Merge pull request #462 from pikers/paper_trade_improvements_rebase

Paper trade improvements

piker/clearing/_messages.py

@@ -100,7 +100,7 @@ class Order(Struct):
     price: float
     size: float  # -ve is "sell", +ve is "buy"
 
-    brokers: Optional[list[str]] = []
+    brokers: list[str] = []
 
 
 class Cancel(Struct):

piker/clearing/_paper_engine.py

@@ -37,11 +37,12 @@ import trio
 import tractor
 
 from .. import data
-from ..data._source import Symbol
 from ..data.types import Struct
 from ..pp import (
     Position,
     Transaction,
+    open_trade_ledger,
+    open_pps,
 )
 from ..data._normalize import iterticks
 from ..data._source import unpack_fqsn
@@ -56,6 +57,7 @@ from ._messages import (
     BrokerdError,
 )
 
+from ..config import load
 
 log = get_logger(__name__)
 
@@ -234,8 +236,6 @@ class PaperBoi(Struct):
         log.info(f'Fake filling order:\n{fill_msg}')
         await self.ems_trades_stream.send(fill_msg)
 
-        self._trade_ledger.update(fill_msg.to_dict())
-
         if order_complete:
             msg = BrokerdStatus(
                 reqid=reqid,
@@ -250,18 +250,6 @@ class PaperBoi(Struct):
 
         # lookup any existing position
         key = fqsn.rstrip(f'.{self.broker}')
-        pp = self._positions.setdefault(
-            fqsn,
-            Position(
-                Symbol(
-                    key=key,
-                    broker_info={self.broker: {}},
-                ),
-                size=size,
-                ppu=price,
-                bsuid=key,
-            )
-        )
         t = Transaction(
             fqsn=fqsn,
             tid=oid,
@@ -271,8 +259,16 @@ class PaperBoi(Struct):
             dt=pendulum.from_timestamp(fill_time_s),
             bsuid=key,
         )
-        pp.add_clear(t)
 
+        with (
+                open_trade_ledger(self.broker, 'paper') as ledger,
+                open_pps(self.broker, 'paper', True) as table
+             ):
+                ledger.update({oid: t.to_dict()})
+                # Write to pps toml right now
+                table.update_from_trans({oid: t})
+
+                pp = table.pps[key]
                 pp_msg = BrokerdPosition(
                     broker=self.broker,
                     account='paper',
@@ -280,7 +276,7 @@ class PaperBoi(Struct):
                     # TODO: we need to look up the asset currency from
                     # broker info. i guess for crypto this can be
                     # inferred from the pair?
-            currency='',
+                    currency=key,
                     size=pp.size,
                     avg_price=pp.ppu,
                 )
@@ -533,6 +529,11 @@ async def trades_dialogue(
         ) as feed,
 
     ):
+
+        with open_pps(broker, 'paper') as table:
+            # save pps in local state
+            _positions.update(table.pps)
+
         pp_msgs: list[BrokerdPosition] = []
         pos: Position
         token: str  # f'{symbol}.{self.broker}'
@@ -545,8 +546,6 @@ async def trades_dialogue(
                 avg_price=pos.ppu,
             ))
 
-        # TODO: load paper positions per broker from .toml config file
-        # and pass as symbol to position data mapping: ``dict[str, dict]``
         await ctx.started((
             pp_msgs,
             ['paper'],
@@ -564,7 +563,6 @@ async def trades_dialogue(
 
                 _reqids=_reqids,
 
-                # TODO: load paper positions from ``positions.toml``
                 _positions=_positions,
 
                 # TODO: load postions from ledger file

piker/config.py

@@ -25,10 +25,10 @@ from os import path
 from os.path import dirname
 import shutil
 from typing import Optional
-
+from pathlib import Path
 from bidict import bidict
 import toml
-
+from piker.testing import TEST_CONFIG_DIR_PATH
 from .log import get_logger
 
 log = get_logger('broker-config')
@@ -75,6 +75,13 @@ def get_app_dir(app_name, roaming=True, force_posix=False):
     def _posixify(name):
         return "-".join(name.split()).lower()
 
