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No commits in common. "72072b5737a58d01c2b39787950a3d10ce189dae" and "7d49335f8b8149f3d8eb2f750119490d82792736" have entirely different histories.
72072b5737
...
7d49335f8b
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@ -148,7 +148,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No account found: `{account}` ?',
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))
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).dict())
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continue
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client = _accounts2clients.get(account)
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@ -161,7 +161,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason=f'No api client loaded for account: `{account}` ?',
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))
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).dict())
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continue
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if action in {'buy', 'sell'}:
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@ -188,7 +188,7 @@ async def handle_order_requests(
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oid=request_msg['oid'],
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symbol=request_msg['symbol'],
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reason='Order already active?',
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))
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).dict())
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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@ -197,8 +197,9 @@ async def handle_order_requests(
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oid=order.oid,
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# broker specific request id
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reqid=reqid,
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time_ns=time.time_ns(),
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account=account,
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)
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).dict()
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)
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elif action == 'cancel':
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@ -558,7 +559,7 @@ async def trades_dialogue(
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cids2pps,
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validate=True,
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)
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all_positions.extend(msg for msg in msgs)
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all_positions.extend(msg.dict() for msg in msgs)
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if not all_positions and cids2pps:
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raise RuntimeError(
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@ -664,7 +665,7 @@ async def emit_pp_update(
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msg = msgs[0]
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break
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await ems_stream.send(msg)
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await ems_stream.send(msg.dict())
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async def deliver_trade_events(
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@ -742,7 +743,7 @@ async def deliver_trade_events(
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broker_details={'name': 'ib'},
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)
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await ems_stream.send(msg)
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await ems_stream.send(msg.dict())
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case 'fill':
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@ -802,7 +803,7 @@ async def deliver_trade_events(
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broker_time=trade_entry['broker_time'],
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)
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await ems_stream.send(msg)
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await ems_stream.send(msg.dict())
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# 2 cases:
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# - fill comes first or
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@ -878,7 +879,7 @@ async def deliver_trade_events(
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cid, msg = pack_position(item)
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# acctid = msg.account = accounts_def.inverse[msg.account]
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# cuck ib and it's shitty fifo sys for pps!
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# await ems_stream.send(msg)
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# await ems_stream.send(msg.dict())
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case 'event':
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@ -890,7 +891,7 @@ async def deliver_trade_events(
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# level...
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# reqid = item.get('reqid', 0)
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# if getattr(msg, 'reqid', 0) < -1:
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# log.info(f"TWS triggered trade\n{pformat(msg)}")
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# log.info(f"TWS triggered trade\n{pformat(msg.dict())}")
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# msg.reqid = 'tws-' + str(-1 * reqid)
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|
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@ -32,7 +32,6 @@ from typing import (
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Union,
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)
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from async_generator import aclosing
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from bidict import bidict
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import pendulum
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import trio
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@ -82,7 +81,6 @@ async def handle_order_requests(
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token: str,
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emsflow: dict[str, list[MsgUnion]],
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ids: bidict[str, int],
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reqids2txids: dict[int, str],
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) -> None:
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'''
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@ -98,23 +96,6 @@ async def handle_order_requests(
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async for msg in ems_order_stream:
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log.info(f'Rx order msg:\n{pformat(msg)}')
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match msg:
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case {
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'action': 'cancel',
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}:
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cancel = BrokerdCancel(**msg)
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last = emsflow[cancel.oid]
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reqid = ids[cancel.oid]
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txid = reqids2txids[reqid]
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [txid], # should be txid from submission
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})
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case {
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'account': 'kraken.spot' as account,
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'action': action,
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@ -127,9 +108,10 @@ async def handle_order_requests(
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if order.oid in ids:
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ep = 'editOrder'
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reqid = ids[order.oid] # integer not txid
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txid = reqids2txids[reqid]
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last = emsflow[order.oid][-1]
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assert last.reqid == order.reqid
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extra = {
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'orderid': txid, # txid
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'orderid': last.reqid, # txid
