Commit Graph

2700 Commits (23d0b8a7ac877db954a85c3b4e0e3728a2a1bf0b)

Author SHA1 Message Date
Tyler Goodlet 82b718d5a3 Many, many `ib` trade log schema hackz
I don't want to rant too much any more since it's pretty clear `ib` has
either zero concern for its (api) user's or a severely terrible data
management team and/or general inter-team coordination system, but this
patch more or less hacks the flex report records to be similar enough to
API "execution" / "fill" records such that they can be similarly
normalized and stored as well as processed for position calculations..

Dirty deats,
- use the `IB.fills()` method for pulling current session trade events
  since it's both recommended in the docs and does seem to capture
  more extensive meta-data.
- add a `update_ledger_from_api()` helper which does all the insane work
  of making sure api trade entries are usable both within piker's global
  fqsn system but also compatible with incremental updates of positions
  computed from trade ledgers derived from ib's "flex reports".
- add "auditting" of `ib`'s reported positioning API messages by
  comparison with piker's new "traders first" breakeven price style and
  complain via logging on mismatches.
- handle buy vs. sell arithmetic (via a +ve or -ve multiplier) to make
  "size" arithmetic work for API trade entries..
- draft out options contract transaction parsing but skip in pps
  generation for now.
- always use the "execution id" as ledger keys both in flex and api
  trade processing.
- for whatever weird reason `ib_insync` doesn't include the so called
  "primary exchange" in contracts reported in fill events, so do manual
  contract lookups in such cases such that pps entries can be placed
  in the right fqsn section...

Still ToDo:
- incremental update on trade clears / position updates
- pps audit from ledger depending on user config?
2022-06-28 10:07:56 -04:00
Tyler Goodlet 05a1a4e3d8 Use new `Position.bsuid` field throughout 2022-06-28 10:07:56 -04:00
Tyler Goodlet 412138a75b Add transaction costs to "fills"
This makes a few major changes but mostly is centered around including
transaction (aka trade-clear) costs in the avg breakeven price
calculation.

TL;DR:
- rename `TradeRecord` -> `Transaction`.
- make `Position.fills` a `dict[str, float]` which holds each clear's
  cost value.
- change `Transaction.symkey` -> `.bsuid` for "backend symbol unique id".
- drop `brokername: str` arg to `update_pps()`
- rename `._split_active()` -> `dump_active()` and use input keys
  verbatim in output map.
- in `update_pps_conf()` always incrementally update from trade records
  even when no `pps.toml` exists yet since it may be both the case that
  the ledger needs loading **and** the caller is handing new records not
  yet in the ledger.
2022-06-28 10:07:56 -04:00
Tyler Goodlet c1b63f4757 Use `IB.fills()` method for `Client.trades()` 2022-06-28 10:07:56 -04:00
Tyler Goodlet 5d774bef90 Move `open_trade_ledger()` to pp mod, add `get_pps()` 2022-06-28 10:07:56 -04:00
Tyler Goodlet de77c7d209 Better doc strings and detailed comments 2022-06-28 10:07:56 -04:00
Tyler Goodlet ce1eb11b59 Use new ledger pps but cross-ref with what ib says 2022-06-28 10:07:56 -04:00
Tyler Goodlet b629ce177d Ensure `.fills` are filled in during object construct.. 2022-06-28 10:07:56 -04:00
Tyler Goodlet 73fa320917 Cut schema-related comment down to major sections 2022-06-28 10:07:56 -04:00
Tyler Goodlet dd05ed1371 Implement updates and write to config: `pps.toml`
Begins the position tracking incremental update API which supports both
constructing a `pps.toml` both from trade ledgers as well diff-oriented
incremental update from an existing config assumed to be previously
generated from some prior ledger.

New set of routines includes:
- `_split_active()` a helper to split a position table into the active
  and closed positions (aka pps of size 0) for determining entry updates
  in the `pps.toml`.
- `update_pps_conf()` to maybe load a `pps.toml` and update it from
   an input trades ledger including necessary (de)serialization to and
   from `Position` object form(s).
- `load_pps_from_ledger()` a ledger parser-loader which constructs
  a table of pps strictly from the broker-account ledger data without
  any consideration for any existing pps file.

Each "entry" in `pps.toml` also contains a `fills: list` attr (name may
change) which references the set of trade records which make up its
state since the last net-zero position in the instrument.
2022-06-28 10:07:56 -04:00
Tyler Goodlet 2a641ab8b4 Call it `pps.toml`, allows toml passthrough kwargs 2022-06-28 10:07:56 -04:00
Tyler Goodlet f8f7ca350c Extend trade-record tools, add ledger to pps extraction
Add a `TradeRecord` struct which holds the minimal field set to build
out position entries. Add `.update_pps()` to convert a set of records
into LIFO position entries, optionally allowing for an update to some
existing pp input set. Add `load_pps_from_ledger()` which does a full
ledger extraction to pp objects, ready for writing a `pps.toml`.
2022-06-28 10:07:56 -04:00
Tyler Goodlet 88b4ccc768 Add API trade/exec entry parsing and ledger updates
Since "flex reports" are only available for the current session's trades
the day after, this adds support for also collecting trade execution
records for the current session and writing them to the equivalent
ledger file.

Summary:
- add `trades_to_records()` to handle parsing both flex and API event
  objects into a common record form.
- add `norm_trade_records()` to handle converting ledger entries into
  `TradeRecord` types from the new `piker.pps` mod (coming in next
  commit).
2022-06-28 10:07:56 -04:00
Tyler Goodlet eb2bad5138 Make our `Symbol` a `msgspec.Struct` 2022-06-28 10:07:56 -04:00
Tyler Goodlet f768576060 Delegate paper engine pp tracking to new type 2022-06-28 10:07:56 -04:00
Tyler Goodlet add0e92335 Drop old trade log config writing code 2022-06-28 10:07:56 -04:00
Tyler Goodlet 1eb7e109e6 Start `piker.pp` module, LIFO pp updates
Start a generic "position related" util mod and bring in the `Position`
type from the allocator , convert it to a `msgspec.Struct` and add
a `.lifo_update()` method. Implement a WIP pp parser from a trades
ledger and use the new lifo method to gather position entries.
2022-06-28 10:07:56 -04:00
Tyler Goodlet 725909a94c Convert accounts table to `bidict` after config load 2022-06-28 10:07:56 -04:00
Tyler Goodlet 050aa7594c Simplify trades ledger collection to single pass loop 2022-06-28 10:07:56 -04:00
Tyler Goodlet 450009ff9c Add `open_trade_ledger()` for writing `<confdir>/ledgers/trades_<broker>_<acct>.toml` files 2022-06-28 10:07:56 -04:00
goodboy b2d5892010
Merge pull request #342 from pikers/mxmn_from_m4
Mxmn from m4
2022-06-28 10:07:17 -04:00
goodboy 5a3b465ac0
Merge pull request #344 from pikers/310_plus
Go Python 3.10+ in anticipation of upcoming feature PRs
2022-06-28 10:04:45 -04:00
Tyler Goodlet ac0f43dc98 Go Python 3.10+ in anticipation of upcoming feature PRs 2022-06-28 10:02:09 -04:00
Tyler Goodlet be7afdaa89 Drop commented draft quotes-drain-loop code/idea 2022-06-28 09:43:49 -04:00
Tyler Goodlet 1c561207f5 Simplify `Flow.maxmin()` block logics 2022-06-28 09:43:49 -04:00
Tyler Goodlet ed2c962bb9 Add an idempotent, graphics-state startup flag
Add `ChartPlotWidget._on_screen: bool` which allows detecting for the
first state where there is y-range-able flow data loaded and able to be
drawn. Check for this flag to be set in `.maxmin()` such that until the
historical data is loaded `.default_view()` will be called to ensure
that a blank view is never shown: race with the UI starting versus the
data layer loading flow graphics can have this outcome.
2022-06-28 09:43:49 -04:00
Tyler Goodlet 147ceca016 Drop uneeded render filter idea 2022-06-28 09:43:49 -04:00
Tyler Goodlet 03a7940f83 Rewrite per-pi group mxmn sorter to always expect output 2022-06-27 18:24:09 -04:00
Tyler Goodlet dd2a9f74f1 Add todo around graphics loop vlm chart mxmn sort calls 2022-06-27 18:23:13 -04:00
Tyler Goodlet 49c720af3c Add commented prints for debugging 2022-06-27 18:22:51 -04:00
Tyler Goodlet c620517543 Set zeros for `Flow.maxmin() -> None` results 2022-06-27 18:22:30 -04:00
Tyler Goodlet a425c29ef1 Play with render skip logic on non-dark vlm crypto feeds 2022-06-27 13:59:08 -04:00
Tyler Goodlet 783914c7fe Better comment, use -inf as startup min 2022-06-27 13:59:08 -04:00
Tyler Goodlet 920a394539 Use new `anext()` builtin 2022-06-27 13:59:08 -04:00
Tyler Goodlet e977597cd0 Commented for doing incrementing when downsampled, but doesn't seem to work? 2022-06-27 13:59:08 -04:00
Tyler Goodlet 7a33ba64f1 Avoid crash due to race on chart instance ref during startup? 2022-06-27 13:59:08 -04:00
Tyler Goodlet 191b94b67c POC try using yrange mxmn from m4 when downsampling 2022-06-27 13:59:08 -04:00
Tyler Goodlet 4ad7b073c3 Proxy through input y-mx/mn from `xy_downsample()` 2022-06-27 13:59:08 -04:00
Tyler Goodlet d92ff9c7a0 Return input y-range min/max values from m4 2022-06-27 13:59:08 -04:00
goodboy 3977f1cc7e
Merge pull request #341 from pikers/contain_mkts
Contain mkts
2022-06-26 13:49:23 -04:00
Tyler Goodlet e45cb9d08a Always cancel container on teardown 2022-06-26 13:36:29 -04:00
Tyler Goodlet 27c523ca74 Speedup: only load a "views worth" of datums on first query 2022-06-23 15:21:09 -04:00
Tyler Goodlet b8b76a32a6 Harden container cancel-and-wait supervisor loop
This should hopefully make teardown more reliable and includes better
logic to fail over to a hard kill path after a 3 second timeout waiting
for the instance to complete using the `docker-py` wait API. Also
generalize the supervisor teardown loop by allowing the container config
endpoint to return 2 msgs to expect:
- a startup message that can be read from the container's internal
  process logging that indicates it is fully up and ready.
- a teardown msg that can be polled for that indicates the container has
  gracefully terminated after a cancellation request which is passed to
  our container wrappers `.cancel()` method.

Make the marketstore config endpoint return the 2 messages we previously
had hard coded and use this new api.
2022-06-23 10:23:14 -04:00
Tyler Goodlet dcee0ddd55 Move/expect all marketstore configs under a `<configdir>/piker/marketstore` subdir 2022-06-23 09:48:32 -04:00
goodboy 67eab85f06
Merge pull request #340 from pikers/slic_fix_v2
Slice fix v2
2022-06-22 19:55:39 -04:00
Tyler Goodlet afc95b8592 Facepalm, get the first x value not the array.. 2022-06-22 19:43:33 -04:00
Tyler Goodlet 14c98d82ee Only warn once when realtime quotes time out 2022-06-22 19:43:23 -04:00
goodboy b87aa30031
Merge pull request #339 from pikers/uppx_slice_fix
Uppx slice fix
2022-06-16 16:20:00 -04:00
Tyler Goodlet 958f53d8e9 Lower re-syncing log msgs to debug level 2022-06-16 15:50:21 -04:00
Tyler Goodlet ba43b54175 Handle edge case for extreme zoom out 2022-06-16 15:50:05 -04:00