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a743fa28b5 |
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@ -1,5 +1,6 @@
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||||||
|
################
|
||||||
# ---- CEXY ----
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# ---- CEXY ----
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||||||
|
################
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||||||
[binance]
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[binance]
|
||||||
accounts.paper = 'paper'
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accounts.paper = 'paper'
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||||||
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||||||
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@ -12,41 +13,28 @@ accounts.spot = 'spot'
|
||||||
spot.use_testnet = false
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spot.use_testnet = false
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||||||
spot.api_key = ''
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spot.api_key = ''
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||||||
spot.api_secret = ''
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spot.api_secret = ''
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||||||
# ------ binance ------
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|
||||||
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|
||||||
|
|
||||||
[deribit]
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[deribit]
|
||||||
# std assets
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|
||||||
key_id = ''
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key_id = ''
|
||||||
key_secret = ''
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key_secret = ''
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||||||
# options
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|
||||||
accounts.option = 'option'
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||||||
option.use_testnet = false
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||||||
option.key_id = ''
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|
||||||
option.key_secret = ''
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||||||
# aux logging from `cryptofeed`
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|
||||||
option.log.filename = 'cryptofeed.log'
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|
||||||
option.log.level = 'DEBUG'
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|
||||||
option.log.disabled = true
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||||||
# ------ deribit ------
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||||||
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||||||
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||||||
[kraken]
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[kraken]
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||||||
key_descr = ''
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key_descr = ''
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||||||
api_key = ''
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api_key = ''
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||||||
secret = ''
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secret = ''
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||||||
# ------ kraken ------
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||||||
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||||||
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||||||
[kucoin]
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[kucoin]
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||||||
key_id = ''
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key_id = ''
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||||||
key_secret = ''
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key_secret = ''
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||||||
key_passphrase = ''
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key_passphrase = ''
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||||||
# ------ kucoin ------
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|
||||||
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|
||||||
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|
||||||
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################
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||||||
# -- BROKERZ ---
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# -- BROKERZ ---
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||||||
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################
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||||||
[questrade]
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[questrade]
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||||||
refresh_token = ''
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refresh_token = ''
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||||||
access_token = ''
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access_token = ''
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||||||
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@ -54,55 +42,44 @@ api_server = 'https://api06.iq.questrade.com/'
|
||||||
expires_in = 1800
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expires_in = 1800
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||||||
token_type = 'Bearer'
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token_type = 'Bearer'
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||||||
expires_at = 1616095326.355846
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expires_at = 1616095326.355846
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||||||
# ------ questrade ------
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|
||||||
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|
||||||
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|
||||||
[ib]
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[ib]
|
||||||
# define the (set of) host-port socketaddrs that
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|
||||||
# brokerd.ib will scan to connect to an API endpoint
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|
||||||
# (ib-gw or ib-tws listening instances)
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|
||||||
hosts = [
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hosts = [
|
||||||
'127.0.0.1',
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'127.0.0.1',
|
||||||
]
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]
|
||||||
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# XXX: the order in which ports will be scanned
|
||||||
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# (by the `brokerd` daemon-actor)
|
||||||
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# is determined # by the line order here.
|
||||||
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# TODO: when we eventually spawn gateways in our
|
||||||
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# container, we can just dynamically allocate these
|
||||||
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# using IBC.
|
||||||
ports = [
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ports = [
|
||||||
4002, # gw
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4002, # gw
|
||||||
7497, # tws
|
7497, # tws
|
||||||
]
|
]
|
||||||
|
|
||||||
# When API endpoints are being scanned durin startup, the order
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# XXX: for a paper account the flex web query service
|
||||||
# of user-defined-account "names" (as defined below) here
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# is not supported so you have to manually download
|
||||||
# determines which py-client connection is given priority to be
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# and XML report and put it in a location that can be
|
||||||
# used for data-feed-requests by according to whichever client
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# accessed by the ``brokerd.ib`` backend code for parsing.
|
||||||
# connected to an API endpoing which reported the equivalent
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flex_token = ''
|
||||||
# account number for that name.
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flex_trades_query_id = '' # live account
|
||||||
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|
||||||
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# when clients are being scanned this determines
|
||||||
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# which clients are preferred to be used for data
|
||||||
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# feeds based on the order of account names, if
|
||||||
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# detected as active on an API client.
|
||||||
prefer_data_account = [
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prefer_data_account = [
|
||||||
'paper',
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'paper',
|
||||||
'margin',
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'margin',
|
||||||
'ira',
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'ira',
|
||||||
]
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]
|
||||||
|
|
||||||
# For long-term trades txn (transaction) history
|
|
||||||
# processing (i.e your txn ledger with IB) you can
|
|
||||||
# (automatically for live accounts) query the FLEX
|
|
||||||
# report system for past history.
|
|
||||||
#
|
|
||||||
# (For paper accounts the web query service
|
|
||||||
# is not supported so you have to manually download
|
|
||||||
# an XML report and put it in a location that can be
|
|
||||||
# accessed by our `brokerd.ib` backend code for parsing).
|
|
||||||
#
|
|
||||||
flex_token = ''
|
|
||||||
flex_trades_query_id = '' # live account
|
|
||||||
|
|
||||||
# define "aliases" (names) for each account number
|
|
||||||
# such that the names can be reffed and logged throughout
|
|
||||||
# `piker.accounting` subsys and more easily
|
|
||||||
# referred to by the user.
|
|
||||||
#
|
|
||||||
# These keys will be the set exposed through the order-mode
|
|
||||||
# account-selection UI so that numbers are never shown.
|
|
||||||
[ib.accounts]
|
[ib.accounts]
|
||||||
paper = 'DU0000000' # <- literal account #
|
# the order in which accounts will be selectable
|
||||||
margin = 'U0000000'
|
# in the order mode UI (if found via clients during
|
||||||
ira = 'U0000000'
