Add initial `kraken` live order loading
Tyler Goodlet
parent
c8bff81220
commit
e2cd8c4aef
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@ -39,7 +39,6 @@ from bidict import bidict
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import pendulum
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import pendulum
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import trio
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import trio
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import tractor
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import tractor
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import wsproto
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from piker.pp import (
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from piker.pp import (
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Position,
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Position,
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@ -49,6 +48,8 @@ from piker.pp import (
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open_pps,
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open_pps,
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)
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)
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from piker.clearing._messages import (
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from piker.clearing._messages import (
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Order,
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Status,
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BrokerdCancel,
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BrokerdCancel,
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BrokerdError,
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BrokerdError,
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BrokerdFill,
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BrokerdFill,
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@ -126,7 +127,7 @@ async def handle_order_requests(
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oid=msg['oid'],
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oid=msg['oid'],
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symbol=msg['symbol'],
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symbol=msg['symbol'],
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reason=(
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reason=(
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f'TooFastEdit reqid:{reqid}, could not cancelling..'
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f'Edit too fast:{reqid}, cancelling..'
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),
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),
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)
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)
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@ -249,7 +250,7 @@ async def handle_order_requests(
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@acm
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@acm
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async def subscribe(
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async def subscribe(
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ws: wsproto.WSConnection,
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ws: NoBsWs,
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token: str,
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token: str,
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subs: list[tuple[str, dict]] = [
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subs: list[tuple[str, dict]] = [
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('ownTrades', {
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('ownTrades', {
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@ -632,8 +633,6 @@ async def handle_order_updates(
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# to do all fill/status/pp updates in that sub and just use
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# to do all fill/status/pp updates in that sub and just use
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# this one for ledger syncs?
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# this one for ledger syncs?
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# XXX: ASK SUPPORT ABOUT THIS!
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# For eg. we could take the "last 50 trades" and do a diff
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# For eg. we could take the "last 50 trades" and do a diff
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# with the ledger and then only do a re-sync if something
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# with the ledger and then only do a re-sync if something
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# seems amiss?
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# seems amiss?
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@ -696,7 +695,6 @@ async def handle_order_updates(
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status_msg = BrokerdStatus(
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status_msg = BrokerdStatus(
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reqid=reqid,
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reqid=reqid,
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time_ns=time.time_ns(),
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time_ns=time.time_ns(),
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account=acc_name,
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account=acc_name,
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status='filled',
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status='filled',
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filled=size,
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filled=size,
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@ -870,17 +868,6 @@ async def handle_order_updates(
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f'{update_msg}\n'
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f'{update_msg}\n'
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'Cancelling order for now!..'
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'Cancelling order for now!..'
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)
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)
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elif noid: # a non-ems-active order
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# TODO: handle these and relay them
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# through the EMS to the client / UI
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# side!
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log.cancel(
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f'Rx unknown active order {txid}:\n'
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f'{update_msg}\n'
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'Cancelling order for now!..'
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)
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# call ws api to cancel:
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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await ws.send_msg({
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@ -891,17 +878,46 @@ async def handle_order_updates(
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})
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})
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continue
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continue
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# remap statuses to ems set.
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# a non-ems-active order, emit live
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ems_status = {
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# order embedded in status msg.
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'open': 'submitted',
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elif noid:
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'closed': 'filled',
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# parse out existing live order
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'canceled': 'cancelled',
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descr = rest['descr']
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# do we even need to forward
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fqsn = descr['pair'].replace(
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# this state to the ems?
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'/', '').lower()
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'pending': 'pending',
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price = float(descr['price'])
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}[status]
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size = float(rest['vol'])
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# TODO: i like the open / closed semantics
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action = descr['type']
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# more we should consider them for internals
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# register the userref value from
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# kraken (usually an `int` staring
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# at 1?) as our reqid.
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reqids2txids[reqid] = txid
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oid = str(reqid)
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ids[oid] = reqid # NOTE!: str -> int
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# fill out ``Status`` + boxed ``Order``
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status_msg = Status(
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time_ns=time.time_ns(),
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resp='open',
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oid=oid,
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reqid=reqid,
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# embedded order info
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req=Order(
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action=action,
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exec_mode='live',
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oid=oid,
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symbol=fqsn,
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account=acc_name,
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price=price,
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size=size,
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),
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src='kraken',
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)
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apiflows[reqid].maps.append(status_msg)
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await ems_stream.send(status_msg)
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continue
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# send BrokerdStatus messages for all
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# send BrokerdStatus messages for all
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# order state updates
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# order state updates
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@ -912,7 +928,7 @@ async def handle_order_updates(
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account=f'kraken.{acctid}',
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account=f'kraken.{acctid}',
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# everyone doin camel case..
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# everyone doin camel case..
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status=ems_status, # force lower case
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status=status, # force lower case
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filled=vlm,
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filled=vlm,
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reason='', # why held?
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reason='', # why held?
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