Port clearing engine to new tractor stream api
Tyler Goodlet
parent
56db2c812d
commit
d3b50b9920
|
|
@ -246,23 +246,24 @@ async def open_ems(
|
|||
|
||||
async with maybe_open_emsd(broker) as portal:
|
||||
|
||||
trades_stream = await portal.run(
|
||||
async with portal.open_stream_from(
|
||||
|
||||
_emsd_main,
|
||||
client_actor_name=actor.name,
|
||||
broker=broker,
|
||||
symbol=symbol.key,
|
||||
|
||||
)
|
||||
with trio.fail_after(10):
|
||||
await book._ready_to_receive.wait()
|
||||
) as trades_stream:
|
||||
with trio.fail_after(10):
|
||||
await book._ready_to_receive.wait()
|
||||
|
||||
try:
|
||||
yield book, trades_stream
|
||||
try:
|
||||
yield book, trades_stream
|
||||
|
||||
finally:
|
||||
# TODO: we want to eventually keep this up (by having
|
||||
# the exec loop keep running in the pikerd tree) but for
|
||||
# now we have to kill the context to avoid backpressure
|
||||
# build-up on the shm write loop.
|
||||
with trio.CancelScope(shield=True):
|
||||
await trades_stream.aclose()
|
||||
finally:
|
||||
# TODO: we want to eventually keep this up (by having
|
||||
# the exec loop keep running in the pikerd tree) but for
|
||||
# now we have to kill the context to avoid backpressure
|
||||
# build-up on the shm write loop.
|
||||
with trio.CancelScope(shield=True):
|
||||
await trades_stream.aclose()
|
||||
|
|
|
|||
|
|
@ -339,130 +339,131 @@ async def process_broker_trades(
|
|||
"""
|
||||
broker = feed.mod.name
|
||||
|
||||
with trio.fail_after(5):
|
||||
# in the paper engine case this is just a mem receive channel
|
||||
trades_stream = await feed.recv_trades_data()
|
||||
# TODO: make this a context
|
||||
# in the paper engine case this is just a mem receive channel
|
||||
async with feed.receive_trades_data() as trades_stream:
|
||||
first = await trades_stream.__anext__()
|
||||
|
||||
# startup msg expected as first from broker backend
|
||||
assert first['local_trades'] == 'start'
|
||||
task_status.started()
|
||||
# startup msg expected as first from broker backend
|
||||
assert first['local_trades'] == 'start'
|
||||
task_status.started()
|
||||
|
||||
async for event in trades_stream:
|
||||
async for event in trades_stream:
|
||||
|
||||
name, msg = event['local_trades']
|
||||
name, msg = event['local_trades']
|
||||
|
||||
log.info(f'Received broker trade event:\n{pformat(msg)}')
|
||||
log.info(f'Received broker trade event:\n{pformat(msg)}')
|
||||
|
||||
if name == 'position':
|
||||
msg['resp'] = 'position'
|
||||
|
||||
# relay through
|
||||
await ctx.send_yield(msg)
|
||||
continue
|
||||
|
||||
# Get the broker (order) request id, this **must** be normalized
|
||||
# into messaging provided by the broker backend
|
||||
reqid = msg['reqid']
|
||||
|
||||
# make response packet to EMS client(s)
|
||||
oid = book._broker2ems_ids.get(reqid)
|
||||
|
||||
if oid is None:
|
||||
# paper engine race case: ``Client.submit_limit()`` hasn't
|
||||
# returned yet and provided an output reqid to register
|
||||
# locally, so we need to retreive the oid that was already
|
||||
# packed at submission since we already know it ahead of
|
||||
# time
|
||||
paper = msg.get('paper_info')
|
||||
if paper:
|
||||
oid = paper['oid']
|
||||
|
||||
else:
|
||||
msg.get('external')
|
||||
if not msg:
|
||||
log.error(f"Unknown trade event {event}")
|
||||
if name == 'position':
|
||||
msg['resp'] = 'position'
|
||||
|
||||
# relay through
|
||||
await ctx.send_yield(msg)
|
||||
continue
|
||||
|
||||
resp = {
|
||||
'resp': None, # placeholder
|
||||
'oid': oid
|
||||
}
|
||||
# Get the broker (order) request id, this **must** be normalized
|
||||
# into messaging provided by the broker backend
|
||||
reqid = msg['reqid']
|
||||
|
||||
if name in (
|
||||
'error',
|
||||
):
|
||||
# TODO: figure out how this will interact with EMS clients
|
||||
# for ex. on an error do we react with a dark orders
|
||||
# management response, like cancelling all dark orders?
|
||||
# make response packet to EMS client(s)
|
||||
oid = book._broker2ems_ids.get(reqid)
|
||||
|
||||
# This looks like a supervision policy for pending orders on
|
||||
# some unexpected failure - something we need to think more
|
||||
# about. In most default situations, with composed orders
|
||||
# (ex. brackets), most brokers seem to use a oca policy.
|
||||
if oid is None:
|
||||
# paper engine race case: ``Client.submit_limit()`` hasn't
|
||||
# returned yet and provided an output reqid to register
|
||||
# locally, so we need to retreive the oid that was already
|
||||
# packed at submission since we already know it ahead of
|
||||
# time
|
||||
paper = msg.get('paper_info')
|
||||
if paper:
|
||||
oid = paper['oid']
|
||||
|
||||
message = msg['message']
