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ib: rework trade handling, take ib position sizes as gospel 

Instead of casting to `dict`s and rewriting event names in the
`push_tradesies()` handler, be transparent with event names (also
defining and piker-equivalent mapping them in a redefined `_statuses`
table) and types
passing them directly to the `deliver_trade_events()` task and generally
make event handler blocks much easier to grok with type annotations. To
deal with the causality dilemma of *when to emit a pos msg* due to
needing all of `execDetailsEvent, commissionReportEvent, positionEvent`
but having no guarantee on received order, we implement a small task
`clears: dict[Contract, tuple[Position, Fill]]` tracker table and (as
before) only emit a position event once the "cost" can be accessed for
the fill. We now ALWAYS relay any `Position` update from IB directly to
ensure (at least) the cumsize is correct (since it appears we still have
ongoing issues with computing this correctly via `.accounting.Position`
updates..).

Further related adjustments:
- load (fiat) balances and startup positions into a new `IbAcnt` struct.
- change `update_and_audit_pos_msg()` to blindly forward ib position
  event updates for the **the size** since it should always be
  considered the true gospel for accounting!
  - drop ib-has-no-position handling since it should never occur..
- move `update_ledger_from_api_trades()` to the `.ledger` submod and do
  processing of ib_insync `Fill` related objects instead of dict-casted
  versions instead doing the casting in
  `api_trades_to_ledger_entries()`.
- `norm_trade()`: add `symcache.mktmaps[bs_mktid] = mkt` in since it
  turns out API (and sometimes FLEX) records don't contain the listing
  exchange/venue thus making it impossible to map an asset pair in the
  "position sense" (i.e. over multiple venues: qqq.nasdaq, qqq.arca,
  qqq.directedge) to an fqme when doing offline ledger processing;
  instead use frickin IB's internal int-id so there's no discrepancy.
  - also much better handle futures mkt trade flex records such that
    parsed `MktPair.fqme` is consistent.
account_tests
Tyler Goodlet 2023-07-25 18:03:32 -04:00
parent b33be86b2f
commit e344bdbf1b
2 changed files with 719 additions and 574 deletions
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881
piker/brokers/ib/broker.py
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202
piker/brokers/ib/ledger.py
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@ -18,17 +18,26 @@
Trade transaction accounting and normalization.
'''
from __future__ import annotations
from bisect import insort
from dataclasses import asdict
from decimal import Decimal
from functools import partial
from pprint import pformat
from typing import (
Any,
Callable,
TYPE_CHECKING,
)
from bidict import bidict
import pendulum
from ib_insync.objects import (
Contract,
Fill,
Execution,
CommissionReport,
)
from piker.data import (
Struct,
@ -45,6 +54,12 @@ from piker.accounting import (
from ._flex_reports import parse_flex_dt
from ._util import log
if TYPE_CHECKING:
from .api import (
Client,
MethodProxy,
)
tx_sort: Callable = partial(
iter_by_dt,
@ -71,7 +86,8 @@ def norm_trade(
) -> Transaction | None:
conid = record.get('conId') or record['conid']
conid: int = str(record.get('conId') or record['conid'])
bs_mktid: str = str(conid)
comms = record.get('commission')
if comms is None:
comms = -1*record['ibCommission']
@ -86,7 +102,11 @@ def norm_trade(
}[record['side']]
symbol: str = record['symbol']
exch: str = record.get('listingExchange') or record['exchange']
exch: str = (
record.get('listingExchange')
or record.get('primaryExchange')
or record['exchange']
)
# NOTE: remove null values since `tomlkit` can't serialize
# them to file.
@ -156,11 +176,31 @@ def norm_trade(
match asset_type:
case 'FUT':
# (flex) ledger entries don't have any simple 3-char key?
# TODO: XXX: WOA this is kinda hacky.. probably
# should figure out the correct future pair key more
# explicitly and consistently?
symbol: str = symbol[:3]
# XXX (flex) ledger entries don't necessarily have any
# simple 3-char key.. sometimes the .symbol is some
# weird internal key that we probably don't want in the
# .fqme => we should probably just wrap `Contract` to
# this like we do other crypto$ backends XD
# NOTE: at least older FLEX records should have
# this field.. no idea about API entries..
local_symbol: str | None = record.get('localSymbol')
underlying_key: str = record.get('underlyingSymbol')
descr: str | None = record.get('description')
if (
not (
local_symbol
and symbol in local_symbol
)
and (
descr
and symbol not in descr
)
):
con_key, exp_str = descr.split(' ')
symbol: str = underlying_key or con_key
dst = Asset(
name=symbol.lower(),
atype='future',
@ -206,8 +246,9 @@ def norm_trade(
# NOTE: can't serlialize `tomlkit.String` so cast to native
atype: str = str(dst.atype)
# if not (mkt := symcache.mktmaps.get(bs_mktid)):
mkt = MktPair(
bs_mktid=str(conid),
bs_mktid=bs_mktid,
dst=dst,
price_tick=price_tick,
@ -232,7 +273,21 @@ def norm_trade(
# XXX: if passed in, we fill out the symcache ad-hoc in order
# to make downstream accounting work..
if symcache:
if symcache is not None:
orig_mkt: MktPair | None = symcache.mktmaps.get(bs_mktid)
if (
orig_mkt
and orig_mkt.fqme != mkt.fqme
):
log.warning(
# print(
f'Contracts with common `conId`: {bs_mktid} mismatch..\n'
f'{orig_mkt.fqme} -> {mkt.fqme}\n'
# 'with DIFF:\n'
# f'{mkt - orig_mkt}'
)
symcache.mktmaps[bs_mktid] = mkt
symcache.mktmaps[fqme] = mkt
symcache.assets[src.name] = src
symcache.assets[dst.name] = dst
@ -271,9 +326,7 @@ def norm_trade_records(
extraction to fill in the `Transaction.sys: MktPair` field.
