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Add sym registry to PaperBoi as well as a sym ref on Transaction 

Add decimal quantize API to Symbol to simplify by-broker truncation
Add symbol info to `pps.toml`
Move _assert call to outside the _async_main context manager
Minor indentation and styling changes, also convert a few prints to log calls
Fix multi write / race condition on open_pps call
Switch open_pps to not write by default
Fix integer math kraken syminfo _tick_size initialization
decimalization_take_2
Guillermo Rodriguez 2023-02-28 01:51:03 -03:00
parent dc78994dcf
commit f5b8b9a14f
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GPG Key ID: EC3AB66D5D83B392
6 changed files with 80 additions and 58 deletions
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3
piker/brokers/kraken/broker.py
View File

@ -469,8 +469,7 @@ async def trades_dialogue(
with (
open_pps(
'kraken',
acctid,
write_on_exit=True,
acctid
) as table,
open_trade_ledger(

4
piker/brokers/kraken/feed.py
View File

@ -345,8 +345,8 @@ async def stream_quotes(
f'Missing msg fields {fields_diff}'
)
syminfo = si.to_dict()
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
syminfo['price_tick_size'] = 1. / 10**si.pair_decimals
syminfo['lot_tick_size'] = 1. / 10**si.lot_decimals
syminfo['asset_type'] = 'crypto'
sym_infos[sym] = syminfo
ws_pairs[sym] = si.wsname

47
piker/clearing/_paper_engine.py
View File

@ -38,6 +38,7 @@ import tractor
from .. import data
from ..data.types import Struct
from ..data._source import Symbol
from ..pp import (
Position,
Transaction,
@ -81,6 +82,7 @@ class PaperBoi(Struct):
_reqids: bidict
_positions: dict[str, Position]
_trade_ledger: dict[str, Any]
_syms: dict[str, Symbol] = {}
# init edge case L1 spread
last_ask: tuple[float, float] = (float('inf'), 0) # price, size
@ -252,6 +254,7 @@ class PaperBoi(Struct):
key = fqsn.rstrip(f'.{self.broker}')
t = Transaction(
fqsn=fqsn,
sym=self._syms[fqsn],
tid=oid,
size=size,
price=price,
@ -261,27 +264,29 @@ class PaperBoi(Struct):
)
with (
open_trade_ledger(self.broker, 'paper') as ledger,
open_pps(self.broker, 'paper', True) as table
):
ledger.update({oid: t.to_dict()})
# Write to pps toml right now
table.update_from_trans({oid: t})
open_trade_ledger(self.broker, 'paper') as ledger,
open_pps(self.broker, 'paper', write_on_exit=True) as table
):
tx = t.to_dict()
tx.pop('sym')
ledger.update({oid: tx})
# Write to pps toml right now
table.update_from_trans({oid: t})
pp = table.pps[key]
pp_msg = BrokerdPosition(
broker=self.broker,
account='paper',
symbol=fqsn,
# TODO: we need to look up the asset currency from
# broker info. i guess for crypto this can be
# inferred from the pair?
currency=key,
size=pp.size,
avg_price=pp.ppu,
)
pp = table.pps[key]
pp_msg = BrokerdPosition(
broker=self.broker,
account='paper',
symbol=fqsn,
# TODO: we need to look up the asset currency from
# broker info. i guess for crypto this can be
# inferred from the pair?
currency=key,
size=pp.size,
avg_price=pp.ppu,
)
await self.ems_trades_stream.send(pp_msg)
await self.ems_trades_stream.send(pp_msg)
async def simulate_fills(
@ -567,6 +572,10 @@ async def trades_dialogue(
# TODO: load postions from ledger file
_trade_ledger={},
_syms={
fqsn: flume.symbol
for fqsn, flume in feed.flumes.items()
}
)
n.start_soon(

16
piker/data/_source.py
View File

@ -18,8 +18,8 @@
numpy data source coversion helpers.
"""
from __future__ import annotations
from decimal import Decimal, ROUND_HALF_EVEN
from typing import Any
import decimal
from bidict import bidict
import numpy as np
@ -80,7 +80,7 @@ def float_digits(
if value == 0:
return 0
return int(-decimal.Decimal(str(value)).as_tuple().exponent)
return int(-Decimal(str(value)).as_tuple().exponent)
def ohlc_zeros(length: int) -> np.ndarray:
@ -156,14 +156,14 @@ class Symbol(Struct):
) -> Symbol:
tick_size = info.get('price_tick_size', 0.01)
lot_tick_size = info.get('lot_tick_size', 0.0)
lot_size = info.get('lot_tick_size', 0.0)
return Symbol(
key=symbol,
tick_size=tick_size,
lot_tick_size=lot_tick_size,
lot_tick_size=lot_size,
tick_size_digits=float_digits(tick_size),
lot_size_digits=float_digits(lot_tick_size),
lot_size_digits=float_digits(lot_size),
suffix=suffix,
broker_info={broker: info},
)
@ -254,6 +254,12 @@ class Symbol(Struct):
return keys
def decimal_quant(self, d: Decimal):
digits = self.lot_size_digits
return d.quantize(
Decimal(f'1.{"0".ljust(digits, "0")}'),
rounding=ROUND_HALF_EVEN
)
def _nan_to_closest_num(array: np.ndarray):
"""Return interpolated values instead of NaN.

