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 #290Resolves#310, #296
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.
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.
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
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.
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.
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..
Tyler Goodlet
goodboy