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.
Turns out the EMS can support this as originally expected: you can
update a `brokerd`-side `.reqid` through a `BrokerdAck` msg and the ems
which update its cross-dialog (leg) tracking correctly! The issue was
a bug in the `editOrderStatus` msg handling and appropriate tracking
of the correct `.oid` (ems uid) on the kraken side. This unfortunately
required adding a `emsflow: dict[str, list[BrokerdOrder]]` msg flow
tracing table which means the broker daemon is tracking all the msg flow
with the ems, though I'm wondering now if this is just good practise
anyway and maybe we should offer a small primitive type from our msging
utils to aid with this? I've used such constructs in event handling
systems prior.
There's a lot more factoring that can be done after these changes as
well but the quick detailed summary is,
- rework the `handle_order_requests()` loop to use `match:` syntax and
update the new `emsflow` table on every new request from the ems.
- fix the `editOrderStatus` case pattern to not include an error msg and
thus actually be triggered to respond to the ems with a `BrokerdAck`
containing the new `.reqid`, the new kraken side `txid`.
- skip any `openOrders` msgs which are detected as being kraken's
internal order "edits" by matching on the `cancel_reason` field.
- update the `emsflow` table in all ws-stream msg handling blocks
with responses sent to the ems.
Relates to #290
Move to using the websocket API for all order control ops and dropping
the sync rest api approach which resulted in a bunch of buggy races.
Further this gets us must faster (batch) order cancellation for free
and a simpler ems request handler loop. We now heavily leverage the new
py3.10 `match:` syntax for all kraken-side API msg parsing and
processing and handle both the `openOrders` and `ownTrades` subscription
streams.
We also block "order editing" (by immediate cancellation) for now since
the EMS isn't entirely yet equipped to handle brokerd side `.reqid`
changes (which is how kraken implements so called order "updates" or
"edits") for a given order-request dialog and we may want to even
consider just implementing "updates" ourselves via independent cancel
and submit requests? Definitely something to ponder. Alternatively we
can "masquerade" such updates behind the count-style `.oid` remapping we
had to implement anyway (kraken's limitation) and maybe everything will
just work?
Further details in this patch:
- create 2 tables for tracking the EMS's `.oid` (uui4) value to `int`s
that kraken expects (for `reqid`s): `ids` and `reqmsgs` which enable
local lookup of ems uids to piker-backend-client-side request ids and
received order messages.
- add `openOrders` sub support which more or less directly relays to
equivalent `BrokerdStatus` updates and calc the `.filled` and
`.remaining` values based on cleared vlm updates.
- add handler blocks for `[add/edit/cancel]OrderStatus` events including
error msg cases.
- don't do any order request response processing in
`handle_order_requests()` since responses are always received via one
(or both?) of the new ws subs: `ownTrades` and `openOrders` and thus
such msgs are now handled in the response relay loop.
Relates to #290Resolves#310, #296
This drops the use of `pp.update_pps_conf()` (and friends) and instead
moves to using the context style `open_trade_ledger()` and `open_pps()`
managers for faster pp msg gen due to delayed file writing (which was
the main source update latency).
In order to make this work with potentially multiple accounts this also
uses an exit stack which loads each ledger / `pps.toml` into an account
id mapped `dict`; a POC for likely how we should implement some higher
level position manager api.
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()`.
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()`.
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).
Tyler Goodlet
goodboy