This enables "headless" dark order matching and clearing where an `emsd`
daemon subactor can be left running with active dark (or other
algorithmic) orders which will still trigger despite to attached-controlling
ems-client.
Impl details:
- rename/add `Router.maybe_open_trade_relays()` which now does all work
of starting up ems-side long living clearing and relay tasks and the
associated data feed; make is a `Nursery.start()`-able task instead of
an `@acm`.
- drop `open_brokerd_trades_dialog()` and move/factor contents into the
above method.
- add support for a `router.client_broadcast('all', msg)` to wholesale
fan out a msg to all clients.
Establishes a more formalized subscription based fan out pattern to ems
clients who subscribe for order flow for a particular symbol (the fqsn
is the default subscription key for now).
Make `Router.client_broadcast()` take a `sub_key: str` value which
determines the set of clients to forward a message to and drop all such
manually defined broadcast loops from task (func) code. Also add
`.get_subs()` which (hackily) allows getting the set of clients for
a given sub key where any stream that is detected as "closed" is
discarded in the output. Further we simplify to `Router.dialogs:
defaultdict[str, set[tractor.MsgStream]]` and `.subscriptions` as maps
to sets of streams for much easier broadcast management/logic using set
operations inside `.client_broadcast()`.
This patch was originally to fix a bug where new clients who
re-connected to an `emsd` that was running a paper engine were not
getting updates from new fills and/or cancels. It turns out the solution
is more general: now, any client that creates a order dialog will be
subscribing to receive updates on the order flow set mapped for that
symbol/instrument as long as the client has registered for that
particular fqsn with the EMS. This means re-connecting clients as well
as "monitoring" clients can see the same orders, alerts, fills and
clears.
Impl details:
- change all var names spelled as `dialogues` -> `dialogs` to be
murican.
- make `Router.dialogs: dict[str, defaultdict[str, list]]` so that each
dialog id (oid) maps to a set of potential subscribing ems clients.
- add `Router.fqsn2dialogs: dict[str, list[str]]` a map of fqsn entries to
sets of oids.
- adjust all core task code to make appropriate lookups into these 2 new
tables instead of being handed specific client streams as input.
- start the `translate_and_relay_brokerd_events` task as a daemon task
that lives with the particular `TradesRelay` such that dialogs cleared
while no client is connected are still processed.
- rename `TradesRelay.brokerd_dialogue` -> `.brokerd_stream`
- broadcast all status msgs to all subscribed clients in the relay loop.
- always de-reg each client stream from the `Router.dialogs` table on close.
Not sure what exactly happened but it seemed clears weren't working in
some cases without this, also there's no point in spinning the simulated
clearing loop if we're handling a non-clearing tick type.
This fixes a regression added after moving the msg parsing to later in
the order mode startup sequence. The `Allocator` needs to be configured
*to* the initial pos otherwise default settings will show in the UI..
Move the startup config logic from inside `mk_allocator()` to
`PositionTracker.update_from_pp()` and add a flag to allow setting the
`.startup_pp` from the current live one as is needed during initial
load.
In the short case (-ve size) we had a bug where the last sub-slots worth
of exit size would never be limited to zero once the allocator limit pos
size was hit (i.e. you could keep going more -ve on the pos,
exponentially per slot over the limit). It's a simple fix, just
a `max()` around the `l_sub_pp` var used in the next-step-size calc.
Resolves#392
Turns out we were putting too many brokername suffixes in the symbol
field and thus the order mode msg parser wasn't matching the current
asset to said msgs correctly and pps weren't being shown...
This repairs that plus simplifies the order mode initial pos msg loading
to just delegate into `process_trade_msg()` just as is done for
real-time msg updates.
Previously we only simulated paper engine fills when the data feed
provide L1 queue-levels matched an execution. This patch add further
support for clear-level matches when there are real live clears on the
data feed that are faster/not synced with the L1 (aka usually during
periods of HFT).
The solution was to simply iterate the interleaved paper book entries on
both sides for said tick types and instead yield side-specific predicate
per entry.
Not entirely sure why this all of a sudden became a problem but it seems
price changes on order edits were sometimes resulting in key errors when
modifying paper book entries quickly. This changes the implementation to
not care about matching the last price when keying/popping old orders
and use `bidict`s to more easily pop cleared orders in the paper loop.
When the paper engine is used it seems we can definitely hit races where
order ack msgs arrive close enough to status messages that `trio`
schedules the status processing before the acks. In such cases we want
to be tolerant and not crash but instead warn that we got an
unknown/out-of-order msg.
`ib` is super good not being reliable with order event sequence order
and duplication of fill info. This adds some guards to try and avoid
popping the last status status too early if we end up receiving
a `'closed'` before the expected `'fill`' event(s). Further delete the
`status_msg` ref on each iteration to avoid stale reference lookups in
the relay task/loop.
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
Ideally every client that connects to the ems can know its state
(immediately) meaning relay all the order dialogs that are currently
active. This adds full (hacky WIP) support to receive those dialog
(msgs) from the `open_ems()` startup values via the `.started()` msg
from `_emsd_main()`.
Further this adds support to the order mode chart-UI to display existing
(live) orders on the chart during startup. Details include,
- add a `OrderMode.load_unknown_dialog_from_msg()` for processing and
displaying a ``BrokerdStatus`` (for now) msg from the EMS that was not
previously created by the current ems client and registering and
displaying it on the chart.
- break out the ems msg processing into a new
`order_mode.process_trade_msg()` func so that it can be called on the
startup dialog-msg set as well as eventually used a more general low
level auto-strat API (eg. when we get to displaying auto-strat and
group trading automatically on an observing chart UI.
- hackyness around msg-processing for the dialogs delivery since we're
technically delivering `BrokerdStatus` msgs when the client-side
processing technically expects `Status` msgs.. we'll rectify this
soon!
In order to avoid missed existing order message emissions on startup we
need to be sure the client side stream is registered with the router
first. So break out the starting of the
`translate_and_relay_brokerd_events()` task until inside the client
stream block and start the task using the dark clearing loop nursery.
Also, ensure `oid` (and thus for `ib` the equivalent re-used `reqid`)
are cast to `str` before registering the dark book. Deliver the dark
book entries as part of the `_emsd_main()` context `.started()` values.
Not sure why I put this off for so long but the check is in now such
that if the market isn't open or no rt quote comes in from the first
query, we just pull from the last shm history 'close' value.
Includes another fix to avoid raising when a double remove on the client
side stream from the registry sometimes happens.
Start a generic "position related" util mod and bring in the `Position`
type from the allocator , convert it to a `msgspec.Struct` and add
a `.lifo_update()` method. Implement a WIP pp parser from a trades
ledger and use the new lifo method to gather position entries.
Relates to the bug discovered in #310, this should avoid out-of-order
msgs which do not have a `.reqid` set to be error logged to console.
Further, add `pformat()` to kraken logging of ems msging.
Found this caused breakage on `kraken` orders which triggered the
"insufficient funds" error response. Makes sense since they won't
generate an order id if the order can't ever be submitted.
Use fqsn as input to the client-side EMS apis but strip broker-name
stuff before generating and sending `Brokerd*` msgs to each backend for
live order requests (since it's weird for a backend to expect it's own
name, though maybe that could be a sanity check?).
Summary of fqsn use vs. broker native keys:
- client side pps, order requests and general UX for order management
use an fqsn for tracking
- brokerd side order dialogs use the broker-specific symbol which is
usually nearly the same key minus the broker name
- internal dark book and quote feed lookups use the fqsn where possible
To avoid the "trigger finger" issue (darks execing before they should
due to a stale last price state, normally when generating a trigger
predicate..) always iterate the loop and update the last known book
price even when no execs/triggered orders are registered.
Must have run into some confusion with data structures in `brokerd` vs.
`emsd`. This fixes the ems `relay.positions` state tracking to be
composed maps, vs. messages from `brokerd` should just be a sequence.
Each backend broker may support multiple (types) of accounts; this patch
lets clients send order requests that pass through an `account` field in
certain `emsd` <-> `brokerd` transactions. This allows each provider to read
in and conduct logic based on what account value is passed via requests
to the `trades_dialogue()` endpoint as well as tie together positioning
updates with relevant account keys for display in UIs.
This also adds relay support for a `Status` msg with a `'broker_errored'`
status which for now will trigger the same logic as cancelled orders on
the client side and thus will remove order lines submitted on a chart.
Tyler Goodlet
Konstantine Tsafatinos
wattygetlood