This moves the entire clearing system to use typed messages using
`pydantic.BaseModel` such that the streamed request-response order
submission protocols can be explicitly viewed in terms of message
schema, flow, and sequencing. Using the explicit message formats we can
now dig into simplifying and normalizing across broker provider apis to
get the best uniformity and simplicity.
The order submission sequence is now fully async: an order request is
expected to be explicitly acked with a new message and if cancellation
is requested by the client before the ack arrives, the cancel message is
stashed and then later sent immediately on receipt of the order
submission's ack from the backend broker. Backend brokers are now
controlled using a 2-way request-response streaming dialogue which is
fully api agnostic of the clearing system's core processing; This
leverages the new bi-directional streaming apis from `tractor`. The
clearing core (emsd) was also simplified by moving the paper engine to
it's own sub-actor and making it api-symmetric with expected `brokerd`
endpoints.
A couple of the ems status messages were changed/added:
'dark_executed' -> 'dark_triggered'
added 'alert_triggered'
More cleaning of old code to come!
This makes the paper engine look IPC-wise exactly like any
broker-provider backend module and uses the new ``trades_dialogue()``
2-way streaming endpoint for commanding order requests.
This serves as a first step toward truly distributed forward testing
since the paper engine can now be run out-of tree from `pikerd` if
needed thus demonstrating how real-time clearing signals can be shared
between fully distinct services.
This avoids somewhat convoluted "hackery" making 2 one-way streams
between the order client and the EMS and instead uses the new
bi-directional streaming and context API from `tractor`. Add a router
type to the EMS that gets setup by the initial service tree and which
we'll eventually use to work toward multi-provider executions and
order-trigger monitoring. Move to py3.9 style where possible throughout.
Makes it so we can move toward separate provider results fills in an
async way, on demand.
Also,
- add depth 1 iteration helper method
- add section finder helper method
- fix last selection loading to be mostly consistent
Tyler Goodlet
goodboy
Konstantine Tsafatinos