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3 Commits
81693cc2f7
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577da2e8e3
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577da2e8e3 | |
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3ec798c7b9 | |
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1151b912fe |
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@ -42,7 +42,6 @@ from ._mktinfo import (
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dec_digits,
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dec_digits,
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digits_to_dec,
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digits_to_dec,
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MktPair,
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MktPair,
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Symbol,
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unpack_fqme,
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unpack_fqme,
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_derivs as DerivTypes,
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_derivs as DerivTypes,
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)
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)
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@ -60,7 +59,6 @@ __all__ = [
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'Asset',
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'Asset',
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'MktPair',
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'MktPair',
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'Position',
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'Position',
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'Symbol',
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'Transaction',
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'Transaction',
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'TransactionLedger',
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'TransactionLedger',
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'dec_digits',
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'dec_digits',
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@ -40,7 +40,7 @@ import tomli_w # for fast ledger writing
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from piker.types import Struct
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from piker.types import Struct
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from piker import config
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from piker import config
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from ..log import get_logger
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from piker.log import get_logger
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from .calc import (
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from .calc import (
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iter_by_dt,
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iter_by_dt,
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)
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)
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@ -239,7 +239,9 @@ class TransactionLedger(UserDict):
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symcache: SymbologyCache = self._symcache
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symcache: SymbologyCache = self._symcache
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towrite: dict[str, Any] = {}
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towrite: dict[str, Any] = {}
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for tid, txdict in self.tx_sort(self.data.copy()):
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for tid, txdict in self.tx_sort(
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self.data.copy()
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):
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# write blank-str expiry for non-expiring assets
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# write blank-str expiry for non-expiring assets
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if (
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if (
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'expiry' in txdict
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'expiry' in txdict
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@ -377,7 +379,7 @@ def open_trade_ledger(
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account,
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account,
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dirpath=_fp,
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dirpath=_fp,
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)
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)
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cpy = ledger_dict.copy()
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cpy: dict = ledger_dict.copy()
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# XXX NOTE: if not provided presume we are being called from
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# XXX NOTE: if not provided presume we are being called from
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# sync code and need to maybe run `trio` to generate..
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# sync code and need to maybe run `trio` to generate..
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@ -406,7 +408,13 @@ def open_trade_ledger(
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account=account,
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account=account,
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mod=mod,
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mod=mod,
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symcache=symcache,
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symcache=symcache,
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tx_sort=getattr(mod, 'tx_sort', tx_sort),
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# NOTE: allow backends to provide custom ledger sorting
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tx_sort=getattr(
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mod,
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'tx_sort',
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tx_sort,
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),
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)
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)
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try:
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try:
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yield ledger
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yield ledger
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@ -305,8 +305,8 @@ class MktPair(Struct, frozen=True):
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# config right?
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# config right?
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# src_type: AssetTypeName
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# src_type: AssetTypeName
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# for derivs, info describing contract, egs.
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# for derivs, info describing contract, egs. strike price, call
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# strike price, call or put, swap type, exercise model, etc.
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# or put, swap type, exercise model, etc.
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contract_info: list[str] | None = None
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contract_info: list[str] | None = None
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# TODO: rename to sectype since all of these can
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# TODO: rename to sectype since all of these can
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@ -390,8 +390,8 @@ class MktPair(Struct, frozen=True):
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cls,
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cls,
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fqme: str,
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fqme: str,
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price_tick: float | str,
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price_tick: float|str,
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size_tick: float | str,
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size_tick: float|str,
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bs_mktid: str,
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bs_mktid: str,
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broker: str | None = None,
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broker: str | None = None,
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@ -677,90 +677,3 @@ def unpack_fqme(
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# '.'.join([mkt_ep, venue]),
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# '.'.join([mkt_ep, venue]),
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suffix,
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suffix,
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)
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)
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class Symbol(Struct):
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'''
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I guess this is some kinda container thing for dealing with
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all the different meta-data formats from brokers?
