Commit Graph

2486 Commits (861826dd7bdd2967b2fb0e75251759c43dbfb97a)

Author SHA1 Message Date
Tyler Goodlet 2b1fb90e03 Add tractor breaker assert.. 2022-06-28 10:07:57 -04:00
Tyler Goodlet 695ba5288d Comment-drop adhoc symbol (futes) matching in search 2022-06-28 10:07:57 -04:00
Tyler Goodlet d6c32bba86 Use new adhoc sym map for symbols without exchange tags (usually futes) 2022-06-28 10:07:57 -04:00
Tyler Goodlet fa89207583 Use sign of the new size which indicates direction of position 2022-06-28 10:07:57 -04:00
Tyler Goodlet 557562e25c Build out adhoc sym map from futes list 2022-06-28 10:07:57 -04:00
Tyler Goodlet c6efa2641b Cost part of position breakeven calc is direction dependent 2022-06-28 10:07:57 -04:00
Tyler Goodlet 8a7e391b4e Terser startup msg fields 2022-06-28 10:07:57 -04:00
Tyler Goodlet aec48a1dd5 Right, zero sized "closed out" msgs are totally fine 2022-06-28 10:07:57 -04:00
Tyler Goodlet 87f301500d Simplify updates to single-pass, fix clears minimizing
Gah, was a remaining bug where if you tried to update the pps state with
both new trades and from the ledger you'd do a double add of
transactions that were cleared during a `update_pps()` loop. Instead now
keep all clears in tact until ready to serialize to the `pps.toml` file
in which cases we call a new method `Position.minimize_clears()` which
does the work of only keep clears since the last net-zero size.

Re-implement `update_pps_conf()` update logic as a single pass loop
which does expiry and size checking for closed pps all in one pass thus
allowing us to drop `dump_active()` which was kinda redundant anyway..
2022-06-28 10:07:57 -04:00
Tyler Goodlet 566a54ffb6 Reset the clears table on zero size conditions 2022-06-28 10:07:57 -04:00
Tyler Goodlet f9c4b3cc96 Fixes for newly opened and closed pps
Before we weren't emitting pp msgs when a position went back to "net
zero" (aka the size is zero) nor when a new one was opened (wasn't
previously loaded from the `pps.toml`). This reworks a bunch of the
incremental update logic as well as ports to the changes in the
`piker.pp` module:

- rename a few of the normalizing helpers to be more explicit.
- drop calling `pp.get_pps()` in the trades dialog task and instead
  create msgs iteratively, per account, by iterating through collected
  position and API trade records and calling instead
  `pp.update_pps_conf()`.
- always from-ledger-update both positions reported from ib's pp sys and
  session api trades detected on ems-trade-dialog startup.
- `update_ledger_from_api_trades()` now does **just** that: only updates
  the trades ledger and returns the transaction set.
- `update_and_audit_msgs()` now only the input list of msgs and properly
  generates new msgs for newly created positions that weren't previously
  loaded from the `pps.toml`.
2022-06-28 10:07:57 -04:00
Tyler Goodlet a12e6800ff Support per-symbol reload from ledger pp loading
- use `tomli` package for reading since it's the fastest pure python
  reader available apparently.
- add new fields to each pp's clears table: price, size, dt
- make `load_pps_from_toml()`'s `reload_records` a dict that can be
  passed in by the caller and is verbatim used to re-read a ledger and
  filter to the specified symbol set to build out fresh pp objects.
- add a `update_from_ledger: bool` flag to `load_pps_from_toml()`
  to allow forcing a full backend ledger read.
- if a set of trades records is passed into `update_pps_conf()` parse
  out the meta data required to cause a ledger reload as per 2 bullets
  above.
- return active and closed pps in separate by-account maps from
  `update_pps_conf()`.
- drop the `key_by` kwarg.
2022-06-28 10:07:57 -04:00
Tyler Goodlet cc68501c7a Make pp msg `.currency` not required 2022-06-28 10:07:57 -04:00
Tyler Goodlet 7ebf8a8dc0 Add `tomli` as dep being fastest in the west 2022-06-28 10:07:57 -04:00
Tyler Goodlet 4475823e48 Add draft ip-mismatch skip case 2022-06-28 10:07:57 -04:00
Tyler Goodlet 3713288b48 Strip ib prefix before acctid use 2022-06-28 10:07:57 -04:00
Tyler Goodlet 4fdfb81876 Support re-processing a filtered ledger entry set
This makes it possible to refresh a single fqsn-position in one's
`pps.toml` by simply deleting the file entry, in which case, if there is
new trade records passed to `load_pps_from_toml()` via the new
`reload_records` kwarg, then the backend ledger entries matching that
symbol will be filtered and used to recompute a fresh position.

