ib: relay submission errors, allow adhoc mkt overrides
This is a tricky edge case we weren't handling prior; an example is submitting a limit order with a price tick precision which mismatches that supported (probably bc IB reported the wrong one..) and IB responds immediately with an error event (via a special code..) but doesn't include any `Trade` object(s) nor details beyond the `reqid`. So, we have to do a little reverse EMS order lookup on our own and ideally indicate to the requester which order failed and *why*. To enable this we, - create a `flows: OrderDialogs` instance and pass it to most order/event relay tasks, particularly ensuring we update update ASAP in `handle_order_requests()` such that any successful submit has an `Ack` recorded in the flow. - on such errors lookup the `.symbol` / `Order` from the `flow` and respond back to the EMS with as many details as possible about the prior msg history. - always explicitly relay `error` events which don't fall into the sensible filtered set and wrap in a `BrokerdError.broker_details['flow']: dict` snapshot for the EMS. - in `symbols.get_mkt_info()` support adhoc lookup for `MktPair` inputs and when defined we re-construct with those inputs; in this case we do this for a first mkt: `'vtgn.nasdaq'`..account_tests
parent
562d027ee6
commit
f66a1f8b23
|
@ -20,6 +20,7 @@ Order and trades endpoints for use with ``piker``'s EMS.
|
||||||
"""
|
"""
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from contextlib import ExitStack
|
from contextlib import ExitStack
|
||||||
|
from collections import ChainMap
|
||||||
from functools import partial
|
from functools import partial
|
||||||
from pprint import pformat
|
from pprint import pformat
|
||||||
import time
|
import time
|
||||||
|
@ -135,18 +136,19 @@ async def handle_order_requests(
|
||||||
action: str = request_msg['action']
|
action: str = request_msg['action']
|
||||||
account: str = request_msg['account']
|
account: str = request_msg['account']
|
||||||
acct_number = accounts_def.get(account)
|
acct_number = accounts_def.get(account)
|
||||||
|
oid: str = request_msg['oid']
|
||||||
|
|
||||||
if not acct_number:
|
if not acct_number:
|
||||||
log.error(
|
log.error(
|
||||||
f'An IB account number for name {account} is not found?\n'
|
f'An IB account number for name {account} is not found?\n'
|
||||||
'Make sure you have all TWS and GW instances running.'
|
'Make sure you have all TWS and GW instances running.'
|
||||||
)
|
)
|
||||||
await ems_order_stream.send(
|
err_msg = BrokerdError(
|
||||||
BrokerdError(
|
oid=oid,
|
||||||
oid=request_msg['oid'],
|
symbol=request_msg['symbol'],
|
||||||
symbol=request_msg['symbol'],
|
reason=f'No account found: `{account}` ?',
|
||||||
reason=f'No account found: `{account}` ?',
|
|
||||||
)
|
|
||||||
)
|
)
|
||||||
|
await ems_order_stream.send(err_msg)
|
||||||
continue
|
continue
|
||||||
|
|
||||||
client = _accounts2clients.get(account)
|
client = _accounts2clients.get(account)
|
||||||
|
@ -155,11 +157,12 @@ async def handle_order_requests(
|
||||||
f'An IB client for account name {account} is not found.\n'
|
f'An IB client for account name {account} is not found.\n'
|
||||||
'Make sure you have all TWS and GW instances running.'
|
'Make sure you have all TWS and GW instances running.'
