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ib._ledger: move trades transaction processing helpers into new module

basic_buy_bot
Tyler Goodlet 2023-06-27 13:21:59 -04:00
parent c0d575c009
commit f2fff5a5fa
3 changed files with 289 additions and 255 deletions
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2
piker/brokers/ib/__init__.py
View File

@ -35,6 +35,8 @@ from .feed import (
)
from .broker import (
open_trade_dialog,
)
from .ledger import (
norm_trade_records,
)

292
piker/brokers/ib/broker.py
View File

@ -19,10 +19,8 @@ Order and trades endpoints for use with ``piker``'s EMS.
"""
from __future__ import annotations
from bisect import insort
from contextlib import ExitStack
from dataclasses import asdict
from decimal import Decimal
from functools import partial
from pprint import pformat
import time
@ -55,8 +53,8 @@ import pendulum
from piker import config
from piker.accounting import (
dec_digits,
digits_to_dec,
# dec_digits,
# digits_to_dec,
Position,
Transaction,
open_trade_ledger,
@ -76,9 +74,6 @@ from piker.clearing._messages import (
BrokerdFill,
BrokerdError,
)
from piker.accounting import (
MktPair,
)
from ._util import log
from .api import (
_accounts2clients,
@ -89,6 +84,10 @@ from .api import (
MethodProxy,
)
from ._flex_reports import parse_flex_dt
from .ledger import (
norm_trade_records,
api_trades_to_ledger_entries,
)
@ -546,17 +545,6 @@ async def open_trade_dialog(
acctids = set()
cids2pps: dict[str, BrokerdPosition] = {}
# TODO: this causes a massive tractor bug when you run marketstored
# with ``--tsdb``... you should get:
# - first error the assertion
# - chart should get that error and die
# - pikerd goes to debugger again from trio nursery multi-error
# - 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 (
open_client_proxies() as (
proxies,
@ -630,15 +618,19 @@ async def open_trade_dialog(
ledger: dict = ledgers[acctid]
table: PpTable = tables[acctid]
# update position table with latest ledger from all
# gathered transactions: ledger file + api records.
trans: dict[str, Transaction] = norm_trade_records(ledger)
# update trades ledgers for all accounts from connected
# api clients which report trades for **this session**.
api_trades = await proxy.trades()
if api_trades:
trans_by_acct: dict[str, Transaction]
api_trans_by_acct: dict[str, Transaction]
api_to_ledger_entries: dict[str, dict]
(
trans_by_acct,
api_trans_by_acct,
api_to_ledger_entries,
) = await update_ledger_from_api_trades(
api_trades,
@ -648,29 +640,26 @@ async def open_trade_dialog(
# if new api_trades are detected from the API, prepare
# them for the ledger file and update the pptable.
if api_to_ledger_entries:
trade_entries = api_to_ledger_entries.get(acctid)
if (
api_to_ledger_entries
and (trade_entries := api_to_ledger_entries.get(acctid))
):
# TODO: fix this `tractor` BUG!
# https://github.com/goodboy/tractor/issues/354
# await tractor.pp()
if trade_entries:
# write ledger with all new api_trades
# **AFTER** we've updated the `pps.toml`
# from the original ledger state! (i.e. this
# is currently done on exit)
# write ledger with all new api_trades
# **AFTER** we've updated the `pps.toml`
# from the original ledger state! (i.e. this
# is currently done on exit)
for tid, entry in trade_entries.items():
ledger.setdefault(tid, {}).update(entry)
for tid, entry in trade_entries.items():
ledger.setdefault(tid, {}).update(entry)
if api_trans := api_trans_by_acct.get(acctid):
trans.update(api_trans)
trans = trans_by_acct.get(acctid)
if trans:
table.update_from_trans(trans)
# update position table with latest ledger from all
# gathered transactions: ledger file + api records.
trans: dict[str, Transaction] = norm_trade_records(ledger)
# update account (and thus pps) from all gathered transactions
table.update_from_trans(trans)
# process pp value reported from ib's system. we only
@ -765,8 +754,11 @@ async def open_trade_dialog(
tables,
)
