Port position calcs to new ctx mngr apis and drop multi-loop madness
Tyler Goodlet
parent
ad458e3fcd
commit
e1d57e8a8a
|
|
@ -53,7 +53,6 @@ import pendulum
|
|||
|
||||
from piker import config
|
||||
from piker.pp import (
|
||||
# update_pps_conf,
|
||||
Position,
|
||||
Transaction,
|
||||
open_trade_ledger,
|
||||
|
|
@ -426,6 +425,8 @@ async def trades_dialogue(
|
|||
all_positions = []
|
||||
accounts = set()
|
||||
clients: list[tuple[Client, trio.MemoryReceiveChannel]] = []
|
||||
acctids = set()
|
||||
cids2pps: dict[str, BrokerdPosition] = {}
|
||||
|
||||
# TODO: this causes a massive tractor bug when you run marketstored
|
||||
# with ``--tsdb``... you should get:
|
||||
|
|
@ -435,12 +436,35 @@ async def trades_dialogue(
|
|||
# - hitting final control-c to kill daemon will lead to hang
|
||||
# assert 0
|
||||
|
||||
# TODO: just write on teardown?
|
||||
# we might also want to delegate a specific actor for
|
||||
# ledger writing / reading for speed?
|
||||
async with (
|
||||
trio.open_nursery() as nurse,
|
||||
open_client_proxies() as (proxies, aioclients),
|
||||
):
|
||||
# Open a trade ledgers stack for appending trade records over
|
||||
# multiple accounts.
|
||||
# TODO: we probably want to generalize this into a "ledgers" api..
|
||||
ledgers: dict[str, dict] = {}
|
||||
tables: dict[str, PpTable] = {}
|
||||
with (
|
||||
ExitStack() as lstack,
|
||||
):
|
||||
for account, proxy in proxies.items():
|
||||
|
||||
acctid = account.strip('ib.')
|
||||
acctids.add(acctid)
|
||||
|
||||
# open ledger and pptable wrapper for each
|
||||
# detected account.
|
||||
ledger = ledgers[acctid] = lstack.enter_context(
|
||||
open_trade_ledger('ib', acctid)
|
||||
)
|
||||
table = tables[acctid] = lstack.enter_context(
|
||||
open_pps('ib', acctid)
|
||||
)
|
||||
|
||||
client = aioclients[account]
|
||||
|
||||
async def open_trade_event_stream(
|
||||
|
|
@ -458,89 +482,75 @@ async def trades_dialogue(
|
|||
await trio.sleep_forever()
|
||||
|
||||
trade_event_stream = await nurse.start(open_trade_event_stream)
|
||||
|
||||
clients.append((client, trade_event_stream))
|
||||
|
||||
assert account in accounts_def
|
||||
accounts.add(account)
|
||||
|
||||
cids2pps: dict[str, BrokerdPosition] = {}
|
||||
# update trades ledgers for all accounts from connected
|
||||
# api clients which report trades for **this session**.
|
||||
trades = await proxy.trades()
|
||||
(
|
||||
trans_by_acct,
|
||||
api_ready_for_ledger_entries,
|
||||
) = await update_ledger_from_api_trades(
|
||||
trades,
|
||||
proxy,
|
||||
)
|
||||
|
||||
# Open a trade ledgers stack for appending trade records over
|
||||
# multiple accounts.
|
||||
# TODO: we probably want to generalize this into a "ledgers" api..
|
||||
ledgers: dict[str, dict] = {}
|
||||
tables: dict[str, PpTable] = {}
|
||||
with (
|
||||
ExitStack() as lstack,
|
||||
):
|
||||
# if new trades are detected from the API, prepare
|
||||
# them for the ledger file and update the pptable.
|
||||
if api_ready_for_ledger_entries:
|
||||
trade_entries = api_ready_for_ledger_entries[acctid]
|
||||
ledger.update(trade_entries)
|
||||
trans = trans_by_acct.get(acctid)
|
||||
if trans:
|
||||
table.update_from_trans(trans)
|
||||
|
||||
# process pp value reported from ib's system. we only use these
|
||||
# to cross-check sizing since average pricing on their end uses
|
||||
# the so called (bs) "FIFO" style which more or less results in
|
||||
# a price that's not useful for traders who want to not lose
|
||||
# money.. xb
|
||||
acctids = set()
|
||||
for client in aioclients.values():
|
||||
# for client in aioclients.values():
|
||||
for pos in client.positions():
|
||||
|
||||
# collect all ib-pp reported positions so that we can be
|
||||
# sure know which positions to update from the ledger if
|
||||
# any are missing from the ``pps.toml``
|
||||
cid, msg = pack_position(pos)
|
||||
bsuid, msg = pack_position(pos)
|
||||
acctid = msg.account = accounts_def.inverse[msg.account]
|
||||
acctid = acctid.strip('ib.')
|
||||
acctids.add(acctid)
|
||||
|
||||
cids2pps[(acctid, cid)] = msg
|
||||
cids2pps[(acctid, bsuid)] = msg
|
||||
assert msg.account in accounts, (
|
||||
f'Position for unknown account: {msg.account}')
|
||||
|
||||
for acctid in acctids:
|
||||
# open ledger and pptable wrapper for each
|
||||
# detected account.
|
||||
ledgers[acctid] = lstack.enter_context(
|
||||
open_trade_ledger('ib', acctid)
|
||||
)
|
||||
tables[acctid] = lstack.enter_context(
|
||||
open_pps('ib', acctid)
|
||||
)
|
||||
table = tables[acctid]
|
||||
pp = table.pps.get(bsuid)
|
||||
if (
|
||||
not pp
|
||||
or pp.size != msg.size
|
||||
):
|
||||
trans = norm_trade_records(ledger)
|
||||
updated = table.update_from_trans(trans)
|
||||
pp = updated[bsuid]
|
||||
assert msg.size == pp.size, 'WTF'
