First draft paper trading engine!
It's a super naive implementation with no slippage model or network latency besides some slight delays. Clearing only happens on bid/ask sweep ticks at the moment - simple last volume based clearing coming up next.basic_orders
parent
ead2f77d40
commit
d8b157d209
piker
502
piker/_ems.py
502
piker/_ems.py
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@ -15,16 +15,18 @@
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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"""
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In suit parlance: "Execution management systems"
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In da suit parlances: "Execution management systems"
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"""
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"""
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from pprint import pformat
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from pprint import pformat
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import time
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import time
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from datetime import datetime
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from contextlib import asynccontextmanager
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from dataclasses import dataclass, field
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from typing import (
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from typing import (
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AsyncIterator, Dict, Callable, Tuple,
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AsyncIterator, Dict, Callable, Tuple,
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)
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)
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import uuid
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from bidict import bidict
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from bidict import bidict
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import trio
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import trio
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@ -73,10 +75,13 @@ def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
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@dataclass
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@dataclass
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class _ExecBook:
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class _DarkBook:
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"""EMS-side execution book.
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"""Client-side 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").
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A singleton instance is created per EMS actor (for now).
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A singleton instance is created per EMS actor (for now).
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"""
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"""
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@ -105,13 +110,13 @@ class _ExecBook:
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_broker2ems_ids: Dict[str, str] = field(default_factory=bidict)
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_broker2ems_ids: Dict[str, str] = field(default_factory=bidict)
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_books: Dict[str, _ExecBook] = {}
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_books: Dict[str, _DarkBook] = {}
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def get_book(broker: str) -> _ExecBook:
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def get_dark_book(broker: str) -> _DarkBook:
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global _books
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global _books
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return _books.setdefault(broker, _ExecBook(broker))
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return _books.setdefault(broker, _DarkBook(broker))
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# XXX: this is in place to prevent accidental positions that are too
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# XXX: this is in place to prevent accidental positions that are too
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@ -129,9 +134,20 @@ class PaperBoi:
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requirements.
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requirements.
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"""
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"""
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broker: str
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_to_trade_stream: trio.abc.SendChannel
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_to_trade_stream: trio.abc.SendChannel
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trade_stream: trio.abc.ReceiveChannel
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trade_stream: trio.abc.ReceiveChannel
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# map of paper "live" orders which be used
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# to simulate fills based on paper engine settings
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_buys: bidict
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_sells: bidict
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_reqids: bidict
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# init edge case L1 spread
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last_ask: Tuple[float, float] = (float('inf'), 0) # price, size
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last_bid: Tuple[float, float] = (0, 0)
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async def submit_limit(
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async def submit_limit(
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self,
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self,
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oid: str, # XXX: see return value
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oid: str, # XXX: see return value
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@ -143,6 +159,46 @@ class PaperBoi:
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"""Place an order and return integer request id provided by client.
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"""Place an order and return integer request id provided by client.
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"""
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"""
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# the trades stream expects events in the form
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# {'local_trades': (event_name, msg)}
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reqid = str(uuid.uuid4())
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# register this submissions as a paper live order
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if action == 'buy':
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orders = self._buys
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elif action == 'sell':
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orders = self._sells
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# buys/sells: (symbol -> (price -> order))
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orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
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self._reqids[reqid] = (oid, symbol, action, price)
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# TODO: net latency model
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# we checkpoint here quickly particulalry
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# for dark orders since we want the dark_executed
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# to trigger first thus creating a lookup entry
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# in the broker trades event processing loop
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'reqid': reqid,
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'status': 'submitted',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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return reqid
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async def submit_cancel(
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async def submit_cancel(
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self,
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self,
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@ -150,68 +206,218 @@ class PaperBoi:
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) -> None:
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) -> None:
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# TODO: fake market simulation effects
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# TODO: fake market simulation effects
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self._to_trade_stream()
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# await self._to_trade_stream.send(
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oid, symbol, action, price = self._reqids[reqid]
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def emulate_fill(
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if action == 'buy':
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self
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self._buys[symbol].pop(price)
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elif action == 'sell':
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self._sells[symbol].pop(price)
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# TODO: net latency model
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'time_ns': time.time_ns(),
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'oid': oid,
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'reqid': reqid,
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'status': 'cancelled',
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'broker': self.broker,
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# 'cmd': cmd, # original request message
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'paper': True,
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}),
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})
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async def fake_fill(
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self,
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price: float,
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size: float,
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action: str, # one of {'buy', 'sell'}
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reqid: str,
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oid: str,
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# determine whether to send a filled status that has zero
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# remaining lots to fill
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order_complete: bool = True,
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remaining: float = 0,
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) -> None:
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) -> None:
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...
