Compare commits
21 Commits
94caa248e7
...
b61145ec5a
| Author | SHA1 | Date |
|---|---|---|
|
|
b61145ec5a | |
|
|
624cca091a | |
|
|
9045e18386 | |
|
|
23ea65e337 | |
|
|
ea2e374101 | |
|
|
f64fcc69ed | |
|
|
f3a20ed77f | |
|
|
95cdaf8114 | |
|
|
39dcaf528a | |
|
|
3f663e0e73 | |
|
|
de542c90fb | |
|
|
41559e6729 | |
|
|
93e22e27b9 | |
|
|
a00e9c0e64 | |
|
|
cb694700c2 | |
|
|
11c931f65d | |
|
|
60390ae596 | |
|
|
9592735aaa | |
|
|
49841f5b91 | |
|
|
b2827ef3c3 | |
|
|
2fc4ccf011 |
|
|
@ -42,7 +42,6 @@ from ._mktinfo import (
|
||||||
dec_digits,
|
dec_digits,
|
||||||
digits_to_dec,
|
digits_to_dec,
|
||||||
MktPair,
|
MktPair,
|
||||||
Symbol,
|
|
||||||
unpack_fqme,
|
unpack_fqme,
|
||||||
_derivs as DerivTypes,
|
_derivs as DerivTypes,
|
||||||
)
|
)
|
||||||
|
|
@ -60,7 +59,6 @@ __all__ = [
|
||||||
'Asset',
|
'Asset',
|
||||||
'MktPair',
|
'MktPair',
|
||||||
'Position',
|
'Position',
|
||||||
'Symbol',
|
|
||||||
'Transaction',
|
'Transaction',
|
||||||
'TransactionLedger',
|
'TransactionLedger',
|
||||||
'dec_digits',
|
'dec_digits',
|
||||||
|
|
|
||||||
|
|
@ -390,8 +390,8 @@ class MktPair(Struct, frozen=True):
|
||||||
cls,
|
cls,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
|
|
||||||
price_tick: float | str,
|
price_tick: float|str,
|
||||||
size_tick: float | str,
|
size_tick: float|str,
|
||||||
bs_mktid: str,
|
bs_mktid: str,
|
||||||
|
|
||||||
broker: str | None = None,
|
broker: str | None = None,
|
||||||
|
|
@ -677,90 +677,3 @@ def unpack_fqme(
|
||||||
# '.'.join([mkt_ep, venue]),
|
# '.'.join([mkt_ep, venue]),
|
||||||
suffix,
|
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
|
|
||||||
|
|
|
||||||
|
|
@ -374,9 +374,14 @@ class Client:
|
||||||
pair: Pair = pair_type(**item)
|
pair: Pair = pair_type(**item)
|
||||||
except Exception as e:
|
except Exception as e:
|
||||||
e.add_note(
|
e.add_note(
|
||||||
"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
|
f'\n'
|
||||||
'Check out their API docs here:\n\n'
|
f'New or removed field we need to codify!\n'
|
||||||
'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
|
f'pair-type: {pair_type!r}\n'
|
||||||
|
f'\n'
|
||||||
|
f"Don't panic, prolly stupid binance changed their symbology schema again..\n"
|
||||||
|
f'Check out their API docs here:\n'
|
||||||
|
f'\n'
|
||||||
|
f'https://binance-docs.github.io/apidocs/spot/en/#exchange-information\n'
|
||||||
)
|
)
|
||||||
raise
|
raise
|
||||||
pair_table[pair.symbol.upper()] = pair
|
pair_table[pair.symbol.upper()] = pair
|
||||||
|
|
|
||||||
|
|
@ -97,6 +97,8 @@ class Pair(Struct, frozen=True, kw_only=True):
|
||||||
baseAsset: str
|
baseAsset: str
|
||||||
baseAssetPrecision: int
|
baseAssetPrecision: int
|
||||||
|
|
||||||
|
permissionSets: list[list[str]]
|
||||||
|
|
||||||
filters: dict[
|
filters: dict[
|
||||||
str,
|
str,
|
||||||
str | int | float,
|
str | int | float,
|
||||||
|
|
@ -142,7 +144,11 @@ class SpotPair(Pair, frozen=True):
|
||||||
defaultSelfTradePreventionMode: str
|
defaultSelfTradePreventionMode: str
|
||||||
allowedSelfTradePreventionModes: list[str]
|
allowedSelfTradePreventionModes: list[str]
|
||||||
permissions: list[str]
|
permissions: list[str]
|
||||||
permissionSets: list[list[str]]
