Commit Graph

135 Commits (8fb667686fcd0dd1240077ed034bb7087a2b2ce2)

Author SHA1 Message Date
Tyler Goodlet f53f4df583 `ib/kraken`: adjust to new default of not-writing in `open_pps()` 2023-03-01 17:40:33 -05:00
Tyler Goodlet 1346c33f04 `kraken`: make pps work with arbitrary deposits
Factor and fix dst <- src pair parsing into a new func
`get_likely_pair()` and use throughout initial position loading; solves
a parsing bug for src asset balances which aren't only 3 chars long..
a terrible assumption.
2023-02-12 15:52:48 -05:00
Tyler Goodlet 090d1ba524 `kraken`: catch value error not index on missing `src_fiat` in pair 2023-01-23 15:36:20 -05:00
Tyler Goodlet 94290c7d8b `kraken`: ignore mismatched zero-ed pps (for now)
See more details in the GH comment:
https://github.com/pikers/piker/issues/373#issuecomment-1380988581

More or less we need to pull and include the transfer fees for
withdrawals in our ledger tracking but this serves as a sloppy
workaround for the moment.
2023-01-13 12:48:18 -05:00
Tyler Goodlet d2aee00a56 `kraken`: only do unsub if connected
Trying to send a message in the `NoBsWs.fixture()` exit when the ws is
not currently disconnected causes a double `._stack.close()` call which
will corrupt `trio`'s coro stack. Instead only do the unsub if we detect
the ws is still up.

Also drops the legacy `backfill_bars()` module endpoint.

Fixes #437
2023-01-13 12:39:17 -05:00
Tyler Goodlet 70ad1a1860 `kraken`: don't presume src fiat symbol size in pos predicate 2023-01-13 12:37:49 -05:00
Tyler Goodlet f3ef73ef41 `kraken`: drop symbol token size =6 check 2023-01-13 12:37:49 -05:00
Tyler Goodlet fd296a557e Add position limit fields 2022-12-10 16:07:03 -05:00
Tyler Goodlet 0de2f863bd `kraken`: Explicitly report missing `Pair` fields in error 2022-12-10 16:07:03 -05:00
Tyler Goodlet 0ef75e6aa6 Add `.status: str` to kraken pairs.. 2022-11-17 15:18:12 -05:00
Tyler Goodlet e547b307f6 Deflect 1s OHLC loading for `kraken` 2022-11-10 13:16:21 -05:00
Tyler Goodlet 72ec9b1e10 Add `Pair.tick_size` to `kraken` schema 2022-11-10 13:16:21 -05:00
Tyler Goodlet 25b90afbdb Add `timeframe` input to `kraken` history api 2022-10-28 16:17:13 -04:00
Tyler Goodlet e6dd1458f8 `kraken`: the apiflows chain map needs a `dict` 2022-10-28 16:16:45 -04:00
Tyler Goodlet c43f7eb656 Fix missing `costmin: float` field in pair msgs 2022-10-28 16:16:45 -04:00
Tyler Goodlet 48ff4859e6 Update to new pair schema, adds `.cost_decimals` field 2022-10-05 01:41:18 -04:00
Tyler Goodlet 887583d27f Bleh, convert fill data to `float`s in kraken broker.. 2022-10-05 01:41:18 -04:00
Tyler Goodlet 0aef762d9a Bleh `kraken`, fix another ref error in fill block
Clearly, the linter didn't help us here.. but, just pass the
`brokerd` time for now in the `.broker_time` field; we can't get it from
the fill-case incremental updates in the `openOrders` sub. Add some
notes about this and how we might approach for backends with this
limitation.
2022-09-12 15:52:22 -04:00
Tyler Goodlet 23d0b8a7ac Lul, fix name error on msg var name.. 2022-09-05 21:15:22 -04:00
Tyler Goodlet 06845e5504 `kraken`: drop `make_sub()` and inline sub defs in `subscribe()` 2022-08-18 11:51:12 -04:00
Tyler Goodlet ee8c00684b Add actor-global "broker client" for tracking reqids 2022-08-18 11:51:12 -04:00
Tyler Goodlet 665bb183f7 Unpack existing live order params in case statement 2022-08-18 11:51:12 -04:00
Tyler Goodlet f6ba95a6c7 Split existing live-open case into its own block 2022-08-18 11:51:12 -04:00
Tyler Goodlet e2cd8c4aef Add initial `kraken` live order loading 2022-08-18 11:51:12 -04:00
Tyler Goodlet 3a0987e0be Fix to-fast-edit guard case 2022-08-05 21:00:54 -04:00
Tyler Goodlet d280a592b1 Repair normalize method logic to only error on lookup failure 2022-08-05 16:14:19 -04:00
Tyler Goodlet 30bcfdcc83 Emit fills from `openOrders` block
The (partial) fills from this sub are most indicative of clears (also
says support) whereas the msgs in the `ownTrades` sub are only emitted
after the entire order request has completed - there is no size-vlm
remaining.

