Merge pull request #336 from pikers/lifo_pps_ib

LIFO/"breakeven" pps for `ib`

piker/brokers/ib/__init__.py

@@ -38,7 +38,10 @@ from .feed import (
     open_symbol_search,
     stream_quotes,
 )
-from .broker import trades_dialogue
+from .broker import (
+    trades_dialogue,
+    norm_trade_records,
+)
 
 __all__ = [
     'get_client',

piker/brokers/ib/api.py

@@ -38,15 +38,21 @@ import time
 from types import SimpleNamespace
 
 
+from bidict import bidict
 import trio
 import tractor
 from tractor import to_asyncio
+import ib_insync as ibis
 from ib_insync.wrapper import RequestError
 from ib_insync.contract import Contract, ContractDetails
 from ib_insync.order import Order
 from ib_insync.ticker import Ticker
-from ib_insync.objects import Position
+from ib_insync.objects import (
-import ib_insync as ibis
+    Position,
+    Fill,
+    Execution,
+    CommissionReport,
+)
 from ib_insync.wrapper import Wrapper
 from ib_insync.client import Client as ib_Client
 import numpy as np
@@ -155,30 +161,23 @@ class NonShittyIB(ibis.IB):
         self.client.apiEnd += self.disconnectedEvent
 
 
-# map of symbols to contract ids
-_adhoc_cmdty_data_map = {
-    # https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
-
-    # NOTE: some cmdtys/metals don't have trade data like gold/usd:
-    # https://groups.io/g/twsapi/message/44174
-    'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
-}
-
 _futes_venues = (
     'GLOBEX',
     'NYMEX',
     'CME',
     'CMECRYPTO',
+    'COMEX',
+    'CMDTY',  # special name case..
 )
 
 _adhoc_futes_set = {
 
     # equities
     'nq.globex',
-    'mnq.globex',
+    'mnq.globex',  # micro
 
     'es.globex',
-    'mes.globex',
+    'mes.globex',  # micro
 
     # cypto$
     'brr.cmecrypto',
@@ -195,20 +194,46 @@ _adhoc_futes_set = {
     # metals
     'xauusd.cmdty',  # gold spot
     'gc.nymex',
-    'mgc.nymex',
+    'mgc.nymex',  # micro
+
+    # oil & gas
+    'cl.nymex',
 
     'xagusd.cmdty',  # silver spot
     'ni.nymex',  # silver futes
     'qi.comex',  # mini-silver futes
 }
 
+
+# map of symbols to contract ids
+_adhoc_symbol_map = {
+    # https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
+
+    # NOTE: some cmdtys/metals don't have trade data like gold/usd:
+    # https://groups.io/g/twsapi/message/44174
+    'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
+}
+for qsn in _adhoc_futes_set:
+    sym, venue = qsn.split('.')
+    assert venue.upper() in _futes_venues, f'{venue}'
+    _adhoc_symbol_map[sym.upper()] = (
+        {'exchange': venue},
+        {},
+    )
+
+
 # exchanges we don't support at the moment due to not knowing
 # how to do symbol-contract lookup correctly likely due
 # to not having the data feeds subscribed.
 _exch_skip_list = {
+
     'ASX',  # aussie stocks
     'MEXI',  # mexican stocks
-    'VALUE',  # no idea
+
+    # no idea
+    'VALUE',
+    'FUNDSERV',
+    'SWB2',
 }
 
 # https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
@@ -261,27 +286,29 @@ class Client:
 
         # NOTE: the ib.client here is "throttled" to 45 rps by default
 
-    async def trades(
+    async def trades(self) -> dict[str, Any]:
-        self,
+        '''
-        # api_only: bool = False,
+        Return list of trade-fills from current session in ``dict``.
 
-    ) -> dict[str, Any]:
+        '''
-
+        fills: list[Fill] = self.ib.fills()
-        # orders = await self.ib.reqCompletedOrdersAsync(
+        norm_fills: list[dict] = []
-        #     apiOnly=api_only
-        # )
-        fills = await self.ib.reqExecutionsAsync()
-        norm_fills = []
         for fill in fills:
             fill = fill._asdict()  # namedtuple
-            for key, val in fill.copy().items():
+            for key, val in fill.items():
-                if isinstance(val, Contract):
+                match val:
-                    fill[key] = asdict(val)
+                    case Contract() | Execution() | CommissionReport():
+                        fill[key] = asdict(val)
 
             norm_fills.append(fill)
 
         return norm_fills
 
+    async def orders(self) -> list[Order]:
+        return await self.ib.reqAllOpenOrdersAsync(
+            apiOnly=False,
+        )
+
     async def bars(
         self,
         fqsn: str,
@@ -483,6 +510,14 @@ class Client:
 
         return con
 
+    async def get_con(
+        self,
+        conid: int,
+    ) -> Contract:
+        return await self.ib.qualifyContractsAsync(
+            ibis.Contract(conId=conid)
+        )
+
     async def find_contract(
         self,
         pattern: str,
@@ -553,7 +588,7 @@ class Client:
 
         # commodities
         elif exch == 'CMDTY':  # eg. XAUUSD.CMDTY
-            con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
+            con_kwargs, bars_kwargs = _adhoc_symbol_map[sym]
             con = ibis.Commodity(**con_kwargs)
             con.bars_kwargs = bars_kwargs
 
@@ -811,10 +846,23 @@ _scan_ignore: set[tuple[str, int]] = set()
 
 def get_config() -> dict[str, Any]:
 
-    conf, path = config.load()
+    conf, path = config.load('brokers')
-
     section = conf.get('ib')
 