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}
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else:
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@ -176,6 +158,23 @@ async def handle_order_requests(
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# placehold for sanity checking in relay loop
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emsflow.setdefault(order.oid, []).append(order)
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case {
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'account': 'kraken.spot' as account,
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'action': 'cancel',
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}:
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cancel = BrokerdCancel(**msg)
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assert cancel.oid in emsflow
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reqid = ids[cancel.oid]
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [cancel.reqid], # should be txid from submission
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})
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case _:
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account = msg.get('account')
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if account != 'kraken.spot':
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@ -192,7 +191,7 @@ async def handle_order_requests(
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'Invalid request msg:\n{msg}'
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),
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)
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).dict()
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)
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@ -290,7 +289,7 @@ async def trades_dialogue(
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avg_price=p.be_price,
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currency='',
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)
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position_msgs.append(msg)
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position_msgs.append(msg.dict())
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await ctx.started(
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(position_msgs, [acc_name])
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@ -317,7 +316,6 @@ async def trades_dialogue(
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),
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) as ws,
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trio.open_nursery() as n,
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aclosing(stream_messages(ws)) as stream,
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):
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# task local msg dialog tracking
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emsflow: dict[
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@ -327,7 +325,6 @@ async def trades_dialogue(
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# 2way map for ems ids to kraken int reqids..
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ids: bidict[str, int] = bidict()
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reqids2txids: dict[int, str] = {}
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# task for processing inbound requests from ems
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n.start_soon(
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@ -338,17 +335,14 @@ async def trades_dialogue(
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token,
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emsflow,
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ids,
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reqids2txids,
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)
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# enter relay loop
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await handle_order_updates(
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ws,
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stream,
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ems_stream,
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emsflow,
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ids,
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reqids2txids,
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trans,
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acctid,
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acc_name,
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@ -358,11 +352,9 @@ async def trades_dialogue(
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async def handle_order_updates(
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ws: NoBsWs,
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ws_stream: AsyncIterator,
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ems_stream: tractor.MsgStream,
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emsflow: dict[str, list[MsgUnion]],
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ids: bidict[str, int],
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reqids2txids: dict[int, str],
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trans: list[pp.Transaction],
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acctid: str,
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acc_name: str,
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@ -380,7 +372,7 @@ async def handle_order_updates(
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# on new trade clearing events (aka order "fills")
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trans: list[pp.Transaction]
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async for msg in ws_stream:
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async for msg in stream_messages(ws):
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match msg:
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# process and relay clearing trade events to ems
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# https://docs.kraken.com/websockets/#message-ownTrades
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@ -427,7 +419,7 @@ async def handle_order_updates(
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broker_details={'name': 'kraken'},
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broker_time=broker_time
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)
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await ems_stream.send(fill_msg)
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await ems_stream.send(fill_msg.dict())
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filled_msg = BrokerdStatus(
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reqid=reqid,
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@ -451,7 +443,7 @@ async def handle_order_updates(
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# https://github.com/pikers/piker/issues/296
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remaining=0,
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)
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await ems_stream.send(filled_msg)
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await ems_stream.send(filled_msg.dict())
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# update ledger and position tracking
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with open_ledger(acctid, trades) as trans:
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@ -488,7 +480,7 @@ async def handle_order_updates(
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# TODO
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# currency=''
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)
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await ems_stream.send(pp_msg)
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await ems_stream.send(pp_msg.dict())
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# process and relay order state change events
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# https://docs.kraken.com/websockets/#message-openOrders
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@ -558,29 +550,7 @@ async def handle_order_updates(
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submit_vlm = rest.get('vol', 0)
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exec_vlm = rest.get('vol_exec', 0)
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reqids2txids[reqid] = txid
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oid = ids.inverse.get(reqid)
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if not oid:
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# TODO: handle these and relay them
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# through the EMS to the client / UI
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# side!