+    # TODO: This is a hacky way to a) determine we're testing
+    # and b) creating a test dir. We should aim to set a variable
+    # within the tractor runtimes and store testing config data
+    # outside of the users filesystem
+    if "pytest" in sys.modules:
+        app_name = os.path.join(app_name, TEST_CONFIG_DIR_PATH)
+
     # if WIN:
     if platform.system() == 'Windows':
         key = "APPDATA" if roaming else "LOCALAPPDATA"
@@ -115,6 +122,7 @@ _conf_names: set[str] = {
     'pps',
     'trades',
     'watchlists',
+    'paper_trades'
 }
 
 _watchlists_data_path = os.path.join(_config_dir, 'watchlists.json')
@@ -198,7 +206,7 @@ def load(
     path = path or get_conf_path(conf_name)
 
     if not os.path.isdir(_config_dir):
-        os.mkdir(_config_dir)
+        Path(_config_dir).mkdir(parents=True, exist_ok=True)
 
     if not os.path.isfile(path):
         fn = _conf_fn_w_ext(conf_name)
@@ -212,6 +220,10 @@ def load(
         # if one exists.
         if os.path.isfile(template):
             shutil.copyfile(template, path)
+        else:
+            # create an empty file
+            with open(path, 'x'):
+                pass
     else:
         with open(path, 'r'):
             pass  # touch it

piker/data/marketstore.py

@@ -35,6 +35,7 @@ from typing import (
 )
 import time
 from math import isnan
+from pathlib import Path
 
 from bidict import bidict
 from msgspec.msgpack import encode, decode
@@ -134,7 +135,7 @@ def start_marketstore(
 
     # create dirs when dne
     if not os.path.isdir(config._config_dir):
-        os.mkdir(config._config_dir)
+       Path(config._config_dir).mkdir(parents=True, exist_ok=True)
 
     if not os.path.isdir(mktsdir):
         os.mkdir(mktsdir)

piker/pp.py

@@ -20,6 +20,7 @@ that doesn't try to cuk most humans who prefer to not lose their moneys..
 (looking at you `ib` and dirt-bird friends)
 
 '''
+from __future__ import annotations
 from contextlib import contextmanager as cm
 from pprint import pformat
 import os
@@ -32,6 +33,7 @@ from typing import (
     Iterator,
     Optional,
     Union,
+    Generator
 )
 
 import pendulum
@@ -54,7 +56,7 @@ def open_trade_ledger(
     broker: str,
     account: str,
 
-) -> dict:
+) -> Generator[dict, None, None]:
     '''
     Indempotently create and read in a trade log file from the
     ``<configuration_dir>/ledgers/`` directory.
@@ -91,7 +93,6 @@ def open_trade_ledger(
             # https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
             print(f'Updating ledger for {tradesfile}:\n')
             ledger.update(cpy) 
-
             # we write on close the mutated ledger data
             with open(tradesfile, 'w') as cf:
                 toml.dump(ledger, cf)
@@ -879,9 +880,9 @@ class PpsEncoder(toml.TomlEncoder):
 def open_pps(
     brokername: str,
     acctid: str,
-    write_on_exit: bool = True,
+    write_on_exit: bool = False,
 
-) -> PpTable:
+) -> Generator[PpTable, None, None]:
     '''
     Read out broker-specific position entries from
     incremental update file: ``pps.toml``.

