Commit Graph

2493 Commits (583fa79e5e935ba3803b6a870c10a31749b38cf7)

Author SHA1 Message Date
Tyler Goodlet 583fa79e5e Add `Struct.copy()` which does a rountrip validate 2022-07-08 10:54:04 -04:00
Tyler Goodlet 6887d4d1b0 Change all clearing msgs over to `msgspec` 2022-07-08 10:53:33 -04:00
Tyler Goodlet c87704e593 Cast slots to `int` before range set 2022-07-07 21:08:46 -04:00
Tyler Goodlet cfc08a5814 Drop pydantic from allocator 2022-07-07 21:04:53 -04:00
Tyler Goodlet c10a85a8f3 Add a custom `msgspec.Struct` with some humanizing 2022-07-07 19:36:39 -04:00
Tyler Goodlet 4e9ff65465 Finally solve the last-price-is-`nan` issue..
Not sure why I put this off for so long but the check is in now such
that if the market isn't open or no rt quote comes in from the first
query, we just pull from the last shm history 'close' value.
Includes another fix to avoid raising when a double remove on the client
side stream from the registry sometimes happens.
2022-07-07 19:15:01 -04:00
Tyler Goodlet bf5fcfe896 Fix missing container id, drop custom exception 2022-07-07 17:10:06 -04:00
Tyler Goodlet 861826dd7b Lol, gotta `float()` that vlm before `*` XD 2022-07-07 16:27:14 -04:00
Tyler Goodlet 2664360474 Remove `BaseModel` use from all dataclass-like uses 2022-07-06 12:54:03 -04:00
Tyler Goodlet 5f24c57220 Use struct for shm tokens 2022-07-06 12:42:46 -04:00
Tyler Goodlet 4660b57f3c Use our struct for kraken `Pair` type 2022-07-06 10:30:32 -04:00
Tyler Goodlet da54c80cac Hard kill container on both a timeout or connection error 2022-07-06 10:13:27 -04:00
Tyler Goodlet 7ec95ec00a Drop `pydantic` from service mngr 2022-07-06 08:58:52 -04:00
Tyler Goodlet 92d24b7123 Use our struct in binance backend 2022-07-06 08:58:07 -04:00
Tyler Goodlet de1b4739f8 Add ledger and `pps.toml` snippets 2022-07-05 20:58:55 -04:00
Tyler Goodlet 2c3307a879 Try out a backend readme 2022-07-05 20:58:55 -04:00
Tyler Goodlet ef36c5ff52 Don't require an ems msg symbol on error statuses 2022-07-05 20:58:55 -04:00
Tyler Goodlet 65ff9a1fa1 Update ledger *after* pps updates from new trades
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.
2022-07-05 20:58:55 -04:00
Tyler Goodlet e901547e9f Factor status handling into a new `process_status()` helper 2022-07-05 20:58:55 -04:00
Tyler Goodlet 4d19c0f910 Factor msg loop into new func: `handle_order_updates()` 2022-07-05 20:58:55 -04:00
Tyler Goodlet 9723d2737a Drop uneeded count-sequencec verification 2022-07-05 20:58:55 -04:00
Tyler Goodlet 204d3b7214 Get order "editing" working fully
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
2022-07-05 20:58:55 -04:00
Tyler Goodlet d41d140265 Make ems relay loop report on brokerd `.reqid` changes 2022-07-05 20:58:55 -04:00
Tyler Goodlet 78a78f5edb Use `match:` syntax in data feed subs processing 2022-07-05 20:58:55 -04:00
Tyler Goodlet ea5004c8d3 First draft, working WS based order management
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 #290
Resolves #310, #296
2022-07-05 20:58:55 -04:00
goodboy 756249ff70
Merge pull request #348 from pikers/notokeninwswrapper
Drop token attr from `NoBsWs`
2022-07-05 20:57:30 -04:00
goodboy 419ebebe72
Merge pull request #346 from pikers/kraken_ledger_pps
Kraken ledger pps
2022-07-05 20:56:44 -04:00
goodboy a229996ebe
Merge pull request #350 from pikers/ib_rt_pp_update_hotfix
`ib` rt pps update hotfix..
2022-07-05 20:55:14 -04:00
Tyler Goodlet af01e89612 Create sub-pkg logger once during import 2022-07-05 16:59:47 -04:00
Tyler Goodlet 609034c634 Fix typo / line length 2022-07-05 16:46:31 -04:00
Tyler Goodlet 95dd0e6bd6 `ib` rt pps update hotfix..
Not sure this didn't get caught in usage, but basically real-time
updates got broken by a rework of `update_ledger_from_api_trades()`.
The issue is that the ledger was being updated **before** calling
`piker.pp.update_pps_conf()` which resulted in the `Position.size`
not being updated correctly since the [latest added] clears passed
in via the `trade_records` arg were already found in the `.clears` table
and thus were causing the loop to skip the `Position.lifo_update()`
call..

The solution here is to not update the ledger **until after** we call
`update_pps_conf()` - it's more read/writes but it's correct and we
figure out a less io heavy way to do the file writing later.

Further this includes a fix to avoid double emitting a pp update caused
by non-thorough logic that waits for a commission report to arrive
during a fill event; previously we were emitting the same message twice
due to the lack of a check for an existing comms report in the case
where the report arrives *after* the fill.
2022-07-05 16:25:11 -04:00
goodboy 479ad1bb15
Merge pull request #347 from pikers/pps_postmortem
Pps postmortem
2022-07-04 15:28:27 -04:00
Tyler Goodlet d506235a8b Drop token attr from `NoBsWs` 2022-07-03 17:07:35 -04:00
Tyler Goodlet 7846446a44 Add real-time incremental pp updates
Moves to using the new `piker.pp` apis to both store real-time trade
events in a ledger file as well emit position update msgs (which were
not in this backend at all prior) when new orders clear (aka fill).

In terms of outstanding issues,
- solves the pp update part of the bugs reported in #310
- starts a msg case block in prep for #293

Details of rework:
- move the `subscribe()` ws fixture to module level and `partial()` in
  the client token instead of passing it to the instance; in prep for
  removal of the `.token` attr from the `NoBsWs` wrapper.
- drop `make_auth_sub()` since it was too thin and we can just
  do it all succinctly in `subscribe()`
- filter trade update msgs to those not yet stored int the toml ledger
- much better kraken api msg unpacking using new `match:` synax B)

Resolves #311
2022-07-03 14:52:27 -04:00
Tyler Goodlet 214f864dcf Handle ws style symbol schema 2022-07-03 14:37:15 -04:00
Tyler Goodlet 4c0f2099aa Send fill msg first 2022-07-03 11:19:33 -04:00
Tyler Goodlet aea7bec2c3 Inline `process_trade_msgs()` into relay loop 2022-07-03 11:18:45 -04:00
Tyler Goodlet 47777e4192 Use new `str.removeprefix()` from py3.10 2022-07-02 16:20:22 -04:00
Tyler Goodlet f6888057c3 Just do a naive lookup for symbol normalization 2022-07-02 16:20:22 -04:00
Tyler Goodlet f65f56ec75 Initial `piker.pp` ledger support for `kraken`
No real-time update support (yet) but this is the first draft at writing
trades ledgers and `pps.toml` entries for the kraken backend.

Deatz:
- drop `pack_positions()`, no longer used.
- use `piker.pp` apis to both write a trades ledger file and update the
  `pps.toml` inside the `trades_dialogue()` endpoint startup.
- drop the weird paper engine swap over if auth can't be done, we should
  be doing something with messaging in the ems over this..
- more web API error response raising.
- pass the `pp.Transaction` set loaded from ledger into
  `process_trade_msgs()` do avoid duplicate sends of already collected
  trades msgs.
- add `norm_trade_records()` public endpoing (used by `piker.pp` api)
  and `update_ledger()` helper.
- rejig `process_trade_msgs()` to drop the weird `try:` assertion block
  and skip already-recorded-in-ledger trade msgs as well as yield *each*
  trade instead of sub-sequences.
2022-07-02 16:20:22 -04:00
Tyler Goodlet 5d39b04552 Invert normalizer branching logic, raise on edge case 2022-07-02 16:20:22 -04:00
Tyler Goodlet 735fbc6259 Raise any error from response 2022-07-02 16:20:22 -04:00
Tyler Goodlet fcd7e0f3f3 Avoid crash on trades ledger msgs
Just ignore them for now using new `match:` syntax B)
but we'll do incremental update sooon!

Resolves #311
2022-07-02 16:20:22 -04:00
Tyler Goodlet 9106d13dfe Drop wacky if block logic, while loop, handle errors and prep for async batching 2022-07-02 16:20:22 -04:00
Tyler Goodlet d3caad6e11 Factor data feeds endpoints into new sub-mod 2022-07-02 16:20:22 -04:00
Tyler Goodlet f87a2a810a Make broker mod import from new api mod 2022-07-02 16:20:21 -04:00
Tyler Goodlet 208e2e9e97 Move core api code into sub-module 2022-07-02 16:20:21 -04:00
Tyler Goodlet 90cc6eb317 Factor clearing related endpoints into new `.kraken.broker` submod 2022-07-02 16:20:21 -04:00
Tyler Goodlet b118becc84 Start `kraken` sub-pkg 2022-07-02 16:20:21 -04:00
Tyler Goodlet 7442d68ecf Drop nesting level from emsd's pp cacheing, adjust order mode 2022-07-02 16:19:58 -04:00