|
|
||||||
|
# can the paint botz creat liq gaps even easier on this asset?
|
||||||
|
# Bp
|
||||||
|
# https://developers.binance.com/docs/binance-spot-api-docs/faqs/order_amend_keep_priority
|
||||||
|
amendAllowed: bool
|
||||||
|
|
||||||
# NOTE: see `.data._symcache.SymbologyCache.load()` for why
|
# NOTE: see `.data._symcache.SymbologyCache.load()` for why
|
||||||
ns_path: str = 'piker.brokers.binance:SpotPair'
|
ns_path: str = 'piker.brokers.binance:SpotPair'
|
||||||
|
|
|
||||||
|
|
@ -175,9 +175,8 @@ async def handle_order_requests(
|
||||||
|
|
||||||
case {
|
case {
|
||||||
'account': 'kraken.spot' as account,
|
'account': 'kraken.spot' as account,
|
||||||
'action': action,
|
'action': 'buy'|'sell',
|
||||||
} if action in {'buy', 'sell'}:
|
}:
|
||||||
|
|
||||||
# validate
|
# validate
|
||||||
order = BrokerdOrder(**msg)
|
order = BrokerdOrder(**msg)
|
||||||
|
|
||||||
|
|
@ -262,6 +261,12 @@ async def handle_order_requests(
|
||||||
} | extra
|
} | extra
|
||||||
|
|
||||||
log.info(f'Submitting WS order request:\n{pformat(req)}')
|
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)
|
await ws.send_msg(req)
|
||||||
|
|
||||||
# placehold for sanity checking in relay loop
|
# placehold for sanity checking in relay loop
|
||||||
|
|
@ -1085,6 +1090,8 @@ async def handle_order_updates(
|
||||||
f'Failed to {action} order {reqid}:\n'
|
f'Failed to {action} order {reqid}:\n'
|
||||||
f'{errmsg}'
|
f'{errmsg}'
|
||||||
)
|
)
|
||||||
|
# if tractor._state.debug_mode():
|
||||||
|
# await tractor.pause()
|
||||||
|
|
||||||
symbol: str = 'N/A'
|
symbol: str = 'N/A'
|
||||||
if chain := apiflows.get(reqid):
|
if chain := apiflows.get(reqid):
|
||||||
|
|
|
||||||
|
|
@ -168,7 +168,6 @@ class OrderClient(Struct):
|
||||||
|
|
||||||
|
|
||||||
async def relay_orders_from_sync_code(
|
async def relay_orders_from_sync_code(
|
||||||
|
|
||||||
client: OrderClient,
|
client: OrderClient,
|
||||||
symbol_key: str,
|
symbol_key: str,
|
||||||
to_ems_stream: tractor.MsgStream,
|
to_ems_stream: tractor.MsgStream,
|
||||||
|
|
@ -242,6 +241,11 @@ async def open_ems(
|
||||||
|
|
||||||
async with maybe_open_emsd(
|
async with maybe_open_emsd(
|
||||||
broker,
|
broker,
|
||||||
|
# XXX NOTE, LOL so this determines the daemon `emsd` loglevel
|
||||||
|
# then FYI.. that's kinda wrong no?
|
||||||
|
# -[ ] shouldn't it be set by `pikerd -l` or no?
|
||||||
|
# -[ ] would make a lot more sense to have a subsys ctl for
|
||||||
|
# levels.. like `-l emsd.info` or something?
|
||||||
loglevel=loglevel,
|
loglevel=loglevel,
|
||||||
) as portal:
|
) as portal:
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -76,7 +76,6 @@ if TYPE_CHECKING:
|
||||||
|
|
||||||
# TODO: numba all of this
|
# TODO: numba all of this
|
||||||
def mk_check(
|
def mk_check(
|
||||||
|
|
||||||
trigger_price: float,
|
trigger_price: float,
|
||||||
known_last: float,
|
known_last: float,
|
||||||
action: str,
|
action: str,
|
||||||
|
|
@ -162,7 +161,7 @@ async def clear_dark_triggers(
|
||||||
|
|
||||||
router: Router,
|
router: Router,
|
||||||
brokerd_orders_stream: tractor.MsgStream,
|
brokerd_orders_stream: tractor.MsgStream,
|
||||||
quote_stream: tractor.ReceiveMsgStream, # noqa
|
quote_stream: tractor.MsgStream,
|
||||||
broker: str,
|
broker: str,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
|
|
||||||
|
|
@ -178,6 +177,7 @@ async def clear_dark_triggers(
|
||||||
'''
|
'''
|
||||||
# XXX: optimize this for speed!
|
# XXX: optimize this for speed!
|
||||||
# TODO:
|
# TODO:
|
||||||
|
# - port to the new ringbuf stuff in `tractor.ipc`!
|
||||||
# - numba all this!
|
# - numba all this!
|
||||||
# - this stream may eventually contain multiple symbols
|
# - this stream may eventually contain multiple symbols
|
||||||
quote_stream._raise_on_lag = False
|
quote_stream._raise_on_lag = False
|
||||||
|
|
@ -653,7 +653,11 @@ class Router(Struct):
|
||||||
flume = feed.flumes[fqme]
|
flume = feed.flumes[fqme]
|
||||||
first_quote: dict = flume.first_quote
|
first_quote: dict = flume.first_quote
|
||||||
book: DarkBook = self.get_dark_book(broker)
|
book: DarkBook = self.get_dark_book(broker)
|
||||||
book.lasts[fqme]: float = float(first_quote['last'])
|
|
||||||
|
if not (last := first_quote.get('last')):
|
||||||
|
last: float = flume.rt_shm.array[-1]['close']
|
||||||
|
|
||||||
|
book.lasts[fqme]: float = float(last)
|
||||||
|
|
||||||
async with self.maybe_open_brokerd_dialog(
|
async with self.maybe_open_brokerd_dialog(
|
||||||
brokermod=brokermod,
|
brokermod=brokermod,
|
||||||
|
|
@ -716,7 +720,7 @@ class Router(Struct):
|
||||||
subs = self.subscribers[sub_key]
|
subs = self.subscribers[sub_key]
|
||||||
|
|
||||||
sent_some: bool = False
|
sent_some: bool = False
|
||||||
for client_stream in subs:
|
for client_stream in subs.copy():
|
||||||
try:
|
try:
|
||||||
await client_stream.send(msg)
|
await client_stream.send(msg)
|
||||||
sent_some = True
|
sent_some = True
|
||||||
|
|
@ -1010,6 +1014,10 @@ async def translate_and_relay_brokerd_events(
|
||||||
status_msg.brokerd_msg = msg
|
status_msg.brokerd_msg = msg
|
||||||
status_msg.src = msg.broker_details['name']
|
status_msg.src = msg.broker_details['name']
|
||||||
|
|
||||||
|
if not status_msg.req:
|
||||||
|
# likely some order change state?
|
||||||
|
await tractor.pause()
|
||||||
|
else:
|
||||||
await router.client_broadcast(
|
await router.client_broadcast(
|
||||||
status_msg.req.symbol,
|
status_msg.req.symbol,
|
||||||
status_msg,
|
status_msg,
|
||||||
|
|
@ -1182,12 +1190,16 @@ async def process_client_order_cmds(
|
||||||
submitting live orders immediately if requested by the client.
|
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:
|
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!
