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`Account` api update and refine 

Rename `open_pps()` -> `open_account()` for obvious reasons as well as
expect a bit tighter integration with `SymbologyCache` and consequently
`LedgerTransaction` in order to drop `Transaction.sym: MktPair`
dependence when compiling / allocating new `Position`s from a ledger.

Also we drop a bunch of  prior attrs and do some cleaning,
- `Position.first_clear_dt` we no longer sort during insert.
- `._clears` now replaces by `._events` table.
- drop the now masked `.ensure_state()` method (eventually moved to
  `.calc` submod for maybe-later-use).
- drop `.sym=` from all remaining txns init calls.
- clean out the `Position.add_clear()` method and only add the provided
  txn directly to the `._events` table.

Improve some `Account` docs and interface:
- fill out the main type descr.
- add the backend broker modules as `Account.mod` allowing to drop
  `.brokername` as input and instead wrap as a `@property`.
- make `.update_from_trans()` now a new `.update_from_ledger()` and
  expect either of a `TransactionLedger` (user-dict) or a dict of txns;
  in the latter case if we have not been also passed a symcache as input
  then runtime error since the symcache is necessary to allocate
  positions.
  - also, delegate to `TransactionLedger.iter_txns()` instead of
    a manual datetime sorted iter-loop.
  - drop all the clears datetime don't-insert-if-earlier-then-first
    logic.
- rename `.to_toml()` -> `.prep_toml()`.
- drop old `PpTable` alias.
- rename `load_pps_from_ledger()` -> `load_account_from_ledger()` and
  make it only deliver the account instance and also move out all the
  `polars.DataFrame` related stuff (to `.calc`).

And tweak some account clears table formatting,
- store datetimes as TOML native equivs.
- drop `be_price` fixing.
- obvsly drop `.ensure_state()` call to pps.
account_tests
Tyler Goodlet 2023-07-07 22:22:06 -04:00
parent 0e94e89373
commit f5d4f58610
1 changed files with 148 additions and 246 deletions
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390
piker/accounting/_pos.py
View File

@ -22,18 +22,17 @@ that doesn't try to cuk most humans who prefer to not lose their moneys..
'''
from __future__ import annotations
# from bisect import insort
from contextlib import contextmanager as cm
from decimal import Decimal
from pprint import pformat
from pathlib import Path
from types import ModuleType
from typing import (
Any,
Iterator,
Generator
)
import polars as pl
import pendulum
from pendulum import (
datetime,
@ -43,7 +42,6 @@ import tomlkit
from ._ledger import (
Transaction,
open_trade_ledger,
TransactionLedger,
)
from ._mktinfo import (
@ -60,6 +58,7 @@ from ..clearing._messages import (
BrokerdPosition,
)
from ..data.types import Struct
from ..data._symcache import SymbologyCache
from ..log import get_logger
log = get_logger(__name__)
@ -105,19 +104,12 @@ class Position(Struct):
split_ratio: int | None = None
# ordered record of known constituent trade messages
_clears: list[
dict[str, Any], # transaction history summaries
] = []
# _events: pl.DataFrame | None = None
# TODO: use a `pl.DataFrame` intead?
_events: dict[str, Transaction | dict] = {}
# first_clear_dt: datetime | None = None
@property
def expiry(self) -> datetime | None:
exp: str = self.mkt.expiry
exp: str = self.mkt.expiry.lower()
match exp:
# empty str, 'perp' (contract) or simply a null
# signifies instrument with NO expiry.
@ -188,7 +180,7 @@ class Position(Struct):
'''
# scan for the last "net zero" position by iterating
# transactions until the next net-zero accum_size, rinse,
# transactions until the next net-zero cumsize, rinse,
# repeat.
cumsize: float = 0
clears_since_zero: list[dict] = []
@ -223,6 +215,7 @@ class Position(Struct):
'''
mkt: MktPair = self.mkt
assert isinstance(mkt, MktPair)
