From ff74f4302a866a10b732fc4098de82f45a181444 Mon Sep 17 00:00:00 2001
From: Tyler Goodlet <jgbt@protonmail.com>
Date: Sat, 18 Jun 2022 15:30:52 -0400
Subject: [PATCH] Support pp expiries, datetimes on transactions

Since some positions obviously expire and thus shouldn't continually
exist inside a `pps.toml` add naive support for tracking and discarding
expired contracts:
- add `Transaction.expiry: Optional[pendulum.datetime]`.
- add `Position.expiry: Optional[pendulum.datetime]` which can be parsed
  from a transaction ledger.
- only write pps with a non-none expiry to the `pps.toml`
- change `Position.avg_price` -> `.be_price` (be is "breakeven")
  since it's a much less ambiguous name.
- change `load_pps_from_legder()` to *not* call `dump_active()` since
  for the only use case it ends up getting called later anyway.
---
 piker/pp.py | 111 +++++++++++++++++++++++++++++++++-------------------
 1 file changed, 71 insertions(+), 40 deletions(-)

diff --git a/piker/pp.py b/piker/pp.py
index a9950ef2..6030249e 100644
--- a/piker/pp.py
+++ b/piker/pp.py
@@ -31,6 +31,8 @@ from typing import (
 )
 
 from msgspec import Struct
+import pendulum
+from pendulum import datetime, now
 import toml
 
 from . import config
@@ -93,8 +95,8 @@ class Transaction(Struct):
     size: float
     price: float
     cost: float  # commisions or other additional costs
-
-    # dt: datetime
+    dt: datetime
+    expiry: Optional[datetime] = None
 
     # optional key normally derived from the broker
     # backend which ensures the instrument-symbol this record
@@ -110,9 +112,14 @@ class Position(Struct):
     '''
     symbol: Symbol
 
-    # last size and avg entry price
+    # can be +ve or -ve for long/short
     size: float
-    avg_price: float  # TODO: contextual pricing
+
+    # "breakeven price" above or below which pnl moves above and below
+    # zero for the entirety of the current "trade state".
+    be_price: float
+
+    # unique backend symbol id
     bsuid: str
 
     # ordered record of known constituent trade messages
@@ -121,6 +128,8 @@ class Position(Struct):
         float,  # cost
     ] = {}
 
+    expiry: Optional[datetime] = None
+
     def to_dict(self) -> dict:
         return {
             f: getattr(self, f)
@@ -130,12 +139,16 @@ class Position(Struct):
     def to_pretoml(self) -> dict:
         d = self.to_dict()
         clears = d.pop('clears')
-
+        expiry = d.pop('expiry')
+        # if not expiry is None:
+        #     breakpoint()
+        if expiry:
+            d['expiry'] = str(expiry)
         # clears_list = []
 
         inline_table = toml.TomlDecoder().get_empty_inline_table()
         for tid, data in clears.items():
-            inline_table[tid] = data
+            inline_table[f'{tid}'] = data
 
             # clears_list.append(inline_table)
 
@@ -153,7 +166,7 @@ class Position(Struct):
         symbol = self.symbol
 
         lot_size_digits = symbol.lot_size_digits
-        avg_price, size = (
+        be_price, size = (
             round(
                 msg['avg_price'],
                 ndigits=symbol.tick_size_digits
@@ -164,7 +177,7 @@ class Position(Struct):
             ),
         )
 
-        self.avg_price = avg_price
+        self.be_price = be_price
         self.size = size
 
     @property
@@ -174,7 +187,7 @@ class Position(Struct):
         terms.
 