# write account and ledger files immediately!
# TODO: make this thread-async!
table.write_config()
for acctid, table in tables.items():
table.write_config()
ledgers[acctid].write_config()
# block until cancelled
await trio.sleep_forever()
@ -784,10 +776,12 @@ async def emit_pp_update(
) -> None:
# compute and relay incrementally updated piker pp
accounts_def_inv: bidict[str, str] = accounts_def.inverse
fq_acctid = accounts_def_inv[trade_entry['execution']['acctNumber']]
proxy = proxies[fq_acctid]
accnum: str = trade_entry['execution']['acctNumber']
fq_acctid: str = accounts_def_inv[accnum]
proxy: MethodProxy = proxies[fq_acctid]
# compute and relay incrementally updated piker pp
(
records_by_acct,
api_to_ledger_entries,
@ -796,8 +790,8 @@ async def emit_pp_update(
proxy,
accounts_def_inv,
)
trans = records_by_acct[fq_acctid]
r = list(trans.values())[0]
trans: dict[str, Transaction] = records_by_acct[fq_acctid]
tx: Transaction = list(trans.values())[0]
acctid = fq_acctid.strip('ib.')
table = tables[acctid]
@ -818,7 +812,7 @@ async def emit_pp_update(
# re-formatted pps as msgs to the ems.
for pos in filter(
bool,
[active.get(r.bs_mktid), closed.get(r.bs_mktid)]
[active.get(tx.bs_mktid), closed.get(tx.bs_mktid)]
):
msgs = await update_and_audit_msgs(
acctid,
@ -1150,215 +1144,3 @@ async def deliver_trade_events(
case _:
log.error(f'WTF: {event_name}: {item}')
def norm_trade_records(
ledger: dict[str, Any],
) -> dict[str, Transaction]:
'''
Normalize a flex report or API retrieved executions
ledger into our standard record format.
'''
records: list[Transaction] = []
for tid, record in ledger.items():
conid = record.get('conId') or record['conid']
comms = record.get('commission')
if comms is None:
comms = -1*record['ibCommission']
price = record.get('price') or record['tradePrice']
# the api doesn't do the -/+ on the quantity for you but flex
# records do.. are you fucking serious ib...!?
size = record.get('quantity') or record['shares'] * {
'BOT': 1,
'SLD': -1,
}[record['side']]
exch = record['exchange']
lexch = record.get('listingExchange')
# NOTE: remove null values since `tomlkit` can't serialize
# them to file.
dnc = record.pop('deltaNeutralContract', False)
if dnc is not None:
record['deltaNeutralContract'] = dnc
suffix = lexch or exch
symbol = record['symbol']
# likely an opts contract record from a flex report..
# TODO: no idea how to parse ^ the strike part from flex..
# (00010000 any, or 00007500 tsla, ..)
# we probably must do the contract lookup for this?
if ' ' in symbol or '--' in exch:
underlying, _, tail = symbol.partition(' ')
suffix = exch = 'opt'
expiry = tail[:6]
# otype = tail[6]
# strike = tail[7:]
print(f'skipping opts contract {symbol}')
continue
# timestamping is way different in API records
dtstr = record.get('datetime')
date = record.get('date')
flex_dtstr = record.get('dateTime')
if dtstr or date:
dt = pendulum.parse(dtstr or date)
elif flex_dtstr:
# probably a flex record with a wonky non-std timestamp..
dt = parse_flex_dt(record['dateTime'])
# special handling of symbol extraction from
# flex records using some ad-hoc schema parsing.
asset_type: str = record.get(
'assetCategory'
) or record.get('secType', 'STK')
# TODO: XXX: WOA this is kinda hacky.. probably
# should figure out the correct future pair key more
# explicitly and consistently?
if asset_type == 'FUT':
# (flex) ledger entries don't have any simple 3-char key?
symbol = record['symbol'][:3]
asset_type: str = 'future'
elif asset_type == 'STK':
asset_type: str = 'stock'