# TODO: we need to figure out how to have one top level
# listing venue here even when the backend isn't providing
# it via the trades ledger..
@ -239,16 +232,19 @@ class Position(Struct):
asdict: dict[str, Any] = {
'bs_mktid': self.bs_mktid,
'expiry': self.expiry or '',
# 'expiry': self.expiry or '',
'asset_type': asset_type,
'price_tick': mkt.price_tick,
'size_tick': mkt.size_tick,
}
if exp := self.expiry:
asdict['expiry'] = exp
clears_since_zero: list[dict] = self.minimized_clears()
# setup a "multi-line array of inline tables" which we call
# the "clears table", contained by each position entry in
# an "account file".
clears_table: tomlkit.Array = tomlkit.array()
clears_table.multiline(
multiline=True,
@ -267,69 +263,21 @@ class Position(Struct):
for k in ['price', 'size', 'cost']:
inline_table[k] = entry[k]
# serialize datetime to parsable `str`
inline_table['dt'] = entry['dt']#.isoformat('T')
# assert 'Datetime' not in inline_table['dt']
# NOTE: we don't actually need to serialize datetime to parsable `str`
# since `tomlkit` supports a native `DateTime` but
# seems like we're not doing it entirely in clearing
# tables yet?
inline_table['dt'] = entry['dt'] # .isoformat('T')
tid: str = entry['tid']
inline_table['tid'] = tid
clears_table.append(inline_table)
# if val < 0:
# breakpoint()
# assert not events
asdict['clears'] = clears_table
return fqme, asdict
# def ensure_state(self) -> None:
# '''
# Audit either the `.cumsize` and `.ppu` local instance vars against
# the clears table calculations and return the calc-ed values if
# they differ and log warnings to console.
# '''
# # clears: list[dict] = self._clears
# # self.first_clear_dt = min(clears, key=lambda e: e['dt'])['dt']
# last_clear: dict = clears[-1]
# csize: float = self.calc_size()
# accum: float = last_clear['accum_size']
# if not self.expired():
# if (
# csize != accum
# and csize != round(accum * (self.split_ratio or 1))
# ):
# raise ValueError(f'Size mismatch: {csize}')
# else:
# assert csize == 0, 'Contract is expired but non-zero size?'
# if self.cumsize != csize:
# log.warning(
# 'Position state mismatch:\n'
# f'{self.cumsize} => {csize}'
# )
# self.cumsize = csize
# cppu: float = self.calc_ppu()
# ppu: float = last_clear['ppu']
# if (
# cppu != ppu
# and self.split_ratio is not None
# # handle any split info entered (for now) manually by user
# and cppu != (ppu / self.split_ratio)
# ):
# raise ValueError(f'PPU mismatch: {cppu}')
# if self.ppu != cppu:
# log.warning(
# 'Position state mismatch:\n'
# f'{self.ppu} => {cppu}'
# )
# self.ppu = cppu
def update_from_msg(
self,
msg: BrokerdPosition,
@ -337,12 +285,13 @@ class Position(Struct):
) -> None:
mkt: MktPair = self.mkt
# we summarize the pos with a single summary transaction
# (for now) until we either pass THIS type as msg directly
# from emsd or come up with a better way?
# NOTE WARNING XXX: we summarize the pos with a single
# summary transaction (for now) until we either pass THIS
# type as msg directly from emsd or come up with a better
# way?
t = Transaction(
fqme=mkt.bs_mktid,
sym=mkt,
fqme=mkt.fqme,
bs_mktid=mkt.bs_mktid,
tid='unknown',
size=msg['size'],
@ -357,15 +306,16 @@ class Position(Struct):
@property
def dsize(self) -> float:
'''
The "dollar" size of the pp, normally in trading (fiat) unit
terms.
The "dollar" size of the pp, normally in source asset
(fiat) units.
'''
return self.ppu * self.size
def expired(self) -> bool:
'''
Predicate which checks if the contract/instrument is past its expiry.
Predicate which checks if the contract/instrument is past
its expiry.
