WIP single brokerd dialogue
Tyler Goodlet
parent
2465c8fc78
commit
d6d7c24320
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@ -27,12 +27,14 @@ from typing import AsyncIterator, Callable, Any
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from bidict import bidict
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from pydantic import BaseModel
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import trio
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from trio_typing import TaskStatus
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import tractor
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from .. import data
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from ..log import get_logger
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from ..data._normalize import iterticks
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from ..data.feed import Feed
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from .._daemon import maybe_spawn_brokerd
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from . import _paper_engine as paper
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from ._messages import (
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Status, Order,
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@ -82,15 +84,16 @@ def mk_check(
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@dataclass
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class _DarkBook:
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"""Client-side execution book.
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'''EMS-trigger execution book.
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Contains conditions for executions (aka "orders") which are not
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exposed to brokers and thus the market; i.e. these are privacy
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focussed "client side" orders.
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Contains conditions for executions (aka "orders" or "triggers")
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which are not exposed to brokers and thus the market; i.e. these are
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privacy focussed "client side" orders which are submitted in real-time
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based on specified trigger conditions.
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A singleton instance is created per EMS actor (for now).
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A an instance per `brokerd` is created per EMS actor (for now).
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"""
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'''
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broker: str
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# levels which have an executable action (eg. alert, order, signal)
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@ -256,17 +259,33 @@ async def clear_dark_triggers(
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# print(f'execs scan took: {time.time() - start}')
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@dataclass
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class TradesRelay:
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brokerd_dialogue: tractor.MsgStream
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positions: dict[str, float]
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consumers: int = 0
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class _Router(BaseModel):
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'''Order router which manages per-broker dark books, alerts,
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and clearing related data feed management.
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'''Order router which manages and tracks per-broker dark book,
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alerts, clearing and related data feed management.
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A singleton per ``emsd`` actor.
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'''
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# setup at actor spawn time
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nursery: trio.Nursery
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feeds: dict[tuple[str, str], Any] = {}
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# broker to book map
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books: dict[str, _DarkBook] = {}
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# order id to client stream map
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dialogues: dict[str, list[tractor.MsgStream]] = {}
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relays: dict[str, tuple[dict, tractor.MsgStream]] = {}
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# brokername to trades-dialogues streams with ``brokerd`` actors
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relays: dict[str, TradesRelay] = {}
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class Config:
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arbitrary_types_allowed = True
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@ -280,10 +299,166 @@ class _Router(BaseModel):
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return self.books.setdefault(brokername, _DarkBook(brokername))
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@asynccontextmanager
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async def maybe_open_brokerd_trades_dialogue(
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self,
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feed: Feed,
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symbol: str,
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dark_book: _DarkBook,
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_exec_mode: str,
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loglevel: str,
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) -> tuple[dict, tractor.MsgStream]:
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'''Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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relay = self.relays.get(feed.mod.name)
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if relay is None:
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relay = await self.nursery.start(
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open_brokerd_trades_dialogue,
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self,
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feed,
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symbol,
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_exec_mode,
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loglevel,
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)
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relay.consumers += 1
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# TODO: get updated positions here?
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assert relay.brokerd_dialogue
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try:
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yield relay
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finally:
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# TODO: what exactly needs to be torn down here or
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# are we just consumer tracking?
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relay.consumers -= 1
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_router: _Router = None
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async def open_brokerd_trades_dialogue(
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router: _Router,
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feed: Feed,
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symbol: str,
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_exec_mode: str,
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loglevel: str,
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task_status: TaskStatus[TradesRelay] = trio.TASK_STATUS_IGNORED,
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) -> tuple[dict, tractor.MsgStream]:
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'''Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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trades_endpoint = getattr(feed.mod, 'trades_dialogue', None)
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broker = feed.mod.name
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# TODO: make a `tractor` bug about this!
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# portal = feed._brokerd_portal
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# XXX: we must have our own portal + channel otherwise
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# when the data feed closes it may result in a half-closed/fucked
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# channel that the brokerd side thinks is still open somehow!?
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async with maybe_spawn_brokerd(
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broker,
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loglevel=loglevel,
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) as portal:
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if trades_endpoint is None or _exec_mode == 'paper':
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running a
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# paper-simulator clearing engine.
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# load the paper trading engine
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_exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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open_trades_endpoint = paper.open_paperboi(
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broker=broker,
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symbol=symbol,
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loglevel=loglevel,
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)
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else:
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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try:
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async with (
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open_trades_endpoint as (brokerd_ctx, positions),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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):
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# XXX: really we only want one stream per `emsd` actor
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# to relay global `brokerd` order events unless we're
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# doing to expect each backend to relay only orders
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# affiliated with a particular ``trades_dialogue()``
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# session (seems annoying for implementers). So, here
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# we cache the relay task and instead of running multiple
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# tasks (which will result in multiples of the same msg being
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# relayed for each EMS client) we just register each client
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# stream to this single relay loop using _router.dialogues
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# begin processing order events from the target brokerd backend
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# by receiving order submission response messages,
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# normalizing them to EMS messages and relaying back to
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# the piker order client set.