|
# API-app scanning)when a new symbol is loaded.
|
||||||
# ------ ib ------
|
paper = 'XX0000000'
|
||||||
|
margin = 'X0000000'
|
||||||
|
ira = 'X0000000'
|
||||||
|
|
|
||||||
|
|
@ -1,9 +1,7 @@
|
||||||
[network]
|
[network]
|
||||||
pikerd = [
|
tsdb.backend = 'marketstore'
|
||||||
'/ipv4/127.0.0.1/tcp/6116', # std localhost daemon-actor tree
|
tsdb.host = 'localhost'
|
||||||
# '/uds/6116', # TODO std uds socket file
|
tsdb.grpc_port = 5995
|
||||||
]
|
|
||||||
|
|
||||||
|
|
||||||
[ui]
|
[ui]
|
||||||
# set custom font + size which will scale entire UI
|
# set custom font + size which will scale entire UI
|
||||||
|
|
|
||||||
|
|
@ -1,138 +1,30 @@
|
||||||
running ``ib`` gateway in ``docker``
|
running ``ib`` gateway in ``docker``
|
||||||
------------------------------------
|
------------------------------------
|
||||||
We have a config based on a well maintained community
|
We have a config based on the (now defunct)
|
||||||
image from `@gnzsnz`:
|
image from "waytrade":
|
||||||
|
|
||||||
https://github.com/gnzsnz/ib-gateway-docker
|
https://github.com/waytrade/ib-gateway-docker
|
||||||
|
|
||||||
|
To startup this image with our custom settings
|
||||||
To startup this image simply run the command::
|
simply run the command::
|
||||||
|
|
||||||
docker compose up
|
docker compose up
|
||||||
|
|
||||||
(For further usage^ see the official `docker-compose`_ docs)
|
And you should have the following socket-available services:
|
||||||
|
|
||||||
|
- ``x11vnc1@127.0.0.1:3003``
|
||||||
|
- ``ib-gw@127.0.0.1:4002``
|
||||||
|
|
||||||
And you should have the following socket-available services by
|
You can attach to the container via a VNC client
|
||||||
default:
|
without password auth.
|
||||||
|
|
||||||
- ``x11vnc1 @ 127.0.0.1:5900``
|
SECURITY STUFF!?!?!
|
||||||
- ``ib-gw @ 127.0.0.1:4002``
|
-------------------
|
||||||
|
Though "``ib``" claims they host filter connections outside
|
||||||
You can now attach to the container via a VNC client with password-auth;
|
localhost (aka ``127.0.0.1``) it's probably better if you filter
|
||||||
here is an example using ``vncclient`` on ``linux``::
|
the socket at the OS level using a stateless firewall rule::
|
||||||
|
|
||||||
vncviewer localhost:5900
|
|
||||||
|
|
||||||
now enter the pw (password) you set via an (see second code blob)
|
|
||||||
`.env file`_ or pw-file according to the `credentials section`_.
|
|
||||||
|
|
||||||
If you want to change away from their default config see the example
|
|
||||||
`docker-compose.yml`-config issue and config-section of the readme,
|
|
||||||
|
|
||||||
- https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#configuration
|
|
||||||
- https://github.com/gnzsnz/ib-gateway-docker/discussions/103
|
|
||||||
|
|
||||||
.. _.env file: https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#how-to-use-it
|
|
||||||
.. _docker-compose: https://docs.docker.com/compose/
|
|
||||||
.. _credentials section: https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#credentials
|
|
||||||
|
|
||||||
|
|
||||||
Connecting to the API from `piker`
|
|
||||||
---------------------------------
|
|
||||||
In order to expose the container's API endpoint to the
|
|
||||||
`brokerd/datad/ib` actor, we need to add a section to the user's
|
|
||||||
`brokers.toml` config (note the below is similar to the repo-shipped
|
|
||||||
template file),
|
|
||||||
|
|
||||||
.. code:: toml
|
|
||||||
|
|
||||||
[ib]
|
|
||||||
# define the (set of) host-port socketaddrs that
|
|
||||||
# brokerd.ib will scan to connect to an API endpoint
|
|
||||||
# (ib-gw or ib-tws listening instances)
|
|
||||||
hosts = [
|
|
||||||
'127.0.0.1',
|
|
||||||
]
|
|
||||||
ports = [
|
|
||||||
4002, # gw
|
|
||||||
7497, # tws
|
|
||||||
]
|
|
||||||
|
|
||||||
# When API endpoints are being scanned durin startup, the order
|
|
||||||
# of user-defined-account "names" (as defined below) here
|
|
||||||
# determines which py-client connection is given priority to be
|
|
||||||
# used for data-feed-requests by according to whichever client
|
|
||||||
# connected to an API endpoing which reported the equivalent
|
|
||||||
# account number for that name.
|
|
||||||
prefer_data_account = [
|
|
||||||
'paper',
|
|
||||||
'margin',
|
|
||||||
'ira',
|
|
||||||
]
|
|
||||||
|
|
||||||
# define "aliases" (names) for each account number
|
|
||||||
# such that the names can be reffed and logged throughout
|
|
||||||
# `piker.accounting` subsys and more easily
|
|
||||||
# referred to by the user.
|
|
||||||
#
|
|
||||||
# These keys will be the set exposed through the order-mode
|
|
||||||
# account-selection UI so that numbers are never shown.
|
|
||||||
[ib.accounts]
|
|
||||||
paper = 'XX0000000'
|
|
||||||
margin = 'X0000000'
|
|
||||||
ira = 'X0000000'
|
|
||||||
|
|
||||||
|
|
||||||
the broker daemon can also connect to the container's VNC server for
|
|
||||||
added functionalies including,
|
|
||||||
|
|
||||||
- viewing the API endpoint program's GUI for manual interventions,
|
|
||||||
- workarounds for historical data throttling using hotkey hacks,
|
|
||||||
|
|
||||||
Add a further section to `brokers.toml` which maps each API-ep's
|
|
||||||
port to a table of VNC server connection info like,
|
|
||||||
|
|
||||||
.. code:: toml
|
|
||||||
|
|
||||||
[ib.vnc_addrs]
|
|
||||||
4002 = {host = 'localhost', port = 5900, pw = 'doggy'}
|
|
||||||
|
|
||||||
The `pw = 'doggy'` here ^ should the same value as the particular
|
|
||||||
container instances `.env` file setting (when it was run),
|
|
||||||
|
|
||||||
.. code:: ini
|
|
||||||
|
|
||||||
VNC_SERVER_PASSWORD='doggy'
|
|
||||||
|
|
||||||
|
|
||||||
IF you also want to run ``TWS``
|
|
||||||
-------------------------------
|
|
||||||
You can also run it containerized,
|
|
||||||
|
|
||||||
https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#using-tws
|
|
||||||
|
|
||||||
|
|
||||||
SECURITY stuff (advanced, only if you're paranoid)
|
|
||||||
--------------------------------------------------
|
|
||||||
First and foremost if doing a "distributed" container setup where you
|
|
||||||
run the ``ib-gw`` docker container and your connecting API client
|
|
||||||
(likely ``ib_async`` from python) on **different hosts** be sure to
|
|
||||||
read the `security considerations`_ section!