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'''
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key: str
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broker: str = ''
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venue: str = ''
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# precision descriptors for price and vlm
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tick_size: Decimal = Decimal('0.01')
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lot_tick_size: Decimal = Decimal('0.0')
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suffix: str = ''
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broker_info: dict[str, dict[str, Any]] = {}
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@classmethod
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def from_fqme(
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cls,
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fqsn: str,
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info: dict[str, Any],
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) -> Symbol:
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broker, mktep, venue, suffix = unpack_fqme(fqsn)
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tick_size = info.get('price_tick_size', 0.01)
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lot_size = info.get('lot_tick_size', 0.0)
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return Symbol(
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broker=broker,
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key=mktep,
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tick_size=tick_size,
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lot_tick_size=lot_size,
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venue=venue,
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suffix=suffix,
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broker_info={broker: info},
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)
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@property
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def type_key(self) -> str:
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return list(self.broker_info.values())[0]['asset_type']
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@property
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def tick_size_digits(self) -> int:
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return float_digits(self.tick_size)
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@property
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def lot_size_digits(self) -> int:
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return float_digits(self.lot_tick_size)
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@property
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def price_tick(self) -> Decimal:
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return Decimal(str(self.tick_size))
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@property
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def size_tick(self) -> Decimal:
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return Decimal(str(self.lot_tick_size))
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@property
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def broker(self) -> str:
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return list(self.broker_info.keys())[0]
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@property
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def fqme(self) -> str:
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return maybe_cons_tokens([
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self.key, # final "pair name" (eg. qqq[/usd], btcusdt)
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self.venue,
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self.suffix, # includes expiry and other con info
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self.broker,
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])
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def quantize(
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self,
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size: float,
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) -> Decimal:
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digits = float_digits(self.lot_tick_size)
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return Decimal(size).quantize(
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Decimal(f'1.{"0".ljust(digits, "0")}'),
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rounding=ROUND_HALF_EVEN
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)
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# NOTE: when cast to `str` return fqme
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def __str__(self) -> str:
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return self.fqme
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@ -251,10 +251,16 @@ def iter_by_dt(
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for k in parsers:
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for k in parsers:
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if (
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if (
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isdict and k in tx
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isdict and k in tx
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or getattr(tx, k, None)
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or
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getattr(tx, k, None)
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):
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):
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v = tx[k] if isdict else tx.dt
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v = (
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assert v is not None, f'No valid value for `{k}`!?'
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tx[k] if isdict
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else tx.dt
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)
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assert v is not None, (
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f'No valid value for `{k}`!?'
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)
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# only call parser on the value if not None from
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# only call parser on the value if not None from
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# the `parsers` table above (when NOT using
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# the `parsers` table above (when NOT using
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@ -269,8 +275,21 @@ def iter_by_dt(
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return v
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return v
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else:
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else:
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# XXX: should never get here..
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# TODO: move to top?
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breakpoint()
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from piker.log import get_logger
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log = get_logger(__name__)
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# XXX: we should really never get here..
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# only if a ledger record has no expected sort(able)
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# field will we likely hit this.. like with ze IB.
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# if no sortable field just deliver epoch?
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log.warning(
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'No (time) sortable field for TXN:\n'
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f'{tx}\n'
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)
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return from_timestamp(0)
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# breakpoint()
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entry: tuple[str, dict] | Transaction
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entry: tuple[str, dict] | Transaction
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for entry in sorted(
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for entry in sorted(
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@ -300,7 +300,8 @@ def disect(
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assert not df.is_empty()
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assert not df.is_empty()
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# muck around in pdbp REPL
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# muck around in pdbp REPL
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breakpoint()
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# tractor.devx.mk_pdb().set_trace()
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# breakpoint()
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# TODO: we REALLY need a better console REPL for this
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# TODO: we REALLY need a better console REPL for this
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# kinda thing..
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# kinda thing..
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@ -786,6 +786,7 @@ async def install_brokerd_search(
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@acm
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@acm
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async def maybe_open_feed(
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async def maybe_open_feed(
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fqmes: list[str],
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fqmes: list[str],
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loglevel: str | None = None,
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loglevel: str | None = None,
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@ -839,12 +840,13 @@ async def maybe_open_feed(
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@acm
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@acm
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async def open_feed(
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async def open_feed(
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fqmes: list[str],
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fqmes: list[str],
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loglevel: str|None = None,
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loglevel: str | None = None,
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allow_overruns: bool = True,
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allow_overruns: bool = True,
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start_stream: bool = True,
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start_stream: bool = True,
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tick_throttle: float|None = None, # Hz
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tick_throttle: float | None = None, # Hz
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allow_remote_ctl_ui: bool = False,
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allow_remote_ctl_ui: bool = False,
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@ -36,10 +36,10 @@ from ._sharedmem import (
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ShmArray,
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ShmArray,
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_Token,
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_Token,
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)
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)
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from piker.accounting import MktPair
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if TYPE_CHECKING:
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if TYPE_CHECKING:
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from piker.data.feed import Feed
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from ..accounting import MktPair
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from .feed import Feed
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class Flume(Struct):
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class Flume(Struct):
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@ -82,7 +82,7 @@ class Flume(Struct):
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# TODO: do we need this really if we can pull the `Portal` from
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# TODO: do we need this really if we can pull the `Portal` from
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# ``tractor``'s internals?
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# ``tractor``'s internals?
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feed: Feed|None = None
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feed: Feed | None = None
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@property
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@property
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def rt_shm(self) -> ShmArray:
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def rt_shm(self) -> ShmArray:
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@ -113,9 +113,9 @@ def validate_backend(
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)
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)
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if ep is None:
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if ep is None:
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log.warning(
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log.warning(
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f'Provider backend {mod.name!r} is missing '
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f'Provider backend {mod.name} is missing '
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f'{daemon_name!r} support?\n'
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f'{daemon_name} support :(\n'
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f'|_module endpoint-func missing: {name!r}\n'
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f'The following endpoint is missing: {name}'
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)
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)
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inits: list[
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inits: list[
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