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Get order "editing" working fully 

Turns out the EMS can support this as originally expected: you can
update a `brokerd`-side `.reqid` through a `BrokerdAck` msg and the ems
which update its cross-dialog (leg) tracking correctly! The issue was
a bug in the `editOrderStatus` msg handling and appropriate tracking
of the correct `.oid` (ems uid) on the kraken side. This unfortunately
required adding a `emsflow: dict[str, list[BrokerdOrder]]` msg flow
tracing table which means the broker daemon is tracking all the msg flow
with the ems, though I'm wondering now if this is just good practise
anyway and maybe we should offer a small primitive type from our msging
utils to aid with this? I've used such constructs in event handling
systems prior.

There's a lot more factoring that can be done after these changes as
well but the quick detailed summary is,
- rework the `handle_order_requests()` loop to use `match:` syntax and
  update the new `emsflow` table on every new request from the ems.
- fix the `editOrderStatus` case pattern to not include an error msg and
  thus actually be triggered to respond to the ems with a `BrokerdAck`
  containing the new `.reqid`, the new kraken side `txid`.
- skip any `openOrders` msgs which are detected as being kraken's
  internal order "edits" by matching on the `cancel_reason` field.
- update the `emsflow` table in all ws-stream msg handling blocks
  with responses sent to the ems.

Relates to #290
kraken_ws_orders
Tyler Goodlet 2022-07-05 11:03:32 -04:00
parent ab08dc582d
commit df4cec930b
1 changed files with 166 additions and 148 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

236
piker/brokers/kraken/broker.py
View File

@ -26,9 +26,8 @@ import time
from typing import ( from typing import (
Any, Any,
AsyncIterator, AsyncIterator,
# Callable,
# Optional, # Optional,
# Union, Union,
) )
from bidict import bidict from bidict import bidict
@ -61,6 +60,16 @@ from .feed import (
stream_messages, stream_messages,
) )
MsgUnion = Union[
BrokerdCancel,
BrokerdError,
BrokerdFill,
BrokerdOrder,
BrokerdOrderAck,
BrokerdPosition,
BrokerdStatus,
]
async def handle_order_requests( async def handle_order_requests(
@ -68,7 +77,7 @@ async def handle_order_requests(
client: Client, client: Client,
ems_order_stream: tractor.MsgStream, ems_order_stream: tractor.MsgStream,
token: str, token: str,
requests: dict[str, BrokerdOrder], emsflow: dict[str, list[MsgUnion]],
ids: bidict[str, int], ids: bidict[str, int],
) -> None: ) -> None:
@ -78,100 +87,75 @@ async def handle_order_requests(
''' '''
# XXX: UGH, let's unify this.. with ``msgspec``. # XXX: UGH, let's unify this.. with ``msgspec``.
request_msg: dict msg: dict[str, Any]
order: BrokerdOrder order: BrokerdOrder
counter = count() counter = count()
async for request_msg in ems_order_stream: async for msg in ems_order_stream:
log.info( log.info(f'Rx order msg:\n{pformat(msg)}')
'Received order request:\n' match msg:
f'{pformat(request_msg)}' case {
) 'account': 'kraken.spot',
'action': action,
account = request_msg['account'] } if action in {'buy', 'sell'}:
if account != 'kraken.spot':
log.error(
'This is a kraken account, \
only a `kraken.spot` selection is valid'
)
await ems_order_stream.send(
BrokerdError(
oid=request_msg['oid'],
symbol=request_msg['symbol'],
reason=(
'Kraken only, order mode disabled due to '
'https://github.com/pikers/piker/issues/299'
),
)
)
continue
action = request_msg['action']
if action in {'buy', 'sell'}:
# validate # validate
msg = BrokerdOrder(**request_msg) order = BrokerdOrder(**msg)
# logic from old `Client.submit_limit()` # logic from old `Client.submit_limit()`
if msg.oid in ids: if order.oid in ids:
ep = 'editOrder' ep = 'editOrder'
reqid = ids[msg.oid] # integer not txid reqid = ids[order.oid] # integer not txid
order = requests[msg.oid] last = emsflow[order.oid][-1]