+    accounts = section.get('accounts')
+    if not accounts:
+        raise ValueError(
+            'brokers.toml -> `ib.accounts` must be defined\n'
+            f'location: {path}'
+        )
+
+    names = list(accounts.keys())
+    accts = section['accounts'] = bidict(accounts)
+    log.info(
+        f'brokers.toml defines {len(accts)} accounts: '
+        f'{pformat(names)}'
+    )
+
     if section is None:
         log.warning(f'No config section found for ib in {path}')
         return {}
@@ -990,7 +1038,7 @@ async def load_aio_clients(
         for acct, client in _accounts2clients.items():
             log.info(f'Disconnecting {acct}@{client}')
             client.ib.disconnect()
-            _client_cache.pop((host, port))
+            _client_cache.pop((host, port), None)
 
 
 async def load_clients_for_trio(
@@ -1019,9 +1067,6 @@ async def load_clients_for_trio(
             await asyncio.sleep(float('inf'))
 
 
-_proxies: dict[str, MethodProxy] = {}
-
-
 @acm
 async def open_client_proxies() -> tuple[
     dict[str, MethodProxy],
@@ -1044,13 +1089,14 @@ async def open_client_proxies() -> tuple[
         if cache_hit:
             log.info(f'Re-using cached clients: {clients}')
 
+        proxies = {}
         for acct_name, client in clients.items():
             proxy = await stack.enter_async_context(
                 open_client_proxy(client),
             )
-            _proxies[acct_name] = proxy
+            proxies[acct_name] = proxy
 
-        yield _proxies, clients
+        yield proxies, clients
 
 
 def get_preferred_data_client(
@@ -1199,11 +1245,13 @@ async def open_client_proxy(
     event_table = {}
 
     async with (
+
         to_asyncio.open_channel_from(
             open_aio_client_method_relay,
             client=client,
             event_consumers=event_table,
         ) as (first, chan),
+
         trio.open_nursery() as relay_n,
     ):
 

piker/brokers/ib/feed.py

@@ -217,8 +217,8 @@ async def get_bars(
                 )
 
             elif (
-                err.code == 162
+                err.code == 162 and
-                and 'HMDS query returned no data' in err.message
+                'HMDS query returned no data' in err.message
             ):
                 # XXX: this is now done in the storage mgmt layer
                 # and we shouldn't implicitly decrement the frame dt
@@ -237,6 +237,13 @@ async def get_bars(
                     frame_size=2000,
                 )
 
+            # elif (
+            #     err.code == 162 and
+            #     'Trading TWS session is connected from a different IP address' in err.message
+            # ):
+            #     log.warning("ignoring ip address warning")
+            #     continue
+
             elif _pacing in msg:
 
                 log.warning(
@@ -909,17 +916,17 @@ async def open_symbol_search(
                     # trigger async request
                     await trio.sleep(0)
 
-                    # match against our ad-hoc set immediately
+                    # # match against our ad-hoc set immediately
-                    adhoc_matches = fuzzy.extractBests(
+                    # adhoc_matches = fuzzy.extractBests(
-                        pattern,
+                    #     pattern,
-                        list(_adhoc_futes_set),
+                    #     list(_adhoc_futes_set),
-                        score_cutoff=90,
+                    #     score_cutoff=90,
-                    )
+                    # )
-                    log.info(f'fuzzy matched adhocs: {adhoc_matches}')
+                    # log.info(f'fuzzy matched adhocs: {adhoc_matches}')
-                    adhoc_match_results = {}
+                    # adhoc_match_results = {}
-                    if adhoc_matches:
+                    # if adhoc_matches:
-                        # TODO: do we need to pull contract details?
+                    #     # TODO: do we need to pull contract details?
-                        adhoc_match_results = {i[0]: {} for i in adhoc_matches}
+                    #     adhoc_match_results = {i[0]: {} for i in adhoc_matches}
 
                 log.debug(f'fuzzy matching stocks {stock_results}')
                 stock_matches = fuzzy.extractBests(
@@ -928,7 +935,8 @@ async def open_symbol_search(
                     score_cutoff=50,
                 )
 
-                matches = adhoc_match_results | {
+                # matches = adhoc_match_results | {
+                matches = {
                     item[0]: {} for item in stock_matches
                 }
                 # TODO: we used to deliver contract details

piker/clearing/_allocate.py

@@ -23,53 +23,10 @@ from typing import Optional
 
 from bidict import bidict
 from pydantic import BaseModel, validator
+# from msgspec import Struct
 
 from ..data._source import Symbol
-from ._messages import BrokerdPosition, Status
+from ..pp import Position
-
-
-class Position(BaseModel):
-    '''
-    Basic pp (personal position) model with attached fills history.
-
-    This type should be IPC wire ready?
-
-    '''
-    symbol: Symbol
-
-    # last size and avg entry price
-    size: float
-    avg_price: float  # TODO: contextual pricing
-
-    # ordered record of known constituent trade messages
-    fills: list[Status] = []
-
-    def update_from_msg(
-        self,
-        msg: BrokerdPosition,
-
-    ) -> None:
-
-        # XXX: better place to do this?
-        symbol = self.symbol
-
-        lot_size_digits = symbol.lot_size_digits
-        avg_price, size = (
-            round(msg['avg_price'], ndigits=symbol.tick_size_digits),
-            round(msg['size'], ndigits=lot_size_digits),
-        )
-
-        self.avg_price = avg_price
-        self.size = size
-
-    @property
-    def dsize(self) -> float:
-        '''
-        The "dollar" size of the pp, normally in trading (fiat) unit
-        terms.
-
-        '''
-        return self.avg_price * self.size
 
 
 _size_units = bidict({
@@ -173,7 +130,7 @@ class Allocator(BaseModel):
             l_sub_pp = self.units_limit - abs_live_size
 
         elif size_unit == 'currency':
-            live_cost_basis = abs_live_size * live_pp.avg_price
+            live_cost_basis = abs_live_size * live_pp.be_price
             slot_size = currency_per_slot / price
             l_sub_pp = (self.currency_limit - live_cost_basis) / price
 