'''
return bool(self.expiry) and self.expiry < now()
@ -388,36 +338,23 @@ class Position(Struct):
log.warning(f'{t} is already added?!')
return added
# clear: dict[str, float | str | int] = {
# 'tid': t.tid,
# 'cost': t.cost,
# 'price': t.price,
# 'size': t.size,
# 'dt': t.dt
# }
self._events[tid] = t
return True
# TODO: apparently this IS possible with a dict but not
# common and probably not that beneficial unless we're also
# going to do cum-calcs on each insert?
# https://stackoverflow.com/questions/38079171/python-insert-new-element-into-sorted-list-of-dictionaries
# from bisect import insort
# insort(
# self._clears,
# clear,
# key=lambda entry: entry['dt']
# )
self._events[tid] = t
return True
# TODO: compute these incrementally instead
# of re-looping through each time resulting in O(n**2)
# behaviour..?
# NOTE: we compute these **after** adding the entry in order to
# make the recurrence relation math work inside
# ``.calc_size()``.
# self.size = clear['accum_size'] = self.calc_size()
# self.ppu = clear['ppu'] = self.calc_ppu()
# self.size: float = self.calc_size()
# self.ppu: float = self.calc_ppu()
# assert len(self._events) == len(self._clears)
# return clear
# behaviour..? Can we have some kinda clears len to cached
# output subsys?
def calc_ppu(self) -> float:
return ppu(self.iter_by_type('clear'))
@ -487,20 +424,50 @@ class Position(Struct):
class Account(Struct):
'''
The real-time (double-entry accounting) state of
a given **asset ownership tracking system**, normally offered
or measured from some brokerage, CEX or (implied virtual)
summary crypto$ "wallets" aggregated and tracked over some set
of DEX-es.
brokername: str
Both market-mapped and ledger-system-native (aka inter-account
"transfers") transactions are accounted and they pertain to
(implied) PnL relatve to any other accountable asset.
More specifically in piker terms, an account tracks all of:
- the *balances* of all assets currently available for use either
in (future) market or (inter-account/wallet) transfer
transactions.
- a transaction *ledger* from a given brokerd backend whic
is a recording of all (know) such transactions from the past.
- a set of financial *positions* as measured from the current
ledger state.
See the semantic origins from double-bookeeping:
https://en.wikipedia.org/wiki/Double-entry_bookkeeping
'''
mod: ModuleType
acctid: str
pps: dict[str, Position]
conf_path: Path
conf: dict | None = {}
# TODO: track a table of asset balances as `.balances:
# dict[Asset, float]`?
def update_from_trans(
@property
def brokername(self) -> str:
return self.mod.name
def update_from_ledger(
self,
trans: dict[str, Transaction],
ledger: TransactionLedger,
cost_scalar: float = 2,
symcache: SymbologyCache | None = None,
) -> dict[str, Position]:
'''
@ -509,24 +476,36 @@ class Account(Struct):
accumulative size for each entry.
'''
if (
not isinstance(ledger, TransactionLedger)
and symcache is None
):
raise RuntimeError(
'No ledger provided!\n'
'We can not determine the `MktPair`s without a symcache..\n'
'Please provide `symcache: SymbologyCache` when '
'processing NEW positions!'
)
pps = self.pps
updated: dict[str, Position] = {}
# lifo update all pps from records, ensuring
# we compute the PPU and size sorted in time!
for t in sorted(
trans.values(),
key=lambda t: t.dt,
# reverse=True,
):
fqme: str = t.fqme
bs_mktid: str = t.bs_mktid
for tid, txn in ledger.iter_txns():
# for t in sorted(
# trans.values(),
# key=lambda t: t.dt,
# ):
fqme: str = txn.fqme
bs_mktid: str = txn.bs_mktid
# template the mkt-info presuming a legacy market ticks
# if no info exists in the transactions..
mkt: MktPair = t.sys
mkt: MktPair = ledger._symcache.mktmaps[fqme]
if not (pos := pps.get(bs_mktid)):
# if no existing pos, allocate fresh one.
pos = pps[bs_mktid] = Position(
mkt=mkt,
@ -541,33 +520,16 @@ class Account(Struct):
if len(pos.mkt.fqme) < len(fqme):
