Get real-time trade oriented pp updates workin
What a nightmare this was.. main holdup was that cost (commissions) reports are fired independent from "fills" so you can't really emit a proper full position update until they both arrive. Deatz: - move `push_tradesies()` and relay loop in `deliver_trade_events()` to the new py3.10 `match:` syntax B) - subscribe for, and handle `CommissionReport` events from `ib_insync` and repack as a `cost` event type. - handle cons with no primary/listing exchange (like futes) in `update_ledger_from_api_trades()` by falling back to the plain 'exchange' field. - drop reverse fqsn lookup from ib positions map; just use contract lookup for api trade logs since we're already connected.. - make validation in `update_and_audit()` optional via flag. - pass in the accounts def, ib pp msg table and the proxies table to the trade event relay task-loop. - add `emit_pp_update()` too encapsulate a full api trade entry incremental update which calls into the `piker.pp` apis to, - update the ledger - update the pps.toml - generate a new `BrokerdPosition` msg to send to the ems - adjust trades relay loop to only emit pp updates when a cost report arrives for the fill/execution by maintaining a small table per exec id.lifo_pps_ib
Tyler Goodlet
parent
3991d8f911
commit
fbee33b00d
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@ -44,6 +44,7 @@ from ib_insync.order import (
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from ib_insync.objects import (
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Fill,
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Execution,
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CommissionReport,
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)
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from ib_insync.objects import Position
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import pendulum
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@ -214,19 +215,35 @@ async def recv_trade_updates(
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# sync with trio task
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to_trio.send_nowait(None)
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def push_tradesies(eventkit_obj, obj, fill=None):
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"""Push events to trio task.
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def push_tradesies(
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eventkit_obj,
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obj,
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fill: Optional[Fill] = None,
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report: Optional[CommissionReport] = None,
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):
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'''
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Push events to trio task.
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"""
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if fill is not None:
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# execution details event
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item = ('fill', (obj, fill))
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'''
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match eventkit_obj.name():
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elif eventkit_obj.name() == 'positionEvent':
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item = ('position', obj)
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case 'orderStatusEvent':
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item = ('status', obj)
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else:
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item = ('status', obj)
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case 'commissionReportEvent':
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assert report
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item = ('cost', report)
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case 'execDetailsEvent':
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# execution details event
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item = ('fill', (obj, fill))
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case 'positionEvent':
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item = ('position', obj)
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case _:
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log.error(f'Error unknown event {obj}')
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return
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log.info(f'eventkit event ->\n{pformat(item)}')
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@ -242,15 +259,15 @@ async def recv_trade_updates(
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'execDetailsEvent', # all "fill" updates
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'positionEvent', # avg price updates per symbol per account
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# 'commissionReportEvent',
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# XXX: ugh, it is a separate event from IB and it's
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# emitted as follows:
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# self.ib.commissionReportEvent.emit(trade, fill, report)
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'commissionReportEvent',
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# XXX: not sure yet if we need these
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# 'updatePortfolioEvent',
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# XXX: these all seem to be weird ib_insync intrernal
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# XXX: these all seem to be weird ib_insync internal
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# events that we probably don't care that much about
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# given the internal design is wonky af..
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# 'newOrderEvent',
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@ -267,7 +284,7 @@ async def recv_trade_updates(
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async def update_ledger_from_api_trades(
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trade_entries: dict[str, Any],
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trade_entries: list[dict[str, Any]],
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ib_pp_msgs: dict[int, BrokerdPosition], # conid -> msg
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client: Union[Client, MethodProxy],
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@ -277,14 +294,6 @@ async def update_ledger_from_api_trades(
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# LIFO style breakeven pricing calcs.
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conf = get_config()
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# retreive new trade executions from the last session
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# and/or day's worth of trading and convert into trade
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# records suitable for a local ledger file.
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# trades_by_account: dict = {}
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# for client in clients:
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# trade_entries = await client.trades()
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# XXX; ERRGGG..
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# pack in the "primary/listing exchange" value from a
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# contract lookup since it seems this isn't available by
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@ -295,8 +304,13 @@ async def update_ledger_from_api_trades(
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pexch = condict['primaryExchange']
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if not pexch:
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con = (await client.get_con(conid=conid))[0]
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pexch = con.primaryExchange
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cons = await client.get_con(conid=conid)
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if cons:
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con = cons[0]
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pexch = con.primaryExchange or con.exchange
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else:
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# for futes it seems like the primary is always empty?