|
||||||
)
|
)
|
||||||
await ems_order_stream.send(BrokerdError(
|
err_msg = BrokerdError(
|
||||||
oid=request_msg['oid'],
|
oid=oid,
|
||||||
symbol=request_msg['symbol'],
|
symbol=request_msg['symbol'],
|
||||||
reason=f'No api client loaded for account: `{account}` ?',
|
reason=f'No api client loaded for account: `{account}` ?',
|
||||||
))
|
)
|
||||||
|
await ems_order_stream.send(err_msg)
|
||||||
continue
|
continue
|
||||||
|
|
||||||
if action in {'buy', 'sell'}:
|
if action in {'buy', 'sell'}:
|
||||||
|
@ -185,23 +188,26 @@ async def handle_order_requests(
|
||||||
account=acct_number,
|
account=acct_number,
|
||||||
reqid=reqid,
|
reqid=reqid,
|
||||||
)
|
)
|
||||||
|
str_reqid: str = str(reqid)
|
||||||
if reqid is None:
|
if reqid is None:
|
||||||
await ems_order_stream.send(BrokerdError(
|
err_msg = BrokerdError(
|
||||||
oid=request_msg['oid'],
|
oid=oid,
|
||||||
symbol=request_msg['symbol'],
|
symbol=request_msg['symbol'],
|
||||||
reason='Order already active?',
|
reason='Order already active?',
|
||||||
))
|
)
|
||||||
|
await ems_order_stream.send(err_msg)
|
||||||
|
|
||||||
# deliver ack that order has been submitted to broker routing
|
# deliver ack that order has been submitted to broker routing
|
||||||
ack = BrokerdOrderAck(
|
ack = BrokerdOrderAck(
|
||||||
# ems order request id
|
# ems order request id
|
||||||
oid=order.oid,
|
oid=order.oid,
|
||||||
# broker specific request id
|
# broker specific request id
|
||||||
reqid=reqid,
|
reqid=str_reqid,
|
||||||
account=account,
|
account=account,
|
||||||
)
|
)
|
||||||
await ems_order_stream.send(ack)
|
await ems_order_stream.send(ack)
|
||||||
flows.add_msg(reqid, ack.to_dict())
|
flows.add_msg(str_reqid, order.to_dict())
|
||||||
|
flows.add_msg(str_reqid, ack.to_dict())
|
||||||
|
|
||||||
elif action == 'cancel':
|
elif action == 'cancel':
|
||||||
msg = BrokerdCancel(**request_msg)
|
msg = BrokerdCancel(**request_msg)
|
||||||
|
@ -441,7 +447,7 @@ async def aggr_open_orders(
|
||||||
deats = await proxy.con_deats(contracts=[con])
|
deats = await proxy.con_deats(contracts=[con])
|
||||||
fqme = list(deats)[0]
|
fqme = list(deats)[0]
|
||||||
|
|
||||||
reqid = order.orderId
|
reqid: str = str(order.orderId)
|
||||||
|
|
||||||
# TODO: maybe embed a ``BrokerdOrder`` instead
|
# TODO: maybe embed a ``BrokerdOrder`` instead
|
||||||
# since then we can directly load it on the client
|
# since then we can directly load it on the client
|
||||||
|
@ -449,7 +455,7 @@ async def aggr_open_orders(
|
||||||
msg = Status(
|
msg = Status(
|
||||||
time_ns=time.time_ns(),
|
time_ns=time.time_ns(),
|
||||||
resp='open',
|
resp='open',
|
||||||
oid=str(reqid),
|
oid=reqid,
|
||||||
reqid=reqid,
|
reqid=reqid,
|
||||||
|
|
||||||
# embedded order info
|
# embedded order info
|
||||||
|
@ -1213,6 +1219,8 @@ async def deliver_trade_events(
|
||||||
# `Client.inline_errors()::push_err()`
|
# `Client.inline_errors()::push_err()`
|
||||||
err: dict = item
|
err: dict = item
|
||||||
|
|
||||||
|
# never relay errors for non-broker related issues
|
||||||
|
# https://interactivebrokers.github.io/tws-api/message_codes.html
|
||||||
code: int = err['error_code']
|
code: int = err['error_code']
|
||||||
if code in {
|
if code in {
|
||||||
200, # uhh
|
200, # uhh
|
||||||
|
@ -1221,43 +1229,42 @@ async def deliver_trade_events(
|
||||||
162,
|
162,
|
||||||
165,
|
165,
|
||||||
|
|
||||||
|
# WARNING codes:
|
||||||
|
# https://interactivebrokers.github.io/tws-api/message_codes.html#warning_codes
|
||||||
|
# Attribute 'Outside Regular Trading Hours' is
|
||||||
|
# " 'ignored based on the order type and
|
||||||
|
# destination. PlaceOrder is now ' 'being
|
||||||
|
# processed.',
|
||||||
|
2109,
|
||||||
|
|
||||||
|
# XXX: lol this isn't even documented..
|
||||||
# 'No market data during competing live session'
|
# 'No market data during competing live session'
|
||||||
1669,
|
1669,
|
||||||
}:
|
}:
|
||||||
continue
|
continue
|
||||||
|
|
||||||
reqid: str = err['reqid']
|
reqid: str = str(err['reqid'])
|
||||||
acnt: str = flows.get(reqid)['account']
|
|
||||||
reason: str = err['reason']
|
reason: str = err['reason']
|
||||||
|
|
||||||
if err['reqid'] == -1:
|
if err['reqid'] == -1:
|
||||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||||
|
|
||||||
|
flow: ChainMap = flows.get(reqid)
