use a mapping from userref to oid for order ack
Konstantine Tsafatinos
parent
6c54c81f01
commit
d826a66c8c
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@ -130,6 +130,7 @@ class Order(BaseModel):
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status: str # order status
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opentm: str # time of order
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timeinforce: str # e.g GTC, GTD
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userref: str # for a mapping to oids
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@dataclass
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@ -509,6 +510,7 @@ async def handle_order_requests(
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ems_order_stream: tractor.MsgStream,
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ws: NoBsWs,
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token: str,
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userref_oid_map: dict,
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) -> None:
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@ -541,17 +543,23 @@ async def handle_order_requests(
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def slashinsert(str):
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midPoint = len(str)//2
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return str[:midPoint] + '/' + str[midPoint:]
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# Send order via websocket
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order_msg = {
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"event": "addOrder",
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"ordertype": "limit",
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"pair": slashinsert(order.symbol.upper()),
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"price": str(order.price),
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"token": token,
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"type": order.action,
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"volume": str(order.size)
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}
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"event": "addOrder",
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"ordertype": "limit",
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"pair": slashinsert(order.symbol.upper()),
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"price": str(order.price),
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"token": token,
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"type": order.action,
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"volume": str(order.size),
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"userref": str(temp_id)
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}
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# add oid userref mapping
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userref_oid_map[str(temp_id)] = {
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'oid': order.oid, 'account': order.account
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}
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await ws.send_msg(order_msg)
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@ -716,16 +724,70 @@ async def trades_dialogue(
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):
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## TODO: maybe add multiple accounts
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#n.start_soon(handle_order_requests, client, ems_stream)
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# Mapping from userref passed to kraken and oid from piker
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userref_oid_map = {}
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async with open_autorecon_ws(
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'wss://ws-auth.kraken.com/',
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fixture=subscribe,
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token=token,
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) as ws:
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n.start_soon(handle_order_requests, client, ems_stream, ws, token)
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n.start_soon(
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handle_order_requests,
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client,
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ems_stream,
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ws,
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token,
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userref_oid_map
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)
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from pprint import pprint
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pending_orders = []
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async for msg in process_order_msgs(ws):
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pprint(msg)
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for order in msg:
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## TODO: Maybe do a better
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if type(order) == dict:
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for pending_order in pending_orders:
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if pending_order.txid == order['txid'] and order['status'] == 'open':
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await ems_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=userref_oid_map[pending_order.userref]['oid'],
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# broker specific request id
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reqid=order['txid'],
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# account the made the order
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account=userref_oid_map[
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pending_order.userref
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]['account']
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).dict()
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)
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elif order.status == 'pending':
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pending_orders.append(order)
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#if not pending_oder and order.status == 'open':
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# await ems_stream.send(
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# BrokerdOrder(
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# action=order.action,
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# oid='',
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# ## TODO: support multi accounts?
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# account='kraken.spot',
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# time_ns=int(float(order.opentm) * 10**9),
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# reqid=order.txid,
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# symbol=order.pair.replace('/', '').lower(),# + \
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# #'.kraken',
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# price=float(order.price),
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# size=float(order.vol)
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# ).dict()
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# )
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#await ems_order_stream.send(
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# BrokerdOrderAck(
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@ -840,35 +902,61 @@ async def process_order_msgs(
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Parse and pack data feed messages.
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'''
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sequence_counter = 0
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async for msg in stream_messages(ws):
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# TODO: write your order event parser here!
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# HINT: create a ``pydantic.BaseModel`` to parse and validate
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# and then in the caller recast to our native ``BrokerdX`` msg types.
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# check that we are on openOrders stream XXX: Maybe do something with sequence
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assert msg[1] == 'openOrders'
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orders = msg[0]
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for order in orders:
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txid = list(order.keys())[0]
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order_msg = Order(
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txid=txid,
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action=order[txid]['descr']['type'],
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ordertype=order[txid]['descr']['ordertype'],
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pair=order[txid]['descr']['pair'],
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price=order[txid]['descr']['price'],
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vol=order[txid]['vol'],
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status=order[txid]['status'],
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opentm=order[txid]['opentm'],
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timeinforce=order[txid]['timeinforce']
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)
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print(order_msg)
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print(msg[0][0].keys())
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try:
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# check that we are on openOrders stream and that msgs are arriving
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# in sequence with kraken
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assert msg[1] == 'openOrders'
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assert msg[2]['sequence'] > sequence_counter
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sequence_counter += 1
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raw_msgs = msg[0]
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# TODO: get length and start list
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order_msgs = []
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try:
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# check if its a new order or an update msg
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for order in raw_msgs:
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txid = list(order.keys())[0]
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order_msg = Order(
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txid=txid,
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action=order[txid]['descr']['type'],
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ordertype=order[txid]['descr']['ordertype'],
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pair=order[txid]['descr']['pair'],
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price=order[txid]['descr']['price'],
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vol=order[txid]['vol'],
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status=order[txid]['status'],
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opentm=order[txid]['opentm'],
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timeinforce=order[txid]['timeinforce'],
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userref=order[txid]['userref']
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)
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order_msgs.append(order_msg)
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yield order_msgs
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except KeyError:
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for order in raw_msgs:
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txid = list(order.keys())[0]
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## TODO: maybe use a pydantic.BaseModel
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order_msg = {
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'txid': txid,
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'status': order[txid]['status'],
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'userref': order[txid]['userref']
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}
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order_msgs.append(order_msg)
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yield order_msgs
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except AssertionError:
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print(f'UNHANDLED MSG: {msg}')
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yield msg
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# form of order msgs:
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# [{'OIZACU-HB2JZ-YA2QEF': {'lastupdated': '1644595511.768544',
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# 'status': 'canceled', 'vol_exec': '0.00000000', 'cost':
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@ -876,7 +964,7 @@ async def process_order_msgs(
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# '0.00000000', 'userref': 1, 'cancel_reason': 'User
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# requested'}}], 'openOrders', {'sequence': 4}]
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yield msg
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# yield msg
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def normalize(
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