# try to build out piker fqme from record.
expiry = (
record.get('lastTradeDateOrContractMonth')
or record.get('expiry')
)
if expiry:
expiry = str(expiry).strip(' ')
suffix = f'{exch}.{expiry}'
expiry = pendulum.parse(expiry)
# src: str = record['currency']
price_tick: Decimal = digits_to_dec(dec_digits(price))
pair = MktPair.from_fqme(
fqme=f'{symbol}.{suffix}.ib',
bs_mktid=str(conid),
_atype=str(asset_type), # XXX: can't serlialize `tomlkit.String`
price_tick=price_tick,
# NOTE: for "legacy" assets, volume is normally discreet, not
# a float, but we keep a digit in case the suitz decide
# to get crazy and change it; we'll be kinda ready
# schema-wise..
size_tick='1',
)
fqme = pair.fqme
# NOTE: for flex records the normal fields for defining an fqme
# sometimes won't be available so we rely on two approaches for
# the "reverse lookup" of piker style fqme keys:
# - when dealing with API trade records received from
# `IB.trades()` we do a contract lookup at he time of processing
# - when dealing with flex records, it is assumed the record
# is at least a day old and thus the TWS position reporting system
# should already have entries if the pps are still open, in
# which case, we can pull the fqme from that table (see
# `trades_dialogue()` above).
insort(
records,
Transaction(
fqme=fqme,
sym=pair,
tid=tid,
size=size,
price=price,
cost=comms,
dt=dt,
expiry=expiry,
bs_mktid=str(conid),
),
key=lambda t: t.dt
)
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],
) -> 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.
'''
trades_by_account = {}
for t in trade_entries:
# NOTE: example of schema we pull from the API client.
# {
# 'commissionReport': CommissionReport(...
# 'contract': {...
# 'execution': Execution(...
# 'time': 1654801166.0
# }
# flatten all sub-dicts and values into one top level entry.
entry = {}
for section, val in t.items():
match section:
case 'contract' | 'execution' | 'commissionReport':
# sub-dict cases
entry.update(val)
case 'time':
# ib has wack ns timestamps, or is that us?
continue
case _:
entry[section] = 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']]
if not tid:
# this is likely some kind of internal adjustment
# transaction, likely one of the following:
# - an expiry event that will show a "book trade" indicating
# some adjustment to cash balances: zeroing or itm settle.
# - a manual cash balance position adjustment likely done by
# 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)}')
continue
trades_by_account.setdefault(
acctid, {}
)[tid] = entry
# sort entries in output by python based datetime
for acctid in trades_by_account:
trades_by_account[acctid] = dict(sorted(
trades_by_account[acctid].items(),
key=lambda entry: entry[1].pop('pydatetime'),
))
return trades_by_account

250
piker/brokers/ib/ledger.py 100644
View File

@ -0,0 +1,250 @@
# piker: trading gear for hackers
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Affero General Public License for more details.
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
'''
Trade transaction accounting and normalization.
'''
from bisect import insort
from decimal import Decimal
from pprint import pformat
from typing import (
Any,
)
from bidict import bidict
import pendulum
from piker.accounting import (
dec_digits,
digits_to_dec,
Transaction,
MktPair,
)
from ._flex_reports import parse_flex_dt
from ._util import log
def norm_trade_records(
ledger: dict[str, Any],
) -> dict[str, Transaction]:
'''
Normalize a flex report or API retrieved executions
ledger into our standard record format.
'''
records: list[Transaction] = []
for tid, record in ledger.items():
conid = record.get('conId') or record['conid']
comms = record.get('commission')
if comms is None:
comms = -1*record['ibCommission']
price = record.get('price') or record['tradePrice']
# the api doesn't do the -/+ on the quantity for you but flex
# records do.. are you fucking serious ib...!?
size = record.get('quantity') or record['shares'] * {
'BOT': 1,
'SLD': -1,
}[record['side']]
exch = record['exchange']
lexch = record.get('listingExchange')
# NOTE: remove null values since `tomlkit` can't serialize
# them to file.
dnc = record.pop('deltaNeutralContract', False)
if dnc is not None:
record['deltaNeutralContract'] = dnc
suffix = lexch or exch
symbol = record['symbol']