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pexch = condict['exchange']
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entry['listingExchange'] = pexch
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@ -304,38 +318,29 @@ async def update_ledger_from_api_trades(
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conf['accounts'].inverse,
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trade_entries,
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)
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# trades_by_account.update(records)
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actives = {}
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# write recent session's trades to the user's (local) ledger file.
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for acctid, trades_by_id in records.items():
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with pp.open_trade_ledger('ib', acctid) as ledger:
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ledger.update(trades_by_id)
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# (incrementally) update the user's pps in mem and
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# in the `pps.toml`.
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# normalize
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records = norm_trade_records(trades_by_id)
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# remap stupid ledger fqsns (which are often
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# filled with lesser venue/exchange values) to
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# the ones we pull from the API via ib's reported
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# positioning messages.
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for r in records:
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normed_msg = ib_pp_msgs[r.bsuid]
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if normed_msg.symbol != r.fqsn:
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log.warning(
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f'Remapping ledger fqsn: {r.fqsn} -> {normed_msg.symbol}'
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)
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r.fqsn = normed_msg.symbol
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# (incrementally) update the user's pps in mem and
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# in the `pps.toml`.
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active = pp.update_pps_conf('ib', acctid, records)
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actives.update(active)
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return active
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return actives
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async def update_and_audit(
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by_fqsn: dict[str, pp.Position],
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cids2pps: dict[int, BrokerdPosition],
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validate: bool = False,
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) -> list[BrokerdPosition]:
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@ -369,21 +374,24 @@ async def update_and_audit(
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size=p.size,
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avg_price=p.avg_price,
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)
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ibsize = ibppmsg.size
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pikersize = msg.size
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diff = pikersize - ibsize
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msgs.append(msg)
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# if ib reports a lesser pp it's not as bad since we can
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# presume we're at least not more in the shit then we
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# thought.
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if diff:
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raise ValueError(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {msg}\n'
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f'piker: {ibppmsg}\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?'
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)
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msg.size = ibsize
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if validate:
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ibsize = ibppmsg.size
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pikersize = msg.size
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diff = pikersize - ibsize
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# if ib reports a lesser pp it's not as bad since we can
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# presume we're at least not more in the shit then we
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# thought.
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if diff:
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raise ValueError(
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f'POSITION MISMATCH ib <-> piker ledger:\n'
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f'ib: {ibppmsg}\n'
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f'piker: {msg}\n'
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'YOU SHOULD FIGURE OUT WHY TF YOUR LEDGER IS OFF!?!?'
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)
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msg.size = ibsize
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if ibppmsg.avg_price != msg.avg_price:
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@ -395,8 +403,6 @@ async def update_and_audit(
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f'piker, LIFO breakeven PnL price: {msg.avg_price}'
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)
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msgs.append(msg)
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return msgs
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@ -449,8 +455,8 @@ async def trades_dialogue(
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assert account in accounts_def
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accounts.add(account)
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cids2pps = {}
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used_accounts = set()
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cids2pps: dict[str, BrokerdPosition] = {}
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active_accts: set[str] = set()
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# process pp value reported from ib's system. we only use these
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# to cross-check sizing since average pricing on their end uses
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@ -461,7 +467,7 @@ async def trades_dialogue(
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for pos in client.positions():
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cid, msg = pack_position(pos)
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acctid = msg.account = accounts_def.inverse[msg.account]
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used_accounts.add(acctid)
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active_accts.add(acctid)
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cids2pps[cid] = msg
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assert msg.account in accounts, (
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f'Position for unknown account: {msg.account}')
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@ -469,8 +475,9 @@ async def trades_dialogue(
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# update trades ledgers for all accounts from
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# connected api clients.
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for account, proxy in proxies.items():
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trades = await proxy.trades()
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await update_ledger_from_api_trades(
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await proxy.trades(),
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trades,
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cids2pps, # pass these in to map to correct fqsns..
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proxy,
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)
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@ -478,10 +485,10 @@ async def trades_dialogue(
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# load all positions from `pps.toml`, cross check with ib's
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# positions data, and relay re-formatted pps as msgs to the ems.
