This includes darks, lives and alerts with all connecting clients
being broadcast all existing order-flow dialog states. Obviously
for now darks and alerts only live as long as the `emsd` actor lifetime
(though we will store these in local state eventually) and "live" orders
have lifetimes managed by their respective backend broker.
The details of this change-set is extensive, so here we go..
Messaging schema:
- change the messaging `Status` status-key set to:
`resp: Literal['pending', 'open', 'dark_open', 'triggered',
'closed', 'fill', 'canceled', 'error']`
which better reflects the semantics of order lifetimes and was
partially inspired by the status keys `kraken` provides for their
order-entry API. The prior key set was based on `ib`'s horrible
semantics which sound like they're right out of the 80s..
Also, we reflect this same set in the `BrokerdStatus` msg and likely
we'll just get rid of the separate brokerd-dialog side type
eventually.
- use `Literal` type annots for statuses where applicable and as they
are supported by `msgspec`.
- add additional optional `Status` fields:
-`req: Order` to allow each status msg to optionally ref its
commanding order-request msg allowing at least a request-response
style implicit tracing in all response msgs.
-`src: str` tag string to show the source of the msg.
-`reqid: str | int` such that the ems can relay the `brokerd`
request id both to the client side and have one spot to look
up prior status msgs and
- draft a (unused/commented) `Dialog` type which can be eventually used
at all EMS endpoints to track msg-flow states
EMS engine adjustments/rework:
- use the new status key set throughout and expect `BrokerdStatus` msgs
to use the same new schema as `Status`.
- add a `_DarkBook._active: dict[str, Status]` table which is now used for
all per-leg-dialog associations and order flow state tracking
allowing for the both the brokerd-relay and client-request handler loops
to read/write the same msg-table and provides for delivering
the overall EMS-active-orders state to newly/re-connecting clients
with minimal processing; this table replaces what the `._ems_entries`
table from prior.
- add `Router.client_broadcast()` to send a msg to all currently
connected peers.
- a variety of msg handler block logic tweaks including more `case:`
blocks to be both flatter and improve explicitness:
- for the relay loop move all `Status` msg update and sending to
within each block instead of a fallthrough case plus hard-to-follow
state logic.
- add a specific case for unhandled backend status keys and just log
them.
- pop alerts from `._active` immediately once triggered.
- where possible mutate status msgs fields over instantiating new
ones.
- insert and expect `Order` instances in the dark clearing loop and
adjust `case:` blocks accordingly.
- tag `dark_open` and `triggered` statuses as sourced from the ems.
- drop all the `ChainMap` stuff for now; we're going to make our own
`Dialog` type for this purpose..
Order mode rework:
- always parse the `Status` msg and use match syntax cases with object
patterns, hackily assign the `.req` in many blocks to work around not
yet having proper on-the-wire decoding yet.
- make `.load_unknown_dialog_from_msg()` expect a `Status` with boxed
`.req: Order` as input.
- change `OrderDialog` -> `Dialog` in prep for a general purpose type
of the same name.
`ib` backend order loading support:
- do "closed" status detection inside the msg-relay loop instead
of expecting the ems to do this..
- add an attempt to cancel inactive orders by scheduling cancel
submissions continually (no idea if this works).
- add a status map to go from the 80s keys to our new set.
- deliver `Status` msgs with an embedded `Order` for existing live order
loading and make sure to try an get the source exchange info (instead
of SMART).
Paper engine ported to match:
- use new status keys in `BrokerdStatus` msgs
- use `match:` syntax in request handler loop
This seems to have been broken in refactoring from commit 279c899de5
which was never tested against multiple accounts/clients.
The fix is 2 part:
- position tables are now correctly loaded ahead of time and used by
account for each connected client in processing of ledgers and
existing positions.
- a task for each API client is started (as implemented prior) so that
we actually get status updates for every client used for submissions.
Further we add a bit of code using `bisect.insort()` to normalize
ledgers to a datetime sorted list records (though pretty sure the `dict`
transform ruins it?) in an effort to avoid issues with ledger
transaction processing with previously minimized `Position.clears`
tables, which should (but might not?) avoid incorporating clear events
prior to the last "net-zero" positioning state.
The (partial) fills from this sub are most indicative of clears (also
says support) whereas the msgs in the `ownTrades` sub are only emitted
after the entire order request has completed - there is no size-vlm
remaining.
Further enhancements:
- this also includes proper subscription-syncing inside `subscribe()` with
a small pre-msg-loop which waits on ack-msgs for each sub and raises any
errors. This approach should probably be implemented for the data feed
streams as well.
- configure the `ownTrades` sub to not bother sending historical data on
startup.
- make the `openOrders` sub include rate limit counters.
- handle the rare case where the ems is trying to cancel an order which
was just edited and hasn't yet had it's new `txid` registered.
Since we figured out how to pass through ems dialog ids to the
`openOrders` sub we don't really need to do much with status updates
other then error handling. This drops `process_status()` and moves the
error handling logic into a status handler sub-block; we now just
info-log status updates for troubleshooting purposes.
Why we need so many fields to accomplish passing through a dialog key to
orders is beyond me but this is how they do it with edits..
Allows not having to handle `editOrderStatus` msgs to update the dialog
key table and instead just do it in the `openOrders` sub by checking the
canceled msg for a 'cancel_reason' of 'Order replaced', in which case we
just pop the txid and wait for the new order the kraken backend engine
will submit automatically, which will now have the correct 'userref'
value we passed in via the `newuserref`, and then we add that new `txid`
to our table.
Turns out you can pass both thus making mapping an ems `oid` to
a brokerd-side `reqid` much more simple. This allows us to avoid keeping
as much local dialog state but with still the following caveats:
- ok `editOrder` msgs must update the reqid<->txid map
- only pop `reqids2txids` entries inside the `cancelOrderStatus` handler
If we don't have a pos table built out already (in mem) we can't figure
out the likely dst asset (since there's no pair entry to guide us) that
we should use to search for withdrawal transactions; so move it later.
Further this ports to the new api changes in `piker.pp`` that will land
with #365.
This ended up driving the rework of the `piker.pp` apis to use context
manager + table style which resulted in a much easier to follow
state/update system B). Also added is a flag to do a manual simulation
of a "fill triggered rt pp msg" which requires the user to delete the
last ledgered trade entry from config files and then allowing that trade
to emit through the `openOrders` sub and update client shortly after
order mode boot; this is how the rt updates were verified to work
without doing even more live orders 😂.
Patch details:
- open both `open_trade_ledger()` and `open_pps()` inside the trade
dialog startup and conduct a "pp state sync" logic phase where we now
pull the account balances and incrementally load pp data (in order,
from `pps.toml`, ledger, api) until we can generate the asset balance
by reverse incrementing through trade history eventually erroring out
if we can't reproduce the balance value.
- rework the `trade2pps()` to take in the `PpTable` and generate new
ems msgs from table updates.
- return the new `dict[str, Transaction]` expected from
`norm_trade_records()`
- only update pp config and ledger on dialog exit.
Since our ems doesn't actually do blocking style client-side submission
updates, thus resulting in the client being able to update an existing
order's state before knowing its current state, we can run into race
conditions where for some backends an order is updated using the wrong
order id. For kraken we manually implement detecting this race (lol, for
now anyway) such that when a new client side edit comes in before the
new `txid` is known, we simply expect the handler loop to cancel the
order. Further this adds cancellation on arbitrary status errors, like
rate limits.
Also this adds 2 leg (ems <-> brokerd <-> kraken) msg tracing using
a `collections.ChainMap` which is likely going to end up being the POC
for a more general data structure recommended for backends that need to
trace msg flow for translation with the ems.
Turns out the `openOrders` and `ownTrades` subs always return a `reqid`
value (the one brokerd sends to the kraken api in order requests) is
always set to zero, which seems to be a bug? So this includes patches to
work around that as well reliance on the `openOrders` sub to do most
`BrokerdStatus` updates since `XOrderStatus` events don't seem to have
much data in them at all (they almost look like pure ack events so maybe
they aren't affirmative of final state changes anyway..).
Other fixes:
- respond with a `BrokerdOrderAck` immediately after `requid` generation
not after order submission to ensure the ems has a valid `requid`
*before* kraken api events are relayed through.
- add a `reqids2txids: bidict[int, str]` which maps brokerd genned
`requid`s to kraken-side `txid`s since (as mentioned above) the
clearing and state endpoints don't relay back this value (it's always
0...)
- add log messages for each sub so that (at least for now) we can see
exact msg contents coming from kraken.
- drop `.remaining` calcs for now since we need to keep record of the
order states manually in order to retreive the original submission
vlm..
- fix the `openOrders` case for fills, in this case the message includes
no `status` field and thus we must catch it in a block *after* the
normal state handler to avoid masking.
- drop response msg generation from the cancel status case since we
can do it again from the `openOrders` handler and sending a double
status causes issues on the client side.
- add a shite ton of notes around all this missing `requid` stuff.
More or less just to avoid orders the user wasn't aware of from
persisting until we get "open order relaying" through the ems working.
Some further fixes which required a new `reqids2txids` map which keeps
track of which `kraken` "txid" is mapped to our `reqid: int`; mainly
this was needed for cancel requests which require knowing the underlying
`txid`s (since apparently kraken doesn't keep track of the "reqid" we
pass it). Pass the ws instance into `handle_order_updates()` to enable
the cancelling orders on startup. Don't key error on unknown `reqid`
values (for eg. when receiving historical trade events on startup).
Handle cancel requests first in the ems side loop.
Since we seem to always be able to get back the `reqid`/`userref` value
we send to kraken ws endpoints, we can use this as our brokerd side
order id and avoid all race cases with getting the true `txid` value
that `kraken` assigns (and which changes when you do "edits"
:eyeroll:). This simplifies status updates by allowing our relay loop
just to pass back our generated `.reqid` verbatim and allows responding
with a `BrokerdOrderAck` immediately in the request handler task which
should guarantee there are no further race conditions with the relay
loop and mapping `txid`s from kraken.. and figuring out wtf to do when
they change, etc.
Addressing same issue as in #350 where we need to compute position
updates using the *first read* from the ledger **before** we update it
to make sure `Position.lifo_update()` gets called and **not skipped**
because new trades were read as clears entries but haven't actually been
included in update calcs yet.. aka we call `Position.lifo_update()`.
Main change here is to convert `update_ledger()` into a context mngr so
that the ledger write is committed after pps updates using
`pp.update_pps_conf()`..
This is basically a hotfix to #346 as well.
Tyler Goodlet