Previously the cum-size calc(s) was in the `disect` CLI but it's better
stuffed into the backing df converter. Also, ensure that whenever
a `dt` field is type-detected as a `str` we parse it to `DateTime`.
For testing (and probably hacking) it's handy to be able to point
somewhere other the default user-config dir for a ledger or account file
to test offline processing apis from `.accounting` subsystems. For now
it's a private optional named-arg: `_fp: Path` and it's obviously passed
down into the `load_account()` config getter.
Note that in the non-paper account case `Account.update_from_ledger()`
will use the ledger's `.symcache` and `.iter_txns()` method to acquite
actual txn-structs to compute positions.
Since each broker backend generally needs to define a specific
field-name-schema to determine the exact instantiation arguments to
`Transaction`, we generally need each backend to define an endpoint
function to conduct this transaction from an input `dict[str, Any]`
received either directly from provided ledger APIs or from previously
stored `.accounting._ledger` saved trades ledger TOML files.
To accomplish this we now require backends to declare a new routine:
```python
def norm_trade(
tid: str, # the uuid for the transaction
txdict: dict, # the input record-dict
# a table of mkt-symbols to backend
# struct objects which define the (meta-data) for the backend specific
# venue's symbology
pairs: dict[str, Struct],
) -> Transaction:
...
```
which implements that record conversion (at least for trades)
and can thus be used in `TransactionLedger.iter_txns()` which requires
"some code" to implement the loading from a serialization format (aka
the input `dict` record) to our local `Transaction` struct, normally
also using a `Pair`-struct table defined (and maybe previously cached)
by the specific backend such our (normalization layer's) `MktPair`'s
fields can be set.
For the case of our `.clearing._paper_engine` we def the routine to
simply extract the exact same fields from the TOML ledger records that
we previously had written (to it) and define it in that module.
Also, we always pass `pairs=SymbologyCache.pairs: dict[str, Struct]` on
norm trade calls such that offline ledger and accounting processing
clients can use a previously cached symbology set without having to
necessarily start the async-actor runtime to query the actual backend API
if the data has already been saved locally on the system B)
Other related:
- always passthrough kwargs in overridden `.to_dict()` method.
- only do fqme related trade record field name rewrites/names when
operating on a paper ledger; normally a backend's records don't
contain these.
- fix `pendulum.DateTime` type annots.
- just deliver `Transaction`s from `.iter_txns()`
Since some backends have multiple venues keyed by the same
symbol-pair-name, AND often the market/symbol info for those different
market-venues is entirely different (cough binance), we will have to
(sometimes) save the struct namespace-path as str for lookup when
deserializing a symcache to object form.
NOTE: this change is reliant on the following `tractor` dev commit which
improves support for constructing a path from object-instance:
bee2c36072
Add a backend(-wide) default struct path stored as a (TOML top level)
field `pair_ns_path: str` in the serialized `dict`-table as well as
allow for a per pair-`Struct` value optionally defined on each type def;
the global is only used if none was defined per struct via a `ns_path:
str`.
Further deats:
- don't write non-struct-member fields to dict for TOML file cache.
- always keep object forms, well as objects (in tables).. XD
- factor cache loading from `dict` (and thus from TOML or presumably any
other interchange form) into a `@classmethod` constructor method B)
- all choosing the subtable for `.search()` by name.
Still kinda borked since i don't think there actually is a (per venue)
"get-all-symbologies" endpoint.. so we're likely gonna have to figure
out either how to hack it or provide a bypass in ledger processing?
Deatz:
- use new `Account` type name, rename endpoint vars to match and
obviously use any new method name(s).
- mask out split ratio handling for now.
- async open the symcache prior to ledger processing (again, for now).
- drop passing `Transaction.sym`.
- fix parser set for dt-sorter since apparently 2022 and back had
a `date` field instead?