|
|
||||||
|
|
||||||
And for a further (somewhat paranoid) perspective from
|
|
||||||
a long-time-ago serious devops eng..
|
|
||||||
|
|
||||||
Though "``ib``" claims they filter remote host connections outside
|
|
||||||
``localhost`` (aka ``127.0.0.1`` on ipv4) it's prolly justified if
|
|
||||||
you'd like to filter the socket at the *OS level* using a stateless
|
|
||||||
firewall rule::
|
|
||||||
|
|
||||||
ip rule add not unicast iif lo to 0.0.0.0/0 dport 4002
|
ip rule add not unicast iif lo to 0.0.0.0/0 dport 4002
|
||||||
|
|
||||||
|
We will soon have this baked into our own custom image but for
|
||||||
We will soon have this either baked into our own custom derivative
|
now you'll have to do it urself dawgy.
|
||||||
image (or patched into the current upstream one after further testin)
|
|
||||||
but for now you'll have to do it urself, diggity dawg.
|
|
||||||
|
|
||||||
.. _security considerations: https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#security-considerations
|
|
||||||
|
|
|
||||||
|
|
@ -1,15 +1,10 @@
|
||||||
# a community maintained IB API container!
|
# rework from the original @
|
||||||
#
|
# https://github.com/waytrade/ib-gateway-docker/blob/master/docker-compose.yml
|
||||||
# https://github.com/gnzsnz/ib-gateway-docker
|
version: "3.5"
|
||||||
#
|
|
||||||
# For piker we (currently) include some minor deviations
|
|
||||||
# for some config files in the `volumes` section.
|
|
||||||
#
|
|
||||||
# See full configuration settings @
|
|
||||||
# - https://github.com/gnzsnz/ib-gateway-docker?tab=readme-ov-file#configuration
|
|
||||||
# - https://github.com/gnzsnz/ib-gateway-docker/discussions/103
|
|
||||||
|
|
||||||
services:
|
services:
|
||||||
|
|
||||||
ib_gw_paper:
|
ib_gw_paper:
|
||||||
|
|
||||||
# apparently java is a mega cukc:
|
# apparently java is a mega cukc:
|
||||||
|
|
@ -55,22 +50,16 @@ services:
|
||||||
target: /root/scripts/run_x11_vnc.sh
|
target: /root/scripts/run_x11_vnc.sh
|
||||||
read_only: true
|
read_only: true
|
||||||
|
|
||||||
# NOTE: an alt method to fill these out is to
|
# NOTE:to fill these out, define an `.env` file in the same dir as
|
||||||
# define an `.env` file in the same dir as
|
# this compose file which looks something like:
|
||||||
# this compose file.
|
# TWS_USERID='myuser'
|
||||||
|
# TWS_PASSWORD='guest'
|
||||||
environment:
|
environment:
|
||||||
TWS_USERID: ${TWS_USERID}
|
TWS_USERID: ${TWS_USERID}
|
||||||
# TWS_USERID: 'myuser'
|
|
||||||
TWS_PASSWORD: ${TWS_PASSWORD}
|
TWS_PASSWORD: ${TWS_PASSWORD}
|
||||||
# TWS_PASSWORD: 'guest'
|
TRADING_MODE: 'paper'
|
||||||
TRADING_MODE: ${TRADING_MODE}
|
VNC_SERVER_PASSWORD: 'doggy'
|
||||||
# TRADING_MODE: 'paper'
|
VNC_SERVER_PORT: '3003'
|
||||||
VNC_SERVER_PASSWORD: ${VNC_SERVER_PASSWORD}
|
|
||||||
# VNC_SERVER_PASSWORD: 'doggy'
|
|
||||||
|
|
||||||
# TODO, see if we can get this supported like it
|
|
||||||
# was on the old `waytrade` image?
|
|
||||||
# VNC_SERVER_PORT: '3003'
|
|
||||||
|
|
||||||
# ports:
|
# ports:
|
||||||
# - target: 4002
|
# - target: 4002
|
||||||
|
|
@ -87,9 +76,6 @@ services:
|
||||||
# - "127.0.0.1:4002:4002"
|
# - "127.0.0.1:4002:4002"
|
||||||
# - "127.0.0.1:5900:5900"
|
# - "127.0.0.1:5900:5900"
|
||||||
|
|
||||||
# TODO, a masked but working example of dual paper + live
|
|
||||||
# ib-gw instances running in a single app run!
|
|
||||||
#
|
|
||||||
# ib_gw_live:
|
# ib_gw_live:
|
||||||
# image: waytrade/ib-gateway:1012.2i
|
# image: waytrade/ib-gateway:1012.2i
|
||||||
# restart: no
|
# restart: no
|
||||||
|
|
|
||||||
|
|
@ -22,7 +22,9 @@ you know when you're losing money (if possible) XD
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from collections.abc import ValuesView
|
from collections.abc import ValuesView
|
||||||
from contextlib import contextmanager as cm
|
from contextlib import contextmanager as cm
|
||||||
|
from functools import partial
|
||||||
from math import copysign
|
from math import copysign
|
||||||
|
from pprint import pformat
|
||||||
from typing import (
|
from typing import (
|
||||||
Any,
|
Any,
|
||||||
Callable,
|
Callable,
|
||||||
|
|
@ -37,12 +39,16 @@ from pendulum import (
|
||||||
parse,
|
parse,
|
||||||
)
|
)
|
||||||
|
|
||||||
|
from ..log import get_logger
|
||||||
|
|
||||||
if TYPE_CHECKING:
|
if TYPE_CHECKING:
|
||||||
from ._ledger import (
|
from ._ledger import (
|
||||||
Transaction,
|
Transaction,
|
||||||
TransactionLedger,
|
TransactionLedger,
|
||||||
)
|
)
|
||||||
|
|
||||||
|
log = get_logger(__name__)
|
||||||
|
|
||||||
|
|
||||||
def ppu(
|
def ppu(
|
||||||
clears: Iterator[Transaction],
|
clears: Iterator[Transaction],
|
||||||
|
|
@ -238,6 +244,9 @@ def iter_by_dt(
|
||||||
|
|
||||||
def dyn_parse_to_dt(
|
def dyn_parse_to_dt(
|
||||||
tx: tuple[str, dict[str, Any]] | Transaction,
|
tx: tuple[str, dict[str, Any]] | Transaction,
|
||||||
|
|
||||||
|
debug: bool = False,
|
||||||
|
_invalid: list|None = None,
|
||||||
) -> DateTime:
|
) -> DateTime:
|
||||||
|
|
||||||
# handle `.items()` inputs
|
# handle `.items()` inputs
|
||||||
|
|
@ -250,52 +259,81 @@ def iter_by_dt(
|
||||||
# get best parser for this record..
|
# get best parser for this record..
|
||||||
for k in parsers:
|
for k in parsers:
|
||||||
if (
|
if (
|
||||||
isdict and k in tx
|
(v := getattr(tx, k, None))
|
||||||
or
|
or
|
||||||
getattr(tx, k, None)
|
(
|
||||||
|
isdict
|
||||||
|
and
|
||||||
|
(v := tx.get(k))
|
||||||
|
)
|
||||||
):
|
):
|
||||||
v = (
|
|
||||||
tx[k] if isdict
|
|
||||||
else tx.dt
|
|
||||||
)
|
|
||||||
assert v is not None, (
|
|
||||||
f'No valid value for `{k}`!?'
|
|
||||||
)
|
|
||||||
|
|
||||||
# only call parser on the value if not None from
|
# only call parser on the value if not None from
|
||||||
# the `parsers` table above (when NOT using
|
# the `parsers` table above (when NOT using
|
||||||
# `.get()`), otherwise pass through the value and
|
# `.get()`), otherwise pass through the value and
|
||||||
# sort on it directly
|
# sort on it directly
|
||||||
if (
|
if (
|
||||||
not isinstance(v, DateTime)
|
not isinstance(v, DateTime)
|
||||||
and (parser := parsers.get(k))
|
and
|
||||||
|
(parser := parsers.get(k))
|
||||||
):
|
):
|
||||||
return parser(v)
|
ret = parser(v)
|
||||||
else:
|
else:
|
||||||
return v
|
ret = v
|
||||||
|
|
||||||
|
return ret
|
||||||
|
|
||||||
else:
|
else:
|
||||||
# TODO: move to top?
|
log.debug(
|
||||||
from piker.log import get_logger
|
f'Parser-field not found in txn\n'
|
||||||
log = get_logger(__name__)
|
f'\n'
|
||||||
|
f'parser-field: {k!r}\n'
|
||||||
|
f'txn: {tx!r}\n'
|
||||||
|
f'\n'
|
||||||
|
f'Trying next..\n'
|
||||||
|
)
|
||||||
|
continue
|
||||||
|
|
||||||
|
# XXX: should never get here..
|
||||||
|
else:
|
||||||
# XXX: we should really never get here..
|
# XXX: we should really never get here..
|
||||||
# only if a ledger record has no expected sort(able)
|
# only if a ledger record has no expected sort(able)
|
||||||
# field will we likely hit this.. like with ze IB.
|
# field will we likely hit this.. like with ze IB.
|
||||||
# if no sortable field just deliver epoch?
|
# if no sortable field just deliver epoch?
|
||||||
log.warning(
|
log.warning(
|
||||||
'No (time) sortable field for TXN:\n'
|
'No (time) sortable field for TXN:\n'
|
||||||
f'{tx}\n'
|
f'{tx!r}\n'
|
||||||
|
)
|
||||||
|
if debug:
|
||||||
|
import tractor
|
||||||
|
with tractor.devx.maybe_open_crash_handler():
|
||||||
|
raise ValueError(
|
||||||
|
f'No supported time-field found in txn !?\n'
|
||||||
|
f'\n'
|
||||||
|
f'supported-time-fields: {parsers!r}\n'
|
||||||
|
f'\n'
|
||||||
|
f'txn: {tx!r}\n'
|
||||||
)
|
)
|
||||||
return from_timestamp(0)
|
|
||||||
# breakpoint()
|
|
||||||
|
|
||||||
|
if _invalid is not None:
|
||||||
|
_invalid.append(tx)
|
||||||
|
return from_timestamp(0.)
|
||||||
|
|
||||||
entry: tuple[str, dict] | Transaction
|
entry: tuple[str, dict]|Transaction
|
||||||
|
invalid: list = []
|
||||||
for entry in sorted(
|
for entry in sorted(
|
||||||
records,
|
records,
|
||||||
key=key or dyn_parse_to_dt,
|
key=key or partial(
|
||||||
|
dyn_parse_to_dt,
|
||||||
|
_invalid=invalid,
|
||||||
|
),
|
||||||
):
|
):
|
||||||
|
if entry in invalid:
|
||||||
|
log.warning(
|
||||||
|
f'Ignoring txn w invalid timestamp ??\n'
|
||||||
|
f'{pformat(entry)}\n'
|
||||||
|
)