pos.mkt = mkt
# clears: list[dict] = pos._clears
# if clears:
# # first_clear_dt = pos.first_clear_dt
# # don't do updates for ledger records we already have
# # included in the current pps state.
# if (
# t.tid in clears
# # or (
# # first_clear_dt
# # and t.dt < first_clear_dt
# # )
# ):
# # NOTE: likely you'll see repeats of the same
# # ``Transaction`` passed in here if/when you are restarting
# # a ``brokerd.ib`` where the API will re-report trades from
# # the current session, so we need to make sure we don't
# # "double count" these in pp calculations.
# continue
# update clearing table
pos.add_clear(t)
updated[t.bs_mktid] = pos
# re-calc ppu and accumulative sizing.
# for bs_mktid, pos in updated.items():
# pos.ensure_state()
# update clearing table!
# NOTE: likely you'll see repeats of the same
# ``Transaction`` passed in here if/when you are restarting
# a ``brokerd.ib`` where the API will re-report trades from
# the current session, so we need to make sure we don't
# "double count" these in pp calculations;
# `Position.add_clear()` stores txs in a `dict[tid,
# tx]` which should always ensure this is true B)
pos.add_clear(txn)
updated[txn.bs_mktid] = pos
# NOTE: deliver only the position entries that were
# actually updated (modified the state) from the input
@ -614,7 +576,7 @@ class Account(Struct):
return open_pp_objs, closed_pp_objs
def to_toml(
def prep_toml(
self,
active: dict[str, Position] | None = None,
@ -629,12 +591,12 @@ class Account(Struct):
pos: Position
for bs_mktid, pos in active.items():
# NOTE: we only store the minimal amount of clears that make up this
# position since the last net-zero state.
# pos.minimize_clears()
# pos.ensure_state()
# serialize to pre-toml form
# NOTE: we only store the minimal amount of clears that
# make up this position since the last net-zero state,
# see `Position.to_pretoml()` for details
fqme, asdict = pos.to_pretoml()
# clears: list[dict] = asdict['clears']
@ -650,7 +612,8 @@ class Account(Struct):
def write_config(self) -> None:
'''
Write the current position table to the user's ``pps.toml``.
Write the current account state to the user's account TOML file, normally
something like ``pps.toml``.
'''
# TODO: show diff output?
@ -658,7 +621,7 @@ class Account(Struct):
# active, closed_pp_objs = table.dump_active()
active, closed = self.dump_active()
pp_entries = self.to_toml(active=active)
pp_entries = self.prep_toml(active=active)
if pp_entries:
log.info(
f'Updating positions in ``{self.conf_path}``:\n'
@ -705,24 +668,12 @@ class Account(Struct):
# super weird --1 thing going on for cumsize!?1!
# NOTE: the fix was to always float() the size value loaded
# in open_pps() below!
# confclears = self.conf["tsla.nasdaq.ib"]['clears']
# firstcum = confclears[0]['cumsize']
# if firstcum:
# breakpoint()
config.write(
config=self.conf,
path=self.conf_path,
fail_empty=False,
)
# breakpoint()
# TODO: move over all broker backend usage to new name..
PpTable = Account
def load_account(
brokername: str,
@ -784,12 +735,12 @@ def load_account(
@cm
def open_pps(
def open_account(
brokername: str,
acctid: str,
write_on_exit: bool = False,
) -> Generator[PpTable, None, None]:
) -> Generator[Account, None, None]:
'''
Read out broker-specific position entries from
incremental update file: ``pps.toml``.
@ -820,10 +771,12 @@ def open_pps(
# engine proc if we decide to always spawn it?),
# - do diffs against updates from the ledger writer
# actor and the in-mem state here?
from ..brokers import get_brokermod
mod: ModuleType = get_brokermod(brokername)
pp_objs = {}
table = PpTable(
brokername,
pp_objs: dict[str, Position] = {}
table = Account(
mod,
acctid,
pp_objs,
conf_path,
@ -831,12 +784,10 @@ def open_pps(
)
# unmarshal/load ``pps.toml`` config entries into object form
# and update `PpTable` obj entries.
# and update `Account` obj entries.
for fqme, entry in conf.items():
# atype = entry.get('asset_type', '<unknown>')
# unique broker market id
# unique broker-backend-system market id
bs_mktid = str(
entry.get('bsuid')
or entry.get('bs_mktid')
@ -860,7 +811,7 @@ def open_pps(
fqme,
price_tick=price_tick,
size_tick=size_tick,
bs_mktid=bs_mktid
bs_mktid=bs_mktid,
)