         '''
-        return self.avg_price * self.size
+        return self.be_price * self.size
 
     def lifo_update(
         self,
@@ -209,24 +222,24 @@ class Position(Struct):
         size_diff = abs(new_size) - abs(self.size)
 
         if new_size == 0:
-            self.avg_price = 0
+            self.be_price = 0
 
         elif size_diff > 0:
             # XXX: LOFI incremental update:
             # only update the "average price" when
             # the size increases not when it decreases (i.e. the
             # position is being made smaller)
-            self.avg_price = (
+            self.be_price = (
                 abs(size) * price  # weight of current exec
                 +
                 cost  # transaction cost
                 +
-                self.avg_price * abs(self.size)  # weight of previous pp
+                self.be_price * abs(self.size)  # weight of previous pp
             ) / abs(new_size)
 
         self.size = new_size
 
-        return new_size, self.avg_price
+        return new_size, self.be_price
 
 
 def update_pps(
@@ -253,10 +266,12 @@ def update_pps(
                     info={},
                 ),
                 size=0.0,
-                avg_price=0.0,
+                be_price=0.0,
                 bsuid=r.bsuid,
+                expiry=r.expiry,
             )
         )
+
         # don't do updates for ledger records we already have
         # included in the current pps state.
         if r.tid in pp.clears:
@@ -307,8 +322,18 @@ def dump_active(
     closed = {}
 
     for k, pp in pps.items():
+
         asdict = pp.to_pretoml()
-        if pp.size == 0:
+
+        if pp.expiry is None:
+            asdict.pop('expiry', None)
+
+        if (
+            pp.size == 0
+
+            # drop time-expired positions (normally derivatives)
+            or (pp.expiry and pp.expiry < now())
+        ):
             closed[k] = asdict
         else:
             active[k] = asdict
@@ -321,7 +346,7 @@ def load_pps_from_ledger(
     brokername: str,
     acctname: str,
 
-) -> tuple[dict, dict]:
+) -> dict[str, Position]:
     '''
     Open a ledger file by broker name and account and read in and
     process any trade records into our normalized ``Transaction``
@@ -341,8 +366,7 @@ def load_pps_from_ledger(
 
     brokermod = get_brokermod(brokername)
     records = brokermod.norm_trade_records(ledger)
-    pps = update_pps(records)
-    return dump_active(pps)
+    return update_pps(records)
 
 
 def get_pps(
@@ -509,7 +533,7 @@ def update_pps_conf(
     if not pps:
         # no pps entry yet for this broker/account so parse
         # any available ledgers to build a pps state.
-        pps, closed = load_pps_from_ledger(
+        pp_objs = load_pps_from_ledger(
             brokername,
             acctid,
         )
@@ -518,30 +542,37 @@ def update_pps_conf(
                 f'No trade history could be loaded for {brokername}:{acctid}'
             )
 
-    # unmarshal/load ``pps.toml`` config entries into object form.
-    pp_objs = {}
-    for fqsn, entry in pps.items():
+    else:
+        # unmarshal/load ``pps.toml`` config entries into object form.
+        pp_objs = {}
+        for fqsn, entry in pps.items():
 
-        # convert clears sub-tables (only in this form
-        # for toml re-presentation) back into a master table.
-        clears = entry['clears']
-        # clears = {}
-        # for table in entry['clears']:
-        #     clears.update(table)
+            # convert clears sub-tables (only in this form
+            # for toml re-presentation) back into a master table.
+            clears = entry['clears']
+            expiry = entry.get('expiry')
+            if expiry:
+                expiry = pendulum.parse(expiry)
 
-        pp_objs[fqsn] = Position(
-            Symbol.from_fqsn(fqsn, info={}),
-            size=entry['size'],
-            avg_price=entry['avg_price'],
-            bsuid=entry['bsuid'],
+            # clears = {}
+            # for k, v in clears.items():
+            #     print((k, v))
+                # clears.update(table)
 
-            # XXX: super critical, we need to be sure to include
-            # all pps.toml clears to avoid reusing clears that were
-            # already included in the current incremental update
-            # state, since today's records may have already been
-            # processed!
-            clears=clears,
-        )
+            pp_objs[fqsn] = Position(
+                Symbol.from_fqsn(fqsn, info={}),
+                size=entry['size'],
+                be_price=entry['be_price'],
+                expiry=expiry,
+                bsuid=entry['bsuid'],
+
+                # XXX: super critical, we need to be sure to include
+                # all pps.toml clears to avoid reusing clears that were
+                # already included in the current incremental update
+                # state, since today's records may have already been
+                # processed!
+                clears=clears,
+            )
 
     # update all pp objects from any (new) trade records which
     # were passed in (aka incremental update case).