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log.warning(
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f'Received active order {txid}:\n'
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f'{update_msg}\n'
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'Cancelling order for now!..'
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)
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# call ws api to cancel:
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# https://docs.kraken.com/websockets/#message-cancelOrder
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await ws.send_msg({
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'event': 'cancelOrder',
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'token': token,
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'reqid': reqid,
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'txid': [txid],
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})
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continue
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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# send BrokerdStatus messages for all
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@ -607,7 +577,7 @@ async def handle_order_updates(
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),
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)
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msgs.append(resp)
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await ems_stream.send(resp)
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await ems_stream.send(resp.dict())
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case _:
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log.warning(
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@ -619,7 +589,6 @@ async def handle_order_updates(
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'event': etype,
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'status': status,
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'reqid': reqid,
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**rest,
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} as event if (
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etype in {
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'addOrderStatus',
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|
|
@ -627,18 +596,7 @@ async def handle_order_updates(
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'cancelOrderStatus',
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}
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):
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oid = ids.inverse.get(reqid)
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if not oid:
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log.warning(
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'Unknown order status update?:\n'
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f'{event}'
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)
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continue
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txid = rest.get('txid')
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if txid:
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reqids2txids[reqid] = txid
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oid = ids.inverse[reqid]
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msgs = emsflow[oid]
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last = msgs[-1]
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resps, errored = process_status(
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|
|
@ -648,10 +606,19 @@ async def handle_order_updates(
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msgs,
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last,
|
||||
)
|
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# if errored:
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# if we rx any error cancel the order again
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# await ws.send_msg({
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# 'event': 'cancelOrder',
|
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# 'token': token,
|
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# 'reqid': reqid,
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# 'txid': [last.reqid], # txid from submission
|
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# })
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if resps:
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msgs.extend(resps)
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for resp in resps:
|
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await ems_stream.send(resp)
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await ems_stream.send(resp.dict())
|
||||
|
||||
case _:
|
||||
log.warning(f'Unhandled trades update msg: {msg}')
|
||||
|
|
|
|||
|
|
@ -22,9 +22,10 @@ from enum import Enum
|
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from typing import Optional
|
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|
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from bidict import bidict
|
||||
from pydantic import BaseModel, validator
|
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# from msgspec import Struct
|
||||
|
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from ..data._source import Symbol
|
||||
from ..data.types import Struct
|
||||
from ..pp import Position
|
||||
|
||||
|
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|
|
@ -40,30 +41,33 @@ SizeUnit = Enum(
|
|||
)
|
||||
|
||||
|
||||
class Allocator(Struct):
|
||||
class Allocator(BaseModel):
|
||||
|
||||
class Config:
|
||||
validate_assignment = True
|
||||
copy_on_model_validation = False
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
# required to get the account validator lookup working?
|
||||
extra = 'allow'
|
||||
underscore_attrs_are_private = False
|
||||
|
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symbol: Symbol
|
||||
account: Optional[str] = 'paper'