assert order.oid == msg.oid assert last.reqid == order.reqid
extra = { extra = {
'orderid': msg.reqid, # txid 'orderid': last.reqid, # txid
} }
# XXX: TODO: get this working, but currently the EMS
# doesn't support changing order `.reqid` (in this case
# kraken changes them via a cancel and a new
# submission). So for now cancel and report the error.
await ws.send_msg({
'event': 'cancelOrder',
'token': token,
'reqid': reqid,
'txid': [msg.reqid], # should be txid from submission
})
continue
else: else:
ep = 'addOrder' ep = 'addOrder'
reqid = next(counter) reqid = next(counter)
ids[msg.oid] = reqid ids[order.oid] = reqid
log.debug( log.debug(
f"GENERATED ORDER {reqid}\n" f"GENERATED ORDER {reqid}\n"
f'{ids}' f'{ids}'
) )
extra = { extra = {
'ordertype': 'limit', 'ordertype': 'limit',
'type': msg.action, 'type': order.action,
} }
psym = msg.symbol.upper() psym = order.symbol.upper()
pair = f'{psym[:3]}/{psym[3:]}' pair = f'{psym[:3]}/{psym[3:]}'
# call ws api to submit the order: # call ws api to submit the order:
# https://docs.kraken.com/websockets/#message-addOrder # https://docs.kraken.com/websockets/#message-addOrder
await ws.send_msg({ req = {
'event': ep, 'event': ep,
'token': token, 'token': token,
'reqid': reqid, # remapped-to-int uid from ems 'reqid': reqid, # remapped-to-int uid from ems
'pair': pair, 'pair': pair,
'price': str(msg.price), 'price': str(order.price),
'volume': str(msg.size), 'volume': str(order.size),
# only ensures request is valid, nothing more # only ensures request is valid, nothing more
# validate: 'true', # validate: 'true',
} | extra) } | extra
log.info(f'Submitting WS order request:\n{pformat(req)}')
await ws.send_msg(req)
elif action == 'cancel': # placehold for sanity checking in relay loop
emsflow.setdefault(order.oid, []).append(order)
msg = BrokerdCancel(**request_msg) case {
assert msg.oid in requests 'account': 'kraken.spot',
reqid = ids[msg.oid] 'action': 'cancel',
}:
cancel = BrokerdCancel(**msg)
assert cancel.oid in emsflow
reqid = ids[cancel.oid]
# call ws api to cancel: # call ws api to cancel:
# https://docs.kraken.com/websockets/#message-cancelOrder # https://docs.kraken.com/websockets/#message-cancelOrder
@ -179,14 +163,27 @@ async def handle_order_requests(
'event': 'cancelOrder', 'event': 'cancelOrder',
'token': token, 'token': token,
'reqid': reqid, 'reqid': reqid,
'txid': [msg.reqid], # should be txid from submission 'txid': [cancel.reqid], # should be txid from submission
}) })
else: case _:
log.error(f'Unknown order command: {request_msg}') account = msg.get('account')
if account != 'kraken.spot':
log.error(
'This is a kraken account, \
only a `kraken.spot` selection is valid'
)
# placehold for sanity checking in relay loop await ems_order_stream.send(
requests[msg.oid] = msg BrokerdError(
oid=msg['oid'],
symbol=msg['symbol'],
reason=(
'Invalid request msg:\n{msg}'
),
).dict()
)
@acm @acm
@ -311,7 +308,11 @@ async def trades_dialogue(
) as ws, ) as ws,
trio.open_nursery() as n, trio.open_nursery() as n,
): ):
reqmsgs: dict[str, BrokerdOrder] = {} # task local msg dialog tracking
emsflow: dict[
str,
list[MsgUnion],
] = {}
# 2way map for ems ids to kraken int reqids.. # 2way map for ems ids to kraken int reqids..
ids: bidict[str, int] = bidict() ids: bidict[str, int] = bidict()
@ -323,7 +324,7 @@ async def trades_dialogue(
client, client,
ems_stream, ems_stream,
token, token,
reqmsgs, emsflow,
ids, ids,
) )
@ -447,15 +448,24 @@ async def trades_dialogue(
# above: # above:
# https://github.com/pikers/piker/issues/293 # https://github.com/pikers/piker/issues/293
# https://github.com/pikers/piker/issues/310 # https://github.com/pikers/piker/issues/310
log.info(f'Orders update {seq}:{order_msgs}')
for order_msg in order_msgs: for order_msg in order_msgs:
log.info( log.info(
'Order msg update:\n' 'Order msg update_{seq}:\n'
f'{pformat(order_msg)}' f'{pformat(order_msg)}'
) )
txid, update_msg = list(order_msg.items())[0] txid, update_msg = list(order_msg.items())[0]
match update_msg: match update_msg:
case {
'cancel_reason': 'Order replaced',
'status': status,
'userref': reqid,
**rest,
}:
# we ignore internal order updates
# triggered by kraken's "edit"
# endpoint.
continue
case { case {
'status': status, 'status': status,
'userref': reqid, 'userref': reqid,
@ -490,15 +500,20 @@ async def trades_dialogue(
'open': 'submitted', 'open': 'submitted',
'closed': 'cancelled', 'closed': 'cancelled',
'canceled': 'cancelled', 'canceled': 'cancelled',
# do we even need to forward
# this state to the ems?
'pending': 'pending', 'pending': 'pending',
}[status] }[status]
submit_vlm = rest.get('vol', 0) submit_vlm = rest.get('vol', 0)
exec_vlm = rest.get('vol_exec', 0) exec_vlm = rest.get('vol_exec', 0)
oid = ids.inverse[reqid]
msgs = emsflow[oid]
# send BrokerdStatus messages for all # send BrokerdStatus messages for all
# order state updates # order state updates
msg = BrokerdStatus( resp = BrokerdStatus(
reqid=txid, reqid=txid,
time_ns=time.time_ns(), # cuz why not time_ns=time.time_ns(), # cuz why not
@ -519,7 +534,8 @@ async def trades_dialogue(
{'name': 'kraken'}, **update_msg {'name': 'kraken'}, **update_msg
), ),
) )
await ems_stream.send(msg.dict()) msgs.append(resp)
await ems_stream.send(resp.dict())
case _: case _:
log.warning( log.warning(
@ -537,28 +553,29 @@ async def trades_dialogue(
and status == 'error' and status == 'error'
): ):
log.error( log.error(
f'Failed to submit order {reqid}:\n' f'Failed to submit/edit order {reqid}:\n'
f'{errmsg}' f'{errmsg}'
) )
oid = ids.inverse[reqid] oid = ids.inverse[reqid]
order = reqmsgs[oid] msgs = emsflow[oid]
await ems_stream.send( last = msgs[-1]
