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Merge pull request #374 from pikers/open_order_loading 

Open order loading
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goodboy 2022-08-19 15:23:49 -04:00 committed by GitHub
parent 8bef67642e b9dba48306
commit cf5b0bf9c6
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12 changed files with 1201 additions and 728 deletions
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184
piker/brokers/ib/broker.py
View File

@ -60,6 +60,8 @@ from piker.pp import (
) )
from piker.log import get_console_log from piker.log import get_console_log
from piker.clearing._messages import ( from piker.clearing._messages import (
Order,
Status,
BrokerdOrder, BrokerdOrder,
BrokerdOrderAck, BrokerdOrderAck,
BrokerdStatus, BrokerdStatus,
@ -122,11 +124,13 @@ async def handle_order_requests(
f'An IB account number for name {account} is not found?\n' f'An IB account number for name {account} is not found?\n'
'Make sure you have all TWS and GW instances running.' 'Make sure you have all TWS and GW instances running.'
) )
await ems_order_stream.send(BrokerdError( await ems_order_stream.send(
BrokerdError(
oid=request_msg['oid'], oid=request_msg['oid'],
symbol=request_msg['symbol'], symbol=request_msg['symbol'],
reason=f'No account found: `{account}` ?', reason=f'No account found: `{account}` ?',
)) )
)
continue continue
client = _accounts2clients.get(account) client = _accounts2clients.get(account)
@ -146,6 +150,14 @@ async def handle_order_requests(
# validate # validate
order = BrokerdOrder(**request_msg) order = BrokerdOrder(**request_msg)
# XXX: by default 0 tells ``ib_insync`` methods that
# there is no existing order so ask the client to create
# a new one (which it seems to do by allocating an int
# counter - collision prone..)
reqid = order.reqid
if reqid is not None:
reqid = int(reqid)
# call our client api to submit the order # call our client api to submit the order
reqid = client.submit_limit( reqid = client.submit_limit(
oid=order.oid, oid=order.oid,
@ -154,12 +166,7 @@ async def handle_order_requests(
action=order.action, action=order.action,
size=order.size, size=order.size,
account=acct_number, account=acct_number,
reqid=reqid,
# XXX: by default 0 tells ``ib_insync`` methods that
# there is no existing order so ask the client to create
# a new one (which it seems to do by allocating an int
# counter - collision prone..)
reqid=order.reqid,
) )
if reqid is None: if reqid is None:
await ems_order_stream.send(BrokerdError( await ems_order_stream.send(BrokerdError(
@ -181,7 +188,7 @@ async def handle_order_requests(
elif action == 'cancel': elif action == 'cancel':
msg = BrokerdCancel(**request_msg) msg = BrokerdCancel(**request_msg)
client.submit_cancel(reqid=msg.reqid) client.submit_cancel(reqid=int(msg.reqid))
else: else:
log.error(f'Unknown order command: {request_msg}') log.error(f'Unknown order command: {request_msg}')
@ -451,7 +458,6 @@ async def trades_dialogue(
# we might also want to delegate a specific actor for # we might also want to delegate a specific actor for
# ledger writing / reading for speed? # ledger writing / reading for speed?
async with ( async with (
# trio.open_nursery() as nurse,
open_client_proxies() as (proxies, aioclients), open_client_proxies() as (proxies, aioclients),
): ):
# Open a trade ledgers stack for appending trade records over # Open a trade ledgers stack for appending trade records over
@ -459,6 +465,7 @@ async def trades_dialogue(
# TODO: we probably want to generalize this into a "ledgers" api.. # TODO: we probably want to generalize this into a "ledgers" api..
ledgers: dict[str, dict] = {} ledgers: dict[str, dict] = {}
tables: dict[str, PpTable] = {} tables: dict[str, PpTable] = {}
order_msgs: list[Status] = []
with ( with (
ExitStack() as lstack, ExitStack() as lstack,
): ):
@ -480,6 +487,49 @@ async def trades_dialogue(
for account, proxy in proxies.items(): for account, proxy in proxies.items():
client = aioclients[account] client = aioclients[account]
trades: list[Trade] = client.ib.openTrades()
for trade in trades:
order = trade.order
quant = trade.order.totalQuantity
action = order.action.lower()
size = {
'sell': -1,
'buy': 1,
}[action] * quant
con = trade.contract
# TODO: in the case of the SMART venue (aka ib's
# router-clearing sys) we probably should handle
# showing such orders overtop of the fqsn for the
# primary exchange, how to map this easily is going
# to be a bit tricky though?
deats = await proxy.con_deats(contracts=[con])
fqsn = list(deats)[0]
reqid = order.orderId
# TODO: maybe embed a ``BrokerdOrder`` instead
# since then we can directly load it on the client
# side in the order mode loop?
msg = Status(
time_ns=time.time_ns(),
resp='open',
oid=str(reqid),
reqid=reqid,
# embedded order info
req=Order(
action=action,
exec_mode='live',
oid=str(reqid),
symbol=fqsn,
account=accounts_def.inverse[order.account],
price=order.lmtPrice,
size=size,
),
src='ib',
)
order_msgs.append(msg)
# process pp value reported from ib's system. we only use these # process pp value reported from ib's system. we only use these
# to cross-check sizing since average pricing on their end uses # to cross-check sizing since average pricing on their end uses
@ -615,6 +665,9 @@ async def trades_dialogue(
ctx.open_stream() as ems_stream, ctx.open_stream() as ems_stream,
trio.open_nursery() as n, trio.open_nursery() as n,
): ):
# relay existing open orders to ems
for msg in order_msgs:
await ems_stream.send(msg)
for client in set(aioclients.values()): for client in set(aioclients.values()):
trade_event_stream = await n.start( trade_event_stream = await n.start(
@ -633,6 +686,7 @@ async def trades_dialogue(
# allocate event relay tasks for each client connection # allocate event relay tasks for each client connection
n.start_soon( n.start_soon(
deliver_trade_events, deliver_trade_events,
n,
trade_event_stream, trade_event_stream,
ems_stream, ems_stream,
accounts_def, accounts_def,
@ -726,6 +780,7 @@ _statuses: dict[str, str] = {
async def deliver_trade_events( async def deliver_trade_events(
nurse: trio.Nursery,
trade_event_stream: trio.MemoryReceiveChannel, trade_event_stream: trio.MemoryReceiveChannel,
ems_stream: tractor.MsgStream, ems_stream: tractor.MsgStream,
accounts_def: dict[str, str], # eg. `'ib.main'` -> `'DU999999'` accounts_def: dict[str, str], # eg. `'ib.main'` -> `'DU999999'`
@ -750,8 +805,9 @@ async def deliver_trade_events(
log.info(f'ib sending {event_name}:\n{pformat(item)}') log.info(f'ib sending {event_name}:\n{pformat(item)}')
match event_name: match event_name:
# TODO: templating the ib statuses in comparison with other # NOTE: we remap statuses to the ems set via the
# brokers is likely the way to go: # ``_statuses: dict`` above.
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313 # https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
# short list: # short list:
# - PendingSubmit # - PendingSubmit
@ -781,28 +837,90 @@ async def deliver_trade_events(
# unwrap needed data from ib_insync internal types # unwrap needed data from ib_insync internal types
trade: Trade = item trade: Trade = item
status: OrderStatus = trade.orderStatus status: OrderStatus = trade.orderStatus
ib_status_key = status.status.lower()
# TODO: try out cancelling inactive orders after delay:
# https://github.com/erdewit/ib_insync/issues/363
# acctid = accounts_def.inverse[trade.order.account]
# # double check there is no error when
# # cancelling.. gawwwd
# if ib_status_key == 'cancelled':
# last_log = trade.log[-1]
# if (
# last_log.message
# and 'Error' not in last_log.message
# ):
# ib_status_key = trade.log[-2].status
# elif ib_status_key == 'inactive':
# async def sched_cancel():
# log.warning(
# 'OH GAWD an inactive order.scheduling a cancel\n'
# f'{pformat(item)}'
# )
# proxy = proxies[acctid]
# await proxy.submit_cancel(reqid=trade.order.orderId)
# await trio.sleep(1)
# nurse.start_soon(sched_cancel)
# nurse.start_soon(sched_cancel)
status_key = (
_statuses.get(ib_status_key.lower())
or ib_status_key.lower()
)
remaining = status.remaining
if (
status_key == 'filled'
):
fill: Fill = trade.fills[-1]
execu: Execution = fill.execution
# execdict = asdict(execu)
# execdict.pop('acctNumber')
fill_msg = BrokerdFill(
# should match the value returned from
# `.submit_limit()`
reqid=execu.orderId,
time_ns=time.time_ns(), # cuz why not
action=action_map[execu.side],
size=execu.shares,
price=execu.price,
# broker_details=execdict,
# XXX: required by order mode currently
broker_time=execu.time,
)
await ems_stream.send(fill_msg)
if remaining == 0:
# emit a closed status on filled statuses where
# all units were cleared.
status_key = 'closed'
# skip duplicate filled updates - we get the deats # skip duplicate filled updates - we get the deats
# from the execution details event # from the execution details event
msg = BrokerdStatus( msg = BrokerdStatus(
reqid=trade.order.orderId, reqid=trade.order.orderId,
time_ns=time.time_ns(), # cuz why not time_ns=time.time_ns(), # cuz why not
account=accounts_def.inverse[trade.order.account], account=accounts_def.inverse[trade.order.account],
# everyone doin camel case.. # everyone doin camel case..
status=status.status.lower(), # force lower case status=status_key, # force lower case
filled=status.filled, filled=status.filled,
reason=status.whyHeld, reason=status.whyHeld,
# this seems to not be necessarily up to date in the # this seems to not be necessarily up to date in the
# execDetails event.. so we have to send it here I guess? # execDetails event.. so we have to send it here I guess?
remaining=status.remaining, remaining=remaining,
broker_details={'name': 'ib'}, broker_details={'name': 'ib'},
) )
await ems_stream.send(msg) await ems_stream.send(msg)
continue
case 'fill': case 'fill':
@ -818,8 +936,6 @@ async def deliver_trade_events(
# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations # https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
trade: Trade trade: Trade
fill: Fill fill: Fill
# TODO: maybe we can use matching to better handle these cases.
trade, fill = item trade, fill = item
execu: Execution = fill.execution execu: Execution = fill.execution
execid = execu.execId execid = execu.execId
@ -848,22 +964,6 @@ async def deliver_trade_events(
} }
) )
msg = BrokerdFill(
# should match the value returned from `.submit_limit()`
reqid=execu.orderId,
time_ns=time.time_ns(), # cuz why not
action=action_map[execu.side],
size=execu.shares,
price=execu.price,
broker_details=trade_entry,
# XXX: required by order mode currently
broker_time=trade_entry['broker_time'],
)
await ems_stream.send(msg)
# 2 cases: # 2 cases:
# - fill comes first or # - fill comes first or
# - comms report comes first # - comms report comes first
@ -933,17 +1033,25 @@ async def deliver_trade_events(
if err['reqid'] == -1: if err['reqid'] == -1:
log.error(f'TWS external order error:\n{pformat(err)}') log.error(f'TWS external order error:\n{pformat(err)}')
# TODO: what schema for this msg if we're going to make it # TODO: we don't want to relay data feed / lookup errors
# portable across all backends? # so we need some further filtering logic here..
# msg = BrokerdError(**err) # for most cases the 'status' block above should take
# care of this.
# await ems_stream.send(BrokerdStatus(
# status='error',
# reqid=err['reqid'],
# reason=err['reason'],
# time_ns=time.time_ns(),
# account=accounts_def.inverse[trade.order.account],
# broker_details={'name': 'ib'},
# ))
case 'position': case 'position':
cid, msg = pack_position(item) cid, msg = pack_position(item)
log.info(f'New IB position msg: {msg}') log.info(f'New IB position msg: {msg}')
# acctid = msg.account = accounts_def.inverse[msg.account]
# cuck ib and it's shitty fifo sys for pps! # cuck ib and it's shitty fifo sys for pps!
# await ems_stream.send(msg) continue
case 'event': case 'event':

