This includes darks, lives and alerts with all connecting clients
being broadcast all existing order-flow dialog states. Obviously
for now darks and alerts only live as long as the `emsd` actor lifetime
(though we will store these in local state eventually) and "live" orders
have lifetimes managed by their respective backend broker.
The details of this change-set is extensive, so here we go..
Messaging schema:
- change the messaging `Status` status-key set to:
`resp: Literal['pending', 'open', 'dark_open', 'triggered',
'closed', 'fill', 'canceled', 'error']`
which better reflects the semantics of order lifetimes and was
partially inspired by the status keys `kraken` provides for their
order-entry API. The prior key set was based on `ib`'s horrible
semantics which sound like they're right out of the 80s..
Also, we reflect this same set in the `BrokerdStatus` msg and likely
we'll just get rid of the separate brokerd-dialog side type
eventually.
- use `Literal` type annots for statuses where applicable and as they
are supported by `msgspec`.
- add additional optional `Status` fields:
-`req: Order` to allow each status msg to optionally ref its
commanding order-request msg allowing at least a request-response
style implicit tracing in all response msgs.
-`src: str` tag string to show the source of the msg.
-`reqid: str | int` such that the ems can relay the `brokerd`
request id both to the client side and have one spot to look
up prior status msgs and
- draft a (unused/commented) `Dialog` type which can be eventually used
at all EMS endpoints to track msg-flow states
EMS engine adjustments/rework:
- use the new status key set throughout and expect `BrokerdStatus` msgs
to use the same new schema as `Status`.
- add a `_DarkBook._active: dict[str, Status]` table which is now used for
all per-leg-dialog associations and order flow state tracking
allowing for the both the brokerd-relay and client-request handler loops
to read/write the same msg-table and provides for delivering
the overall EMS-active-orders state to newly/re-connecting clients
with minimal processing; this table replaces what the `._ems_entries`
table from prior.
- add `Router.client_broadcast()` to send a msg to all currently
connected peers.
- a variety of msg handler block logic tweaks including more `case:`
blocks to be both flatter and improve explicitness:
- for the relay loop move all `Status` msg update and sending to
within each block instead of a fallthrough case plus hard-to-follow
state logic.
- add a specific case for unhandled backend status keys and just log
them.
- pop alerts from `._active` immediately once triggered.
- where possible mutate status msgs fields over instantiating new
ones.
- insert and expect `Order` instances in the dark clearing loop and
adjust `case:` blocks accordingly.
- tag `dark_open` and `triggered` statuses as sourced from the ems.
- drop all the `ChainMap` stuff for now; we're going to make our own
`Dialog` type for this purpose..
Order mode rework:
- always parse the `Status` msg and use match syntax cases with object
patterns, hackily assign the `.req` in many blocks to work around not
yet having proper on-the-wire decoding yet.
- make `.load_unknown_dialog_from_msg()` expect a `Status` with boxed
`.req: Order` as input.
- change `OrderDialog` -> `Dialog` in prep for a general purpose type
of the same name.
`ib` backend order loading support:
- do "closed" status detection inside the msg-relay loop instead
of expecting the ems to do this..
- add an attempt to cancel inactive orders by scheduling cancel
submissions continually (no idea if this works).
- add a status map to go from the 80s keys to our new set.
- deliver `Status` msgs with an embedded `Order` for existing live order
loading and make sure to try an get the source exchange info (instead
of SMART).
Paper engine ported to match:
- use new status keys in `BrokerdStatus` msgs
- use `match:` syntax in request handler loop
Generate and maintain position messages in the paper engine for each
`pikerd` session. We no longer tear down the engine on each client
disconnect. Ensure -ve size on sells to make the math work.
This makes the paper engine look IPC-wise exactly like any
broker-provider backend module and uses the new ``trades_dialogue()``
2-way streaming endpoint for commanding order requests.
This serves as a first step toward truly distributed forward testing
since the paper engine can now be run out-of tree from `pikerd` if
needed thus demonstrating how real-time clearing signals can be shared
between fully distinct services.
Tyler Goodlet
Konstantine Tsafatinos