piker/testing/__init__.py

@@ -0,0 +1 @@
+TEST_CONFIG_DIR_PATH = '_testing' 

pytest.ini

@@ -0,0 +1,3 @@
+#[pytest]
+#trio_mode=True
+#log_cli=1

tests/conftest.py

@@ -1,6 +1,9 @@
 from contextlib import asynccontextmanager as acm
 from functools import partial
 import os
+from typing import AsyncContextManager
+from pathlib import Path
+from shutil import rmtree
 
 import pytest
 import tractor
@@ -11,6 +14,7 @@ from piker import (
 from piker._daemon import (
     Services,
 )
+from piker.clearing._client import open_ems
 
 
 def pytest_addoption(parser):
@@ -132,3 +136,52 @@ def open_test_pikerd(
     # - no leaked subprocs or shm buffers
     # - all requested container service are torn down
     # - certain ``tractor`` runtime state?
+
+
+@acm
+async def _open_test_pikerd_and_ems(
+    fqsn,
+    mode,
+    loglevel,
+    open_test_pikerd
+):
+    async with (
+        open_test_pikerd() as (_, _, _, services),
+        open_ems(
+            fqsn,
+            mode=mode,
+            loglevel=loglevel,
+        ) as ems_services):
+            yield (services, ems_services)
+
+
+@pytest.fixture
+def open_test_pikerd_and_ems(
+    open_test_pikerd,
+    fqsn: str = 'xbtusdt.kraken',
+    mode: str = 'paper',
+    loglevel: str = 'info',
+):
+    yield partial(
+        _open_test_pikerd_and_ems,
+        fqsn,
+        mode,
+        loglevel,
+        open_test_pikerd
+    ) 
+
+
+@pytest.fixture(scope='module')
+def delete_testing_dir():
+    '''
+    This fixture removes the temp directory
+    used for storing all config/ledger/pp data
+    created during testing sessions. During test runs
+    this file can be found in .config/piker/_testing
+
+    '''
+    yield
+    app_dir = Path(config.get_app_dir('piker')).resolve()
+    if app_dir.is_dir():
+        rmtree(str(app_dir))
+        assert not app_dir.is_dir()

