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Author SHA1 Message Date
Tyler Goodlet 2a24d1d50c `.kraken`: add masked pauses for order req debug
Such that the next time i inevitably must debug the some order-request
error status or precision discrepancy, i have the mkt-symbol branch
ready to go. Also, switch to `'action': 'buy'|'sell' as action,` style
`case` matching instead of the post-`if` predicate style.
2025-04-21 21:21:03 -04:00
Tyler Goodlet 84ad34f51e Cast to `float` as needed from order-mode and ems
Since we're not quite yet using automatic typed msging from
`tractor`/`msgspec` (i.e. still manually decoding order ctl msgs from
built-in types..`dict`s still not `msgspec.Struct`) this adds the
appropriate typecasting ops to ensure the required precision is attained
prior to processing and/or submission to a brokerd backend service.

For the `.clearing._ems`,
- flip all `trigger_price` previously presumed to be `float` to just
  the field-identical `price: Decimal` and ensure we cast to `float`
  for any `trigger_price` usage, like before passing to `mk_check()`.

For `.ui.order_mode.OrderMode`,
- add a new `.curr_mkt: MktPair` convenience property to get the
  chart-active value.
- ensure we always use the `.curr_mkt.quantize() -> Decimal` before
  setting any IPC-msg's `.price` field!
- always cast `float(Order.price)` before use in setting line-levels.
- don't bother setting `Order.symbol` to a (now fully removed) `Symbol`
  instance since it's not really required-for-use anywhere; leaving it
  a `str` (per the type-annot) is fine for now?
2025-04-21 20:36:28 -04:00
Tyler Goodlet cbbf674737 Finally drop `Symbol`
It was replaced by `MktPair` long ago in,
https://github.com/pikers/piker/pull/489

with follow up for final removal in,
https://github.com/pikers/piker/issues/517

Resolves #517
2025-04-21 13:34:12 -04:00
Tyler Goodlet ec71dc2018 Mk `Brokerd[Order].price` avoid `float`-errs
By re-typing to a `.price: Decimal` field on both legs of the EMS.

It seems we must do it ourselves since,
- these msg's (fields) are relayed through the clearing engine to each
  `brokerd` backend and,
- bc many (if not all) of those backends `.broker`-clients (nor their
  encapsulated "brokerage services") **are not** doing any
  precision-truncation themselves.

So, for now, instead we opt to expect rounding at the source. This means
we will explicitly require casting to/from `float` at the line-graphics
interface to the order-clearing-engine (as implemented throughout
`.ui.order_mode.OrderMode`); and this is coming shortly.
2025-04-21 13:24:41 -04:00
6 changed files with 107 additions and 140 deletions

View File

@ -42,7 +42,6 @@ from ._mktinfo import (
dec_digits,
digits_to_dec,
MktPair,
Symbol,
unpack_fqme,
_derivs as DerivTypes,
)
@ -60,7 +59,6 @@ __all__ = [
'Asset',
'MktPair',
'Position',
'Symbol',
'Transaction',
'TransactionLedger',
'dec_digits',

View File

@ -677,90 +677,3 @@ def unpack_fqme(
# '.'.join([mkt_ep, venue]),
suffix,
)
class Symbol(Struct):
'''
I guess this is some kinda container thing for dealing with
all the different meta-data formats from brokers?
'''
key: str
broker: str = ''
venue: str = ''
# precision descriptors for price and vlm
tick_size: Decimal = Decimal('0.01')
lot_tick_size: Decimal = Decimal('0.0')
suffix: str = ''
broker_info: dict[str, dict[str, Any]] = {}
@classmethod
def from_fqme(
cls,
fqsn: str,
info: dict[str, Any],
) -> Symbol:
broker, mktep, venue, suffix = unpack_fqme(fqsn)
tick_size = info.get('price_tick_size', 0.01)
lot_size = info.get('lot_tick_size', 0.0)
return Symbol(
broker=broker,
key=mktep,
tick_size=tick_size,
lot_tick_size=lot_size,
venue=venue,
suffix=suffix,
broker_info={broker: info},
)
@property
def type_key(self) -> str:
return list(self.broker_info.values())[0]['asset_type']
@property
def tick_size_digits(self) -> int:
return float_digits(self.tick_size)
@property
def lot_size_digits(self) -> int:
return float_digits(self.lot_tick_size)
@property
def price_tick(self) -> Decimal:
return Decimal(str(self.tick_size))
@property
def size_tick(self) -> Decimal:
return Decimal(str(self.lot_tick_size))
@property
def broker(self) -> str:
return list(self.broker_info.keys())[0]
@property
def fqme(self) -> str:
return maybe_cons_tokens([
self.key, # final "pair name" (eg. qqq[/usd], btcusdt)
self.venue,
self.suffix, # includes expiry and other con info
self.broker,
])
def quantize(
self,
size: float,
) -> Decimal:
digits = float_digits(self.lot_tick_size)
return Decimal(size).quantize(
Decimal(f'1.{"0".ljust(digits, "0")}'),
rounding=ROUND_HALF_EVEN
)
# NOTE: when cast to `str` return fqme
def __str__(self) -> str:
return self.fqme