This turns out to be super handy when you have crashes that prevent
a `pps.toml` entry from being updated correctly but where the ledger
does have all the data necessary to calculate a fresh correct entry.
2022-06-28 10:07:57 -04:00
Tyler Goodlet f32b4d37cb Support pp audits with multiple accounts 2022-06-28 10:07:56 -04:00
Tyler Goodlet 2063b9d8bb Drop ledger entries that have no transaction id 2022-06-28 10:07:56 -04:00
Tyler Goodlet fe14605034 Fix null case return 2022-06-28 10:07:56 -04:00
Tyler Goodlet 68b32208de Key pps by bsuid to avoid incorrect disparate entries 2022-06-28 10:07:56 -04:00
Tyler Goodlet f1fe369bbf Write clears table as a list of tables in toml 2022-06-28 10:07:56 -04:00
Tyler Goodlet 16b2937d23 Passthrough toml lib kwargs 2022-06-28 10:07:56 -04:00
Tyler Goodlet bfad676b7c Add expiry and datetime support to ledger parsing 2022-06-28 10:07:56 -04:00
Tyler Goodlet c617a06905 Port everything to `Position.be_price` 2022-06-28 10:07:56 -04:00
Tyler Goodlet ff74f4302a Support pp expiries, datetimes on transactions
Since some positions obviously expire and thus shouldn't continually
exist inside a `pps.toml` add naive support for tracking and discarding
expired contracts:
- add `Transaction.expiry: Optional[pendulum.datetime]`.
- add `Position.expiry: Optional[pendulum.datetime]` which can be parsed
  from a transaction ledger.
- only write pps with a non-none expiry to the `pps.toml`
- change `Position.avg_price` -> `.be_price` (be is "breakeven")
  since it's a much less ambiguous name.
- change `load_pps_from_legder()` to *not* call `dump_active()` since
  for the only use case it ends up getting called later anyway.
2022-06-28 10:07:56 -04:00
Tyler Goodlet 21153a0e1e Ugh, hack our own toml encoder since it seems everything in the lib is half-baked.. 2022-06-28 10:07:56 -04:00
Tyler Goodlet b6f344f34a Only emit pps msg for trade triggering instrument
We can probably make this better (and with less file sys accesses) later
such that we keep a consistent pps state in mem and only write async
maybe from another side-task?
2022-06-28 10:07:56 -04:00
Tyler Goodlet ecdc747ced Allow packing pps by a different key set 2022-06-28 10:07:56 -04:00
Tyler Goodlet 5147cd7be0 Drop global proxies table, isn't multi-task safe.. 2022-06-28 10:07:56 -04:00
Tyler Goodlet 3dcb72d429 Only finally-write around the ledger yield up 2022-06-28 10:07:56 -04:00
Tyler Goodlet fbee33b00d Get real-time trade oriented pp updates workin
What a nightmare this was.. main holdup was that cost (commissions)
reports are fired independent from "fills" so you can't really emit
a proper full position update until they both arrive.

Deatz:
- move `push_tradesies()` and relay loop in `deliver_trade_events()` to
  the new py3.10 `match:` syntax B)
- subscribe for, and handle `CommissionReport` events from `ib_insync`
  and repack as a `cost` event type.
- handle cons with no primary/listing exchange (like futes) in
  `update_ledger_from_api_trades()` by falling back to the plain
  'exchange' field.
- drop reverse fqsn lookup from ib positions map; just use contract
  lookup for api trade logs since we're already connected..
- make validation in `update_and_audit()` optional via flag.
- pass in the accounts def, ib pp msg table and the proxies table to the
  trade event relay task-loop.
- add `emit_pp_update()` too encapsulate a full api trade entry
  incremental update which calls into the `piker.pp` apis to,
  - update the ledger
  - update the pps.toml
  - generate a new `BrokerdPosition` msg to send to the ems
- adjust trades relay loop to only emit pp updates when a cost report
  arrives for the fill/execution by maintaining a small table per exec
  id.
2022-06-28 10:07:56 -04:00
Tyler Goodlet 3991d8f911 Add `update_and_audit()` in prep for rt per-trade-event pp udpates 2022-06-28 10:07:56 -04:00
Tyler Goodlet 7b2e8f1ba5 Return object form from `update_pps_conf()` 2022-06-28 10:07:56 -04:00
Tyler Goodlet cbcbb2b243 Filter pps loading to client-active accounts set 2022-06-28 10:07:56 -04:00
Tyler Goodlet cd3bfb1ea4 Maybe load from ledger in `get_pps()`, allow account filtering 2022-06-28 10:07:56 -04:00
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