Add per-account order entry for ib
Make the `handle_order_requests()` tasks now lookup the appropriate API client for a given account (or error if it can't be found) and use it for submission. Account names are loaded from the `brokers.toml::accounts.ib` section both UI side and in the `brokerd`. Change `_aio_get_client()` to a `load_aio_client()` which now tries to scan and load api clients for all connections defined in the config as well as deliver the client cache and account lookup tables.fsp_feeds
Tyler Goodlet
parent
b01538f183
commit
dedfb27a3a
|
|
@ -62,8 +62,7 @@ from ._util import SymbolNotFound, NoData
|
|||
from ..clearing._messages import (
|
||||
BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
|
||||
BrokerdPosition, BrokerdCancel,
|
||||
BrokerdFill,
|
||||
# BrokerdError,
|
||||
BrokerdFill, BrokerdError,
|
||||
)
|
||||
|
||||
|
||||
|
|
@ -196,8 +195,8 @@ _adhoc_futes_set = {
|
|||
'mgc.nymex',
|
||||
|
||||
'xagusd.cmdty', # silver spot
|
||||
'ni.nymex', # silver futes
|
||||
'qi.comex', # mini-silver futes
|
||||
'ni.nymex', # silver futes
|
||||
'qi.comex', # mini-silver futes
|
||||
}
|
||||
|
||||
# exchanges we don't support at the moment due to not knowing
|
||||
|
|
@ -222,7 +221,9 @@ class Client:
|
|||
"""
|
||||
def __init__(
|
||||
self,
|
||||
|
||||
ib: ibis.IB,
|
||||
|
||||
) -> None:
|
||||
self.ib = ib
|
||||
self.ib.RaiseRequestErrors = True
|
||||
|
|
@ -513,7 +514,7 @@ class Client:
|
|||
price: float,
|
||||
action: str,
|
||||
size: int,
|
||||
account: str = '', # if blank the "default" tws account is used
|
||||
account: str, # if blank the "default" tws account is used
|
||||
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that there is no
|
||||
# existing order so ask the client to create a new one (which it
|
||||
|
|
@ -536,6 +537,7 @@ class Client:
|
|||
Order(
|
||||
orderId=reqid or 0, # stupid api devs..
|
||||
action=action.upper(), # BUY/SELL
|
||||
# lookup the literal account number by name here.
|
||||
account=account,
|
||||
orderType='LMT',
|
||||
lmtPrice=price,
|
||||
|
|
@ -659,9 +661,10 @@ class Client:
|
|||
|
||||
self.ib.errorEvent.connect(push_err)
|
||||
|
||||
async def positions(
|
||||
def positions(
|
||||
self,
|
||||
account: str = '',
|
||||
|
||||
) -> list[Position]:
|
||||
"""
|
||||
Retrieve position info for ``account``.
|
||||
|
|
@ -695,8 +698,11 @@ def get_config() -> dict[str, Any]:
|
|||
return section
|
||||
|
||||
|
||||
_accounts2clients: dict[str, Client] = {}
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def _aio_get_client(
|
||||
async def load_aio_clients(
|
||||
|
||||
host: str = '127.0.0.1',
|
||||
port: int = None,
|
||||
|
|
@ -710,23 +716,23 @@ async def _aio_get_client(
|
|||
|
||||
TODO: consider doing this with a ctx mngr eventually?
|
||||
'''
|
||||
global _accounts2clients
|
||||
global _client_cache
|
||||
|
||||
conf = get_config()
|
||||
client = None
|
||||
|
||||
# first check cache for existing client
|
||||
if port:
|
||||
log.info(f'Loading requested client on port: {port}')
|
||||
client = _client_cache.get((host, port))
|
||||
|
||||
if client and client.ib.isConnected():
|
||||
yield client, _client_cache, _accounts2clients
|
||||
return
|
||||
|
||||
# allocate new and/or reload disconnected but cached clients
|
||||
try:
|
||||
if port:
|
||||
client = _client_cache[(host, port)]
|
||||
else:
|
||||
# grab first cached client
|
||||
client = list(_client_cache.values())[0]
|
||||
|
||||
if not client.ib.isConnected():
|
||||
# we have a stale client to re-allocate
|
||||
raise KeyError
|
||||
|
||||
yield client
|
||||
|
||||
except (KeyError, IndexError):
|
||||
|
||||
# TODO: in case the arbiter has no record
|
||||
# of existing brokerd we need to broadcast for one.
|
||||
|
|
@ -753,6 +759,8 @@ async def _aio_get_client(
|
|||
)
|
||||
order = ports['order']
|
||||
|
||||
accounts_def = config.load_accounts('ib')
|
||||
|
||||
try_ports = [ports[key] for key in order]
|
||||
ports = try_ports if port is None else [port]
|
||||
|
||||
|
|
@ -762,29 +770,64 @@ async def _aio_get_client(
|
|||
|
||||
_err = None
|
||||
|
||||
# (re)load any and all clients that can be found
|
||||
# from connection details in ``brokers.toml``.
|
||||
for port in ports:
|
||||
try:
|
||||
log.info(f"Connecting to the EYEBEE on port {port}!")
|
||||
await ib.connectAsync(host, port, clientId=client_id)
|
||||
break
|
||||
except ConnectionRefusedError as ce:
|
||||
_err = ce
|
||||
log.warning(f'Failed to connect on {port}')
|
||||
client = _client_cache.get((host, port))
|
||||
|
||||
if not client or not client.ib.isConnected():
|
||||
try:
|
||||
log.info(f"Connecting to the EYEBEE on port {port}!")
|
||||
await ib.connectAsync(host, port, clientId=client_id)
|
||||
|
||||
# create and cache client
|
||||
client = Client(ib)
|
||||
|
||||
# Pre-collect all accounts available for this
|
||||
# connection and map account names to this client
|
||||
# instance.
|
||||
pps = ib.positions()
|
||||
if pps:
|
||||
for pp in pps:
|
||||
_accounts2clients[
|
||||
accounts_def.inverse[pp.account]
|
||||
] = client
|
||||
|
||||
# if there are no positions or accounts
|
||||
# without positions we should still register
|
||||
# them for this client
|
||||
for value in ib.accountValues():
|
||||
acct = value.account
|
||||
if acct not in _accounts2clients:
|
||||
_accounts2clients[
|
||||
accounts_def.inverse[acct]
|
||||
] = client
|
||||
|
||||
log.info(
|
||||
f'Loaded accounts: {_accounts2clients} for {client} '
|
||||
f'@ {host}:{port}'
|
||||
)
|
||||
|
||||
log.info(f"Caching client for {(host, port)}")
|
||||
_client_cache[(host, port)] = client
|
||||
|
||||
except ConnectionRefusedError as ce:
|
||||
_err = ce
|
||||
log.warning(f'Failed to connect on {port}')
|
||||
else:
|
||||
raise ConnectionRefusedError(_err)
|
||||
if not _client_cache:
|
||||
raise ConnectionRefusedError(_err)
|
||||
|
||||
# create and cache
|
||||
try:
|
||||
client = Client(ib)
|
||||
# retreive first loaded client
|
||||
clients = list(_client_cache.values())
|
||||
if clients:
|
||||
client = clients[0]
|
||||
|
||||
_client_cache[(host, port)] = client
|
||||
log.debug(f"Caching client for {(host, port)}")
|
||||
yield client, _client_cache, _accounts2clients
|
||||
|
||||
yield client
|
||||
|
||||
except BaseException:
|
||||
ib.disconnect()
|
||||
raise
|
||||
except BaseException:
|
||||
ib.disconnect()
|
||||
raise
|
||||
|
||||
|
||||
async def _aio_run_client_method(
|
||||
|
|
@ -793,8 +836,12 @@ async def _aio_run_client_method(
|
|||
from_trio=None,
|
||||
**kwargs,
|
||||
) -> None:
|
||||
async with _aio_get_client() as client:
|
||||
|
||||
async with load_aio_clients() as (
|
||||
client,
|
||||
clients,
|
||||
accts2clients,
|
||||
):
|
||||
async_meth = getattr(client, meth)
|
||||
|
||||
# handle streaming methods
|
||||
|
|
@ -1081,8 +1128,11 @@ async def _setup_quote_stream(
|
|||
"""
|
||||
global _quote_streams
|
||||
|
||||
async with _aio_get_client() as client:
|
||||
|
||||
async with load_aio_clients() as (
|
||||
client,
|
||||
clients,
|
||||
accts2clients,
|
||||
):
|
||||
contract = contract or (await client.find_contract(symbol))
|
||||
ticker: Ticker = client.ib.reqMktData(contract, ','.join(opts))
|
||||
|
||||
|
|
@ -1324,11 +1374,41 @@ async def handle_order_requests(
|
|||
|
||||
) -> None:
|
||||
|
||||
global _accounts2clients
|
||||
accounts_def = config.load_accounts('ib')
|
||||
|
||||
# request_msg: dict
|
||||
async for request_msg in ems_order_stream:
|
||||
log.info(f'Received order request {request_msg}')
|
||||
|
||||
action = request_msg['action']
|
||||
account = request_msg['account']
|
||||
|
||||
acct_number = accounts_def.get(account)
|
||||
if not acct_number:
|
||||
log.error(
|
||||
f'An IB account number for name {account} is not found?\n'
|
||||
'Make sure you have all TWS and GW instances running.'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'No account found: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
client = _accounts2clients.get(account)
|
||||
if not client:
|
||||
log.error(
|
||||
f'An IB client for account name {account} is not found.\n'
|
||||
'Make sure you have all TWS and GW instances running.'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'No api client loaded for account: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
if action in {'buy', 'sell'}:
|
||||
# validate
|
||||
|
|
@ -1343,6 +1423,7 @@ async def handle_order_requests(
|
|||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
account=order.account,
|
||||
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||
# there is no existing order so ask the client to create
|
||||
|
|
@ -1359,6 +1440,7 @@ async def handle_order_requests(
|
|||
# broker specific request id
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
account=account,
|
||||
).dict()
|
||||
)
|
||||
|
||||
|
|
@ -1388,15 +1470,16 @@ async def trades_dialogue(
|
|||
ib_trade_events_stream = await _trio_run_client_method(
|
||||
method='recv_trade_updates',
|
||||
)
|
||||
global _accounts2clients
|
||||
global _client_cache
|
||||
|
||||
# deliver positions to subscriber before anything else
|
||||
positions = await _trio_run_client_method(method='positions')
|
||||
|
||||
all_positions = {}
|
||||
|
||||
for pos in positions:
|
||||
msg = pack_position(pos)
|
||||
all_positions[msg.symbol] = msg.dict()
|
||||
for client in _client_cache.values():
|
||||
for pos in client.positions():
|
||||
msg = pack_position(pos)
|
||||
all_positions[msg.symbol] = msg.dict()
|
||||
|
||||
await ctx.started(all_positions)
|
||||
|
||||
|
|
@ -1413,7 +1496,8 @@ async def trades_dialogue(
|
|||
# ib-gw goes down? Not sure exactly how that's happening looking
|
||||
# at the eventkit code above but we should probably handle it...
|
||||
async for event_name, item in ib_trade_events_stream:
|
||||
print(f' ib sending {item}')
|
||||
|
||||
log.info(f'ib sending {event_name}:\n{pformat(item)}')
|
||||
|
||||
# TODO: templating the ib statuses in comparison with other
|
||||
# brokers is likely the way to go:
|
||||
|
|
@ -1453,6 +1537,7 @@ async def trades_dialogue(
|
|||
|
||||
reqid=trade.order.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
# account=client.
|
||||
|
||||
# everyone doin camel case..
|
||||
status=status.status.lower(), # force lower case
|
||||
|
|
|
|||
Loading…
Reference in New Issue