|
||||
|
||||
_size_units: bidict[str, Optional[str]] = _size_units
|
||||
|
||||
# TODO: for enums this clearly doesn't fucking work, you can't set
|
||||
# a default at startup by passing in a `dict` but yet you can set
|
||||
# that value through assignment..for wtv cucked reason.. honestly, pure
|
||||
# unintuitive garbage.
|
||||
_size_unit: str = 'currency'
|
||||
size_unit: str = 'currency'
|
||||
_size_units: dict[str, Optional[str]] = _size_units
|
||||
|
||||
@property
|
||||
def size_unit(self) -> str:
|
||||
return self._size_unit
|
||||
|
||||
@size_unit.setter
|
||||
def size_unit(self, v: str) -> Optional[str]:
|
||||
@validator('size_unit', pre=True)
|
||||
def maybe_lookup_key(cls, v):
|
||||
# apply the corresponding enum key for the text "description" value
|
||||
if v not in _size_units:
|
||||
v = _size_units.inverse[v]
|
||||
return _size_units.inverse[v]
|
||||
|
||||
assert v in _size_units
|
||||
self._size_unit = v
|
||||
return v
|
||||
|
||||
# TODO: if we ever want ot support non-uniform entry-slot-proportion
|
||||
|
|
@ -258,7 +262,7 @@ def mk_allocator(
|
|||
# default allocation settings
|
||||
defaults: dict[str, float] = {
|
||||
'account': None, # select paper by default
|
||||
# 'size_unit': 'currency',
|
||||
'size_unit': 'currency',
|
||||
'units_limit': 400,
|
||||
'currency_limit': 5e3,
|
||||
'slots': 4,
|
||||
|
|
@ -297,9 +301,6 @@ def mk_allocator(
|
|||
# entry step 1.0
|
||||
alloc.units_limit = alloc.slots
|
||||
|
||||
else:
|
||||
alloc.size_unit = 'currency'
|
||||
|
||||
# if the current position is already greater then the limit
|
||||
# settings, increase the limit to the current position
|
||||
if alloc.size_unit == 'currency':
|
||||
|
|
|
|||
|
|
@ -58,11 +58,11 @@ class OrderBook:
|
|||
|
||||
def send(
|
||||
self,
|
||||
msg: Order | dict,
|
||||
msg: Order,
|
||||
|
||||
) -> dict:
|
||||
self._sent_orders[msg.oid] = msg
|
||||
self._to_ems.send_nowait(msg)
|
||||
self._to_ems.send_nowait(msg.dict())
|
||||
return msg
|
||||
|
||||
def update(
|
||||
|
|
@ -73,8 +73,9 @@ class OrderBook:
|
|||
|
||||
) -> dict:
|
||||
cmd = self._sent_orders[uuid]
|
||||
msg = cmd.copy(update=data)
|
||||
self._sent_orders[uuid] = msg
|
||||
msg = cmd.dict()
|
||||
msg.update(data)
|
||||
self._sent_orders[uuid] = Order(**msg)
|
||||
self._to_ems.send_nowait(msg)
|
||||
return cmd
|
||||
|
||||
|
|
@ -87,7 +88,7 @@ class OrderBook:
|
|||
oid=uuid,
|
||||
symbol=cmd.symbol,
|
||||
)
|
||||
self._to_ems.send_nowait(msg)
|
||||
self._to_ems.send_nowait(msg.dict())
|
||||
|
||||
|
||||
_orders: OrderBook = None
|
||||
|
|
@ -148,7 +149,7 @@ async def relay_order_cmds_from_sync_code(
|
|||
book = get_orders()
|
||||
async with book._from_order_book.subscribe() as orders_stream:
|
||||
async for cmd in orders_stream:
|
||||
if cmd.symbol == symbol_key:
|
||||
if cmd['symbol'] == symbol_key:
|
||||
log.info(f'Send order cmd:\n{pformat(cmd)}')
|
||||
# send msg over IPC / wire
|
||||
await to_ems_stream.send(cmd)
|
||||
|
|
|
|||
|
|
@ -232,7 +232,7 @@ async def clear_dark_triggers(
|
|||
price=submit_price,
|
||||
size=cmd['size'],
|
||||
)
|
||||
await brokerd_orders_stream.send(msg)
|
||||
await brokerd_orders_stream.send(msg.dict())
|
||||
|
||||
# mark this entry as having sent an order
|
||||
# request. the entry will be replaced once the
|
||||
|
|
@ -248,11 +248,14 @@ async def clear_dark_triggers(
|
|||
|
||||
msg = Status(
|
||||
oid=oid, # ems order id
|
||||
time_ns=time.time_ns(),
|
||||
resp=resp,
|
||||
time_ns=time.time_ns(),
|
||||
symbol=fqsn,
|
||||
trigger_price=price,
|
||||
brokerd_msg=cmd,
|
||||
)
|
||||
broker_details={'name': broker},
|
||||
cmd=cmd, # original request message
|
||||
|
||||
).dict()
|
||||
|
||||
# remove exec-condition from set
|
||||
log.info(f'removing pred for {oid}')
|
||||
|
|
@ -575,11 +578,11 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
if name == 'position':
|
||||
|
||||
pos_msg = BrokerdPosition(**brokerd_msg)
|
||||
pos_msg = BrokerdPosition(**brokerd_msg).dict()
