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Add position event support to ems

basic_orders
Tyler Goodlet 2021-03-11 21:38:59 -05:00
parent 6265ae8057
commit e91e7bea1f
1 changed files with 17 additions and 4 deletions
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21
piker/exchange/_ems.py
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@ -353,6 +353,13 @@ async def process_broker_trades(
log.info(f'Received broker trade event:\n{pformat(msg)}') log.info(f'Received broker trade event:\n{pformat(msg)}')
if name == 'position':
msg['resp'] = 'position'
# relay through
await ctx.send_yield(msg)
continue
# Get the broker (order) request id, this **must** be normalized # Get the broker (order) request id, this **must** be normalized
# into messaging provided by the broker backend # into messaging provided by the broker backend
reqid = msg['reqid'] reqid = msg['reqid']
@ -366,7 +373,13 @@ async def process_broker_trades(
# locally, so we need to retreive the oid that was already # locally, so we need to retreive the oid that was already
# packed at submission since we already know it ahead of # packed at submission since we already know it ahead of
# time # time
oid = msg['paper_info']['oid'] paper = msg.get('paper_info')
if paper:
oid = paper['oid']
else:
msg['external']
continue
resp = { resp = {
'resp': None, # placeholder 'resp': None, # placeholder
@ -543,6 +556,7 @@ async def process_order_cmds(
# the user choose the predicate operator. # the user choose the predicate operator.
pred = mk_check(trigger_price, last) pred = mk_check(trigger_price, last)
tick_slap: float = 5
min_tick = feed.symbols[sym].tick_size min_tick = feed.symbols[sym].tick_size
if action == 'buy': if action == 'buy':
@ -552,12 +566,12 @@ async def process_order_cmds(
# TODO: we probably need to scale this based # TODO: we probably need to scale this based
# on some near term historical spread # on some near term historical spread
# measure? # measure?
abs_diff_away = 3 * min_tick abs_diff_away = tick_slap * min_tick
elif action == 'sell': elif action == 'sell':
tickfilter = ('bid', 'last', 'trade') tickfilter = ('bid', 'last', 'trade')
percent_away = -0.005 percent_away = -0.005
abs_diff_away = -3 * min_tick abs_diff_away = -tick_slap * min_tick
else: # alert else: # alert
tickfilter = ('trade', 'utrade', 'last') tickfilter = ('trade', 'utrade', 'last')
@ -567,7 +581,6 @@ async def process_order_cmds(
# submit execution/order to EMS scan loop # submit execution/order to EMS scan loop
# FYI: this may result in an override of an existing # FYI: this may result in an override of an existing
# dark book entry if the order id already exists # dark book entry if the order id already exists
dark_book.orders.setdefault( dark_book.orders.setdefault(
sym, {} sym, {}
)[oid] = ( )[oid] = (