tests/test_paper.py

@@ -0,0 +1,239 @@
+'''
+Paper-mode testing
+'''
+
+import trio
+from exceptiongroup import BaseExceptionGroup
+from typing import (
+    AsyncContextManager,
+    Literal,
+)
+
+import pytest
+from tractor._exceptions import ContextCancelled
+from uuid import uuid4
+from functools import partial
+
+from piker.log import get_logger
+from piker.clearing._messages import Order
+from piker.pp import (
+    open_trade_ledger,
+    open_pps,
+)
+
+log = get_logger(__name__)
+
+
+def get_fqsn(broker, symbol):
+    fqsn = f'{symbol}.{broker}'
+    return (fqsn, symbol, broker)
+
+
+oid = ''
+test_exec_mode = 'live'
+(fqsn, symbol, broker) = get_fqsn('kraken', 'xbtusdt')
+brokers = [broker]
+account = 'paper'
+
+
+async def _async_main(
+    open_test_pikerd_and_ems: AsyncContextManager,
+    action: Literal['buy', 'sell'] | None = None,
+    price: int = 30000,
+    executions: int = 1,
+    size: float = 0.01,
+    # Assert options
+    assert_entries: bool = False,
+    assert_pps: bool = False,
+    assert_zeroed_pps: bool = False,
+    assert_msg: bool = False,
+) -> None:
+    '''
+    Start piker, place a trade and assert data in
+    pps stream, ledger and position table.
+
+    '''
+
+    oid: str = ''
+    last_msg = {}
+
+    async with open_test_pikerd_and_ems() as (
+        services,
+        (book, trades_stream, pps, accounts, dialogs),
+    ):
+        if action:
+            for x in range(executions):
+                oid = str(uuid4())
+                order = Order(
+                    exec_mode=test_exec_mode,
+                    action=action,
+                    oid=oid,
+                    account=account,
+                    size=size,
+                    symbol=fqsn,
+                    price=price,
+                    brokers=brokers,
+                )
+                # This is actually a syncronous call to push a message
+                book.send(order)
+
+                async for msg in trades_stream:
+                    last_msg = msg
+                    match msg:
+                        # Wait for position message before moving on
+                        case {'name': 'position'}:
+                            break
+
+        if (
+            assert_entries 
+            or assert_pps 
+            or assert_zeroed_pps 
+            or assert_msg
+        ):
+            _assert(
+                assert_entries,
+                assert_pps,
+                assert_zeroed_pps,
+                pps,
+                last_msg,
+                size,
+                executions,
+            )
+
+        # Teardown piker like a user would
+        raise KeyboardInterrupt
+
+
+def _assert(
+    assert_entries,
+    assert_pps,
+    assert_zerod_pps,
+    pps,
+    last_msg,
+    size,
+    executions,
+):
+    with (
+        open_pps(broker, account, write_on_exit=False) as table,
+    ):
+        '''
+        Assert multiple cases including pps,
+        ledger and final position message state
+
+        '''
+        if assert_entries:
+            for key, val in [
+                ('broker', broker),
+                ('account', account),
+                ('symbol', fqsn),
+                ('size', size * executions),
+                ('currency', symbol),
+                ('avg_price', table.pps[symbol].ppu)
+            ]:
+                assert last_msg[key] == val
+
+        if assert_pps:
+            last_ppu = pps[(broker, account)][-1]
+            assert last_ppu['avg_price'] == table.pps[symbol].ppu
+
+        if assert_zerod_pps:
+            assert not bool(table.pps)
+
+
+def _run_test_and_check(fn):
+    '''        
+    Close position and assert empty position in pps
+
+    '''
+    with pytest.raises(BaseExceptionGroup) as exc_info:
+        trio.run(fn)
+
+    for exception in exc_info.value.exceptions:
+        assert isinstance(exception, KeyboardInterrupt) or isinstance(
+            exception, ContextCancelled
+        )
+
+
+def test_buy(
+    open_test_pikerd_and_ems: AsyncContextManager, 
+    delete_testing_dir
+):
+    '''
+    Enter a trade and assert entries are made in pps and ledger files.
+
+    '''
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            action='buy',
+            assert_entries=True,
+        ),
+    )
+
+    # Open ems and assert existence of pps entries
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            assert_pps=True,
+        ),
+    )
+
+
+def test_sell(
+    open_test_pikerd_and_ems: AsyncContextManager, 
+    delete_testing_dir
+):
+    '''
+    Sell position and ensure pps are zeroed.
+
+    '''
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            action='sell',
+            price=1,
+        ),
+    )
+
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            assert_zeroed_pps=True,
+        ),
+    )
+
+
+@pytest.mark.xfail(reason='Due to precision issues, this test will currently fail')
+def test_multi_sell(
+    open_test_pikerd_and_ems: AsyncContextManager, 
+    delete_testing_dir
+):
+    '''
+    Make 5 market limit buy orders and 
+    then sell 5 slots at the same price. 
+    Finally, assert cleared positions.
+
+    '''
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            action='buy',
+            executions=5,
+        ),
+    )
+
+    _run_test_and_check(
+        partial(
+            _async_main,
+            open_test_pikerd_and_ems=open_test_pikerd_and_ems,
+            action='sell',
+            executions=5,
+            price=1,
+            assert_zeroed_pps=True,
+        ),
+    )

tests/test_services.py

@@ -9,6 +9,7 @@ import pytest
 import trio
 import tractor
 
+from piker.log import get_logger
 from piker._daemon import (
     find_service,
     Services,
@@ -174,5 +175,5 @@ def test_ensure_ems_in_paper_actors(
     ) as exc_info:
         trio.run(main)
 
-    cancel_msg: str = '`_emsd_main()` was remotely cancelled by its caller'
+    cancel_msg: str = '_emsd_main()` was remotely cancelled by its caller'
     assert cancel_msg in exc_info.value.args[0]