# likely an opts contract record from a flex report..
# TODO: no idea how to parse ^ the strike part from flex..
# (00010000 any, or 00007500 tsla, ..)
# we probably must do the contract lookup for this?
if ' ' in symbol or '--' in exch:
underlying, _, tail = symbol.partition(' ')
suffix = exch = 'opt'
expiry = tail[:6]
# otype = tail[6]
# strike = tail[7:]
print(f'skipping opts contract {symbol}')
continue
# timestamping is way different in API records
dtstr = record.get('datetime')
date = record.get('date')
flex_dtstr = record.get('dateTime')
if dtstr or date:
dt = pendulum.parse(dtstr or date)
elif flex_dtstr:
# probably a flex record with a wonky non-std timestamp..
dt = parse_flex_dt(record['dateTime'])
# special handling of symbol extraction from
# flex records using some ad-hoc schema parsing.
asset_type: str = record.get(
'assetCategory'
) or record.get('secType', 'STK')
# TODO: XXX: WOA this is kinda hacky.. probably
# should figure out the correct future pair key more
# explicitly and consistently?
if asset_type == 'FUT':
# (flex) ledger entries don't have any simple 3-char key?
symbol = record['symbol'][:3]
asset_type: str = 'future'
elif asset_type == 'STK':
asset_type: str = 'stock'
# try to build out piker fqme from record.
expiry = (
record.get('lastTradeDateOrContractMonth')
or record.get('expiry')
)
if expiry:
expiry = str(expiry).strip(' ')
suffix = f'{exch}.{expiry}'
expiry = pendulum.parse(expiry)
# src: str = record['currency']
price_tick: Decimal = digits_to_dec(dec_digits(price))
pair = MktPair.from_fqme(
fqme=f'{symbol}.{suffix}.ib',
bs_mktid=str(conid),
_atype=str(asset_type), # XXX: can't serlialize `tomlkit.String`
price_tick=price_tick,
# NOTE: for "legacy" assets, volume is normally discreet, not
# a float, but we keep a digit in case the suitz decide
# to get crazy and change it; we'll be kinda ready
# schema-wise..
size_tick='1',
)
fqme = pair.fqme
# NOTE: for flex records the normal fields for defining an fqme
# sometimes won't be available so we rely on two approaches for
# the "reverse lookup" of piker style fqme keys:
# - when dealing with API trade records received from
# `IB.trades()` we do a contract lookup at he time of processing
# - when dealing with flex records, it is assumed the record
# is at least a day old and thus the TWS position reporting system
# should already have entries if the pps are still open, in
# which case, we can pull the fqme from that table (see
# `trades_dialogue()` above).
insort(
records,
Transaction(
fqme=fqme,
sym=pair,
tid=tid,
size=size,
price=price,
cost=comms,
dt=dt,
expiry=expiry,
bs_mktid=str(conid),
),
key=lambda t: t.dt
)
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],
) -> 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.
'''
trades_by_account = {}
for t in trade_entries:
# NOTE: example of schema we pull from the API client.
# {
# 'commissionReport': CommissionReport(...
# 'contract': {...
# 'execution': Execution(...
# 'time': 1654801166.0
# }
# flatten all sub-dicts and values into one top level entry.
entry = {}
for section, val in t.items():
match section:
case 'contract' | 'execution' | 'commissionReport':
# sub-dict cases
entry.update(val)
case 'time':
# ib has wack ns timestamps, or is that us?
continue
case _:
entry[section] = 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']]
if not tid:
# this is likely some kind of internal adjustment
# transaction, likely one of the following:
# - an expiry event that will show a "book trade" indicating
# some adjustment to cash balances: zeroing or itm settle.
# - a manual cash balance position adjustment likely done by
# 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)}')
continue
trades_by_account.setdefault(
acctid, {}
)[tid] = entry
# sort entries in output by python based datetime
for acctid in trades_by_account:
trades_by_account[acctid] = dict(sorted(
trades_by_account[acctid].items(),
key=lambda entry: entry[1].pop('pydatetime'),
))
return trades_by_account