From fe3d0c6fddf2983632442e1effce6d8181fe5779 Mon Sep 17 00:00:00 2001
From: Tyler Goodlet <jgbt@protonmail.com>
Date: Tue, 23 Aug 2022 21:08:37 -0400
Subject: [PATCH] Handle too-fast-edits with `defaultdict[str, bidict[str,
 tuple]]`

Not entirely sure why this all of a sudden became a problem but it seems
price changes on order edits were sometimes resulting in key errors when
modifying paper book entries quickly. This changes the implementation to
not care about matching the last price when keying/popping old orders
and use `bidict`s to more easily pop cleared orders in the paper loop.
---
 piker/clearing/_paper_engine.py | 63 +++++++++++++++++++--------------
 1 file changed, 36 insertions(+), 27 deletions(-)

diff --git a/piker/clearing/_paper_engine.py b/piker/clearing/_paper_engine.py
index a3da097c..e45b1f1a 100644
--- a/piker/clearing/_paper_engine.py
+++ b/piker/clearing/_paper_engine.py
@@ -18,6 +18,7 @@
 Fake trading for forward testing.
 
 """
+from collections import defaultdict
 from contextlib import asynccontextmanager
 from datetime import datetime
 from operator import itemgetter
@@ -72,8 +73,8 @@ class PaperBoi(Struct):
 
     # map of paper "live" orders which be used
     # to simulate fills based on paper engine settings
-    _buys: dict
-    _sells: dict
+    _buys: defaultdict[str, bidict]
+    _sells: defaultdict[str, bidict]
     _reqids: bidict
     _positions: dict[str, Position]
     _trade_ledger: dict[str, Any]
@@ -166,10 +167,10 @@ class PaperBoi(Struct):
 
             if is_modify:
                 # remove any existing order for the old price
-                orders[symbol].pop((oid, old_price))
+                orders[symbol].pop(oid)
 
-            # buys/sells: (symbol  -> (price -> order))
-            orders.setdefault(symbol, {})[(oid, price)] = (size, reqid, action)
+            # buys/sells: {symbol  -> bidict[oid, (<price data>)]}
+            orders[symbol][oid] = (price, size, reqid, action)
 
         return reqid
 
@@ -191,7 +192,6 @@ class PaperBoi(Struct):
 
         msg = BrokerdStatus(
             status='canceled',
-            # account=f'paper_{self.broker}',
             account='paper',
             reqid=reqid,
             time_ns=time.time_ns(),
@@ -335,9 +335,10 @@ async def simulate_fills(
                             tick.get('size', client.last_ask[1]),
                         )
 
-                        orders = client._buys.get(sym, {})
+                        # orders = client._buys.get(sym, {})
+                        orders = client._buys[sym]
                         book_sequence = reversed(
-                            sorted(orders.keys(), key=itemgetter(1)))
+                            sorted(orders.values(), key=itemgetter(0)))
 
                         def pred(our_price):
                             return tick_price <= our_price
@@ -351,10 +352,11 @@ async def simulate_fills(
                             tick_price,
                             tick.get('size', client.last_bid[1]),
                         )
-                        orders = client._sells.get(sym, {})
+                        # orders = client._sells.get(sym, {})
+                        orders = client._sells[sym]
                         book_sequence = sorted(
-                            orders.keys(),
-                            key=itemgetter(1)
+                            orders.values(),
+                            key=itemgetter(0)
                         )
 
                         def pred(our_price):
@@ -370,13 +372,20 @@ async def simulate_fills(
                         continue
 
                 # iterate book prices descending
-                for oid, our_price in book_sequence:
-                    # print(tick)
-                    # print((sym, list(book_sequence), client._buys, client._sells))
+                # for oid, our_price in book_sequence:
+                # print(tick)
+                # print((
+                #   sym,
+                #   list(book_sequence),
+                #   client._buys,
+                #   client._sells,
+                # ))
+                for order_info in book_sequence:
+                    (our_price, size, reqid, action) = order_info
                     clearable = pred(our_price)
                     if clearable:
                         # retreive order info
-                        (size, reqid, action) = orders.pop((oid, our_price))
+                        oid = orders.inverse.pop(order_info)
 
                         # clearing price would have filled entirely
                         await client.fake_fill(
@@ -454,20 +463,20 @@ async def handle_order_requests(
 
 
 _reqids: bidict[str, tuple] = {}
-_buys: dict[
-    str,
-    dict[
-        tuple[str, float],
-        tuple[float, str, str],
+_buys: defaultdict[
+    str,  # symbol
+    bidict[
+        str,  # oid
+        tuple[float, float, str, str],  # order info
     ]
-] = {}
-_sells: dict[
-    str,
-    dict[
-        tuple[str, float],
-        tuple[float, str, str],
+] = defaultdict(bidict)
+_sells: defaultdict[
+    str,  # symbol
+    bidict[
+        str,  # oid
+        tuple[float, float, str, str],  # order info
     ]
-] = {}
+] = defaultdict(bidict)
 _positions: dict[str, Position] = {}