BrokerdError( resp = BrokerdError(
oid=oid, oid=oid,
# use old reqid in case it changed? # use old reqid in case it changed?
reqid=order.reqid, reqid=last.reqid,
symbol=order.symbol, symbol=last.symbol,
reason=f'Failed submit:\n{errmsg}', reason=f'Failed submit:\n{errmsg}',
broker_details=resp broker_details=resp
).dict()
) )
msgs.append(resp)
await ems_stream.send(resp.dict())
# if we rx any error cancel the order again # if we rx any error cancel the order again
await ws.send_msg({ await ws.send_msg({
'event': 'cancelOrder', 'event': 'cancelOrder',
'token': token, 'token': token,
'reqid': reqid, 'reqid': reqid,
'txid': [order.reqid], # txid from submission 'txid': [last.reqid], # txid from submission
}) })
case { case {
@ -575,49 +592,48 @@ async def trades_dialogue(
# **rest, # **rest,
}: }:
oid = ids.inverse[reqid] oid = ids.inverse[reqid]
order = reqmsgs[oid] msgs = emsflow[oid]
last = msgs[-1]
log.info( log.info(
f'Submitting order {oid}[{reqid}]:\n' f'Submitting order: {descr}\n'
f'ems oid: {oid}\n'
f're-mapped reqid: {reqid}\n'
f'txid: {txid}\n' f'txid: {txid}\n'
f'{descr}'
) )
resp = BrokerdOrderAck(
# deliver ack immediately
await ems_stream.send(
BrokerdOrderAck(
oid=oid, # ems order request id oid=oid, # ems order request id
reqid=txid, # kraken unique order id reqid=txid, # kraken unique order id
account=order.account, # piker account account=last.account, # piker account
).dict()
) )
msgs.append(resp)
await ems_stream.send(resp.dict())
case { case {
'event': 'editOrderStatus', 'event': 'editOrderStatus',
'status': status, 'status': status,
'errorMessage': errmsg,
'reqid': reqid, # oid from ems side 'reqid': reqid, # oid from ems side
'descr': descr, 'descr': descr,
# NOTE: for edit request this is a new value # NOTE: for edit request this is a new value
'txid': txid, 'txid': txid,
'originaltxid': origtxid, 'originaltxid': origtxid,
# **rest,
}: }:
log.info( log.info(
f'Editting order {oid}[{reqid}]:\n' f'Editting order {oid}[requid={reqid}]:\n'
f'txid: {origtxid} -> {txid}\n' f'txid: {origtxid} -> {txid}\n'
f'{descr}' f'{descr}'
) )
# deliver another ack to update the ems-side # deliver another ack to update the ems-side `.reqid`.
# `.reqid`.
oid = ids.inverse[reqid] oid = ids.inverse[reqid]
await ems_stream.send( msgs = emsflow[oid]
BrokerdOrderAck( last = msgs[-1]
resp = BrokerdOrderAck(
oid=oid, # ems order request id oid=oid, # ems order request id
reqid=txid, # kraken unique order id reqid=txid, # kraken unique order id
account=order.account, # piker account account=last.account, # piker account
).dict()
) )
msgs.append(resp)
await ems_stream.send(resp.dict())
# successful cancellation # successful cancellation
case { case {
@ -629,19 +645,20 @@ async def trades_dialogue(
# TODO: should we support "batch" acking of # TODO: should we support "batch" acking of
# multiple cancels thus avoiding the below loop? # multiple cancels thus avoiding the below loop?
oid = ids.inverse[reqid] oid = ids.inverse[reqid]
msg = reqmsgs[oid] msgs = emsflow[oid]
last = msgs[-1]
for txid in txids: for txid in txids:
await ems_stream.send( resp = BrokerdStatus(
BrokerdStatus(
reqid=txid, reqid=txid,
account=msg.account, account=last.account,
time_ns=time.time_ns(), time_ns=time.time_ns(),
status='cancelled', status='cancelled',
reason='Cancel success: {oid}@{txid}', reason='Cancel success: {oid}@{txid}',
broker_details=resp, broker_details=resp,
).dict()
) )
msgs.append(resp)
await ems_stream.send(resp.dict())
# failed cancel # failed cancel
case { case {
@ -651,17 +668,18 @@ async def trades_dialogue(
'reqid': reqid, 'reqid': reqid,
}: }:
oid = ids.inverse[reqid] oid = ids.inverse[reqid]
msg = reqmsgs[oid] msgs = emsflow[oid]
last = msgs[-1]
await ems_stream.send( resp = BrokerdError(
BrokerdError(
oid=oid, oid=oid,
reqid=msg.reqid, reqid=last.reqid,
symbol=msg.symbol, symbol=last.symbol,
reason=f'Failed order cancel {errmsg}', reason=f'Failed order cancel {errmsg}',
broker_details=resp broker_details=resp
).dict()
) )
msgs.append(resp)
await ems_stream.send(resp.dict())
case _: case _:
log.warning(f'Unhandled trades msg: {msg}') log.warning(f'Unhandled trades msg: {msg}')