@@ -205,7 +162,7 @@ class Allocator(BaseModel):
             if size_unit == 'currency':
                 # compute the "projected" limit's worth of units at the
                 # current pp (weighted) price:
-                slot_size = currency_per_slot / live_pp.avg_price
+                slot_size = currency_per_slot / live_pp.be_price
 
             else:
                 slot_size = u_per_slot
@@ -244,7 +201,12 @@ class Allocator(BaseModel):
         if order_size < slot_size:
             # compute a fractional slots size to display
             slots_used = self.slots_used(
-                Position(symbol=sym, size=order_size, avg_price=price)
+                Position(
+                    symbol=sym,
+                    size=order_size,
+                    be_price=price,
+                    bsuid=sym,
+                )
             )
 
         return {
@@ -271,8 +233,8 @@ class Allocator(BaseModel):
         abs_pp_size = abs(pp.size)
 
         if self.size_unit == 'currency':
-            # live_currency_size = size or (abs_pp_size * pp.avg_price)
+            # live_currency_size = size or (abs_pp_size * pp.be_price)
-            live_currency_size = abs_pp_size * pp.avg_price
+            live_currency_size = abs_pp_size * pp.be_price
             prop = live_currency_size / self.currency_limit
 
         else:
@@ -342,7 +304,7 @@ def mk_allocator(
     # if the current position is already greater then the limit
     # settings, increase the limit to the current position
     if alloc.size_unit == 'currency':
-        startup_size = startup_pp.size * startup_pp.avg_price
+        startup_size = startup_pp.size * startup_pp.be_price
 
         if startup_size > alloc.currency_limit:
             alloc.currency_limit = round(startup_size, ndigits=2)

piker/clearing/_messages.py

@@ -258,6 +258,6 @@ class BrokerdPosition(BaseModel):
     broker: str
     account: str
     symbol: str
-    currency: str
     size: float
     avg_price: float
+    currency: str = ''

piker/clearing/_paper_engine.py

@@ -31,6 +31,8 @@ import tractor
 from dataclasses import dataclass
 
 from .. import data
+from ..data._source import Symbol
+from ..pp import Position
 from ..data._normalize import iterticks
 from ..data._source import unpack_fqsn
 from ..log import get_logger
@@ -257,29 +259,14 @@ class PaperBoi:
             )
         )
 
-        # "avg position price" calcs
+        # delegate update to `.pp.Position.lifo_update()`
-        # TODO: eventually it'd be nice to have a small set of routines
+        pp = Position(
-        # to do this stuff from a sequence of cleared orders to enable
+            Symbol(key=symbol),
-        # so called "contextual positions".
+            size=pp_msg.size,
-        new_size = size + pp_msg.size
+            be_price=pp_msg.avg_price,
-
+            bsuid=symbol,
-        # old size minus the new size gives us size differential with
+        )
-        # +ve -> increase in pp size
+        pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
-        # -ve -> decrease in pp size
-        size_diff = abs(new_size) - abs(pp_msg.size)
-
-        if new_size == 0:
-            pp_msg.avg_price = 0
-
-        elif size_diff > 0:
-            # only update the "average position price" when the position
-            # size increases not when it decreases (i.e. the position is
-            # being made smaller)
-            pp_msg.avg_price = (
-                abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
-            ) / abs(new_size)
-
-        pp_msg.size = new_size
 
         await self.ems_trades_stream.send(pp_msg.dict())
 
@@ -390,7 +377,8 @@ async def handle_order_requests(
             account = request_msg['account']
             if account != 'paper':
                 log.error(
-                    'This is a paper account, only a `paper` selection is valid'
+                    'This is a paper account,'
+                    ' only a `paper` selection is valid'
                 )
                 await ems_order_stream.send(BrokerdError(
                     oid=request_msg['oid'],
@@ -464,7 +452,7 @@ async def trades_dialogue(
         # TODO: load paper positions per broker from .toml config file
         # and pass as symbol to position data mapping: ``dict[str, dict]``
         # await ctx.started(all_positions)
-        await ctx.started(({}, {'paper',}))
+        await ctx.started(({}, ['paper']))
 
         async with (
             ctx.open_stream() as ems_stream,

piker/cli/__init__.py

@@ -83,9 +83,9 @@ def pikerd(loglevel, host, tl, pdb, tsdb):
 
                 )
                 log.info(
-                    f'`marketstore` up!\n'
+                    f'`marketstored` up!\n'
-                    f'`marketstored` pid: {pid}\n'
+                    f'pid: {pid}\n'
-                    f'docker container id: {cid}\n'
+                    f'container id: {cid[:12]}\n'
                     f'config: {pformat(config)}'
                 )
 

piker/config.py

@@ -21,6 +21,7 @@ Broker configuration mgmt.
 import platform
 import sys
 import os
+from os import path
 from os.path import dirname
 import shutil
 from typing import Optional
@@ -111,6 +112,7 @@ if _parent_user:
 
 _conf_names: set[str] = {
     'brokers',
+    'pps',
     'trades',
     'watchlists',
 }
@@ -147,19 +149,21 @@ def get_conf_path(
     conf_name: str = 'brokers',
 
 ) -> str:
-    """Return the default config path normally under
+    '''
-    ``~/.config/piker`` on linux.
+    Return the top-level default config path normally under
+    ``~/.config/piker`` on linux for a given ``conf_name``, the config
+    name.
 
     Contains files such as:
     - brokers.toml
+    - pp.toml
     - watchlists.toml
-    - trades.toml
 
     # maybe coming soon ;)
     - signals.toml
     - strats.toml
 
-    """
+    '''
     assert conf_name in _conf_names
     fn = _conf_fn_w_ext(conf_name)
     return os.path.join(
@@ -173,7 +177,7 @@ def repodir():
     Return the abspath to the repo directory.
 
     '''
-    dirpath = os.path.abspath(
+    dirpath = path.abspath(
         # we're 3 levels down in **this** module file
         dirname(dirname(os.path.realpath(__file__)))
     )
@@ -182,7 +186,9 @@ def repodir():
 
 def load(
     conf_name: str = 'brokers',
-    path: str = None
+    path: str = None,
+
+    **tomlkws,
 
 ) -> (dict, str):
     '''
@@ -190,6 +196,7 @@ def load(
 
     '''
     path = path or get_conf_path(conf_name)
+
     if not os.path.isfile(path):
         fn = _conf_fn_w_ext(conf_name)
 
@@ -202,8 +209,11 @@ def load(
         # if one exists.
         if os.path.isfile(template):
             shutil.copyfile(template, path)
+        else:
+            with open(path, 'w'):
+                pass  # touch
 
-    config = toml.load(path)
+    config = toml.load(path, **tomlkws)
     log.debug(f"Read config file {path}")
     return config, path
 
@@ -212,6 +222,7 @@ def write(
     config: dict,  # toml config as dict
     name: str = 'brokers',
     path: str = None,
+    **toml_kwargs,
 
 ) -> None:
     ''''
@@ -235,11 +246,14 @@ def write(
         f"{path}"
     )
     with open(path, 'w') as cf:
-        return toml.dump(config, cf)
+        return toml.dump(
+            config,
+            cf,
+            **toml_kwargs,
+        )
 
 
 def load_accounts(
-
     providers: Optional[list[str]] = None
 
 ) -> bidict[str, Optional[str]]:

piker/data/_source.py

@@ -23,7 +23,7 @@ import decimal
 
 from bidict import bidict
 import numpy as np
-from pydantic import BaseModel
+from msgspec import Struct
 # from numba import from_dtype
 
 
@@ -126,7 +126,7 @@ def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
     )
 
 
-class Symbol(BaseModel):
+class Symbol(Struct):
     '''
     I guess this is some kinda container thing for dealing with
     all the different meta-data formats from brokers?
@@ -152,9 +152,7 @@ class Symbol(BaseModel):
         info: dict[str, Any],
         suffix: str = '',
 
-    # XXX: like wtf..
+    ) -> Symbol:
-    # ) -> 'Symbol':
-    ) -> None:
 
         tick_size = info.get('price_tick_size', 0.01)
         lot_tick_size = info.get('lot_tick_size', 0.0)
@@ -175,9 +173,7 @@ class Symbol(BaseModel):
         fqsn: str,
         info: dict[str, Any],
 
-    # XXX: like wtf..
+    ) -> Symbol:
-    # ) -> 'Symbol':
-    ) -> None:
         broker, key, suffix = unpack_fqsn(fqsn)
         return cls.from_broker_info(
             broker,
@@ -240,7 +236,7 @@ class Symbol(BaseModel):
 
         '''
         tokens = self.tokens()
-        fqsn = '.'.join(tokens)
+        fqsn = '.'.join(map(str.lower, tokens))
         return fqsn
 
     def iterfqsns(self) -> list[str]:

piker/pp.py

@@ -0,0 +1,781 @@
+# piker: trading gear for hackers
+# Copyright (C) Tyler Goodlet (in stewardship for pikers)
+
+# This program is free software: you can redistribute it and/or modify
+# it under the terms of the GNU Affero General Public License as published by
+# the Free Software Foundation, either version 3 of the License, or
+# (at your option) any later version.
+
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU Affero General Public License for more details.
+
+# You should have received a copy of the GNU Affero General Public License
+
+# along with this program.  If not, see <https://www.gnu.org/licenses/>.
+'''
+Personal/Private position parsing, calculating, summarizing in a way
+that doesn't try to cuk most humans who prefer to not lose their moneys..
+(looking at you `ib` and dirt-bird friends)
+
+'''
+from collections import deque
+from contextlib import contextmanager as cm
+# from pprint import pformat
+import os
+from os import path
+from math import copysign
+import re
+import time
+from typing import (
+    Any,
+    Optional,
+    Union,
+)
+
+from msgspec import Struct
+import pendulum
+from pendulum import datetime, now
+import tomli
+import toml
+
+from . import config
+from .brokers import get_brokermod
+from .clearing._messages import BrokerdPosition, Status
+from .data._source import Symbol
+from .log import get_logger
+
+log = get_logger(__name__)
+
+
+@cm
+def open_trade_ledger(
+    broker: str,
+    account: str,
+
+) -> str:
+    '''
+    Indempotently create and read in a trade log file from the
+    ``<configuration_dir>/ledgers/`` directory.
+
+    Files are named per broker account of the form
+    ``<brokername>_<accountname>.toml``. The ``accountname`` here is the
+    name as defined in the user's ``brokers.toml`` config.
+
+    '''
+    ldir = path.join(config._config_dir, 'ledgers')
+    if not path.isdir(ldir):
+        os.makedirs(ldir)
+
+    fname = f'trades_{broker}_{account}.toml'
+    tradesfile = path.join(ldir, fname)
+
+    if not path.isfile(tradesfile):
+        log.info(
+            f'Creating new local trades ledger: {tradesfile}'
+        )
+        with open(tradesfile, 'w') as cf:
+            pass  # touch
+    with open(tradesfile, 'rb') as cf:
+        start = time.time()
+        ledger = tomli.load(cf)
+        print(f'Ledger load took {time.time() - start}s')
+        cpy = ledger.copy()
+    try:
+        yield cpy
+    finally:
+        if cpy != ledger:
+            # TODO: show diff output?
+            # 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:
+                return toml.dump(ledger, cf)
+
+
+class Transaction(Struct):
+    # TODO: should this be ``.to`` (see below)?
+    fqsn: str
+
+    tid: Union[str, int]  # unique transaction id
+    size: float
+    price: float
+    cost: float  # commisions or other additional costs
+    dt: datetime
+    expiry: Optional[datetime] = None
+
+    # optional key normally derived from the broker
+    # backend which ensures the instrument-symbol this record
+    # is for is truly unique.
+    bsuid: Optional[Union[str, int]] = None
+
+    # optional fqsn for the source "asset"/money symbol?
+    # from: Optional[str] = None
+
+
+class Position(Struct):
+    '''
+    Basic pp (personal/piker position) model with attached clearing
+    transaction history.
+
+    '''
+    symbol: Symbol
+
+    # can be +ve or -ve for long/short
+    size: float
+
+    # "breakeven price" above or below which pnl moves above and below
+    # zero for the entirety of the current "trade state".
+    be_price: float
+
+    # unique backend symbol id
+    bsuid: str
+
+    # ordered record of known constituent trade messages
+    clears: dict[
+        Union[str, int, Status],  # trade id
+        dict[str, Any],  # transaction history summaries
+    ] = {}
+
+    expiry: Optional[datetime] = None
+
+    def to_dict(self) -> dict:
+        return {
+            f: getattr(self, f)
+            for f in self.__struct_fields__
+        }
+
+    def to_pretoml(self) -> dict:
+        '''
+        Prep this position's data contents for export to toml including
+        re-structuring of the ``.clears`` table to an array of
+        inline-subtables for better ``pps.toml`` compactness.
+
+        '''
+        d = self.to_dict()
+        clears = d.pop('clears')
+        expiry = d.pop('expiry')
+
+        if expiry:
+            d['expiry'] = str(expiry)
+
+        clears_list = []
+
+        for tid, data in clears.items():
+            inline_table = toml.TomlDecoder().get_empty_inline_table()
+            inline_table['tid'] = tid
+
+            for k, v in data.items():
+                inline_table[k] = v
+
+            clears_list.append(inline_table)
+
+        d['clears'] = clears_list
+
+        return d
+
+    def update_from_msg(
+        self,
+        msg: BrokerdPosition,
+
+    ) -> None:
+
+        # XXX: better place to do this?
+        symbol = self.symbol
+
+        lot_size_digits = symbol.lot_size_digits
+        be_price, size = (
+            round(
+                msg['avg_price'],
+                ndigits=symbol.tick_size_digits
+            ),
+            round(
+                msg['size'],
+                ndigits=lot_size_digits
+            ),
+        )
+
+        self.be_price = be_price
+        self.size = size
+
+    @property
+    def dsize(self) -> float:
+        '''
+        The "dollar" size of the pp, normally in trading (fiat) unit
+        terms.
+
+        '''
+        return self.be_price * self.size
+
+    def update(
+        self,
+        t: Transaction,
+
+    ) -> None:
+        self.clears[t.tid] = {
+            'cost': t.cost,
+            'price': t.price,
+            'size': t.size,
+            'dt': str(t.dt),
+        }
+
+    def lifo_update(
+        self,
+        size: float,
+        price: float,
+        cost: float = 0,
+
+        # TODO: idea: "real LIFO" dynamic positioning.
+        # - when a trade takes place where the pnl for
+        # the (set of) trade(s) is below the breakeven price
+        # it may be that the trader took a +ve pnl on a short(er)
+        # term trade in the same account.
+        # - in this case we could recalc the be price to
+        # be reverted back to it's prior value before the nearest term
+        # trade was opened.?
+        # dynamic_breakeven_price: bool = False,
+
+    ) -> (float, float):
+        '''
+        Incremental update using a LIFO-style weighted mean.
+
+        '''
+        # "avg position price" calcs
+        # TODO: eventually it'd be nice to have a small set of routines
+        # to do this stuff from a sequence of cleared orders to enable
+        # so called "contextual positions".
+        new_size = self.size + size
+
+        # old size minus the new size gives us size diff with
+        # +ve -> increase in pp size
+        # -ve -> decrease in pp size
+        size_diff = abs(new_size) - abs(self.size)
+
+        if new_size == 0:
+            self.be_price = 0
+
+        elif size_diff > 0:
+            # XXX: LOFI incremental update:
+            # only update the "average price" when
+            # the size increases not when it decreases (i.e. the
+            # position is being made smaller)
+            self.be_price = (
+                # weight of current exec = (size * price) + cost
+                (abs(size) * price)
+                +
+                (copysign(1, new_size) * cost)  # transaction cost
+                +
+                # weight of existing be price
+                self.be_price * abs(self.size)  # weight of previous pp
+            ) / abs(new_size)  # normalized by the new size: weighted mean.
+
+        self.size = new_size
+
+        return new_size, self.be_price
+
+    def minimize_clears(
+        self,
+
+    ) -> dict[str, dict]:
+        '''
+        Minimize the position's clears entries by removing