|
||||||
|
|
||||||
# TODO: we don't want to relay data feed / lookup errors
|
# TODO: we don't want to relay data feed / lookup errors
|
||||||
# so we need some further filtering logic here..
|
# so we need some further filtering logic here..
|
||||||
# for most cases the 'status' block above should take
|
# for most cases the 'status' block above should take
|
||||||
# care of this.
|
# care of this.
|
||||||
await ems_stream.send(
|
err_msg = BrokerdError(
|
||||||
BrokerdStatus(
|
|
||||||
status='error',
|
|
||||||
reqid=reqid,
|
|
||||||
reason=reason,
|
|
||||||
time_ns=time.time_ns(),
|
|
||||||
account=acnt,
|
|
||||||
broker_details={'name': 'ib'},
|
|
||||||
)
|
|
||||||
)
|
|
||||||
|
|
||||||
canceled = BrokerdStatus(
|
|
||||||
reqid=reqid,
|
reqid=reqid,
|
||||||
time_ns=time.time_ns(), # cuz why not
|
|
||||||
status='canceled',
|
|
||||||
reason=reason,
|
reason=reason,
|
||||||
account=acnt,
|
broker_details={
|
||||||
broker_details={'name': 'ib'},
|
'name': 'ib',
|
||||||
|
'flow': dict(flow),
|
||||||
|
},
|
||||||
)
|
)
|
||||||
await ems_stream.send(canceled)
|
flows.add_msg(reqid, err_msg.to_dict())
|
||||||
flows.add_msg(reqid, canceled.to_dict())
|
await ems_stream.send(err_msg)
|
||||||
|
|
||||||
case 'event':
|
case 'event':
|
||||||
|
|
||||||
|
|
|
@ -132,6 +132,12 @@ _adhoc_fiat_set = set((
|
||||||
).split(' ,')
|
).split(' ,')
|
||||||
)
|
)
|
||||||
|
|
||||||
|
# manually discovered tick discrepancies,
|
||||||
|
# onl god knows how or why they'd cuck these up..
|
||||||
|
_adhoc_mkt_infos: dict[int | str, dict] = {
|
||||||
|
'vtgn.nasdaq': {'price_tick': Decimal('0.01')},
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
# map of symbols to contract ids
|
# map of symbols to contract ids
|
||||||
_adhoc_symbol_map = {
|
_adhoc_symbol_map = {
|
||||||
|
@ -511,6 +517,7 @@ async def get_mkt_info(
|
||||||
venue = con.primaryExchange or con.exchange
|
venue = con.primaryExchange or con.exchange
|
||||||
|
|
||||||
price_tick: Decimal = Decimal(str(details.minTick))
|
price_tick: Decimal = Decimal(str(details.minTick))
|
||||||
|
# price_tick: Decimal = Decimal('0.01')
|
||||||
|
|
||||||
if atype == 'stock':
|
if atype == 'stock':
|
||||||
# XXX: GRRRR they don't support fractional share sizes for
|
# XXX: GRRRR they don't support fractional share sizes for
|
||||||
|
@ -541,14 +548,15 @@ async def get_mkt_info(
|
||||||
atype='fiat',
|
atype='fiat',
|
||||||
tx_tick=Decimal('0.01'), # right?
|
tx_tick=Decimal('0.01'), # right?
|
||||||
)
|
)
|
||||||
|
dst = Asset(
|
||||||
|
name=con.symbol.lower(),
|
||||||
|
atype=atype,
|
||||||
|
tx_tick=size_tick,
|
||||||
|
)
|
||||||
|
|
||||||
mkt = MktPair(
|
mkt = MktPair(
|
||||||
dst=Asset(
|
|
||||||
name=con.symbol.lower(),
|
|
||||||
atype=atype,
|
|
||||||
tx_tick=size_tick,
|
|
||||||
),
|
|
||||||
src=src,
|
src=src,
|
||||||
|
dst=dst,
|
||||||
|
|
||||||
price_tick=price_tick,
|
price_tick=price_tick,
|
||||||
size_tick=size_tick,
|
size_tick=size_tick,
|
||||||
|
@ -563,6 +571,15 @@ async def get_mkt_info(
|
||||||
_fqme_without_src=(atype != 'fiat'),
|
_fqme_without_src=(atype != 'fiat'),
|
||||||
)
|
)
|
||||||
|
|
||||||
|
# just.. wow.
|
||||||
|
if entry := _adhoc_mkt_infos.get(mkt.bs_fqme):
|
||||||
|
log.warning(f'Frickin {mkt.fqme} has an adhoc {entry}..')
|
||||||
|
new = mkt.to_dict()
|
||||||
|
new['price_tick'] = entry['price_tick']
|
||||||
|
new['src'] = src
|
||||||
|
new['dst'] = dst
|
||||||
|
mkt = MktPair(**new)
|
||||||
|
|
||||||
# if possible register the bs_mktid to the just-built
|
# if possible register the bs_mktid to the just-built
|
||||||
# mkt so that it can be retreived by order mode tasks later.
|
# mkt so that it can be retreived by order mode tasks later.
|
||||||
# TODO NOTE: this is going to be problematic if/when we split
|
# TODO NOTE: this is going to be problematic if/when we split
|
||||||
|
|
Loading…
Reference in New Issue