Compare commits
No commits in common. "asycvnc_pin_bump" and "310_plus" have entirely different histories.
asycvnc_pi
...
310_plus
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@ -2,19 +2,15 @@
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# start VNC server
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x11vnc \
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-listen 127.0.0.1 \
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-allow 127.0.0.1 \
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-autoport 3003 \
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-no6 \
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-noipv6 \
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-ncache_cr \
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-listen localhost \
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-display :1 \
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-bg \
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-forever \
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-shared \
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-logappend /var/log/x11vnc.log \
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-ncache_cr \
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-ncache \
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-bg \
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-noipv6 \
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-autoport 3003 \
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# can't use this because of ``asyncvnc`` issue:
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# https://github.com/barneygale/asyncvnc/issues/1
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# -passwd 'ibcansmbz'
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@ -22,10 +22,10 @@ from typing import Optional, Union, Callable, Any
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from contextlib import asynccontextmanager as acm
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from collections import defaultdict
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from msgspec import Struct
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import tractor
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from pydantic import BaseModel
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import trio
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from trio_typing import TaskStatus
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import tractor
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from .log import get_logger, get_console_log
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from .brokers import get_brokermod
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@ -47,13 +47,16 @@ _root_modules = [
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]
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class Services(Struct):
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class Services(BaseModel):
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actor_n: tractor._supervise.ActorNursery
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service_n: trio.Nursery
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debug_mode: bool # tractor sub-actor debug mode flag
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service_tasks: dict[str, tuple[trio.CancelScope, tractor.Portal]] = {}
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class Config:
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arbitrary_types_allowed = True
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async def start_service_task(
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self,
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name: str,
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@ -33,13 +33,14 @@ import asks
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from fuzzywuzzy import process as fuzzy
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import numpy as np
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import tractor
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from pydantic.dataclasses import dataclass
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from pydantic import BaseModel
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import wsproto
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from .._cacheables import open_cached_client
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from ._util import resproc, SymbolNotFound
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from ..log import get_logger, get_console_log
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from ..data import ShmArray
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from ..data.types import Struct
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from ..data._web_bs import open_autorecon_ws, NoBsWs
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log = get_logger(__name__)
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@ -78,14 +79,12 @@ _show_wap_in_history = False
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# https://binance-docs.github.io/apidocs/spot/en/#exchange-information
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class Pair(Struct, frozen=True):
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class Pair(BaseModel):
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symbol: str
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status: str
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baseAsset: str
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baseAssetPrecision: int
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cancelReplaceAllowed: bool
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allowTrailingStop: bool
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quoteAsset: str
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quotePrecision: int
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quoteAssetPrecision: int
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@ -105,14 +104,14 @@ class Pair(Struct, frozen=True):
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permissions: list[str]
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class OHLC(Struct):
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'''
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Description of the flattened OHLC quote format.
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@dataclass
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class OHLC:
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"""Description of the flattened OHLC quote format.
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For schema details see:
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https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-streams
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'''
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"""
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time: int
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open: float
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@ -261,7 +260,6 @@ class Client:
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for i, bar in enumerate(bars):
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bar = OHLC(*bar)
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bar.typecast()
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row = []
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for j, (name, ftype) in enumerate(_ohlc_dtype[1:]):
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@ -289,7 +287,7 @@ async def get_client() -> Client:
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# validation type
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class AggTrade(Struct):
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class AggTrade(BaseModel):
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e: str # Event type
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E: int # Event time
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s: str # Symbol
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@ -343,9 +341,7 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
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elif msg.get('e') == 'aggTrade':
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# NOTE: this is purely for a definition, ``msgspec.Struct``
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# does not runtime-validate until you decode/encode.
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# see: https://jcristharif.com/msgspec/structs.html#type-validation
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# validate
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msg = AggTrade(**msg)
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# TODO: type out and require this quote format
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@ -356,8 +352,8 @@ async def stream_messages(ws: NoBsWs) -> AsyncGenerator[NoBsWs, dict]:
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'brokerd_ts': time.time(),
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'ticks': [{
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'type': 'trade',
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'price': float(msg.p),
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'size': float(msg.q),
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'price': msg.p,
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'size': msg.q,
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'broker_ts': msg.T,
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}],
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}
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@ -452,7 +448,7 @@ async def stream_quotes(
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d = cache[sym.upper()]
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syminfo = Pair(**d) # validation
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si = sym_infos[sym] = syminfo.to_dict()
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si = sym_infos[sym] = syminfo.dict()
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# XXX: after manually inspecting the response format we
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# just directly pick out the info we need
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@ -20,10 +20,15 @@ Interactive Brokers API backend.
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Sub-modules within break into the core functionalities:
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- ``broker.py`` part for orders / trading endpoints
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- ``feed.py`` for real-time data feed endpoints
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- ``api.py`` for the core API machinery which is ``trio``-ized
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- ``data.py`` for real-time data feed endpoints
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- ``client.py`` for the core API machinery which is ``trio``-ized
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wrapping around ``ib_insync``.
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- ``report.py`` for the hackery to build manual pp calcs
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to avoid ib's absolute bullshit FIFO style position
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tracking..
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"""
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from .api import (
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get_client,
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@ -33,10 +38,7 @@ from .feed import (
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open_symbol_search,
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stream_quotes,
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)
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from .broker import (
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trades_dialogue,
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norm_trade_records,
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)
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from .broker import trades_dialogue
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__all__ = [
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'get_client',
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@ -29,7 +29,6 @@ import itertools
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from math import isnan
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from typing import (
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Any,
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Optional,
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Union,
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)
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import asyncio
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@ -39,28 +38,16 @@ import time
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from types import SimpleNamespace
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from bidict import bidict
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import trio
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import tractor
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from tractor import to_asyncio
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import ib_insync as ibis
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from ib_insync.contract import (
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Contract,
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ContractDetails,
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Option,
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)
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from ib_insync.wrapper import RequestError
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from ib_insync.contract import Contract, ContractDetails
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from ib_insync.order import Order
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from ib_insync.ticker import Ticker
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from ib_insync.objects import (
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Position,
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Fill,
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Execution,
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CommissionReport,
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)
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from ib_insync.wrapper import (
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Wrapper,
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RequestError,
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)
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from ib_insync.objects import Position
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import ib_insync as ibis
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from ib_insync.wrapper import Wrapper
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from ib_insync.client import Client as ib_Client
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import numpy as np
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@ -168,93 +155,60 @@ class NonShittyIB(ibis.IB):
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self.client.apiEnd += self.disconnectedEvent
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_futes_venues = (
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'GLOBEX',
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'NYMEX',
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'CME',
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'CMECRYPTO',
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'COMEX',
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'CMDTY', # special name case..
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)
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_adhoc_futes_set = {
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# equities
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'nq.globex',
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'mnq.globex', # micro
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'es.globex',
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'mes.globex', # micro
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# cypto$
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'brr.cmecrypto',
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'ethusdrr.cmecrypto',
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# agriculture
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'he.nymex', # lean hogs
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'le.nymex', # live cattle (geezers)
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'gf.nymex', # feeder cattle (younguns)
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# raw
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'lb.nymex', # random len lumber
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# metals
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'xauusd.cmdty', # gold spot
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'gc.nymex',
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'mgc.nymex', # micro
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# oil & gas
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'cl.nymex',
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'xagusd.cmdty', # silver spot
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'ni.nymex', # silver futes
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'qi.comex', # mini-silver futes
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}
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# taken from list here:
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# https://www.interactivebrokers.com/en/trading/products-spot-currencies.php
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_adhoc_fiat_set = set((
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'USD, AED, AUD, CAD,'
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'CHF, CNH, CZK, DKK,'
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'EUR, GBP, HKD, HUF,'
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'ILS, JPY, MXN, NOK,'
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'NZD, PLN, RUB, SAR,'
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'SEK, SGD, TRY, ZAR'
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).split(' ,')
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)
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# map of symbols to contract ids
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_adhoc_symbol_map = {
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_adhoc_cmdty_data_map = {
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
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# NOTE: some cmdtys/metals don't have trade data like gold/usd:
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# https://groups.io/g/twsapi/message/44174
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'XAUUSD': ({'conId': 69067924}, {'whatToShow': 'MIDPOINT'}),
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}
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for qsn in _adhoc_futes_set:
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sym, venue = qsn.split('.')
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assert venue.upper() in _futes_venues, f'{venue}'
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_adhoc_symbol_map[sym.upper()] = (
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{'exchange': venue},
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{},
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)
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_futes_venues = (
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'GLOBEX',
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'NYMEX',
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'CME',
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'CMECRYPTO',
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)
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_adhoc_futes_set = {
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# equities
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'nq.globex',
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'mnq.globex',
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'es.globex',
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'mes.globex',
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# cypto$
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'brr.cmecrypto',
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'ethusdrr.cmecrypto',
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# agriculture
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'he.globex', # lean hogs
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'le.globex', # live cattle (geezers)
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'gf.globex', # feeder cattle (younguns)
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# raw
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'lb.globex', # random len lumber
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# metals
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'xauusd.cmdty', # gold spot
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'gc.nymex',
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'mgc.nymex',
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'xagusd.cmdty', # silver spot
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'ni.nymex', # silver futes
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'qi.comex', # mini-silver futes
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}
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# exchanges we don't support at the moment due to not knowing
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# how to do symbol-contract lookup correctly likely due
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# to not having the data feeds subscribed.