+        all transactions before the last net zero size to avoid
+        unecessary history irrelevant to the current pp state.
+
+
+        '''
+        size: float = 0
+        clears_since_zero: deque[tuple(str, dict)] = deque()
+
+        # scan for the last "net zero" position by
+        # iterating clears in reverse.
+        for tid, clear in reversed(self.clears.items()):
+            size += clear['size']
+            clears_since_zero.appendleft((tid, clear))
+
+            if size == 0:
+                break
+
+        self.clears = dict(clears_since_zero)
+        return self.clears
+
+
+def update_pps(
+    records: dict[str, Transaction],
+    pps: Optional[dict[str, Position]] = None
+
+) -> dict[str, Position]:
+    '''
+    Compile a set of positions from a trades ledger.
+
+    '''
+    pps: dict[str, Position] = pps or {}
+
+    # lifo update all pps from records
+    for r in records:
+
+        pp = pps.setdefault(
+            r.bsuid,
+
+            # if no existing pp, allocate fresh one.
+            Position(
+                Symbol.from_fqsn(
+                    r.fqsn,
+                    info={},
+                ),
+                size=0.0,
+                be_price=0.0,
+                bsuid=r.bsuid,
+                expiry=r.expiry,
+            )
+        )
+
+        # don't do updates for ledger records we already have
+        # included in the current pps state.
+        if r.tid in pp.clears:
+            # NOTE: likely you'll see repeats of the same
+            # ``Transaction`` passed in here if/when you are restarting
+            # a ``brokerd.ib`` where the API will re-report trades from
+            # the current session, so we need to make sure we don't
+            # "double count" these in pp calculations.
+            continue
+
+        # lifo style "breakeven" price calc
+        pp.lifo_update(
+            r.size,
+            r.price,
+
+            # include transaction cost in breakeven price
+            # and presume the worst case of the same cost
+            # to exit this transaction (even though in reality
+            # it will be dynamic based on exit stratetgy).
+            cost=2*r.cost,
+        )
+
+        # track clearing data
+        pp.update(r)
+
+        assert len(set(pp.clears)) == len(pp.clears)
+
+    return pps
+
+
+def load_pps_from_ledger(
+
+    brokername: str,
+    acctname: str,
+
+    # post normalization filter on ledger entries to be processed
+    filter_by: Optional[list[dict]] = None,
+
+) -> dict[str, Position]:
+    '''
+    Open a ledger file by broker name and account and read in and
+    process any trade records into our normalized ``Transaction``
+    form and then pass these into the position processing routine
+    and deliver the two dict-sets of the active and closed pps.
+
+    '''
+    with open_trade_ledger(
+        brokername,
+        acctname,
+    ) as ledger:
+        if not ledger:
+            # null case, no ledger file with content
+            return {}
+
+    brokermod = get_brokermod(brokername)
+    src_records = brokermod.norm_trade_records(ledger)
+
+    if filter_by:
+        bsuids = set(filter_by)
+        records = list(filter(lambda r: r.bsuid in bsuids, src_records))
+    else:
+        records = src_records
+
+    return update_pps(records)
+
+
+def get_pps(
+    brokername: str,
+    acctids: Optional[set[str]] = set(),
+
+) -> dict[str, dict[str, Position]]:
+    '''
+    Read out broker-specific position entries from
+    incremental update file: ``pps.toml``.
+
+    '''
+    conf, path = config.load(
+        'pps',
+        # load dicts as inlines to preserve compactness
+        # _dict=toml.decoder.InlineTableDict,
+    )
+
+    all_active = {}
+    all_closed = {}
+
+    # try to load any ledgers if no section found
+    bconf, path = config.load('brokers')
+    accounts = bconf[brokername]['accounts']
+    for account in accounts:
+
+        # TODO: instead of this filter we could
+        # always send all known pps but just not audit
+        # them since an active client might not be up?
+        if (
+            acctids and
+            f'{brokername}.{account}' not in acctids
+        ):
+            continue
+
+        active, closed = update_pps_conf(brokername, account)
+        all_active.setdefault(account, {}).update(active)
+        all_closed.setdefault(account, {}).update(closed)
+
+    return all_active, all_closed
+
+
+# TODO: instead see if we can hack tomli and tomli-w to do the same:
+# - https://github.com/hukkin/tomli
+# - https://github.com/hukkin/tomli-w
+class PpsEncoder(toml.TomlEncoder):
+    '''
+    Special "styled" encoder that makes a ``pps.toml`` redable and
+    compact by putting `.clears` tables inline and everything else
+    flat-ish.
+
+    '''
+    separator = ','
+
+    def dump_list(self, v):
+        '''
+        Dump an inline list with a newline after every element and
+        with consideration for denoted inline table types.
+
+        '''
+        retval = "[\n"
+        for u in v:
+            if isinstance(u, toml.decoder.InlineTableDict):
+                out = self.dump_inline_table(u)
+            else:
+                out = str(self.dump_value(u))
+
+            retval += " " + out + "," + "\n"
+        retval += "]"
+        return retval
+
+    def dump_inline_table(self, section):
+        """Preserve inline table in its compact syntax instead of expanding
+        into subsection.
+        https://github.com/toml-lang/toml#user-content-inline-table
+        """
+        val_list = []
+        for k, v in section.items():
+            # if isinstance(v, toml.decoder.InlineTableDict):
+            if isinstance(v, dict):
+                val = self.dump_inline_table(v)
+            else:
+                val = str(self.dump_value(v))
+
+            val_list.append(k + " = " + val)
+
+        retval = "{ " + ", ".join(val_list) + " }"
+        return retval
+
+    def dump_sections(self, o, sup):
+        retstr = ""
+        if sup != "" and sup[-1] != ".":
+            sup += '.'
+        retdict = self._dict()
+        arraystr = ""
+        for section in o:
+            qsection = str(section)
+            value = o[section]
+
+            if not re.match(r'^[A-Za-z0-9_-]+$', section):
+                qsection = toml.encoder._dump_str(section)
+
+            # arrayoftables = False
+            if (
+                self.preserve
+                and isinstance(value, toml.decoder.InlineTableDict)
+            ):
+                retstr += (
+                    qsection
+                    +
+                    " = "
+                    +
+                    self.dump_inline_table(o[section])
+                    +
+                    '\n'  # only on the final terminating left brace
+                )
+
+            # XXX: this code i'm pretty sure is just blatantly bad
+            # and/or wrong..
+            # if isinstance(o[section], list):
+            #     for a in o[section]:
+            #         if isinstance(a, dict):
+            #             arrayoftables = True
+            # if arrayoftables:
+            #     for a in o[section]:
+            #         arraytabstr = "\n"
+            #         arraystr += "[[" + sup + qsection + "]]\n"
+            #         s, d = self.dump_sections(a, sup + qsection)
+            #         if s:
+            #             if s[0] == "[":
+            #                 arraytabstr += s
+            #             else:
+            #                 arraystr += s
+            #         while d:
+            #             newd = self._dict()
+            #             for dsec in d:
+            #                 s1, d1 = self.dump_sections(d[dsec], sup +
+            #                                             qsection + "." +
+            #                                             dsec)
+            #                 if s1:
+            #                     arraytabstr += ("[" + sup + qsection +
+            #                                     "." + dsec + "]\n")
+            #                     arraytabstr += s1
+            #                 for s1 in d1:
+            #                     newd[dsec + "." + s1] = d1[s1]
+            #             d = newd
+            #         arraystr += arraytabstr
+
+            elif isinstance(value, dict):
+                retdict[qsection] = o[section]
+
+            elif o[section] is not None:
+                retstr += (
+                    qsection
+                    +
+                    " = "
+                    +
+                    str(self.dump_value(o[section]))
+                )
+
+                # if not isinstance(value, dict):
+                if not isinstance(value, toml.decoder.InlineTableDict):
+                    # inline tables should not contain newlines:
+                    # https://toml.io/en/v1.0.0#inline-table
+                    retstr += '\n'
+
+            else:
+                raise ValueError(value)
+
+        retstr += arraystr
+        return (retstr, retdict)
+
+
+def load_pps_from_toml(
+    brokername: str,
+    acctid: str,
+
+    # XXX: there is an edge case here where we may want to either audit
+    # the retrieved ``pps.toml`` output or reprocess it since there was
+    # an error on write on the last attempt to update the state file
+    # even though the ledger *was* updated. For this cases we allow the
+    # caller to pass in a symbol set they'd like to reload from the
+    # underlying ledger to be reprocessed in computing pps state.
+    reload_records: Optional[dict[str, str]] = None,
+    update_from_ledger: bool = False,
+
+) -> tuple[dict, dict[str, Position]]:
+    '''
+    Load and marshal to objects all pps from either an existing
+    ``pps.toml`` config, or from scratch from a ledger file when
+    none yet exists.
+
+    '''
+    conf, path = config.load('pps')
+    brokersection = conf.setdefault(brokername, {})
+    pps = brokersection.setdefault(acctid, {})
+    pp_objs = {}
+
+    # no pps entry yet for this broker/account so parse any available
+    # ledgers to build a brand new pps state.
+    if not pps or update_from_ledger:
+        pp_objs = load_pps_from_ledger(
+            brokername,
+            acctid,
+        )
+
+    # Reload symbol specific ledger entries if requested by the
+    # caller **AND** none exist in the current pps state table.
+    elif (
+        pps and reload_records
+    ):
+        # no pps entry yet for this broker/account so parse
+        # any available ledgers to build a pps state.
+        pp_objs = load_pps_from_ledger(
+            brokername,
+            acctid,
+            filter_by=reload_records,
+        )
+
+    if not pps:
+        log.warning(
+            f'No trade history could be loaded for {brokername}:{acctid}'
+        )
+
+    # unmarshal/load ``pps.toml`` config entries into object form.
+    for fqsn, entry in pps.items():
+        bsuid = entry['bsuid']
+
+        # convert clears sub-tables (only in this form
+        # for toml re-presentation) back into a master table.
+        clears_list = entry['clears']
+
+        # index clears entries in "object" form by tid in a top
+        # level dict instead of a list (as is presented in our
+        # ``pps.toml``).
+        clears = {}
+        for clears_table in clears_list:
+            tid = clears_table.pop('tid')
+            clears[tid] = clears_table
+
+        size = entry['size']
+
+        # TODO: an audit system for existing pps entries?
+        # if not len(clears) == abs(size):
+        #     pp_objs = load_pps_from_ledger(
+        #         brokername,
+        #         acctid,
+        #         filter_by=reload_records,
+        #     )
+        #     reason = 'size <-> len(clears) mismatch'
+        #     raise ValueError(
+        #         '`pps.toml` entry is invalid:\n'
+        #         f'{fqsn}\n'
+        #         f'{pformat(entry)}'
+        #     )
+
+        expiry = entry.get('expiry')
+        if expiry:
+            expiry = pendulum.parse(expiry)
+
+        pp_objs[bsuid] = Position(
+            Symbol.from_fqsn(fqsn, info={}),
+            size=size,
+            be_price=entry['be_price'],
+            expiry=expiry,
+            bsuid=entry['bsuid'],
+
+            # XXX: super critical, we need to be sure to include
+            # all pps.toml clears to avoid reusing clears that were
+            # already included in the current incremental update
+            # state, since today's records may have already been
+            # processed!
+            clears=clears,
+        )
+
+    return conf, pp_objs
+
+
+def update_pps_conf(
+    brokername: str,
+    acctid: str,
+
+    trade_records: Optional[list[Transaction]] = None,
+    ledger_reload: Optional[dict[str, str]] = None,
+
+) -> tuple[
+    dict[str, Position],
+    dict[str, Position],
+]:
+
+    # this maps `.bsuid` values to positions
+    pp_objs: dict[Union[str, int], Position]
+
+    if trade_records and ledger_reload:
+        for r in trade_records:
+            ledger_reload[r.bsuid] = r.fqsn
+
+    conf, pp_objs = load_pps_from_toml(
+        brokername,
+        acctid,
+        reload_records=ledger_reload,
+    )
+
+    # update all pp objects from any (new) trade records which
+    # were passed in (aka incremental update case).
+    if trade_records:
+        pp_objs = update_pps(
+            trade_records,
+            pps=pp_objs,
+        )
+
+    pp_entries = {}  # dict-serialize all active pps
+    # NOTE: newly closed position are also important to report/return
+    # since a consumer, like an order mode UI ;), might want to react
+    # based on the closure.
+    closed_pp_objs: dict[str, Position] = {}
+
+    for bsuid in list(pp_objs):
+        pp = pp_objs[bsuid]
+        pp.minimize_clears()
+
+        if (
+            pp.size == 0
+
+            # drop time-expired positions (normally derivatives)
+            or (pp.expiry and pp.expiry < now())
+        ):
+            # if expired the position is closed
+            pp.size = 0
+
+            # position is already closed aka "net zero"
+            closed_pp = pp_objs.pop(bsuid, None)
+            if closed_pp:
+                closed_pp_objs[bsuid] = closed_pp
+
+        else:
+            # serialize to pre-toml form
+            asdict = pp.to_pretoml()
+
+            if pp.expiry is None:
+                asdict.pop('expiry', None)
+
+            # TODO: we need to figure out how to have one top level
+            # listing venue here even when the backend isn't providing
+            # it via the trades ledger..
+            # drop symbol obj in serialized form
+            s = asdict.pop('symbol')
+            fqsn = s.front_fqsn()
+            print(f'Updating active pp: {fqsn}')
+
+            # XXX: ugh, it's cuz we push the section under
+            # the broker name.. maybe we need to rethink this?
+            brokerless_key = fqsn.rstrip(f'.{brokername}')
+
+            pp_entries[brokerless_key] = asdict
+
+    conf[brokername][acctid] = pp_entries
+
+    # TODO: why tf haven't they already done this for inline tables smh..
+    enc = PpsEncoder(preserve=True)
+    # table_bs_type = type(toml.TomlDecoder().get_empty_inline_table())
+    enc.dump_funcs[toml.decoder.InlineTableDict] = enc.dump_inline_table
+
+    config.write(
+        conf,
+        'pps',
+        encoder=enc,
+    )
+
+    # deliver object form of all pps in table to caller
+    return pp_objs, closed_pp_objs
+
+
+if __name__ == '__main__':
+    import sys
+
+    args = sys.argv
+    assert len(args) > 1, 'Specifiy account(s) from `brokers.toml`'
+    args = args[1:]
+    for acctid in args:
+        broker, name = acctid.split('.')
+        update_pps_conf(broker, name)

piker/ui/_position.py

@@ -19,6 +19,7 @@ Position info and display
 
 """
 from __future__ import annotations
+from copy import copy
 from dataclasses import dataclass
 from functools import partial
 from math import floor, copysign
@@ -105,8 +106,8 @@ async def update_pnl_from_feed(
                             # compute and display pnl status
                             order_mode.pane.pnl_label.format(
                                 pnl=copysign(1, size) * pnl(
-                                    # live.avg_price,
+                                    # live.be_price,
-                                    order_mode.current_pp.live_pp.avg_price,
+                                    order_mode.current_pp.live_pp.be_price,
                                     tick['price'],
                                 ),
                             )
@@ -356,7 +357,7 @@ class SettingsPane:
             # last historical close price
             last = feed.shm.array[-1][['close']][0]
             pnl_value = copysign(1, size) * pnl(
-                tracker.live_pp.avg_price,
+                tracker.live_pp.be_price,
                 last,
             )
 
@@ -476,7 +477,7 @@ class PositionTracker:
 
         self.alloc = alloc
         self.startup_pp = startup_pp
-        self.live_pp = startup_pp.copy()
+        self.live_pp = copy(startup_pp)
 
         view = chart.getViewBox()
 
@@ -556,7 +557,7 @@ class PositionTracker:
         pp = position or self.live_pp
 
         self.update_line(
-            pp.avg_price,
+            pp.be_price,
             pp.size,
             self.chart.linked.symbol.lot_size_digits,
         )
@@ -570,7 +571,7 @@ class PositionTracker:
             self.hide()
 
         else:
-            self._level_marker.level = pp.avg_price
+            self._level_marker.level = pp.be_price
 
             # these updates are critical to avoid lag on view/scene changes
             self._level_marker.update()  # trigger paint

piker/ui/order_mode.py

@@ -33,10 +33,10 @@ import trio
 from PyQt5.QtCore import Qt
 
 from .. import config
+from ..pp import Position
 from ..clearing._client import open_ems, OrderBook
 from ..clearing._allocate import (
     mk_allocator,
-    Position,
 )
 from ._style import _font
 from ..data._source import Symbol
@@ -59,7 +59,8 @@ log = get_logger(__name__)
 
 
 class OrderDialog(BaseModel):
-    '''Trade dialogue meta-data describing the lifetime
+    '''
+    Trade dialogue meta-data describing the lifetime
     of an order submission to ``emsd`` from a chart.
 
     '''
@@ -87,7 +88,8 @@ def on_level_change_update_next_order_info(
     tracker: PositionTracker,
 
 ) -> None:
-    '''A callback applied for each level change to the line
+    '''
+    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()``
@@ -604,7 +606,10 @@ async def open_order_mode(
             startup_pp = Position(
                 symbol=symbol,
                 size=0,
-                avg_price=0,
+                be_price=0,
+
+                # XXX: BLEH, do we care about this on the client side?
+                bsuid=symbol,
             )
             msg = pps_by_account.get(account_name)
             if msg:

setup.py

@@ -41,6 +41,7 @@ setup(
     },
     install_requires=[
         'toml',
+        'tomli',  # fastest pure py reader
         'click',
         'colorlog',
         'attrs',