||||
|
||||
level: float,
|
||||
line: LevelLine,
|
||||
order: Order,
|
||||
) -> bool:
|
||||
'''Display the PnL for the current symbol and personal positioning (pp).
|
||||
|
||||
) -> None:
|
||||
'''A callback applied for each level change to the line
|
||||
which will recompute the order size based on allocator
|
||||
settings. this is assigned inside
|
||||
``OrderMode.line_from_order()``
|
||||
If a position is open start a background task which will
|
||||
real-time update the pnl label in the settings pane.
|
||||
|
||||
'''
|
||||
order_info = self.alloc.next_order_info(
|
||||
startup_pp=self.tracker.startup_pp,
|
||||
live_pp=self.tracker.live_pp,
|
||||
price=level,
|
||||
action=order.action,
|
||||
)
|
||||
line.update_labels(order_info)
|
||||
mode = self.order_mode
|
||||
sym = mode.chart.linked.symbol
|
||||
size = tracker.live_pp.size
|
||||
feed = mode.quote_feed
|
||||
global _pnl_tasks
|
||||
|
||||
# update bound-in staged order
|
||||
order.price = level
|
||||
order.size = order_info['size']
|
||||
if (
|
||||
size and
|
||||
sym.key not in _pnl_tasks
|
||||
):
|
||||
_pnl_tasks[sym.key] = True
|
||||
|
||||
# immediately compute and display pnl status from last quote
|
||||
self.pnl_label.format(
|
||||
pnl=copysign(1, size) * pnl(
|
||||
tracker.live_pp.avg_price,
|
||||
# last historical close price
|
||||
feed.shm.array[-1][['close']][0],
|
||||
),
|
||||
)
|
||||
|
||||
log.info(
|
||||
f'Starting pnl display for {tracker.alloc.account_name()}')
|
||||
self.order_mode.nursery.start_soon(
|
||||
display_pnl,
|
||||
feed,
|
||||
mode,
|
||||
)
|
||||
return True
|
||||
|
||||
else:
|
||||
# set 0% pnl
|
||||
self.pnl_label.format(pnl=0)
|
||||
return False
|
||||
|
||||
|
||||
def position_line(
|
||||
|
|
@ -522,8 +379,8 @@ def position_line(
|
|||
|
||||
|
||||
class PositionTracker:
|
||||
'''Track and display a real-time position for a single symbol
|
||||
on a chart.
|
||||
'''Track and display real-time positions for a single symbol
|
||||
over multiple accounts on a single chart.
|
||||
|
||||
Graphically composed of a level line and marker as well as labels
|
||||
for indcating current position information. Updates are made to the
|
||||
|
|
@ -532,11 +389,12 @@ class PositionTracker:
|
|||
'''
|
||||
# inputs
|
||||
chart: 'ChartPlotWidget' # noqa
|
||||
alloc: Allocator
|
||||
|
||||
# allocated
|
||||
alloc: Allocator
|
||||
startup_pp: Position
|
||||
live_pp: Position
|
||||
|
||||
# allocated
|
||||
pp_label: Label
|
||||
size_label: Label
|
||||
line: Optional[LevelLine] = None
|
||||
|
|
@ -547,17 +405,15 @@ class PositionTracker:
|
|||
self,
|
||||
chart: 'ChartPlotWidget', # noqa
|
||||
alloc: Allocator,
|
||||
startup_pp: Position,
|
||||
|
||||
) -> None:
|
||||
|
||||
self.chart = chart
|
||||
|
||||
self.alloc = alloc
|
||||
self.live_pp = Position(
|
||||
symbol=chart.linked.symbol,
|
||||
size=0,
|
||||
avg_price=0,
|
||||
)
|
||||
self.startup_pp = self.live_pp.copy()
|
||||
self.startup_pp = startup_pp
|
||||
self.live_pp = startup_pp.copy()
|
||||
|
||||
view = chart.getViewBox()
|
||||
|
||||
|
|
@ -622,9 +478,8 @@ class PositionTracker:
|
|||
self.pp_label.update()
|
||||
self.size_label.update()
|
||||
|
||||
def update_from_pp_msg(
|
||||
def update_from_pp(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
position: Optional[Position] = None,
|
||||
|
||||
) -> None:
|
||||
|
|
@ -632,23 +487,13 @@ class PositionTracker:
|
|||
EMS ``BrokerdPosition`` msg.