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for acctid, by_fqsn in pp.get_pps(
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'ib', acctids=used_accounts,
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'ib', acctids=active_accts,
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).items():
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msgs = await update_and_audit(by_fqsn, cids2pps)
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msgs = await update_and_audit(by_fqsn, cids2pps, validate=True)
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all_positions.extend(msg.dict() for msg in msgs)
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if not all_positions and cids2pps:
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@ -512,174 +519,278 @@ async def trades_dialogue(
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deliver_trade_events,
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stream,
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ems_stream,
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accounts_def
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accounts_def,
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cids2pps,
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proxies,
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)
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# block until cancelled
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await trio.sleep_forever()
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async def emit_pp_update(
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ems_stream: tractor.MsgStream,
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trade_entry: dict,
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accounts_def: bidict,
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proxies: dict,
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cids2pps: dict,
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) -> None:
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# compute and relay incrementally updated piker pp
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acctid = accounts_def.inverse[trade_entry['execution']['acctNumber']]
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proxy = proxies[acctid]
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await update_ledger_from_api_trades(
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[trade_entry],
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cids2pps, # pass these in to map to correct fqsns..
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proxy,
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)
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# load all positions from `pps.toml`, cross check with
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# ib's positions data, and relay re-formatted pps as
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# msgs to the ems.
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for acctid, by_fqsn in pp.get_pps(
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'ib',
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acctids={acctid},
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).items():
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# should only be one right?
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msgs = await update_and_audit(
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by_fqsn,
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cids2pps,
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validate=False,
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)
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for msg in msgs:
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await ems_stream.send(msg.dict())
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async def deliver_trade_events(
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trade_event_stream: trio.MemoryReceiveChannel,
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ems_stream: tractor.MsgStream,
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accounts_def: dict[str, str],
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cids2pps: dict[str, BrokerdPosition],
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proxies: dict[str, MethodProxy],
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) -> None:
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'''Format and relay all trade events for a given client to the EMS.
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'''
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Format and relay all trade events for a given client to emsd.
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'''
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action_map = {'BOT': 'buy', 'SLD': 'sell'}
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ids2fills: dict[str, dict] = {}
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# TODO: for some reason we can receive a ``None`` here when the
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# ib-gw goes down? Not sure exactly how that's happening looking
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# at the eventkit code above but we should probably handle it...
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async for event_name, item in trade_event_stream:
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log.info(f'ib sending {event_name}:\n{pformat(item)}')
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# TODO: templating the ib statuses in comparison with other
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# brokers is likely the way to go:
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# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
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# short list:
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# - PendingSubmit
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# - PendingCancel
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# - PreSubmitted (simulated orders)
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# - ApiCancelled (cancelled by client before submission
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# to routing)
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# - Cancelled
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# - Filled
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# - Inactive (reject or cancelled but not by trader)
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match event_name:
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# TODO: templating the ib statuses in comparison with other
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# brokers is likely the way to go:
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# https://interactivebrokers.github.io/tws-api/interfaceIBApi_1_1EWrapper.html#a17f2a02d6449710b6394d0266a353313
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# short list:
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# - PendingSubmit
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# - PendingCancel
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# - PreSubmitted (simulated orders)
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# - ApiCancelled (cancelled by client before submission
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# to routing)
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# - Cancelled
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# - Filled
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# - Inactive (reject or cancelled but not by trader)
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# XXX: here's some other sucky cases from the api
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# - short-sale but securities haven't been located, in this
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# case we should probably keep the order in some kind of
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# weird state or cancel it outright?
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# XXX: here's some other sucky cases from the api
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# - short-sale but securities haven't been located, in this
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# case we should probably keep the order in some kind of
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# weird state or cancel it outright?
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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# status='PreSubmitted', message='')],
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# status='PendingSubmit', message=''),
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# status='Cancelled', message='Error 404,
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# reqId 1550: Order held while securities are located.'),
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# status='PreSubmitted', message='')],
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if event_name == 'status':
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case 'status':
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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# XXX: begin normalization of nonsense ib_insync internal
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# object-state tracking representations...
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# unwrap needed data from ib_insync internal types
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trade: Trade = item
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status: OrderStatus = trade.orderStatus
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# unwrap needed data from ib_insync internal types
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trade: Trade = item
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status: OrderStatus = trade.orderStatus
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = BrokerdStatus(
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# skip duplicate filled updates - we get the deats
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# from the execution details event
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msg = BrokerdStatus(
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reqid=trade.order.orderId,
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time_ns=time.time_ns(), # cuz why not
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account=accounts_def.inverse[trade.order.account],
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reqid=trade.order.orderId,
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time_ns=time.time_ns(), # cuz why not
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account=accounts_def.inverse[trade.order.account],
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# everyone doin camel case..