|
||||||
|
continue
|
||||||
|
|
||||||
# NOTE the type sig above; either pairs or txns B)
|
# NOTE the type sig above; either pairs or txns B)
|
||||||
yield entry
|
yield entry
|
||||||
|
|
||||||
|
|
@ -465,7 +503,7 @@ def ledger_to_dfs(
|
||||||
|
|
||||||
df = dfs[key] = ldf.with_columns([
|
df = dfs[key] = ldf.with_columns([
|
||||||
|
|
||||||
pl.cum_sum('size').alias('cumsize'),
|
pl.cumsum('size').alias('cumsize'),
|
||||||
|
|
||||||
# amount of source asset "sent" (via buy txns in
|
# amount of source asset "sent" (via buy txns in
|
||||||
# the market) to acquire the dst asset, PER txn.
|
# the market) to acquire the dst asset, PER txn.
|
||||||
|
|
@ -480,7 +518,7 @@ def ledger_to_dfs(
|
||||||
]).with_columns([
|
]).with_columns([
|
||||||
|
|
||||||
# rolling balance in src asset units
|
# rolling balance in src asset units
|
||||||
(pl.col('dst_bot').cum_sum() * -1).alias('src_balance'),
|
(pl.col('dst_bot').cumsum() * -1).alias('src_balance'),
|
||||||
|
|
||||||
# "position operation type" in terms of increasing the
|
# "position operation type" in terms of increasing the
|
||||||
# amount in the dst asset (entering) or decreasing the
|
# amount in the dst asset (entering) or decreasing the
|
||||||
|
|
@ -622,7 +660,7 @@ def ledger_to_dfs(
|
||||||
# cost that was included in the least-recently
|
# cost that was included in the least-recently
|
||||||
# entered txn that is still part of the current CSi
|
# entered txn that is still part of the current CSi
|
||||||
# set.
|
# set.
|
||||||
# => we look up the cost-per-unit cum_sum and apply
|
# => we look up the cost-per-unit cumsum and apply
|
||||||
# if over the current txn size (by multiplication)
|
# if over the current txn size (by multiplication)
|
||||||
# and then reverse that previusly applied cost on
|
# and then reverse that previusly applied cost on
|
||||||
# the txn_cost for this record.
|
# the txn_cost for this record.
|
||||||
|
|
|
||||||
|
|
@ -94,15 +94,13 @@ class L1(Struct):
|
||||||
|
|
||||||
|
|
||||||
# validation type
|
# validation type
|
||||||
# https://developers.binance.com/docs/derivatives/usds-margined-futures/websocket-market-streams/Aggregate-Trade-Streams#response-example
|
|
||||||
class AggTrade(Struct, frozen=True):
|
class AggTrade(Struct, frozen=True):
|
||||||
e: str # Event type
|
e: str # Event type
|
||||||
E: int # Event time
|
E: int # Event time
|
||||||
s: str # Symbol
|
s: str # Symbol
|
||||||
a: int # Aggregate trade ID
|
a: int # Aggregate trade ID
|
||||||
p: float # Price
|
p: float # Price
|
||||||
q: float # Quantity with all the market trades
|
q: float # Quantity
|
||||||
nq: float # Normal quantity without the trades involving RPI orders
|
|
||||||
f: int # First trade ID
|
f: int # First trade ID
|
||||||
l: int # noqa Last trade ID
|
l: int # noqa Last trade ID
|
||||||
T: int # Trade time
|
T: int # Trade time
|
||||||
|
|
|
||||||
|
|
@ -102,10 +102,7 @@ class Pair(Struct, frozen=True, kw_only=True):
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs#2025-08-26
|
# https://developers.binance.com/docs/binance-spot-api-docs#2025-08-26
|
||||||
# will become non-optional 2025-08-28?
|
# will become non-optional 2025-08-28?
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs#future-changes
|
# https://developers.binance.com/docs/binance-spot-api-docs#future-changes
|
||||||
pegInstructionsAllowed: bool = False
|
pegInstructionsAllowed: bool|None = None
|
||||||
|
|
||||||
# https://developers.binance.com/docs/binance-spot-api-docs#2025-12-02
|
|
||||||
opoAllowed: bool = False
|
|
||||||
|
|
||||||
filters: dict[
|
filters: dict[
|
||||||
str,
|
str,
|
||||||
|
|
@ -223,10 +220,7 @@ class FutesPair(Pair):
|
||||||
assert pair == self.pair # sanity
|
assert pair == self.pair # sanity
|
||||||
return f'{expiry}'
|
return f'{expiry}'
|
||||||
|
|
||||||
case (
|
case 'PERPETUAL':
|
||||||
'PERPETUAL'
|
|
||||||
| 'TRADIFI_PERPETUAL'
|
|
||||||
):
|
|
||||||
return 'PERP'
|
return 'PERP'
|
||||||
|
|
||||||
case '':
|
case '':
|
||||||
|
|
@ -255,10 +249,7 @@ class FutesPair(Pair):
|
||||||
margin: str = self.marginAsset
|
margin: str = self.marginAsset
|
||||||
|
|
||||||
match ctype:
|
match ctype:
|
||||||
case (
|
case 'PERPETUAL':
|
||||||
'PERPETUAL'
|
|
||||||
| 'TRADIFI_PERPETUAL'
|
|
||||||
):
|
|
||||||
return f'{margin}M'
|
return f'{margin}M'
|
||||||
|
|
||||||
case (
|
case (
|
||||||
|
|
|
||||||
|
|
@ -38,6 +38,7 @@ from piker.brokers._util import get_logger
|
||||||
|
|
||||||
if TYPE_CHECKING:
|
if TYPE_CHECKING:
|
||||||
from .api import Client
|
from .api import Client
|
||||||
|
from ib_insync import IB
|
||||||
import i3ipc
|
import i3ipc
|
||||||
|
|
||||||
log = get_logger('piker.brokers.ib')
|
log = get_logger('piker.brokers.ib')
|
||||||
|
|
@ -61,7 +62,7 @@ no_setup_msg:str = (
|
||||||
|
|
||||||
|
|
||||||
def try_xdo_manual(
|
def try_xdo_manual(
|
||||||
client: Client,
|
vnc_sockaddr: str,
|
||||||
):
|
):
|
||||||
'''
|
'''
|
||||||
Do the "manual" `xdo`-based screen switch + click
|
Do the "manual" `xdo`-based screen switch + click
|
||||||
|
|
@ -78,7 +79,6 @@ def try_xdo_manual(
|
||||||
_reset_tech = 'i3ipc_xdotool'
|
_reset_tech = 'i3ipc_xdotool'
|
||||||
return True
|
return True
|
||||||
except OSError:
|
except OSError:
|
||||||
vnc_sockaddr: str = client.conf.vnc_addrs
|
|
||||||
log.exception(
|
log.exception(
|
||||||
no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
||||||
)
|
)
|
||||||
|
|
@ -86,6 +86,7 @@ def try_xdo_manual(
|
||||||
|
|
||||||
|
|
||||||
async def data_reset_hack(
|
async def data_reset_hack(
|
||||||
|
# vnc_host: str,
|
||||||
client: Client,
|
client: Client,
|
||||||
reset_type: Literal['data', 'connection'],
|
reset_type: Literal['data', 'connection'],
|
||||||
|
|
||||||
|
|
@ -117,24 +118,36 @@ async def data_reset_hack(
|
||||||
that need to be wrangle.