|
||||
|
||||
'''
|
||||
# XXX: better place to do this?
|
||||
symbol = self.chart.linked.symbol
|
||||
lot_size_digits = symbol.lot_size_digits
|
||||
avg_price, size = (
|
||||
round(msg['avg_price'], ndigits=symbol.tick_size_digits),
|
||||
round(msg['size'], ndigits=lot_size_digits),
|
||||
)
|
||||
|
||||
# live pp updates
|
||||
pp = position or self.live_pp
|
||||
pp.avg_price = avg_price
|
||||
pp.size = size
|
||||
|
||||
self.update_line(
|
||||
avg_price,
|
||||
size,
|
||||
lot_size_digits,
|
||||
pp.avg_price,
|
||||
pp.size,
|
||||
self.chart.linked.symbol.lot_size_digits,
|
||||
)
|
||||
|
||||
# label updates
|
||||
|
|
@ -656,11 +501,11 @@ class PositionTracker:
|
|||
self.alloc.slots_used(pp), ndigits=1)
|
||||
self.size_label.render()
|
||||
|
||||
if size == 0:
|
||||
if pp.size == 0:
|
||||
self.hide()
|
||||
|
||||
else:
|
||||
self._level_marker.level = avg_price
|
||||
self._level_marker.level = pp.avg_price
|
||||
|
||||
# these updates are critical to avoid lag on view/scene changes
|
||||
self._level_marker.update() # trigger paint
|
||||
|
|
@ -681,7 +526,6 @@ class PositionTracker:
|
|||
|
||||
def show(self) -> None:
|
||||
if self.live_pp.size:
|
||||
|
||||
self.line.show()
|
||||
self.line.show_labels()
|
||||
|
||||
|
|
@ -740,7 +584,6 @@ class PositionTracker:
|
|||
|
||||
return arrow
|
||||
|
||||
# TODO: per account lines on a single (or very related) symbol
|
||||
def update_line(
|
||||
self,
|
||||
price: float,
|
||||
|
|
@ -776,7 +619,10 @@ class PositionTracker:
|
|||
line.update_labels({
|
||||
'size': size,
|
||||
'size_digits': size_digits,
|
||||
'fiat_size': round(price * size, ndigits=2)
|
||||
'fiat_size': round(price * size, ndigits=2),
|
||||
|
||||
# TODO: per account lines on a single (or very related) symbol
|
||||
'account': self.alloc.account_name(),
|
||||
})
|
||||
line.show()
|
||||
|
||||
|
|
|
|||
|
|
@ -21,27 +21,30 @@ Chart trading, the only way to scalp.
|
|||
from contextlib import asynccontextmanager
|
||||
from dataclasses import dataclass, field
|
||||
from functools import partial
|
||||
from math import copysign
|
||||
from pprint import pformat
|
||||
import time
|
||||
from typing import Optional, Dict, Callable, Any
|
||||
import uuid
|
||||
|
||||
from bidict import bidict
|
||||
from pydantic import BaseModel
|
||||
import tractor
|
||||
import trio
|
||||
|
||||
from .. import brokers
|
||||
from ..calc import pnl
|
||||
from .. import config
|
||||
from ..clearing._client import open_ems, OrderBook
|
||||
from ..clearing._allocate import (
|
||||
mk_allocator,
|
||||
Position,
|
||||
)
|
||||
from ..data._source import Symbol
|
||||
from ..data._normalize import iterticks
|
||||
from ..data.feed import Feed
|
||||
from ..log import get_logger
|
||||
from ._editors import LineEditor, ArrowEditor
|
||||
from ._lines import order_line, LevelLine
|
||||
from ._position import PositionTracker, SettingsPane, Allocator, _size_units
|
||||
from ._position import (
|
||||
PositionTracker,
|
||||
SettingsPane,
|
||||
)
|
||||
from ._window import MultiStatus
|
||||
from ..clearing._messages import Order
|
||||
from ._forms import open_form_input_handling
|
||||
|
|
@ -69,6 +72,37 @@ class OrderDialog(BaseModel):
|
|||
underscore_attrs_are_private = False
|
||||
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
|
||||
level: float,
|
||||
|
||||
# these are all ``partial``-ed in at callback assignment time.
|
||||
line: LevelLine,
|
||||
order: Order,
|
||||
tracker: PositionTracker,
|
||||
|
||||
) -> None:
|
||||
'''A callback applied for each level change to the line
|
||||
which will recompute the order size based on allocator
|
||||
settings. this is assigned inside
|
||||
``OrderMode.line_from_order()``
|
||||
|
||||
'''