|
||||
|
||||
# XXX: this will be useful for automatic strats yah?
|
||||
# keep pps per account up to date locally in ``emsd`` mem
|
||||
sym, broker = pos_msg.symbol, pos_msg.broker
|
||||
sym, broker = pos_msg['symbol'], pos_msg['broker']
|
||||
|
||||
relay.positions.setdefault(
|
||||
# NOTE: translate to a FQSN!
|
||||
|
|
@ -681,7 +684,7 @@ async def translate_and_relay_brokerd_events(
|
|||
entry.reqid = reqid
|
||||
|
||||
# tell broker to cancel immediately
|
||||
await brokerd_trades_stream.send(entry)
|
||||
await brokerd_trades_stream.send(entry.dict())
|
||||
|
||||
# - the order is now active and will be mirrored in
|
||||
# our book -> registered as live flow
|
||||
|
|
@ -721,7 +724,7 @@ async def translate_and_relay_brokerd_events(
|
|||
# if 10147 in message: cancel
|
||||
|
||||
resp = 'broker_errored'
|
||||
broker_details = msg
|
||||
broker_details = msg.dict()
|
||||
|
||||
# don't relay message to order requester client
|
||||
# continue
|
||||
|
|
@ -756,7 +759,7 @@ async def translate_and_relay_brokerd_events(
|
|||
resp = 'broker_' + msg.status
|
||||
|
||||
# pass the BrokerdStatus msg inside the broker details field
|
||||
broker_details = msg
|
||||
broker_details = msg.dict()
|
||||
|
||||
elif name in (
|
||||
'fill',
|
||||
|
|
@ -765,7 +768,7 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
# proxy through the "fill" result(s)
|
||||
resp = 'broker_filled'
|
||||
broker_details = msg
|
||||
broker_details = msg.dict()
|
||||
|
||||
log.info(f'\nFill for {oid} cleared with:\n{pformat(resp)}')
|
||||
|
||||
|
|
@ -783,7 +786,7 @@ async def translate_and_relay_brokerd_events(
|
|||
time_ns=time.time_ns(),
|
||||
broker_reqid=reqid,
|
||||
brokerd_msg=broker_details,
|
||||
)
|
||||
).dict()
|
||||
)
|
||||
except KeyError:
|
||||
log.error(
|
||||
|
|
@ -848,14 +851,14 @@ async def process_client_order_cmds(
|
|||
|
||||
# NOTE: cancel response will be relayed back in messages
|
||||
# from corresponding broker
|
||||
if reqid is not None:
|
||||
if reqid:
|
||||
|
||||
# send cancel to brokerd immediately!
|
||||
log.info(
|
||||
f'Submitting cancel for live order {reqid}'
|
||||
)
|
||||
|
||||
await brokerd_order_stream.send(msg)
|
||||
await brokerd_order_stream.send(msg.dict())
|
||||
|
||||
else:
|
||||
# this might be a cancel for an order that hasn't been
|
||||
|
|
@ -877,7 +880,7 @@ async def process_client_order_cmds(
|
|||
resp='dark_cancelled',
|
||||
oid=oid,
|
||||
time_ns=time.time_ns(),
|
||||
)
|
||||
).dict()
|
||||
)
|
||||
# de-register this client dialogue
|
||||
router.dialogues.pop(oid)
|
||||
|
|
@ -932,7 +935,7 @@ async def process_client_order_cmds(
|
|||
# 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)}')
|
||||
await brokerd_order_stream.send(msg)
|
||||
await brokerd_order_stream.send(msg.dict())
|
||||
|
||||
# an immediate response should be ``BrokerdOrderAck``
|
||||
# with ems order id from the ``trades_dialogue()``
|
||||
|
|
@ -1012,7 +1015,7 @@ async def process_client_order_cmds(
|
|||
resp=resp,
|
||||
oid=oid,
|
||||
time_ns=time.time_ns(),
|
||||
)
|
||||
).dict()
|
||||
)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for piker0)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
|
|
@ -15,26 +15,21 @@
|
|||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Clearing sub-system message and protocols.