|
that need to be wrangle.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
|
ib_client: IB = client.ib
|
||||||
|
|
||||||
# look up any user defined vnc socket address mapped from
|
# look up any user defined vnc socket address mapped from
|
||||||
# a particular API socket port.
|
# a particular API socket port.
|
||||||
vnc_addrs: tuple[str]|None = client.conf.get('vnc_addrs')
|
api_port: str = str(ib_client.client.port)
|
||||||
if not vnc_addrs:
|
vnc_host: str
|
||||||
|
vnc_port: int
|
||||||
|
vnc_sockaddr: tuple[str] | None = client.conf.get('vnc_addrs')
|
||||||
|
|
||||||
|
if not vnc_sockaddr:
|
||||||
log.warning(
|
log.warning(
|
||||||
no_setup_msg.format(vnc_sockaddr=client.conf)
|
no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
||||||
+
|
+
|
||||||
'REQUIRES A `vnc_addrs: array` ENTRY'
|
'REQUIRES A `vnc_addrs: array` ENTRY'
|
||||||
)
|
)
|
||||||
|
|
||||||
|
vnc_host, vnc_port = vnc_sockaddr.get(
|
||||||
|
api_port,
|
||||||
|
('localhost', 3003)
|
||||||
|
)
|
||||||
global _reset_tech
|
global _reset_tech
|
||||||
|
|
||||||
match _reset_tech:
|
match _reset_tech:
|
||||||
case 'vnc':
|
case 'vnc':
|
||||||
try:
|
try:
|
||||||
await tractor.to_asyncio.run_task(
|
await tractor.to_asyncio.run_task(
|
||||||
partial(
|
partial(
|
||||||
vnc_click_hack,
|
vnc_click_hack,
|
||||||
client=client,
|
host=vnc_host,
|
||||||
|
port=vnc_port,
|
||||||
)
|
)
|
||||||
)
|
)
|
||||||
except (
|
except (
|
||||||
|
|
@ -145,31 +158,29 @@ async def data_reset_hack(
|
||||||
import i3ipc # noqa (since a deps dynamic check)
|
import i3ipc # noqa (since a deps dynamic check)
|
||||||
except ModuleNotFoundError:
|
except ModuleNotFoundError:
|
||||||
log.warning(
|
log.warning(
|
||||||
no_setup_msg.format(vnc_sockaddr=client.conf)
|
no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
||||||
)
|
)
|
||||||
return False
|
return False
|
||||||
|
|
||||||
# XXX, Xorg only workaround..
|
if vnc_host not in {
|
||||||
# TODO? remove now that we have `pyvnc`?
|
'localhost',
|
||||||
# if vnc_host not in {
|
'127.0.0.1',
|
||||||
# 'localhost',
|
}:
|
||||||
# '127.0.0.1',
|
focussed, matches = i3ipc_fin_wins_titled()
|
||||||
# }:
|
if not matches:
|
||||||
# focussed, matches = i3ipc_fin_wins_titled()
|
log.warning(
|
||||||
# if not matches:
|
no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
||||||
# log.warning(
|
)
|
||||||
# no_setup_msg.format(vnc_sockaddr=vnc_sockaddr)
|
return False
|
||||||
# )
|
else:
|
||||||
# return False
|
try_xdo_manual(vnc_sockaddr)
|
||||||
# else:
|
|
||||||
# try_xdo_manual(vnc_sockaddr)
|
|
||||||
|
|
||||||
# localhost but no vnc-client or it borked..
|
# localhost but no vnc-client or it borked..
|
||||||
else:
|
else:
|
||||||
try_xdo_manual(client)
|
try_xdo_manual(vnc_sockaddr)
|
||||||
|
|
||||||
case 'i3ipc_xdotool':
|
case 'i3ipc_xdotool':
|
||||||
try_xdo_manual(client)
|
try_xdo_manual(vnc_sockaddr)
|
||||||
# i3ipc_xdotool_manual_click_hack()
|
# i3ipc_xdotool_manual_click_hack()
|
||||||
|
|
||||||
case _ as tech:
|
case _ as tech:
|
||||||
|
|
@ -180,55 +191,15 @@ async def data_reset_hack(
|
||||||
|
|
||||||
|
|
||||||
async def vnc_click_hack(
|
async def vnc_click_hack(
|
||||||
client: Client,
|
host: str,
|
||||||
reset_type: str = 'data',
|
port: int,
|
||||||
pw: str|None = None,
|
reset_type: str = 'data'
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
'''
|
'''
|
||||||
Reset the data or network connection for the VNC attached
|
Reset the data or network connection for the VNC attached
|
||||||
ib-gateway using a (magic) keybinding combo.
|
ib-gateway using a (magic) keybinding combo.