|
# 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
|
# register this stream as an active order dialog (msg flow) for
|
||||||
# this order id such that translated message from the brokerd
|
# this order id such that translated message from the brokerd
|
||||||
|
|
@ -1293,7 +1305,7 @@ async def process_client_order_cmds(
|
||||||
case {
|
case {
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
'symbol': fqme,
|
'symbol': fqme,
|
||||||
'price': trigger_price,
|
'price': price,
|
||||||
'size': size,
|
'size': size,
|
||||||
'action': ('buy' | 'sell') as action,
|
'action': ('buy' | 'sell') as action,
|
||||||
'exec_mode': ('live' | 'paper'),
|
'exec_mode': ('live' | 'paper'),
|
||||||
|
|
@ -1325,7 +1337,7 @@ async def process_client_order_cmds(
|
||||||
|
|
||||||
symbol=sym,
|
symbol=sym,
|
||||||
action=action,
|
action=action,
|
||||||
price=trigger_price,
|
price=price,
|
||||||
size=size,
|
size=size,
|
||||||
account=req.account,
|
account=req.account,
|
||||||
)
|
)
|
||||||
|
|
@ -1347,7 +1359,11 @@ async def process_client_order_cmds(
|
||||||
# (``translate_and_relay_brokerd_events()`` above) will
|
# (``translate_and_relay_brokerd_events()`` above) will
|
||||||
# handle relaying the ems side responses back to
|
# handle relaying the ems side responses back to
|
||||||
# the client/cmd sender from this request
|
# 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)
|
await brokerd_order_stream.send(msg)
|
||||||
|
|
||||||
# an immediate response should be ``BrokerdOrderAck``
|
# an immediate response should be ``BrokerdOrderAck``
|
||||||
|
|
@ -1363,7 +1379,7 @@ async def process_client_order_cmds(
|
||||||
case {
|
case {
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
'symbol': fqme,
|
'symbol': fqme,
|
||||||
'price': trigger_price,
|
'price': price,
|
||||||
'size': size,
|
'size': size,
|
||||||
'exec_mode': exec_mode,
|
'exec_mode': exec_mode,
|
||||||
'action': action,
|
'action': action,
|
||||||
|
|
@ -1391,7 +1407,12 @@ async def process_client_order_cmds(
|
||||||
if isnan(last):
|
if isnan(last):
|
||||||
last = flume.rt_shm.array[-1]['close']
|
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
|
# NOTE: for dark orders currently we submit
|
||||||
# the triggered live order at a price 5 ticks
|
# the triggered live order at a price 5 ticks
|
||||||
|
|
@ -1531,7 +1552,7 @@ async def _emsd_main(
|
||||||
ctx: tractor.Context,
|
ctx: tractor.Context,
|
||||||
fqme: str,
|
fqme: str,
|
||||||
exec_mode: str, # ('paper', 'live')
|
exec_mode: str, # ('paper', 'live')
|
||||||
loglevel: str | None = None,
|
loglevel: str|None = None,
|
||||||
|
|
||||||
) -> tuple[
|
) -> tuple[
|
||||||
dict[
|
dict[
|
||||||
|
|
|
||||||
|
|
@ -19,6 +19,7 @@ Clearing sub-system message and protocols.
|
||||||
|
|
||||||
"""
|
"""
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
|
from decimal import Decimal
|
||||||
from typing import (
|
from typing import (
|
||||||
Literal,
|
Literal,
|
||||||
)
|
)
|
||||||
|
|
@ -71,7 +72,15 @@ class Order(Struct):
|
||||||
symbol: str # | MktPair
|
symbol: str # | MktPair
|
||||||
account: str # should we set a default as '' ?
|
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"
|
size: float # -ve is "sell", +ve is "buy"
|
||||||
|
|
||||||
brokers: list[str] = []
|
brokers: list[str] = []
|
||||||
|
|
@ -178,7 +187,7 @@ class BrokerdOrder(Struct):
|
||||||
time_ns: int
|
time_ns: int
|
||||||
|
|
||||||
symbol: str # fqme
|
symbol: str # fqme
|
||||||
price: float
|
price: Decimal
|
||||||
size: float
|
size: float
|
||||||
|
|
||||||
# TODO: if we instead rely on a +ve/-ve size to determine
|
# TODO: if we instead rely on a +ve/-ve size to determine
|
||||||
|
|
|
||||||
|
|
@ -297,6 +297,8 @@ class PaperBoi(Struct):
|
||||||
|
|
||||||
# transmit pp msg to ems
|
# transmit pp msg to ems
|
||||||
pp: Position = self.acnt.pps[bs_mktid]
|
pp: Position = self.acnt.pps[bs_mktid]
|
||||||
|
# TODO, this will break if `require_only=True` was passed to
|
||||||
|
# `.update_from_ledger()`
|
||||||
|
|
||||||
pp_msg = BrokerdPosition(
|
pp_msg = BrokerdPosition(
|
||||||
broker=self.broker,
|
broker=self.broker,
|
||||||
|
|
@ -508,7 +510,7 @@ async def handle_order_requests(
|
||||||
reqid = await client.submit_limit(
|
reqid = await client.submit_limit(
|
||||||
oid=order.oid,
|
oid=order.oid,
|
||||||
symbol=f'{order.symbol}.{client.broker}',
|
symbol=f'{order.symbol}.{client.broker}',
|
||||||
price=order.price,
|
price=float(order.price),
|
||||||
action=order.action,
|
action=order.action,
|
||||||
size=order.size,
|
size=order.size,
|
||||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||||
|
|
|
||||||
|
|
@ -30,6 +30,7 @@ subsys: str = 'piker.clearing'
|
||||||
|
|
||||||
log = get_logger(subsys)
|
log = get_logger(subsys)