Further enhancements:
- this also includes proper subscription-syncing inside `subscribe()` with
  a small pre-msg-loop which waits on ack-msgs for each sub and raises any
  errors. This approach should probably be implemented for the data feed
  streams as well.
- configure the `ownTrades` sub to not bother sending historical data on
  startup.
- make the `openOrders` sub include rate limit counters.
- handle the rare case where the ems is trying to cancel an order which
  was just edited and hasn't yet had it's new `txid` registered.
2022-08-01 19:22:31 -04:00
Tyler Goodlet 1a291939c3 Drop subs ack handling from streamer 2022-08-01 16:55:04 -04:00
Tyler Goodlet 69e501764a Drop status event processing at large
Since we figured out how to pass through ems dialog ids to the
`openOrders` sub we don't really need to do much with status updates
other then error handling. This drops `process_status()` and moves the
error handling logic into a status handler sub-block; we now just
info-log status updates for troubleshooting purposes.
2022-08-01 14:08:45 -04:00
Tyler Goodlet 1cbf45b4c4 Use the ``newuserref`` field on order edits
Why we need so many fields to accomplish passing through a dialog key to
orders is beyond me but this is how they do it with edits..

Allows not having to handle `editOrderStatus` msgs to update the dialog
key table and instead just do it in the `openOrders` sub by checking the
canceled msg for a 'cancel_reason' of 'Order replaced', in which case we
just pop the txid and wait for the new order the kraken backend engine
will submit automatically, which will now have the correct 'userref'
value we passed in via the `newuserref`, and then we add that new `txid`
to our table.
2022-07-31 14:36:06 -04:00
Tyler Goodlet 227a80469e Use both `reqid` and `userref` in order requests
Turns out you can pass both thus making mapping an ems `oid` to
a brokerd-side `reqid` much more simple. This allows us to avoid keeping
as much local dialog state but with still the following caveats:

- ok `editOrder` msgs must update the reqid<->txid map
- only pop `reqids2txids` entries inside the `cancelOrderStatus` handler
2022-07-31 14:36:06 -04:00
Tyler Goodlet dc8072c6db WIP: use `userref` field over `reqid`... 2022-07-31 14:36:06 -04:00
Tyler Goodlet 44e21b1de9 Drop field import 2022-07-30 17:34:40 -04:00
Tyler Goodlet b3058b8c78 Drop remaining `pydantic` usage, convert `OHLC` to our struct variant 2022-07-30 17:34:40 -04:00
Tyler Goodlet e6a3e8b65a Add warning msg for `openOrders.userref` always being 0 2022-07-30 17:33:45 -04:00
Tyler Goodlet d43ba47ebe Renames to `ppu` 2022-07-30 17:33:45 -04:00
Tyler Goodlet 168c9863cb Look for transfers after ledger + api trans load
If we don't have a pos table built out already (in mem) we can't figure
out the likely dst asset (since there's no pair entry to guide us) that
we should use to search for withdrawal transactions; so move it later.

Further this ports to the new api changes in `piker.pp`` that will land
with #365.
2022-07-30 17:33:45 -04:00
Tyler Goodlet 0fb31586fd Go back to using `Position.size` property in pp loading audits 2022-07-30 17:33:45 -04:00
Tyler Goodlet 8b609f531b Add transfers knowledge to positions validation 2022-07-30 17:33:45 -04:00
Tyler Goodlet d502274eb9 Add a `Client.get_xfers()` to retreive withdrawal transactions 2022-07-30 17:33:45 -04:00
Tyler Goodlet b1419c850d Update ledger from api immediately, cruft cleaning 2022-07-30 17:33:45 -04:00
Tyler Goodlet aa7f24b6db Drop old reversed order idea for rt-pp msg testing 2022-07-30 17:33:45 -04:00
Tyler Goodlet 3b79743c7b Finally get real-time pp updates workin for `kraken`
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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet 54008a1976 Add balance and assets retreival methods, cache assets on startup
Pass config dict into client and assign to `.conf`.
2022-07-30 17:33:45 -04:00
Tyler Goodlet b96b7a8b9c Use `aclosing()` on all msg async-gens 2022-07-30 17:33:45 -04:00
Tyler Goodlet 0fca1b3e1a Also map the ws symbol set to the alt set 2022-07-30 17:33:45 -04:00
Tyler Goodlet 2386270cad Handle too-fast-edits, add `ChainMap` msg tracing
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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet 5b135fad61 Handle pre-existing open orders specifically by checking for null `oid` 2022-07-30 17:33:45 -04:00
Tyler Goodlet abb6854e74 Make all `.bsuid`s the normed symbol "altname"s 2022-07-30 17:33:45 -04:00
Tyler Goodlet 22f9b2552c Provide symbol norming via a classmethod + global table 2022-07-30 17:33:45 -04:00
Tyler Goodlet 57f2478dc7 Fixes for state updates and clears
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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet b0d3d9bb01 TOSQUASH: lingering `.dict()`s 2022-07-30 17:33:45 -04:00
Tyler Goodlet caecbaa231 Cancel any live orders found on connect
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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet a20a8d95d5 Use `aclosing()` around ws async gen 2022-07-30 17:33:45 -04:00
Tyler Goodlet ba93f96c71 Lol, gotta `float()` that vlm before `*` XD 2022-07-30 17:33:45 -04:00
Tyler Goodlet 804e9afdde Pass our manually mapped `reqid: int` to EMS
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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet 89bcaed15e Add ledger and `pps.toml` snippets 2022-07-30 17:33:45 -04:00
Tyler Goodlet bb2f8e4304 Try out a backend readme 2022-07-30 17:33:45 -04:00
Tyler Goodlet 8ab8268edc Don't require an ems msg symbol on error statuses 2022-07-30 17:33:45 -04:00
Tyler Goodlet bbcc55b24c 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.
2022-07-30 17:33:45 -04:00
Tyler Goodlet 9fa9c27e4d Factor status handling into a new `process_status()` helper 2022-07-30 17:33:45 -04:00
Tyler Goodlet d9b4c4a413 Factor msg loop into new func: `handle_order_updates()` 2022-07-30 17:33:45 -04:00
Tyler Goodlet 84cab1327d Drop uneeded count-sequencec verification 2022-07-30 17:33:45 -04:00
Tyler Goodlet df4cec930b 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
2022-07-30 17:33:45 -04:00
Tyler Goodlet f79d9865a0 Use `match:` syntax in data feed subs processing 2022-07-30 17:33:45 -04:00
Tyler Goodlet 00378c330c 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
2022-07-30 17:33:45 -04:00
Tyler Goodlet 2a99f7a4d7 Drop remaining `BaseModel` api usage from rest of codebase 2022-07-09 12:38:17 -04:00
Tyler Goodlet c870665be0 Remove `BaseModel` use from all dataclass-like uses 2022-07-09 12:08:41 -04:00
Tyler Goodlet f22461a844 Use our struct for kraken `Pair` type 2022-07-09 12:06:47 -04:00
Tyler Goodlet af01e89612 Create sub-pkg logger once during import 2022-07-05 16:59:47 -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 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