# TODO: RE: general "events" instead of just "clears":
@ -875,6 +826,7 @@ def open_pps(
# for toml re-presentation) back into a master table.
toml_clears_list: list[dict[str, Any]] = entry['clears']
trans: list[Transaction] = []
for clears_table in toml_clears_list:
tid = clears_table['tid']
dt: tomlkit.items.DateTime | str = clears_table['dt']
@ -887,23 +839,18 @@ def open_pps(
clears_table['dt'] = dt
trans.append(Transaction(
fqme=bs_mktid,
sym=mkt,
# sym=mkt,
bs_mktid=bs_mktid,
tid=tid,
# XXX: not sure why sometimes these are loaded as
# `tomlkit.Integer` and are eventually written with
# an extra `-` in front like `--1`?
size=float(clears_table['size']),
price=float(clears_table['price']),
cost=clears_table['cost'],
dt=dt,
))
# size = entry['size']
# # TODO: remove but, handle old field name for now
# ppu = entry.get(
# 'ppu',
# entry.get('be_price', 0),
# )
split_ratio = entry.get('split_ratio')
# if a string-ified expiry field is loaded we try to parse
@ -929,9 +876,6 @@ def open_pps(
for t in trans:
pp.add_clear(t)
# audit entries loaded from toml
# pp.ensure_state()
try:
yield table
finally:
@ -939,7 +883,21 @@ def open_pps(
table.write_config()
def load_pps_from_ledger(
# TODO: drop the old name and THIS!
@cm
def open_pps(
*args,
**kwargs,
) -> Generator[Account, None, None]:
log.warning(
'`open_pps()` is now deprecated!\n'
'Please use `with open_account() as cnt:`'
)
with open_account(*args, **kwargs) as acnt:
yield acnt
def load_account_from_ledger(
brokername: str,
acctname: str,
@ -947,10 +905,9 @@ def load_pps_from_ledger(
# post normalization filter on ledger entries to be processed
filter_by_ids: dict[str, list[str]] | None = None,
) -> tuple[
pl.DataFrame,
PpTable,
]:
ledger: TransactionLedger | None = None,
) -> Account:
'''
Open a ledger file by broker name and account and read in and
process any trade records into our normalized ``Transaction`` form
@ -958,67 +915,12 @@ def load_pps_from_ledger(
bs_mktid-mapped dict-sets of the transactions and pps.
'''
ledger: TransactionLedger
table: PpTable
with (
open_trade_ledger(brokername, acctname) as ledger,
open_pps(brokername, acctname) as table,
):
if not ledger:
# null case, no ledger file with content
return {}
acnt: Account
with open_pps(
brokername,
acctname,
) as acnt:
if ledger is not None:
acnt.update_from_ledger(ledger)
from ..brokers import get_brokermod
mod = get_brokermod(brokername)
src_records: dict[str, Transaction] = mod.norm_trade_records(
ledger
)
table.update_from_trans(src_records)
fdf = df = pl.DataFrame(
list(rec.to_dict() for rec in src_records.values()),
# schema=[
# ('tid', str),
# ('fqme', str),
# ('dt', str),
# ('size', pl.Float64),
# ('price', pl.Float64),
# ('cost', pl.Float64),
# ('expiry', str),
# ('bs_mktid', str),
# ],
).sort('dt').select([
pl.col('fqme'),
pl.col('dt').str.to_datetime(),
# pl.col('expiry').dt.datetime(),
pl.col('bs_mktid'),
pl.col('size'),
pl.col('price'),
])
# ppt = df.groupby('fqme').agg([
# # TODO: ppu and bep !!
# pl.cumsum('size').alias('cumsum'),
# ])
acts = df.partition_by('fqme', as_dict=True)
# ppt: dict[str, pl.DataFrame] = {}
# for fqme, ppt in act.items():
# ppt.with_columuns
# # TODO: ppu and bep !!
# pl.cumsum('size').alias('cumsum'),
# ])
# filter out to the columns matching values filter passed
# as input.
if filter_by_ids:
for col, vals in filter_by_ids.items():
str_vals = set(map(str, vals))
pred: pl.Expr = pl.col(col).eq(str_vals.pop())
for val in str_vals:
pred |= pl.col(col).eq(val)
fdf = df.filter(pred)
bs_mktid: str = fdf[0]['bs_mktid']
# pos: Position = table.pps[bs_mktid]
return fdf, acts, table
return acnt