8462ea8a28
Make the data feed layer "fqsn" aware
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In order to support instruments with lifetimes (aka derivatives) we need
generally need special symbol annotations which detail such meta data
(such as `MNQ.GLOBEX.20220717` for daq futes). Further there is really
no reason for the public api for this feed layer to care about getting
a special "brokername" field since generally the data is coming directly
from UIs (eg. search selection) so we might as well accept a fqsn (fully
qualified symbol name) which includes the broker name; for now a suffix
like `'.ib'`. We may change this schema (soon) but this at least gets us
to a point where we expect the full name including broker/provider.
An additional detail: for certain "generic" symbol names (like for
futes) we will pull a so called "front contract" and map this to
a specific fqsn underneath, so there is a double (cached) entry for that
entry such that other consumers can use it the same way if desired.
Some other machinery changes:
- expect the `stream_quotes()` endpoint to deliver it's `.started()` msg
almost immediately since we now need it deliver any fqsn asap (yes
this means the ep should no longer wait on a "live" first quote and
instead deliver what quote data it can right away.
- expect the quotes ohlc sampler task to add in the broker name before
broadcast to remote (actor) consumers since the backend isn't (yet)
expected to do that add in itself.
- obviously we start using all the new fqsn related `Symbol` apis
2022-04-10 17:30:02 -04:00
e9d64ffee8
Use fqsn in `.manage_history()`
...
Allocate and `.started()` return the `ShmArray` from here as well in
prep for tsdb integration.
2022-04-10 17:30:02 -04:00
b16167b8f3
Add prelim fqsn support into our `Symbol` type
2022-04-10 17:30:02 -04:00
434c340cb8
Move factor helper to a classmethod
2022-04-10 17:30:02 -04:00
94e2103bf5
Be mega-tolerant to feed consumer disconnects
2022-04-10 17:30:02 -04:00
cc026dfb1d
Open feeds using `Portal.open_context()`
2022-04-10 17:30:02 -04:00
97c2a2da3e
Convert `iter_ohlc_periods()` to a `@tractor.context`
2022-04-10 17:30:02 -04:00
039d06cc48
Merge pull request #298 from pikers/kraken_cleaning
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Kraken cleaning, disable order support due to #299 !
2022-04-10 17:28:20 -04:00
58517295d2
Disable kraken orders due to #299
2022-04-10 17:27:15 -04:00
c39fa825d0
More explicit order-cancel errors handling
2022-04-10 17:07:08 -04:00
88306a6c1e
Drop invalid status msg, linting cleanups
2022-04-09 16:56:05 -04:00
c034ea742f
Fix comment: filled not executed is a valid status key
2022-04-09 16:46:25 -04:00
d26fea70c7
Merge pull request #214 from iamzoltan/kraken_orders
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Phil MacKraken
2022-04-09 16:45:04 -04:00
cb970cef46
dark order gui patch, add filled status message
2022-04-08 19:25:24 -04:00
c2e654aae2
change logic order for handling no config case
2022-04-07 13:03:53 -04:00
2baa1b4605
fix hang when kraken is not in config
2022-03-28 18:28:19 -04:00
cb8e97a142
address latest comments, refactor the pack position function
2022-03-23 10:34:53 -04:00
1525c645ce
refactor get_positions into get_trades, and refactor pack_position with postion calc logic
2022-03-20 13:52:45 -04:00
fd0acd21fb
refactory based on github comments, change doc string style
2022-03-06 15:17:26 -05:00
617bf3e0da
fix typo and get rid of pprint of ws stream
2022-03-06 15:17:26 -05:00
a3345dbba2
cleaned up code and added loop to grab all trades for position calcs
2022-03-06 15:17:26 -05:00
ee0be13af1
repurpose ws code for ownTrades stream, get trade authentication going
2022-03-06 15:17:26 -05:00
b1bff1be85
remove ws support for orders, use rest api instead for easy oid association
2022-03-06 15:17:26 -05:00
46948e0a8b
add order cancel support over websockets
2022-03-06 15:17:26 -05:00
d826a66c8c
use a mapping from userref to oid for order ack
2022-03-06 15:17:26 -05:00
6c54c81f01
get stashed changes
2022-03-06 15:17:26 -05:00
0122669dd4
Factor out ws msg hearbeat and error handling
...
Move the core ws message handling into `stream_messages()` and call that
from 2 new stream processors: `process_data_feed_msgs()` and
`process_order_msgs()`. Add comments for hints on how to implement the
order msg parsing as well as `pprint` received msgs to console for now.
2022-03-06 15:17:26 -05:00
0c905920e2
connect to krakens openOrders websocket
2022-03-06 15:17:26 -05:00
03d2eddce3
order submission and cancellation working
2022-03-06 15:17:26 -05:00
96dd5c632f
basic order submission and cancelling with kraken
2022-03-06 15:17:26 -05:00
b21bbf5031
valdiate and ack order requests from ems
2022-03-06 15:17:26 -05:00
66da58525d
mock orders validated from kraken
2022-03-06 15:17:26 -05:00
b55debbe95
get basic order request loop receiving msgs
2022-03-06 15:17:26 -05:00
1fe1f88806
added the bones for the handle_order_requests func
2022-03-06 15:17:26 -05:00
3d2be3674e
save progress on kraken to test out unit_select_fixes
2022-03-06 15:17:26 -05:00
48c7b5262c
get positions working for kraken
2022-03-06 15:17:26 -05:00
ef598444c4
get positions from trades
2022-03-06 15:17:26 -05:00
0285a847d8
Store changes for rebase, positions prototype
2022-03-06 15:17:26 -05:00
88061d8799
Add balance to the ledger
2022-03-06 15:17:26 -05:00
e12af8aa4c
Add get_ledger function; parses raw ledger from kraken api
2022-03-06 15:17:26 -05:00
184edb2a90
wrap api method calls with uri and nonce value
2022-03-06 15:17:26 -05:00
b88dd380a3
get kraken authentication and retrieve balances
2022-03-06 15:17:26 -05:00
bc59d476b1
Merge pull request #288 from pikers/pp_bar_fixes
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pp bar fixes
2022-03-04 09:18:45 -05:00
01f5f2d015
Don't require a rt quote, increase client connect timeout
2022-03-03 17:49:21 -05:00
af3d624281
Just give up on discretized pp bar for now
2022-03-03 17:15:55 -05:00
2c9612ebd8
Force exact pp bar size
2022-03-03 10:46:30 -05:00
16b9e39e11
Dis-allow an allocator limit less then the current pp size
2022-03-02 10:05:33 -05:00
6889a25926
Drop pp bar clipping, hopefully fix slot sizing
2022-03-02 10:05:33 -05:00
5fb85d9ea0
Merge pull request #287 from pikers/async_hist_loading
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Async hist loading
2022-03-02 10:04:25 -05:00
f7d03489d8
Drop `marketstore` loading cruft (will come later)
2022-03-01 12:39:12 -05:00
Tyler Goodlet
goodboy
Konstantine Tsafatinos