Use `iterticks()` to filter to clears, get first price manually before submit..
Tyler Goodlet
parent
f1eb76d29f
commit
da07685e8b
|
|
@ -1,4 +1,4 @@
|
|||
from pprint import pformat
|
||||
# from pprint import pformat
|
||||
from functools import partial
|
||||
from decimal import Decimal
|
||||
from typing import Callable
|
||||
|
|
@ -7,6 +7,7 @@ import tractor
|
|||
import trio
|
||||
from uuid import uuid4
|
||||
|
||||
from piker.service import maybe_open_pikerd
|
||||
from piker.accounting import dec_digits
|
||||
from piker.clearing import (
|
||||
open_ems,
|
||||
|
|
@ -19,6 +20,7 @@ from piker.clearing._messages import (
|
|||
BrokerdPosition,
|
||||
)
|
||||
from piker.data import (
|
||||
iterticks,
|
||||
Flume,
|
||||
open_feed,
|
||||
Feed,
|
||||
|
|
@ -75,8 +77,6 @@ async def bot_main():
|
|||
and process orders statuses in real-time.
|
||||
|
||||
'''
|
||||
from piker.service import maybe_open_pikerd
|
||||
|
||||
ll: str = 'info'
|
||||
|
||||
# open an order ctl client, live data feed, trio nursery for
|
||||
|
|
@ -123,6 +123,7 @@ async def bot_main():
|
|||
|
||||
trio.open_nursery() as tn,
|
||||
):
|
||||
assert accounts
|
||||
print(f'Loaded binance accounts: {accounts}')
|
||||
|
||||
flume: Flume = feed.flumes[fqme]
|
||||
|
|
@ -136,7 +137,9 @@ async def bot_main():
|
|||
quote_stream: trio.abc.ReceiveChannel = feed.streams['binance']
|
||||
|
||||
|
||||
clear_margin: float = 0.9995
|
||||
# always keep live limit 0.003% below last
|
||||
# clearing price
|
||||
clear_margin: float = 0.9997
|
||||
|
||||
async def trailer(
|
||||
order: Order,
|
||||
|
|
@ -146,14 +149,19 @@ async def bot_main():
|
|||
# m_shm: ShmArray = flume.hist_shm
|
||||
|
||||
# NOTE: if you wanted to frame ticks by type like the
|
||||
# the quote throttler does.
|
||||
# the quote throttler does.. and this is probably
|
||||
# faster in terms of getting the latest tick type
|
||||
# embedded value of interest?
|
||||
# from piker.data._sampling import frame_ticks
|
||||
|
||||
async for quotes in quote_stream:
|
||||
for fqme, quote in quotes.items():
|
||||
# print(quote['symbol'])
|
||||
for tick in reversed(
|
||||
quote.get('ticks', ())
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
|
||||
# default are already this
|
||||
# types=('trade', 'dark_trade'),
|
||||
):
|
||||
# print(
|
||||
# f'{fqme} ticks:\n{pformat(tick)}\n\n'
|
||||
|
|
@ -161,9 +169,6 @@ async def bot_main():
|
|||
# # f'last 1m OHLC:\n{m_shm.array[-1]}\n'
|
||||
# )
|
||||
|
||||
# always keep live limit 2% below last
|
||||
# clearing price
|
||||
if tick['type'] == 'trade':
|
||||
await client.update(
|
||||
uuid=order.oid,
|
||||
price=price_round(
|
||||
|
|
@ -174,7 +179,7 @@ async def bot_main():
|
|||
)
|
||||
msgs, pps = await wait_for_order_status(
|
||||
trades_stream,
|
||||
oid,
|
||||
order.oid,
|
||||
'open'
|
||||
)
|
||||
# if multiple clears per quote just
|
||||
|
|
@ -182,36 +187,60 @@ async def bot_main():
|
|||
break
|
||||
|
||||
|
||||
# get first live quote to be sure we submit the initial
|
||||
# live buy limit low enough that it doesn't clear due to
|
||||
# a stale initial price from the data feed layer!
|
||||
first_ask_price: float | None = None
|
||||
async for quotes in quote_stream:
|
||||
for fqme, quote in quotes.items():
|
||||
# print(quote['symbol'])
|
||||
for tick in iterticks(quote, types=('ask')):
|
||||
first_ask_price: float = tick['price']
|
||||
break
|
||||
|
||||
if first_ask_price:
|
||||
break
|
||||
|
||||
# setup order dialog via first msg
|
||||
size: float = 0.01
|
||||
price: float = price_round(
|
||||
clear_margin
|
||||
*
|
||||
flume.first_quote['last']
|
||||
first_ask_price,
|
||||
)
|
||||
oid: str = str(uuid4())
|
||||
|
||||
# compute a 1k USD sized pos
|
||||
size: float = round(1e3/price, ndigits=3)
|
||||
|
||||
order = Order(
|
||||
exec_mode='live', # {'dark', 'live', 'alert'}
|
||||
action='buy', # TODO: remove this from our schema?
|
||||
oid=oid,
|
||||
account='paper', # use binance.usdtm for binance futes
|
||||
|
||||
# docs on how this all works, bc even i'm not entirely
|
||||
# clear XD. also we probably want to figure out how to
|
||||
# offer both the paper engine running and the brokerd
|
||||
# order ctl tasks with the ems choosing which stream to
|
||||
# route msgs on given the account value!
|
||||
account='paper', # use built-in paper clearing engine and .accounting
|
||||
# account='binance.usdtm', # for live binance futes
|
||||
|
||||
oid=str(uuid4()),
|
||||
exec_mode='live', # {'dark', 'live', 'alert'}
|
||||
|
||||
action='buy', # TODO: remove this from our schema?
|
||||
|
||||
size=size,
|
||||
symbol=fqme,
|
||||
price=price,
|
||||
brokers=['binance'],
|
||||
)
|
||||
|
||||
await client.send(order)
|
||||
|
||||
msgs, pps = await wait_for_order_status(
|
||||
trades_stream,
|
||||
oid,
|
||||
'open'
|
||||
order.oid,
|
||||
'open',
|
||||
)
|
||||
|
||||
assert not pps
|
||||
assert msgs[-1].oid == oid
|
||||
assert msgs[-1].oid == order.oid
|
||||
|
||||
# start "trailer task" which tracks rt quote stream
|
||||
tn.start_soon(trailer, order)
|
||||
|
|
@ -221,10 +250,11 @@ async def bot_main():
|
|||
await trio.sleep_forever()
|
||||
except KeyboardInterrupt:
|
||||
# cancel the open order
|
||||
await client.cancel(oid)
|
||||
await client.cancel(order.oid)
|
||||
|
||||
msgs, pps = await wait_for_order_status(
|
||||
trades_stream,
|
||||
oid,
|
||||
order.oid,
|
||||
'canceled'
|
||||
)
|
||||
raise
|
||||
|
|
|
|||
Loading…
Reference in New Issue