View File

@ -175,9 +175,8 @@ async def handle_order_requests(
case {
'account': 'kraken.spot' as account,
'action': action,
} if action in {'buy', 'sell'}:
'action': 'buy'|'sell',
}:
# validate
order = BrokerdOrder(**msg)
@ -262,6 +261,12 @@ async def handle_order_requests(
} | extra
log.info(f'Submitting WS order request:\n{pformat(req)}')
# NOTE HOWTO, debug order requests
#
# if 'XRP' in pair:
# await tractor.pause()
await ws.send_msg(req)
# placehold for sanity checking in relay loop
@ -1085,6 +1090,8 @@ async def handle_order_updates(
f'Failed to {action} order {reqid}:\n'
f'{errmsg}'
)
# if tractor._state.debug_mode():
# await tractor.pause()
symbol: str = 'N/A'
if chain := apiflows.get(reqid):

View File

@ -76,7 +76,6 @@ if TYPE_CHECKING:
# TODO: numba all of this
def mk_check(
trigger_price: float,
known_last: float,
action: str,
@ -1182,12 +1181,16 @@ async def process_client_order_cmds(
submitting live orders immediately if requested by the client.
'''
# cmd: dict
# TODO, only allow `msgspec.Struct` form!
cmd: dict
async for cmd in client_order_stream:
log.info(f'Received order cmd:\n{pformat(cmd)}')
log.info(
f'Received order cmd:\n'
f'{pformat(cmd)}\n'
)
# CAWT DAMN we need struct support!
oid = str(cmd['oid'])
oid: str = str(cmd['oid'])
# register this stream as an active order dialog (msg flow) for
# this order id such that translated message from the brokerd
@ -1293,7 +1296,7 @@ async def process_client_order_cmds(
case {
'oid': oid,
'symbol': fqme,
'price': trigger_price,
'price': price,
'size': size,
'action': ('buy' | 'sell') as action,
'exec_mode': ('live' | 'paper'),
@ -1325,7 +1328,7 @@ async def process_client_order_cmds(
symbol=sym,
action=action,
price=trigger_price,
price=price,
size=size,
account=req.account,
)
@ -1347,7 +1350,11 @@ async def process_client_order_cmds(
# (``translate_and_relay_brokerd_events()`` above) will
# handle relaying the ems side responses back to
# the client/cmd sender from this request
log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
log.info(
f'Sending live order to {broker}:\n'
f'{pformat(msg)}'
)
await brokerd_order_stream.send(msg)
# an immediate response should be ``BrokerdOrderAck``
@ -1363,7 +1370,7 @@ async def process_client_order_cmds(
case {
'oid': oid,
'symbol': fqme,
'price': trigger_price,
'price': price,
'size': size,
'exec_mode': exec_mode,
'action': action,
@ -1391,7 +1398,12 @@ async def process_client_order_cmds(
if isnan(last):
last = flume.rt_shm.array[-1]['close']
pred = mk_check(trigger_price, last, action)
trigger_price: float = float(price)
pred = mk_check(
trigger_price,
last,
action,
)
# NOTE: for dark orders currently we submit
# the triggered live order at a price 5 ticks

View File

@ -19,6 +19,7 @@ Clearing sub-system message and protocols.
"""
from __future__ import annotations
from decimal import Decimal
from typing import (
Literal,
)
@ -71,7 +72,15 @@ class Order(Struct):
symbol: str # | MktPair
account: str # should we set a default as '' ?
price: float
# https://docs.python.org/3/library/decimal.html#decimal-objects
#
# ?TODO? decimal usage throughout?
# -[ ] possibly leverage the `Encoder(decimal_format='number')`
# bit?
# |_https://jcristharif.com/msgspec/supported-types.html#decimal
# -[ ] should we also use it for .size?
#
price: Decimal
size: float # -ve is "sell", +ve is "buy"
brokers: list[str] = []
@ -178,7 +187,7 @@ class BrokerdOrder(Struct):
time_ns: int
symbol: str # fqme
price: float
price: Decimal
size: float
# TODO: if we instead rely on a +ve/-ve size to determine

