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.lifo_pps_ib
Tyler Goodlet
parent
21153a0e1e
commit
ff74f4302a
111
piker/pp.py
111
piker/pp.py
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@ -31,6 +31,8 @@ from typing import (
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)
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from msgspec import Struct
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import pendulum
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from pendulum import datetime, now
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import toml
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from . import config
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@ -93,8 +95,8 @@ class Transaction(Struct):
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size: float
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price: float
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cost: float # commisions or other additional costs
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# dt: datetime
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dt: datetime
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expiry: Optional[datetime] = None
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# optional key normally derived from the broker
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# backend which ensures the instrument-symbol this record
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@ -110,9 +112,14 @@ class Position(Struct):
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'''
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symbol: Symbol
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# last size and avg entry price
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# can be +ve or -ve for long/short
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size: float
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avg_price: float # TODO: contextual pricing
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# "breakeven price" above or below which pnl moves above and below
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# zero for the entirety of the current "trade state".
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be_price: float
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# unique backend symbol id
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bsuid: str
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# ordered record of known constituent trade messages
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@ -121,6 +128,8 @@ class Position(Struct):
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float, # cost
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] = {}
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expiry: Optional[datetime] = None
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def to_dict(self) -> dict:
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return {
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f: getattr(self, f)
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@ -130,12 +139,16 @@ class Position(Struct):
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def to_pretoml(self) -> dict:
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d = self.to_dict()
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clears = d.pop('clears')
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expiry = d.pop('expiry')
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# if not expiry is None:
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# breakpoint()
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if expiry:
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d['expiry'] = str(expiry)
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# clears_list = []
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inline_table = toml.TomlDecoder().get_empty_inline_table()
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for tid, data in clears.items():
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inline_table[tid] = data
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inline_table[f'{tid}'] = data
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# clears_list.append(inline_table)
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@ -153,7 +166,7 @@ class Position(Struct):
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symbol = self.symbol
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lot_size_digits = symbol.lot_size_digits
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avg_price, size = (
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be_price, size = (
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round(
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msg['avg_price'],
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ndigits=symbol.tick_size_digits
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@ -164,7 +177,7 @@ class Position(Struct):
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),
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)
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self.avg_price = avg_price
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self.be_price = be_price
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self.size = size
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@property
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@ -174,7 +187,7 @@ class Position(Struct):
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terms.
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'''
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return self.avg_price * self.size
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return self.be_price * self.size
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def lifo_update(
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self,
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@ -209,24 +222,24 @@ class Position(Struct):
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size_diff = abs(new_size) - abs(self.size)
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if new_size == 0:
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self.avg_price = 0
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self.be_price = 0
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elif size_diff > 0:
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# XXX: LOFI incremental update:
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# only update the "average price" when
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# the size increases not when it decreases (i.e. the
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# position is being made smaller)
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self.avg_price = (
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self.be_price = (
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abs(size) * price # weight of current exec
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+
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cost # transaction cost
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+
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self.avg_price * abs(self.size) # weight of previous pp
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self.be_price * abs(self.size) # weight of previous pp
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) / abs(new_size)
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self.size = new_size
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return new_size, self.avg_price
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return new_size, self.be_price
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def update_pps(
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@ -253,10 +266,12 @@ def update_pps(
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info={},
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),
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size=0.0,
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avg_price=0.0,
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be_price=0.0,
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bsuid=r.bsuid,
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expiry=r.expiry,
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)
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)
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# don't do updates for ledger records we already have
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# included in the current pps state.
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if r.tid in pp.clears:
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@ -307,8 +322,18 @@ def dump_active(
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closed = {}
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for k, pp in pps.items():
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asdict = pp.to_pretoml()
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if pp.size == 0:
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if pp.expiry is None:
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asdict.pop('expiry', None)
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if (
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pp.size == 0
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# drop time-expired positions (normally derivatives)
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or (pp.expiry and pp.expiry < now())
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):
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closed[k] = asdict
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else:
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active[k] = asdict
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@ -321,7 +346,7 @@ def load_pps_from_ledger(
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brokername: str,
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acctname: str,
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) -> tuple[dict, dict]:
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) -> dict[str, Position]:
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'''
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Open a ledger file by broker name and account and read in and
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process any trade records into our normalized ``Transaction``
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@ -341,8 +366,7 @@ def load_pps_from_ledger(
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brokermod = get_brokermod(brokername)
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records = brokermod.norm_trade_records(ledger)
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pps = update_pps(records)
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return dump_active(pps)
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return update_pps(records)
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def get_pps(
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@ -509,7 +533,7 @@ def update_pps_conf(
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if not pps:
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# no pps entry yet for this broker/account so parse
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# any available ledgers to build a pps state.
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pps, closed = load_pps_from_ledger(
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pp_objs = load_pps_from_ledger(
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brokername,
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acctid,
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)
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@ -518,30 +542,37 @@ def update_pps_conf(
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f'No trade history could be loaded for {brokername}:{acctid}'
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)
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# unmarshal/load ``pps.toml`` config entries into object form.
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pp_objs = {}
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for fqsn, entry in pps.items():
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else:
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# unmarshal/load ``pps.toml`` config entries into object form.
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pp_objs = {}
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for fqsn, entry in pps.items():
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# convert clears sub-tables (only in this form
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# for toml re-presentation) back into a master table.
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clears = entry['clears']
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# clears = {}
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# for table in entry['clears']:
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# clears.update(table)
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# convert clears sub-tables (only in this form
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# for toml re-presentation) back into a master table.
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clears = entry['clears']
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expiry = entry.get('expiry')
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if expiry:
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expiry = pendulum.parse(expiry)
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pp_objs[fqsn] = Position(
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Symbol.from_fqsn(fqsn, info={}),
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size=entry['size'],
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avg_price=entry['avg_price'],
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bsuid=entry['bsuid'],
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# clears = {}
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# for k, v in clears.items():
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# print((k, v))
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# clears.update(table)
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# XXX: super critical, we need to be sure to include
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# all pps.toml clears to avoid reusing clears that were
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# already included in the current incremental update
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# state, since today's records may have already been
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# processed!
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clears=clears,
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)
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pp_objs[fqsn] = Position(
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Symbol.from_fqsn(fqsn, info={}),
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size=entry['size'],
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be_price=entry['be_price'],
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expiry=expiry,
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bsuid=entry['bsuid'],
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# XXX: super critical, we need to be sure to include
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# all pps.toml clears to avoid reusing clears that were
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# already included in the current incremental update
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# state, since today's records may have already been
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# processed!
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clears=clears,
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)
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# update all pp objects from any (new) trade records which
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# were passed in (aka incremental update case).
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