|
||||
# NOTE: the ``Order.account`` is set at order stage time
|
||||
# inside ``OrderMode.line_from_order()``.
|
||||
order_info = tracker.alloc.next_order_info(
|
||||
startup_pp=tracker.startup_pp,
|
||||
live_pp=tracker.live_pp,
|
||||
price=level,
|
||||
action=order.action,
|
||||
)
|
||||
line.update_labels(order_info)
|
||||
|
||||
# update bound-in staged order
|
||||
order.price = level
|
||||
order.size = order_info['size']
|
||||
|
||||
|
||||
@dataclass
|
||||
class OrderMode:
|
||||
'''Major UX mode for placing orders on a chart view providing so
|
||||
|
|
@ -90,16 +124,18 @@ class OrderMode:
|
|||
|
||||
'''
|
||||
chart: 'ChartPlotWidget' # type: ignore # noqa
|
||||
nursery: trio.Nursery
|
||||
quote_feed: Feed
|
||||
book: OrderBook
|
||||
lines: LineEditor
|
||||
arrows: ArrowEditor
|
||||
multistatus: MultiStatus
|
||||
pp: PositionTracker
|
||||
allocator: 'Allocator' # noqa
|
||||
pane: SettingsPane
|
||||
trackers: dict[str, PositionTracker]
|
||||
|
||||
# switched state, the current position
|
||||
current_pp: Optional[PositionTracker] = None
|
||||
active: bool = False
|
||||
|
||||
name: str = 'order'
|
||||
dialogs: dict[str, OrderDialog] = field(default_factory=dict)
|
||||
|
||||
|
|
@ -144,9 +180,10 @@ class OrderMode:
|
|||
# immediately
|
||||
if order.action != 'alert':
|
||||
line._on_level_change = partial(
|
||||
self.pane.on_level_change_update_next_order_info,
|
||||
on_level_change_update_next_order_info,
|
||||
line=line,
|
||||
order=order,
|
||||
tracker=self.current_pp,
|
||||
)
|
||||
|
||||
else:
|
||||
|
|
@ -185,6 +222,7 @@ class OrderMode:
|
|||
order = self._staged_order = Order(
|
||||
action=action,
|
||||
price=price,
|
||||
account=self.current_pp.alloc.account_name(),
|
||||
size=0,
|
||||
symbol=symbol,
|
||||
brokers=symbol.brokers,
|
||||
|
|
@ -490,7 +528,7 @@ async def open_order_mode(
|
|||
|
||||
book: OrderBook
|
||||
trades_stream: tractor.MsgStream
|
||||
positions: dict
|
||||
position_msgs: dict
|
||||
|
||||
# spawn EMS actor-service
|
||||
async with (
|
||||
|
|
@ -498,9 +536,9 @@ async def open_order_mode(
|
|||
open_ems(brokername, symbol) as (
|
||||
book,
|
||||
trades_stream,
|
||||
positions
|
||||
position_msgs
|
||||
),
|
||||
trio.open_nursery() as n,
|
||||
trio.open_nursery() as tn,
|
||||
|
||||
):
|
||||
log.info(f'Opening order mode for {brokername}.{symbol.key}')
|
||||
|
|
@ -511,37 +549,135 @@ async def open_order_mode(
|
|||
lines = LineEditor(chart=chart)
|
||||
arrows = ArrowEditor(chart, {})
|
||||
|
||||
# allocation and account settings side pane
|
||||
form = chart.sidepane
|
||||
|
||||
# symbol id
|
||||
symbol = chart.linked.symbol
|
||||
symkey = symbol.key
|
||||
|
||||
# map of per-provider account keys to position tracker instances
|
||||
trackers: dict[str, PositionTracker] = {}
|
||||
|
||||
# load account names from ``brokers.toml``
|
||||
accounts = bidict(brokers.config.load_accounts())
|
||||
accounts = config.load_accounts(providers=symbol.brokers).copy()
|
||||
if accounts:
|
||||
# first account listed is the one we select at startup
|
||||
# (aka order based selection).
|
||||
pp_account = next(iter(accounts.keys()))
|
||||
else:
|
||||
pp_account = 'paper'
|
||||
|
||||
# NOTE: requires the backend exactly specifies
|
||||
# the expected symbol key in its positions msg.
|
||||
pp_msgs = position_msgs.get(symkey, ())
|
||||
|
||||
# update all pp trackers with existing data relayed
|
||||
# from ``brokerd``.
|
||||
for msg in pp_msgs:
|
||||
|
||||
log.info(f'Loading pp for {symkey}:\n{pformat(msg)}')
|
||||
account_value = msg.get('account')
|
||||
account_name = accounts.inverse.get(account_value)
|
||||
if not account_name and account_value == 'paper':
|
||||
account_name = 'paper'
|
||||
|
||||
# net-zero pp
|
||||
startup_pp = Position(
|
||||
symbol=symbol,
|
||||
size=0,
|
||||
avg_price=0,
|
||||
)
|
||||
startup_pp.update_from_msg(msg)
|
||||
|
||||
# allocator
|
||||
alloc = Allocator(
|
||||
alloc = mk_allocator(
|
||||
symbol=symbol,
|
||||
account=None, # select paper by default
|
||||
_accounts=accounts,
|
||||
size_unit=_size_units['currency'],
|
||||
units_limit=400,
|
||||
currency_limit=5e3,
|
||||
slots=4,
|
||||
accounts=accounts,
|
||||
account=account_name,
|
||||
|
||||
# if this startup size is greater the allocator limit,
|
||||
# the limit is increased internally in this factory.
|
||||
startup_pp=startup_pp,
|
||||
)
|
||||
|
||||
form = chart.sidepane
|
||||
form.model = alloc
|
||||
|
||||
pp_tracker = PositionTracker(chart, alloc)
|
||||
pp_tracker = PositionTracker(
|
||||
chart,
|
||||
alloc,
|
||||
startup_pp
|
||||
)
|
||||
pp_tracker.hide()
|
||||
trackers[account_name] = pp_tracker
|
||||
|
||||
assert pp_tracker.startup_pp.size == pp_tracker.live_pp.size
|
||||
|
||||
# TODO: do we even really need the "startup pp" or can we
|
||||
# just take the max and pass that into the some state / the
|
||||
# alloc?
|
||||
pp_tracker.update_from_pp()
|
||||
|
||||
if pp_tracker.startup_pp.size != 0:
|
||||
# if no position, don't show pp tracking graphics
|
||||
pp_tracker.show()
|
||||
pp_tracker.hide_info()
|
||||
|
||||
# fill out trackers for accounts with net-zero pps
|
||||
zero_pp_accounts = set(accounts) - set(trackers)
|
||||
for account_name in zero_pp_accounts:
|
||||
startup_pp = Position(
|
||||
symbol=symbol,
|
||||
size=0,
|
||||
avg_price=0,
|
||||
)
|
||||
|
||||
# allocator
|
||||
alloc = mk_allocator(
|
||||
symbol=symbol,
|
||||
accounts=accounts,
|
||||
account=account_name,
|
||||
startup_pp=startup_pp,
|
||||
)
|
||||
pp_tracker = PositionTracker(
|
||||
chart,
|
||||
alloc,
|
||||
startup_pp
|
||||
)
|
||||
pp_tracker.hide()
|
||||
trackers[account_name] = pp_tracker
|
||||
|
||||
# order pane widgets and allocation model
|
||||
order_pane = SettingsPane(
|
||||
tracker=pp_tracker,
|
||||
form=form,
|
||||
alloc=alloc,
|
||||
# XXX: ugh, so hideous...
|
||||
fill_bar=form.fill_bar,
|
||||
pnl_label=form.left_label,
|
||||
step_label=form.bottom_label,
|
||||
limit_label=form.top_label,
|
||||
)
|
||||
|
||||
# top level abstraction which wraps all this crazyness into
|
||||
# a namespace..
|
||||
mode = OrderMode(
|
||||
chart,
|
||||
tn,
|
||||
feed,
|
||||
book,
|
||||
lines,
|
||||
arrows,
|
||||
multistatus,
|
||||
pane=order_pane,
|
||||
trackers=trackers,
|
||||
|
||||
)
|
||||
# XXX: MUST be set
|
||||
order_pane.order_mode = mode
|
||||
|
||||
# select a pp to track
|
||||
tracker = trackers[pp_account]
|
||||
mode.current_pp = tracker
|
||||
tracker.show()
|
||||
tracker.hide_info()
|
||||
|
||||
# XXX: would love to not have to do this separate from edit
|
||||
# fields (which are done in an async loop - see below)
|
||||
# connect selection signals (from drop down widgets)
|
||||
|
|
@ -556,77 +692,17 @@ async def open_order_mode(
|
|||
)
|
||||
)