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status=status.status.lower(), # force lower case
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# everyone doin camel case..
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status=status.status.lower(), # force lower case
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filled=status.filled,
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reason=status.whyHeld,
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filled=status.filled,
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reason=status.whyHeld,
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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remaining=status.remaining,
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# this seems to not be necessarily up to date in the
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# execDetails event.. so we have to send it here I guess?
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remaining=status.remaining,
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broker_details={'name': 'ib'},
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)
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broker_details={'name': 'ib'},
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)
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await ems_stream.send(msg.dict())
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elif event_name == 'fill':
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case 'fill':
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# for wtv reason this is a separate event type
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# from IB, not sure why it's needed other then for extra
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# complexity and over-engineering :eyeroll:.
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# we may just end up dropping these events (or
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# translating them to ``Status`` msgs) if we can
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# show the equivalent status events are no more latent.
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# for wtv reason this is a separate event type
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# from IB, not sure why it's needed other then for extra
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# complexity and over-engineering :eyeroll:.
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# we may just end up dropping these events (or
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# translating them to ``Status`` msgs) if we can
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# show the equivalent status events are no more latent.
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# unpack ib_insync types
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# pep-0526 style:
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# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
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trade: Trade
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fill: Fill
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trade, fill = item
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execu: Execution = fill.execution
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# unpack ib_insync types
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# pep-0526 style:
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# https://www.python.org/dev/peps/pep-0526/#global-and-local-variable-annotations
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trade: Trade
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fill: Fill
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# TODO: normalize out commissions details?
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details = {
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'contract': asdict(fill.contract),
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'execution': asdict(fill.execution),
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'commissions': asdict(fill.commissionReport),
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'broker_time': execu.time, # supposedly server fill time
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'name': 'ib',
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}
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# TODO: maybe we can use matching to better handle these cases.
|
||||
trade, fill = item
|
||||
execu: Execution = fill.execution
|
||||
execid = execu.execId
|
||||
|
||||
msg = BrokerdFill(
|
||||
# should match the value returned from `.submit_limit()`
|
||||
reqid=execu.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
# TODO:
|
||||
# - normalize out commissions details?
|
||||
# - this is the same as the unpacking loop above in
|
||||
# ``trades_to_records()`` no?
|
||||
trade_entry = ids2fills.setdefault(execid, {})
|
||||
cost_already_rx = bool(trade_entry)
|
||||
|
||||
action=action_map[execu.side],
|
||||
size=execu.shares,
|
||||
price=execu.price,
|
||||
# if the costs report was already received this
|
||||
# should be not empty right?
|
||||
comms = fill.commissionReport.commission
|
||||
if cost_already_rx:
|
||||
assert comms
|
||||
|
||||
broker_details=details,
|
||||
# XXX: required by order mode currently
|
||||
broker_time=details['broker_time'],
|
||||
trade_entry.update(
|
||||
{
|
||||
'contract': asdict(fill.contract),
|
||||
'execution': asdict(fill.execution),
|
||||
'commissionReport': asdict(fill.commissionReport),
|
||||
# supposedly server fill time?
|
||||
'broker_time': execu.time,
|
||||
'name': 'ib',
|
||||
}
|
||||
)
|
||||
|
||||
)
|
||||
msg = BrokerdFill(
|
||||
# should match the value returned from `.submit_limit()`
|
||||
reqid=execu.orderId,
|
||||
time_ns=time.time_ns(), # cuz why not
|
||||
|
||||
elif event_name == 'error':
|
||||
action=action_map[execu.side],
|
||||
size=execu.shares,
|
||||
price=execu.price,
|
||||
|
||||
err: dict = item
|
||||
broker_details=trade_entry,
|
||||
# XXX: required by order mode currently
|
||||
broker_time=trade_entry['broker_time'],
|
||||
|
||||
# f$#$% gawd dammit insync..
|
||||
con = err['contract']
|
||||
if isinstance(con, Contract):
|
||||
err['contract'] = asdict(con)
|
||||
)
|
||||
await ems_stream.send(msg.dict())
|
||||
|
||||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
# 2 cases:
|
||||
# - fill comes first or
|
||||
# - comms report comes first
|
||||
comms = fill.commissionReport.commission
|
||||
if comms:
|
||||
# UGHHH since the commision report object might be
|
||||
# filled in **after** we already serialized to dict..
|
||||
# def need something better for all this.
|
||||
trade_entry.update(
|
||||
{'commissionReport': asdict(fill.commissionReport)}
|
||||
)
|
||||
|
||||
# TODO: what schema for this msg if we're going to make it
|
||||
# portable across all backends?
|
||||
# msg = BrokerdError(**err)
|
||||
continue
|
||||
if comms or cost_already_rx:
|
||||
# only send a pp update once we have a cost report
|
||||
print("EMITTING PP")
|
||||
await emit_pp_update(
|
||||
ems_stream,
|
||||
trade_entry,
|
||||
accounts_def,
|
||||
proxies,
|
||||
cids2pps,
|
||||
)
|
||||
|
||||
elif event_name == 'position':
|
||||
case 'cost':
|
||||
|
||||
cid, msg = pack_position(item)
|
||||
msg.account = accounts_def.inverse[msg.account]
|
||||
cr: CommissionReport = item
|
||||
execid = cr.execId
|
||||
|
||||
elif event_name == 'event':
|
||||
trade_entry = ids2fills.setdefault(execid, {})
|
||||
fill_already_rx = bool(trade_entry)
|
||||
|
||||
# it's either a general system status event or an external
|
||||
# trade event?
|
||||
log.info(f"TWS system status: \n{pformat(item)}")
|
||||
# no fill msg has arrived yet so just fill out the
|
||||
# cost report for now and when the fill arrives a pp
|
||||
# msg can be emitted.
|
||||
trade_entry.update(
|
||||
{'commissionReport': asdict(cr)}
|
||||
)
|
||||
|
||||
# TODO: support this again but needs parsing at the callback
|
||||
# level...
|
||||
# reqid = item.get('reqid', 0)
|
||||
# if getattr(msg, 'reqid', 0) < -1:
|
||||
# log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
||||
if fill_already_rx:
|
||||
print("EMITTING PP")
|
||||
await emit_pp_update(
|
||||
ems_stream,
|
||||
trade_entry,
|
||||
accounts_def,
|
||||
proxies,
|
||||
cids2pps,
|
||||
)
|
||||
|
||||
continue
|
||||
case 'error':
|
||||
err: dict = item
|
||||
|
||||
# msg.reqid = 'tws-' + str(-1 * reqid)
|
||||
# f$#$% gawd dammit insync..
|
||||
con = err['contract']
|
||||
if isinstance(con, Contract):
|
||||
err['contract'] = asdict(con)
|
||||
|
||||
# mark msg as from "external system"
|
||||
# TODO: probably something better then this.. and start
|
||||
# considering multiplayer/group trades tracking
|
||||
# msg.broker_details['external_src'] = 'tws'
|
||||
if err['reqid'] == -1:
|
||||
log.error(f'TWS external order error:\n{pformat(err)}')
|
||||
|
||||
# XXX: we always serialize to a dict for msgpack
|
||||
# translations, ideally we can move to an msgspec (or other)
|
||||
# encoder # that can be enabled in ``tractor`` ahead of
|
||||
# time so we can pass through the message types directly.
|
||||
await ems_stream.send(msg.dict())
|
||||
# TODO: what schema for this msg if we're going to make it
|
||||
# portable across all backends?
|
||||
# msg = BrokerdError(**err)
|
||||
|
||||
case 'position':
|
||||
|
||||
cid, msg = pack_position(item)
|
||||
# acctid = msg.account = accounts_def.inverse[msg.account]
|
||||
# cuck ib and it's shitty fifo sys for pps!
|
||||
# await ems_stream.send(msg.dict())
|
||||
|
||||
case 'event':
|
||||
|
||||
# it's either a general system status event or an external
|
||||
# trade event?
|
||||
log.info(f"TWS system status: \n{pformat(item)}")
|
||||
|
||||
# TODO: support this again but needs parsing at the callback
|
||||
# level...
|
||||
# reqid = item.get('reqid', 0)
|
||||
# if getattr(msg, 'reqid', 0) < -1:
|
||||
# log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
|
||||
|
||||
# msg.reqid = 'tws-' + str(-1 * reqid)
|
||||
|
||||
# mark msg as from "external system"
|
||||
# TODO: probably something better then this.. and start
|
||||
# considering multiplayer/group trades tracking
|
||||
# msg.broker_details['external_src'] = 'tws'
|
||||
|
||||
case _:
|
||||
log.error(f'WTF: {event_name}: {item}')
|
||||
|
||||
|
||||
def norm_trade_records(
|
||||
|
|
@ -814,6 +925,11 @@ def trades_to_records(
|
|||
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
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue