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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
Tyler Goodlet 2021-02-20 15:25:53 -05:00
parent ead2f77d40
commit d8b157d209
1 changed files with 441 additions and 129 deletions
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570
piker/_ems.py
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@ -15,16 +15,18 @@
# along with this program. If not, see <https://www.gnu.org/licenses/>.
"""
In suit parlance: "Execution management systems"
In da suit parlances: "Execution management systems"
"""
from pprint import pformat
import time
from datetime import datetime
from contextlib import asynccontextmanager
from dataclasses import dataclass, field
from typing import (
AsyncIterator, Dict, Callable, Tuple,
)
import uuid
from bidict import bidict
import trio
@ -73,10 +75,13 @@ def mk_check(trigger_price, known_last) -> Callable[[float, float], bool]:
@dataclass
class _ExecBook:
"""EMS-side execution book.
class _DarkBook:
"""Client-side execution book.
Contains conditions for executions (aka "orders") which are not
exposed to brokers and thus the market; i.e. these are privacy
focussed "client side" orders.
Contains conditions for executions (aka "orders").
A singleton instance is created per EMS actor (for now).
"""
@ -105,13 +110,13 @@ class _ExecBook:
_broker2ems_ids: Dict[str, str] = field(default_factory=bidict)
_books: Dict[str, _ExecBook] = {}
_books: Dict[str, _DarkBook] = {}
def get_book(broker: str) -> _ExecBook:
def get_dark_book(broker: str) -> _DarkBook:
global _books
return _books.setdefault(broker, _ExecBook(broker))
return _books.setdefault(broker, _DarkBook(broker))
# XXX: this is in place to prevent accidental positions that are too
@ -129,9 +134,20 @@ class PaperBoi:
requirements.
"""
broker: str
_to_trade_stream: trio.abc.SendChannel
trade_stream: trio.abc.ReceiveChannel
# map of paper "live" orders which be used
# to simulate fills based on paper engine settings
_buys: bidict
_sells: bidict
_reqids: bidict
# init edge case L1 spread
last_ask: Tuple[float, float] = (float('inf'), 0) # price, size
last_bid: Tuple[float, float] = (0, 0)
async def submit_limit(
self,
oid: str, # XXX: see return value
@ -143,6 +159,46 @@ class PaperBoi:
"""Place an order and return integer request id provided by client.
"""
# the trades stream expects events in the form
# {'local_trades': (event_name, msg)}
reqid = str(uuid.uuid4())
# register this submissions as a paper live order
if action == 'buy':
orders = self._buys
elif action == 'sell':
orders = self._sells
# buys/sells: (symbol -> (price -> order))
orders.setdefault(symbol, {})[price] = (size, oid, reqid, action)
self._reqids[reqid] = (oid, symbol, action, price)
# TODO: net latency model
# we checkpoint here quickly particulalry
# for dark orders since we want the dark_executed
# to trigger first thus creating a lookup entry
# in the broker trades event processing loop
await trio.sleep(0.05)
await self._to_trade_stream.send({
'local_trades': ('status', {
'time_ns': time.time_ns(),
'reqid': reqid,
'status': 'submitted',
'broker': self.broker,
# 'cmd': cmd, # original request message
'paper_info': {
'oid': oid,
},
}),
})
return reqid
async def submit_cancel(
self,
@ -150,12 +206,303 @@ class PaperBoi:
) -> None:
# TODO: fake market simulation effects
self._to_trade_stream()
# await self._to_trade_stream.send(
oid, symbol, action, price = self._reqids[reqid]
def emulate_fill(
self
if action == 'buy':
self._buys[symbol].pop(price)
elif action == 'sell':
self._sells[symbol].pop(price)
# TODO: net latency model
await trio.sleep(0.05)
await self._to_trade_stream.send({
'local_trades': ('status', {
'time_ns': time.time_ns(),
'oid': oid,
'reqid': reqid,
'status': 'cancelled',
'broker': self.broker,
# 'cmd': cmd, # original request message
'paper': True,
}),
})
async def fake_fill(
self,
price: float,
size: float,
action: str, # one of {'buy', 'sell'}
reqid: str,
oid: str,
# determine whether to send a filled status that has zero
# remaining lots to fill
order_complete: bool = True,
remaining: float = 0,
) -> None:
...
"""Pretend to fill a broker order @ price and size.
"""
# TODO: net latency model
await trio.sleep(0.05)
await self._to_trade_stream.send({
'local_trades': ('fill', {
'status': 'filled',
'broker': self.broker,
# converted to float by us in ib backend
'broker_time': datetime.now().timestamp(),
'action': action,
'size': size,
'price': price,
'remaining': 0 if order_complete else remaining,
# normally filled by real `brokerd` daemon
'time': time.time_ns(),
'time_ns': time.time_ns(), # cuz why not
# fake ids
'reqid': reqid,
'paper_info': {
'oid': oid,
},
# XXX: fields we might not need to emulate?
# execution id from broker
# 'execid': execu.execId,
# 'cmd': cmd, # original request message?
}),
})
if order_complete:
await self._to_trade_stream.send({
'local_trades': ('status', {
'reqid': reqid,
'status': 'filled',
'broker': self.broker,
'filled': size,
'remaining': 0 if order_complete else remaining,
# converted to float by us in ib backend
'broker_time': datetime.now().timestamp(),
'paper_info': {
'oid': oid,
},
}),
})
async def simulate_fills(
quote_stream: 'tractor.ReceiveStream', # noqa
client: PaperBoi,
) -> None:
# TODO: more machinery to better simulate real-world market things:
# - slippage models, check what quantopian has:
# https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py
# * this should help with simulating partial fills in a fast moving mkt
# afaiu
# - commisions models, also quantopian has em:
# https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py
# - network latency models ??
# - position tracking:
# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
# this stream may eventually contain multiple symbols
async for quotes in quote_stream:
for sym, quote in quotes.items():
buys, sells = client._buys.get(sym), client._sells.get(sym)
if not (buys or sells):
continue
for tick in iterticks(
quote,
# dark order price filter(s)
types=('ask', 'bid', 'trade', 'last')
):
print(tick)
tick_price = tick.get('price')
ttype = tick['type']
if ttype in ('ask',) and buys:
client.last_ask = (
tick_price,
tick.get('size', client.last_ask[1]),
)
# iterate book prices descending
for our_bid in reversed(sorted(buys.keys())):
if tick_price < our_bid:
# retreive order info
(size, oid, reqid, action) = buys.pop(our_bid)
# clearing price would have filled entirely
await client.fake_fill(
# todo slippage to determine fill price
tick_price,
size,
action,
reqid,
oid,
)
else:
# prices are interated in sorted order so
# we're done
break
if ttype in ('bid',) and sells:
# iterate book prices ascending
for our_ask in sorted(sells.keys()):
client.last_bid = (
tick_price,
tick.get('bid', client.last_bid[1]),
)
if tick_price > our_ask:
# retreive order info
(size, oid, reqid, action) = sells.pop(our_ask)
# clearing price would have filled entirely
await client.fake_fill(
tick_price,
size,
action,
reqid,
oid,
)
else:
# prices are interated in sorted order so
# we're done
break
if ttype in ('trade', 'last'):
# TODO: simulate actual book queues and our orders
# place in it, might require full L2 data?
pass
async def execute_triggers(
broker: str,
symbol: str,
stream: 'tractor.ReceiveStream', # noqa
ctx: tractor.Context,
client: 'Client', # noqa
book: _DarkBook,
) -> None:
"""Core dark order trigger loop.
Scan the (price) data feed and submit triggered orders
to broker.
"""
# this stream may eventually contain multiple symbols
async for quotes in stream:
# TODO: numba all this!
# start = time.time()
for sym, quote in quotes.items():
execs = book.orders.get(sym, None)
if execs is None:
continue
for tick in iterticks(
quote,
# dark order price filter(s)
types=('ask', 'bid', 'trade', 'last')
):
price = tick.get('price')
ttype = tick['type']
# lel, fuck you ib
# if price < 0:
# log.error(f'!!?!?!VOLUME TICK {tick}!?!?')
# continue
# update to keep new cmds informed
book.lasts[(broker, symbol)] = price
for oid, (
pred,
tf,
cmd,
percent_away,
abs_diff_away
) in (
tuple(execs.items())
):
if (ttype not in tf) or (not pred(price)):
# majority of iterations will be non-matches
continue
# submit_price = price + price*percent_away
submit_price = price + abs_diff_away
log.info(
f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}')
reqid = await client.submit_limit(
oid=oid,
symbol=sym,
action=cmd['action'],
price=submit_price,
size=cmd['size'],
)
# register broker request id to ems id
book._broker2ems_ids[reqid] = oid
resp = {
'resp': 'dark_executed',
'time_ns': time.time_ns(),
'trigger_price': price,
'cmd': cmd, # original request message
'broker_reqid': reqid,
'broker': broker,
'oid': oid, # piker order id
}
# remove exec-condition from set
log.info(f'removing pred for {oid}')
execs.pop(oid)
await ctx.send_yield(resp)
else: # condition scan loop complete
log.debug(f'execs are {execs}')
if execs:
book.orders[symbol] = execs
# print(f'execs scan took: {time.time() - start}')
async def exec_loop(
@ -165,7 +512,10 @@ async def exec_loop(
_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],
@ -174,32 +524,40 @@ async def exec_loop(
# TODO: get initial price quote from target broker
first_quote = await feed.receive()
book = get_book(broker)
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)
# we have an order API for this broker
if client_factory is not None and _exec_mode != 'paper':
# we have an order API for this broker
client = client_factory(feed._brokerd_portal)
# force paper mode
else:
log.warning(
f'No order client is yet supported for {broker}, '
'entering paper mode')
# force paper mode
log.warning(f'Entering paper trading mode for {broker}')
client = PaperBoi(*trio.open_memory_channel(100))
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._set_fake_trades_stream(client.trade_stream)
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))
@ -211,92 +569,19 @@ async def exec_loop(
# 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
)
# this stream may eventually contain multiple symbols
async for quotes in stream:
# TODO: numba all this!
# start = time.time()
for sym, quote in quotes.items():
execs = book.orders.get(sym, None)
if execs is None:
continue
for tick in iterticks(
quote,
# dark order price filter(s)
types=('ask', 'bid', 'trade', 'last')
):
price = tick.get('price')
ttype = tick['type']
# lel, fuck you ib
if price < 0:
log.error(f'!!?!?!VOLUME TICK {tick}!?!?')
continue
# update to keep new cmds informed
book.lasts[(broker, symbol)] = price
for oid, (
pred,
tf,
cmd,
percent_away,
abs_diff_away
) in (
tuple(execs.items())
):
if (ttype not in tf) or (not pred(price)):
# majority of iterations will be non-matches
continue
# submit_price = price + price*percent_away
submit_price = price + abs_diff_away
log.info(
f'Dark order triggered for price {price}\n'
f'Submitting order @ price {submit_price}')
reqid = await client.submit_limit(
oid=oid,
symbol=sym,
action=cmd['action'],
price=round(submit_price, 2),
size=cmd['size'],
)
# register broker request id to ems id
book._broker2ems_ids[reqid] = oid
resp = {
'resp': 'dark_executed',
'time_ns': time.time_ns(),
'trigger_price': price,
'broker_reqid': reqid,
'broker': broker,
'oid': oid,
'cmd': cmd, # original request message
# current shm array index - this needed?
# 'ohlc_index': feed.shm._last.value - 1,
}
# remove exec-condition from set
log.info(f'removing pred for {oid}')
execs.pop(oid)
await ctx.send_yield(resp)
else: # condition scan loop complete
log.debug(f'execs are {execs}')
if execs:
book.orders[symbol] = execs
# print(f'execs scan took: {time.time() - start}')
# feed teardown
if _exec_mode == 'paper':
n.start_soon(simulate_fills, stream.clone(), client)
# TODO: lots of cases still to handle
@ -312,7 +597,7 @@ async def exec_loop(
async def process_broker_trades(
ctx: tractor.Context,
feed: 'Feed', # noqa
book: _ExecBook,
book: _DarkBook,
task_status: TaskStatus[dict] = trio.TASK_STATUS_IGNORED,
) -> AsyncIterator[dict]:
"""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'
'fill' -> 'broker_filled'
Currently accepted status values from IB
Currently accepted status values from IB:
{'presubmitted', 'submitted', 'cancelled', 'inactive'}
"""
broker = feed.mod.name
with trio.fail_after(5):
# in the paper engine case this is just a mem receive channel
trades_stream = await feed.recv_trades_data()
first = await trades_stream.__anext__()
# startup msg
# startup msg expected as first from broker backend
assert first['local_trades'] == 'start'
task_status.started()
@ -354,7 +640,19 @@ async def process_broker_trades(
# make response packet to EMS client(s)
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 (
'error',
@ -379,6 +677,9 @@ async def process_broker_trades(
# another stupid ib error to handle
# if 10147 in message: cancel
# don't relay message to order requester client
continue
elif name in (
'status',
):
@ -398,12 +699,14 @@ async def process_broker_trades(
status = msg['status'].lower()
if status == 'filled':
# await tractor.breakpoint()
# conditional execution is fully complete, no more
# fills for the noted order
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!')
# just log it
@ -414,16 +717,17 @@ async def process_broker_trades(
# one of (submitted, cancelled)
resp['resp'] = 'broker_' + status
await ctx.send_yield(resp)
elif name in (
'fill',
):
# proxy through the "fill" result(s)
resp['resp'] = 'broker_filled'
resp.update(msg)
await ctx.send_yield(resp)
log.info(f'Fill for {oid} cleared with\n{pformat(resp)}')
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
# respond to requesting client
await ctx.send_yield(resp)
@tractor.stream
@ -452,14 +756,14 @@ async def _ems_main(
- ``_ems_main()``:
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()``:
accept normalized trades responses, process and relay to ems client(s)
"""
actor = tractor.current_actor()
book = get_book(broker)
book = get_dark_book(broker)
# get a portal back to the client
async with tractor.wait_for_actor(client_actor_name) as portal:
@ -485,10 +789,13 @@ async def _ems_main(
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):
log.info(f'{cmd} received in {actor.uid}')
log.info(f'Received order cmd:\n{pformat(cmd)}')
action = cmd['action']
oid = cmd['oid']
@ -533,7 +840,7 @@ async def _ems_main(
oid=oid, # no ib support for this
symbol=sym,
action=action,
price=round(trigger_price, 2),
price=trigger_price,
size=size,
)
book._broker2ems_ids[order_id] = oid
@ -590,7 +897,7 @@ async def _ems_main(
abs_diff_away
)
# ack-response that order is live here
# ack-response that order is live in EMS
await ctx.send_yield({
'resp': 'dark_submitted',
'oid': oid
@ -608,10 +915,11 @@ class OrderBook:
hard/fast work of talking to brokers/exchanges to conduct
executions.
Currently, mostly for keeping local state to match the EMS and use
received events to trigger graphics updates.
Currently, this is mostly for keeping local state to match the EMS
and use received events to trigger graphics updates.
"""
# mem channels used to relay order requests to the EMS daemon
_to_ems: trio.abc.SendChannel
_from_order_book: trio.abc.ReceiveChannel
@ -626,7 +934,7 @@ class OrderBook:
size: float,
action: str,
exec_mode: str,
) -> str:
) -> dict:
cmd = {
'action': action,
'price': price,
@ -638,6 +946,7 @@ class OrderBook:
}
self._sent_orders[uuid] = cmd
self._to_ems.send_nowait(cmd)
return cmd
async def modify(self, oid: str, price) -> bool:
...
@ -658,8 +967,13 @@ class OrderBook:
_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:
# TODO: read in target emsd's active book on startup
pass
@ -669,7 +983,6 @@ def get_orders(emsd_uid: Tuple[str, str] = None) -> OrderBook:
if _orders is None:
# setup local ui event streaming channels for request/resp
# streamging with EMS daemon
# _to_ems, _from_order_book = trio.open_memory_channel(100)
_orders = OrderBook(*trio.open_memory_channel(100))
return _orders
@ -701,7 +1014,7 @@ async def send_order_cmds():
async for cmd in orders_stream:
# send msg over IPC / wire
log.info(f'sending order cmd: {cmd}')
log.info(f'Send order cmd:\n{pformat(cmd)}')
yield cmd
@ -737,7 +1050,6 @@ async def open_ems(
TODO: make some fancy diagrams using mermaid.io
the possible set of responses from the stream is currently:
- 'dark_submitted', 'broker_submitted'
- 'dark_cancelled', 'broker_cancelled'
@ -766,7 +1078,7 @@ async def open_ems(
# ready for order commands
book = get_orders()
with trio.fail_after(5):
with trio.fail_after(10):
await book._ready_to_receive.wait()
yield book, trades_stream