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# with brokerd_trades_stream.shield():
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relay = TradesRelay(
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brokerd_dialogue=brokerd_trades_stream,
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positions=positions,
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consumers=1
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)
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_router.relays[broker] = relay
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# the ems scan loop may be cancelled by the client but we
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# want to keep the ``brokerd`` dialogue up regardless
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task_status.started(relay)
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await translate_and_relay_brokerd_events(
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broker,
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brokerd_trades_stream,
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_router,
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)
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# this context should block here indefinitely until
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# the ``brokerd`` task either dies or is cancelled
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finally:
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# context must have been closed
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# remove from cache so next client will respawn if needed
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# print('BROKERD DIALOGUE KILLED!!?!?!')
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# with trio.CancelScope(shield=True):
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# await tractor.breakpoint()
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# raise
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_router.relays.pop(broker)
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@tractor.context
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async def _setup_persistent_emsd(
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@ -301,17 +476,13 @@ async def _setup_persistent_emsd(
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# TODO: send back the full set of persistent orders/execs persistent
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await ctx.started()
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# we pin this task to keep the feeds manager active until the
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# parent actor decides to tear it down
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await trio.sleep_forever()
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async def translate_and_relay_brokerd_events(
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broker: str,
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# ems_client_order_stream: tractor.MsgStream,
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brokerd_trades_stream: tractor.MsgStream,
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book: _DarkBook,
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router: _Router,
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) -> AsyncIterator[dict]:
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@ -334,6 +505,11 @@ async def translate_and_relay_brokerd_events(
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{'presubmitted', 'submitted', 'cancelled', 'inactive'}
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'''
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book = router.get_dark_book(broker)
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relay = router.relays[broker]
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assert relay.brokerd_dialogue == brokerd_trades_stream
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async for brokerd_msg in brokerd_trades_stream:
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name = brokerd_msg['name']
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@ -342,13 +518,16 @@ async def translate_and_relay_brokerd_events(
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if name == 'position':
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pos_msg = BrokerdPosition(**brokerd_msg).dict()
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# keep up to date locally in ``emsd``
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relay.positions.update(pos_msg)
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# relay through position msgs immediately by
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# broadcasting updates on all client streams
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for oid, ems_client_order_stream in router.dialogues.items():
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await ems_client_order_stream.send(
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BrokerdPosition(**brokerd_msg).dict()
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)
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await ems_client_order_stream.send(pos_msg)
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continue
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@ -425,7 +604,7 @@ async def translate_and_relay_brokerd_events(
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resp = None
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broker_details = {}
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client_flow_complete: bool = False
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# client_flow_complete: bool = False
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if name in (
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'error',
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@ -460,7 +639,7 @@ async def translate_and_relay_brokerd_events(
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if msg.status == 'cancelled':
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client_flow_complete = True
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# client_flow_complete = True
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log.info(f'Cancellation for {oid} is complete!')
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if msg.status == 'filled':
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@ -473,7 +652,7 @@ async def translate_and_relay_brokerd_events(
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# be sure to pop this stream from our dialogue set
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# since the order dialogue should be done.
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client_flow_complete = True
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# client_flow_complete = True
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log.info(f'Execution for {oid} is complete!')
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# just log it
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@ -514,11 +693,11 @@ async def translate_and_relay_brokerd_events(
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).dict()
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)
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# TODO: do we want this to keep things cleaned up?
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# it might require a special status from brokerd to affirm the
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# flow is complete?
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# if client_flow_complete:
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# router.dialogues.pop(oid)
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# TODO: do we want this to keep things cleaned up?
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# it might require a special status from brokerd to affirm the
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# flow is complete?
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# if client_flow_complete:
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# router.dialogues.pop(oid)
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async def process_client_order_cmds(
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@ -655,7 +834,7 @@ async def process_client_order_cmds(
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# flow so that if a cancel comes from the requesting
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# client, before that ack, when the ack does arrive we
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# immediately take the reqid from the broker and cancel
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# that order with them immediately.
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# that live order asap.
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dark_book._ems_entries[oid] = msg
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# "DARK" triggers
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@ -725,102 +904,6 @@ async def process_client_order_cmds(
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)
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@asynccontextmanager
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async def maybe_open_brokerd_trades_dialogue(
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router: _Router,
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feed: Feed,
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broker: str,
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symbol: str,
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dark_book: _DarkBook,
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_exec_mode: str,
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loglevel: str,
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) -> tuple[dict, tractor.MsgStream]:
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'''Open and yield ``brokerd`` trades dialogue context-stream if none
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already exists.
