Commit Graph

3911 Commits (7ab97fb21dc1ad1d9fe73fa4c321222f97977d5d)

Author SHA1 Message Date
Tyler Goodlet 83f1922f6e `binance.get_mkt_info()`: bleh, right `@lru_cache` dun work for async.. 2023-05-09 14:49:26 -04:00
Tyler Goodlet 4b7ac1d895 Port paper engine to latest `.accounting` sys fixes
- only preload necessary (one for clearing, all for ledger sync)
  `MktPair` info from the backend using `.get_mkt_info()`, build the
  `mkt_by_fqme: dict[str, MktPair]` and pass it to
  `TransactionLedger.iter_trans()`.
- use new `TransactionLedger.update_from_t()` method on clears.
- sanity check all `mkt_by_fqme` entries against `Flume.mkt` values
  when we open a data feed.
- rename `PaperBoi._syms` -> `._mkts`.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 7ee6f36e62 Actually, require `mkt_by_fqme` in `.iter_trans()` 2023-05-09 14:49:26 -04:00
Tyler Goodlet f106472bcb Fix size quantization and closed position popping..
Turns out we actually had further pp entry bugs due to *not quantizing*
the size inside `.minimize_clears()` method calcs; fix that using
`Position.sys.mkt.quantize()` as is done in `Position.calc_size()`.

Fix `PpTable.write_config()` to drop from the TOML config any
`closed: dict[str, Position]` entries delivered by `.dump_active()`.

Add a more detailed doc string for our position type and a little todo
for the `.bep` B)
2023-05-09 14:49:26 -04:00
Tyler Goodlet bba1ee43ff Allow mkt info table input to `.iter_trans()`
Since ledger records are often provided (and thus stored) from most
backends *without* containing the info we normally need for accounting
defined by `MktPair`, this extends the ledger method to take in a table
that allows assigning the `Transaction.sys` from an fqme lookup. This
way client code (like the paper engine and new ledger mgmt tools) can
do the mkt info lookup before hand and then load both ledger
`Transactions` and positions via the `PpTable` and get correct
accounting calculations, always :fingers_crossed:

Also adds `TransactionLedger.update_from_t(t: Transaction)` to allow
updating directly from an existing tran instead of making the user cast
to a `dict` first. Includes fix to `.to_dict()` to always pop the `.sym`
again to avoid client code having to do so.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 0d2e713e9a `binance`: facepalm, swap price/size_tick methods..
Wow not sure how that happened, but we should probably use the correct
market precision info for the correct parameter..

Also, use `@lru_cache` on new `get_mkt_info()` ep, seems to work?
2023-05-09 14:49:26 -04:00
Tyler Goodlet 10a39ca42c More detailed dark-slap comments 2023-05-09 14:49:26 -04:00
Tyler Goodlet 0917b580c9 Flip `.feed` and `._sampling` over to new stuff
In `.feed` and `._sampling` move to using the new
`tractor.Context.open_stream(allow_overruns: bool)` (cough, A BREAKING
CHANGE).

Also set `Flume.mkt` during construction in `.feed.open_feed()`.
2023-05-09 14:49:26 -04:00
Tyler Goodlet a301fabd6c Change`.ui._fsp` to use `Flume.mkt` 2023-05-09 14:49:26 -04:00
Tyler Goodlet 611d86d988 Change `Flume.symbol` -> `.mkt: MktPair`
Might as well try and flip it over to the new type; make appropriate
dict serialization changes in `.to_msg()`. Alias back to `.symbol:
Symbol` with a property.
2023-05-09 14:49:26 -04:00
Tyler Goodlet b1e162ebb4 Fix ._util import in questrade backend 2023-05-09 14:49:26 -04:00
Tyler Goodlet b810de3089 Rename fqsn -> fqme in feeds tests 2023-05-09 14:49:26 -04:00
Tyler Goodlet 48cae3c178 `ib`: rejects their own fractional size tick..
Frickin ib, they give you the `0.001` (or wtv) in the
`ContractDetails.minSize: float` but won't accept fractional sizes
through the API.. Either way, it's probably not sane to be supporting
fractional order sizes for legacy instruments by default especially
since it in theory affects a lot of the clearing outcomes by having ib
do wtv magical junk behind the scenes to make it work..
2023-05-09 14:49:26 -04:00
Tyler Goodlet 02eb966a87 Rename ems test mod 2023-05-09 14:49:26 -04:00
Tyler Goodlet 146e0993a9 More explicit test mod docstring 2023-05-09 14:49:26 -04:00
Tyler Goodlet 2cf7daca30 Another fqsn -> fqme rename 2023-05-09 14:49:26 -04:00
Tyler Goodlet dedc51a939 Quantize order prices prior to `OrderClient.send()`
Order mode previously was just willy-nilly sending `float` prices
(particularly on order edits) which are generated from the associated
level line. This actually uses the `MktPair.price_tick: Decimal` to
ensure the value is rounded correctly before submission to the ems..

Also adjusts the order mode init to expect a table of tables of startup
position messages, with the inner table being keyed by fqme per msg.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 3b7579990b Link `tractor` debug mode to `pytest` --pdb flag 2023-05-09 14:49:26 -04:00
Tyler Goodlet 7de914d54c Fix bad-fqme test, adjust prices based on buy/sell 2023-05-09 14:49:26 -04:00
Tyler Goodlet 589232d12d Only flip size sign for seels if not already -ve 2023-05-09 14:49:26 -04:00
Tyler Goodlet 928765074f Fix zero-pp entry to toml case for new file-per-account format 2023-05-09 14:49:26 -04:00
Tyler Goodlet 2ed9e40d5e Better EMS client-side msg formatting 2023-05-09 14:49:26 -04:00
Tyler Goodlet 30af91a82c Rewrite order ctl tests as a parametrization
More or less a complete rework which allows passing a detailed
clearing/fills input and allows for *not* rebooting the runtime / ems
between each position check.

Some further enhancements:
- use (unit) fractional sizes to simulate both the more realistic and
  more "complex position calculation" case; since this is crypto.
- add a no-fqme-found test.
- factor cross-session/offline pos storage (pps.toml) checks into
  a `load_and_check_pos()` helper which does all entry loading directly
  from a provided `BrokerdPosition` msg.
- use the new `OrderClient.send()` async api.
2023-05-09 14:49:26 -04:00
Tyler Goodlet e524c6fe4f `binance`: add startup caching info log msg 2023-05-09 14:49:26 -04:00
Tyler Goodlet abbba1fa6e Pack startup pps into a table keyed by fqmes 2023-05-09 14:49:26 -04:00
Tyler Goodlet 484565988d `order_mode`: broad rename book -> client 2023-05-09 14:49:26 -04:00
Tyler Goodlet f92c289842 Drop old blessings code, general cleanups 2023-05-09 14:49:26 -04:00
Tyler Goodlet b7ddf9cb05 paper-eng: close context and terminate actor on exit 2023-05-09 14:49:26 -04:00
Tyler Goodlet 250e1c4c51 `ledger` cli: dump colored summary lines to console
Tried a couple libs and ended up sticking with `rich` (since it's the
sibling lib to `typer`) but also (initially) implemented a version with
`blessings` that I ended up commenting out (and will likely remove).

Adjusted the CLI I/O a slight bit as well:
- require a fully qualified account name of the form:
  `<brokername>.<accountname>` and error on non-matching input.
- dump positions summary lines as humanized size, ppu and cost basis
  values per line.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 62259880fd paper: on no input fqme, load all mktinfos from pos table 2023-05-09 14:49:26 -04:00
Tyler Goodlet f42bc2dbce `pprint.pformat()` IB position mismatch log msgs 2023-05-09 14:49:26 -04:00
Tyler Goodlet 55b4866d5e Use `force_mkt` override in paper pps updates
When processing paper trades ledgers we normally won't have specific
`MktPair` info for the backend market we're simulating, as such we
need to look up this info when updating pps.toml files such that we
get precision info correct (particularly in the case of cryptos!) and
can also run paper ledger processing without running the simulated
clearing loop. In order to make it happen we lookup any `get_mkt_info()`
ep on the backend and pass the output to the `force_mkt` input of the
`PpTable.update_from_trans()` method.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 83514b0e90 `binance`: add `get_mkt_info()` ep 2023-05-09 14:49:26 -04:00
Tyler Goodlet 21401853c4 `kraken`: add module level `get_mkt_info()`
This will (likely) act as a new backend query endpoint for other `piker`
(client) code to lookup `MktPair` info from each backend. To start it
also returns the backend-broker's local `Pair` (or wtv other type) as
well.

The main motivation for this is for our paper engine which can require
the mkt info when processing paper-trades ledgers which do not contain
appropriate info to compute position metrics.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 6decd4112a kraken: drop console setup, now done during brokerd init 2023-05-09 14:49:26 -04:00
Tyler Goodlet 3f2f5edb28 kraken: rename `Client._atable` -> `_altnames` 2023-05-09 14:49:26 -04:00
Tyler Goodlet 1d2d4b40a8 Only log about pps once in order mode code 2023-05-09 14:49:26 -04:00
Tyler Goodlet 5ee044e418 Another `@acm` in `._cacheables` XD 2023-05-09 14:49:26 -04:00
Tyler Goodlet 05a33ae634 Make default order size to decimal 2023-05-09 14:49:26 -04:00
Tyler Goodlet b8a975a3fd Drop `"<broker>.<account>.."` from pps.toml entries
Add special blocks to handle removing the broker account levels from
both writing and reading routines.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 33a78366ff paper: always sync pps.toml state on startup 2023-05-09 14:49:26 -04:00
Tyler Goodlet 2806a4c0e5 Tweak ems msg-received log msg 2023-05-09 14:49:26 -04:00
Tyler Goodlet 2d609dceac Drop `loglevel` from `spawn_args` inputs to `maybe_spawn_daemon()` 2023-05-09 14:49:26 -04:00
Tyler Goodlet b2a5f8698d Use `--pdb` flag to config `brokerd` debug mode 2023-05-09 14:49:26 -04:00
Tyler Goodlet 70efce1631 `kraken`: handle ws connection startup status msgs 2023-05-09 14:49:26 -04:00
Tyler Goodlet a63599828b Drop masked `MktPair.size_tick_digits()` cruft 2023-05-09 14:49:26 -04:00
Tyler Goodlet f51361435f paper engine: use the `fqme` for the `bs_mktid`
Instead of stripping the broker part just use the full fqme for all
`Transaction.bs_mktid: str` values since it makes indexing the `PpTable`
much easier with less key mangling..
2023-05-09 14:49:26 -04:00
Tyler Goodlet 9770a39d7b Cancel the `OrderClient` sync-method relay task on exit 2023-05-09 14:49:26 -04:00
Tyler Goodlet 97e3c06af8 Set `emsd` log level and clearly report startup pps
Change the root-service-task entrypoint to accept the level and
setup a console log as is now expected for all sub-services. Cast all
backend delivered startup `BrokerdPosition` msgs and log them to
console.
2023-05-09 14:49:26 -04:00
Tyler Goodlet 4c1d174801 Expect `loglevel: str` in brokerd root task ep
Set the level right after spawn and once for the lifetime of the daemon.
2023-05-09 14:49:26 -04:00