|
||||
|
||||
# update trades ledgers for all accounts from
|
||||
# connected api clients which report trades for **this session**.
|
||||
for account, proxy in proxies.items():
|
||||
# TODO: figure out why these don't match?
|
||||
# assert pp.calc_be_price() == pp.be_price
|
||||
|
||||
trades = await proxy.trades()
|
||||
(
|
||||
trans_by_acct,
|
||||
ready_for_ledger_entries,
|
||||
) = await update_ledger_from_api_trades(
|
||||
trades,
|
||||
proxy,
|
||||
)
|
||||
_, closed_pps = table.dump_active('ib')
|
||||
active_pps = table.pps
|
||||
|
||||
acctid = account.strip('ib.')
|
||||
ledger = ledgers[acctid]
|
||||
ledger.update(ready_for_ledger_entries[acctid])
|
||||
|
||||
trans = trans_by_acct.get(acctid)
|
||||
if trans:
|
||||
tables[acctid].update_from_trans(trans)
|
||||
|
||||
# load all positions from `pps.toml`, cross check with ib's
|
||||
# positions data, and relay re-formatted pps as msgs to the ems.
|
||||
# load all positions from `pps.toml`, cross check with
|
||||
# ib's positions data, and relay re-formatted pps as
|
||||
# msgs to the ems.
|
||||
# __2 cases__:
|
||||
# - new trades have taken place this session that we want to
|
||||
# always reprocess indempotently,
|
||||
# - no new trades yet but we want to reload and audit any
|
||||
# positions reported by ib's sys that may not yet be in
|
||||
# piker's ``pps.toml`` state-file.
|
||||
for acctid in acctids:
|
||||
|
||||
table = tables[acctid]
|
||||
_, closed_pps = table.dump_active('ib')
|
||||
active_pps = table.pps
|
||||
|
||||
for pps in [active_pps, closed_pps]:
|
||||
msgs = await update_and_audit_msgs(
|
||||
acctid,
|
||||
|
|
@ -556,24 +566,14 @@ async def trades_dialogue(
|
|||
f'{pformat(cids2pps)}'
|
||||
)
|
||||
|
||||
# log.info(f'Loaded {len(trades)} from this session')
|
||||
# TODO: write trades to local ``trades.toml``
|
||||
# - use above per-session trades data and write to local file
|
||||
# - get the "flex reports" working and pull historical data and
|
||||
# also save locally.
|
||||
|
||||
await ctx.started((
|
||||
all_positions,
|
||||
tuple(name for name in accounts_def if name in accounts),
|
||||
))
|
||||
|
||||
# TODO: maybe just write on teardown?
|
||||
# we might also want to delegate a specific actor for
|
||||
# ledger writing / reading for speed?
|
||||
|
||||
# write ledger with all new trades **AFTER** we've updated the
|
||||
# `pps.toml` from the original ledger state!
|
||||
for acctid, trades_by_id in ready_for_ledger_entries.items():
|
||||
for acctid, trades_by_id in api_ready_for_ledger_entries.items():
|
||||
ledgers[acctid].update(trades_by_id)
|
||||
|
||||
async with (
|
||||
|
|
@ -621,7 +621,7 @@ async def emit_pp_update(
|
|||
acctid = acctid.strip('ib.')
|
||||
(
|
||||
records_by_acct,
|
||||
ready_for_ledger_entries,
|
||||
api_ready_for_ledger_entries,
|
||||
) = await update_ledger_from_api_trades(
|
||||
[trade_entry],
|
||||
proxy,
|
||||
|
|
@ -635,7 +635,7 @@ async def emit_pp_update(
|
|||
active = table.pps
|
||||
|
||||
# NOTE: update ledger with all new trades
|
||||
for acctid, trades_by_id in ready_for_ledger_entries.items():
|
||||
for acctid, trades_by_id in api_ready_for_ledger_entries.items():
|
||||
ledger = ledgers[acctid]
|
||||
ledger.update(trades_by_id)
|
||||
|
||||
|
|
@ -1128,8 +1128,7 @@ def load_flex_trades(
|
|||
|
||||
trade_entries = report.extract('Trade')
|
||||
ln = len(trade_entries)
|
||||
# log.info(f'Loaded {ln} trades from flex query')
|
||||
print(f'Loaded {ln} trades from flex query')
|
||||
log.info(f'Loaded {ln} trades from flex query')
|
||||
|
||||
trades_by_account = trades_to_ledger_entries(
|
||||
# get reverse map to user account names
|
||||
|
|
@ -1138,14 +1137,20 @@ def load_flex_trades(
|
|||
source_type='flex',
|
||||
)
|
||||
|
||||
ledgers = {}
|
||||
for acctid, trades_by_id in trades_by_account.items():
|
||||
with open_trade_ledger('ib', acctid) as ledger:
|
||||
ledger.update(trades_by_id)
|
||||
for acctid in trades_by_account:
|
||||
trades_by_id = trades_by_account[acctid]
|
||||
with open_trade_ledger('ib', acctid) as ledger_dict:
|
||||
tid_delta = set(trades_by_id) - set(ledger_dict)
|
||||
log.info(
|
||||
'New trades detected\n'
|
||||
f'{pformat(tid_delta)}'
|
||||
)
|
||||
if tid_delta:
|
||||
ledger_dict.update(
|
||||
{tid: trades_by_id[tid] for tid in tid_delta}
|
||||
)
|
||||
|
||||
ledgers[acctid] = ledger
|
||||
|
||||
return ledgers
|
||||
return ledger_dict
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
|
|
|
|||
Loading…
Reference in New Issue