|
||||
Clearing system messagingn types and protocols.
|
||||
|
||||
"""
|
||||
from typing import Optional, Union
|
||||
|
||||
# TODO: try out just encoding/send direction for now?
|
||||
# import msgspec
|
||||
from pydantic import BaseModel
|
||||
|
||||
from ..data._source import Symbol
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
# TODO: ``msgspec`` stuff worth paying attention to:
|
||||
# - schema evolution: https://jcristharif.com/msgspec/usage.html#schema-evolution
|
||||
# - use literals for a common msg determined by diff keys?
|
||||
# - https://jcristharif.com/msgspec/usage.html#literal
|
||||
# - for eg. ``BrokerdStatus``, instead just have separate messages?
|
||||
|
||||
# --------------
|
||||
# Client -> emsd
|
||||
# --------------
|
||||
|
||||
class Cancel(Struct):
|
||||
|
||||
class Cancel(BaseModel):
|
||||
'''Cancel msg for removing a dark (ems triggered) or
|
||||
broker-submitted (live) trigger/order.
|
||||
|
||||
|
|
@ -44,10 +39,8 @@ class Cancel(Struct):
|
|||
symbol: str
|
||||
|
||||
|
||||
class Order(Struct):
|
||||
class Order(BaseModel):
|
||||
|
||||
# TODO: use ``msgspec.Literal``
|
||||
# https://jcristharif.com/msgspec/usage.html#literal
|
||||
action: str # {'buy', 'sell', 'alert'}
|
||||
# internal ``emdsd`` unique "order id"
|
||||
oid: str # uuid4
|
||||
|
|
@ -55,9 +48,6 @@ class Order(Struct):
|
|||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
# TODO: could we drop the ``.action`` field above and instead just
|
||||
# use +/- values here? Would make the msg smaller at the sake of a
|
||||
# teensie fp precision?
|
||||
size: float
|
||||
brokers: list[str]
|
||||
|
||||
|
|
@ -69,14 +59,20 @@ class Order(Struct):
|
|||
# the backend broker
|
||||
exec_mode: str # {'dark', 'live', 'paper'}
|
||||
|
||||
class Config:
|
||||
# just for pre-loading a ``Symbol`` when used
|
||||
# in the order mode staging process
|
||||
arbitrary_types_allowed = True
|
||||
# don't copy this model instance when used in
|
||||
# a recursive model
|
||||
copy_on_model_validation = False
|
||||
|
||||
# --------------
|
||||
# Client <- emsd
|
||||
# --------------
|
||||
# update msgs from ems which relay state change info
|
||||
# from the active clearing engine.
|
||||
|
||||
class Status(Struct):
|
||||
|
||||
class Status(BaseModel):
|
||||
|
||||
name: str = 'status'
|
||||
oid: str # uuid4
|
||||
|
|
@ -99,6 +95,8 @@ class Status(Struct):
|
|||
# }
|
||||
resp: str # "response", see above
|
||||
|
||||
# symbol: str
|
||||
|
||||
# trigger info
|
||||
trigger_price: Optional[float] = None
|
||||
# price: float
|
||||
|
|
@ -113,12 +111,10 @@ class Status(Struct):
|
|||
brokerd_msg: dict = {}
|
||||
|
||||
|
||||
# ---------------
|
||||
# emsd -> brokerd
|
||||
# ---------------
|
||||
# requests *sent* from ems to respective backend broker daemon
|
||||
|
||||
class BrokerdCancel(Struct):
|
||||
class BrokerdCancel(BaseModel):
|
||||
|
||||
action: str = 'cancel'
|
||||
oid: str # piker emsd order id
|
||||
|
|
@ -134,7 +130,7 @@ class BrokerdCancel(Struct):
|
|||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
|
||||
class BrokerdOrder(Struct):
|
||||
class BrokerdOrder(BaseModel):
|
||||
|
||||
action: str # {buy, sell}
|
||||
oid: str
|
||||
|
|
@ -154,12 +150,11 @@ class BrokerdOrder(Struct):
|
|||
size: float
|
||||
|
||||
|
||||
# ---------------
|
||||
# emsd <- brokerd
|
||||
# ---------------
|
||||
# requests *received* to ems from broker backend
|
||||
|
||||
class BrokerdOrderAck(Struct):
|
||||
|
||||
class BrokerdOrderAck(BaseModel):
|
||||
'''
|
||||
Immediate reponse to a brokerd order request providing the broker
|
||||
specific unique order id so that the EMS can associate this
|
||||
|
|
@ -177,7 +172,7 @@ class BrokerdOrderAck(Struct):
|
|||
account: str = ''
|
||||
|
||||
|
||||
class BrokerdStatus(Struct):
|
||||
class BrokerdStatus(BaseModel):
|
||||
|
||||
name: str = 'status'
|
||||
reqid: Union[int, str]
|
||||
|
|
@ -210,7 +205,7 @@ class BrokerdStatus(Struct):
|
|||
}
|
||||
|
||||
|
||||
class BrokerdFill(Struct):
|
||||
class BrokerdFill(BaseModel):
|
||||
'''
|
||||
A single message indicating a "fill-details" event from the broker
|
||||
if avaiable.
|
||||
|
|
@ -235,7 +230,7 @@ class BrokerdFill(Struct):
|
|||
broker_time: float
|
||||
|
||||
|
||||
class BrokerdError(Struct):
|
||||
class BrokerdError(BaseModel):
|
||||
'''
|
||||
Optional error type that can be relayed to emsd for error handling.
|
||||
|
||||
|
|
@ -254,7 +249,7 @@ class BrokerdError(Struct):
|
|||
broker_details: dict = {}
|
||||
|
||||
|
||||
class BrokerdPosition(Struct):
|
||||
class BrokerdPosition(BaseModel):
|
||||
'''Position update event from brokerd.
|
||||
|
||||
'''
|
||||
|
|
|
|||
|
|
@ -117,7 +117,7 @@ class PaperBoi:
|
|||
reason='paper_trigger',
|
||||
remaining=size,
|
||||
)
|
||||
await self.ems_trades_stream.send(msg)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
# if we're already a clearing price simulate an immediate fill
|
||||
if (
|
||||
|
|
@ -173,7 +173,7 @@ class PaperBoi:
|
|||
broker=self.broker,
|
||||
time_ns=time.time_ns(),
|
||||
)
|
||||
await self.ems_trades_stream.send(msg)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
async def fake_fill(
|
||||
self,
|
||||
|
|
@ -216,7 +216,7 @@ class PaperBoi:
|
|||
'name': self.broker + '_paper',
|
||||
},
|
||||
)
|
||||
await self.ems_trades_stream.send(msg)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
if order_complete:
|
||||
|
||||
|
|
@ -240,7 +240,7 @@ class PaperBoi:
|
|||
'name': self.broker,
|
||||
},
|
||||
)
|
||||
await self.ems_trades_stream.send(msg)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
# lookup any existing position
|
||||
token = f'{symbol}.{self.broker}'
|
||||
|
|
@ -268,7 +268,7 @@ class PaperBoi:
|
|||
)
|
||||
pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
await self.ems_trades_stream.send(pp_msg.dict())
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
|
|
@ -384,7 +384,7 @@ async def handle_order_requests(
|
|||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'Paper only. No account found: `{account}` ?',
|
||||
))
|
||||
).dict())
|
||||
continue
|
||||
|
||||
# validate
|
||||
|
|
@ -416,7 +416,7 @@ async def handle_order_requests(
|
|||
# broker specific request id
|
||||
reqid=reqid,
|
||||
|
||||
)
|
||||
).dict()
|
||||
)
|
||||
|
||||
elif action == 'cancel':
|
||||
|
|
|
|||
|
|
@ -1,68 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
|
||||
|
||||
# This program is free software: you can redistribute it and/or modify
|
||||
# it under the terms of the GNU Affero General Public License as published by
|
||||
# the Free Software Foundation, either version 3 of the License, or
|
||||
# (at your option) any later version.
|
||||
|
||||
# This program is distributed in the hope that it will be useful,
|
||||
# but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||
# GNU Affero General Public License for more details.
|
||||
|
||||
# You should have received a copy of the GNU Affero General Public License
|
||||
# along with this program. If not, see <https://www.gnu.org/licenses/>.
|
||||
|
||||
"""
|
||||
Built-in (extension) types.
|
||||
|
||||
"""
|
||||
from typing import Optional
|
||||
from pprint import pformat
|
||||
|
||||
import msgspec
|
||||
|
||||
|
||||
class Struct(
|
||||
msgspec.Struct,
|
||||
|
||||
# https://jcristharif.com/msgspec/structs.html#tagged-unions
|
||||
# tag='pikerstruct',
|
||||
# tag=True,
|
||||
):
|
||||
'''
|
||||
A "human friendlier" (aka repl buddy) struct subtype.
|
||||
|
||||
'''
|
||||
def to_dict(self) -> dict:
|
||||
return {
|
||||
f: getattr(self, f)
|
||||
for f in self.__struct_fields__
|
||||
}
|
||||
|
||||
def __repr__(self):
|
||||
return f'Struct({pformat(self.to_dict())})'
|
||||
|
||||
def copy(
|
||||
self,
|
||||
update: Optional[dict] = None,
|
||||
|
||||
) -> msgspec.Struct:
|
||||
'''
|
||||
Validate-typecast all self defined fields, return a copy of us
|
||||
with all such fields.
|
||||
|
||||
This is kinda like the default behaviour in `pydantic.BaseModel`.
|
||||
|
||||
'''
|
||||
if update:
|
||||
for k, v in update.items():
|
||||
setattr(self, k, v)
|
||||
|
||||
# roundtrip serialize to validate
|
||||
return msgspec.msgpack.Decoder(
|
||||
type=type(self)
|
||||
).decode(
|
||||
msgspec.msgpack.Encoder().encode(self)
|
||||
)
|
||||
|
|
@ -619,7 +619,7 @@ class FillStatusBar(QProgressBar):
|
|||
# color: #19232D;
|
||||
# width: 10px;
|
||||
|
||||
self.setRange(0, int(slots))
|
||||
self.setRange(0, slots)
|
||||
self.setValue(value)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -264,8 +264,7 @@ class OrderMode:
|
|||
self,
|
||||
|
||||
) -> OrderDialog:
|
||||
'''
|
||||
Send execution order to EMS return a level line to
|
||||
'''Send execution order to EMS return a level line to
|
||||
represent the order on a chart.
|
||||
|
||||
'''
|
||||
|
|
@ -274,9 +273,13 @@ class OrderMode:
|
|||
oid = str(uuid.uuid4())
|
||||
|
||||
# format order data for ems
|
||||
order = staged.copy()
|
||||
order.oid = oid
|
||||
order.symbol = symbol.front_fqsn()
|
||||
fqsn = symbol.front_fqsn()
|
||||
order = staged.copy(
|
||||
update={
|
||||
'symbol': fqsn,
|
||||
'oid': oid,
|
||||
}
|
||||
)
|
||||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
|
|
|
|||
Loading…
Reference in New Issue