|
||||
|
||||
# XXX should we make one when it's blank?
|
||||
log.error(pformat(message))
|
||||
|
||||
# TODO: getting this bs, prolly need to handle status messages
|
||||
# 'Market data farm connection is OK:usfarm.nj'
|
||||
|
||||
# another stupid ib error to handle
|
||||
# if 10147 in message: cancel
|
||||
|
||||
# don't relay message to order requester client
|
||||
continue
|
||||
|
||||
elif name in (
|
||||
'status',
|
||||
):
|
||||
# TODO: templating the ib statuses in comparison with other
|
||||
# brokers is likely the way to go:
|
||||
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
|
||||
# short list:
|
||||
# - PendingSubmit
|
||||
# - PendingCancel
|
||||
# - PreSubmitted (simulated orders)
|
||||
# - ApiCancelled (cancelled by client before submission to routing)
|
||||
# - Cancelled
|
||||
# - Filled
|
||||
# - Inactive (reject or cancelled but not by trader)
|
||||
|
||||
# everyone doin camel case
|
||||
status = msg['status'].lower()
|
||||
|
||||
if status == 'filled':
|
||||
|
||||
# conditional execution is fully complete, no more
|
||||
# fills for the noted order
|
||||
if not msg['remaining']:
|
||||
|
||||
resp['resp'] = 'broker_executed'
|
||||
|
||||
log.info(f'Execution for {oid} is complete!')
|
||||
|
||||
# just log it
|
||||
else:
|
||||
log.info(f'{broker} filled {msg}')
|
||||
msg.get('external')
|
||||
if not msg:
|
||||
log.error(f"Unknown trade event {event}")
|
||||
|
||||
else:
|
||||
# one of (submitted, cancelled)
|
||||
resp['resp'] = 'broker_' + status
|
||||
continue
|
||||
|
||||
elif name in (
|
||||
'fill',
|
||||
):
|
||||
# proxy through the "fill" result(s)
|
||||
resp['resp'] = 'broker_filled'
|
||||
resp.update(msg)
|
||||
resp = {
|
||||
'resp': None, # placeholder
|
||||
'oid': oid
|
||||
}
|
||||
|
||||
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||
if name in (
|
||||
'error',
|
||||
):
|
||||
# TODO: figure out how this will interact with EMS clients
|
||||
# for ex. on an error do we react with a dark orders
|
||||
# management response, like cancelling all dark orders?
|
||||
|
||||
# respond to requesting client
|
||||
await ctx.send_yield(resp)
|
||||
# This looks like a supervision policy for pending orders on
|
||||
# some unexpected failure - something we need to think more
|
||||
# about. In most default situations, with composed orders
|
||||
# (ex. brackets), most brokers seem to use a oca policy.
|
||||
|
||||
message = msg['message']
|
||||
|
||||
# XXX should we make one when it's blank?
|
||||
log.error(pformat(message))
|
||||
|
||||
# TODO: getting this bs, prolly need to handle status messages
|
||||
# 'Market data farm connection is OK:usfarm.nj'
|
||||
|
||||
# another stupid ib error to handle
|
||||
# if 10147 in message: cancel
|
||||
|
||||
# don't relay message to order requester client
|
||||
continue
|
||||
|
||||
elif name in (
|
||||
'status',
|
||||
):
|
||||
# TODO: templating the ib statuses in comparison with other
|
||||
# brokers is likely the way to go:
|
||||
# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
|
||||
# short list:
|
||||
# - PendingSubmit
|
||||
# - PendingCancel
|
||||
# - PreSubmitted (simulated orders)
|
||||
# - ApiCancelled (cancelled by client before submission
|
||||
# to routing)
|
||||
# - Cancelled
|
||||
# - Filled
|
||||
# - Inactive (reject or cancelled but not by trader)
|
||||
|
||||
# everyone doin camel case
|
||||
status = msg['status'].lower()
|
||||
|
||||
if status == 'filled':
|
||||
|
||||
# conditional execution is fully complete, no more
|
||||
# fills for the noted order
|
||||
if not msg['remaining']:
|
||||
|
||||
resp['resp'] = 'broker_executed'
|
||||
|
||||
log.info(f'Execution for {oid} is complete!')
|
||||
|
||||
# just log it
|
||||
else:
|
||||
log.info(f'{broker} filled {msg}')
|
||||
|
||||
else:
|
||||
# one of (submitted, cancelled)
|
||||
resp['resp'] = 'broker_' + status
|
||||
|
||||
elif name in (
|
||||
'fill',
|
||||
):
|
||||
# proxy through the "fill" result(s)
|
||||
resp['resp'] = 'broker_filled'
|
||||
resp.update(msg)
|
||||
|
||||
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||
|
||||
# respond to requesting client
|
||||
await ctx.send_yield(resp)
|
||||
|
||||
|
||||
async def process_order_cmds(
|
||||
|
|
@ -675,17 +676,17 @@ async def _emsd_main(
|
|||
# acting as an EMS client and will submit orders) to
|
||||
# receive requests pushed over a tractor stream
|
||||
# using (for now) an async generator.
|
||||
order_stream = await portal.run(
|
||||
async with portal.open_stream_from(
|
||||
send_order_cmds,
|
||||
symbol_key=symbol,
|
||||
)
|
||||
) as order_stream:
|
||||
|
||||
# start inbound order request processing
|
||||
await process_order_cmds(
|
||||
ctx,
|
||||
order_stream,
|
||||
symbol,
|
||||
feed,
|
||||
client,
|
||||
dark_book,
|
||||
)
|
||||
# start inbound order request processing
|
||||
await process_order_cmds(
|
||||
ctx,
|
||||
order_stream,
|
||||
symbol,
|
||||
feed,
|
||||
client,
|
||||
dark_book,
|
||||
)
|
||||
|
|
|
|||
Loading…
Reference in New Issue