Commit Graph

2471 Commits (d41d140265ba52ff49c40ded7b3b8141f5041700)

Author SHA1 Message Date
Tyler Goodlet d41d140265 Make ems relay loop report on brokerd `.reqid` changes 2022-07-05 20:58:55 -04:00
Tyler Goodlet 78a78f5edb Use `match:` syntax in data feed subs processing 2022-07-05 20:58:55 -04:00
Tyler Goodlet ea5004c8d3 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
2022-07-05 20:58:55 -04:00
goodboy 756249ff70
Merge pull request #348 from pikers/notokeninwswrapper
Drop token attr from `NoBsWs`
2022-07-05 20:57:30 -04:00
goodboy 419ebebe72
Merge pull request #346 from pikers/kraken_ledger_pps
Kraken ledger pps
2022-07-05 20:56:44 -04:00
goodboy a229996ebe
Merge pull request #350 from pikers/ib_rt_pp_update_hotfix
`ib` rt pps update hotfix..
2022-07-05 20:55:14 -04:00
Tyler Goodlet af01e89612 Create sub-pkg logger once during import 2022-07-05 16:59:47 -04:00
Tyler Goodlet 609034c634 Fix typo / line length 2022-07-05 16:46:31 -04:00
Tyler Goodlet 95dd0e6bd6 `ib` rt pps update hotfix..
Not sure this didn't get caught in usage, but basically real-time
updates got broken by a rework of `update_ledger_from_api_trades()`.
The issue is that the ledger was being updated **before** calling
`piker.pp.update_pps_conf()` which resulted in the `Position.size`
not being updated correctly since the [latest added] clears passed
in via the `trade_records` arg were already found in the `.clears` table
and thus were causing the loop to skip the `Position.lifo_update()`
call..

The solution here is to not update the ledger **until after** we call
`update_pps_conf()` - it's more read/writes but it's correct and we
figure out a less io heavy way to do the file writing later.

Further this includes a fix to avoid double emitting a pp update caused
by non-thorough logic that waits for a commission report to arrive
during a fill event; previously we were emitting the same message twice
due to the lack of a check for an existing comms report in the case
where the report arrives *after* the fill.
2022-07-05 16:25:11 -04:00
goodboy 479ad1bb15
Merge pull request #347 from pikers/pps_postmortem
Pps postmortem
2022-07-04 15:28:27 -04:00
Tyler Goodlet d506235a8b Drop token attr from `NoBsWs` 2022-07-03 17:07:35 -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 47777e4192 Use new `str.removeprefix()` from py3.10 2022-07-02 16:20:22 -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
Tyler Goodlet 7442d68ecf Drop nesting level from emsd's pp cacheing, adjust order mode 2022-07-02 16:19:58 -04:00
Tyler Goodlet 076c167d6e Fix ib pkg mod doc string 2022-07-02 16:14:34 -04:00
Tyler Goodlet 64d8cd448f Right, handle brand-new pp case.. 2022-07-02 16:14:34 -04:00
Tyler Goodlet ec6a28a8b1 Drop stale comment 2022-07-02 16:14:34 -04:00
Tyler Goodlet cc15d02488 Fix `.minimize_clears()` to include clears since zero
This was just implemented totally wrong but somehow worked XD

The idea was to include all trades that contribute to ongoing position
size since the last time the position was "net zero", i.e. no position
in the asset. Adjust arithmetic to *subtract* from the current size
until a zero size condition is met and then keep all those clears as
part of the "current state" clears table.

Additionally this fixes another bug where the positions freshly loaded
from a ledger *were not* being merged with the current `pps.toml` state.
2022-07-02 16:14:34 -04:00
goodboy d5bc43e8dd
Merge pull request #336 from pikers/lifo_pps_ib
LIFO/"breakeven" pps for `ib`
2022-06-29 10:07:56 -04:00
Tyler Goodlet 287a2c8396 Put swb2 in venue filter for now 2022-06-29 10:00:38 -04:00
Tyler Goodlet 453ebdfe30 Fix field name to new `.bsuid` 2022-06-28 10:07:57 -04:00
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