|
||||||
|
|
||||||
|
# TODO, oof doesn't this ignore the `loglevel` then???
|
||||||
get_console_log = partial(
|
get_console_log = partial(
|
||||||
get_console_log,
|
get_console_log,
|
||||||
name=subsys,
|
name=subsys,
|
||||||
|
|
|
||||||
|
|
@ -335,7 +335,7 @@ def services(config, tl, ports):
|
||||||
name='service_query',
|
name='service_query',
|
||||||
loglevel=config['loglevel'] if tl else None,
|
loglevel=config['loglevel'] if tl else None,
|
||||||
),
|
),
|
||||||
tractor.get_arbiter(
|
tractor.get_registry(
|
||||||
host=host,
|
host=host,
|
||||||
port=ports[0]
|
port=ports[0]
|
||||||
) as portal
|
) as portal
|
||||||
|
|
|
||||||
|
|
@ -95,6 +95,12 @@ class Sampler:
|
||||||
# history loading.
|
# history loading.
|
||||||
incr_task_cs: trio.CancelScope | None = None
|
incr_task_cs: trio.CancelScope | None = None
|
||||||
|
|
||||||
|
bcast_errors: tuple[Exception] = (
|
||||||
|
trio.BrokenResourceError,
|
||||||
|
trio.ClosedResourceError,
|
||||||
|
trio.EndOfChannel,
|
||||||
|
)
|
||||||
|
|
||||||
# holds all the ``tractor.Context`` remote subscriptions for
|
# holds all the ``tractor.Context`` remote subscriptions for
|
||||||
# a particular sample period increment event: all subscribers are
|
# a particular sample period increment event: all subscribers are
|
||||||
# notified on a step.
|
# notified on a step.
|
||||||
|
|
@ -258,14 +264,15 @@ class Sampler:
|
||||||
subs: set
|
subs: set
|
||||||
last_ts, subs = pair
|
last_ts, subs = pair
|
||||||
|
|
||||||
task = trio.lowlevel.current_task()
|
# NOTE, for debugging pub-sub issues
|
||||||
log.debug(
|
# task = trio.lowlevel.current_task()
|
||||||
f'SUBS {self.subscribers}\n'
|
# log.debug(
|
||||||
f'PAIR {pair}\n'
|
# f'AlL-SUBS@{period_s!r}: {self.subscribers}\n'
|
||||||
f'TASK: {task}: {id(task)}\n'
|
# f'PAIR: {pair}\n'
|
||||||
f'broadcasting {period_s} -> {last_ts}\n'
|
# f'TASK: {task}: {id(task)}\n'
|
||||||
|
# f'broadcasting {period_s} -> {last_ts}\n'
|
||||||
# f'consumers: {subs}'
|
# f'consumers: {subs}'
|
||||||
)
|
# )
|
||||||
borked: set[MsgStream] = set()
|
borked: set[MsgStream] = set()
|
||||||
sent: set[MsgStream] = set()
|
sent: set[MsgStream] = set()
|
||||||
while True:
|
while True:
|
||||||
|
|
@ -282,12 +289,11 @@ class Sampler:
|
||||||
await stream.send(msg)
|
await stream.send(msg)
|
||||||
sent.add(stream)
|
sent.add(stream)
|
||||||
|
|
||||||
except (
|
except self.bcast_errors as err:
|
||||||
trio.BrokenResourceError,
|
|
||||||
trio.ClosedResourceError
|
|
||||||
):
|
|
||||||
log.error(
|
log.error(
|
||||||
f'{stream._ctx.chan.uid} dropped connection'
|
f'Connection dropped for IPC ctx\n'
|
||||||
|
f'{stream._ctx}\n\n'
|
||||||
|
f'Due to {type(err)}'
|
||||||
)
|
)
|
||||||
borked.add(stream)
|
borked.add(stream)
|
||||||
else:
|
else:
|
||||||
|
|
@ -394,7 +400,8 @@ async def register_with_sampler(
|
||||||
finally:
|
finally:
|
||||||
if (
|
if (
|
||||||
sub_for_broadcasts
|
sub_for_broadcasts
|
||||||
and subs
|
and
|
||||||
|
subs
|
||||||
):
|
):
|
||||||
try:
|
try:
|
||||||
subs.remove(stream)
|
subs.remove(stream)
|
||||||
|
|
@ -561,8 +568,7 @@ async def open_sample_stream(
|
||||||
|
|
||||||
|
|
||||||
async def sample_and_broadcast(
|
async def sample_and_broadcast(
|
||||||
|
bus: _FeedsBus,
|
||||||
bus: _FeedsBus, # noqa
|
|
||||||
rt_shm: ShmArray,
|
rt_shm: ShmArray,
|
||||||
hist_shm: ShmArray,
|
hist_shm: ShmArray,
|
||||||
quote_stream: trio.abc.ReceiveChannel,
|
quote_stream: trio.abc.ReceiveChannel,
|
||||||
|
|
@ -582,11 +588,33 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
overruns = Counter()
|
overruns = Counter()
|
||||||
|
|
||||||
|
# NOTE, only used for debugging live-data-feed issues, though
|
||||||
|
# this should be resolved more correctly in the future using the
|
||||||
|
# new typed-msgspec feats of `tractor`!
|
||||||
|
#
|
||||||
|
# XXX, a multiline nested `dict` formatter (since rn quote-msgs
|
||||||
|
# are just that).
|
||||||
|
# pfmt: Callable[[str], str] = mk_repr()
|
||||||
|
|
||||||
# iterate stream delivered by broker
|
# iterate stream delivered by broker
|
||||||
async for quotes in quote_stream:
|
async for quotes in quote_stream:
|
||||||
# print(quotes)
|
# print(quotes)
|
||||||
|
|
||||||
# TODO: ``numba`` this!
|
# XXX WARNING XXX only enable for debugging bc ow can cost
|
||||||
|
# ALOT of perf with HF-feedz!!!
|
||||||
|
#
|
||||||
|
# log.info(
|
||||||
|
# 'Rx live quotes:\n'
|
||||||
|
# f'{pfmt(quotes)}'
|
||||||
|
# )
|
||||||
|
|
||||||
|
# TODO,
|
||||||
|
# -[ ] `numba` or `cython`-nize this loop possibly?
|
||||||
|
# |_alternatively could we do it in rust somehow by upacking
|
||||||
|
# arrow msgs instead of using `msgspec`?
|
||||||
|
# -[ ] use `msgspec.Struct` support in new typed-msging from
|
||||||
|
# `tractor` to ensure only allowed msgs are transmitted?
|
||||||
|
#
|
||||||
for broker_symbol, quote in quotes.items():
|
for broker_symbol, quote in quotes.items():
|
||||||
# TODO: in theory you can send the IPC msg *before* writing
|
# TODO: in theory you can send the IPC msg *before* writing
|
||||||
# to the sharedmem array to decrease latency, however, that
|
# to the sharedmem array to decrease latency, however, that
|
||||||
|
|
@ -659,6 +687,21 @@ async def sample_and_broadcast(
|
||||||
sub_key: str = broker_symbol.lower()
|
sub_key: str = broker_symbol.lower()
|
||||||
subs: set[Sub] = bus.get_subs(sub_key)
|
subs: set[Sub] = bus.get_subs(sub_key)
|
||||||
|
|
||||||
|
# TODO, figure out how to make this useful whilst
|
||||||
|
# incoporating feed "pausing" ..
|
||||||
|
#
|
||||||
|
# if not subs:
|
||||||
|
# all_bs_fqmes: list[str] = list(
|
||||||
|
# bus._subscribers.keys()
|
||||||
|
# )
|
||||||
|
# log.warning(
|
||||||
|
# f'No subscribers for {brokername!r} live-quote ??\n'
|
||||||
|
# f'broker_symbol: {broker_symbol}\n\n'
|
||||||
|
|
||||||
|
# f'Maybe the backend-sys symbol does not match one of,\n'
|
||||||
|
# f'{pfmt(all_bs_fqmes)}\n'
|
||||||
|
# )
|
||||||
|
|
||||||
# NOTE: by default the broker backend doesn't append
|
# NOTE: by default the broker backend doesn't append
|
||||||
# it's own "name" into the fqme schema (but maybe it
|
# it's own "name" into the fqme schema (but maybe it
|
||||||
# should?) so we have to manually generate the correct
|
# should?) so we have to manually generate the correct
|
||||||
|
|
@ -697,7 +740,7 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
log.warning(
|
log.warning(
|
||||||
f'Feed OVERRUN {sub_key}'
|
f'Feed OVERRUN {sub_key}'
|
||||||
'@{bus.brokername} -> \n'
|
f'@{bus.brokername} -> \n'
|
||||||
f'feed @ {chan.uid}\n'
|
f'feed @ {chan.uid}\n'
|
||||||
f'throttle = {throttle} Hz'
|
f'throttle = {throttle} Hz'
|
||||||
)
|
)
|
||||||
|
|
@ -728,18 +771,14 @@ async def sample_and_broadcast(
|
||||||
if lags > 10:
|
if lags > 10:
|
||||||
await tractor.pause()
|
await tractor.pause()
|
||||||
|
|
||||||
except (
|
except Sampler.bcast_errors as ipc_err:
|
||||||
trio.BrokenResourceError,
|
|
||||||
trio.ClosedResourceError,
|
|
||||||
trio.EndOfChannel,
|
|
||||||
):
|
|
||||||
ctx: Context = ipc._ctx
|
ctx: Context = ipc._ctx
|
||||||
chan: Channel = ctx.chan
|
chan: Channel = ctx.chan
|
||||||
if ctx:
|
if ctx:
|
||||||
log.warning(
|
log.warning(
|
||||||
'Dropped `brokerd`-quotes-feed connection:\n'
|
f'Dropped `brokerd`-feed for {broker_symbol!r} due to,\n'
|
||||||
f'{broker_symbol}:'
|
f'x>) {ctx.cid}@{chan.uid}'
|
||||||
f'{ctx.cid}@{chan.uid}'
|
f'|_{ipc_err!r}\n\n'
|
||||||
)
|
)
|
||||||
if sub.throttle_rate:
|
if sub.throttle_rate:
|
||||||
assert ipc._closed
|
assert ipc._closed
|
||||||
|
|
@ -756,12 +795,11 @@ async def sample_and_broadcast(
|
||||||
|
|
||||||
|
|
||||||
async def uniform_rate_send(
|
async def uniform_rate_send(
|
||||||
|
|
||||||
rate: float,
|
rate: float,
|
||||||
quote_stream: trio.abc.ReceiveChannel,
|
quote_stream: trio.abc.ReceiveChannel,
|
||||||
stream: MsgStream,
|
stream: MsgStream,
|
||||||
|
|
||||||
task_status: TaskStatus = trio.TASK_STATUS_IGNORED,
|
task_status: TaskStatus[None] = trio.TASK_STATUS_IGNORED,
|
||||||
|
|
||||||
) -> None:
|
) -> None:
|
||||||
'''
|
'''
|
||||||
|
|
@ -779,13 +817,16 @@ async def uniform_rate_send(
|
||||||
https://gist.github.com/njsmith/7ea44ec07e901cb78ebe1dd8dd846cb9
|
https://gist.github.com/njsmith/7ea44ec07e901cb78ebe1dd8dd846cb9
|
||||||
|
|
||||||
'''
|
'''