|
||||||
|
|
||||||
A vnc-server password can be set either by an input `pw` param or
|
|
||||||
set in the client's config with the latter loaded from the user's
|
|
||||||
`brokers.toml` in a vnc-addrs-port-mapping section,
|
|
||||||
|
|
||||||
.. code:: toml
|
|
||||||
|
|
||||||
[ib.vnc_addrs]
|
|
||||||
4002 = {host = 'localhost', port = 5900, pw = 'doggy'}
|
|
||||||
|
|
||||||
'''
|
'''
|
||||||
api_port: str = str(client.ib.client.port)
|
|
||||||
conf: dict = client.conf
|
|
||||||
vnc_addrs: dict[int, tuple] = conf.get('vnc_addrs')
|
|
||||||
if not vnc_addrs:
|
|
||||||
return None
|
|
||||||
|
|
||||||
addr_entry: dict|tuple = vnc_addrs.get(
|
|
||||||
api_port,
|
|
||||||
('localhost', 5900) # a typical default
|
|
||||||
)
|
|
||||||
if pw is None:
|
|
||||||
match addr_entry:
|
|
||||||
case (
|
|
||||||
host,
|
|
||||||
port,
|
|
||||||
):
|
|
||||||
pass
|
|
||||||
|
|
||||||
case {
|
|
||||||
'host': host,
|
|
||||||
'port': port,
|
|
||||||
'pw': pw
|
|
||||||
}:
|
|
||||||
pass
|
|
||||||
|
|
||||||
case _:
|
|
||||||
raise ValueError(
|
|
||||||
f'Invalid `ib.vnc_addrs` entry ?\n'
|
|
||||||
f'{addr_entry!r}\n'
|
|
||||||
)
|
|
||||||
try:
|
try:
|
||||||
from pyvnc import (
|
from pyvnc import (
|
||||||
AsyncVNCClient,
|
AsyncVNCClient,
|
||||||
|
|
@ -255,7 +226,7 @@ async def vnc_click_hack(
|
||||||
VNCConfig(
|
VNCConfig(
|
||||||
host=host,
|
host=host,
|
||||||
port=port,
|
port=port,
|
||||||
password=pw,
|
password='doggy',
|
||||||
)
|
)
|
||||||
)
|
)
|
||||||
async with client:
|
async with client:
|
||||||
|
|
|
||||||
|
|
@ -944,7 +944,6 @@ class Client:
|
||||||
)
|
)
|
||||||
if tkr:
|
if tkr:
|
||||||
break
|
break
|
||||||
|
|
||||||
except TimeoutError as err:
|
except TimeoutError as err:
|
||||||
timeouterr = err
|
timeouterr = err
|
||||||
await asyncio.sleep(0.01)
|
await asyncio.sleep(0.01)
|
||||||
|
|
@ -953,9 +952,7 @@ class Client:
|
||||||
else:
|
else:
|
||||||
if not warnset:
|
if not warnset:
|
||||||
log.warning(
|
log.warning(
|
||||||
f'Quote req timed out..\n'
|
f'Quote req timed out..maybe venue is closed?\n'
|
||||||
f'Maybe the venue is closed?\n'
|
|
||||||
f'\n'
|
|
||||||
f'{asdict(contract)}'
|
f'{asdict(contract)}'
|
||||||
)
|
)
|
||||||
warnset = True
|
warnset = True
|
||||||
|
|
@ -967,11 +964,9 @@ class Client:
|
||||||
)
|
)
|
||||||
break
|
break
|
||||||
else:
|
else:
|
||||||
if (
|
if timeouterr and raise_on_timeout:
|
||||||
timeouterr
|
import pdbp
|
||||||
and
|
pdbp.set_trace()
|
||||||
raise_on_timeout
|
|
||||||
):
|
|
||||||
raise timeouterr
|
raise timeouterr
|
||||||
|
|
||||||
if not warnset:
|
if not warnset:
|
||||||
|
|
|
||||||
|
|
@ -117,11 +117,7 @@ def pack_position(
|
||||||
symbol=fqme,
|
symbol=fqme,
|
||||||
currency=con.currency,
|
currency=con.currency,
|
||||||
size=float(pos.position),
|
size=float(pos.position),
|
||||||
avg_price=(
|
avg_price=float(pos.avgCost) / float(con.multiplier or 1.0),
|
||||||
float(pos.avgCost)
|
|
||||||
/
|
|
||||||
float(con.multiplier or 1.0)
|
|
||||||
),
|
|
||||||
),
|
),
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
@ -362,10 +358,6 @@ async def update_and_audit_pos_msg(
|
||||||
size=ibpos.position,
|
size=ibpos.position,
|
||||||
|
|
||||||
avg_price=pikerpos.ppu,
|
avg_price=pikerpos.ppu,
|
||||||
|
|
||||||
# XXX ensures matching even if multiple venue-names
|
|
||||||
# in `.bs_fqme`, likely from txn records..
|
|
||||||
bs_mktid=mkt.bs_mktid,
|
|
||||||
)
|
)
|
||||||
|
|
||||||
ibfmtmsg: str = pformat(ibpos._asdict())
|
ibfmtmsg: str = pformat(ibpos._asdict())
|
||||||
|
|
@ -434,8 +426,7 @@ async def aggr_open_orders(
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
'''
|
'''
|
||||||
Collect all open orders from client and fill in `order_msgs:
|
Collect all open orders from client and fill in `order_msgs: list`.
|
||||||
list`.
|
|
||||||
|
|
||||||
'''
|
'''
|
||||||
trades: list[Trade] = client.ib.openTrades()
|
trades: list[Trade] = client.ib.openTrades()
|
||||||
|
|
@ -567,7 +558,7 @@ async def open_trade_dialog(
|
||||||
ledgers: dict[str, TransactionLedger] = {}
|
ledgers: dict[str, TransactionLedger] = {}
|
||||||
tables: dict[str, Account] = {}
|
tables: dict[str, Account] = {}
|
||||||
order_msgs: list[Status] = []
|
order_msgs: list[Status] = []
|
||||||
conf: dict = get_config()
|
conf = get_config()
|
||||||
accounts_def_inv: bidict[str, str] = bidict(
|
accounts_def_inv: bidict[str, str] = bidict(
|
||||||
conf['accounts']
|
conf['accounts']
|
||||||
).inverse
|
).inverse
|
||||||
|
|
|
||||||
|
|
@ -214,9 +214,7 @@ async def open_history_client(
|
||||||
|
|
||||||
# could be trying to retreive bars over weekend
|
# could be trying to retreive bars over weekend
|
||||||
if out is None:
|
if out is None:
|
||||||
log.error(
|
log.error(f"Can't grab bars starting at {end_dt}!?!?")
|
||||||
f"No bars starting at {end_dt!r} !?!?"
|
|
||||||
)
|
|
||||||
if (
|
if (
|
||||||
end_dt
|
end_dt
|
||||||
and head_dt
|
and head_dt
|
||||||
|
|
@ -1083,8 +1081,7 @@ async def stream_quotes(
|
||||||
con: Contract = details.contract
|
con: Contract = details.contract
|
||||||
first_ticker: Ticker|None = None
|
first_ticker: Ticker|None = None
|
||||||
|
|
||||||
timeout: float = 1.6
|
with trio.move_on_after(1.6) as quote_cs:
|
||||||
with trio.move_on_after(timeout) as quote_cs:
|
|
||||||
first_ticker: Ticker = await proxy.get_quote(
|
first_ticker: Ticker = await proxy.get_quote(
|
||||||
contract=con,
|
contract=con,
|
||||||
raise_on_timeout=False,
|
raise_on_timeout=False,
|
||||||
|
|
@ -1093,9 +1090,7 @@ async def stream_quotes(
|
||||||
# XXX should never happen with this ep right?
|
# XXX should never happen with this ep right?
|
||||||
# but if so then, more then likely mkt is closed?
|
# but if so then, more then likely mkt is closed?
|
||||||
if quote_cs.cancelled_caught:
|
if quote_cs.cancelled_caught:
|
||||||
log.warning(
|
await tractor.pause()
|
||||||
f'First quote req timed out after {timeout!r}s'
|
|
||||||
)
|
|
||||||
|
|
||||||
if first_ticker:
|
if first_ticker:
|
||||||
first_quote: dict = normalize(first_ticker)
|
first_quote: dict = normalize(first_ticker)
|
||||||
|
|
|
||||||
|
|
@ -41,13 +41,10 @@ from .log import get_logger
|
||||||
log = get_logger('broker-config')
|
log = get_logger('broker-config')
|
||||||
|
|
||||||
|
|
||||||
# XXX NOTE: taken from `click`
|
# XXX NOTE: taken from ``click`` since apparently they have some
|
||||||
# |_https://github.com/pallets/click/blob/main/src/click/utils.py#L449
|
# super weirdness with sigint and sudo..no clue
|
||||||
#
|
# we're probably going to slowly just modify it to our own version over
|
||||||
# (since apparently they have some super weirdness with SIGINT and
|
# time..
|
||||||
# sudo.. no clue we're probably going to slowly just modify it to our
|
|
||||||
# own version over time..)
|
|
||||||
#
|
|
||||||
def get_app_dir(
|
def get_app_dir(
|
||||||
app_name: str,
|
app_name: str,
|
||||||
roaming: bool = True,
|
roaming: bool = True,
|
||||||
|
|
@ -264,7 +261,7 @@ def load(
|
||||||
MutableMapping,
|
MutableMapping,
|
||||||
] = tomllib.loads,
|
] = tomllib.loads,
|
||||||
|
|
||||||
touch_if_dne: bool = True,
|
touch_if_dne: bool = False,
|
||||||
|
|
||||||
**tomlkws,
|
**tomlkws,
|
||||||
|
|
||||||
|
|
@ -273,7 +270,7 @@ def load(
|
||||||
Load config file by name.
|
Load config file by name.
|
||||||
|
|
||||||
If desired config is not in the top level piker-user config path then
|
If desired config is not in the top level piker-user config path then
|
||||||
pass the `path: Path` explicitly.
|
pass the ``path: Path`` explicitly.
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# create the $HOME/.config/piker dir if dne
|
# create the $HOME/.config/piker dir if dne
|
||||||
|
|
@ -288,8 +285,7 @@ def load(
|
||||||
|
|
||||||
if (
|
if (
|
||||||
not path.is_file()
|
not path.is_file()
|
||||||
and
|
and touch_if_dne
|
||||||
touch_if_dne
|
|
||||||
):
|
):
|
||||||
# only do a template if no path provided,
|
# only do a template if no path provided,
|
||||||
# just touch an empty file with same name.
|
# just touch an empty file with same name.
|
||||||
|
|
|
||||||
|
|
@ -91,18 +91,6 @@ class SymbologyCache(Struct):
|
||||||
# provided by the backend pkg.
|
# provided by the backend pkg.
|
||||||
mktmaps: dict[str, MktPair] = field(default_factory=dict)
|
mktmaps: dict[str, MktPair] = field(default_factory=dict)
|
||||||
|
|
||||||
def pformat(self) -> str:
|
|
||||||
return (
|
|
||||||
f'<{type(self).__name__}(\n'
|
|
||||||
f' .mod: {self.mod!r}\n'
|
|
||||||
f' .assets: {len(self.assets)!r}\n'
|
|
||||||
f' .pairs: {len(self.pairs)!r}\n'
|
|
||||||
f' .mktmaps: {len(self.mktmaps)!r}\n'
|
|
||||||
f')>'
|
|
||||||
)
|
|
||||||
|
|
||||||
__repr__ = pformat
|
|
||||||
|
|
||||||
def write_config(self) -> None:
|
def write_config(self) -> None:
|
||||||
|
|
||||||
# put the backend's pair-struct type ref at the top
|
# put the backend's pair-struct type ref at the top
|
||||||
|
|
|
||||||
|
|
@ -357,9 +357,7 @@ async def allocate_persistent_feed(
|
||||||
|
|
||||||
# yield back control to starting nursery once we receive either
|
# yield back control to starting nursery once we receive either
|
||||||
# some history or a real-time quote.
|
# some history or a real-time quote.
|
||||||
log.info(
|
log.info(f'loading OHLCV history: {fqme}')
|
||||||
f'loading OHLCV history: {fqme!r}\n'
|
|
||||||
)
|
|
||||||
await some_data_ready.wait()
|
await some_data_ready.wait()
|
||||||
|
|
||||||
flume = Flume(
|
flume = Flume(
|
||||||
|
|
|
||||||
|
|
@ -15,12 +15,6 @@ from piker.service import (
|
||||||
from piker.log import get_console_log
|
from piker.log import get_console_log
|
||||||
|
|
||||||
|
|
||||||
# include `tractor`'s built-in fixtures!
|
|
||||||
pytest_plugins: tuple[str] = (
|
|
||||||
"tractor._testing.pytest",
|
|
||||||
)
|
|
||||||
|
|
||||||
|
|
||||||
def pytest_addoption(parser):
|
def pytest_addoption(parser):
|
||||||
parser.addoption("--ll", action="store", dest='loglevel',
|
parser.addoption("--ll", action="store", dest='loglevel',
|
||||||
default=None, help="logging level to set when testing")
|
default=None, help="logging level to set when testing")
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue