Port ib orders to new msgs and bidir streaming api
Tyler Goodlet
parent
6e58f31fd8
commit
db92683ede
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@ -25,7 +25,7 @@ from contextlib import asynccontextmanager
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from dataclasses import asdict
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from datetime import datetime
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from functools import partial
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from typing import List, Dict, Any, Tuple, Optional, AsyncIterator, Callable
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from typing import List, Dict, Any, Tuple, Optional, AsyncIterator
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import asyncio
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from pprint import pformat
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import inspect
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@ -39,7 +39,8 @@ import tractor
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from async_generator import aclosing
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails, Option
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from ib_insync.order import Order
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from ib_insync.order import Order, Trade, OrderStatus
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from ib_insync.objects import Fill, Execution
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from ib_insync.ticker import Ticker
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from ib_insync.objects import Position
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import ib_insync as ibis
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@ -53,6 +54,12 @@ from .._daemon import maybe_spawn_brokerd
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from ..data._source import from_df
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from ..data._sharedmem import ShmArray
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from ._util import SymbolNotFound, NoData
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from ..clearing._messages import (
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BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
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BrokerdPosition, BrokerdCancel,
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BrokerdFill,
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# BrokerdError,
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)
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log = get_logger(__name__)
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@ -472,7 +479,7 @@ class Client:
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# XXX: by default 0 tells ``ib_insync`` methods that there is no
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# existing order so ask the client to create a new one (which it
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# seems to do by allocating an int counter - collision prone..)
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brid: int = None,
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reqid: int = None,
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) -> int:
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"""Place an order and return integer request id provided by client.
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@ -488,7 +495,7 @@ class Client:
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trade = self.ib.placeOrder(
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contract,
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Order(
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orderId=brid or 0, # stupid api devs..
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orderId=reqid or 0, # stupid api devs..
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action=action.upper(), # BUY/SELL
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orderType='LMT',
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lmtPrice=price,
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@ -582,6 +589,7 @@ class Client:
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self,
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to_trio: trio.abc.SendChannel,
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) -> None:
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# connect error msgs
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def push_err(
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reqId: int,
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@ -589,13 +597,16 @@ class Client:
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errorString: str,
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contract: Contract,
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) -> None:
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log.error(errorString)
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try:
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to_trio.send_nowait((
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'error',
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# error "object"
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{'reqid': reqId,
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'message': errorString,
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'reason': errorString,
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'contract': contract}
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))
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except trio.BrokenResourceError:
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@ -635,6 +646,8 @@ async def _aio_get_client(
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"""Return an ``ib_insync.IB`` instance wrapped in our client API.
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Client instances are cached for later use.
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TODO: consider doing this with a ctx mngr eventually?
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"""
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# first check cache for existing client
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@ -848,7 +861,7 @@ async def get_bars(
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end_dt: str = "",
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) -> (dict, np.ndarray):
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_err = None
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_err: Optional[Exception] = None
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fails = 0
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for _ in range(2):
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@ -885,12 +898,12 @@ async def get_bars(
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raise NoData(f'Symbol: {sym}')
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break
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else:
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log.exception(
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"Data query rate reached: Press `ctrl-alt-f`"
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"in TWS"
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)
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print(_err)
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# TODO: should probably create some alert on screen
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# and then somehow get that to trigger an event here
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@ -937,7 +950,7 @@ async def backfill_bars(
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if fails is None or fails > 1:
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break
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if out is (None, None):
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if out == (None, None):
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# could be trying to retreive bars over weekend
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# TODO: add logic here to handle tradable hours and only grab
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# valid bars in the range
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@ -1188,114 +1201,217 @@ def pack_position(pos: Position) -> Dict[str, Any]:
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else:
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symbol = con.symbol
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return {
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'broker': 'ib',
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'account': pos.account,
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'symbol': symbol,
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'currency': con.currency,
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'size': float(pos.position),
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'avg_price': float(pos.avgCost) / float(con.multiplier or 1.0),
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}
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return BrokerdPosition(
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broker='ib',
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account=pos.account,
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symbol=symbol,
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currency=con.currency,
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size=float(pos.position),
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avg_price=float(pos.avgCost) / float(con.multiplier or 1.0),
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)
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@tractor.msg.pub(
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send_on_connect={'local_trades': 'start'}
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)
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async def stream_trades(
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async def handle_order_requests(
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ems_order_stream: tractor.MsgStream,
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) -> None:
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# request_msg: dict
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async for request_msg in ems_order_stream:
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log.info(f'Received order request {request_msg}')
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action = request_msg['action']
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if action in {'buy', 'sell'}:
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# validate
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order = BrokerdOrder(**request_msg)
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# call our client api to submit the order
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reqid = await _trio_run_client_method(
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method='submit_limit',
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oid=order.oid,
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symbol=order.symbol,
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price=order.price,
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action=order.action,
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size=order.size,
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# XXX: by default 0 tells ``ib_insync`` methods that
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# there is no existing order so ask the client to create
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# a new one (which it seems to do by allocating an int
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# counter - collision prone..)
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reqid=order.reqid,
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)
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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# ems order request id
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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).dict()
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)
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elif action == 'cancel':
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msg = BrokerdCancel(**request_msg)
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await _trio_run_client_method(
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method='submit_cancel',
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reqid=msg.reqid
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)
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else:
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log.error(f'Unknown order command: {request_msg}')
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@tractor.context
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async def trades_dialogue(
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ctx: tractor.Context,
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loglevel: str = None,
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get_topics: Callable = None,
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) -> AsyncIterator[Dict[str, Any]]:
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# XXX: required to propagate ``tractor`` loglevel to piker logging
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get_console_log(loglevel or tractor.current_actor().loglevel)
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stream = await _trio_run_client_method(
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ib_trade_events_stream = await _trio_run_client_method(
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method='recv_trade_updates',
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)
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# deliver positions to subscriber before anything else
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positions = await _trio_run_client_method(method='positions')
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all_positions = {}
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for pos in positions:
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yield {'local_trades': ('position', pack_position(pos))}
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msg = pack_position(pos)
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all_positions[msg.symbol] = msg.dict()
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await ctx.started(all_positions)
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
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async for event_name, item in stream:
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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# start order request handler **before** local trades event loop
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n.start_soon(handle_order_requests, ems_stream)
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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async for event_name, item in ib_trade_events_stream:
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if event_name == 'status':
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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# unwrap needed data from ib_insync internal objects
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trade = item
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status = trade.orderStatus
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if event_name == 'status':
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = {
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'reqid': trade.order.orderId,
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'status': status.status,
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'filled': status.filled,
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'reason': status.whyHeld,
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# unwrap needed data from ib_insync internal types
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trade: Trade = item
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status: OrderStatus = trade.orderStatus
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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'remaining': status.remaining,
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}
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = BrokerdStatus(
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elif event_name == 'fill':
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reqid=trade.order.orderId,
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time_ns=time.time_ns(), # cuz why not
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status=status.status.lower(), # force lower case
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trade, fill = item
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execu = fill.execution
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filled=status.filled,
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reason=status.whyHeld,
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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remaining=status.remaining,
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msg = {
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'reqid': execu.orderId,
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'execid': execu.execId,
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broker_details={'name': 'ib'},
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)
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elif event_name == 'fill':
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# for wtv reason this is a separate event type
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# from IB, not sure why it's needed other then for extra
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# complexity and over-engineering :eyeroll:.
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# we may just end up dropping these events (or
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# translating them to ``Status`` msgs) if we can
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# show the equivalent status events are no more latent.
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# unpack ib_insync types
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# pep-0526 style:
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# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
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trade: Trade
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fill: Fill
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trade, fill = item
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execu: Execution = fill.execution
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# TODO: normalize out commissions details?
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details = {
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'contract': asdict(fill.contract),
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'execution': asdict(fill.execution),
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'commissions': asdict(fill.commissionReport),
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}
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# supposedly IB server fill time
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'broker_time': execu.time, # converted to float by us
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# ns from main TCP handler by us inside ``ib_insync`` override
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'time': fill.time,
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'time_ns': time.time_ns(), # cuz why not
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'action': action_map[execu.side],
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'size': execu.shares,
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'price': execu.price,
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}
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details['broker_time'] = execu.time
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details['name'] = 'ib'
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elif event_name == 'error':
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msg = item
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msg = BrokerdFill(
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# should match the value returned from `.submit_limit()`
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reqid=execu.orderId,
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time_ns=time.time_ns(), # cuz why not
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# f$#$% gawd dammit insync..
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con = msg['contract']
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if isinstance(con, Contract):
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msg['contract'] = asdict(con)
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action=action_map[execu.side],
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size=execu.shares,
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price=execu.price,
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if msg['reqid'] == -1:
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log.error(pformat(msg))
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broker_details=details,
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# XXX: required by order mode currently
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broker_time=details['execution']['time'],
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# don't forward, it's pointless..
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continue
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)
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elif event_name == 'position':
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msg = pack_position(item)
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elif event_name == 'error':
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if msg.get('reqid', 0) < -1:
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# it's a trade event generated by TWS usage.
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log.warning(f"TWS triggered trade:\n{pformat(msg)}")
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err: dict = item
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msg['reqid'] = 'tws-' + str(-1 * msg['reqid'])
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# f$#$% gawd dammit insync..
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con = err['contract']
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if isinstance(con, Contract):
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err['contract'] = asdict(con)
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# mark msg as from "external system"
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# TODO: probably something better then this..
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msg['external'] = True
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if err['reqid'] == -1:
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log.error(f'TWS external order error:\n{pformat(err)}')
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yield {'remote_trades': (event_name, msg)}
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continue
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# don't forward for now, it's unecessary.. but if we wanted to,
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# msg = BrokerdError(**err)
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continue
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yield {'local_trades': (event_name, msg)}
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elif event_name == 'position':
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msg = pack_position(item)
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# msg = BrokerdPosition(**item)
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# if msg.get('reqid', 0) < -1:
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if getattr(msg, 'reqid', 0) < -1:
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# it's a trade event generated by TWS usage.
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log.warning(f"TWS triggered trade:\n{pformat(msg)}")
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msg['reqid'] = 'tws-' + str(-1 * msg['reqid'])
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# mark msg as from "external system"
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# TODO: probably something better then this.. and start
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# considering multiplayer/group trades tracking
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msg['external'] = True
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continue
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# XXX: we always serialize to a dict for msgpack
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# translations, ideally we can move to an msgspec (or other)
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# encoder # that can be enabled in ``tractor`` ahead of
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# time so we can pass through the message types directly.
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await ems_stream.send(msg.dict())
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@tractor.context
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