|
||||||
# TODO: compute the approx overhead latency per cycle
|
# ?TODO? dynamically compute the **actual** approx overhead latency per cycle
|
||||||
left_to_sleep = throttle_period = 1/rate - 0.000616
|
# instead of this magic # bidinezz?
|
||||||
|
throttle_period: float = 1/rate - 0.000616
|
||||||
|
left_to_sleep: float = throttle_period
|
||||||
|
|
||||||
# send cycle state
|
# send cycle state
|
||||||
|
first_quote: dict|None
|
||||||
first_quote = last_quote = None
|
first_quote = last_quote = None
|
||||||
last_send = time.time()
|
last_send: float = time.time()
|
||||||
diff = 0
|
diff: float = 0
|
||||||
|
|
||||||
task_status.started()
|
task_status.started()
|
||||||
ticks_by_type: dict[
|
ticks_by_type: dict[
|
||||||
|
|
@ -796,22 +837,28 @@ async def uniform_rate_send(
|
||||||
clear_types = _tick_groups['clears']
|
clear_types = _tick_groups['clears']
|
||||||
|
|
||||||
while True:
|
while True:
|
||||||
|
|
||||||
# compute the remaining time to sleep for this throttled cycle
|
# compute the remaining time to sleep for this throttled cycle
|
||||||
left_to_sleep = throttle_period - diff
|
left_to_sleep: float = throttle_period - diff
|
||||||
|
|
||||||
if left_to_sleep > 0:
|
if left_to_sleep > 0:
|
||||||
|
cs: trio.CancelScope
|
||||||
with trio.move_on_after(left_to_sleep) as cs:
|
with trio.move_on_after(left_to_sleep) as cs:
|
||||||
|
sym: str
|
||||||
|
last_quote: dict
|
||||||
try:
|
try:
|
||||||
sym, last_quote = await quote_stream.receive()
|
sym, last_quote = await quote_stream.receive()
|
||||||
except trio.EndOfChannel:
|
except trio.EndOfChannel:
|
||||||
log.exception(f"feed for {stream} ended?")
|
log.exception(
|
||||||
|
f'Live stream for feed for ended?\n'
|
||||||
|
f'<=c\n'
|
||||||
|
f' |_[{stream!r}\n'
|
||||||
|
)
|
||||||
break
|
break
|
||||||
|
|
||||||
diff = time.time() - last_send
|
diff: float = time.time() - last_send
|
||||||
|
|
||||||
if not first_quote:
|
if not first_quote:
|
||||||
first_quote = last_quote
|
first_quote: float = last_quote
|
||||||
# first_quote['tbt'] = ticks_by_type
|
# first_quote['tbt'] = ticks_by_type
|
||||||
|
|
||||||
if (throttle_period - diff) > 0:
|
if (throttle_period - diff) > 0:
|
||||||
|
|
@ -872,7 +919,9 @@ async def uniform_rate_send(
|
||||||
# TODO: now if only we could sync this to the display
|
# TODO: now if only we could sync this to the display
|
||||||
# rate timing exactly lul
|
# rate timing exactly lul
|
||||||
try:
|
try:
|
||||||
await stream.send({sym: first_quote})
|
await stream.send({
|
||||||
|
sym: first_quote
|
||||||
|
})
|
||||||
except tractor.RemoteActorError as rme:
|
except tractor.RemoteActorError as rme:
|
||||||
if rme.type is not tractor._exceptions.StreamOverrun:
|
if rme.type is not tractor._exceptions.StreamOverrun:
|
||||||
raise
|
raise
|
||||||
|
|
@ -883,19 +932,28 @@ async def uniform_rate_send(
|
||||||
f'{sym}:{ctx.cid}@{chan.uid}'
|
f'{sym}:{ctx.cid}@{chan.uid}'
|
||||||
)
|
)
|
||||||
|
|
||||||
except (
|
# NOTE: any of these can be raised by `tractor`'s IPC
|
||||||
# NOTE: any of these can be raised by ``tractor``'s IPC
|
|
||||||
# transport-layer and we want to be highly resilient
|
# transport-layer and we want to be highly resilient
|
||||||
# to consumers which crash or lose network connection.
|
# to consumers which crash or lose network connection.
|
||||||
# I.e. we **DO NOT** want to crash and propagate up to
|
# I.e. we **DO NOT** want to crash and propagate up to
|
||||||
# ``pikerd`` these kinds of errors!
|
# ``pikerd`` these kinds of errors!
|
||||||
trio.ClosedResourceError,
|
except (
|
||||||
trio.BrokenResourceError,
|
|
||||||
ConnectionResetError,
|
ConnectionResetError,
|
||||||
):
|
) + Sampler.bcast_errors as ipc_err:
|
||||||
|
match ipc_err:
|
||||||
|
case trio.EndOfChannel():
|
||||||
|
log.info(
|
||||||
|
f'{stream} terminated by peer,\n'
|
||||||
|
f'{ipc_err!r}'
|
||||||
|
)
|
||||||
|
case _:
|
||||||
# if the feed consumer goes down then drop
|
# if the feed consumer goes down then drop
|
||||||
# out of this rate limiter
|
# out of this rate limiter
|
||||||
log.warning(f'{stream} closed')
|
log.warning(
|
||||||
|
f'{stream} closed due to,\n'
|
||||||
|
f'{ipc_err!r}'
|
||||||
|
)
|
||||||
|
|
||||||
await stream.aclose()
|
await stream.aclose()
|
||||||
return
|
return
|
||||||
|
|
||||||
|
|
|
||||||
30
piker/log.py
30
piker/log.py
|
|
@ -19,6 +19,10 @@ Log like a forester!
|
||||||
"""
|
"""
|
||||||
import logging
|
import logging
|
||||||
import json
|
import json
|
||||||
|
import reprlib
|
||||||
|
from typing import (
|
||||||
|
Callable,
|
||||||
|
)
|
||||||
|
|
||||||
import tractor
|
import tractor
|
||||||
from pygments import (
|
from pygments import (
|
||||||
|
|
@ -84,3 +88,29 @@ def colorize_json(
|
||||||
# likeable styles: algol_nu, tango, monokai
|
# likeable styles: algol_nu, tango, monokai
|
||||||
formatters.TerminalTrueColorFormatter(style=style)
|
formatters.TerminalTrueColorFormatter(style=style)
|
||||||
)
|
)
|
||||||
|
|
||||||
|
|
||||||
|
# TODO, eventually defer to the version in `modden` once
|
||||||
|
# it becomes a dep!
|
||||||
|
def mk_repr(
|
||||||
|
**repr_kws,
|
||||||
|
) -> Callable[[str], str]:
|
||||||
|
'''
|
||||||
|
Allocate and deliver a `repr.Repr` instance with provided input
|
||||||
|
settings using the std-lib's `reprlib` mod,
|
||||||
|
* https://docs.python.org/3/library/reprlib.html
|
||||||
|
|
||||||
|
------ Ex. ------
|
||||||
|
An up to 6-layer-nested `dict` as multi-line:
|
||||||
|
- https://stackoverflow.com/a/79102479
|
||||||
|
- https://docs.python.org/3/library/reprlib.html#reprlib.Repr.maxlevel
|
||||||
|
|
||||||
|
'''
|
||||||
|
def_kws: dict[str, int] = dict(
|
||||||
|
indent=2,
|
||||||
|
maxlevel=6, # recursion levels
|
||||||
|
maxstring=66, # match editor line-len limit
|
||||||
|
)
|
||||||
|
def_kws |= repr_kws
|
||||||
|
reprr = reprlib.Repr(**def_kws)
|
||||||
|
return reprr.repr
|
||||||
|
|
|
||||||
|
|
@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
|
||||||
from __future__ import annotations
|
from __future__ import annotations
|
||||||
from contextlib import asynccontextmanager
|
from contextlib import asynccontextmanager
|
||||||
from dataclasses import dataclass, field
|
from dataclasses import dataclass, field
|
||||||
|
from decimal import Decimal
|
||||||
from functools import partial
|
from functools import partial
|
||||||
from pprint import pformat
|
from pprint import pformat
|
||||||
import time
|
import time
|
||||||
|
|
@ -41,7 +42,6 @@ from piker.accounting import (
|
||||||
Position,
|
Position,
|
||||||
mk_allocator,
|
mk_allocator,
|
||||||
MktPair,
|
MktPair,
|
||||||
Symbol,
|
|
||||||
)
|
)
|
||||||
from piker.clearing import (
|
from piker.clearing import (
|
||||||
open_ems,
|
open_ems,
|
||||||
|
|
@ -143,6 +143,15 @@ class OrderMode:
|
||||||
}
|
}
|
||||||
_staged_order: Order | None = None
|
_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(
|
def on_level_change_update_next_order_info(
|
||||||
self,
|
self,
|
||||||
level: float,
|
level: float,
|
||||||
|
|
@ -172,7 +181,11 @@ class OrderMode:
|
||||||
line.update_labels(order_info)
|
line.update_labels(order_info)
|
||||||
|
|
||||||
# update bound-in staged order
|
# update bound-in staged order
|
||||||
order.price = level
|
mkt: MktPair = self.curr_mkt
|
||||||
|
order.price: Decimal = mkt.quantize(
|
||||||
|
size=level,
|
||||||
|
quantity_type='price',
|
||||||
|
)
|
||||||
order.size = order_info['size']
|
order.size = order_info['size']
|
||||||
|
|
||||||
# when an order is changed we flip the settings side-pane to
|
# when an order is changed we flip the settings side-pane to
|
||||||
|
|
@ -187,7 +200,9 @@ class OrderMode:
|
||||||
|
|
||||||
) -> LevelLine:
|
) -> 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(
|
line = order_line(
|
||||||
chart or self.chart,
|
chart or self.chart,
|
||||||
|
|
@ -224,7 +239,11 @@ class OrderMode:
|
||||||
# the order mode allocator but we still need to update the
|
# the order mode allocator but we still need to update the
|
||||||
# "staged" order message we'll send to the ems
|
# "staged" order message we'll send to the ems
|
||||||
def update_order_price(y: float) -> None:
|
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',
|
||||||
|
)
|
||||||
|
|
||||||
line._on_level_change = update_order_price
|
line._on_level_change = update_order_price
|
||||||
|
|
||||||
|
|
@ -275,34 +294,31 @@ class OrderMode:
|
||||||
chart = cursor.linked.chart
|
chart = cursor.linked.chart
|
||||||
if (
|
if (
|
||||||
not chart
|
not chart
|
||||||
and cursor
|
and
|
||||||
and cursor.active_plot
|
cursor
|
||||||
|
and
|
||||||
|
cursor.active_plot
|
||||||
):
|
):
|
||||||
return
|
return
|
||||||
|
|
||||||
chart = cursor.active_plot
|
chart = cursor.active_plot
|
||||||
price = cursor._datum_xy[1]
|
price: float = cursor._datum_xy[1]
|
||||||
if not price:
|
if not price:
|
||||||
# zero prices are not supported by any means
|
# zero prices are not supported by any means
|
||||||
# since that's illogical / a no-op.
|
# since that's illogical / a no-op.
|
||||||
return
|
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
|
# TODO: should we be enforcing this precision
|
||||||
# at a different layer in the stack? right now
|
# at a different layer in the stack?
|
||||||
# any precision error will literally be relayed
|
# |_ might require `MktPair` tracking in the EMS?
|
||||||
# all the way back from the backend.
|
# |_ right now any precision error will be relayed
|
||||||
|
# all the way back from the backend and vice-versa..
|
||||||
price = round(
|
#
|
||||||
price,
|
mkt: MktPair = self.curr_mkt
|
||||||
ndigits=mkt.price_tick_digits,
|
price: Decimal = mkt.quantize(
|
||||||
|
size=price,
|
||||||
|
quantity_type='price',
|
||||||
)
|
)
|
||||||
|
|
||||||
order = self._staged_order = Order(
|
order = self._staged_order = Order(
|
||||||
action=action,
|
action=action,
|
||||||
price=price,
|
price=price,
|
||||||
|
|
@ -378,7 +394,7 @@ class OrderMode:
|
||||||
'oid': oid,
|
'oid': oid,
|
||||||
})
|
})
|
||||||
|
|
||||||
if order.price <= 0:
|
if float(order.price) <= 0:
|
||||||
log.error(
|
log.error(
|
||||||
'*!? Invalid `Order.price <= 0` ?!*\n'
|
'*!? Invalid `Order.price <= 0` ?!*\n'
|
||||||
# TODO: make this present multi-line in object form
|
# TODO: make this present multi-line in object form
|
||||||
|
|
@ -515,14 +531,15 @@ class OrderMode:
|
||||||
# if an order msg is provided update the line
|
# if an order msg is provided update the line
|
||||||
# **from** that msg.
|
# **from** that msg.
|
||||||
if order:
|
if order:
|
||||||
if order.price <= 0:
|
price: float = float(order.price)
|
||||||
|
if price <= 0:
|
||||||
log.error(f'Order has 0 price, cancelling..\n{order}')
|
log.error(f'Order has 0 price, cancelling..\n{order}')
|
||||||
self.cancel_orders([order.oid])
|
self.cancel_orders([order.oid])
|
||||||
return None
|
return None
|
||||||
|
|
||||||
line.set_level(order.price)
|
line.set_level(price)
|
||||||
self.on_level_change_update_next_order_info(
|
self.on_level_change_update_next_order_info(
|
||||||
level=order.price,
|
level=price,
|
||||||
line=line,
|
line=line,
|
||||||
order=order,
|
order=order,
|
||||||
# use the corresponding position tracker for the
|
# use the corresponding position tracker for the
|
||||||
|
|
@ -681,9 +698,9 @@ class OrderMode:
|
||||||
) -> Dialog | None:
|
) -> Dialog | None:
|
||||||
# NOTE: the `.order` attr **must** be set with the
|
# NOTE: the `.order` attr **must** be set with the
|
||||||
# equivalent order msg in order to be loaded.
|
# equivalent order msg in order to be loaded.
|
||||||
order = msg.req
|
order: Order = msg.req
|
||||||
oid = str(msg.oid)
|
oid = str(msg.oid)
|
||||||
symbol = order.symbol
|
symbol: str = order.symbol
|
||||||
|
|
||||||
# TODO: MEGA UGGG ZONEEEE!
|
# TODO: MEGA UGGG ZONEEEE!
|
||||||
src = msg.src
|
src = msg.src
|
||||||
|
|
@ -702,13 +719,22 @@ class OrderMode:
|
||||||
order.oid = str(order.oid)
|
order.oid = str(order.oid)
|
||||||
order.brokers = [brokername]
|
order.brokers = [brokername]
|
||||||
|
|
||||||
# TODO: change this over to `MktPair`, but it's
|
# ?TODO? change this over to `MktPair`, but it's gonna be
|
||||||
# gonna be tough since we don't have any such data
|
# tough since we don't have any such data really in our
|
||||||
# really in our clearing msg schema..
|
# clearing msg schema..
|
||||||
order.symbol = Symbol.from_fqme(
|
# BUT WAIT! WHY do we even want/need this!?
|
||||||
fqsn=fqme,
|
#
|
||||||
info={},
|
# 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(
|
maybe_dialog: Dialog | None = self.submit_order(
|
||||||
send_msg=False,
|
send_msg=False,
|
||||||
order=order,
|
order=order,
|
||||||
|
|
@ -1101,7 +1127,7 @@ async def process_trade_msg(
|
||||||
)
|
)
|
||||||
)
|
)
|
||||||
):
|
):
|
||||||
msg.req = order
|
msg.req: Order = order
|
||||||
dialog: (
|
dialog: (
|
||||||
Dialog
|
Dialog
|
||||||
# NOTE: on an invalid order submission (eg.
|
# NOTE: on an invalid order submission (eg.
|
||||||
|
|
@ -1166,7 +1192,7 @@ async def process_trade_msg(
|
||||||
tm = time.time()
|
tm = time.time()
|
||||||
mode.on_fill(
|
mode.on_fill(
|
||||||
oid,
|
oid,
|
||||||
price=req.price,
|
price=float(req.price),
|
||||||
time_s=tm,
|
time_s=tm,
|
||||||
)
|
)
|
||||||
mode.lines.remove_line(uuid=oid)
|
mode.lines.remove_line(uuid=oid)
|
||||||
|
|
@ -1221,7 +1247,7 @@ async def process_trade_msg(
|
||||||
tm = details['broker_time']
|
tm = details['broker_time']
|
||||||
mode.on_fill(
|
mode.on_fill(
|
||||||
oid,
|
oid,
|
||||||
price=details['price'],
|
price=float(details['price']),
|
||||||
time_s=tm,
|
time_s=tm,
|
||||||
pointing='up' if action == 'buy' else 'down',
|
pointing='up' if action == 'buy' else 'down',
|
||||||
)
|
)
|
||||||
|
|
|
||||||
|
|
@ -130,4 +130,5 @@ pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
|
||||||
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
|
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
|
||||||
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
|
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
|
||||||
msgspec = { git = "https://github.com/jcrist/msgspec.git" }
|
msgspec = { git = "https://github.com/jcrist/msgspec.git" }
|
||||||
tractor = { path = "../tractor", editable = true }
|
tractor = { git = "https://pikers.dev/goodboy/tractor", branch = "piker_pin" }
|
||||||
|
# tractor = { path = "../tractor", editable = true }
|
||||||
|
|
|
||||||
|
|
@ -62,8 +62,9 @@ ignore-init-module-imports = false
|
||||||
fixable = ["ALL"]
|
fixable = ["ALL"]
|
||||||
unfixable = []
|
unfixable = []
|
||||||
|
|
||||||
|
# TODO? uhh why no work!?
|
||||||
# Allow unused variables when underscore-prefixed.
|
# Allow unused variables when underscore-prefixed.
|
||||||
dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
# dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
||||||
|
|
||||||
[format]
|
[format]
|
||||||
# Use single quotes in `ruff format`.
|
# Use single quotes in `ruff format`.
|
||||||
|
|
|
||||||
|
|
@ -179,7 +179,7 @@ def test_ems_err_on_bad_broker(
|
||||||
# NOTE: emsd should error on the actor's enabled modules
|
# NOTE: emsd should error on the actor's enabled modules
|
||||||
# import phase, when looking for a backend named `doggy`.
|
# import phase, when looking for a backend named `doggy`.
|
||||||
except tractor.RemoteActorError as re:
|
except tractor.RemoteActorError as re:
|
||||||
assert re.type == ModuleNotFoundError
|
assert re.type is ModuleNotFoundError
|
||||||
|
|
||||||
run_and_tollerate_cancels(load_bad_fqme)
|
run_and_tollerate_cancels(load_bad_fqme)
|
||||||
|
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue