Use `iterticks()` to filter to clears, get first price manually before submit..
Tyler Goodlet
parent
f1eb76d29f
commit
da07685e8b
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@ -1,4 +1,4 @@
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from pprint import pformat
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# from pprint import pformat
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from functools import partial
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from decimal import Decimal
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from typing import Callable
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@ -7,6 +7,7 @@ import tractor
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import trio
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from uuid import uuid4
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from piker.service import maybe_open_pikerd
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from piker.accounting import dec_digits
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from piker.clearing import (
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open_ems,
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@ -19,6 +20,7 @@ from piker.clearing._messages import (
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BrokerdPosition,
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)
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from piker.data import (
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iterticks,
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Flume,
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open_feed,
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Feed,
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@ -75,8 +77,6 @@ async def bot_main():
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and process orders statuses in real-time.
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'''
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from piker.service import maybe_open_pikerd
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ll: str = 'info'
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# open an order ctl client, live data feed, trio nursery for
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@ -123,6 +123,7 @@ async def bot_main():
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trio.open_nursery() as tn,
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):
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assert accounts
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print(f'Loaded binance accounts: {accounts}')
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flume: Flume = feed.flumes[fqme]
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@ -136,7 +137,9 @@ async def bot_main():
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quote_stream: trio.abc.ReceiveChannel = feed.streams['binance']
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clear_margin: float = 0.9995
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# always keep live limit 0.003% below last
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# clearing price
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clear_margin: float = 0.9997
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async def trailer(
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order: Order,
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@ -146,14 +149,19 @@ async def bot_main():
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# m_shm: ShmArray = flume.hist_shm
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# NOTE: if you wanted to frame ticks by type like the
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# the quote throttler does.
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# the quote throttler does.. and this is probably
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# faster in terms of getting the latest tick type
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# embedded value of interest?
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# from piker.data._sampling import frame_ticks
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async for quotes in quote_stream:
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for fqme, quote in quotes.items():
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# print(quote['symbol'])
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for tick in reversed(
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quote.get('ticks', ())
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for tick in iterticks(
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quote,
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# default are already this
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# types=('trade', 'dark_trade'),
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):
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# print(
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# f'{fqme} ticks:\n{pformat(tick)}\n\n'
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@ -161,57 +169,78 @@ async def bot_main():
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# # f'last 1m OHLC:\n{m_shm.array[-1]}\n'
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# )
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# always keep live limit 2% below last
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# clearing price
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if tick['type'] == 'trade':
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await client.update(
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uuid=order.oid,
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price=price_round(
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clear_margin
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*
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tick['price']
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),
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)
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msgs, pps = await wait_for_order_status(
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trades_stream,
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oid,
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'open'
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)
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# if multiple clears per quote just
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# skip to the next quote?
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break
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await client.update(
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uuid=order.oid,
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price=price_round(
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clear_margin
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*
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tick['price']
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),
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)
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msgs, pps = await wait_for_order_status(
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trades_stream,
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order.oid,
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'open'
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)
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# if multiple clears per quote just
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# skip to the next quote?
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break
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# get first live quote to be sure we submit the initial
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# live buy limit low enough that it doesn't clear due to
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# a stale initial price from the data feed layer!
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first_ask_price: float | None = None
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async for quotes in quote_stream:
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for fqme, quote in quotes.items():
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# print(quote['symbol'])
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for tick in iterticks(quote, types=('ask')):
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first_ask_price: float = tick['price']
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break
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if first_ask_price:
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break
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# setup order dialog via first msg
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size: float = 0.01
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price: float = price_round(
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clear_margin
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*
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flume.first_quote['last']
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first_ask_price,
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)
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oid: str = str(uuid4())
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# compute a 1k USD sized pos
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size: float = round(1e3/price, ndigits=3)
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order = Order(
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exec_mode='live', # {'dark', 'live', 'alert'}
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action='buy', # TODO: remove this from our schema?
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oid=oid,
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account='paper', # use binance.usdtm for binance futes
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# docs on how this all works, bc even i'm not entirely
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# clear XD. also we probably want to figure out how to
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# offer both the paper engine running and the brokerd
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# order ctl tasks with the ems choosing which stream to
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# route msgs on given the account value!
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account='paper', # use built-in paper clearing engine and .accounting
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# account='binance.usdtm', # for live binance futes
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oid=str(uuid4()),
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exec_mode='live', # {'dark', 'live', 'alert'}
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action='buy', # TODO: remove this from our schema?
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size=size,
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symbol=fqme,
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price=price,
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brokers=['binance'],
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)
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await client.send(order)
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msgs, pps = await wait_for_order_status(
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trades_stream,
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oid,
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'open'
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order.oid,
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'open',
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)
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assert not pps
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assert msgs[-1].oid == oid
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assert msgs[-1].oid == order.oid
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# start "trailer task" which tracks rt quote stream
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tn.start_soon(trailer, order)
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@ -221,10 +250,11 @@ async def bot_main():
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await trio.sleep_forever()
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except KeyboardInterrupt:
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# cancel the open order
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await client.cancel(oid)
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await client.cancel(order.oid)
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msgs, pps = await wait_for_order_status(
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trades_stream,
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oid,
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order.oid,
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'canceled'
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)
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raise
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