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"""Pretend to fill a broker order @ price and size.
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"""
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# TODO: net latency model
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await trio.sleep(0.05)
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await self._to_trade_stream.send({
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'local_trades': ('fill', {
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'status': 'filled',
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'broker': self.broker,
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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'action': action,
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'size': size,
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'price': price,
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'remaining': 0 if order_complete else remaining,
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# normally filled by real `brokerd` daemon
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'time': time.time_ns(),
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'time_ns': time.time_ns(), # cuz why not
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# fake ids
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'reqid': reqid,
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'paper_info': {
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'oid': oid,
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},
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# XXX: fields we might not need to emulate?
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# execution id from broker
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# 'execid': execu.execId,
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# 'cmd': cmd, # original request message?
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}),
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})
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if order_complete:
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await self._to_trade_stream.send({
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'local_trades': ('status', {
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'reqid': reqid,
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'status': 'filled',
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'broker': self.broker,
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'filled': size,
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'remaining': 0 if order_complete else remaining,
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# converted to float by us in ib backend
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'broker_time': datetime.now().timestamp(),
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'paper_info': {
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'oid': oid,
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},
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}),
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})
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async def exec_loop(
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async def simulate_fills(
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ctx: tractor.Context,
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quote_stream: 'tractor.ReceiveStream', # noqa
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client: PaperBoi,
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) -> None:
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# TODO: more machinery to better simulate real-world market things:
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# - slippage models, check what quantopian has:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py
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# * this should help with simulating partial fills in a fast moving mkt
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# afaiu
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# - commisions models, also quantopian has em:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py
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# - network latency models ??
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# - position tracking:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
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# this stream may eventually contain multiple symbols
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async for quotes in quote_stream:
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for sym, quote in quotes.items():
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buys, sells = client._buys.get(sym), client._sells.get(sym)
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if not (buys or sells):
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continue
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for tick in iterticks(
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quote,
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# dark order price filter(s)
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types=('ask', 'bid', 'trade', 'last')
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):
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print(tick)
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tick_price = tick.get('price')
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ttype = tick['type']
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if ttype in ('ask',) and buys:
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client.last_ask = (
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tick_price,
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tick.get('size', client.last_ask[1]),
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)
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# iterate book prices descending
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for our_bid in reversed(sorted(buys.keys())):
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if tick_price < our_bid:
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# retreive order info
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(size, oid, reqid, action) = buys.pop(our_bid)
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# clearing price would have filled entirely
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await client.fake_fill(
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# todo slippage to determine fill price
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tick_price,
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size,
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action,
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reqid,
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oid,
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)
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else:
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# prices are interated in sorted order so
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# we're done
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break
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if ttype in ('bid',) and sells:
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# iterate book prices ascending
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for our_ask in sorted(sells.keys()):
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client.last_bid = (
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tick_price,
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tick.get('bid', client.last_bid[1]),
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)
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if tick_price > our_ask:
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# retreive order info
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(size, oid, reqid, action) = sells.pop(our_ask)
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# clearing price would have filled entirely
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await client.fake_fill(
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tick_price,
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size,
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action,
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reqid,
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oid,
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)
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else:
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# prices are interated in sorted order so
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# we're done
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break
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if ttype in ('trade', 'last'):
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# TODO: simulate actual book queues and our orders
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# place in it, might require full L2 data?
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pass
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async def execute_triggers(
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broker: str,
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broker: str,
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symbol: str,
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symbol: str,
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_exec_mode: str,
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stream: 'tractor.ReceiveStream', # noqa
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task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
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ctx: tractor.Context,
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) -> AsyncIterator[dict]:
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client: 'Client', # noqa
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book: _DarkBook,
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) -> None:
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"""Core dark order trigger loop.