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'''
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trades_endpoint = getattr(feed.mod, 'trades_dialogue', None)
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portal = feed._brokerd_portal
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if broker in _router.relays:
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positions, brokerd_trades_stream = _router.relays[broker]
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# TODO: get updated positions here?
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yield positions, brokerd_trades_stream
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return
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if trades_endpoint is None or _exec_mode == 'paper':
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# for paper mode we need to mock this trades response feed
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# so we load bidir stream to a new sub-actor running a
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# paper-simulator clearing engine.
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# load the paper trading engine
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_exec_mode = 'paper'
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log.warning(f'Entering paper trading mode for {broker}')
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# load the paper trading engine as a subactor of this emsd
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# actor to simulate the real IPC load it'll have when also
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# pulling data from feeds
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open_trades_endpoint = paper.open_paperboi(
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broker=broker,
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symbol=symbol,
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loglevel=loglevel,
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)
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else:
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# open live brokerd trades endpoint
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open_trades_endpoint = portal.open_context(
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trades_endpoint,
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loglevel=loglevel,
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)
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async with (
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open_trades_endpoint as (brokerd_ctx, positions),
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brokerd_ctx.open_stream() as brokerd_trades_stream,
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trio.open_nursery() as n,
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):
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# XXX: really we only want one stream per `emsd` actor
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# to relay global `brokerd` order events unless we're
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# doing to expect each backend to relay only orders
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# affiliated with a particular ``trades_dialogue()``
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# session (seems annoying for implementers). So, here
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# we cache the relay task and instead of running multiple
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# tasks (which will result in multiples of the same msg being
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# relayed for each EMS client) we just register each client
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# stream to this single relay loop using _router.dialogues
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# begin processing order events from the target brokerd backend
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# by receiving order submission response messages,
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# normalizing them to EMS messages and relaying back to
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# the piker order client set.
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n.start_soon(
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translate_and_relay_brokerd_events,
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broker,
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# ems_client_order_stream,
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brokerd_trades_stream,
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dark_book,
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_router,
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)
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_router.relays[broker] = (positions, brokerd_trades_stream)
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try:
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yield positions, brokerd_trades_stream
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finally:
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# remove from cache so next client will respawn if needed
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_router.relays.pop(broker)
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@tractor.context
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async def _emsd_main(
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@ -855,7 +938,7 @@ async def _emsd_main(
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run (dark order) conditions on inputs and trigger brokerd "live"
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order submissions.
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|
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- ``translate_and_relay_brokerd_events()``:
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- (maybe) ``translate_and_relay_brokerd_events()``:
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accept normalized trades responses from brokerd, process and
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relay to ems client(s); this is a effectively a "trade event
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reponse" proxy-broker.
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@ -905,24 +988,24 @@ async def _emsd_main(
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# only open if one isn't already up: we try to keep
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# as few duplicate streams as necessary
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maybe_open_brokerd_trades_dialogue(
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_router,
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_router.maybe_open_brokerd_trades_dialogue(
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feed,
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broker,
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symbol,
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dark_book,
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_exec_mode,
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loglevel,
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) as (positions, brokerd_trades_stream),
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) as relay,
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trio.open_nursery() as n,
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):
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brokerd_stream = relay.brokerd_dialogue #.clone()
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# signal to client that we're started
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# TODO: we could eventually send back **all** brokerd
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# positions here?
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await ems_ctx.started(positions)
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await ems_ctx.started(relay.positions)
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# establish 2-way stream with requesting order-client and
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# begin handling inbound order requests and updates
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@ -932,7 +1015,8 @@ async def _emsd_main(
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n.start_soon(
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clear_dark_triggers,
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brokerd_trades_stream,
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# relay.brokerd_dialogue,
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brokerd_stream,
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ems_client_order_stream,
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feed.stream,
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@ -942,12 +1026,25 @@ async def _emsd_main(
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)
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# start inbound (from attached client) order request processing
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await process_client_order_cmds(
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try:
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await process_client_order_cmds(
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ems_client_order_stream,
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brokerd_trades_stream,
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symbol,
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feed,
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dark_book,
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_router,
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)
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ems_client_order_stream,
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# relay.brokerd_dialogue,
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brokerd_stream,
|
||||
|
||||
symbol,
|
||||
feed,
|
||||
dark_book,
|
||||
_router,
|
||||
)
|
||||
finally:
|
||||
pass
|
||||
# for oid, client_stream in _router.dialogs.copy().items():
|
||||
# if client_stream is ems_client_order_stream:
|
||||
# # TODO: we need a placeholder for sending
|
||||
# # the updates to an alert system inside
|
||||
# # ``emsd`` ??
|
||||
# print(f'popping order for stream {oid}')
|
||||
# _router.dialogs.pop(oid)
|
||||
|
|
|
|||
Loading…
Reference in New Issue