41
piker/pp.py
View File

@ -45,7 +45,7 @@ import toml
from . import config
from .brokers import get_brokermod
from .clearing._messages import BrokerdPosition, Status
from .data._source import Symbol
from .data._source import Symbol, unpack_fqsn
from .log import get_logger
from .data.types import Struct
@ -83,7 +83,7 @@ def open_trade_ledger(
with open(tradesfile, 'rb') as cf:
start = time.time()
ledger = tomli.load(cf)
print(f'Ledger load took {time.time() - start}s')
log.info(f'Ledger load took {time.time() - start}s')
cpy = ledger.copy()
try:
@ -92,7 +92,7 @@ def open_trade_ledger(
if cpy != ledger:
# TODO: show diff output?
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
print(f'Updating ledger for {tradesfile}:\n')
log.info(f'Updating ledger for {tradesfile}:\n')
ledger.update(cpy)
# we write on close the mutated ledger data
with open(tradesfile, 'w') as cf:
@ -103,17 +103,18 @@ class Transaction(Struct, frozen=True):
# TODO: should this be ``.to`` (see below)?
fqsn: str
sym: Symbol
tid: Union[str, int] # unique transaction id
size: float
price: float
cost: float # commisions or other additional costs
dt: datetime
expiry: Optional[datetime] = None
expiry: datetime | None = None
# optional key normally derived from the broker
# backend which ensures the instrument-symbol this record
# is for is truly unique.
bsuid: Optional[Union[str, int]] = None
bsuid: Union[str, int] | None = None
# optional fqsn for the source "asset"/money symbol?
# from: Optional[str] = None
@ -190,9 +191,20 @@ class Position(Struct):
# listing venue here even when the backend isn't providing
# it via the trades ledger..
# drop symbol obj in serialized form
s = d.pop('symbol')
s = d.get('symbol')
fqsn = s.front_fqsn()
broker, key, suffix = unpack_fqsn(fqsn)
sym_info = s.broker_info[broker]
d['symbol'] = {
'info': {
'asset_type': sym_info['asset_type'],
'price_tick_size': sym_info['price_tick_size'],
'lot_tick_size': sym_info['lot_tick_size']
}
}
if self.expiry is None:
d.pop('expiry', None)
elif expiry:
@ -467,8 +479,7 @@ class Position(Struct):
if self.split_ratio is not None:
size = round(size * self.split_ratio)
return float(Decimal(size).quantize(
Decimal('1.0000'), rounding=ROUND_HALF_EVEN))
return float(self.symbol.decimal_quant(Decimal(size)))
def minimize_clears(
self,
@ -512,7 +523,7 @@ class Position(Struct):
'cost': t.cost,
'price': t.price,
'size': t.size,
'dt': t.dt,
'dt': t.dt
}
# TODO: compute these incrementally instead
@ -559,7 +570,7 @@ class PpTable(Struct):
Symbol.from_fqsn(
t.fqsn,
info={},
),
) if not t.sym else t.sym,
size=0.0,
ppu=0.0,
bsuid=t.bsuid,
@ -620,7 +631,7 @@ class PpTable(Struct):
# XXX: debug hook for size mismatches
# qqqbsuid = 320227571
# if bsuid == qqqbsuid:
# breakpoint()
# xbreakpoint()
pp.ensure_state()
@ -682,10 +693,10 @@ class PpTable(Struct):
'''
# TODO: show diff output?
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
print(f'Updating ``pps.toml`` for {path}:\n')
log.info(f'Updating ``pps.toml`` for {path}:\n')
# active, closed_pp_objs = table.dump_active()
pp_entries = self.to_toml()
log.info(pp_entries)
self.conf[self.brokername][self.acctid] = pp_entries
# TODO: why tf haven't they already done this for inline
@ -883,7 +894,6 @@ def open_pps(
brokername: str,
acctid: str,
write_on_exit: bool = False,
) -> Generator[PpTable, None, None]:
'''
Read out broker-specific position entries from
@ -937,8 +947,11 @@ def open_pps(
dtstr = clears_table['dt']
dt = pendulum.parse(dtstr)
clears_table['dt'] = dt
trans.append(Transaction(
fqsn=bsuid,
sym=Symbol.from_fqsn(
fqsn, entry['symbol']),
bsuid=bsuid,
tid=tid,
size=clears_table['size'],

27
tests/test_paper.py
View File

@ -84,25 +84,20 @@ async def _async_main(
case {'name': 'position'}:
break
if (
assert_entries
or assert_pps
or assert_zeroed_pps
or assert_msg
):
_assert(
assert_entries,
assert_pps,
assert_zeroed_pps,
pps,
last_msg,
size,
executions,
)
# Teardown piker like a user would
raise KeyboardInterrupt
if assert_entries or assert_pps or assert_zeroed_pps or assert_msg:
_assert(
assert_entries,
assert_pps,
assert_zeroed_pps,
pps,
last_msg,
size,
executions,
)
def _assert(
assert_entries,