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async with data.open_feed(
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Scan the (price) data feed and submit triggered orders
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broker,
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to broker.
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[symbol],
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loglevel='info',
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) as feed:
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# TODO: get initial price quote from target broker
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first_quote = await feed.receive()
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book = get_book(broker)
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book.lasts[(broker, symbol)] = first_quote[symbol]['last']
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# TODO: wrap this in a more re-usable general api
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client_factory = getattr(feed.mod, 'get_client_proxy', None)
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# we have an order API for this broker
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if client_factory is not None and _exec_mode != 'paper':
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client = client_factory(feed._brokerd_portal)
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# force paper mode
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else:
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log.warning(
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f'No order client is yet supported for {broker}, '
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'entering paper mode')
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client = PaperBoi(*trio.open_memory_channel(100))
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# for paper mode we need to mock this trades response feed
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# so we pass a duck-typed feed-looking mem chan which is fed
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# fill and submission events from the exec loop
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feed._set_fake_trades_stream(client.trade_stream)
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# init the trades stream
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client._to_trade_stream.send_nowait({'local_trades': 'start'})
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# return control to parent task
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task_status.started((first_quote, feed, client))
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##############################
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# begin price actions sequence
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# XXX: optimize this for speed
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##############################
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# shield this field so the remote brokerd does not get cancelled
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stream = feed.stream
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with stream.shield():
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"""
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# this stream may eventually contain multiple symbols
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# this stream may eventually contain multiple symbols
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async for quotes in stream:
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async for quotes in stream:
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@ -233,9 +439,9 @@ async def exec_loop(
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ttype = tick['type']
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ttype = tick['type']
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# lel, fuck you ib
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# lel, fuck you ib
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if price < 0:
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# if price < 0:
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log.error(f'!!?!?!VOLUME TICK {tick}!?!?')
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# log.error(f'!!?!?!VOLUME TICK {tick}!?!?')
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continue
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# continue
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# update to keep new cmds informed
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# update to keep new cmds informed
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book.lasts[(broker, symbol)] = price
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book.lasts[(broker, symbol)] = price
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@ -265,9 +471,10 @@ async def exec_loop(
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oid=oid,
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oid=oid,
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symbol=sym,
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symbol=sym,
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action=cmd['action'],
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action=cmd['action'],
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price=round(submit_price, 2),
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price=submit_price,
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size=cmd['size'],
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size=cmd['size'],
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)
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)
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# register broker request id to ems id
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# register broker request id to ems id
|
||||||
book._broker2ems_ids[reqid] = oid
|
book._broker2ems_ids[reqid] = oid
|
||||||
|
|
||||||
|
@ -275,13 +482,13 @@ async def exec_loop(
|
||||||
'resp': 'dark_executed',
|
'resp': 'dark_executed',
|
||||||
'time_ns': time.time_ns(),
|
'time_ns': time.time_ns(),
|
||||||
'trigger_price': price,
|
'trigger_price': price,
|
||||||
'broker_reqid': reqid,
|
|
||||||
'broker': broker,
|
|
||||||
'oid': oid,
|
|
||||||
'cmd': cmd, # original request message
|
'cmd': cmd, # original request message
|
||||||
|
|
||||||
# current shm array index - this needed?
|
'broker_reqid': reqid,
|
||||||
# 'ohlc_index': feed.shm._last.value - 1,
|
'broker': broker,
|
||||||
|
'oid': oid, # piker order id
|
||||||
|
|
||||||
}
|
}
|
||||||
|
|
||||||
# remove exec-condition from set
|
# remove exec-condition from set
|
||||||
|
@ -296,7 +503,85 @@ async def exec_loop(
|
||||||
book.orders[symbol] = execs
|
book.orders[symbol] = execs
|
||||||
|
|
||||||
# print(f'execs scan took: {time.time() - start}')
|
# print(f'execs scan took: {time.time() - start}')
|
||||||
# feed teardown
|
|
||||||
|
|
||||||
|
async def exec_loop(
|
||||||
|
ctx: tractor.Context,
|
||||||
|
broker: str,
|
||||||
|
symbol: str,
|
||||||
|
_exec_mode: str,
|
||||||
|
task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
|
||||||
|
) -> AsyncIterator[dict]:
|
||||||
|
"""Main scan loop for order execution conditions and submission
|
||||||
|
to brokers.
