Commit Graph

3073 Commits (42e0048b7cf8216ed7acb425802329d80bdfbbd2)

Author SHA1 Message Date
Tyler Goodlet ddffaa952d Rework "breakeven" price as "price-per-uni": ppu
The original implementation of `.calc_be_price()` wasn't correct since
the real so called "price per unit" (ppu), is actually defined by
a recurrence relation (which is why the original state-updated
`.lifo_update()` approach worked well) and requires the previous ppu to
be weighted by the new accumulated position size when considering a new
clear event. The ppu is the price that above or below which the trader
takes a win or loss on transacting one unit of the trading asset and
thus it is the true "break even price" that determines making or losing
money per fill. This patches fixes the implementation to use trailing
windows of the accumulated size and ppu to compute the next ppu value
for any new clear event as well as handle rare cases where the
"direction" changes polarity (eg. long to short in a single order). The
new method is `Position.calc_ppu()` and further details of the relation
can be seen in the doc strings.

This patch also includes a wack-ton of clean ups and removals in an
effort to refine position management api for easier use in new backends:

- drop `updaate_pps_conf()`, `load_pps_from_toml()` and rename
  `load_trands_from_ledger()` -> `load_pps_from_ledger()`.
- extend `PpTable` to have a `.to_toml()` method which returns the
  active set of positions ready to be serialized to the `pps.toml` file
  which is collects from calling,
- `PpTable.dump_active()` which now returns double dicts of the
  open/closed pp object maps.
- make `Position.minimize_clears()` now iterate the clears table in
  chronological order (instead of reverse) and only drop fills prior
  to any zero-size state (the old reversed way can result incorrect
  history-size-retracement in cases where a position is lessened but
  not completely exited).
- drop `Position.add_clear()` and instead just manually add entries
  inside `.update_from_trans()` and also add a `accum_size` and `ppu`
  field to ever entry thus creating a position "history" sequence of
  the ppu and accum size for every position and prepares for being
  and to show "position lifetimes" in the UI.
- move fqsn getting into `Position.to_pretoml()`.
2022-07-26 12:09:59 -04:00
Tyler Goodlet 5520e9ef21 Minimize clears and audit sizing for all updates in `.update_from_trans()` 2022-07-26 12:09:59 -04:00
Tyler Goodlet 958e542f7d Drop `.lifo_upate()` add `.audit_sizing()`
Use the new `.calc_[be_price/size]()` methods when serializing to and
from the `pps.toml` format and add an audit method which will warn about
mismatched values and assign the clears table calculated values pre-write.

Drop the `.lifo_update()` method and instead allow both
`.size`/`.be_price` properties to exist (for non-ledger related uses of
`Position`) alongside the new calc methods and only get fussy about
*what* the properties are set to in the case of ledger audits.

Also changes `Position.update()` -> `.add_clear()`.
2022-07-25 12:06:52 -04:00
goodboy 927bbc7258
Merge pull request #364 from pikers/historical_breakeven_pp_price
Add non-state-incremented calculation methods
2022-07-25 09:24:26 -04:00
Tyler Goodlet 45bef0cea9 Add non-state-incremented calculation methods
Since we're going to need them anyway for desired features, add
2 new `Position` methods:
- `.calc_be_price()` which computes the breakeven cost basis price
  from the entries in the clears table.
- `.calc_size()` which just sums the clear sizes.

Add a `cost_scalar: float` control to the `.update_from_trans()` method
to allow manual adjustment of the cost weighting for the case where
a "non-symmetrical" model is wanted.

Go back to always trying to write the backing ledger files on exit, even
when there's an error (obvs without the `return` in the `finally:` block
f$#% up).
2022-07-23 19:39:47 -04:00
goodboy a3d46f713e
Merge pull request #361 from pikers/pptables
`PpTable`s
2022-07-21 17:54:43 -04:00
Tyler Goodlet 5684120c11 Wow, drop idiotic `return` inside `finally:`
Can't believe i missed this but any `return` inside a `finally` will
suppress the error from the `try:` part... XD

Thought i was losing my mind when the ledger was mutated and then
an error just after wasn't getting raised.. lul.

Never again...
2022-07-21 17:52:44 -04:00
Tyler Goodlet ddb195ed2c Add a flag to prevent writing `pps.toml` on exit 2022-07-21 17:52:44 -04:00
Tyler Goodlet 6747831677 Don't pop zero pps from table in `.dump_active()`
In order to avoid double transaction adds/updates and too-early-discard
of zero sized pps (like when trades are loaded from a backend broker but
were already added to a ledger or `pps.toml` prior) we now **don't** pop
such `Position` entries from the `.pps` table in order to keep each
position's clears table always in place. This avoids the edge case where
an entry was removed too early (due to zero size) but then duplicate
trade entries that were in that entrie's clears show up from the backend
and are entered into a new entry resulting in an incorrect size in a new
entry..We still only push non-net-zero entries to the `pps.toml`.

More fixes:
- return the updated set of `Positions` from `.lifo_update()`.
- return the full table set from `update_pps()`.
- use `PpTable.update_from_trans()` more throughout.
- always write the `pps.toml` on `open_pps()` exit.
- only return table from `load_pps_from_toml()`.
2022-07-21 17:52:44 -04:00
Tyler Goodlet 9326379b04 Add a `PpTable` type, give it the update methods
In an effort to begin allowing backends to have more granular control
over position updates, particular in the case where they need to be
reloaded from a trades ledger, this adds a new table API which can
be loaded using `open_pps()`.

- offer an `.update_trans()` method which takes in a `dict` of
  `Transactions` and updates the current table of `Positions` from it.
- add a `.dump_active()` which renders the active pp entries dict in
  a format ready for toml serialization and all closed positions since
  the last update (we might want to not drop these?)

All other module-function apis currently in use should remain working as
before for the moment.
2022-07-21 17:52:44 -04:00
Tyler Goodlet 09d9a7ea2b Expect `<brokermod>.norm_trade_records()` to return `dict` 2022-07-21 17:52:44 -04:00
Tyler Goodlet 45871d5846 Freeze transactions, add todo notes for incr update 2022-07-21 17:52:44 -04:00
goodboy bf7a49c19b
Merge pull request #358 from pikers/fix_forex
Fix forex
2022-07-21 17:52:08 -04:00
goodboy 0a7fce087c
Merge pull request #362 from pikers/ahab_you_bad_boi
Revert to hard container kill on log error
2022-07-21 17:51:11 -04:00
Tyler Goodlet d3130ca04c Revert to hard container kill on log error 2022-07-21 17:00:36 -04:00
Tyler Goodlet e30a3c5b54 Single chart requires view reset to size to data on startup 2022-07-21 11:39:10 -04:00
Tyler Goodlet 2393965e83 Fix bottom axis when no fsps/subplots 2022-07-21 11:39:04 -04:00
Tyler Goodlet fb39da19f4 Add option and adhoc meta-info support to `con2fqsn()` 2022-07-21 11:38:53 -04:00
Tyler Goodlet a27431c34f Unify contract->fqsn translation with new cached-helper 2022-07-21 11:38:42 -04:00
Tyler Goodlet 070b9f3dc1 Log msg tweak 2022-07-19 09:58:43 -04:00
goodboy f2dba44169
Merge pull request #360 from pikers/fsp_shm_caching
Fsp shm caching
2022-07-19 09:55:27 -04:00
Tyler Goodlet 0ef5da0881 Unbreak regular searches and stock lookups..
Change `.find_contract()` -> `.find_contracts()` to allow multi-search
for so called "ambiguous" contracts (like for `Future`s) such that the
method now returns a `list` of tracts and populates the contract cache
with all specific tracts retrieved. Let it take in an (unvalidated)
contract that will be fqsn-style-tokenized such that it can be called
from `.search_symbols()` (though we're not quite yet XD).

More stuff,

- add `Client.parse_patt2fqsn()` which is an fqsn to token unpacker
  built from the original logic in the old `.find_contract()`.
- handle fiat/forex pairs with the `'CASH'` sectype.
- add a flag to allow unqualified contracts to fail with a warning msg.
- populate the client's contract cache with all expiries of
  an ambiguous derivative.
- allow `.con_deats()` to warn msg instead of raise on def-not-found.
- add commented `assert 0` which was triggering a debugger deadlock in
  `tractor` which we still haven't been able to create a unit test for.
2022-07-19 09:42:01 -04:00
Tyler Goodlet 0580b204a3 A `size` field in ticks is optional 2022-07-19 09:41:37 -04:00
Tyler Goodlet 6ce699ae1f Repair display loop to work when no vlm chart is loaded 2022-07-19 09:41:37 -04:00
Tyler Goodlet 3aa72abacf Primary exchange can never be "smart" 2022-07-19 09:41:37 -04:00
Tyler Goodlet 04004525c1 Specifically denote no-vlm contracts in symbol info 2022-07-19 09:41:37 -04:00
Tyler Goodlet a7f0adf1cf Make forex rt feeds work again 2022-07-19 09:41:37 -04:00
Tyler Goodlet cef511092d Support `Forex` in the pp packer 2022-07-19 09:41:37 -04:00
Tyler Goodlet 4e5df973a9 Support `Forex` tracts in `normalize()` 2022-07-19 09:41:37 -04:00
Tyler Goodlet 6a1a62d8c0 Add (hacky) forex pair support to `Client.find_contract()` 2022-07-19 09:41:37 -04:00
Tyler Goodlet e0491cf2e7 Cache fsp ``ShmArrays`` where possible
Minimize calling `.data._shmarray.attach_shm_array()` as much as is
possible to avoid the crash from #332. This is the suggested hack from
issue #359.

Resolves https://github.com/pikers/piker/issues/359
2022-07-19 09:07:40 -04:00
Tyler Goodlet 90bc9b9730 Only 4k seconds of 1s ohlc when no tsdb 2022-07-19 09:07:27 -04:00
goodboy f449672c68
Merge pull request #357 from pikers/paper_eng_msg_fixes
Oof, paper engine msg fixes after using `msgspec.Struct`..
2022-07-11 13:14:39 -04:00
Tyler Goodlet fd22f45178 Oof, paper engine msg fixes after using `msgspec.Struct`.. 2022-07-11 13:04:07 -04:00
goodboy 37f634a2ed
Merge pull request #353 from pikers/drop_pydantic
Drop `pydantic`
2022-07-09 14:15:50 -04:00
Tyler Goodlet dfee9dd97e Remove `pydantic` from deps 2022-07-09 13:10:09 -04:00
Tyler Goodlet 2a99f7a4d7 Drop remaining `BaseModel` api usage from rest of codebase 2022-07-09 12:38:17 -04:00
Tyler Goodlet b44e2d9ed9 Support `0` value `reqid`s 🤦 2022-07-09 12:10:23 -04:00
Tyler Goodlet 795d4d76f4 Add some todo-reminders for ``msgspec`` stuff 2022-07-09 12:09:50 -04:00
Tyler Goodlet c26acb1fa8 Add `Struct.copy()` which does a rountrip validate 2022-07-09 12:09:38 -04:00
Tyler Goodlet 11b6699a54 Change all clearing msgs over to `msgspec` 2022-07-09 12:09:38 -04:00
Tyler Goodlet f9bdd643cf Cast slots to `int` before range set 2022-07-09 12:09:38 -04:00
Tyler Goodlet 2baea21c7d Drop pydantic from allocator 2022-07-09 12:09:38 -04:00
Tyler Goodlet bea0111753 Add a custom `msgspec.Struct` with some humanizing 2022-07-09 12:09:38 -04:00
Tyler Goodlet c870665be0 Remove `BaseModel` use from all dataclass-like uses 2022-07-09 12:08:41 -04:00
Tyler Goodlet 4ff1090284 Use struct for shm tokens 2022-07-09 12:06:47 -04:00
Tyler Goodlet f22461a844 Use our struct for kraken `Pair` type 2022-07-09 12:06:47 -04:00
Tyler Goodlet 458c7211ee Drop `pydantic` from service mngr 2022-07-09 12:06:47 -04:00
Tyler Goodlet 5cc4b19a7c Use our struct in binance backend 2022-07-09 12:06:47 -04:00
goodboy f5236f658b
Merge pull request #356 from pikers/null_last_quote_fix
Finally solve the last-price-is-`nan` issue..
2022-07-08 17:47:45 -04:00