View File

@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
from __future__ import annotations
from contextlib import asynccontextmanager
from dataclasses import dataclass, field
from decimal import Decimal
from functools import partial
from pprint import pformat
import time
@ -41,7 +42,6 @@ from piker.accounting import (
Position,
mk_allocator,
MktPair,
Symbol,
)
from piker.clearing import (
open_ems,
@ -143,6 +143,15 @@ class OrderMode:
}
_staged_order: Order | None = None
@property
def curr_mkt(self) -> MktPair:
'''
Deliver the currently selected `MktPair` according
chart state.
'''
return self.chart.linked.mkt
def on_level_change_update_next_order_info(
self,
level: float,
@ -172,7 +181,12 @@ class OrderMode:
line.update_labels(order_info)
# update bound-in staged order
order.price = level
# order.price = level
mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=level,
quantity_type='price',
)
order.size = order_info['size']
# when an order is changed we flip the settings side-pane to
@ -187,7 +201,9 @@ class OrderMode:
) -> LevelLine:
level = order.price
# TODO, if we instead just always decimalize at the ems layer
# we can avoid this back-n-forth casting?
level = float(order.price)
line = order_line(
chart or self.chart,
@ -224,7 +240,12 @@ class OrderMode:
# the order mode allocator but we still need to update the
# "staged" order message we'll send to the ems
def update_order_price(y: float) -> None:
order.price = y
mkt: MktPair = self.curr_mkt
order.price: Decimal = mkt.quantize(
size=y,
quantity_type='price',
)
# order.price = y
line._on_level_change = update_order_price
@ -275,34 +296,31 @@ class OrderMode:
chart = cursor.linked.chart
if (
not chart
and cursor
and cursor.active_plot
and
cursor
and
cursor.active_plot
):
return
chart = cursor.active_plot
price = cursor._datum_xy[1]
price: float = cursor._datum_xy[1]
if not price:
# zero prices are not supported by any means
# since that's illogical / a no-op.
return
mkt: MktPair = self.chart.linked.mkt
# NOTE : we could also use instead,
# mkt.quantize(price, quantity_type='price')
# but it returns a Decimal and it's probably gonna
# be slower?
# TODO: should we be enforcing this precision
# at a different layer in the stack? right now
# any precision error will literally be relayed
# all the way back from the backend.
price = round(
price,
ndigits=mkt.price_tick_digits,
# at a different layer in the stack?
# |_ might require `MktPair` tracking in the EMS?
# |_ right now any precision error will be relayed
# all the way back from the backend and vice-versa..
#
mkt: MktPair = self.curr_mkt
price: Decimal = mkt.quantize(
size=price,
quantity_type='price',
)
order = self._staged_order = Order(
action=action,
price=price,
@ -515,14 +533,15 @@ class OrderMode:
# if an order msg is provided update the line
# **from** that msg.
if order:
if order.price <= 0:
price: float = float(order.price)
if price <= 0:
log.error(f'Order has 0 price, cancelling..\n{order}')
self.cancel_orders([order.oid])
return None
line.set_level(order.price)
line.set_level(price)
self.on_level_change_update_next_order_info(
level=order.price,
level=price,
line=line,
order=order,
# use the corresponding position tracker for the
@ -681,9 +700,9 @@ class OrderMode:
) -> Dialog | None:
# NOTE: the `.order` attr **must** be set with the
# equivalent order msg in order to be loaded.
order = msg.req
order: Order = msg.req
oid = str(msg.oid)
symbol = order.symbol
symbol: str = order.symbol
# TODO: MEGA UGGG ZONEEEE!
src = msg.src
@ -702,13 +721,22 @@ class OrderMode:
order.oid = str(order.oid)
order.brokers = [brokername]
# TODO: change this over to `MktPair`, but it's
# gonna be tough since we don't have any such data
# really in our clearing msg schema..
order.symbol = Symbol.from_fqme(
fqsn=fqme,
info={},
)
# ?TODO? change this over to `MktPair`, but it's gonna be
# tough since we don't have any such data really in our
# clearing msg schema..
# BUT WAIT! WHY do we even want/need this!?
#
# order.symbol = self.curr_mkt
#
# XXX, the old approach.. which i don't quire member why..
# -[ ] verify we for sure don't require this any more!
# |_https://github.com/pikers/piker/issues/517
#
# order.symbol = Symbol.from_fqme(
# fqsn=fqme,
# info={},
# )
maybe_dialog: Dialog | None = self.submit_order(
send_msg=False,
order=order,
@ -1101,7 +1129,7 @@ async def process_trade_msg(
)
)
):
msg.req = order
msg.req: Order = order
dialog: (
Dialog
# NOTE: on an invalid order submission (eg.