|
||||||
|
|
||||||
|
"""
|
||||||
|
async with data.open_feed(
|
||||||
|
broker,
|
||||||
|
[symbol],
|
||||||
|
loglevel='info',
|
||||||
|
) as feed:
|
||||||
|
|
||||||
|
# TODO: get initial price quote from target broker
|
||||||
|
first_quote = await feed.receive()
|
||||||
|
|
||||||
|
book = get_dark_book(broker)
|
||||||
|
book.lasts[(broker, symbol)] = first_quote[symbol]['last']
|
||||||
|
|
||||||
|
# TODO: wrap this in a more re-usable general api
|
||||||
|
client_factory = getattr(feed.mod, 'get_client_proxy', None)
|
||||||
|
|
||||||
|
if client_factory is not None and _exec_mode != 'paper':
|
||||||
|
|
||||||
|
# we have an order API for this broker
|
||||||
|
client = client_factory(feed._brokerd_portal)
|
||||||
|
|
||||||
|
else:
|
||||||
|
# force paper mode
|
||||||
|
log.warning(f'Entering paper trading mode for {broker}')
|
||||||
|
|
||||||
|
client = PaperBoi(
|
||||||
|
broker,
|
||||||
|
*trio.open_memory_channel(100),
|
||||||
|
_buys={},
|
||||||
|
_sells={},
|
||||||
|
_reqids={},
|
||||||
|
)
|
||||||
|
|
||||||
|
# for paper mode we need to mock this trades response feed
|
||||||
|
# so we pass a duck-typed feed-looking mem chan which is fed
|
||||||
|
# fill and submission events from the exec loop
|
||||||
|
feed._trade_stream = client.trade_stream
|
||||||
|
|
||||||
|
# init the trades stream
|
||||||
|
client._to_trade_stream.send_nowait({'local_trades': 'start'})
|
||||||
|
|
||||||
|
_exec_mode = 'paper'
|
||||||
|
|
||||||
|
# return control to parent task
|
||||||
|
task_status.started((first_quote, feed, client))
|
||||||
|
|
||||||
|
##############################
|
||||||
|
# begin price actions sequence
|
||||||
|
# XXX: optimize this for speed
|
||||||
|
##############################
|
||||||
|
|
||||||
|
# shield this field so the remote brokerd does not get cancelled
|
||||||
|
stream = feed.stream
|
||||||
|
with stream.shield():
|
||||||
|
async with trio.open_nursery() as n:
|
||||||
|
n.start_soon(
|
||||||
|
execute_triggers,
|
||||||
|
broker,
|
||||||
|
symbol,
|
||||||
|
stream,
|
||||||
|
ctx,
|
||||||
|
client,
|
||||||
|
book
|
||||||
|
)
|
||||||
|
|
||||||
|
if _exec_mode == 'paper':
|
||||||
|
n.start_soon(simulate_fills, stream.clone(), client)
|
||||||
|
|
||||||
|
|
||||||
# TODO: lots of cases still to handle
|
# TODO: lots of cases still to handle
|
||||||
|
@ -312,7 +597,7 @@ async def exec_loop(
|
||||||
async def process_broker_trades(
|
async def process_broker_trades(
|
||||||
ctx: tractor.Context,
|
ctx: tractor.Context,
|
||||||
feed: 'Feed', # noqa
|
feed: 'Feed', # noqa
|
||||||
book: _ExecBook,
|
book: _DarkBook,
|
||||||
task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
|
||||||
) -> AsyncIterator[dict]:
|
) -> AsyncIterator[dict]:
|
||||||
"""Trades update loop - receive updates from broker, convert
|
"""Trades update loop - receive updates from broker, convert
|
||||||
|
@ -329,17 +614,18 @@ async def process_broker_trades(
|
||||||
'status' -> relabel as 'broker_<status>', if complete send 'executed'
|
'status' -> relabel as 'broker_<status>', if complete send 'executed'
|
||||||
'fill' -> 'broker_filled'
|
'fill' -> 'broker_filled'
|
||||||
|
|
||||||
Currently accepted status values from IB
|
Currently accepted status values from IB:
|
||||||
{'presubmitted', 'submitted', 'cancelled', 'inactive'}
|
{'presubmitted', 'submitted', 'cancelled', 'inactive'}
|
||||||
|
|
||||||
"""
|
"""
|
||||||
broker = feed.mod.name
|
broker = feed.mod.name
|
||||||
|
|
||||||
with trio.fail_after(5):
|
with trio.fail_after(5):
|
||||||
|
# in the paper engine case this is just a mem receive channel
|
||||||
trades_stream = await feed.recv_trades_data()
|
trades_stream = await feed.recv_trades_data()
|
||||||
first = await trades_stream.__anext__()
|
first = await trades_stream.__anext__()
|
||||||
|
|
||||||
# startup msg
|
# startup msg expected as first from broker backend
|
||||||
assert first['local_trades'] == 'start'
|
assert first['local_trades'] == 'start'
|
||||||
task_status.started()
|
task_status.started()
|
||||||
|
|
||||||
|
@ -354,7 +640,19 @@ async def process_broker_trades(
|
||||||
|
|
||||||
# make response packet to EMS client(s)
|
# make response packet to EMS client(s)
|
||||||
oid = book._broker2ems_ids.get(reqid)
|
oid = book._broker2ems_ids.get(reqid)
|
||||||
resp = {'oid': oid}
|
|
||||||
|
if oid is None:
|
||||||
|
# paper engine race case: ``Client.submit_limit()`` hasn't
|
||||||
|
# returned yet and provided an output reqid to register
|
||||||
|
# locally, so we need to retreive the oid that was already
|
||||||
|
# packed at submission since we already know it ahead of
|
||||||
|
# time
|
||||||
|
oid = msg['paper_info']['oid']
|
||||||
|
|
||||||
|
resp = {
|
||||||
|
'resp': None, # placeholder
|
||||||
|
'oid': oid
|
||||||
|
}
|
||||||
|
|
||||||
if name in (
|
if name in (
|
||||||
'error',
|
'error',
|
||||||
|
@ -379,6 +677,9 @@ async def process_broker_trades(
|
||||||
# another stupid ib error to handle
|
# another stupid ib error to handle
|
||||||
# if 10147 in message: cancel
|
# if 10147 in message: cancel
|
||||||
|
|
||||||
|
# don't relay message to order requester client
|
||||||
|
continue
|
||||||
|
|
||||||
elif name in (
|
elif name in (
|
||||||
'status',
|
'status',
|
||||||
):
|
):
|
||||||
|
@ -398,12 +699,14 @@ async def process_broker_trades(
|
||||||
status = msg['status'].lower()
|
status = msg['status'].lower()
|
||||||
|
|
||||||
if status == 'filled':
|
if status == 'filled':
|
||||||
|
# await tractor.breakpoint()
|
||||||
|
|
||||||
# conditional execution is fully complete, no more
|
# conditional execution is fully complete, no more
|
||||||
# fills for the noted order
|
# fills for the noted order
|
||||||
if not msg['remaining']:
|
if not msg['remaining']:
|
||||||
await ctx.send_yield(
|
|
||||||
{'resp': 'broker_executed', 'oid': oid})
|
resp['resp'] = 'broker_executed'
|
||||||
|
|
||||||
log.info(f'Execution for {oid} is complete!')
|
log.info(f'Execution for {oid} is complete!')
|
||||||
|
|
||||||
# just log it
|
# just log it
|
||||||
|
@ -414,16 +717,17 @@ async def process_broker_trades(
|
||||||
# one of (submitted, cancelled)
|
# one of (submitted, cancelled)
|
||||||
resp['resp'] = 'broker_' + status
|
resp['resp'] = 'broker_' + status
|
||||||
|
|
||||||
await ctx.send_yield(resp)
|
|
||||||
|
|
||||||
elif name in (
|
elif name in (
|
||||||
'fill',
|
'fill',
|
||||||
):
|
):
|
||||||
# proxy through the "fill" result(s)
|
# proxy through the "fill" result(s)
|
||||||
resp['resp'] = 'broker_filled'
|
resp['resp'] = 'broker_filled'
|
||||||
resp.update(msg)
|
resp.update(msg)
|
||||||
|
|
||||||
|
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||||
|
|
||||||
|
# respond to requesting client
|
||||||
await ctx.send_yield(resp)
|
await ctx.send_yield(resp)
|
||||||
log.info(f'Fill for {oid} cleared with\n{pformat(resp)}')
|
|
||||||
|
|
||||||
|
|
||||||
@tractor.stream
|
@tractor.stream
|
||||||
|
@ -452,14 +756,14 @@ async def _ems_main(
|
||||||
- ``_ems_main()``:
|
- ``_ems_main()``:
|
||||||
accepts order cmds, registers execs with exec loop
|
accepts order cmds, registers execs with exec loop
|
||||||
|
|
||||||
- ``exec_loop()``: run conditions on inputs and trigger executions
|
- ``exec_loop()``:
|
||||||
|
run (dark) conditions on inputs and trigger broker submissions
|
||||||
|
|
||||||
- ``process_broker_trades()``:
|
- ``process_broker_trades()``:
|
||||||
accept normalized trades responses, process and relay to ems client(s)
|
accept normalized trades responses, process and relay to ems client(s)
|
||||||
|
|
||||||
"""
|
"""
|
||||||
actor = tractor.current_actor()
|
book = get_dark_book(broker)
|
||||||
book = get_book(broker)
|
|
||||||
|
|
||||||
# get a portal back to the client
|
# get a portal back to the client
|
||||||
async with tractor.wait_for_actor(client_actor_name) as portal:
|
async with tractor.wait_for_actor(client_actor_name) as portal:
|
||||||
|
@ -485,10 +789,13 @@ async def _ems_main(
|
||||||
book,
|
book,
|
||||||
)
|
)
|
||||||
|
|
||||||
# connect back to the calling actor to receive order requests
|
# connect back to the calling actor (the one that is
|
||||||
|
# acting as an EMS client and will submit orders) to
|
||||||
|
# receive requests pushed over a tractor stream
|
||||||
|
# using (for now) an async generator.
|
||||||
async for cmd in await portal.run(send_order_cmds):
|
async for cmd in await portal.run(send_order_cmds):
|
||||||
|
|
||||||
log.info(f'{cmd} received in {actor.uid}')
|
log.info(f'Received order cmd:\n{pformat(cmd)}')
|
||||||
|
|
||||||
action = cmd['action']
|
action = cmd['action']
|
||||||
oid = cmd['oid']
|
oid = cmd['oid']
|
||||||
|
@ -533,7 +840,7 @@ async def _ems_main(
|
||||||
oid=oid, # no ib support for this
|
oid=oid, # no ib support for this
|
||||||
symbol=sym,
|
symbol=sym,
|
||||||
action=action,
|
action=action,
|
||||||
price=round(trigger_price, 2),
|
price=trigger_price,
|
||||||
size=size,
|
size=size,
|
||||||
)
|
)
|
||||||
book._broker2ems_ids[order_id] = oid
|
book._broker2ems_ids[order_id] = oid
|
||||||
|
@ -590,7 +897,7 @@ async def _ems_main(
|
||||||
abs_diff_away
|
abs_diff_away
|
||||||
)
|
)
|
||||||
|
|
||||||
# ack-response that order is live here
|
# ack-response that order is live in EMS
|
||||||
await ctx.send_yield({
|
await ctx.send_yield({
|
||||||
'resp': 'dark_submitted',
|
'resp': 'dark_submitted',
|
||||||
'oid': oid
|
'oid': oid
|
||||||
|
@ -608,10 +915,11 @@ class OrderBook:
|
||||||
hard/fast work of talking to brokers/exchanges to conduct
|
hard/fast work of talking to brokers/exchanges to conduct
|
||||||
executions.
|
executions.
|
||||||
|
|
||||||
Currently, mostly for keeping local state to match the EMS and use
|
Currently, this is mostly for keeping local state to match the EMS
|
||||||
received events to trigger graphics updates.
|
and use received events to trigger graphics updates.
|
||||||
|
|
||||||
"""
|
"""
|
||||||
|
# mem channels used to relay order requests to the EMS daemon
|
||||||
_to_ems: trio.abc.SendChannel
|
_to_ems: trio.abc.SendChannel
|
||||||
_from_order_book: trio.abc.ReceiveChannel
|
_from_order_book: trio.abc.ReceiveChannel
|
||||||
|
|
||||||
|
@ -626,7 +934,7 @@ class OrderBook:
|
||||||
size: float,
|
size: float,
|
||||||
action: str,
|
action: str,
|
||||||
exec_mode: str,
|
exec_mode: str,
|
||||||
) -> str:
|
) -> dict:
|
||||||
cmd = {
|
cmd = {
|
||||||
'action': action,
|
'action': action,
|
||||||
'price': price,
|
'price': price,
|
||||||
|
@ -638,6 +946,7 @@ class OrderBook:
|
||||||
}
|
}
|
||||||
self._sent_orders[uuid] = cmd
|
self._sent_orders[uuid] = cmd
|
||||||
self._to_ems.send_nowait(cmd)
|
self._to_ems.send_nowait(cmd)
|
||||||
|
return cmd
|
||||||
|
|
||||||
async def modify(self, oid: str, price) -> bool:
|
async def modify(self, oid: str, price) -> bool:
|
||||||
...
|
...
|
||||||
|
@ -658,8 +967,13 @@ class OrderBook:
|
||||||
_orders: OrderBook = None
|
_orders: OrderBook = None
|
||||||
|
|
||||||
|
|
||||||
def get_orders(emsd_uid: Tuple[str, str] = None) -> OrderBook:
|
def get_orders(
|
||||||
|
emsd_uid: Tuple[str, str] = None
|
||||||
|
) -> OrderBook:
|
||||||
|
""""
|
||||||
|
OrderBook singleton factory per actor.
|
||||||
|
|
||||||
|
"""
|
||||||
if emsd_uid is not None:
|
if emsd_uid is not None:
|
||||||
# TODO: read in target emsd's active book on startup
|
# TODO: read in target emsd's active book on startup
|
||||||
pass
|
pass
|
||||||
|
@ -669,7 +983,6 @@ def get_orders(emsd_uid: Tuple[str, str] = None) -> OrderBook:
|
||||||
if _orders is None:
|
if _orders is None:
|
||||||
# setup local ui event streaming channels for request/resp
|
# setup local ui event streaming channels for request/resp
|
||||||
# streamging with EMS daemon
|
# streamging with EMS daemon
|
||||||
# _to_ems, _from_order_book = trio.open_memory_channel(100)
|
|
||||||
_orders = OrderBook(*trio.open_memory_channel(100))
|
_orders = OrderBook(*trio.open_memory_channel(100))
|
||||||
|
|
||||||
return _orders
|
return _orders
|
||||||
|
@ -701,7 +1014,7 @@ async def send_order_cmds():
|
||||||
async for cmd in orders_stream:
|
async for cmd in orders_stream:
|
||||||
|
|
||||||
# send msg over IPC / wire
|
# send msg over IPC / wire
|
||||||
log.info(f'sending order cmd: {cmd}')
|
log.info(f'Send order cmd:\n{pformat(cmd)}')
|
||||||
yield cmd
|
yield cmd
|
||||||
|
|
||||||
|
|
||||||
|
@ -737,7 +1050,6 @@ async def open_ems(
|
||||||
|
|
||||||
TODO: make some fancy diagrams using mermaid.io
|
TODO: make some fancy diagrams using mermaid.io
|
||||||
|
|
||||||
|
|
||||||
the possible set of responses from the stream is currently:
|
the possible set of responses from the stream is currently:
|
||||||
- 'dark_submitted', 'broker_submitted'
|
- 'dark_submitted', 'broker_submitted'
|
||||||
- 'dark_cancelled', 'broker_cancelled'
|
- 'dark_cancelled', 'broker_cancelled'
|
||||||
|
@ -766,7 +1078,7 @@ async def open_ems(
|
||||||
# ready for order commands
|
# ready for order commands
|
||||||
book = get_orders()
|
book = get_orders()
|
||||||
|
|
||||||
with trio.fail_after(5):
|
with trio.fail_after(10):
|
||||||
await book._ready_to_receive.wait()
|
await book._ready_to_receive.wait()
|
||||||
|
|
||||||
yield book, trades_stream
|
yield book, trades_stream
|
||||||
|
|
Loading…
Reference in New Issue