Further refinement and shimming of `MktPair`
Prepping to entirely replace `Symbol`; this adds a buncha docs/comments, better implementation for representing and parsing the FQME: "fully qualified market endpoint". Deatz: - make `.src` an optional field until we figure out how we're going to support loading source assets from all backends sensibly.. - implement `MktPair.fqme: str` (what was previously called `fqsn`) using a new util func: `maybe_cons_tokens()`. - `Symbol.brokers` and expect only `.broker` usage. - remap anything with `fqsn` in the name to `fqme` with aliases from the old name. - implement `unpack_fqme()` with `match:` syntax B) - add `MktPair.tick_size_digits`, `.lot_size_digits`, `.fqsn`, `.key` for backward compat. - make all fqme generation related fields empty `str`s by default. - add `MktPair.resolved: bool` a flag indicating whether or not `.dst` is an `Asset` instance or just a string and, `.bs_mktid` the field to hold the "backend system market id" per broker.rekt_pps
parent
85ddfc0f2d
commit
cf9442f4d5
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@ -43,8 +43,8 @@ from ..data.types import Struct
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_underlyings: list[str] = [
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'stock',
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'bond',
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'crypto_currency',
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'fiat_currency',
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'crypto',
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'fiat',
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'commodity',
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]
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@ -102,7 +102,8 @@ def digits_to_dec(
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class Asset(Struct, frozen=True):
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'''
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Container type describing any transactable asset's technology.
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Container type describing any transactable asset and its
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contract-like and/or underlying technology meta-info.
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'''
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name: str
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@ -116,6 +117,9 @@ class Asset(Struct, frozen=True):
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# should not be explicitly required in our generic API.
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info: dict = {} # make it frozen?
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# TODO?
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# _to_dict_skip = {'info'}
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def __str__(self) -> str:
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return self.name
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@ -137,6 +141,18 @@ class Asset(Struct, frozen=True):
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)
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def maybe_cons_tokens(
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tokens: list[Any],
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delim_char: str = '.',
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) -> str:
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'''
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Construct `str` output from a maybe-concatenation of input
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sequence of elements in ``tokens``.
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'''
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return '.'.join(filter(bool, tokens)).lower()
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class MktPair(Struct, frozen=True):
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'''
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Market description for a pair of assets which are tradeable:
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@ -144,52 +160,50 @@ class MktPair(Struct, frozen=True):
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buy: source asset -> destination asset
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sell: destination asset -> source asset
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The main intention of this type is for a cross-asset, venue, broker
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normalized descriptive data type from which all market-auctions can
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be mapped, simply.
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The main intention of this type is for a **simple** cross-asset
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venue/broker normalized descrption type from which all
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market-auctions can be mapped from FQME identifiers.
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TODO: our eventual target fqme format/schema is:
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<dst>/<src>.<expiry>.<con_info_1>.<con_info_2>. -> .<venue>.<broker>
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^ -- optional tokens ------------------------------- ^
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'''
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# "source asset" (name) used to buy *from*
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# (or used to sell *to*)
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src: str | Asset
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dst: str | Asset
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# "destination asset" (name) used to buy *to*
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# (or used to sell *from*)
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dst: str | Asset
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@property
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def key(self) -> str:
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'''
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The "endpoint key" for this market.
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In most other tina platforms this is referred to as the
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"symbol".
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'''
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return f'{self.src}{self.dst}'
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price_tick: Decimal # minimum price increment
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size_tick: Decimal # minimum size (aka vlm) increment
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# the tick size is the number describing the smallest step in value
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# available in this market between the source and destination
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# assets.
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# https://en.wikipedia.org/wiki/Tick_size
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# https://en.wikipedia.org/wiki/Commodity_tick
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# https://en.wikipedia.org/wiki/Percentage_in_point
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price_tick: Decimal # minimum price increment value increment
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size_tick: Decimal # minimum size (aka vlm) increment value increment
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# @property
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# def size_tick_digits(self) -> int:
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# return float_digits(self.size_tick)
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# unique "broker id" since every market endpoint provider
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# has their own nomenclature and schema for market maps.
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bs_mktid: str
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broker: str # the middle man giving access
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broker: str | None = None # the middle man giving access
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venue: str | None = None # market venue provider name
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expiry: str | None = None # for derivs, expiry datetime parseable str
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# NOTE: to start this field is optional but should eventually be
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# required; the reason is for backward compat since more positioning
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# calculations were not originally stored with a src asset..
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src: str | Asset | None = None
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# "source asset" (name) used to buy *from*
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# (or used to sell *to*).
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venue: str = '' # market venue provider name
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expiry: str = '' # for derivs, expiry datetime parseable str
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# destination asset's financial type/classification name
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# NOTE: this is required for the order size allocator system,
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# since we use different default settings based on the type
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# of the destination asset, eg. futes use a units limits vs.
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# equities a $limit.
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dst_type: AssetTypeName | None = None
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# dst_type: AssetTypeName | None = None
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# source asset's financial type/classification name
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# TODO: is a src type required for trading?
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@ -211,21 +225,101 @@ class MktPair(Struct, frozen=True):
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Constructor for a received msg-dict normally received over IPC.
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'''
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...
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raise NotImplementedError
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# fqa, fqma, .. etc. see issue:
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# https://github.com/pikers/piker/issues/467
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@property
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def resolved(self) -> bool:
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return isinstance(self.dst, Asset)
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@classmethod
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def from_fqme(
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cls,
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fqme: str,
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price_tick: float | str,
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size_tick: float | str,
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bs_mktid: str,
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) -> MktPair:
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broker, key, suffix = unpack_fqme(fqme)
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# XXX: loading from a fqme string will
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# leave this pair as "un resolved" meaning
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# we don't yet have `.dst` set as an `Asset`
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# which we expect to be filled in by some
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# backend client with access to that data-info.
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return cls(
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dst=key, # not resolved
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price_tick=price_tick,
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size_tick=size_tick,
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bs_mktid=bs_mktid,
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broker=broker,
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)
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@property
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def key(self) -> str:
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'''
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The "endpoint key" for this market.
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Eg. mnq/usd or btc/usdt or xmr/btc
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In most other tina platforms this is referred to as the
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"symbol".
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'''
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return maybe_cons_tokens([self.dst, self.src])
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# NOTE: the main idea behind an fqme is to map a "market address"
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# to some endpoint from a transaction provider (eg. a broker) such
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# that we build a table of `fqme: str -> bs_mktid: Any` where any "piker
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# market address" maps 1-to-1 to some broker trading endpoint.
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# @cached_property
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@property
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def fqme(self) -> str:
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'''
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Return the fully qualified market endpoint-address for the
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pair of transacting assets.
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Yes, you can pronounce it colloquially as "f#$%-me"..
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fqme = "fully qualified market endpoint"
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And yes, you pronounce it colloquially as read..
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Basically the idea here is for all client code (consumers of piker's
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APIs which query the data/broker-provider agnostic layer(s)) should be
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able to tell which backend / venue / derivative each data feed/flow is
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from by an explicit string-key of the current form:
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<market-instrument-name>
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.<venue>
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.<expiry>
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.<derivative-suffix-info>
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.<brokerbackendname>
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eg. for an explicit daq mini futes contract: mnq.cme.20230317.ib
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TODO: I have thoughts that we should actually change this to be
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more like an "attr lookup" (like how the web should have done
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urls, but marketting peeps ruined it etc. etc.)
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<broker>.<venue>.<instrumentname>.<suffixwithmetadata>
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TODO:
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See community discussion on naming and nomenclature, order
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of addressing hierarchy, general schema, internal representation:
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https://github.com/pikers/piker/issues/467
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'''
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return maybe_cons_tokens([
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self.key, # final "pair name" (eg. qqq[/usd], btcusdt)
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self.venue,
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self.expiry,
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self.broker,
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])
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# fqsn = fqme
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@property
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def fqsn(self) -> str:
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return self.fqme
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def quantize(
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self,
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rounding=ROUND_HALF_EVEN
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)
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# TODO: remove this?
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# @property
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# def size_tick_digits(self) -> int:
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# return float_digits(self.size_tick)
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# TODO: BACKWARD COMPAT, TO REMOVE?
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@property
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def type_key(self) -> str:
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return list(self.broker_info.values())[0]['asset_type']
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return str(self.dst.atype)
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# @classmethod
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# def from_fqme(
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# cls,
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# fqme: str,
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# **kwargs,
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@property
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def tick_size_digits(self) -> int:
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return float_digits(self.price_tick)
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# ) -> MktPair:
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# broker, key, suffix = unpack_fqme(fqme)
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@property
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def lot_size_digits(self) -> int:
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return float_digits(self.size_tick)
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def mk_fqsn(
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provider: str,
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symbol: str,
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) -> str:
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'''
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Generate a "fully qualified symbol name" which is
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a reverse-hierarchical cross broker/provider symbol
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'''
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return '.'.join([symbol, provider]).lower()
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def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
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def unpack_fqme(
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fqme: str,
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) -> tuple[str, str, str]:
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'''
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Unpack a fully-qualified-symbol-name to ``tuple``.
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suffix = ''
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# TODO: probably reverse the order of all this XD
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tokens = fqsn.split('.')
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if len(tokens) < 3:
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# probably crypto
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symbol, broker = tokens
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return (
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broker,
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symbol,
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'',
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)
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tokens = fqme.split('.')
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elif len(tokens) > 3:
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symbol, venue, suffix, broker = tokens
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else:
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symbol, venue, broker = tokens
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suffix = ''
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match tokens:
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case [mkt_ep, broker]:
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# probably crypto
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# mkt_ep, broker = tokens
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return (
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broker,
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mkt_ep,
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'',
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)
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# TODO: swap venue and suffix/deriv-info here?
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case [mkt_ep, venue, suffix, broker]:
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pass
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case [mkt_ep, venue, broker]:
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suffix = ''
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case _:
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raise ValueError(f'Invalid fqme: {fqme}')
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# head, _, broker = fqsn.rpartition('.')
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# symbol, _, suffix = head.rpartition('.')
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return (
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broker,
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'.'.join([symbol, venue]),
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'.'.join([mkt_ep, venue]),
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suffix,
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)
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unpack_fqme = unpack_fqsn
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unpack_fqsn = unpack_fqme
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# TODO: rework the below `Symbol` (which was originally inspired and
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# derived from stuff in quantdom) into a simpler, ipc msg ready, market
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# endpoint meta-data container type as per the drafted interace above.
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class Symbol(Struct):
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'''
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I guess this is some kinda container thing for dealing with
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return Symbol(
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key=key,
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tick_size=tick_size,
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lot_tick_size=lot_size,
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# tick_size_digits=float_digits(tick_size),
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# lot_size_digits=float_digits(lot_size),
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suffix=suffix,
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broker_info={broker: info},
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)
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def type_key(self) -> str:
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return list(self.broker_info.values())[0]['asset_type']
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@property
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def brokers(self) -> list[str]:
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return list(self.broker_info.keys())
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@property
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def tick_size_digits(self) -> int:
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return float_digits(self.lot_tick_size)
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@property
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def fqsn(self) -> str:
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'''
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fqsn = "fully qualified symbol name"
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Basically the idea here is for all client-ish code (aka programs/actors
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that ask the provider agnostic layers in the stack for data) should be
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able to tell which backend / venue / derivative each data feed/flow is
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from by an explicit string key of the current form:
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<instrumentname>.<venue>.<suffixwithmetadata>.<brokerbackendname>
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TODO: I have thoughts that we should actually change this to be
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more like an "attr lookup" (like how the web should have done
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urls, but marketting peeps ruined it etc. etc.):
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<broker>.<venue>.<instrumentname>.<suffixwithmetadata>
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'''
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broker = self.broker
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key = self.key
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if self.suffix:
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def quantize(
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self,
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size: float,
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) -> Decimal:
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'''
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Truncate input ``size: float`` using ``Decimal``
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quantized form of the digit precision defined
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by ``self.lot_tick_size``.
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'''
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digits = float_digits(self.lot_tick_size)
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return Decimal(size).quantize(
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Decimal(f'1.{"0".ljust(digits, "0")}'),
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Loading…
Reference in New Issue