Since we don't want to be doing a `trio.run()` from async code (being
already in the `tractor` runtime and all); for now just put a top level
block wrapping async enter until we figure out to embed it (likely)
inside `open_account()` and pass the ref to `open_trade_ledger()`.
Require passing an explicit flag when entering from sync code with an
extra super duper explicit runtime error to indicate how to use in the
async case as well!
Also, do rewrites of both the fqme (from best match in the symcache
according to search - the worst case) or from the `bs_mktid` field if
it exists (should only be true for paper engine accounts) AND the
`bs_mktid` for paper accounts if it seems un-fully-qualified.
Turns in order to make things much cleaner from inside-the-runtime usage
we do probably want to just make the manager async so that we can
generate the cache on demand from async UI inits as well as daemon
actors.. So change to that and instead make `get_symcache()` the helper
that should ONLY be called from sync funcs / offline ledger processing
utils!
Instead of constructing them (previously manually) in `.get_mkt_info()` ep,
just call `.get_assets()` and do key lookups for assets to hand directly
to the `.src/dst` of `MktPair`.
Refine fqme input parsing to match:
- adjust parsing logic to only use `unpack_fqme()` on the input fqme
token.
- set `.mkt_mode: str` to the derivs venue when an expiry token is
detected in the fqme.
- pass the parsed `expiry: str` to `Client.exch_info()` to ensure
a deriv venue (table) is used for pair lookup.
- skip any "DEFI" venue or other unknown asset type cases (since binance
doesn't seem to define some assets anywhere?).
Also, just use the `Client._pairs` unified table for search input since
the first call to `.exch_info()` won't necessarily contain the most
up-to-date state whereas `._pairs` always will.
Meaning we add the `Client.get_assets()` and `.get_mkt_pairs()` methods.
Also implement `.exch_info()` to take in a `expiry: str` to detect
whether to look up a derivative venue instead of spot.
In support of all this we now explicitly key all assets (via
`._cache_pairs() during the populate of `._venue2assets` sub-tables)
with their `.bs_dst_asset: str` value to ensure, for ex., a spot
`BTCUSDT` has a distinct value from any futures contracts with the same
`Pair.symbol: str` value!
Also, ensure we always create a `brokers.toml` (from template) if DNE
and binance is the user's first used backend XD
Add `bs_src/dst_asset: str` properties which provide for unique keying
into futures vs. spot venues by offering a `.venue: str` property which,
for non-spot delivers normally an expiry suffix (eg. '.PERP') and for
spot just delivers the bair chain-token key.
This enables keying multiple venues with the same mkt pairs easily in
a global flat key->pair table needed as part of supporting a symcache.
So you can do a `Struct1` - `Struct2` and we dump a little diff `list`
of tuples for anal on the REPL B)
Prolly can be broken out into it's own micro-patch?
Drop all the old `polars` (groupby + agg related) mangling to get a df
per fqme by delegating to the new routine and add in the `.cumsum()`ing
(per frame) as a first start on computing pps using dfs instead of
python dicts + loops as in `ppu()`.
To isolate it from the ledger/account mods and bc it is actually for
doing (eventual) position calcs / anal, might as well put it in this
mod. Add in the old-masked `ensure_state()` method content in case we
want to use it later for testing. Also tighten up the parser loading
inside `dyn_parse_to_dt()`.
Rename `open_pps()` -> `open_account()` for obvious reasons as well as
expect a bit tighter integration with `SymbologyCache` and consequently
`LedgerTransaction` in order to drop `Transaction.sym: MktPair`
dependence when compiling / allocating new `Position`s from a ledger.
Also we drop a bunch of prior attrs and do some cleaning,
- `Position.first_clear_dt` we no longer sort during insert.
- `._clears` now replaces by `._events` table.
- drop the now masked `.ensure_state()` method (eventually moved to
`.calc` submod for maybe-later-use).
- drop `.sym=` from all remaining txns init calls.
- clean out the `Position.add_clear()` method and only add the provided
txn directly to the `._events` table.
Improve some `Account` docs and interface:
- fill out the main type descr.
- add the backend broker modules as `Account.mod` allowing to drop
`.brokername` as input and instead wrap as a `@property`.
- make `.update_from_trans()` now a new `.update_from_ledger()` and
expect either of a `TransactionLedger` (user-dict) or a dict of txns;
in the latter case if we have not been also passed a symcache as input
then runtime error since the symcache is necessary to allocate
positions.
- also, delegate to `TransactionLedger.iter_txns()` instead of
a manual datetime sorted iter-loop.
- drop all the clears datetime don't-insert-if-earlier-then-first
logic.
- rename `.to_toml()` -> `.prep_toml()`.
- drop old `PpTable` alias.
- rename `load_pps_from_ledger()` -> `load_account_from_ledger()` and
make it only deliver the account instance and also move out all the
`polars.DataFrame` related stuff (to `.calc`).
And tweak some account clears table formatting,
- store datetimes as TOML native equivs.
- drop `be_price` fixing.
- obvsly drop `.ensure_state()` call to pps.
Turns out we don't really need it directly for most "txn processing" AND
if we do it's usually related to some `Account`-ing related calcs; which
means we can instead just rely on the new `SymbologyCache` lookup to get
it when needed. So, basically just get rid of it and rely instead on the
`.fqme` to be the god-key to getting `MktPair` info (from the cache).
Further, extend the `TransactionLedger` to contain much more info on the
pertaining backend:
- `.mod` mapping to the (pkg) py mod.
- `.filepath` pointing to the actual ledger TOML file.
- `_symcache` for doing any needed asset or mkt lookup as mentioned
above.
- rename `.iter_trans()` -> `.iter_txns()` and allow passing in
a symcache or using the init provided one.
- rename `.to_trans()` similarly.
- delegate paper account txn processing to the `.clearing._paper_engine`
mod's `norm_trade()` (and expect this similarly from other backends!)
- use new `SymbologyCache.search()` to find the best but
un-fully-qualified fqme for a given `txdict` being processed when
writing a config (aka always try to expand to the most verbose `.fqme`
possible).
- add a `rewrite: bool` control to `open_trade_ledger()`.
Since we now fully support interchange-as-dict-msg, use the msg codec
API and drop manual `Asset` unpacking. Also, wrap `get_symcache()` in
a `pdbp` crash handler block for now B)
As part of loading the cache we can now fill the asset sub-tables:
`.mktmaps` and `.assets` with their deserialized struct instances!
In theory this might be possible for the backend defined `Pair` structs
as well but we need to figure out probably an endpoint to offer
the conversion?
Also, add a `SymbologyCache.search()` which allows sync code to scan the
existing (known via cache) symbol set just like how async code can use the
(much slower) `open_symbol_search()` ctx endpoint 💥
Previously we weren't necessarily serializing mkt pairs (for IPC msging)
entirely bc the assets `.src/.dst` were being sent just by their
str-names. This now properly supports fully serializing `Asset`s as
`dict`-msgs such that use of `MktPair.to_dict()` can be transmitted over
`tractor.MsgStream`s and deserialized entirely back to struct from on
the receiver end.
Deats:
- implement `Asset.to_dict()` and `.from_msg()`
- adjust `MktPair.to_dict()` and `.from_msg()` to use these methods.
- drop all the hacky "if .src/.dst is str" handling.
- add better `MktPair.from_fqme()` input handling for expiry and venue;
ensure that either can be extracted from passed fqme *and* if so they
are also popped from any duplicate passed in `**kwargs**`.
For starters rename the cache type to `SymbologyCache` and fill out its
interface to include an (async) `.reload()` which can be used to populate
the in-mem asset-table sets such that any tractor-runtime task can
actually directly call it. Use a symcache file name schema of
`_cache/<backend>.symcache.toml`.
Dirtier deatz:
- make `.open_symcache()` a `@cm` such that it can be used from sync code
and will actually call `trio.run()` in the case where it needs to do a
full (re)load; also don't write on exit only on reloads.
- add `.get_symcache()` a simple non-ctx-mngr reader which again can
mostly be called willy-nilly from sync code without the full runtime
being up (but likely will only work if symcache files already exist
for the backend).
New mod is `.data._symcache` and it needs backend clients to declare
`Client.get_assets()` and `.get_mkt_pairs()` to generate the cache files
which now go in the config dir under `_cache/`.
We're probably going to move to implementing all accounting using
`polars.DataFrame` and friends and thus this rejig preps for a much more
"stateless" implementation of our `Position` type and its internal
pos-accounting metrics: `ppu` and `cumsize`.
Summary:
- wrt to `._pos.Position`:
- rename `.size`/`.accum_size` to `.cumsize` to be more in line
with `polars.DataFrame.cumsum()`.
- make `Position.expiry` delegate to the underlying `.mkt: MktPair`
handling (hopefully) all edge cases..
- change over to a new `._events: dict[str, Transaction]` in prep
for #510 (and friends) and enforce a new `Transaction.etype: str`
which is by default `clear`.
- add `.iter_by_type()` which iterates, filters and sorts the
entries in `._events` from above.
- add `Position.clearsdict()` which returns the dict-ified and
datetime-sorted table which can more-or-less be stored in the
toml account file.
- add `.minimized_clears()` a new (and close) version of the old
method which always grabs at least one clear before
a position-side-polarity-change.
- mask-drop `.ensure_state()` since there is no more `.size`/`.price`
state vars (per say) as we always re-calc the ppu and cumsize from
the clears records on every read.
- `.add_clear` no longer does bisec insorting since all sorting is
done on position properties *reads*.
- move the PPU (price per unit) calculator to a new `.accounting.calcs`
as well as add in the `iter_by_dt()` clearing transaction sorted
iterator.
- also make some fixes to this to handle both lists of `Transaction`
as well as `dict`s as before.
- start rename of `PpTable` -> `Account` and make a note about adding
a `.balances` table.
- always `float()` the transaction size/price values since it seems if
they get processed as `tomlkit.Integer` there's some suuper weird
double negative on read-then-write to the clears table?
- something like `cumsize = -1` -> `cumsize = --1` !?!?
- make `load_pps_from_ledger()` work again but now includes some very
very first draft `polars` df processing from a transaction ledger.
- use this from the `accounting.cli.disect` subcmd which is also in
*super early draft* mode ;)
- obviously as mentioned in the `Position` section, add the new `.calcs`
module with a `.ppu()` calculator func B)
Also finally adds full `FeedInit` and `MktPair` support for this backend
by handling:
- all "currency" fields for each `Contract` by constructing
and `Asset` and setting the `MktPair.src` with `.atype='fiat'`.
- always render the `MktPair.src` name in the `.fqme` for fiat pairs
(aka forex) but never for other instruments.
In an effort to properly support fiat pairs (aka forex) as well as more
generally insert a fully-qualified `MktPair` in for the
`Transaction.sys`. Note that there's a bit of special handling for API
`Contract`s-as-dict records vs. flex-report-from-xml equivalents.
No point having duplicate data when we already stash the `expiry` on the
mkt info type and can just read it (and cast to `datetime` obj).
Further this fixes a regression caused by converting `._clears` to
a list by adding a `._events: dict[str, Transaction]` which prevents
double entering transactions based on checking the events table for the
existing id.. Further add a sanity check that all events are popped
(for now) after serializing the clearing table for the toml account
file.
In the longer run, ideally we don't have the separate sequences ._clears
and ._events by choosing a better data structure (sorted unique set of
mkt events) maybe a specially used `polars.DataFrame` (which we kind
need eventually anyway)?
Tyler Goodlet
Ebisu