|
||||
|
||||
# top level abstraction which wraps all this crazyness into
|
||||
# a namespace..
|
||||
mode = OrderMode(
|
||||
chart,
|
||||
book,
|
||||
lines,
|
||||
arrows,
|
||||
multistatus,
|
||||
pp_tracker,
|
||||
allocator=alloc,
|
||||
pane=order_pane,
|
||||
)
|
||||
# make fill bar and positioning snapshot
|
||||
order_pane.on_ui_settings_change('limit', tracker.alloc.limit())
|
||||
order_pane.update_status_ui(pp=tracker)
|
||||
|
||||
# TODO: create a mode "manager" of sorts?
|
||||
# -> probably just call it "UxModes" err sumthin?
|
||||
# so that view handlers can access it
|
||||
view.order_mode = mode
|
||||
|
||||
our_sym = mode.chart.linked._symbol.key
|
||||
|
||||
# update any exising position
|
||||
pp_msg = None
|
||||
for sym, msg in positions.items():
|
||||
if sym.lower() in our_sym:
|
||||
pp_msg = msg
|
||||
break
|
||||
|
||||
# make fill bar and positioning snapshot
|
||||
# XXX: this need to be called *before* the first
|
||||
# pp tracker update(s) below to ensure the limit size unit has
|
||||
# been correctly set prior to updating the line's pp size label
|
||||
# (the one on the RHS).
|
||||
# TODO: should probably split out the alloc config from the UI
|
||||
# config startup steps..
|
||||
order_pane.init_status_ui()
|
||||
|
||||
# we should probably make the allocator config
|
||||
# and explitict helper func call that takes in the aloc and
|
||||
# the postion / symbol info then take that alloc ref and
|
||||
# update the pp_tracker and pp_pane?
|
||||
if pp_msg:
|
||||
pp_tracker.update_from_pp_msg(msg)
|
||||
|
||||
order_pane.update_status_ui()
|
||||
|
||||
live_pp = mode.pp.live_pp
|
||||
size = live_pp.size
|
||||
if size:
|
||||
global _zero_pp
|
||||
_zero_pp = False
|
||||
|
||||
# compute and display pnl status immediately
|
||||
mode.pane.pnl_label.format(
|
||||
pnl=copysign(1, size) * pnl(
|
||||
live_pp.avg_price,
|
||||
# last historical close price
|
||||
feed.shm.array[-1][['close']][0],
|
||||
),
|
||||
)
|
||||
|
||||
# spawn updater task
|
||||
n.start_soon(
|
||||
display_pnl,
|
||||
feed,
|
||||
mode,
|
||||
)
|
||||
|
||||
else:
|
||||
# set 0% pnl
|
||||
mode.pane.pnl_label.format(pnl=0)
|
||||
|
||||
order_pane.on_ui_settings_change('account', pp_account)
|
||||
mode.pane.display_pnl(mode.current_pp)
|
||||
|
||||
# Begin order-response streaming
|
||||
done()
|
||||
|
|
@ -645,14 +721,13 @@ async def open_order_mode(
|
|||
),
|
||||
|
||||
):
|
||||
|
||||
# signal to top level symbol loading task we're ready
|
||||
# to handle input since the ems connection is ready
|
||||
started.set()
|
||||
|
||||
n.start_soon(
|
||||
tn.start_soon(
|
||||
process_trades_and_update_ui,
|
||||
n,
|
||||
tn,
|
||||
feed,
|
||||
mode,
|
||||
trades_stream,
|
||||
|
|
@ -661,67 +736,6 @@ async def open_order_mode(
|
|||
yield mode
|
||||
|
||||
|
||||
_zero_pp: bool = True
|
||||
|
||||
|
||||
async def display_pnl(
|
||||
feed: Feed,
|
||||
order_mode: OrderMode,
|
||||
) -> None:
|
||||
'''Real-time display the current pp's PnL in the appropriate label.
|
||||
|
||||
Error if this task is spawned where there is a net-zero pp.
|
||||
|
||||
'''
|
||||
global _zero_pp
|
||||
assert not _zero_pp
|
||||
|
||||
pp = order_mode.pp
|
||||
live = pp.live_pp
|
||||
|
||||
if live.size < 0:
|
||||
types = ('ask', 'last', 'last', 'utrade')
|
||||
|
||||
elif live.size > 0:
|
||||
types = ('bid', 'last', 'last', 'utrade')
|
||||
|
||||
else:
|
||||
raise RuntimeError('No pp?!?!')
