Quantize order prices prior to `OrderClient.send()`

Order mode previously was just willy-nilly sending `float` prices
(particularly on order edits) which are generated from the associated
level line. This actually uses the `MktPair.price_tick: Decimal` to
ensure the value is rounded correctly before submission to the ems..

Also adjusts the order mode init to expect a table of tables of startup
position messages, with the inner table being keyed by fqme per msg.
rekt_pps
Tyler Goodlet 2023-04-10 22:22:17 -04:00
parent 3b7579990b
commit dedc51a939
1 changed files with 31 additions and 5 deletions

View File

@ -289,6 +289,20 @@ class OrderMode:
symbol = self.chart.linked.symbol
# NOTE : we could also use instead,
# symbol.quantize(price, quantity_type='price')
# but it returns a Decimal and it's probably gonna
# be slower?
# TODO: should we be enforcing this precision
# at a different layer in the stack? right now
# any precision error will literally be relayed
# all the way back from the backend.
price = round(
price,
ndigits=symbol.tick_size_digits,
)
order = self._staged_order = Order(
action=action,
price=price,
@ -359,7 +373,7 @@ class OrderMode:
# NOTE: we have to str-ify `MktPair` first since we can't
# cast to it without being mega explicit with
# `msgspec.Struct`, which we're not yet..
order = staged.copy({
order: Order = staged.copy({
'symbol': str(staged.symbol),
'oid': oid,
})
@ -436,8 +450,17 @@ class OrderMode:
line: LevelLine,
) -> None:
'''
Retreive the level line's end state, compute the size
and price for the new price-level, send an update msg to
the EMS, adjust mirrored level line on secondary chart.
level = line.value()
'''
mktinfo = self.chart.linked.symbol
level = round(
line.value(),
ndigits=mktinfo.tick_size_digits,
)
# updated by level change callback set in ``.new_line_from_order()``
dialog = line.dialog
size = dialog.order.size
@ -689,7 +712,7 @@ async def open_order_mode(
# symbol names (i.e. the same names you'd get back in search
# results) in order for position msgs to correctly trigger the
# display of a position indicator on screen.
position_msgs: dict[str, list[BrokerdPosition]]
position_msgs: dict[str, dict[str, BrokerdPosition]]
# spawn EMS actor-service
async with (
@ -872,8 +895,11 @@ async def open_order_mode(
# Pack position messages by account, should only be one-to-one.
# NOTE: requires the backend exactly specifies
# the expected symbol key in its positions msg.
for (broker, acctid), msgs in position_msgs.items():
for msg in msgs:
for (
(broker, acctid),
pps_by_fqme
) in position_msgs.items():
for msg in pps_by_fqme.values():
await process_trade_msg(
mode,
client,