142
piker/brokers/kraken/broker.py
View File

@ -31,6 +31,7 @@ import time
from typing import ( from typing import (
Any, Any,
AsyncIterator, AsyncIterator,
Iterable,
Union, Union,
) )
@ -39,7 +40,6 @@ from bidict import bidict
import pendulum import pendulum
import trio import trio
import tractor import tractor
import wsproto
from piker.pp import ( from piker.pp import (
Position, Position,
@ -49,6 +49,8 @@ from piker.pp import (
open_pps, open_pps,
) )
from piker.clearing._messages import ( from piker.clearing._messages import (
Order,
Status,
BrokerdCancel, BrokerdCancel,
BrokerdError, BrokerdError,
BrokerdFill, BrokerdFill,
@ -85,6 +87,33 @@ class TooFastEdit(Exception):
'Edit requests faster then api submissions' 'Edit requests faster then api submissions'
# TODO: make this wrap the `Client` and `ws` instances
# and give it methods to submit cancel vs. add vs. edit
# requests?
class BrokerClient:
'''
Actor global, client-unique order manager API.
For now provides unique ``brokerd`` defined "request ids"
and "user reference" values to track ``kraken`` ws api order
dialogs.
'''
counter: Iterable = count(1)
_table: set[int] = set()
@classmethod
def new_reqid(cls) -> int:
for reqid in cls.counter:
if reqid not in cls._table:
cls._table.add(reqid)
return reqid
@classmethod
def add_reqid(cls, reqid: int) -> None:
cls._table.add(reqid)
async def handle_order_requests( async def handle_order_requests(
ws: NoBsWs, ws: NoBsWs,
@ -104,7 +133,6 @@ async def handle_order_requests(
# XXX: UGH, let's unify this.. with ``msgspec``. # XXX: UGH, let's unify this.. with ``msgspec``.
msg: dict[str, Any] msg: dict[str, Any]
order: BrokerdOrder order: BrokerdOrder
counter = count(1)
async for msg in ems_order_stream: async for msg in ems_order_stream:
log.info(f'Rx order msg:\n{pformat(msg)}') log.info(f'Rx order msg:\n{pformat(msg)}')
@ -126,7 +154,7 @@ async def handle_order_requests(
oid=msg['oid'], oid=msg['oid'],
symbol=msg['symbol'], symbol=msg['symbol'],
reason=( reason=(
f'TooFastEdit reqid:{reqid}, could not cancelling..' f'Edit too fast:{reqid}, cancelling..'
), ),
) )
@ -177,7 +205,8 @@ async def handle_order_requests(
else: else:
ep = 'addOrder' ep = 'addOrder'
reqid = next(counter)
reqid = BrokerClient.new_reqid()
ids[order.oid] = reqid ids[order.oid] = reqid
log.debug( log.debug(
f"Adding order {reqid}\n" f"Adding order {reqid}\n"
@ -249,7 +278,7 @@ async def handle_order_requests(
@acm @acm
async def subscribe( async def subscribe(
ws: wsproto.WSConnection, ws: NoBsWs,
token: str, token: str,
subs: list[tuple[str, dict]] = [ subs: list[tuple[str, dict]] = [
('ownTrades', { ('ownTrades', {
@ -632,8 +661,6 @@ async def handle_order_updates(
# to do all fill/status/pp updates in that sub and just use # to do all fill/status/pp updates in that sub and just use
# this one for ledger syncs? # this one for ledger syncs?
# XXX: ASK SUPPORT ABOUT THIS!
# For eg. we could take the "last 50 trades" and do a diff # For eg. we could take the "last 50 trades" and do a diff
# with the ledger and then only do a re-sync if something # with the ledger and then only do a re-sync if something
# seems amiss? # seems amiss?
@ -696,7 +723,6 @@ async def handle_order_updates(
status_msg = BrokerdStatus( status_msg = BrokerdStatus(
reqid=reqid, reqid=reqid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
account=acc_name, account=acc_name,
status='filled', status='filled',
filled=size, filled=size,
@ -741,7 +767,6 @@ async def handle_order_updates(
f'{pformat(order_msg)}' f'{pformat(order_msg)}'
) )
txid, update_msg = list(order_msg.items())[0] txid, update_msg = list(order_msg.items())[0]
match update_msg:
# XXX: eg. of full msg schema: # XXX: eg. of full msg schema:
# {'avg_price': _, # {'avg_price': _,
@ -768,6 +793,66 @@ async def handle_order_updates(
# 'timeinforce': 'GTC', # 'timeinforce': 'GTC',
# 'vol': submit_vlm, # '13.34400854', # 'vol': submit_vlm, # '13.34400854',
# 'vol_exec': exec_vlm} # 0.0000 # 'vol_exec': exec_vlm} # 0.0000
match update_msg:
# EMS-unknown live order that needs to be
# delivered and loaded on the client-side.
case {
'userref': reqid,
'descr': {
'pair': pair,
'price': price,
'type': action,
},
'vol': vol,
# during a fill this field is **not**
# provided! but, it is always avail on
# actual status updates.. see case above.
'status': status,
**rest,
} if (
ids.inverse.get(reqid) is None
):
# parse out existing live order
fqsn = pair.replace('/', '').lower()
price = float(price)
size = float(vol)
# register the userref value from
# kraken (usually an `int` staring
# at 1?) as our reqid.
reqids2txids[reqid] = txid
oid = str(reqid)
ids[oid] = reqid # NOTE!: str -> int
# ensure wtv reqid they give us we don't re-use on
# new order submissions to this actor's client.
BrokerClient.add_reqid(reqid)
# fill out ``Status`` + boxed ``Order``
status_msg = Status(
time_ns=time.time_ns(),
resp='open',
oid=oid,
reqid=reqid,
# embedded order info
req=Order(
action=action,
exec_mode='live',
oid=oid,
symbol=fqsn,
account=acc_name,
price=price,
size=size,
),
src='kraken',
)
apiflows[reqid].maps.append(status_msg)
await ems_stream.send(status_msg)
continue
case { case {
'userref': reqid, 'userref': reqid,
@ -821,10 +906,6 @@ async def handle_order_updates(
) )
oid = ids.inverse.get(reqid) oid = ids.inverse.get(reqid)
if (
status == 'open'
and (
# XXX: too fast edit handled by the # XXX: too fast edit handled by the
# request handler task: this # request handler task: this
# scenario occurs when ems side # scenario occurs when ems side
@ -850,17 +931,13 @@ async def handle_order_updates(
# coming in too quickly on the other # coming in too quickly on the other
# side of the ems, aka the client # side of the ems, aka the client
# <-> ems dialog. # <-> ems dialog.
(toofast := isinstance( if (
status == 'open'
and isinstance(
reqids2txids.get(reqid), reqids2txids.get(reqid),
TooFastEdit TooFastEdit
))
# pre-existing open order NOT from
# this EMS session.
or (noid := oid is None)
) )
): ):
if toofast:
# TODO: don't even allow this case # TODO: don't even allow this case
# by not moving the client side line # by not moving the client side line
# until an edit confirmation # until an edit confirmation
@ -870,17 +947,6 @@ async def handle_order_updates(
f'{update_msg}\n' f'{update_msg}\n'
'Cancelling order for now!..' 'Cancelling order for now!..'
) )
elif noid: # a non-ems-active order
# TODO: handle these and relay them
# through the EMS to the client / UI
# side!
log.cancel(
f'Rx unknown active order {txid}:\n'
f'{update_msg}\n'
'Cancelling order for now!..'
)
# call ws api to cancel: # call ws api to cancel:
# https://docs.kraken.com/websockets/#message-cancelOrder # https://docs.kraken.com/websockets/#message-cancelOrder
await ws.send_msg({ await ws.send_msg({
@ -891,18 +957,6 @@ async def handle_order_updates(
}) })
continue continue
# remap statuses to ems set.
ems_status = {
'open': 'submitted',
'closed': 'filled',
'canceled': 'cancelled',
# do we even need to forward
# this state to the ems?
'pending': 'pending',
}[status]
# TODO: i like the open / closed semantics
# more we should consider them for internals
# send BrokerdStatus messages for all # send BrokerdStatus messages for all
# order state updates # order state updates
resp = BrokerdStatus( resp = BrokerdStatus(
@ -912,7 +966,7 @@ async def handle_order_updates(
account=f'kraken.{acctid}', account=f'kraken.{acctid}',
# everyone doin camel case.. # everyone doin camel case..
status=ems_status, # force lower case status=status, # force lower case
filled=vlm, filled=vlm,
reason='', # why held? reason='', # why held?

46
piker/brokers/kraken/feed.py
View File

@ -34,7 +34,6 @@ import pendulum
from trio_typing import TaskStatus from trio_typing import TaskStatus
import tractor import tractor
import trio import trio
import wsproto
from piker._cacheables import open_cached_client from piker._cacheables import open_cached_client
from piker.brokers._util import ( from piker.brokers._util import (
@ -243,22 +242,6 @@ def normalize(
return topic, quote return topic, quote
def make_sub(pairs: list[str], data: dict[str, Any]) -> dict[str, str]:
'''
Create a request subscription packet dict.
https://docs.kraken.com/websockets/#message-subscribe
'''
# eg. specific logic for this in kraken's sync client:
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
return {
'pair': pairs,
'event': 'subscribe',
'subscription': data,
}
@acm @acm
async def open_history_client( async def open_history_client(
symbol: str, symbol: str,
@ -381,15 +364,20 @@ async def stream_quotes(
} }
@acm @acm
async def subscribe(ws: wsproto.WSConnection): async def subscribe(ws: NoBsWs):
# XXX: setup subs # XXX: setup subs
# https://docs.kraken.com/websockets/#message-subscribe # https://docs.kraken.com/websockets/#message-subscribe
# specific logic for this in kraken's shitty sync client: # specific logic for this in kraken's sync client:
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188 # https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
ohlc_sub = make_sub( ohlc_sub = {
list(ws_pairs.values()), 'event': 'subscribe',
{'name': 'ohlc', 'interval': 1} 'pair': list(ws_pairs.values()),
) 'subscription': {
'name': 'ohlc',
'interval': 1,
},
}
# TODO: we want to eventually allow unsubs which should # TODO: we want to eventually allow unsubs which should
# be completely fine to request from a separate task # be completely fine to request from a separate task
@ -398,10 +386,14 @@ async def stream_quotes(
await ws.send_msg(ohlc_sub) await ws.send_msg(ohlc_sub)
# trade data (aka L1) # trade data (aka L1)
l1_sub = make_sub( l1_sub = {
list(ws_pairs.values()), 'event': 'subscribe',
{'name': 'spread'} # 'depth': 10} 'pair': list(ws_pairs.values()),
) 'subscription': {
'name': 'spread',
# 'depth': 10}
},
}
# pull a first quote and deliver # pull a first quote and deliver
await ws.send_msg(l1_sub) await ws.send_msg(l1_sub)

37
piker/clearing/_client.py
View File

@ -83,7 +83,13 @@ class OrderBook:
"""Cancel an order (or alert) in the EMS. """Cancel an order (or alert) in the EMS.
""" """
cmd = self._sent_orders[uuid] cmd = self._sent_orders.get(uuid)
if not cmd:
log.error(
f'Unknown order {uuid}!?\n'
f'Maybe there is a stale entry or line?\n'
f'You should report this as a bug!'
)
msg = Cancel( msg = Cancel(
oid=uuid, oid=uuid,
symbol=cmd.symbol, symbol=cmd.symbol,
@ -149,10 +155,17 @@ async def relay_order_cmds_from_sync_code(
book = get_orders() book = get_orders()
async with book._from_order_book.subscribe() as orders_stream: async with book._from_order_book.subscribe() as orders_stream:
async for cmd in orders_stream: async for cmd in orders_stream:
if cmd.symbol == symbol_key: sym = cmd.symbol
log.info(f'Send order cmd:\n{pformat(cmd)}') msg = pformat(cmd)
if sym == symbol_key:
log.info(f'Send order cmd:\n{msg}')
# send msg over IPC / wire # send msg over IPC / wire
await to_ems_stream.send(cmd) await to_ems_stream.send(cmd)
else:
log.warning(
f'Ignoring unmatched order cmd for {sym} != {symbol_key}:'
f'\n{msg}'
)
@acm @acm
@ -220,11 +233,19 @@ async def open_ems(
fqsn=fqsn, fqsn=fqsn,
exec_mode=mode, exec_mode=mode,
) as (ctx, (positions, accounts)), ) as (
ctx,
(
positions,
accounts,
dialogs,
)
),
# open 2-way trade command stream # open 2-way trade command stream
ctx.open_stream() as trades_stream, ctx.open_stream() as trades_stream,
): ):
# start sync code order msg delivery task
async with trio.open_nursery() as n: async with trio.open_nursery() as n:
n.start_soon( n.start_soon(
relay_order_cmds_from_sync_code, relay_order_cmds_from_sync_code,
@ -232,4 +253,10 @@ async def open_ems(
trades_stream trades_stream
) )
yield book, trades_stream, positions, accounts yield (
book,
trades_stream,
positions,
accounts,
dialogs,
)

541
piker/clearing/_ems.py
View File

@ -18,8 +18,8 @@
In da suit parlances: "Execution management systems" In da suit parlances: "Execution management systems"
""" """
from collections import defaultdict, ChainMap
from contextlib import asynccontextmanager from contextlib import asynccontextmanager
from dataclasses import dataclass, field
from math import isnan from math import isnan
from pprint import pformat from pprint import pformat
import time import time
@ -27,6 +27,7 @@ from typing import (
AsyncIterator, AsyncIterator,
Any, Any,
Callable, Callable,
Optional,
) )
from bidict import bidict from bidict import bidict
@ -41,9 +42,16 @@ from ..data.types import Struct
from .._daemon import maybe_spawn_brokerd from .._daemon import maybe_spawn_brokerd
from . import _paper_engine as paper from . import _paper_engine as paper
from ._messages import ( from ._messages import (
Status, Order, Order,
BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus, Status,
BrokerdFill, BrokerdError, BrokerdPosition, # Cancel,
BrokerdCancel,
BrokerdOrder,
# BrokerdOrderAck,
BrokerdStatus,
BrokerdFill,
BrokerdError,
BrokerdPosition,
) )
@ -90,8 +98,7 @@ def mk_check(
) )
@dataclass class _DarkBook(Struct):
class _DarkBook:
''' '''
EMS-trigger execution book. EMS-trigger execution book.
@ -116,17 +123,24 @@ class _DarkBook:
dict, # cmd / msg type dict, # cmd / msg type
] ]
] ]
] = field(default_factory=dict) ] = {}
# tracks most recent values per symbol each from data feed # tracks most recent values per symbol each from data feed
lasts: dict[ lasts: dict[
str, str,
float, float,
] = field(default_factory=dict) ] = {}
# mapping of piker ems order ids to current brokerd order flow message # _ems_entries: dict[str, str] = {}
_ems_entries: dict[str, str] = field(default_factory=dict) _active: dict = {}
_ems2brokerd_ids: dict[str, str] = field(default_factory=bidict)
# mapping of ems dialog ids to msg flow history
_msgflows: defaultdict[
int,
ChainMap[dict[str, dict]],
] = defaultdict(ChainMap)
_ems2brokerd_ids: dict[str, str] = bidict()
# XXX: this is in place to prevent accidental positions that are too # XXX: this is in place to prevent accidental positions that are too
@ -181,6 +195,7 @@ async def clear_dark_triggers(
for oid, ( for oid, (
pred, pred,
tf, tf,
# TODO: send this msg instead?
cmd, cmd,
percent_away, percent_away,
abs_diff_away abs_diff_away
@ -188,9 +203,9 @@ async def clear_dark_triggers(
tuple(execs.items()) tuple(execs.items())
): ):
if ( if (
not pred or not pred
ttype not in tf or or ttype not in tf
not pred(price) or not pred(price)
): ):
# log.runtime( # log.runtime(
# f'skipping quote for {sym} ' # f'skipping quote for {sym} '
@ -200,30 +215,29 @@ async def clear_dark_triggers(
# majority of iterations will be non-matches # majority of iterations will be non-matches
continue continue
brokerd_msg: Optional[BrokerdOrder] = None
match cmd: match cmd:
# alert: nothing to do but relay a status # alert: nothing to do but relay a status
# back to the requesting ems client # back to the requesting ems client
case { case Order(action='alert'):
'action': 'alert', resp = 'triggered'
}:
resp = 'alert_triggered'
# executable order submission # executable order submission
case { case Order(
'action': action, action=action,
'symbol': symbol, symbol=symbol,
'account': account, account=account,
'size': size, size=size,
}: ):
bfqsn: str = symbol.replace(f'.{broker}', '') bfqsn: str = symbol.replace(f'.{broker}', '')
submit_price = price + abs_diff_away submit_price = price + abs_diff_away
resp = 'dark_triggered' # hidden on client-side resp = 'triggered' # hidden on client-side
log.info( log.info(
f'Dark order triggered for price {price}\n' f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}') f'Submitting order @ price {submit_price}')
live_req = BrokerdOrder( brokerd_msg = BrokerdOrder(
action=action, action=action,
oid=oid, oid=oid,
account=account, account=account,
@ -232,26 +246,22 @@ async def clear_dark_triggers(
price=submit_price, price=submit_price,
size=size, size=size,
) )
await brokerd_orders_stream.send(live_req)
# mark this entry as having sent an order await brokerd_orders_stream.send(brokerd_msg)
# request. the entry will be replaced once the
# target broker replies back with # book._ems_entries[oid] = live_req
# a ``BrokerdOrderAck`` msg including the # book._msgflows[oid].maps.insert(0, live_req)
# allocated unique ``BrokerdOrderAck.reqid`` key
# generated by the broker's own systems.
book._ems_entries[oid] = live_req
case _: case _:
raise ValueError(f'Invalid dark book entry: {cmd}') raise ValueError(f'Invalid dark book entry: {cmd}')
# fallthrough logic # fallthrough logic
resp = Status( status = Status(
oid=oid, # ems dialog id oid=oid, # ems dialog id
time_ns=time.time_ns(), time_ns=time.time_ns(),
resp=resp, resp=resp,
trigger_price=price, req=cmd,
brokerd_msg=cmd, brokerd_msg=brokerd_msg,
) )
# remove exec-condition from set # remove exec-condition from set
@ -262,9 +272,24 @@ async def clear_dark_triggers(
f'pred for {oid} was already removed!?' f'pred for {oid} was already removed!?'
) )
# update actives
# mark this entry as having sent an order
# request. the entry will be replaced once the
# target broker replies back with
# a ``BrokerdOrderAck`` msg including the
# allocated unique ``BrokerdOrderAck.reqid`` key
# generated by the broker's own systems.
if cmd.action == 'alert':
# don't register the alert status (so it won't
# be reloaded by clients) since it's now
# complete / closed.
book._active.pop(oid)
else:
book._active[oid] = status
# send response to client-side # send response to client-side
try: try:
await ems_client_order_stream.send(resp) await ems_client_order_stream.send(status)
except ( except (
trio.ClosedResourceError, trio.ClosedResourceError,
): ):
@ -281,8 +306,7 @@ async def clear_dark_triggers(
# print(f'execs scan took: {time.time() - start}') # print(f'execs scan took: {time.time() - start}')
@dataclass class TradesRelay(Struct):
class TradesRelay:
# for now we keep only a single connection open with # for now we keep only a single connection open with
# each ``brokerd`` for simplicity. # each ``brokerd`` for simplicity.
@ -318,7 +342,10 @@ class Router(Struct):
# order id to client stream map # order id to client stream map
clients: set[tractor.MsgStream] = set() clients: set[tractor.MsgStream] = set()
dialogues: dict[str, list[tractor.MsgStream]] = {} dialogues: dict[
str,
list[tractor.MsgStream]
] = {}
# brokername to trades-dialogues streams with ``brokerd`` actors # brokername to trades-dialogues streams with ``brokerd`` actors
relays: dict[str, TradesRelay] = {} relays: dict[str, TradesRelay] = {}
@ -341,11 +368,12 @@ class Router(Struct):
loglevel: str, loglevel: str,
) -> tuple[dict, tractor.MsgStream]: ) -> tuple[dict, tractor.MsgStream]:
'''Open and yield ``brokerd`` trades dialogue context-stream if none '''
already exists. Open and yield ``brokerd`` trades dialogue context-stream if
none already exists.
''' '''
relay = self.relays.get(feed.mod.name) relay: TradesRelay = self.relays.get(feed.mod.name)
if ( if (
relay is None relay is None
@ -381,6 +409,22 @@ class Router(Struct):
relay.consumers -= 1 relay.consumers -= 1
async def client_broadcast(
self,
msg: dict,
) -> None:
for client_stream in self.clients.copy():
try:
await client_stream.send(msg)
except(
trio.ClosedResourceError,
trio.BrokenResourceError,
):
self.clients.remove(client_stream)
log.warning(
f'client for {client_stream} was already closed?')
_router: Router = None _router: Router = None
@ -452,7 +496,6 @@ async def open_brokerd_trades_dialogue(
async with ( async with (
open_trades_endpoint as (brokerd_ctx, (positions, accounts,)), open_trades_endpoint as (brokerd_ctx, (positions, accounts,)),
brokerd_ctx.open_stream() as brokerd_trades_stream, brokerd_ctx.open_stream() as brokerd_trades_stream,
): ):
# XXX: really we only want one stream per `emsd` actor # XXX: really we only want one stream per `emsd` actor
# to relay global `brokerd` order events unless we're # to relay global `brokerd` order events unless we're
@ -502,14 +545,9 @@ async def open_brokerd_trades_dialogue(
task_status.started(relay) task_status.started(relay)
await translate_and_relay_brokerd_events(
broker,
brokerd_trades_stream,
_router,
)
# this context should block here indefinitely until # this context should block here indefinitely until
# the ``brokerd`` task either dies or is cancelled # the ``brokerd`` task either dies or is cancelled
await trio.sleep_forever()
finally: finally:
# parent context must have been closed # parent context must have been closed
@ -561,15 +599,14 @@ async def translate_and_relay_brokerd_events(
broker ems broker ems
'error' -> log it locally (for now) 'error' -> log it locally (for now)
'status' -> relabel as 'broker_<status>', if complete send 'executed' ('status' | 'fill'} -> relayed through see ``Status`` msg type.
'fill' -> 'broker_filled'
Currently handled status values from IB: Currently handled status values from IB:
{'presubmitted', 'submitted', 'cancelled', 'inactive'} {'presubmitted', 'submitted', 'cancelled', 'inactive'}
''' '''
book = router.get_dark_book(broker) book: _DarkBook = router.get_dark_book(broker)
relay = router.relays[broker] relay: TradesRelay = router.relays[broker]
assert relay.brokerd_dialogue == brokerd_trades_stream assert relay.brokerd_dialogue == brokerd_trades_stream
@ -601,30 +638,16 @@ async def translate_and_relay_brokerd_events(
# fan-out-relay position msgs immediately by # fan-out-relay position msgs immediately by
# broadcasting updates on all client streams # broadcasting updates on all client streams
for client_stream in router.clients.copy(): await router.client_broadcast(pos_msg)
try:
await client_stream.send(pos_msg)
except(
trio.ClosedResourceError,
trio.BrokenResourceError,
):
router.clients.remove(client_stream)
log.warning(
f'client for {client_stream} was already closed?')
continue continue
# BrokerdOrderAck # BrokerdOrderAck
# initial response to brokerd order request
case { case {
'name': 'ack', 'name': 'ack',
'reqid': reqid, # brokerd generated order-request id 'reqid': reqid, # brokerd generated order-request id
'oid': oid, # ems order-dialog id 'oid': oid, # ems order-dialog id
} if ( }:
entry := book._ems_entries.get(oid)
):
# initial response to brokerd order request
# if name == 'ack':
# register the brokerd request id (that was generated # register the brokerd request id (that was generated
# / created internally by the broker backend) with our # / created internally by the broker backend) with our
# local ems order id for reverse lookup later. # local ems order id for reverse lookup later.
@ -639,23 +662,23 @@ async def translate_and_relay_brokerd_events(
# new order which has not yet be registered into the # new order which has not yet be registered into the
# local ems book, insert it now and handle 2 cases: # local ems book, insert it now and handle 2 cases:
# - the order has previously been requested to be # 1. the order has previously been requested to be
# cancelled by the ems controlling client before we # cancelled by the ems controlling client before we
# received this ack, in which case we relay that cancel # received this ack, in which case we relay that cancel
# signal **asap** to the backend broker # signal **asap** to the backend broker
action = getattr(entry, 'action', None) status_msg = book._active[oid]
if action and action == 'cancel': req = status_msg.req
if req and req.action == 'cancel':
# assign newly providerd broker backend request id # assign newly providerd broker backend request id
entry.reqid = reqid # and tell broker to cancel immediately
status_msg.reqid = reqid
await brokerd_trades_stream.send(req)
# tell broker to cancel immediately # 2. the order is now active and will be mirrored in
await brokerd_trades_stream.send(entry)
# - the order is now active and will be mirrored in
# our book -> registered as live flow # our book -> registered as live flow
else: else:
# update the flow with the ack msg # TODO: should we relay this ack state?
book._ems_entries[oid] = BrokerdOrderAck(**brokerd_msg) status_msg.resp = 'pending'
# no msg to client necessary # no msg to client necessary
continue continue
@ -666,11 +689,9 @@ async def translate_and_relay_brokerd_events(
'oid': oid, # ems order-dialog id 'oid': oid, # ems order-dialog id
'reqid': reqid, # brokerd generated order-request id 'reqid': reqid, # brokerd generated order-request id
'symbol': sym, 'symbol': sym,
'broker_details': details, } if status_msg := book._active.get(oid):
# 'reason': reason,
}:
msg = BrokerdError(**brokerd_msg) msg = BrokerdError(**brokerd_msg)
resp = 'broker_errored'
log.error(pformat(msg)) # XXX make one when it's blank? log.error(pformat(msg)) # XXX make one when it's blank?
# TODO: figure out how this will interact with EMS clients # TODO: figure out how this will interact with EMS clients
@ -680,43 +701,61 @@ async def translate_and_relay_brokerd_events(
# some unexpected failure - something we need to think more # some unexpected failure - something we need to think more
# about. In most default situations, with composed orders # about. In most default situations, with composed orders
# (ex. brackets), most brokers seem to use a oca policy. # (ex. brackets), most brokers seem to use a oca policy.
ems_client_order_stream = router.dialogues[oid]
status_msg.resp = 'error'
status_msg.brokerd_msg = msg
book._active[oid] = status_msg
await ems_client_order_stream.send(status_msg)
# BrokerdStatus # BrokerdStatus
case { case {
'name': 'status', 'name': 'status',
'status': status, 'status': status,
'reqid': reqid, # brokerd generated order-request id 'reqid': reqid, # brokerd generated order-request id
# TODO: feels like the wrong msg for this field?
'remaining': remaining,
} if ( } if (
oid := book._ems2brokerd_ids.inverse.get(reqid) (oid := book._ems2brokerd_ids.inverse.get(reqid))
and status in (
'canceled',
'open',
'closed',
)
): ):
msg = BrokerdStatus(**brokerd_msg) msg = BrokerdStatus(**brokerd_msg)
# TODO: should we flatten out these cases and/or should # TODO: maybe pack this into a composite type that
# they maybe even eventually be separate messages? # contains both the IPC stream as well the
if status == 'cancelled': # msg-chain/dialog.
log.info(f'Cancellation for {oid} is complete!') ems_client_order_stream = router.dialogues[oid]
status_msg = book._active[oid]
status_msg.resp = status
if status == 'filled': # retrieve existing live flow
# conditional execution is fully complete, no more old_reqid = status_msg.reqid
# fills for the noted order if old_reqid and old_reqid != reqid:
if not remaining: log.warning(
f'Brokerd order id change for {oid}:\n'
f'{old_reqid}:{type(old_reqid)} ->'
f' {reqid}{type(reqid)}'
)
resp = 'broker_executed' status_msg.reqid = reqid # THIS LINE IS CRITICAL!
status_msg.brokerd_msg = msg
status_msg.src = msg.broker_details['name']
await ems_client_order_stream.send(status_msg)
# be sure to pop this stream from our dialogue set if status == 'closed':
# since the order dialogue should be done.
log.info(f'Execution for {oid} is complete!') log.info(f'Execution for {oid} is complete!')
status_msg = book._active.pop(oid)
elif status == 'canceled':
log.cancel(f'Cancellation for {oid} is complete!')
status_msg = book._active.pop(oid)
else: # open
# relayed from backend but probably not handled so
# just log it # just log it
else: log.info(f'{broker} opened order {msg}')
log.info(f'{broker} filled {msg}')
else:
# one of {submitted, cancelled}
resp = 'broker_' + msg.status
# BrokerdFill # BrokerdFill
case { case {
@ -728,82 +767,112 @@ async def translate_and_relay_brokerd_events(
): ):
# proxy through the "fill" result(s) # proxy through the "fill" result(s)
msg = BrokerdFill(**brokerd_msg) msg = BrokerdFill(**brokerd_msg)
resp = 'broker_filled' log.info(f'Fill for {oid} cleared with:\n{pformat(msg)}')
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
# unknown valid message case? ems_client_order_stream = router.dialogues[oid]
# case {
# 'name': name,
# 'symbol': sym,
# 'reqid': reqid, # brokerd generated order-request id
# # 'oid': oid, # ems order-dialog id
# 'broker_details': details,
# } if ( # XXX: bleh, a fill can come after 'closed' from `ib`?
# book._ems2brokerd_ids.inverse.get(reqid) is None # only send a late fill event we haven't already closed
# ): # out the dialog status locally.
# # TODO: pretty sure we can drop this now? status_msg = book._active.get(oid)
if status_msg:
status_msg.resp = 'fill'
status_msg.reqid = reqid
status_msg.brokerd_msg = msg
await ems_client_order_stream.send(status_msg)
# # XXX: paper clearing special cases # ``Status`` containing an embedded order msg which
# # paper engine race case: ``Client.submit_limit()`` hasn't # should be loaded as a "pre-existing open order" from the
# # returned yet and provided an output reqid to register # brokerd backend.
# # locally, so we need to retreive the oid that was already case {
# # packed at submission since we already know it ahead of 'name': 'status',
# # time 'resp': status,
# paper = details.get('paper_info') 'reqid': reqid, # brokerd generated order-request id
# ext = details.get('external') }:
if (
status != 'open'
):
# TODO: check for an oid we might know since it was
# registered from a previous order/status load?
log.error(
f'Unknown/transient status msg:\n'
f'{pformat(brokerd_msg)}\n'
'Unable to relay message to client side!?'
)
# if paper: # TODO: we probably want some kind of "tagging" system
# # paperboi keeps the ems id up front # for external order submissions like this eventually
# oid = paper['oid'] # to be able to more formally handle multi-player
# trading...
else:
# existing open backend order which we broadcast to
# all currently connected clients.
log.info(
f'Relaying existing open order:\n {brokerd_msg}'
)
# elif ext: # use backend request id as our ems id though this
# # may be an order msg specified as "external" to the # may end up with collisions?
# # piker ems flow (i.e. generated by some other status_msg = Status(**brokerd_msg)
# # external broker backend client (like tws for ib) order = Order(**status_msg.req)
# log.error(f"External trade event {name}@{ext}") assert order.price and order.size
status_msg.req = order
# else: assert status_msg.src # source tag?
# # something is out of order, we don't have an oid for oid = str(status_msg.reqid)
# # this broker-side message.
# log.error(
# f'Unknown oid: {oid} for msg {name}:\n'
# f'{pformat(brokerd_msg)}\n'
# 'Unable to relay message to client side!?'
# )
# continue # attempt to avoid collisions
status_msg.reqid = oid
assert status_msg.resp == 'open'
# register this existing broker-side dialog
book._ems2brokerd_ids[oid] = reqid
book._active[oid] = status_msg
# fan-out-relay position msgs immediately by
# broadcasting updates on all client streams
await router.client_broadcast(status_msg)
# don't fall through
continue
# brokerd error
case {
'name': 'status',
'status': 'error',
}:
log.error(f'Broker error:\n{pformat(brokerd_msg)}')
# XXX: we presume the brokerd cancels its own order
# TOO FAST ``BrokerdStatus`` that arrives
# before the ``BrokerdAck``.
case {
# XXX: sometimes there is a race with the backend (like
# `ib` where the pending stauts will be related before
# the ack, in which case we just ignore the faster
# pending msg and wait for our expected ack to arrive
# later (i.e. the first block below should enter).
'name': 'status',
'status': status,
'reqid': reqid,
}:
oid = book._ems2brokerd_ids.inverse.get(reqid)
msg = f'Unhandled broker status for dialog {reqid}:\n'
if oid:
status_msg = book._active[oid]
msg += (
f'last status msg: {pformat(status_msg)}\n\n'
f'this msg:{pformat(brokerd_msg)}\n'
)
log.warning(msg)
case _: case _:
raise ValueError(f'Brokerd message {brokerd_msg} is invalid') raise ValueError(f'Brokerd message {brokerd_msg} is invalid')
# retrieve existing live flow # XXX: ugh sometimes we don't access it?
entry = book._ems_entries[oid] if status_msg:
assert entry.oid == oid del status_msg
old_reqid = entry.reqid
if old_reqid and old_reqid != reqid:
log.warning(
f'Brokerd order id change for {oid}:\n'
f'{old_reqid} -> {reqid}'
)
# Create and relay response status message
# to requesting EMS client
try:
ems_client_order_stream = router.dialogues[oid]
await ems_client_order_stream.send(
Status(
oid=oid,
resp=resp,
time_ns=time.time_ns(),
broker_reqid=reqid,
brokerd_msg=msg,
)
)
except KeyError:
log.error(
f'Received `brokerd` msg for unknown client with oid: {oid}')
# TODO: do we want this to keep things cleaned up? # TODO: do we want this to keep things cleaned up?
# it might require a special status from brokerd to affirm the # it might require a special status from brokerd to affirm the
@ -829,27 +898,36 @@ async def process_client_order_cmds(
async for cmd in client_order_stream: async for cmd in client_order_stream:
log.info(f'Received order cmd:\n{pformat(cmd)}') log.info(f'Received order cmd:\n{pformat(cmd)}')
oid = cmd['oid'] # CAWT DAMN we need struct support!
oid = str(cmd['oid'])
# register this stream as an active dialogue for this order id # register this stream as an active dialogue for this order id
# such that translated message from the brokerd backend can be # such that translated message from the brokerd backend can be
# routed (relayed) to **just** that client stream (and in theory # routed (relayed) to **just** that client stream (and in theory
# others who are registered for such order affiliated msgs). # others who are registered for such order affiliated msgs).
client_dialogues[oid] = client_order_stream client_dialogues[oid] = client_order_stream
reqid = dark_book._ems2brokerd_ids.inverse.get(oid) reqid = dark_book._ems2brokerd_ids.inverse.get(oid)
live_entry = dark_book._ems_entries.get(oid)
# any dark/live status which is current
status = dark_book._active.get(oid)
match cmd: match cmd:
# existing live-broker order cancel # existing live-broker order cancel
case { case {
'action': 'cancel', 'action': 'cancel',
'oid': oid, 'oid': oid,
} if live_entry: } if (
reqid = live_entry.reqid (status := dark_book._active.get(oid))
msg = BrokerdCancel( and status.resp in ('open', 'pending')
):
reqid = status.reqid
order = status.req
to_brokerd_msg = BrokerdCancel(
oid=oid, oid=oid,
reqid=reqid, reqid=reqid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
account=live_entry.account, # account=live_entry.account,
account=order.account,
) )
# NOTE: cancel response will be relayed back in messages # NOTE: cancel response will be relayed back in messages
@ -859,39 +937,53 @@ async def process_client_order_cmds(
log.info( log.info(
f'Submitting cancel for live order {reqid}' f'Submitting cancel for live order {reqid}'
) )
await brokerd_order_stream.send(msg) await brokerd_order_stream.send(to_brokerd_msg)
else: else:
# this might be a cancel for an order that hasn't been # this might be a cancel for an order that hasn't been
# acked yet by a brokerd, so register a cancel for when # acked yet by a brokerd, so register a cancel for when
# the order ack does show up later such that the brokerd # the order ack does show up later such that the brokerd
# order request can be cancelled at that time. # order request can be cancelled at that time.
dark_book._ems_entries[oid] = msg # dark_book._ems_entries[oid] = msg
# special case for now..
status.req = to_brokerd_msg
# dark trigger cancel # dark trigger cancel
case { case {
'action': 'cancel', 'action': 'cancel',
'oid': oid, 'oid': oid,
} if not live_entry: } if (
try: status and status.resp == 'dark_open'
# or status and status.req
):
# remove from dark book clearing # remove from dark book clearing
dark_book.orders[symbol].pop(oid, None) entry = dark_book.orders[symbol].pop(oid, None)
if entry:
(
pred,
tickfilter,
cmd,
percent_away,
abs_diff_away
) = entry
# tell client side that we've cancelled the # tell client side that we've cancelled the
# dark-trigger order # dark-trigger order
await client_order_stream.send( status.resp = 'canceled'
Status( status.req = cmd
resp='dark_cancelled',
oid=oid, await client_order_stream.send(status)
time_ns=time.time_ns(),
)
)
# de-register this client dialogue # de-register this client dialogue
router.dialogues.pop(oid) router.dialogues.pop(oid)
dark_book._active.pop(oid)
except KeyError: else:
log.exception(f'No dark order for {symbol}?') log.exception(f'No dark order for {symbol}?')
# TODO: eventually we should be receiving
# this struct on the wire unpacked in a scoped protocol
# setup with ``tractor``.
# live order submission # live order submission
case { case {
'oid': oid, 'oid': oid,
@ -899,11 +991,9 @@ async def process_client_order_cmds(
'price': trigger_price, 'price': trigger_price,
'size': size, 'size': size,
'action': ('buy' | 'sell') as action, 'action': ('buy' | 'sell') as action,
'exec_mode': 'live', 'exec_mode': ('live' | 'paper'),
}: }:
# TODO: eventually we should be receiving # TODO: relay this order msg directly?
# this struct on the wire unpacked in a scoped protocol
# setup with ``tractor``.
req = Order(**cmd) req = Order(**cmd)
broker = req.brokers[0] broker = req.brokers[0]
@ -912,13 +1002,13 @@ async def process_client_order_cmds(
# aren't expectig their own name, but should they? # aren't expectig their own name, but should they?
sym = fqsn.replace(f'.{broker}', '') sym = fqsn.replace(f'.{broker}', '')
if live_entry is not None: if status is not None:
# sanity check on emsd id
assert live_entry.oid == oid
reqid = live_entry.reqid
# if we already had a broker order id then # if we already had a broker order id then
# this is likely an order update commmand. # this is likely an order update commmand.
log.info(f"Modifying live {broker} order: {reqid}") log.info(f"Modifying live {broker} order: {reqid}")
reqid = status.reqid
status.req = req
status.resp = 'pending'
msg = BrokerdOrder( msg = BrokerdOrder(
oid=oid, # no ib support for oids... oid=oid, # no ib support for oids...
@ -935,6 +1025,18 @@ async def process_client_order_cmds(
account=req.account, account=req.account,
) )
if status is None:
status = Status(
oid=oid,
reqid=reqid,
resp='pending',
time_ns=time.time_ns(),
brokerd_msg=msg,
req=req,
)
dark_book._active[oid] = status
# send request to backend # send request to backend
# XXX: the trades data broker response loop # XXX: the trades data broker response loop
# (``translate_and_relay_brokerd_events()`` above) will # (``translate_and_relay_brokerd_events()`` above) will
@ -950,7 +1052,7 @@ async def process_client_order_cmds(
# client, before that ack, when the ack does arrive we # client, before that ack, when the ack does arrive we
# immediately take the reqid from the broker and cancel # immediately take the reqid from the broker and cancel
# that live order asap. # that live order asap.
dark_book._ems_entries[oid] = msg # dark_book._msgflows[oid].maps.insert(0, msg.to_dict())
# dark-order / alert submission # dark-order / alert submission
case { case {
@ -966,9 +1068,11 @@ async def process_client_order_cmds(
# submit order to local EMS book and scan loop, # submit order to local EMS book and scan loop,
# effectively a local clearing engine, which # effectively a local clearing engine, which
# scans for conditions and triggers matching executions # scans for conditions and triggers matching executions
exec_mode in ('dark', 'paper') exec_mode in ('dark',)
or action == 'alert' or action == 'alert'
): ):
req = Order(**cmd)
# Auto-gen scanner predicate: # Auto-gen scanner predicate:
# we automatically figure out what the alert check # we automatically figure out what the alert check
# condition should be based on the current first # condition should be based on the current first
@ -1015,23 +1119,25 @@ async def process_client_order_cmds(
)[oid] = ( )[oid] = (
pred, pred,
tickfilter, tickfilter,
cmd, req,
percent_away, percent_away,
abs_diff_away abs_diff_away
) )
resp = 'dark_submitted' resp = 'dark_open'
# alerts have special msgs to distinguish # alerts have special msgs to distinguish
if action == 'alert': # if action == 'alert':
resp = 'alert_submitted' # resp = 'open'
await client_order_stream.send( status = Status(
Status(
resp=resp, resp=resp,
oid=oid, oid=oid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
req=req,
src='dark',
) )
) dark_book._active[oid] = status
await client_order_stream.send(status)
@tractor.context @tractor.context
@ -1099,10 +1205,9 @@ async def _emsd_main(
): ):
# XXX: this should be initial price quote from target provider # XXX: this should be initial price quote from target provider
first_quote = feed.first_quotes[fqsn] first_quote: dict = feed.first_quotes[fqsn]
book: _DarkBook = _router.get_dark_book(broker)
book = _router.get_dark_book(broker) book.lasts[fqsn]: float = first_quote['last']
book.lasts[fqsn] = first_quote['last']
# open a stream with the brokerd backend for order # open a stream with the brokerd backend for order
# flow dialogue # flow dialogue
@ -1129,12 +1234,25 @@ async def _emsd_main(
await ems_ctx.started(( await ems_ctx.started((
relay.positions, relay.positions,
list(relay.accounts), list(relay.accounts),
book._active,
)) ))
# establish 2-way stream with requesting order-client and # establish 2-way stream with requesting order-client and
# begin handling inbound order requests and updates # begin handling inbound order requests and updates
async with ems_ctx.open_stream() as ems_client_order_stream: async with ems_ctx.open_stream() as ems_client_order_stream:
# register the client side before startingn the
# brokerd-side relay task to ensure the client is
# delivered all exisiting open orders on startup.
_router.clients.add(ems_client_order_stream)
n.start_soon(
translate_and_relay_brokerd_events,
broker,
brokerd_stream,
_router,
)
# trigger scan and exec loop # trigger scan and exec loop
n.start_soon( n.start_soon(
clear_dark_triggers, clear_dark_triggers,
@ -1149,7 +1267,6 @@ async def _emsd_main(
# start inbound (from attached client) order request processing # start inbound (from attached client) order request processing
try: try:
_router.clients.add(ems_client_order_stream)
# main entrypoint, run here until cancelled. # main entrypoint, run here until cancelled.
await process_client_order_cmds( await process_client_order_cmds(

199
piker/clearing/_messages.py
View File

@ -18,24 +18,92 @@
Clearing sub-system message and protocols. Clearing sub-system message and protocols.
""" """
from typing import Optional, Union # from collections import (
# ChainMap,
# deque,
# )
from typing import (
Optional,
Literal,
)
from ..data._source import Symbol from ..data._source import Symbol
from ..data.types import Struct from ..data.types import Struct
# TODO: a composite for tracking msg flow on 2-legged
# dialogs.
# class Dialog(ChainMap):
# '''
# Msg collection abstraction to easily track the state changes of
# a msg flow in one high level, query-able and immutable construct.
# The main use case is to query data from a (long-running)
# msg-transaction-sequence
# '''
# def update(
# self,
# msg,
# ) -> None:
# self.maps.insert(0, msg.to_dict())
# def flatten(self) -> dict:
# return dict(self)
# TODO: ``msgspec`` stuff worth paying attention to: # TODO: ``msgspec`` stuff worth paying attention to:
# - schema evolution: https://jcristharif.com/msgspec/usage.html#schema-evolution # - schema evolution:
# https://jcristharif.com/msgspec/usage.html#schema-evolution
# - for eg. ``BrokerdStatus``, instead just have separate messages?
# - use literals for a common msg determined by diff keys? # - use literals for a common msg determined by diff keys?
# - https://jcristharif.com/msgspec/usage.html#literal # - https://jcristharif.com/msgspec/usage.html#literal
# - for eg. ``BrokerdStatus``, instead just have separate messages?
# -------------- # --------------
# Client -> emsd # Client -> emsd
# -------------- # --------------
class Order(Struct):
# TODO: ideally we can combine these 2 fields into
# 1 and just use the size polarity to determine a buy/sell.
# i would like to see this become more like
# https://jcristharif.com/msgspec/usage.html#literal
# action: Literal[
# 'live',
# 'dark',
# 'alert',
# ]
action: Literal[
'buy',
'sell',
'alert',
]
# determines whether the create execution
# will be submitted to the ems or directly to
# the backend broker
exec_mode: Literal[
'dark',
'live',
# 'paper', no right?
]
# internal ``emdsd`` unique "order id"
oid: str # uuid4
symbol: str | Symbol
account: str # should we set a default as '' ?
price: float
size: float # -ve is "sell", +ve is "buy"
brokers: Optional[list[str]] = []
class Cancel(Struct): class Cancel(Struct):
'''Cancel msg for removing a dark (ems triggered) or '''
Cancel msg for removing a dark (ems triggered) or
broker-submitted (live) trigger/order. broker-submitted (live) trigger/order.
''' '''
@ -44,32 +112,6 @@ class Cancel(Struct):
symbol: str symbol: str
class Order(Struct):
# TODO: use ``msgspec.Literal``
# https://jcristharif.com/msgspec/usage.html#literal
action: str # {'buy', 'sell', 'alert'}
# internal ``emdsd`` unique "order id"
oid: str # uuid4
symbol: Union[str, Symbol]
account: str # should we set a default as '' ?
price: float
# TODO: could we drop the ``.action`` field above and instead just
# use +/- values here? Would make the msg smaller at the sake of a
# teensie fp precision?
size: float
brokers: list[str]
# Assigned once initial ack is received
# ack_time_ns: Optional[int] = None
# determines whether the create execution
# will be submitted to the ems or directly to
# the backend broker
exec_mode: str # {'dark', 'live', 'paper'}
# -------------- # --------------
# Client <- emsd # Client <- emsd
# -------------- # --------------
@ -79,37 +121,39 @@ class Order(Struct):
class Status(Struct): class Status(Struct):
name: str = 'status' name: str = 'status'
oid: str # uuid4
time_ns: int time_ns: int
oid: str # uuid4 ems-order dialog id
# { resp: Literal[
# 'dark_submitted', 'pending', # acked by broker but not yet open
# 'dark_cancelled', 'open',
# 'dark_triggered', 'dark_open', # dark/algo triggered order is open in ems clearing loop
'triggered', # above triggered order sent to brokerd, or an alert closed
# 'broker_submitted', 'closed', # fully cleared all size/units
# 'broker_cancelled', 'fill', # partial execution
# 'broker_executed', 'canceled',
# 'broker_filled', 'error',
# 'broker_errored', ]
# 'alert_submitted',
# 'alert_triggered',
# }
resp: str # "response", see above
# trigger info
trigger_price: Optional[float] = None
# price: float
# broker: Optional[str] = None
# this maps normally to the ``BrokerdOrder.reqid`` below, an id # this maps normally to the ``BrokerdOrder.reqid`` below, an id
# normally allocated internally by the backend broker routing system # normally allocated internally by the backend broker routing system
broker_reqid: Optional[Union[int, str]] = None reqid: Optional[int | str] = None
# for relaying backend msg data "through" the ems layer # the (last) source order/request msg if provided
# (eg. the Order/Cancel which causes this msg) and
# acts as a back-reference to the corresponding
# request message which was the source of this msg.
req: Optional[Order | Cancel] = None
# XXX: better design/name here?
# flag that can be set to indicate a message for an order
# event that wasn't originated by piker's emsd (eg. some external
# trading system which does it's own order control but that you
# might want to "track" using piker UIs/systems).
src: Optional[str] = None
# for relaying a boxed brokerd-dialog-side msg data "through" the
# ems layer to clients.
brokerd_msg: dict = {} brokerd_msg: dict = {}
@ -131,25 +175,28 @@ class BrokerdCancel(Struct):
# for setting a unique order id then this value will be relayed back # for setting a unique order id then this value will be relayed back
# on the emsd order request stream as the ``BrokerdOrderAck.reqid`` # on the emsd order request stream as the ``BrokerdOrderAck.reqid``
# field # field
reqid: Optional[Union[int, str]] = None reqid: Optional[int | str] = None
class BrokerdOrder(Struct): class BrokerdOrder(Struct):
action: str # {buy, sell}
oid: str oid: str
account: str account: str
time_ns: int time_ns: int
# TODO: if we instead rely on a +ve/-ve size to determine
# the action we more or less don't need this field right?
action: str = '' # {buy, sell}
# "broker request id": broker specific/internal order id if this is # "broker request id": broker specific/internal order id if this is
# None, creates a new order otherwise if the id is valid the backend # None, creates a new order otherwise if the id is valid the backend
# api must modify the existing matching order. If the broker allows # api must modify the existing matching order. If the broker allows
# for setting a unique order id then this value will be relayed back # for setting a unique order id then this value will be relayed back
# on the emsd order request stream as the ``BrokerdOrderAck.reqid`` # on the emsd order request stream as the ``BrokerdOrderAck.reqid``
# field # field
reqid: Optional[Union[int, str]] = None reqid: Optional[int | str] = None
symbol: str # symbol.<providername> ? symbol: str # fqsn
price: float price: float
size: float size: float
@ -170,7 +217,7 @@ class BrokerdOrderAck(Struct):
name: str = 'ack' name: str = 'ack'
# defined and provided by backend # defined and provided by backend
reqid: Union[int, str] reqid: int | str
# emsd id originally sent in matching request msg # emsd id originally sent in matching request msg
oid: str oid: str
@ -180,30 +227,22 @@ class BrokerdOrderAck(Struct):
class BrokerdStatus(Struct): class BrokerdStatus(Struct):
name: str = 'status' name: str = 'status'
reqid: Union[int, str] reqid: int | str
time_ns: int time_ns: int
status: Literal[
'open',
'canceled',
'fill',
'pending',
'error',
]
# XXX: should be best effort set for every update account: str
account: str = ''
# TODO: instead (ack, pending, open, fill, clos(ed), cancelled)
# {
# 'submitted',
# 'cancelled',
# 'filled',
# }
status: str
filled: float = 0.0 filled: float = 0.0
reason: str = '' reason: str = ''
remaining: float = 0.0 remaining: float = 0.0
# XXX: better design/name here? # external: bool = False
# flag that can be set to indicate a message for an order
# event that wasn't originated by piker's emsd (eg. some external
# trading system which does it's own order control but that you
# might want to "track" using piker UIs/systems).
external: bool = False
# XXX: not required schema as of yet # XXX: not required schema as of yet
broker_details: dict = { broker_details: dict = {
@ -218,7 +257,7 @@ class BrokerdFill(Struct):
''' '''
name: str = 'fill' name: str = 'fill'
reqid: Union[int, str] reqid: int | str
time_ns: int time_ns: int
# order exeuction related # order exeuction related
@ -248,7 +287,7 @@ class BrokerdError(Struct):
# if no brokerd order request was actually submitted (eg. we errored # if no brokerd order request was actually submitted (eg. we errored
# at the ``pikerd`` layer) then there will be ``reqid`` allocated. # at the ``pikerd`` layer) then there will be ``reqid`` allocated.
reqid: Optional[Union[int, str]] = None reqid: Optional[int | str] = None
symbol: str symbol: str
reason: str reason: str

143
piker/clearing/_paper_engine.py
View File

@ -33,10 +33,10 @@ from bidict import bidict
import pendulum import pendulum
import trio import trio
import tractor import tractor
from dataclasses import dataclass
from .. import data from .. import data
from ..data._source import Symbol from ..data._source import Symbol
from ..data.types import Struct
from ..pp import ( from ..pp import (
Position, Position,
Transaction, Transaction,
@ -45,16 +45,20 @@ from ..data._normalize import iterticks
from ..data._source import unpack_fqsn from ..data._source import unpack_fqsn
from ..log import get_logger from ..log import get_logger
from ._messages import ( from ._messages import (
BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus, BrokerdCancel,
BrokerdFill, BrokerdPosition, BrokerdError BrokerdOrder,
BrokerdOrderAck,
BrokerdStatus,
BrokerdFill,
BrokerdPosition,
BrokerdError,
) )
log = get_logger(__name__) log = get_logger(__name__)
@dataclass class PaperBoi(Struct):
class PaperBoi:
""" """
Emulates a broker order client providing the same API and Emulates a broker order client providing the same API and
delivering an order-event response stream but with methods for delivering an order-event response stream but with methods for
@ -68,8 +72,8 @@ class PaperBoi:
# map of paper "live" orders which be used # map of paper "live" orders which be used
# to simulate fills based on paper engine settings # to simulate fills based on paper engine settings
_buys: bidict _buys: dict
_sells: bidict _sells: dict
_reqids: bidict _reqids: bidict
_positions: dict[str, Position] _positions: dict[str, Position]
_trade_ledger: dict[str, Any] _trade_ledger: dict[str, Any]
@ -94,6 +98,10 @@ class PaperBoi:
''' '''
is_modify: bool = False is_modify: bool = False
if action == 'alert':
# bypass all fill simulation
return reqid
entry = self._reqids.get(reqid) entry = self._reqids.get(reqid)
if entry: if entry:
# order is already existing, this is a modify # order is already existing, this is a modify
@ -104,10 +112,6 @@ class PaperBoi:
# register order internally # register order internally
self._reqids[reqid] = (oid, symbol, action, price) self._reqids[reqid] = (oid, symbol, action, price)
if action == 'alert':
# bypass all fill simulation
return reqid
# TODO: net latency model # TODO: net latency model
# we checkpoint here quickly particulalry # we checkpoint here quickly particulalry
# for dark orders since we want the dark_executed # for dark orders since we want the dark_executed
@ -119,7 +123,9 @@ class PaperBoi:
size = -size size = -size
msg = BrokerdStatus( msg = BrokerdStatus(
status='submitted', status='open',
# account=f'paper_{self.broker}',
account='paper',
reqid=reqid, reqid=reqid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
filled=0.0, filled=0.0,
@ -136,7 +142,14 @@ class PaperBoi:
) or ( ) or (
action == 'sell' and (clear_price := self.last_bid[0]) >= price action == 'sell' and (clear_price := self.last_bid[0]) >= price
): ):
await self.fake_fill(symbol, clear_price, size, action, reqid, oid) await self.fake_fill(
symbol,
clear_price,
size,
action,
reqid,
oid,
)
else: else:
# register this submissions as a paper live order # register this submissions as a paper live order
@ -178,7 +191,9 @@ class PaperBoi:
await trio.sleep(0.05) await trio.sleep(0.05)
msg = BrokerdStatus( msg = BrokerdStatus(
status='cancelled', status='canceled',
# account=f'paper_{self.broker}',
account='paper',
reqid=reqid, reqid=reqid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
broker_details={'name': 'paperboi'}, broker_details={'name': 'paperboi'},
@ -230,25 +245,14 @@ class PaperBoi:
self._trade_ledger.update(fill_msg.to_dict()) self._trade_ledger.update(fill_msg.to_dict())
if order_complete: if order_complete:
msg = BrokerdStatus( msg = BrokerdStatus(
reqid=reqid, reqid=reqid,
time_ns=time.time_ns(), time_ns=time.time_ns(),
# account=f'paper_{self.broker}',
status='filled', account='paper',
status='closed',
filled=size, filled=size,
remaining=0 if order_complete else remaining, remaining=0 if order_complete else remaining,
broker_details={
'paper_info': {
'oid': oid,
},
'action': action,
'size': size,
'price': price,
'name': self.broker,
},
) )
await self.ems_trades_stream.send(msg) await self.ems_trades_stream.send(msg)
@ -257,7 +261,10 @@ class PaperBoi:
pp = self._positions.setdefault( pp = self._positions.setdefault(
token, token,
Position( Position(
Symbol(key=symbol), Symbol(
key=symbol,
broker_info={self.broker: {}},
),
size=size, size=size,
ppu=price, ppu=price,
bsuid=symbol, bsuid=symbol,
@ -390,56 +397,41 @@ async def handle_order_requests(
) -> None: ) -> None:
# order_request: dict request_msg: dict
async for request_msg in ems_order_stream: async for request_msg in ems_order_stream:
match request_msg:
action = request_msg['action'] case {'action': ('buy' | 'sell')}:
order = BrokerdOrder(**request_msg)
if action in {'buy', 'sell'}: account = order.account
account = request_msg['account']
if account != 'paper': if account != 'paper':
log.error( log.error(
'This is a paper account,' 'This is a paper account,'
' only a `paper` selection is valid' ' only a `paper` selection is valid'
) )
await ems_order_stream.send(BrokerdError( await ems_order_stream.send(BrokerdError(
oid=request_msg['oid'], oid=order.oid,
symbol=request_msg['symbol'], symbol=order.symbol,
reason=f'Paper only. No account found: `{account}` ?', reason=f'Paper only. No account found: `{account}` ?',
)) ))
continue continue
# validate reqid = order.reqid or str(uuid.uuid4())
order = BrokerdOrder(**request_msg)
if order.reqid is None:
reqid = str(uuid.uuid4())
else:
reqid = order.reqid
# deliver ack that order has been submitted to broker routing # deliver ack that order has been submitted to broker routing
await ems_order_stream.send( await ems_order_stream.send(
BrokerdOrderAck( BrokerdOrderAck(
# ems order request id
oid=order.oid, oid=order.oid,
# broker specific request id
reqid=reqid, reqid=reqid,
) )
) )
# call our client api to submit the order # call our client api to submit the order
reqid = await client.submit_limit( reqid = await client.submit_limit(
oid=order.oid, oid=order.oid,
symbol=order.symbol, symbol=order.symbol,
price=order.price, price=order.price,
action=order.action, action=order.action,
size=order.size, size=order.size,
# XXX: by default 0 tells ``ib_insync`` methods that # XXX: by default 0 tells ``ib_insync`` methods that
# there is no existing order so ask the client to create # there is no existing order so ask the client to create
# a new one (which it seems to do by allocating an int # a new one (which it seems to do by allocating an int
@ -447,17 +439,35 @@ async def handle_order_requests(
reqid=reqid, reqid=reqid,
) )
elif action == 'cancel': # elif action == 'cancel':
case {'action': 'cancel'}:
msg = BrokerdCancel(**request_msg) msg = BrokerdCancel(**request_msg)
await client.submit_cancel( await client.submit_cancel(
reqid=msg.reqid reqid=msg.reqid
) )
else: case _:
log.error(f'Unknown order command: {request_msg}') log.error(f'Unknown order command: {request_msg}')
_reqids: bidict[str, tuple] = {}
_buys: dict[
str,
dict[
tuple[str, float],
tuple[float, str, str],
]
] = {}
_sells: dict[
str,
dict[
tuple[str, float],
tuple[float, str, str],
]
] = {}
_positions: dict[str, Position] = {}
@tractor.context @tractor.context
async def trades_dialogue( async def trades_dialogue(
@ -467,6 +477,7 @@ async def trades_dialogue(
loglevel: str = None, loglevel: str = None,
) -> None: ) -> None:
tractor.log.get_console_log(loglevel) tractor.log.get_console_log(loglevel)
async with ( async with (
@ -476,10 +487,22 @@ async def trades_dialogue(
) as feed, ) as feed,
): ):
pp_msgs: list[BrokerdPosition] = []
pos: Position
token: str # f'{symbol}.{self.broker}'
for token, pos in _positions.items():
pp_msgs.append(BrokerdPosition(
broker=broker,
account='paper',
symbol=pos.symbol.front_fqsn(),
size=pos.size,
avg_price=pos.ppu,
))
# TODO: load paper positions per broker from .toml config file # TODO: load paper positions per broker from .toml config file
# and pass as symbol to position data mapping: ``dict[str, dict]`` # and pass as symbol to position data mapping: ``dict[str, dict]``
# await ctx.started(all_positions) # await ctx.started(all_positions)
await ctx.started(({}, ['paper'])) await ctx.started((pp_msgs, ['paper']))
async with ( async with (
ctx.open_stream() as ems_stream, ctx.open_stream() as ems_stream,
@ -488,13 +511,13 @@ async def trades_dialogue(
client = PaperBoi( client = PaperBoi(
broker, broker,
ems_stream, ems_stream,
_buys={}, _buys=_buys,
_sells={}, _sells=_sells,
_reqids={}, _reqids=_reqids,
# TODO: load paper positions from ``positions.toml`` # TODO: load paper positions from ``positions.toml``
_positions={}, _positions=_positions,
# TODO: load postions from ledger file # TODO: load postions from ledger file
_trade_ledger={}, _trade_ledger={},

9
piker/data/types.py
View File

@ -18,6 +18,7 @@
Built-in (extension) types. Built-in (extension) types.
""" """
import sys
from typing import Optional from typing import Optional
from pprint import pformat from pprint import pformat
@ -42,8 +43,16 @@ class Struct(
} }
def __repr__(self): def __repr__(self):
# only turn on pprint when we detect a python REPL
# at runtime B)
if (
hasattr(sys, 'ps1')
# TODO: check if we're in pdb
):
return f'Struct({pformat(self.to_dict())})' return f'Struct({pformat(self.to_dict())})'
return super().__repr__()
def copy( def copy(
self, self,
update: Optional[dict] = None, update: Optional[dict] = None,

6
piker/ui/_editors.py
View File

@ -140,9 +140,9 @@ class LineEditor:
) -> LevelLine: ) -> LevelLine:
staged_line = self._active_staged_line # staged_line = self._active_staged_line
if not staged_line: # if not staged_line:
raise RuntimeError("No line is currently staged!?") # raise RuntimeError("No line is currently staged!?")
# for now, until submission reponse arrives # for now, until submission reponse arrives
line.hide_labels() line.hide_labels()

13
piker/ui/_interaction.py
View File

@ -221,6 +221,7 @@ async def handle_viewmode_kb_inputs(
# TODO: show pp config mini-params in status bar widget # TODO: show pp config mini-params in status bar widget
# mode.pp_config.show() # mode.pp_config.show()
trigger_type: str = 'dark'
if ( if (
# 's' for "submit" to activate "live" order # 's' for "submit" to activate "live" order
Qt.Key_S in pressed or Qt.Key_S in pressed or
@ -228,9 +229,6 @@ async def handle_viewmode_kb_inputs(
): ):
trigger_type: str = 'live' trigger_type: str = 'live'
else:
trigger_type: str = 'dark'
# order mode trigger "actions" # order mode trigger "actions"
if Qt.Key_D in pressed: # for "damp eet" if Qt.Key_D in pressed: # for "damp eet"
action = 'sell' action = 'sell'
@ -397,8 +395,11 @@ class ChartView(ViewBox):
''' '''
if self._ic is None: if self._ic is None:
try:
self.chart.pause_all_feeds() self.chart.pause_all_feeds()
self._ic = trio.Event() self._ic = trio.Event()
except RuntimeError:
pass
def signal_ic( def signal_ic(
self, self,
@ -411,9 +412,12 @@ class ChartView(ViewBox):
''' '''
if self._ic: if self._ic:
try:
self._ic.set() self._ic.set()
self._ic = None self._ic = None
self.chart.resume_all_feeds() self.chart.resume_all_feeds()
except RuntimeError:
pass
@asynccontextmanager @asynccontextmanager
async def open_async_input_handler( async def open_async_input_handler(
@ -669,7 +673,10 @@ class ChartView(ViewBox):
# XXX: WHY # XXX: WHY
ev.accept() ev.accept()
try:
self.start_ic() self.start_ic()
except RuntimeError:
pass
# if self._ic is None: # if self._ic is None:
# self.chart.pause_all_feeds() # self.chart.pause_all_feeds()
# self._ic = trio.Event() # self._ic = trio.Event()

4
piker/ui/_lines.py
View File

@ -421,6 +421,10 @@ class LevelLine(pg.InfiniteLine):
return path return path
@property
def marker(self) -> LevelMarker:
return self._marker
def hoverEvent(self, ev): def hoverEvent(self, ev):
''' '''
Mouse hover callback. Mouse hover callback.

349
piker/ui/order_mode.py
View File

@ -49,16 +49,21 @@ from ._position import (
SettingsPane, SettingsPane,
) )
from ._forms import FieldsForm from ._forms import FieldsForm
# from ._label import FormatLabel
from ._window import MultiStatus from ._window import MultiStatus
from ..clearing._messages import Order, BrokerdPosition from ..clearing._messages import (
Order,
Status,
# BrokerdOrder,
# BrokerdStatus,
BrokerdPosition,
)
from ._forms import open_form_input_handling from ._forms import open_form_input_handling
log = get_logger(__name__) log = get_logger(__name__)
class OrderDialog(Struct): class Dialog(Struct):
''' '''
Trade dialogue meta-data describing the lifetime Trade dialogue meta-data describing the lifetime
of an order submission to ``emsd`` from a chart. of an order submission to ``emsd`` from a chart.
@ -74,38 +79,6 @@ class OrderDialog(Struct):
fills: Dict[str, Any] = {} fills: Dict[str, Any] = {}
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 @dataclass
class OrderMode: class OrderMode:
''' '''
@ -141,7 +114,7 @@ class OrderMode:
current_pp: Optional[PositionTracker] = None current_pp: Optional[PositionTracker] = None
active: bool = False active: bool = False
name: str = 'order' name: str = 'order'
dialogs: dict[str, OrderDialog] = field(default_factory=dict) dialogs: dict[str, Dialog] = field(default_factory=dict)
_colors = { _colors = {
'alert': 'alert_yellow', 'alert': 'alert_yellow',
@ -150,12 +123,45 @@ class OrderMode:
} }
_staged_order: Optional[Order] = None _staged_order: Optional[Order] = None
def on_level_change_update_next_order_info(
self,
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()`` or is inside ``Order`` msg
# field for loaded orders.
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']
# when an order is changed we flip the settings side-pane to
# reflect the corresponding account and pos info.
self.pane.on_ui_settings_change('account', order.account)
def line_from_order( def line_from_order(
self, self,
order: Order, order: Order,
symbol: Symbol,
**line_kwargs, **line_kwargs,
) -> LevelLine: ) -> LevelLine:
@ -173,8 +179,8 @@ class OrderMode:
color=self._colors[order.action], color=self._colors[order.action],
dotted=True if ( dotted=True if (
order.exec_mode == 'dark' and order.exec_mode == 'dark'
order.action != 'alert' and order.action != 'alert'
) else False, ) else False,
**line_kwargs, **line_kwargs,
@ -184,10 +190,12 @@ class OrderMode:
# immediately # immediately
if order.action != 'alert': if order.action != 'alert':
line._on_level_change = partial( line._on_level_change = partial(
on_level_change_update_next_order_info, self.on_level_change_update_next_order_info,
line=line, line=line,
order=order, order=order,
tracker=self.current_pp, # use the corresponding position tracker for the
# order's account.
tracker=self.trackers[order.account],
) )
else: else:
@ -236,8 +244,6 @@ class OrderMode:
line = self.line_from_order( line = self.line_from_order(
order, order,
symbol,
show_markers=True, show_markers=True,
# just for the stage line to avoid # just for the stage line to avoid
# flickering while moving the cursor # flickering while moving the cursor
@ -249,7 +255,6 @@ class OrderMode:
# prevent flickering of marker while moving/tracking cursor # prevent flickering of marker while moving/tracking cursor
only_show_markers_on_hover=False, only_show_markers_on_hover=False,
) )
line = self.lines.stage_line(line) line = self.lines.stage_line(line)
# hide crosshair y-line and label # hide crosshair y-line and label
@ -262,25 +267,26 @@ class OrderMode:
def submit_order( def submit_order(
self, self,
send_msg: bool = True,
order: Optional[Order] = None,
) -> OrderDialog: ) -> Dialog:
''' '''
Send execution order to EMS return a level line to Send execution order to EMS return a level line to
represent the order on a chart. represent the order on a chart.
''' '''
if not order:
staged = self._staged_order staged = self._staged_order
symbol: Symbol = staged.symbol # apply order fields for ems
oid = str(uuid.uuid4()) oid = str(uuid.uuid4())
# format order data for ems
order = staged.copy() order = staged.copy()
order.oid = oid order.oid = oid
order.symbol = symbol.front_fqsn()
order.symbol = order.symbol.front_fqsn()
line = self.line_from_order( line = self.line_from_order(
order, order,
symbol,
show_markers=True, show_markers=True,
only_show_markers_on_hover=True, only_show_markers_on_hover=True,
@ -298,17 +304,17 @@ class OrderMode:
# color once the submission ack arrives. # color once the submission ack arrives.
self.lines.submit_line( self.lines.submit_line(
line=line, line=line,
uuid=oid, uuid=order.oid,
) )
dialog = OrderDialog( dialog = Dialog(
uuid=oid, uuid=order.oid,
order=order, order=order,
symbol=symbol, symbol=order.symbol,
line=line, line=line,
last_status_close=self.multistatus.open_status( last_status_close=self.multistatus.open_status(
f'submitting {self._trigger_type}-{order.action}', f'submitting {order.exec_mode}-{order.action}',
final_msg=f'submitted {self._trigger_type}-{order.action}', final_msg=f'submitted {order.exec_mode}-{order.action}',
clear_on_next=True, clear_on_next=True,
) )
) )
@ -318,14 +324,21 @@ class OrderMode:
# enter submission which will be popped once a response # enter submission which will be popped once a response
# from the EMS is received to move the order to a different# status # from the EMS is received to move the order to a different# status
self.dialogs[oid] = dialog self.dialogs[order.oid] = dialog
# hook up mouse drag handlers # hook up mouse drag handlers
line._on_drag_start = self.order_line_modify_start line._on_drag_start = self.order_line_modify_start
line._on_drag_end = self.order_line_modify_complete line._on_drag_end = self.order_line_modify_complete
# send order cmd to ems # send order cmd to ems
if send_msg:
self.book.send(order) self.book.send(order)
else:
# just register for control over this order
# TODO: some kind of mini-perms system here based on
# an out-of-band tagging/auth sub-sys for multiplayer
# order control?
self.book._sent_orders[order.oid] = order
return dialog return dialog
@ -363,7 +376,7 @@ class OrderMode:
self, self,
uuid: str uuid: str
) -> OrderDialog: ) -> Dialog:
''' '''
Order submitted status event handler. Order submitted status event handler.
@ -418,7 +431,7 @@ class OrderMode:
self, self,
uuid: str, uuid: str,
msg: Dict[str, Any], msg: Status,
) -> None: ) -> None:
@ -442,7 +455,7 @@ class OrderMode:
# TODO: add in standard fill/exec info that maybe we # TODO: add in standard fill/exec info that maybe we
# pack in a broker independent way? # pack in a broker independent way?
f'{msg["resp"]}: {msg["trigger_price"]}', f'{msg.resp}: {msg.req.price}',
], ],
) )
log.runtime(result) log.runtime(result)
@ -502,7 +515,7 @@ class OrderMode:
oid = dialog.uuid oid = dialog.uuid
cancel_status_close = self.multistatus.open_status( cancel_status_close = self.multistatus.open_status(
f'cancelling order {oid[:6]}', f'cancelling order {oid}',
group_key=key, group_key=key,
) )
dialog.last_status_close = cancel_status_close dialog.last_status_close = cancel_status_close
@ -512,6 +525,44 @@ class OrderMode:
return ids return ids
def load_unknown_dialog_from_msg(
self,
msg: Status,
) -> Dialog:
# NOTE: the `.order` attr **must** be set with the
# equivalent order msg in order to be loaded.
order = msg.req
oid = str(msg.oid)
symbol = order.symbol
# TODO: MEGA UGGG ZONEEEE!
src = msg.src
if (
src
and src not in ('dark', 'paperboi')
and src not in symbol
):
fqsn = symbol + '.' + src
brokername = src
else:
fqsn = symbol
*head, brokername = fqsn.rsplit('.')
# fill out complex fields
order.oid = str(order.oid)
order.brokers = [brokername]
order.symbol = Symbol.from_fqsn(
fqsn=fqsn,
info={},
)
dialog = self.submit_order(
send_msg=False,
order=order,
)
assert self.dialogs[oid] == dialog
return dialog
@asynccontextmanager @asynccontextmanager
async def open_order_mode( async def open_order_mode(
@ -549,6 +600,7 @@ async def open_order_mode(
trades_stream, trades_stream,
position_msgs, position_msgs,
brokerd_accounts, brokerd_accounts,
ems_dialog_msgs,
), ),
trio.open_nursery() as tn, trio.open_nursery() as tn,
@ -596,10 +648,10 @@ async def open_order_mode(
sym = msg['symbol'] sym = msg['symbol']
if ( if (
sym == symkey or (sym == symkey) or (
# mega-UGH, i think we need to fix the FQSN stuff sooner # mega-UGH, i think we need to fix the FQSN
# then later.. # stuff sooner then later..
sym == symkey.removesuffix(f'.{broker}') sym == symkey.removesuffix(f'.{broker}'))
): ):
pps_by_account[acctid] = msg pps_by_account[acctid] = msg
@ -703,7 +755,7 @@ async def open_order_mode(
order_pane.order_mode = mode order_pane.order_mode = mode
# select a pp to track # select a pp to track
tracker = trackers[pp_account] tracker: PositionTracker = trackers[pp_account]
mode.current_pp = tracker mode.current_pp = tracker
tracker.show() tracker.show()
tracker.hide_info() tracker.hide_info()
@ -755,38 +807,61 @@ async def open_order_mode(
# to handle input since the ems connection is ready # to handle input since the ems connection is ready
started.set() started.set()
for oid, msg in ems_dialog_msgs.items():
# HACK ALERT: ensure a resp field is filled out since
# techincally the call below expects a ``Status``. TODO:
# parse into proper ``Status`` equivalents ems-side?
# msg.setdefault('resp', msg['broker_details']['resp'])
# msg.setdefault('oid', msg['broker_details']['oid'])
msg['brokerd_msg'] = msg
await process_trade_msg(
mode,
book,
msg,
)
tn.start_soon( tn.start_soon(
process_trades_and_update_ui, process_trades_and_update_ui,
tn,
feed,
mode,
trades_stream, trades_stream,
mode,
book, book,
) )
yield mode yield mode
async def process_trades_and_update_ui( async def process_trades_and_update_ui(
n: trio.Nursery,
feed: Feed,
mode: OrderMode,
trades_stream: tractor.MsgStream, trades_stream: tractor.MsgStream,
mode: OrderMode,
book: OrderBook, book: OrderBook,
) -> None: ) -> None:
get_index = mode.chart.get_index
global _pnl_tasks
# this is where we receive **back** messages # this is where we receive **back** messages
# about executions **from** the EMS actor # about executions **from** the EMS actor
async for msg in trades_stream: async for msg in trades_stream:
await process_trade_msg(
mode,
book,
msg,
)
async def process_trade_msg(
mode: OrderMode,
book: OrderBook,
msg: dict,
) -> tuple[Dialog, Status]:
get_index = mode.chart.get_index
fmsg = pformat(msg) fmsg = pformat(msg)
log.info(f'Received order msg:\n{fmsg}') log.debug(f'Received order msg:\n{fmsg}')
name = msg['name'] name = msg['name']
if name in ( if name in (
'position', 'position',
): ):
@ -811,95 +886,107 @@ async def process_trades_and_update_ui(
# short circuit to next msg to avoid # short circuit to next msg to avoid
# unnecessary msg content lookups # unnecessary msg content lookups
continue return
resp = msg['resp'] msg = Status(**msg)
oid = msg['oid'] resp = msg.resp
oid = msg.oid
dialog: Dialog = mode.dialogs.get(oid)
dialog = mode.dialogs.get(oid) match msg:
if dialog is None: case Status(resp='dark_open' | 'open'):
log.warning(f'received msg for untracked dialog:\n{fmsg}')
# TODO: enable pure tracking / mirroring of dialogs
# is desired.
continue
# record message to dialog tracking
dialog.msgs[oid] = msg
# response to 'action' request (buy/sell)
if resp in (
'dark_submitted',
'broker_submitted'
):
if dialog is not None:
# show line label once order is live # show line label once order is live
mode.on_submit(oid) mode.on_submit(oid)
# resp to 'cancel' request or error condition else:
# for action request log.warning(
elif resp in ( f'received msg for untracked dialog:\n{fmsg}'
'broker_inactive', )
'broker_errored', assert msg.resp in ('open', 'dark_open'), f'Unknown msg: {msg}'
sym = mode.chart.linked.symbol
fqsn = sym.front_fqsn()
order = Order(**msg.req)
if (
((order.symbol + f'.{msg.src}') == fqsn)
# a existing dark order for the same symbol
or (
order.symbol == fqsn
and (
msg.src in ('dark', 'paperboi')
or (msg.src in fqsn)
)
)
): ):
msg.req = order
dialog = mode.load_unknown_dialog_from_msg(msg)
mode.on_submit(oid)
# return dialog, msg
case Status(resp='error'):
# delete level line from view # delete level line from view
mode.on_cancel(oid) mode.on_cancel(oid)
broker_msg = msg['brokerd_msg'] broker_msg = msg.brokerd_msg
log.error( log.error(
f'Order {oid}->{resp} with:\n{pformat(broker_msg)}' f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
) )
elif resp in ( case Status(resp='canceled'):
'broker_cancelled',
'dark_cancelled'
):
# delete level line from view # delete level line from view
mode.on_cancel(oid) mode.on_cancel(oid)
broker_msg = msg['brokerd_msg'] req = Order(**msg.req)
log.cancel( log.cancel(f'Canceled {req.action}:{oid}')
f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
)
elif resp in ( case Status(
'dark_triggered' resp='triggered',
# req=Order(exec_mode='dark') # TODO:
req={'exec_mode': 'dark'},
): ):
# TODO: UX for a "pending" clear/live order
log.info(f'Dark order triggered for {fmsg}') log.info(f'Dark order triggered for {fmsg}')
elif resp in ( case Status(
'alert_triggered' resp='triggered',
# req=Order(exec_mode='live', action='alert') as req, # TODO
req={'exec_mode': 'live', 'action': 'alert'} as req,
): ):
# should only be one "fill" for an alert # should only be one "fill" for an alert
# add a triangle and remove the level line # add a triangle and remove the level line
req = Order(**req)
mode.on_fill( mode.on_fill(
oid, oid,
price=msg['trigger_price'], price=req.price,
arrow_index=get_index(time.time()), arrow_index=get_index(time.time()),
) )
mode.lines.remove_line(uuid=oid) mode.lines.remove_line(uuid=oid)
msg.req = req
await mode.on_exec(oid, msg) await mode.on_exec(oid, msg)
# response to completed 'action' request for buy/sell # response to completed 'dialog' for order request
elif resp in ( case Status(
'broker_executed', resp='closed',
# req=Order() as req, # TODO
req=req,
): ):
# right now this is just triggering a system alert msg.req = Order(**req)
await mode.on_exec(oid, msg) await mode.on_exec(oid, msg)
if msg['brokerd_msg']['remaining'] == 0:
mode.lines.remove_line(uuid=oid) mode.lines.remove_line(uuid=oid)
# each clearing tick is responded individually # each clearing tick is responded individually
elif resp in ( case Status(resp='fill'):
'broker_filled',
):
# handle out-of-piker fills reporting?
known_order = book._sent_orders.get(oid) known_order = book._sent_orders.get(oid)
if not known_order: if not known_order:
log.warning(f'order {oid} is unknown') log.warning(f'order {oid} is unknown')
continue return
action = known_order.action action = known_order.action
details = msg['brokerd_msg'] details = msg.brokerd_msg
# TODO: some kinda progress system # TODO: some kinda progress system
mode.on_fill( mode.on_fill(
@ -914,3 +1001,9 @@ async def process_trades_and_update_ui(
# TODO: how should we look this up? # TODO: how should we look this up?
# tracker = mode.trackers[msg['account']] # tracker = mode.trackers[msg['account']]
# tracker.live_pp.fills.append(msg) # tracker.live_pp.fills.append(msg)
# record message to dialog tracking
if dialog:
dialog.msgs[oid] = msg
return dialog, msg