|
||||
|
||||
# real-time update pnl on the status pane
|
||||
async with feed.stream.subscribe() as bstream:
|
||||
# last_tick = time.time()
|
||||
async for quotes in bstream:
|
||||
|
||||
# now = time.time()
|
||||
# period = now - last_tick
|
||||
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
for tick in iterticks(quote, types):
|
||||
# print(f'{1/period} Hz')
|
||||
|
||||
size = live.size
|
||||
|
||||
if size == 0:
|
||||
# terminate this update task since we're
|
||||
# no longer in a pp
|
||||
_zero_pp = True
|
||||
order_mode.pane.pnl_label.format(pnl=0)
|
||||
return
|
||||
|
||||
else:
|
||||
# compute and display pnl status
|
||||
order_mode.pane.pnl_label.format(
|
||||
pnl=copysign(1, size) * pnl(
|
||||
live.avg_price,
|
||||
tick['price'],
|
||||
),
|
||||
)
|
||||
|
||||
# last_tick = time.time()
|
||||
|
||||
|
||||
async def process_trades_and_update_ui(
|
||||
|
||||
n: trio.Nursery,
|
||||
|
|
@ -733,8 +747,7 @@ async def process_trades_and_update_ui(
|
|||
) -> None:
|
||||
|
||||
get_index = mode.chart.get_index
|
||||
tracker = mode.pp
|
||||
global _zero_pp
|
||||
global _pnl_tasks
|
||||
|
||||
# this is where we receive **back** messages
|
||||
# about executions **from** the EMS actor
|
||||
|
|
@ -747,24 +760,19 @@ async def process_trades_and_update_ui(
|
|||
if name in (
|
||||
'position',
|
||||
):
|
||||
# show line label once order is live
|
||||
|
||||
sym = mode.chart.linked.symbol
|
||||
if msg['symbol'].lower() in sym.key:
|
||||
tracker.update_from_pp_msg(msg)
|
||||
|
||||
tracker = mode.trackers[msg['account']]
|
||||
tracker.live_pp.update_from_msg(msg)
|
||||
tracker.update_from_pp()
|
||||
|
||||
# update order pane widgets
|
||||
mode.pane.update_status_ui()
|
||||
mode.pane.update_status_ui(tracker)
|
||||
|
||||
if mode.pp.live_pp.size and _zero_pp:
|
||||
_zero_pp = False
|
||||
n.start_soon(
|
||||
display_pnl,
|
||||
feed,
|
||||
mode,
|
||||
)
|
||||
mode.pane.display_pnl(tracker)
|
||||
# short circuit to next msg to avoid
|
||||
# uncessary msg content lookups
|
||||
# unnecessary msg content lookups
|
||||
continue
|
||||
|
||||
resp = msg['resp']
|
||||
|
|
@ -795,10 +803,13 @@ async def process_trades_and_update_ui(
|
|||
elif resp in (
|
||||
'broker_cancelled',
|
||||
'broker_inactive',
|
||||
'broker_errored',
|
||||
'dark_cancelled'
|
||||
):
|
||||
# delete level line from view
|
||||
mode.on_cancel(oid)
|
||||
broker_msg = msg['brokerd_msg']
|
||||
log.warning(f'Order {oid} failed with:\n{pformat(broker_msg)}')
|
||||
|
||||
elif resp in (
|
||||
'dark_triggered'
|
||||
|
|
@ -849,4 +860,6 @@ async def process_trades_and_update_ui(
|
|||
arrow_index=get_index(details['broker_time']),
|
||||
)
|
||||
|
||||
tracker.live_pp.fills.append(msg)
|
||||
# TODO: how should we look this up?
|
||||
# tracker = mode.trackers[msg['account']]
|
||||
# tracker.live_pp.fills.append(msg)
|
||||
|
|
|
|||
|
|
@ -3,8 +3,8 @@ import os
|
|||
import pytest
|
||||
import tractor
|
||||
import trio
|
||||
from piker import log
|
||||
from piker.brokers import questrade, config
|
||||
from piker import log, config
|
||||
from piker.brokers import questrade
|
||||
|
||||
|
||||
def pytest_addoption(parser):
|
||||
|
|
|
|||
Loading…
Reference in New Issue