Delegate paper engine pp tracking to new type
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add0e92335
commit
f768576060
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@ -31,6 +31,8 @@ import tractor
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from dataclasses import dataclass
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from .. import data
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from ..data._source import Symbol
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from ..pp import Position
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from ..data._normalize import iterticks
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from ..data._source import unpack_fqsn
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from ..log import get_logger
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@ -257,29 +259,13 @@ class PaperBoi:
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)
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)
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# "avg position price" calcs
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# TODO: eventually it'd be nice to have a small set of routines
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# to do this stuff from a sequence of cleared orders to enable
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# so called "contextual positions".
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new_size = size + pp_msg.size
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# old size minus the new size gives us size differential with
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# +ve -> increase in pp size
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# -ve -> decrease in pp size
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size_diff = abs(new_size) - abs(pp_msg.size)
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if new_size == 0:
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pp_msg.avg_price = 0
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elif size_diff > 0:
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# only update the "average position price" when the position
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# size increases not when it decreases (i.e. the position is
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# being made smaller)
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pp_msg.avg_price = (
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abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
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) / abs(new_size)
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pp_msg.size = new_size
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# delegate update to `.pp.Position.lifo_update()`
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pp = Position(
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Symbol(key=symbol),
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size=pp_msg.size,
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avg_price=pp_msg.avg_price,
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)
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pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
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await self.ems_trades_stream.send(pp_msg.dict())
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@ -390,7 +376,8 @@ async def handle_order_requests(
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account = request_msg['account']
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if account != 'paper':
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log.error(
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'This is a paper account, only a `paper` selection is valid'
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'This is a paper account,'
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' only a `paper` selection is valid'
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)
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await ems_order_stream.send(BrokerdError(
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oid=request_msg['oid'],
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@ -464,7 +451,7 @@ async def trades_dialogue(
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# TODO: load paper positions per broker from .toml config file
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# and pass as symbol to position data mapping: ``dict[str, dict]``
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# await ctx.started(all_positions)
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await ctx.started(({}, {'paper',}))
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await ctx.started(({}, ['paper']))
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async with (
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ctx.open_stream() as ems_stream,
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