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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 ( from .broker import (
open_trade_dialog, open_trade_dialog,
)
from .ledger import (
norm_trade_records, 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 __future__ import annotations
from bisect import insort
from contextlib import ExitStack from contextlib import ExitStack
from dataclasses import asdict from dataclasses import asdict
from decimal import Decimal
from functools import partial from functools import partial
from pprint import pformat from pprint import pformat
import time import time
@ -55,8 +53,8 @@ import pendulum
from piker import config from piker import config
from piker.accounting import ( from piker.accounting import (
dec_digits, # dec_digits,
digits_to_dec, # digits_to_dec,
Position, Position,
Transaction, Transaction,
open_trade_ledger, open_trade_ledger,
@ -76,9 +74,6 @@ from piker.clearing._messages import (
BrokerdFill, BrokerdFill,
BrokerdError, BrokerdError,
) )
from piker.accounting import (
MktPair,
)
from ._util import log from ._util import log
from .api import ( from .api import (
_accounts2clients, _accounts2clients,
@ -89,6 +84,10 @@ from .api import (
MethodProxy, MethodProxy,
) )
from ._flex_reports import parse_flex_dt 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() acctids = set()
cids2pps: dict[str, BrokerdPosition] = {} 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 ( async with (
open_client_proxies() as ( open_client_proxies() as (
proxies, proxies,
@ -630,15 +618,19 @@ async def open_trade_dialog(
ledger: dict = ledgers[acctid] ledger: dict = ledgers[acctid]
table: PpTable = tables[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 # update trades ledgers for all accounts from connected
# api clients which report trades for **this session**. # api clients which report trades for **this session**.
api_trades = await proxy.trades() api_trades = await proxy.trades()
if api_trades: if api_trades:
trans_by_acct: dict[str, Transaction] api_trans_by_acct: dict[str, Transaction]
api_to_ledger_entries: dict[str, dict] api_to_ledger_entries: dict[str, dict]
( (
trans_by_acct, api_trans_by_acct,
api_to_ledger_entries, api_to_ledger_entries,
) = await update_ledger_from_api_trades( ) = await update_ledger_from_api_trades(
api_trades, api_trades,
@ -648,29 +640,26 @@ async def open_trade_dialog(
# if new api_trades are detected from the API, prepare # if new api_trades are detected from the API, prepare
# them for the ledger file and update the pptable. # them for the ledger file and update the pptable.
if api_to_ledger_entries: if (
trade_entries = api_to_ledger_entries.get(acctid) api_to_ledger_entries
and (trade_entries := api_to_ledger_entries.get(acctid))
):
# TODO: fix this `tractor` BUG! # TODO: fix this `tractor` BUG!
# https://github.com/goodboy/tractor/issues/354 # https://github.com/goodboy/tractor/issues/354
# await tractor.pp() # await tractor.pp()
if trade_entries: # write ledger with all new api_trades
# write ledger with all new api_trades # **AFTER** we've updated the `pps.toml`
# **AFTER** we've updated the `pps.toml` # from the original ledger state! (i.e. this
# from the original ledger state! (i.e. this # is currently done on exit)
# is currently done on exit) for tid, entry in trade_entries.items():
ledger.setdefault(tid, {}).update(entry)
for tid, entry in trade_entries.items(): if api_trans := api_trans_by_acct.get(acctid):
ledger.setdefault(tid, {}).update(entry) trans.update(api_trans)
trans = trans_by_acct.get(acctid) # update account (and thus pps) from all gathered transactions
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)
table.update_from_trans(trans) table.update_from_trans(trans)
# process pp value reported from ib's system. we only # process pp value reported from ib's system. we only
@ -765,8 +754,11 @@ async def open_trade_dialog(
tables, tables,
) )
# write account and ledger files immediately!
# TODO: make this thread-async! # TODO: make this thread-async!
table.write_config() for acctid, table in tables.items():
table.write_config()
ledgers[acctid].write_config()
# block until cancelled # block until cancelled
await trio.sleep_forever() await trio.sleep_forever()
@ -784,10 +776,12 @@ async def emit_pp_update(
) -> None: ) -> None:
# compute and relay incrementally updated piker pp
accounts_def_inv: bidict[str, str] = accounts_def.inverse accounts_def_inv: bidict[str, str] = accounts_def.inverse
fq_acctid = accounts_def_inv[trade_entry['execution']['acctNumber']] accnum: str = trade_entry['execution']['acctNumber']
proxy = proxies[fq_acctid] fq_acctid: str = accounts_def_inv[accnum]
proxy: MethodProxy = proxies[fq_acctid]
# compute and relay incrementally updated piker pp
( (
records_by_acct, records_by_acct,
api_to_ledger_entries, api_to_ledger_entries,
@ -796,8 +790,8 @@ async def emit_pp_update(
proxy, proxy,
accounts_def_inv, accounts_def_inv,
) )
trans = records_by_acct[fq_acctid] trans: dict[str, Transaction] = records_by_acct[fq_acctid]
r = list(trans.values())[0] tx: Transaction = list(trans.values())[0]
acctid = fq_acctid.strip('ib.') acctid = fq_acctid.strip('ib.')
table = tables[acctid] table = tables[acctid]
@ -818,7 +812,7 @@ async def emit_pp_update(
# re-formatted pps as msgs to the ems. # re-formatted pps as msgs to the ems.
for pos in filter( for pos in filter(
bool, 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( msgs = await update_and_audit_msgs(
acctid, acctid,
@ -1150,215 +1144,3 @@ async def deliver_trade_events(
case _: case _:
log.error(f'WTF: {event_name}: {item}') 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