'''
# select: list[transactions] = []
records: list[Transaction] = []
for tid, record in ledger.items():
txn = norm_trade(
@ -294,64 +347,54 @@ def norm_trade_records(
key=lambda t: t.dt
)
# if (
# atype == 'fiat'
# or atype == 'option'
# ):
# select.append(trans)
# if select:
# breakpoint()
return {r.tid: r for r in records}
def api_trades_to_ledger_entries(
accounts: bidict[str, str],
# TODO: maybe we should just be passing through the
# ``ib_insync.order.Trade`` instance directly here
# instead of pre-casting to dicts?
trade_entries: list[dict],
fills: list[Fill],
) -> dict[str, dict]:
'''
Convert API execution objects entry objects into ``dict`` form,
pretty much straight up without modification except add
a `pydatetime` field from the parsed timestamp.
Convert API execution objects entry objects into
flattened-``dict`` form, pretty much straight up without
modification except add a `pydatetime` field from the parsed
timestamp so that on write
'''
trades_by_account: dict[str, dict] = {}
for t in trade_entries:
# NOTE: example of schema we pull from the API client.
# {
# 'commissionReport': CommissionReport(...
# 'contract': {...
# 'execution': Execution(...
# 'time': 1654801166.0
# }
for fill in fills:
# flatten all sub-dicts and values into one top level entry.
entry = {}
for section, val in t.items():
match section:
# NOTE: for the schema, see the defn for `Fill` which is
# a `NamedTuple` subtype
fdict: dict = fill._asdict()
# flatten all (sub-)objects and convert to dicts.
# with values packed into one top level entry.
val: CommissionReport | Execution | Contract
txn_dict: dict[str, Any] = {}
for attr_name, val in fdict.items():
match attr_name:
# value is a `@dataclass` subtype
case 'contract' | 'execution' | 'commissionReport':
# sub-dict cases
entry.update(val)
txn_dict.update(asdict(val))
case 'time':
# ib has wack ns timestamps, or is that us?
continue
# TODO: we can remove this case right since there's
# only 4 fields on a `Fill`?
case _:
entry[section] = val
txn_dict[attr_name] = val
tid = str(entry['execId'])
dt = pendulum.from_timestamp(entry['time'])
# TODO: why isn't this showing seconds in the str?
entry['pydatetime'] = dt
entry['datetime'] = str(dt)
acctid = accounts[entry['acctNumber']]
tid = str(txn_dict['execId'])
dt = pendulum.from_timestamp(txn_dict['time'])
txn_dict['datetime'] = str(dt)
acctid = accounts[txn_dict['acctNumber']]
# NOTE: only inserted (then later popped) for sorting below!
txn_dict['pydatetime'] = dt
if not tid:
# this is likely some kind of internal adjustment
@ -362,13 +405,18 @@ def api_trades_to_ledger_entries(
# the user from the accounts window in TWS where they can
# manually set the avg price and size:
# https://api.ibkr.com/lib/cstools/faq/web1/index.html#/tag/DTWS_ADJ_AVG_COST
log.warning(f'Skipping ID-less ledger entry:\n{pformat(entry)}')
log.warning(
'Skipping ID-less ledger txn_dict:\n'
f'{pformat(txn_dict)}'
)
continue
trades_by_account.setdefault(
acctid, {}
)[tid] = entry
)[tid] = txn_dict
# TODO: maybe we should just bisect.insort() into a list of
# tuples and then return a dict of that?
# sort entries in output by python based datetime
for acctid in trades_by_account:
trades_by_account[acctid] = dict(sorted(
@ -377,3 +425,55 @@ def api_trades_to_ledger_entries(
))
return trades_by_account
async def update_ledger_from_api_trades(
fills: list[Fill],
client: Client | MethodProxy,
accounts_def_inv: bidict[str, str],
# NOTE: provided for ad-hoc insertions "as transactions are
# processed" -> see `norm_trade()` signature requirements.
symcache: SymbologyCache | None = None,
) -> tuple[
dict[str, Transaction],
dict[str, dict],
]:
# XXX; ERRGGG..
# pack in the "primary/listing exchange" value from a
# contract lookup since it seems this isn't available by
# default from the `.fills()` method endpoint...
fill: Fill
for fill in fills:
con: Contract = fill.contract
conid: str = con.conId
pexch: str | None = con.primaryExchange
if not pexch:
cons = await client.get_con(conid=conid)
if cons:
con = cons[0]
pexch = con.primaryExchange or con.exchange
else:
# for futes it seems like the primary is always empty?
pexch: str = con.exchange
# pack in the ``Contract.secType``
# entry['asset_type'] = condict['secType']
entries: dict[str, dict] = api_trades_to_ledger_entries(
accounts_def_inv,
fills,
)
# normalize recent session's trades to the `Transaction` type
trans_by_acct: dict[str, dict[str, Transaction]] = {}
for acctid, trades_by_id in entries.items():
# normalize to transaction form
trans_by_acct[acctid] = norm_trade_records(
trades_by_id,
symcache=symcache,
)
return trans_by_acct, entries