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_exch_skip_list = {
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'ASX', # aussie stocks
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'MEXI', # mexican stocks
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# no idea
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'VALUE',
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'FUNDSERV',
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'SWB2',
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'PSE',
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'VALUE', # no idea
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}
|
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|
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# https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php?action=Conid%20Info&wlId=IB&conid=69067924
|
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|
|
@ -307,29 +261,27 @@ class Client:
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|||
|
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# NOTE: the ib.client here is "throttled" to 45 rps by default
|
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|
||||
async def trades(self) -> dict[str, Any]:
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'''
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Return list of trade-fills from current session in ``dict``.
|
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async def trades(
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self,
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||||
# api_only: bool = False,
|
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|
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'''
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fills: list[Fill] = self.ib.fills()
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norm_fills: list[dict] = []
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) -> dict[str, Any]:
|
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|
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# orders = await self.ib.reqCompletedOrdersAsync(
|
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# apiOnly=api_only
|
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# )
|
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fills = await self.ib.reqExecutionsAsync()
|
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norm_fills = []
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for fill in fills:
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fill = fill._asdict() # namedtuple
|
||||
for key, val in fill.items():
|
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match val:
|
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case Contract() | Execution() | CommissionReport():
|
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fill[key] = asdict(val)
|
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for key, val in fill.copy().items():
|
||||
if isinstance(val, Contract):
|
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fill[key] = asdict(val)
|
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|
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norm_fills.append(fill)
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return norm_fills
|
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|
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async def orders(self) -> list[Order]:
|
||||
return await self.ib.reqAllOpenOrdersAsync(
|
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apiOnly=False,
|
||||
)
|
||||
|
||||
async def bars(
|
||||
self,
|
||||
fqsn: str,
|
||||
|
|
@ -357,7 +309,7 @@ class Client:
|
|||
|
||||
_enters += 1
|
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|
||||
contract = (await self.find_contracts(fqsn))[0]
|
||||
contract = await self.find_contract(fqsn)
|
||||
bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
|
||||
|
||||
# _min = min(2000*100, count)
|
||||
|
|
@ -412,15 +364,7 @@ class Client:
|
|||
futs.append(self.ib.reqContractDetailsAsync(con))
|
||||
|
||||
# batch request all details
|
||||
try:
|
||||
results = await asyncio.gather(*futs)
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
if (
|
||||
'No security definition' in msg
|
||||
):
|
||||
log.warning(f'{msg}: {contracts}')
|
||||
return {}
|
||||
results = await asyncio.gather(*futs)
|
||||
|
||||
# one set per future result
|
||||
details = {}
|
||||
|
|
@ -429,11 +373,20 @@ class Client:
|
|||
# XXX: if there is more then one entry in the details list
|
||||
# then the contract is so called "ambiguous".
|
||||
for d in details_set:
|
||||
con = d.contract
|
||||
|
||||
# nested dataclass we probably don't need and that won't
|
||||
# IPC serialize..
|
||||
key = '.'.join([
|
||||
con.symbol,
|
||||
con.primaryExchange or con.exchange,
|
||||
])
|
||||
expiry = con.lastTradeDateOrContractMonth
|
||||
if expiry:
|
||||
key += f'.{expiry}'
|
||||
|
||||
# nested dataclass we probably don't need and that
|
||||
# won't IPC serialize..
|
||||
d.secIdList = ''
|
||||
key, calc_price = con2fqsn(d.contract)
|
||||
|
||||
details[key] = d
|
||||
|
||||
return details
|
||||
|
|
@ -463,7 +416,7 @@ class Client:
|
|||
self,
|
||||
pattern: str,
|
||||
# how many contracts to search "up to"
|
||||
upto: int = 6,
|
||||
upto: int = 3,
|
||||
asdicts: bool = True,
|
||||
|
||||
) -> dict[str, ContractDetails]:
|
||||
|
|
@ -474,6 +427,7 @@ class Client:
|
|||
pattern,
|
||||
upto=upto,
|
||||
)
|
||||
|
||||
for key, deats in results.copy().items():
|
||||
|
||||
tract = deats.contract
|
||||
|
|
@ -483,44 +437,21 @@ class Client:
|
|||
if sectype == 'IND':
|
||||
results[f'{sym}.IND'] = tract
|
||||
results.pop(key)
|
||||
# exch = tract.exchange
|
||||
|
||||
# XXX: add back one of these to get the weird deadlock
|
||||
# on the debugger from root without the latest
|
||||
# maybe_wait_for_debugger() fix in the `open_context()`
|
||||
# exit.
|
||||
# assert 0
|
||||
# if con.exchange not in _exch_skip_list:
|
||||
|
||||
exch = tract.exchange
|
||||
if exch not in _exch_skip_list:
|
||||
|
||||
if exch in _futes_venues:
|
||||
# try get all possible contracts for symbol as per,
|
||||
# https://interactivebrokers.github.io/tws-api/basic_contracts.html#fut
|
||||
con = ibis.Future(
|
||||
symbol=sym,
|
||||
exchange=exch,
|
||||
)
|
||||
# TODO: make this work, think it's something to do
|
||||
# with the qualify flag.
|
||||
# cons = await self.find_contracts(
|
||||
# contract=con,
|
||||
# err_on_qualify=False,
|
||||
# )
|
||||
# if cons:
|
||||
all_deats = await self.con_deats([con])
|
||||
results |= all_deats
|
||||
try:
|
||||
all_deats = await self.con_deats([con])
|
||||
results |= all_deats
|
||||
|
||||
# forex pairs
|
||||
elif sectype == 'CASH':
|
||||
dst, src = tract.localSymbol.split('.')
|
||||
pair_key = "/".join([dst, src])
|
||||
exch = tract.exchange.lower()
|
||||
results[f'{pair_key}.{exch}'] = tract
|
||||
results.pop(key)
|
||||
|
||||
# XXX: again seems to trigger the weird tractor
|
||||
# bug with the debugger..
|
||||
# assert 0
|
||||
except RequestError as err:
|
||||
log.warning(err.message)
|
||||
|
||||
return results
|
||||
|
||||
|
|
@ -552,19 +483,13 @@ class Client:
|
|||
|
||||
return con
|
||||
|
||||
async def get_con(
|
||||
self,
|
||||
conid: int,
|
||||
) -> Contract:
|
||||
return await self.ib.qualifyContractsAsync(
|
||||
ibis.Contract(conId=conid)
|
||||
)
|
||||
|
||||
def parse_patt2fqsn(
|
||||
async def find_contract(
|
||||
self,
|
||||
pattern: str,
|
||||
currency: str = 'USD',
|
||||
**kwargs,
|
||||
|
||||
) -> tuple[str, str, str, str]:
|
||||
) -> Contract:
|
||||
|
||||
# TODO: we can't use this currently because
|
||||
# ``wrapper.starTicker()`` currently cashes ticker instances
|
||||
|
|
@ -577,104 +502,58 @@ class Client:
|
|||
# XXX UPDATE: we can probably do the tick/trades scraping
|
||||
# inside our eventkit handler instead to bypass this entirely?
|
||||
|
||||
currency = ''
|
||||
|
||||
# fqsn parsing stage
|
||||
# ------------------
|
||||
if '.ib' in pattern:
|
||||
from ..data._source import unpack_fqsn
|
||||
_, symbol, expiry = unpack_fqsn(pattern)
|
||||
|
||||
broker, symbol, expiry = unpack_fqsn(pattern)
|
||||
else:
|
||||
symbol = pattern
|
||||
expiry = ''
|
||||
|
||||
# another hack for forex pairs lul.
|
||||
if (
|
||||
'.idealpro' in symbol
|
||||
# or '/' in symbol
|
||||
):
|
||||
exch = 'IDEALPRO'
|
||||
symbol = symbol.removesuffix('.idealpro')
|
||||
if '/' in symbol:
|
||||
symbol, currency = symbol.split('/')
|
||||
# try:
|
||||
# # give the cache a go
|
||||
# return self._contracts[symbol]
|
||||
# except KeyError:
|
||||
# log.debug(f'Looking up contract for {symbol}')
|
||||
expiry: str = ''
|
||||
if symbol.count('.') > 1:
|
||||
symbol, _, expiry = symbol.rpartition('.')
|
||||
|
||||
else:
|
||||
# TODO: yes, a cache..
|
||||
# try:
|
||||
# # give the cache a go
|
||||
# return self._contracts[symbol]
|
||||
# except KeyError:
|
||||
# log.debug(f'Looking up contract for {symbol}')
|
||||
expiry: str = ''
|
||||
if symbol.count('.') > 1:
|
||||
symbol, _, expiry = symbol.rpartition('.')
|
||||
# use heuristics to figure out contract "type"
|
||||
sym, exch = symbol.upper().rsplit('.', maxsplit=1)
|
||||
|
||||
# use heuristics to figure out contract "type"
|
||||
symbol, exch = symbol.upper().rsplit('.', maxsplit=1)
|
||||
|
||||
return symbol, currency, exch, expiry
|
||||
|
||||
async def find_contracts(
|
||||
self,
|
||||
pattern: Optional[str] = None,
|
||||
contract: Optional[Contract] = None,
|
||||
qualify: bool = True,
|
||||
err_on_qualify: bool = True,
|
||||
|
||||
) -> Contract:
|
||||
|
||||
if pattern is not None:
|
||||
symbol, currency, exch, expiry = self.parse_patt2fqsn(
|
||||
pattern,
|
||||
)
|
||||
sectype = ''
|
||||
|
||||
else:
|
||||
assert contract
|
||||
symbol = contract.symbol
|
||||
sectype = contract.secType
|
||||
exch = contract.exchange or contract.primaryExchange
|
||||
expiry = contract.lastTradeDateOrContractMonth
|
||||
currency = contract.currency
|
||||
|
||||
# contract searching stage
|
||||
# ------------------------
|
||||
qualify: bool = True
|
||||
|
||||
# futes
|
||||
if exch in _futes_venues:
|
||||
if expiry:
|
||||
# get the "front" contract
|
||||
con = await self.get_fute(
|
||||
symbol=symbol,
|
||||
contract = await self.get_fute(
|
||||
symbol=sym,
|
||||
exchange=exch,
|
||||
expiry=expiry,
|
||||
)
|
||||
|
||||
else:
|
||||
# get the "front" contract
|
||||
con = await self.get_fute(
|
||||
symbol=symbol,
|
||||
contract = await self.get_fute(
|
||||
symbol=sym,
|
||||
exchange=exch,
|
||||
front=True,
|
||||
)
|
||||
|
||||
elif (
|
||||
exch in ('IDEALPRO')
|
||||
or sectype == 'CASH'
|
||||
):
|
||||
# if '/' in symbol:
|
||||
# currency = ''
|
||||
# symbol, currency = symbol.split('/')
|
||||
qualify = False
|
||||
|
||||
elif exch in ('FOREX'):
|
||||
currency = ''
|
||||
symbol, currency = sym.split('/')
|
||||
con = ibis.Forex(
|
||||
pair=''.join((symbol, currency)),
|
||||
symbol=symbol,
|
||||
currency=currency,
|
||||
)
|
||||
con.bars_kwargs = {'whatToShow': 'MIDPOINT'}
|
||||
|
||||
# commodities
|
||||
elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
|
||||
con_kwargs, bars_kwargs = _adhoc_symbol_map[symbol]
|
||||
con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
|
||||
con = ibis.Commodity(**con_kwargs)
|
||||
con.bars_kwargs = bars_kwargs
|
||||
|
||||
|
|
@ -690,50 +569,33 @@ class Client:
|
|||
exch = 'SMART'
|
||||
|
||||
else:
|
||||
# XXX: order is super important here since
|
||||
# a primary == 'SMART' won't ever work.
|
||||
primaryExchange = exch
|
||||
exch = 'SMART'
|
||||
primaryExchange = exch
|
||||
|
||||
con = ibis.Stock(
|
||||
symbol=symbol,
|
||||
symbol=sym,
|
||||
exchange=exch,
|
||||
primaryExchange=primaryExchange,
|
||||
currency=currency,
|
||||
)
|
||||
try:
|
||||
exch = 'SMART' if not exch else exch
|
||||
if qualify:
|
||||
contract = (await self.ib.qualifyContractsAsync(con))[0]
|
||||
else:
|
||||
assert contract
|
||||
|
||||
contracts = [con]
|
||||
if qualify:
|
||||
try:
|
||||
contracts = await self.ib.qualifyContractsAsync(con)
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
if (
|
||||
'No security definition' in msg
|
||||
and not err_on_qualify
|
||||
):
|
||||
log.warning(
|
||||
f'Could not find def for {con}')
|
||||
return None
|
||||
except IndexError:
|
||||
raise ValueError(f"No contract could be found {con}")
|
||||
|
||||
else:
|
||||
raise
|
||||
if not contracts:
|
||||
raise ValueError(f"No contract could be found {con}")
|
||||
self._contracts[pattern] = contract
|
||||
|
||||
# pack all contracts into cache
|
||||
for tract in contracts:
|
||||
exch: str = tract.primaryExchange or tract.exchange or exch
|
||||
pattern = f'{symbol}.{exch}'
|
||||
expiry = tract.lastTradeDateOrContractMonth
|
||||
# add an entry with expiry suffix if available
|
||||
if expiry:
|
||||
pattern += f'.{expiry}'
|
||||
# add an aditional entry with expiry suffix if available
|
||||
conexp = contract.lastTradeDateOrContractMonth
|
||||
if conexp:
|
||||
self._contracts[pattern + f'.{conexp}'] = contract
|
||||
|
||||
self._contracts[pattern.lower()] = tract
|
||||
|
||||
return contracts
|
||||
return contract
|
||||
|
||||
async def get_head_time(
|
||||
self,
|
||||
|
|
@ -752,10 +614,9 @@ class Client:
|
|||
async def get_sym_details(
|
||||
self,
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Contract, Ticker, ContractDetails]:
|
||||
|
||||
contract = (await self.find_contracts(symbol))[0]
|
||||
contract = await self.find_contract(symbol)
|
||||
ticker: Ticker = self.ib.reqMktData(
|
||||
contract,
|
||||
snapshot=True,
|
||||
|
|
@ -943,73 +804,6 @@ class Client:
|
|||
return self.ib.positions(account=account)
|
||||
|
||||
|
||||
def con2fqsn(
|
||||
con: Contract,
|
||||
_cache: dict[int, (str, bool)] = {}
|
||||
|
||||
) -> tuple[str, bool]:
|
||||
'''
|
||||
Convert contracts to fqsn-style strings to be used both in symbol-search
|
||||
matching and as feed tokens passed to the front end data deed layer.
|
||||
|
||||
Previously seen contracts are cached by id.
|
||||
|
||||
'''
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
if con.conId:
|
||||
try:
|
||||
return _cache[con.conId]
|
||||
except KeyError:
|
||||
pass
|
||||
|
||||
suffix = con.primaryExchange or con.exchange
|
||||
symbol = con.symbol
|
||||
expiry = con.lastTradeDateOrContractMonth or ''
|
||||
|
||||
match con:
|
||||
case Option():
|
||||
# TODO: option symbol parsing and sane display:
|
||||
symbol = con.localSymbol.replace(' ', '')
|
||||
|
||||
case ibis.Commodity():
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
case ibis.Forex() | ibis.Contract(secType='CASH'):
|
||||
dst, src = con.localSymbol.split('.')
|
||||
symbol = ''.join([dst, src])
|
||||
suffix = con.exchange
|
||||
|
||||
# no real volume on forex feeds..
|
||||
calc_price = True
|
||||
|
||||
if not suffix:
|
||||
entry = _adhoc_symbol_map.get(
|
||||
con.symbol or con.localSymbol
|
||||
)
|
||||
if entry:
|
||||
meta, kwargs = entry
|
||||
cid = meta.get('conId')
|
||||
if cid:
|
||||
assert con.conId == meta['conId']
|
||||
suffix = meta['exchange']
|
||||
|
||||
# append a `.<suffix>` to the returned symbol
|
||||
# key for derivatives that normally is the expiry
|
||||
# date key.
|
||||
if expiry:
|
||||
suffix += f'.{expiry}'
|
||||
|
||||
fqsn_key = '.'.join((symbol, suffix)).lower()
|
||||
_cache[con.conId] = fqsn_key, calc_price
|
||||
return fqsn_key, calc_price
|
||||
|
||||
|
||||
# per-actor API ep caching
|
||||
_client_cache: dict[tuple[str, int], Client] = {}
|
||||
_scan_ignore: set[tuple[str, int]] = set()
|
||||
|
|
@ -1017,23 +811,10 @@ _scan_ignore: set[tuple[str, int]] = set()
|
|||
|
||||
def get_config() -> dict[str, Any]:
|
||||
|
||||
conf, path = config.load('brokers')
|
||||
conf, path = config.load()
|
||||
|
||||
section = conf.get('ib')
|
||||
|
||||
accounts = section.get('accounts')
|
||||
if not accounts:
|
||||
raise ValueError(
|
||||
'brokers.toml -> `ib.accounts` must be defined\n'
|
||||
f'location: {path}'
|
||||
)
|
||||
|
||||
names = list(accounts.keys())
|
||||
accts = section['accounts'] = bidict(accounts)
|
||||
log.info(
|
||||
f'brokers.toml defines {len(accts)} accounts: '
|
||||
f'{pformat(names)}'
|
||||
)
|
||||
|
||||
if section is None:
|
||||
log.warning(f'No config section found for ib in {path}')
|
||||
return {}
|
||||
|
|
@ -1127,12 +908,6 @@ async def load_aio_clients(
|
|||
# careful.
|
||||
timeout=connect_timeout,
|
||||
)
|
||||
# create and cache client
|
||||
client = Client(ib)
|
||||
|
||||
# update all actor-global caches
|
||||
log.info(f"Caching client for {sockaddr}")
|
||||
_client_cache[sockaddr] = client
|
||||
break
|
||||
|
||||
except (
|
||||
|
|
@ -1156,9 +931,21 @@ async def load_aio_clients(
|
|||
log.warning(
|
||||
f'Failed to connect on {port} for {i} time, retrying...')
|
||||
|
||||
# create and cache client
|
||||
client = Client(ib)
|
||||
|
||||
# Pre-collect all accounts available for this
|
||||
# connection and map account names to this client
|
||||
# instance.
|
||||
pps = ib.positions()
|
||||
if pps:
|
||||
for pp in pps:
|
||||
accounts_found[
|
||||
accounts_def.inverse[pp.account]
|
||||
] = client
|
||||
|
||||
# if there are accounts without positions we should still
|
||||
# register them for this client
|
||||
for value in ib.accountValues():
|
||||
acct_number = value.account
|
||||
|
||||
|
|
@ -1179,6 +966,10 @@ async def load_aio_clients(
|
|||
f'{pformat(accounts_found)}'
|
||||
)
|
||||
|
||||
# update all actor-global caches
|
||||
log.info(f"Caching client for {sockaddr}")
|
||||
_client_cache[sockaddr] = client
|
||||
|
||||
# XXX: why aren't we just updating this directy above
|
||||
# instead of using the intermediary `accounts_found`?
|
||||
_accounts2clients.update(accounts_found)
|
||||
|
|
@ -1199,7 +990,7 @@ async def load_aio_clients(
|
|||
for acct, client in _accounts2clients.items():
|
||||
log.info(f'Disconnecting {acct}@{client}')
|
||||
client.ib.disconnect()
|
||||
_client_cache.pop((host, port), None)
|
||||
_client_cache.pop((host, port))
|
||||
|
||||
|
||||
async def load_clients_for_trio(
|
||||
|
|
@ -1228,6 +1019,9 @@ async def load_clients_for_trio(
|
|||
await asyncio.sleep(float('inf'))
|
||||
|
||||
|
||||
_proxies: dict[str, MethodProxy] = {}
|
||||
|
||||
|
||||
@acm
|
||||
async def open_client_proxies() -> tuple[
|
||||
dict[str, MethodProxy],
|
||||
|
|
@ -1235,6 +1029,7 @@ async def open_client_proxies() -> tuple[
|
|||
]:
|
||||
async with (
|
||||
tractor.trionics.maybe_open_context(
|
||||
# acm_func=open_client_proxies,
|
||||
acm_func=tractor.to_asyncio.open_channel_from,
|
||||
kwargs={'target': load_clients_for_trio},
|
||||
|
||||
|
|
@ -1249,14 +1044,13 @@ async def open_client_proxies() -> tuple[
|
|||
if cache_hit:
|
||||
log.info(f'Re-using cached clients: {clients}')
|
||||
|
||||
proxies = {}
|
||||
for acct_name, client in clients.items():
|
||||
proxy = await stack.enter_async_context(
|
||||
open_client_proxy(client),
|
||||
)
|
||||
proxies[acct_name] = proxy
|
||||
_proxies[acct_name] = proxy
|
||||
|
||||
yield proxies, clients
|
||||
yield _proxies, clients
|
||||
|
||||
|
||||
def get_preferred_data_client(
|
||||
|
|
@ -1405,13 +1199,11 @@ async def open_client_proxy(
|
|||
event_table = {}
|
||||
|
||||
async with (
|
||||
|
||||
to_asyncio.open_channel_from(
|
||||
open_aio_client_method_relay,
|
||||
client=client,
|
||||
event_consumers=event_table,
|
||||
) as (first, chan),
|
||||
|
||||
trio.open_nursery() as relay_n,
|
||||
):
|
||||
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -41,8 +41,7 @@ from trio_typing import TaskStatus
|
|||
from piker.data._sharedmem import ShmArray
|
||||
from .._util import SymbolNotFound, NoData
|
||||
from .api import (
|
||||
# _adhoc_futes_set,
|
||||
con2fqsn,
|
||||
_adhoc_futes_set,
|
||||
log,
|
||||
load_aio_clients,
|
||||
ibis,
|
||||
|
|
@ -208,6 +207,8 @@ async def get_bars(
|
|||
|
||||
except RequestError as err:
|
||||
msg = err.message
|
||||
# why do we always need to rebind this?
|
||||
# _err = err
|
||||
|
||||
if 'No market data permissions for' in msg:
|
||||
# TODO: signalling for no permissions searches
|
||||
|
|
@ -216,8 +217,8 @@ async def get_bars(
|
|||
)
|
||||
|
||||
elif (
|
||||
err.code == 162 and
|
||||
'HMDS query returned no data' in err.message
|
||||
err.code == 162
|
||||
and 'HMDS query returned no data' in err.message
|
||||
):
|
||||
# XXX: this is now done in the storage mgmt layer
|
||||
# and we shouldn't implicitly decrement the frame dt
|
||||
|
|
@ -236,14 +237,6 @@ async def get_bars(
|
|||
frame_size=2000,
|
||||
)
|
||||
|
||||
# elif (
|
||||
# err.code == 162 and
|
||||
# 'Trading TWS session is connected from a different IP
|
||||
# address' in err.message
|
||||
# ):
|
||||
# log.warning("ignoring ip address warning")
|
||||
# continue
|
||||
|
||||
elif _pacing in msg:
|
||||
|
||||
log.warning(
|
||||
|
|
@ -301,13 +294,7 @@ async def get_bars(
|
|||
else:
|
||||
|
||||
log.warning('Sending CONNECTION RESET')
|
||||
res = await data_reset_hack(reset_type='connection')
|
||||
if not res:
|
||||
log.warning(
|
||||
'NO VNC DETECTED!\n'
|
||||
'Manually press ctrl-alt-f on your IB java app'
|
||||
)
|
||||
# break
|
||||
await data_reset_hack(reset_type='connection')
|
||||
|
||||
with trio.move_on_after(timeout) as cs:
|
||||
for name, ev in [
|
||||
|
|
@ -566,18 +553,38 @@ async def open_aio_quote_stream(
|
|||
|
||||
|
||||
# TODO: cython/mypyc/numba this!
|
||||
# or we can at least cache a majority of the values
|
||||
# except for the ones we expect to change?..
|
||||
def normalize(
|
||||
ticker: Ticker,
|
||||
calc_price: bool = False
|
||||
|
||||
) -> dict:
|
||||
|
||||
# should be real volume for this contract by default
|
||||
calc_price = False
|
||||
|
||||
# check for special contract types
|
||||
con = ticker.contract
|
||||
if type(con) in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex,
|
||||
):
|
||||
# commodities and forex don't have an exchange name and
|
||||
# no real volume so we have to calculate the price
|
||||
suffix = con.secType
|
||||
# no real volume on this tract
|
||||
calc_price = True
|
||||
|
||||
fqsn, calc_price = con2fqsn(con)
|
||||
else:
|
||||
suffix = con.primaryExchange
|
||||
if not suffix:
|
||||
suffix = con.exchange
|
||||
|
||||
# append a `.<suffix>` to the returned symbol
|
||||
# key for derivatives that normally is the expiry
|
||||
# date key.
|
||||
expiry = con.lastTradeDateOrContractMonth
|
||||
if expiry:
|
||||
suffix += f'.{expiry}'
|
||||
|
||||
# convert named tuples to dicts so we send usable keys
|
||||
new_ticks = []
|
||||
|
|
@ -609,7 +616,9 @@ def normalize(
|
|||
|
||||
# generate fqsn with possible specialized suffix
|
||||
# for derivatives, note the lowercase.
|
||||
data['symbol'] = data['fqsn'] = fqsn
|
||||
data['symbol'] = data['fqsn'] = '.'.join(
|
||||
(con.symbol, suffix)
|
||||
).lower()
|
||||
|
||||
# convert named tuples to dicts for transport
|
||||
tbts = data.get('tickByTicks')
|
||||
|
|
@ -674,13 +683,6 @@ async def stream_quotes(
|
|||
# TODO: more consistent field translation
|
||||
atype = syminfo['asset_type'] = asset_type_map[syminfo['secType']]
|
||||
|
||||
if atype in {
|
||||
'forex',
|
||||
'index',
|
||||
'commodity',
|
||||
}:
|
||||
syminfo['no_vlm'] = True
|
||||
|
||||
# for stocks it seems TWS reports too small a tick size
|
||||
# such that you can't submit orders with that granularity?
|
||||
min_tick = 0.01 if atype == 'stock' else 0
|
||||
|
|
@ -707,9 +709,9 @@ async def stream_quotes(
|
|||
},
|
||||
|
||||
}
|
||||
return init_msgs, syminfo
|
||||
return init_msgs
|
||||
|
||||
init_msgs, syminfo = mk_init_msgs()
|
||||
init_msgs = mk_init_msgs()
|
||||
|
||||
# TODO: we should instead spawn a task that waits on a feed to start
|
||||
# and let it wait indefinitely..instead of this hard coded stuff.
|
||||
|
|
@ -718,13 +720,7 @@ async def stream_quotes(
|
|||
|
||||
# it might be outside regular trading hours so see if we can at
|
||||
# least grab history.
|
||||
if (
|
||||
isnan(first_ticker.last)
|
||||
and type(first_ticker.contract) not in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex
|
||||
)
|
||||
):
|
||||
if isnan(first_ticker.last):
|
||||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
# it's not really live but this will unblock
|
||||
|
|
@ -747,16 +743,10 @@ async def stream_quotes(
|
|||
task_status.started((init_msgs, first_quote))
|
||||
|
||||
async with aclosing(stream):
|
||||
if syminfo.get('no_vlm', False):
|
||||
|
||||
# generally speaking these feeds don't
|
||||
# include vlm data.
|
||||
atype = syminfo['asset_type']
|
||||
log.info(
|
||||
f'Non-vlm asset {sym}@{atype}, skipping quote poll...'
|
||||
)
|
||||
|
||||
else:
|
||||
if type(first_ticker.contract) not in (
|
||||
ibis.Commodity,
|
||||
ibis.Forex
|
||||
):
|
||||
# wait for real volume on feed (trading might be closed)
|
||||
while True:
|
||||
ticker = await stream.receive()
|
||||
|
|
@ -815,9 +805,6 @@ async def data_reset_hack(
|
|||
successful.
|
||||
- other OS support?
|
||||
- integration with ``ib-gw`` run in docker + Xorg?
|
||||
- is it possible to offer a local server that can be accessed by
|
||||
a client? Would be sure be handy for running native java blobs
|
||||
that need to be wrangle.
|
||||
|
||||
'''
|
||||
|
||||
|
|
@ -848,10 +835,7 @@ async def data_reset_hack(
|
|||
client.mouse.click()
|
||||
client.keyboard.press('Ctrl', 'Alt', key) # keys are stacked
|
||||
|
||||
try:
|
||||
await tractor.to_asyncio.run_task(vnc_click_hack)
|
||||
except OSError:
|
||||
return False
|
||||
await tractor.to_asyncio.run_task(vnc_click_hack)
|
||||
|
||||
# we don't really need the ``xdotool`` approach any more B)
|
||||
return True
|
||||
|
|
@ -925,18 +909,17 @@ async def open_symbol_search(
|
|||
# trigger async request
|
||||
await trio.sleep(0)
|
||||
|
||||
# # match against our ad-hoc set immediately
|
||||
# adhoc_matches = fuzzy.extractBests(
|
||||
# pattern,
|
||||
# list(_adhoc_futes_set),
|
||||
# score_cutoff=90,
|
||||
# )
|
||||
# log.info(f'fuzzy matched adhocs: {adhoc_matches}')
|
||||
# adhoc_match_results = {}
|
||||
# if adhoc_matches:
|
||||
# # TODO: do we need to pull contract details?
|
||||
# adhoc_match_results = {i[0]: {} for i in
|
||||
# adhoc_matches}
|
||||
# match against our ad-hoc set immediately
|
||||
adhoc_matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
list(_adhoc_futes_set),
|
||||
score_cutoff=90,
|
||||
)
|
||||
log.info(f'fuzzy matched adhocs: {adhoc_matches}')
|
||||
adhoc_match_results = {}
|
||||
if adhoc_matches:
|
||||
# TODO: do we need to pull contract details?
|
||||
adhoc_match_results = {i[0]: {} for i in adhoc_matches}
|
||||
|
||||
log.debug(f'fuzzy matching stocks {stock_results}')
|
||||
stock_matches = fuzzy.extractBests(
|
||||
|
|
@ -945,8 +928,7 @@ async def open_symbol_search(
|
|||
score_cutoff=50,
|
||||
)
|
||||
|
||||
# matches = adhoc_match_results | {
|
||||
matches = {
|
||||
matches = adhoc_match_results | {
|
||||
item[0]: {} for item in stock_matches
|
||||
}
|
||||
# TODO: we used to deliver contract details
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -1,64 +0,0 @@
|
|||
``kraken`` backend
|
||||
------------------
|
||||
though they don't have the most liquidity of all the cexes they sure are
|
||||
accommodating to those of us who appreciate a little ``xmr``.
|
||||
|
||||
status
|
||||
******
|
||||
current support is *production grade* and both real-time data and order
|
||||
management should be correct and fast. this backend is used by core devs
|
||||
for live trading.
|
||||
|
||||
|
||||
config
|
||||
******
|
||||
In order to get order mode support your ``brokers.toml``
|
||||
needs to have something like the following:
|
||||
|
||||
.. code:: toml
|
||||
|
||||
[kraken]
|
||||
accounts.spot = 'spot'
|
||||
key_descr = "spot"
|
||||
api_key = "69696969696969696696969696969696969696969696969696969696"
|
||||
secret = "BOOBSBOOBSBOOBSBOOBSBOOBSSMBZ69696969696969669969696969696"
|
||||
|
||||
|
||||
If everything works correctly you should see any current positions
|
||||
loaded in the pps pane on chart load and you should also be able to
|
||||
check your trade records in the file::
|
||||
|
||||
<pikerk_conf_dir>/ledgers/trades_kraken_spot.toml
|
||||
|
||||
|
||||
An example ledger file will have entries written verbatim from the
|
||||
trade events schema:
|
||||
|
||||
.. code:: toml
|
||||
|
||||
[TFJBKK-SMBZS-VJ4UWS]
|
||||
ordertxid = "SMBZSA-7CNQU-3HWLNJ"
|
||||
postxid = "SMBZSE-M7IF5-CFI7LT"
|
||||
pair = "XXMRZEUR"
|
||||
time = 1655691993.4133966
|
||||
type = "buy"
|
||||
ordertype = "limit"
|
||||
price = "103.97000000"
|
||||
cost = "499.99999977"
|
||||
fee = "0.80000000"
|
||||
vol = "4.80907954"
|
||||
margin = "0.00000000"
|
||||
misc = ""
|
||||
|
||||
|
||||
your ``pps.toml`` file will have position entries like,
|
||||
|
||||
.. code:: toml
|
||||
|
||||
[kraken.spot."xmreur.kraken"]
|
||||
size = 4.80907954
|
||||
ppu = 103.97000000
|
||||
bsuid = "XXMRZEUR"
|
||||
clears = [
|
||||
{ tid = "TFJBKK-SMBZS-VJ4UWS", cost = 0.8, price = 103.97, size = 4.80907954, dt = "2022-05-20T02:26:33.413397+00:00" },
|
||||
]
|
||||
|
|
@ -1,61 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# 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/>.
|
||||
|
||||
'''
|
||||
Kraken backend.
|
||||
|
||||
Sub-modules within break into the core functionalities:
|
||||
|
||||
- ``broker.py`` part for orders / trading endpoints
|
||||
- ``feed.py`` for real-time data feed endpoints
|
||||
- ``api.py`` for the core API machinery which is ``trio``-ized
|
||||
wrapping around ``ib_insync``.
|
||||
|
||||
'''
|
||||
|
||||
from piker.log import get_logger
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
from .api import (
|
||||
get_client,
|
||||
)
|
||||
from .feed import (
|
||||
open_history_client,
|
||||
open_symbol_search,
|
||||
stream_quotes,
|
||||
)
|
||||
from .broker import (
|
||||
trades_dialogue,
|
||||
norm_trade_records,
|
||||
)
|
||||
|
||||
__all__ = [
|
||||
'get_client',
|
||||
'trades_dialogue',
|
||||
'open_history_client',
|
||||
'open_symbol_search',
|
||||
'stream_quotes',
|
||||
'norm_trade_records',
|
||||
]
|
||||
|
||||
|
||||
# tractor RPC enable arg
|
||||
__enable_modules__: list[str] = [
|
||||
'api',
|
||||
'feed',
|
||||
'broker',
|
||||
]
|
||||
|
|
@ -1,540 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# 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/>.
|
||||
|
||||
'''
|
||||
Kraken web API wrapping.
|
||||
|
||||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
import itertools
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Union,
|
||||
)
|
||||
import time
|
||||
|
||||
from bidict import bidict
|
||||
import pendulum
|
||||
import asks
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import urllib.parse
|
||||
import hashlib
|
||||
import hmac
|
||||
import base64
|
||||
import trio
|
||||
|
||||
from piker import config
|
||||
from piker.brokers._util import (
|
||||
resproc,
|
||||
SymbolNotFound,
|
||||
BrokerError,
|
||||
DataThrottle,
|
||||
)
|
||||
from piker.pp import Transaction
|
||||
from . import log
|
||||
|
||||
# <uri>/<version>/
|
||||
_url = 'https://api.kraken.com/0'
|
||||
|
||||
|
||||
# Broker specific ohlc schema which includes a vwap field
|
||||
_ohlc_dtype = [
|
||||
('index', int),
|
||||
('time', int),
|
||||
('open', float),
|
||||
('high', float),
|
||||
('low', float),
|
||||
('close', float),
|
||||
('volume', float),
|
||||
('count', int),
|
||||
('bar_wap', float),
|
||||
]
|
||||
|
||||
# UI components allow this to be declared such that additional
|
||||
# (historical) fields can be exposed.
|
||||
ohlc_dtype = np.dtype(_ohlc_dtype)
|
||||
|
||||
_show_wap_in_history = True
|
||||
_symbol_info_translation: dict[str, str] = {
|
||||
'tick_decimals': 'pair_decimals',
|
||||
}
|
||||
|
||||
|
||||
def get_config() -> dict[str, Any]:
|
||||
|
||||
conf, path = config.load()
|
||||
section = conf.get('kraken')
|
||||
|
||||
if section is None:
|
||||
log.warning(f'No config section found for kraken in {path}')
|
||||
return {}
|
||||
|
||||
return section
|
||||
|
||||
|
||||
def get_kraken_signature(
|
||||
urlpath: str,
|
||||
data: dict[str, Any],
|
||||
secret: str
|
||||
) -> str:
|
||||
postdata = urllib.parse.urlencode(data)
|
||||
encoded = (str(data['nonce']) + postdata).encode()
|
||||
message = urlpath.encode() + hashlib.sha256(encoded).digest()
|
||||
|
||||
mac = hmac.new(base64.b64decode(secret), message, hashlib.sha512)
|
||||
sigdigest = base64.b64encode(mac.digest())
|
||||
return sigdigest.decode()
|
||||
|
||||
|
||||
class InvalidKey(ValueError):
|
||||
'''
|
||||
EAPI:Invalid key
|
||||
This error is returned when the API key used for the call is
|
||||
either expired or disabled, please review the API key in your
|
||||
Settings -> API tab of account management or generate a new one
|
||||
and update your application.
|
||||
|
||||
'''
|
||||
|
||||
|
||||
class Client:
|
||||
|
||||
# global symbol normalization table
|
||||
_ntable: dict[str, str] = {}
|
||||
_atable: bidict[str, str] = bidict()
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
config: dict[str, str],
|
||||
name: str = '',
|
||||
api_key: str = '',
|
||||
secret: str = ''
|
||||
) -> None:
|
||||
self._sesh = asks.Session(connections=4)
|
||||
self._sesh.base_location = _url
|
||||
self._sesh.headers.update({
|
||||
'User-Agent':
|
||||
'krakenex/2.1.0 (+https://github.com/veox/python3-krakenex)'
|
||||
})
|
||||
self.conf: dict[str, str] = config
|
||||
self._pairs: list[str] = []
|
||||
self._name = name
|
||||
self._api_key = api_key
|
||||
self._secret = secret
|
||||
|
||||
@property
|
||||
def pairs(self) -> dict[str, Any]:
|
||||
if self._pairs is None:
|
||||
raise RuntimeError(
|
||||
"Make sure to run `cache_symbols()` on startup!"
|
||||
)
|
||||
# retreive and cache all symbols
|
||||
|
||||
return self._pairs
|
||||
|
||||
async def _public(
|
||||
self,
|
||||
method: str,
|
||||
data: dict,
|
||||
) -> dict[str, Any]:
|
||||
resp = await self._sesh.post(
|
||||
path=f'/public/{method}',
|
||||
json=data,
|
||||
timeout=float('inf')
|
||||
)
|
||||
return resproc(resp, log)
|
||||
|
||||
async def _private(
|
||||
self,
|
||||
method: str,
|
||||
data: dict,
|
||||
uri_path: str
|
||||
) -> dict[str, Any]:
|
||||
headers = {
|
||||
'Content-Type':
|
||||
'application/x-www-form-urlencoded',
|
||||
'API-Key':
|
||||
self._api_key,
|
||||
'API-Sign':
|
||||
get_kraken_signature(uri_path, data, self._secret)
|
||||
}
|
||||
resp = await self._sesh.post(
|
||||
path=f'/private/{method}',
|
||||
data=data,
|
||||
headers=headers,
|
||||
timeout=float('inf')
|
||||
)
|
||||
return resproc(resp, log)
|
||||
|
||||
async def endpoint(
|
||||
self,
|
||||
method: str,
|
||||
data: dict[str, Any]
|
||||
|
||||
) -> dict[str, Any]:
|
||||
uri_path = f'/0/private/{method}'
|
||||
data['nonce'] = str(int(1000*time.time()))
|
||||
return await self._private(method, data, uri_path)
|
||||
|
||||
async def get_balances(
|
||||
self,
|
||||
) -> dict[str, float]:
|
||||
'''
|
||||
Return the set of asset balances for this account
|
||||
by symbol.
|
||||
|
||||
'''
|
||||
resp = await self.endpoint(
|
||||
'Balance',
|
||||
{},
|
||||
)
|
||||
by_bsuid = resp['result']
|
||||
return {
|
||||
self._atable[sym].lower(): float(bal)
|
||||
for sym, bal in by_bsuid.items()
|
||||
}
|
||||
|
||||
async def get_assets(self) -> dict[str, dict]:
|
||||
resp = await self._public('Assets', {})
|
||||
return resp['result']
|
||||
|
||||
async def cache_assets(self) -> None:
|
||||
assets = self.assets = await self.get_assets()
|
||||
for bsuid, info in assets.items():
|
||||
self._atable[bsuid] = info['altname']
|
||||
|
||||
async def get_trades(
|
||||
self,
|
||||
fetch_limit: int = 10,
|
||||
|
||||
) -> dict[str, Any]:
|
||||
'''
|
||||
Get the trades (aka cleared orders) history from the rest endpoint:
|
||||
https://docs.kraken.com/rest/#operation/getTradeHistory
|
||||
|
||||
'''
|
||||
ofs = 0
|
||||
trades_by_id: dict[str, Any] = {}
|
||||
|
||||
for i in itertools.count():
|
||||
if i >= fetch_limit:
|
||||
break
|
||||
|
||||
# increment 'ofs' pagination offset
|
||||
ofs = i*50
|
||||
|
||||
resp = await self.endpoint(
|
||||
'TradesHistory',
|
||||
{'ofs': ofs},
|
||||
)
|
||||
by_id = resp['result']['trades']
|
||||
trades_by_id.update(by_id)
|
||||
|
||||
# we can get up to 50 results per query
|
||||
if (
|
||||
len(by_id) < 50
|
||||
):
|
||||
err = resp.get('error')
|
||||
if err:
|
||||
raise BrokerError(err)
|
||||
|
||||
# we know we received the max amount of
|
||||
# trade results so there may be more history.
|
||||
# catch the end of the trades
|
||||
count = resp['result']['count']
|
||||
break
|
||||
|
||||
# santity check on update
|
||||
assert count == len(trades_by_id.values())
|
||||
return trades_by_id
|
||||
|
||||
async def get_xfers(
|
||||
self,
|
||||
asset: str,
|
||||
src_asset: str = '',
|
||||
|
||||
) -> dict[str, Transaction]:
|
||||
'''
|
||||
Get asset balance transfer transactions.
|
||||
|
||||
Currently only withdrawals are supported.
|
||||
|
||||
'''
|
||||
xfers: list[dict] = (await self.endpoint(
|
||||
'WithdrawStatus',
|
||||
{'asset': asset},
|
||||
))['result']
|
||||
|
||||
# eg. resp schema:
|
||||
# 'result': [{'method': 'Bitcoin', 'aclass': 'currency', 'asset':
|
||||
# 'XXBT', 'refid': 'AGBJRMB-JHD2M4-NDI3NR', 'txid':
|
||||
# 'b95d66d3bb6fd76cbccb93f7639f99a505cb20752c62ea0acc093a0e46547c44',
|
||||
# 'info': 'bc1qc8enqjekwppmw3g80p56z5ns7ze3wraqk5rl9z',
|
||||
# 'amount': '0.00300726', 'fee': '0.00001000', 'time':
|
||||
# 1658347714, 'status': 'Success'}]}
|
||||
|
||||
trans: dict[str, Transaction] = {}
|
||||
for entry in xfers:
|
||||
# look up the normalized name
|
||||
asset = self._atable[entry['asset']].lower()
|
||||
|
||||
# XXX: this is in the asset units (likely) so it isn't
|
||||
# quite the same as a commisions cost necessarily..)
|
||||
cost = float(entry['fee'])
|
||||
|
||||
tran = Transaction(
|
||||
fqsn=asset + '.kraken',
|
||||
tid=entry['txid'],
|
||||
dt=pendulum.from_timestamp(entry['time']),
|
||||
bsuid=f'{asset}{src_asset}',
|
||||
size=-1*(
|
||||
float(entry['amount'])
|
||||
+
|
||||
cost
|
||||
),
|
||||
# since this will be treated as a "sell" it
|
||||
# shouldn't be needed to compute the be price.
|
||||
price='NaN',
|
||||
|
||||
# XXX: see note above
|
||||
cost=0,
|
||||
)
|
||||
trans[tran.tid] = tran
|
||||
|
||||
return trans
|
||||
|
||||
async def submit_limit(
|
||||
self,
|
||||
symbol: str,
|
||||
price: float,
|
||||
action: str,
|
||||
size: float,
|
||||
reqid: str = None,
|
||||
validate: bool = False # set True test call without a real submission
|
||||
|
||||
) -> dict:
|
||||
'''
|
||||
Place an order and return integer request id provided by client.
|
||||
|
||||
'''
|
||||
# Build common data dict for common keys from both endpoints
|
||||
data = {
|
||||
"pair": symbol,
|
||||
"price": str(price),
|
||||
"validate": validate
|
||||
}
|
||||
if reqid is None:
|
||||
# Build order data for kraken api
|
||||
data |= {
|
||||
"ordertype": "limit",
|
||||
"type": action,
|
||||
"volume": str(size),
|
||||
}
|
||||
return await self.endpoint('AddOrder', data)
|
||||
|
||||
else:
|
||||
# Edit order data for kraken api
|
||||
data["txid"] = reqid
|
||||
return await self.endpoint('EditOrder', data)
|
||||
|
||||
async def submit_cancel(
|
||||
self,
|
||||
reqid: str,
|
||||
) -> dict:
|
||||
'''
|
||||
Send cancel request for order id ``reqid``.
|
||||
|
||||
'''
|
||||
# txid is a transaction id given by kraken
|
||||
return await self.endpoint('CancelOrder', {"txid": reqid})
|
||||
|
||||
async def symbol_info(
|
||||
self,
|
||||
pair: Optional[str] = None,
|
||||
|
||||
) -> dict[str, dict[str, str]]:
|
||||
|
||||
if pair is not None:
|
||||
pairs = {'pair': pair}
|
||||
else:
|
||||
pairs = None # get all pairs
|
||||
|
||||
resp = await self._public('AssetPairs', pairs)
|
||||
err = resp['error']
|
||||
if err:
|
||||
symbolname = pairs['pair'] if pair else None
|
||||
raise SymbolNotFound(f'{symbolname}.kraken')
|
||||
|
||||
pairs = resp['result']
|
||||
|
||||
if pair is not None:
|
||||
_, data = next(iter(pairs.items()))
|
||||
return data
|
||||
else:
|
||||
return pairs
|
||||
|
||||
async def cache_symbols(
|
||||
self,
|
||||
) -> dict:
|
||||
if not self._pairs:
|
||||
self._pairs = await self.symbol_info()
|
||||
|
||||
ntable = {}
|
||||
for restapikey, info in self._pairs.items():
|
||||
ntable[restapikey] = ntable[info['wsname']] = info['altname']
|
||||
|
||||
self._ntable.update(ntable)
|
||||
|
||||
return self._pairs
|
||||
|
||||
async def search_symbols(
|
||||
self,
|
||||
pattern: str,
|
||||
limit: int = None,
|
||||
) -> dict[str, Any]:
|
||||
if self._pairs is not None:
|
||||
data = self._pairs
|
||||
else:
|
||||
data = await self.symbol_info()
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
data,
|
||||
score_cutoff=50,
|
||||
)
|
||||
# repack in dict form
|
||||
return {item[0]['altname']: item[0] for item in matches}
|
||||
|
||||
async def bars(
|
||||
self,
|
||||
symbol: str = 'XBTUSD',
|
||||
|
||||
# UTC 2017-07-02 12:53:20
|
||||
since: Optional[Union[int, datetime]] = None,
|
||||
count: int = 720, # <- max allowed per query
|
||||
as_np: bool = True,
|
||||
|
||||
) -> dict:
|
||||
|
||||
if since is None:
|
||||
since = pendulum.now('UTC').start_of('minute').subtract(
|
||||
minutes=count).timestamp()
|
||||
|
||||
elif isinstance(since, int):
|
||||
since = pendulum.from_timestamp(since).timestamp()
|
||||
|
||||
else: # presumably a pendulum datetime
|
||||
since = since.timestamp()
|
||||
|
||||
# UTC 2017-07-02 12:53:20 is oldest seconds value
|
||||
since = str(max(1499000000, int(since)))
|
||||
json = await self._public(
|
||||
'OHLC',
|
||||
data={
|
||||
'pair': symbol,
|
||||
'since': since,
|
||||
},
|
||||
)
|
||||
try:
|
||||
res = json['result']
|
||||
res.pop('last')
|
||||
bars = next(iter(res.values()))
|
||||
|
||||
new_bars = []
|
||||
|
||||
first = bars[0]
|
||||
last_nz_vwap = first[-3]
|
||||
if last_nz_vwap == 0:
|
||||
# use close if vwap is zero
|
||||
last_nz_vwap = first[-4]
|
||||
|
||||
# convert all fields to native types
|
||||
for i, bar in enumerate(bars):
|
||||
# normalize weird zero-ed vwap values..cmon kraken..
|
||||
# indicates vwap didn't change since last bar
|
||||
vwap = float(bar.pop(-3))
|
||||
if vwap != 0:
|
||||
last_nz_vwap = vwap
|
||||
if vwap == 0:
|
||||
vwap = last_nz_vwap
|
||||
|
||||
# re-insert vwap as the last of the fields
|
||||
bar.append(vwap)
|
||||
|
||||
new_bars.append(
|
||||
(i,) + tuple(
|
||||
ftype(bar[j]) for j, (name, ftype) in enumerate(
|
||||
_ohlc_dtype[1:]
|
||||
)
|
||||
)
|
||||
)
|
||||
array = np.array(new_bars, dtype=_ohlc_dtype) if as_np else bars
|
||||
return array
|
||||
except KeyError:
|
||||
errmsg = json['error'][0]
|
||||
|
||||
if 'not found' in errmsg:
|
||||
raise SymbolNotFound(errmsg + f': {symbol}')
|
||||
|
||||
elif 'Too many requests' in errmsg:
|
||||
raise DataThrottle(f'{symbol}')
|
||||
|
||||
else:
|
||||
raise BrokerError(errmsg)
|
||||
|
||||
@classmethod
|
||||
def normalize_symbol(
|
||||
cls,
|
||||
ticker: str
|
||||
) -> str:
|
||||
'''
|
||||
Normalize symbol names to to a 3x3 pair from the global
|
||||
definition map which we build out from the data retreived from
|
||||
the 'AssetPairs' endpoint, see methods above.
|
||||
|
||||
'''
|
||||
ticker = cls._ntable[ticker]
|
||||
symlen = len(ticker)
|
||||
if symlen != 6:
|
||||
raise ValueError(f'Unhandled symbol: {ticker}')
|
||||
|
||||
return ticker.lower()
|
||||
|
||||
|
||||
@acm
|
||||
async def get_client() -> Client:
|
||||
|
||||
conf = get_config()
|
||||
if conf:
|
||||
client = Client(
|
||||
conf,
|
||||
name=conf['key_descr'],
|
||||
api_key=conf['api_key'],
|
||||
secret=conf['secret']
|
||||
)
|
||||
else:
|
||||
client = Client({})
|
||||
|
||||
# at startup, load all symbols, and asset info in
|
||||
# batch requests.
|
||||
async with trio.open_nursery() as nurse:
|
||||
nurse.start_soon(client.cache_assets)
|
||||
await client.cache_symbols()
|
||||
|
||||
yield client
|
||||
File diff suppressed because it is too large
Load Diff
|
|
@ -1,499 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# 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/>.
|
||||
|
||||
'''
|
||||
Real-time and historical data feed endpoints.
|
||||
|
||||
'''
|
||||
from contextlib import asynccontextmanager as acm
|
||||
from datetime import datetime
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Callable,
|
||||
)
|
||||
import time
|
||||
|
||||
from async_generator import aclosing
|
||||
from fuzzywuzzy import process as fuzzy
|
||||
import numpy as np
|
||||
import pendulum
|
||||
from trio_typing import TaskStatus
|
||||
import tractor
|
||||
import trio
|
||||
|
||||
from piker._cacheables import open_cached_client
|
||||
from piker.brokers._util import (
|
||||
BrokerError,
|
||||
DataThrottle,
|
||||
DataUnavailable,
|
||||
)
|
||||
from piker.log import get_console_log
|
||||
from piker.data import ShmArray
|
||||
from piker.data.types import Struct
|
||||
from piker.data._web_bs import open_autorecon_ws, NoBsWs
|
||||
from . import log
|
||||
from .api import (
|
||||
Client,
|
||||
)
|
||||
|
||||
|
||||
# https://www.kraken.com/features/api#get-tradable-pairs
|
||||
class Pair(Struct):
|
||||
altname: str # alternate pair name
|
||||
wsname: str # WebSocket pair name (if available)
|
||||
aclass_base: str # asset class of base component
|
||||
base: str # asset id of base component
|
||||
aclass_quote: str # asset class of quote component
|
||||
quote: str # asset id of quote component
|
||||
lot: str # volume lot size
|
||||
|
||||
pair_decimals: int # scaling decimal places for pair
|
||||
lot_decimals: int # scaling decimal places for volume
|
||||
|
||||
# amount to multiply lot volume by to get currency volume
|
||||
lot_multiplier: float
|
||||
|
||||
# array of leverage amounts available when buying
|
||||
leverage_buy: list[int]
|
||||
# array of leverage amounts available when selling
|
||||
leverage_sell: list[int]
|
||||
|
||||
# fee schedule array in [volume, percent fee] tuples
|
||||
fees: list[tuple[int, float]]
|
||||
|
||||
# maker fee schedule array in [volume, percent fee] tuples (if on
|
||||
# maker/taker)
|
||||
fees_maker: list[tuple[int, float]]
|
||||
|
||||
fee_volume_currency: str # volume discount currency
|
||||
margin_call: str # margin call level
|
||||
margin_stop: str # stop-out/liquidation margin level
|
||||
ordermin: float # minimum order volume for pair
|
||||
|
||||
|
||||
class OHLC(Struct):
|
||||
'''
|
||||
Description of the flattened OHLC quote format.
|
||||
|
||||
For schema details see:
|
||||
https://docs.kraken.com/websockets/#message-ohlc
|
||||
|
||||
'''
|
||||
chan_id: int # internal kraken id
|
||||
chan_name: str # eg. ohlc-1 (name-interval)
|
||||
pair: str # fx pair
|
||||
time: float # Begin time of interval, in seconds since epoch
|
||||
etime: float # End time of interval, in seconds since epoch
|
||||
open: float # Open price of interval
|
||||
high: float # High price within interval
|
||||
low: float # Low price within interval
|
||||
close: float # Close price of interval
|
||||
vwap: float # Volume weighted average price within interval
|
||||
volume: float # Accumulated volume **within interval**
|
||||
count: int # Number of trades within interval
|
||||
# (sampled) generated tick data
|
||||
ticks: list[Any] = []
|
||||
|
||||
|
||||
async def stream_messages(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Message stream parser and heartbeat handler.
|
||||
|
||||
Deliver ws subscription messages as well as handle heartbeat logic
|
||||
though a single async generator.
|
||||
|
||||
'''
|
||||
too_slow_count = last_hb = 0
|
||||
|
||||
while True:
|
||||
|
||||
with trio.move_on_after(5) as cs:
|
||||
msg = await ws.recv_msg()
|
||||
|
||||
# trigger reconnection if heartbeat is laggy
|
||||
if cs.cancelled_caught:
|
||||
|
||||
too_slow_count += 1
|
||||
|
||||
if too_slow_count > 20:
|
||||
log.warning(
|
||||
"Heartbeat is too slow, resetting ws connection")
|
||||
|
||||
await ws._connect()
|
||||
too_slow_count = 0
|
||||
continue
|
||||
|
||||
match msg:
|
||||
case {'event': 'heartbeat'}:
|
||||
now = time.time()
|
||||
delay = now - last_hb
|
||||
last_hb = now
|
||||
|
||||
# XXX: why tf is this not printing without --tl flag?
|
||||
log.debug(f"Heartbeat after {delay}")
|
||||
# print(f"Heartbeat after {delay}")
|
||||
|
||||
continue
|
||||
|
||||
case _:
|
||||
# passthrough sub msgs
|
||||
yield msg
|
||||
|
||||
|
||||
async def process_data_feed_msgs(
|
||||
ws: NoBsWs,
|
||||
):
|
||||
'''
|
||||
Parse and pack data feed messages.
|
||||
|
||||
'''
|
||||
async for msg in stream_messages(ws):
|
||||
match msg:
|
||||
case {
|
||||
'errorMessage': errmsg
|
||||
}:
|
||||
raise BrokerError(errmsg)
|
||||
|
||||
case {
|
||||
'event': 'subscriptionStatus',
|
||||
} as sub:
|
||||
log.info(
|
||||
'WS subscription is active:\n'
|
||||
f'{sub}'
|
||||
)
|
||||
continue
|
||||
|
||||
case [
|
||||
chan_id,
|
||||
*payload_array,
|
||||
chan_name,
|
||||
pair
|
||||
]:
|
||||
if 'ohlc' in chan_name:
|
||||
ohlc = OHLC(
|
||||
chan_id,
|
||||
chan_name,
|
||||
pair,
|
||||
*payload_array[0]
|
||||
)
|
||||
ohlc.typecast()
|
||||
yield 'ohlc', ohlc
|
||||
|
||||
elif 'spread' in chan_name:
|
||||
|
||||
bid, ask, ts, bsize, asize = map(
|
||||
float, payload_array[0])
|
||||
|
||||
# TODO: really makes you think IB has a horrible API...
|
||||
quote = {
|
||||
'symbol': pair.replace('/', ''),
|
||||
'ticks': [
|
||||
{'type': 'bid', 'price': bid, 'size': bsize},
|
||||
{'type': 'bsize', 'price': bid, 'size': bsize},
|
||||
|
||||
{'type': 'ask', 'price': ask, 'size': asize},
|
||||
{'type': 'asize', 'price': ask, 'size': asize},
|
||||
],
|
||||
}
|
||||
yield 'l1', quote
|
||||
|
||||
# elif 'book' in msg[-2]:
|
||||
# chan_id, *payload_array, chan_name, pair = msg
|
||||
# print(msg)
|
||||
|
||||
case _:
|
||||
print(f'UNHANDLED MSG: {msg}')
|
||||
# yield msg
|
||||
|
||||
|
||||
def normalize(
|
||||
ohlc: OHLC,
|
||||
|
||||
) -> dict:
|
||||
quote = ohlc.to_dict()
|
||||
quote['broker_ts'] = quote['time']
|
||||
quote['brokerd_ts'] = time.time()
|
||||
quote['symbol'] = quote['pair'] = quote['pair'].replace('/', '')
|
||||
quote['last'] = quote['close']
|
||||
quote['bar_wap'] = ohlc.vwap
|
||||
|
||||
# seriously eh? what's with this non-symmetry everywhere
|
||||
# in subscription systems...
|
||||
# XXX: piker style is always lowercases symbols.
|
||||
topic = quote['pair'].replace('/', '').lower()
|
||||
|
||||
# print(quote)
|
||||
return topic, quote
|
||||
|
||||
|
||||
@acm
|
||||
async def open_history_client(
|
||||
symbol: str,
|
||||
|
||||
) -> tuple[Callable, int]:
|
||||
|
||||
# TODO implement history getter for the new storage layer.
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
# lol, kraken won't send any more then the "last"
|
||||
# 720 1m bars.. so we have to just ignore further
|
||||
# requests of this type..
|
||||
queries: int = 0
|
||||
|
||||
async def get_ohlc(
|
||||
end_dt: Optional[datetime] = None,
|
||||
start_dt: Optional[datetime] = None,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
datetime, # start
|
||||
datetime, # end
|
||||
]:
|
||||
|
||||
nonlocal queries
|
||||
if queries > 0:
|
||||
raise DataUnavailable
|
||||
|
||||
count = 0
|
||||
while count <= 3:
|
||||
try:
|
||||
array = await client.bars(
|
||||
symbol,
|
||||
since=end_dt,
|
||||
)
|
||||
count += 1
|
||||
queries += 1
|
||||
break
|
||||
except DataThrottle:
|
||||
log.warning(f'kraken OHLC throttle for {symbol}')
|
||||
await trio.sleep(1)
|
||||
|
||||
start_dt = pendulum.from_timestamp(array[0]['time'])
|
||||
end_dt = pendulum.from_timestamp(array[-1]['time'])
|
||||
return array, start_dt, end_dt
|
||||
|
||||
yield get_ohlc, {'erlangs': 1, 'rate': 1}
|
||||
|
||||
|
||||
async def backfill_bars(
|
||||
|
||||
sym: str,
|
||||
shm: ShmArray, # type: ignore # noqa
|
||||
count: int = 10, # NOTE: any more and we'll overrun the underlying buffer
|
||||
task_status: TaskStatus[trio.CancelScope] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Fill historical bars into shared mem / storage afap.
|
||||
'''
|
||||
with trio.CancelScope() as cs:
|
||||
async with open_cached_client('kraken') as client:
|
||||
bars = await client.bars(symbol=sym)
|
||||
shm.push(bars)
|
||||
task_status.started(cs)
|
||||
|
||||
|
||||
async def stream_quotes(
|
||||
|
||||
send_chan: trio.abc.SendChannel,
|
||||
symbols: list[str],
|
||||
feed_is_live: trio.Event,
|
||||
loglevel: str = None,
|
||||
|
||||
# backend specific
|
||||
sub_type: str = 'ohlc',
|
||||
|
||||
# startup sync
|
||||
task_status: TaskStatus[tuple[dict, dict]] = trio.TASK_STATUS_IGNORED,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
Subscribe for ohlc stream of quotes for ``pairs``.
|
||||
|
||||
``pairs`` must be formatted <crypto_symbol>/<fiat_symbol>.
|
||||
|
||||
'''
|
||||
# XXX: required to propagate ``tractor`` loglevel to piker logging
|
||||
get_console_log(loglevel or tractor.current_actor().loglevel)
|
||||
|
||||
ws_pairs = {}
|
||||
sym_infos = {}
|
||||
|
||||
async with open_cached_client('kraken') as client, send_chan as send_chan:
|
||||
|
||||
# keep client cached for real-time section
|
||||
for sym in symbols:
|
||||
|
||||
# transform to upper since piker style is always lower
|
||||
sym = sym.upper()
|
||||
|
||||
si = Pair(**await client.symbol_info(sym)) # validation
|
||||
syminfo = si.to_dict()
|
||||
syminfo['price_tick_size'] = 1 / 10**si.pair_decimals
|
||||
syminfo['lot_tick_size'] = 1 / 10**si.lot_decimals
|
||||
syminfo['asset_type'] = 'crypto'
|
||||
sym_infos[sym] = syminfo
|
||||
ws_pairs[sym] = si.wsname
|
||||
|
||||
symbol = symbols[0].lower()
|
||||
|
||||
init_msgs = {
|
||||
# pass back token, and bool, signalling if we're the writer
|
||||
# and that history has been written
|
||||
symbol: {
|
||||
'symbol_info': sym_infos[sym],
|
||||
'shm_write_opts': {'sum_tick_vml': False},
|
||||
'fqsn': sym,
|
||||
},
|
||||
}
|
||||
|
||||
@acm
|
||||
async def subscribe(ws: NoBsWs):
|
||||
|
||||
# XXX: setup subs
|
||||
# https://docs.kraken.com/websockets/#message-subscribe
|
||||
# specific logic for this in kraken's sync client:
|
||||
# https://github.com/krakenfx/kraken-wsclient-py/blob/master/kraken_wsclient_py/kraken_wsclient_py.py#L188
|
||||
ohlc_sub = {
|
||||
'event': 'subscribe',
|
||||
'pair': list(ws_pairs.values()),
|
||||
'subscription': {
|
||||
'name': 'ohlc',
|
||||
'interval': 1,
|
||||
},
|
||||
}
|
||||
|
||||
# TODO: we want to eventually allow unsubs which should
|
||||
# be completely fine to request from a separate task
|
||||
# since internally the ws methods appear to be FIFO
|
||||
# locked.
|
||||
await ws.send_msg(ohlc_sub)
|
||||
|
||||
# trade data (aka L1)
|
||||
l1_sub = {
|
||||
'event': 'subscribe',
|
||||
'pair': list(ws_pairs.values()),
|
||||
'subscription': {
|
||||
'name': 'spread',
|
||||
# 'depth': 10}
|
||||
},
|
||||
}
|
||||
|
||||
# pull a first quote and deliver
|
||||
await ws.send_msg(l1_sub)
|
||||
|
||||
yield
|
||||
|
||||
# unsub from all pairs on teardown
|
||||
await ws.send_msg({
|
||||
'pair': list(ws_pairs.values()),
|
||||
'event': 'unsubscribe',
|
||||
'subscription': ['ohlc', 'spread'],
|
||||
})
|
||||
|
||||
# XXX: do we need to ack the unsub?
|
||||
# await ws.recv_msg()
|
||||
|
||||
# see the tips on reconnection logic:
|
||||
# https://support.kraken.com/hc/en-us/articles/360044504011-WebSocket-API-unexpected-disconnections-from-market-data-feeds
|
||||
ws: NoBsWs
|
||||
async with (
|
||||
open_autorecon_ws(
|
||||
'wss://ws.kraken.com/',
|
||||
fixture=subscribe,
|
||||
) as ws,
|
||||
aclosing(process_data_feed_msgs(ws)) as msg_gen,
|
||||
):
|
||||
# pull a first quote and deliver
|
||||
typ, ohlc_last = await anext(msg_gen)
|
||||
topic, quote = normalize(ohlc_last)
|
||||
|
||||
task_status.started((init_msgs, quote))
|
||||
|
||||
# lol, only "closes" when they're margin squeezing clients ;P
|
||||
feed_is_live.set()
|
||||
|
||||
# keep start of last interval for volume tracking
|
||||
last_interval_start = ohlc_last.etime
|
||||
|
||||
# start streaming
|
||||
async for typ, ohlc in msg_gen:
|
||||
|
||||
if typ == 'ohlc':
|
||||
|
||||
# TODO: can get rid of all this by using
|
||||
# ``trades`` subscription...
|
||||
|
||||
# generate tick values to match time & sales pane:
|
||||
# https://trade.kraken.com/charts/KRAKEN:BTC-USD?period=1m
|
||||
volume = ohlc.volume
|
||||
|
||||
# new OHLC sample interval
|
||||
if ohlc.etime > last_interval_start:
|
||||
last_interval_start = ohlc.etime
|
||||
tick_volume = volume
|
||||
|
||||
else:
|
||||
# this is the tick volume *within the interval*
|
||||
tick_volume = volume - ohlc_last.volume
|
||||
|
||||
ohlc_last = ohlc
|
||||
last = ohlc.close
|
||||
|
||||
if tick_volume:
|
||||
ohlc.ticks.append({
|
||||
'type': 'trade',
|
||||
'price': last,
|
||||
'size': tick_volume,
|
||||
})
|
||||
|
||||
topic, quote = normalize(ohlc)
|
||||
|
||||
elif typ == 'l1':
|
||||
quote = ohlc
|
||||
topic = quote['symbol'].lower()
|
||||
|
||||
await send_chan.send({topic: quote})
|
||||
|
||||
|
||||
@tractor.context
|
||||
async def open_symbol_search(
|
||||
ctx: tractor.Context,
|
||||
|
||||
) -> Client:
|
||||
async with open_cached_client('kraken') as client:
|
||||
|
||||
# load all symbols locally for fast search
|
||||
cache = await client.cache_symbols()
|
||||
await ctx.started(cache)
|
||||
|
||||
async with ctx.open_stream() as stream:
|
||||
|
||||
async for pattern in stream:
|
||||
|
||||
matches = fuzzy.extractBests(
|
||||
pattern,
|
||||
cache,
|
||||
score_cutoff=50,
|
||||
)
|
||||
# repack in dict form
|
||||
await stream.send(
|
||||
{item[0]['altname']: item[0]
|
||||
for item in matches}
|
||||
)
|
||||
|
|
@ -22,10 +22,54 @@ from enum import Enum
|
|||
from typing import Optional
|
||||
|
||||
from bidict import bidict
|
||||
from pydantic import BaseModel, validator
|
||||
|
||||
from ..data._source import Symbol
|
||||
from ..data.types import Struct
|
||||
from ..pp import Position
|
||||
from ._messages import BrokerdPosition, Status
|
||||
|
||||
|
||||
class Position(BaseModel):
|
||||
'''
|
||||
Basic pp (personal position) model with attached fills history.
|
||||
|
||||
This type should be IPC wire ready?
|
||||
|
||||
'''
|
||||
symbol: Symbol
|
||||
|
||||
# last size and avg entry price
|
||||
size: float
|
||||
avg_price: float # TODO: contextual pricing
|
||||
|
||||
# ordered record of known constituent trade messages
|
||||
fills: list[Status] = []
|
||||
|
||||
def update_from_msg(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
|
||||
) -> None:
|
||||
|
||||
# XXX: better place to do this?
|
||||
symbol = self.symbol
|
||||
|
||||
lot_size_digits = symbol.lot_size_digits
|
||||
avg_price, size = (
|
||||
round(msg['avg_price'], ndigits=symbol.tick_size_digits),
|
||||
round(msg['size'], ndigits=lot_size_digits),
|
||||
)
|
||||
|
||||
self.avg_price = avg_price
|
||||
self.size = size
|
||||
|
||||
@property
|
||||
def dsize(self) -> float:
|
||||
'''
|
||||
The "dollar" size of the pp, normally in trading (fiat) unit
|
||||
terms.
|
||||
|
||||
'''
|
||||
return self.avg_price * self.size
|
||||
|
||||
|
||||
_size_units = bidict({
|
||||
|
|
@ -40,30 +84,33 @@ 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
|
||||
|
||||
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
|
||||
|
|
@ -126,7 +173,7 @@ class Allocator(Struct):
|
|||
l_sub_pp = self.units_limit - abs_live_size
|
||||
|
||||
elif size_unit == 'currency':
|
||||
live_cost_basis = abs_live_size * live_pp.ppu
|
||||
live_cost_basis = abs_live_size * live_pp.avg_price
|
||||
slot_size = currency_per_slot / price
|
||||
l_sub_pp = (self.currency_limit - live_cost_basis) / price
|
||||
|
||||
|
|
@ -158,7 +205,7 @@ class Allocator(Struct):
|
|||
if size_unit == 'currency':
|
||||
# compute the "projected" limit's worth of units at the
|
||||
# current pp (weighted) price:
|
||||
slot_size = currency_per_slot / live_pp.ppu
|
||||
slot_size = currency_per_slot / live_pp.avg_price
|
||||
|
||||
else:
|
||||
slot_size = u_per_slot
|
||||
|
|
@ -197,12 +244,7 @@ class Allocator(Struct):
|
|||
if order_size < slot_size:
|
||||
# compute a fractional slots size to display
|
||||
slots_used = self.slots_used(
|
||||
Position(
|
||||
symbol=sym,
|
||||
size=order_size,
|
||||
ppu=price,
|
||||
bsuid=sym,
|
||||
)
|
||||
Position(symbol=sym, size=order_size, avg_price=price)
|
||||
)
|
||||
|
||||
return {
|
||||
|
|
@ -229,8 +271,8 @@ class Allocator(Struct):
|
|||
abs_pp_size = abs(pp.size)
|
||||
|
||||
if self.size_unit == 'currency':
|
||||
# live_currency_size = size or (abs_pp_size * pp.ppu)
|
||||
live_currency_size = abs_pp_size * pp.ppu
|
||||
# live_currency_size = size or (abs_pp_size * pp.avg_price)
|
||||
live_currency_size = abs_pp_size * pp.avg_price
|
||||
prop = live_currency_size / self.currency_limit
|
||||
|
||||
else:
|
||||
|
|
@ -258,7 +300,7 @@ 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,
|
||||
|
|
@ -297,13 +339,10 @@ 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':
|
||||
startup_size = startup_pp.size * startup_pp.ppu
|
||||
startup_size = startup_pp.size * startup_pp.avg_price
|
||||
|
||||
if startup_size > alloc.currency_limit:
|
||||
alloc.currency_limit = round(startup_size, ndigits=2)
|
||||
|
|
|
|||
|
|
@ -31,7 +31,6 @@ from ..log import get_logger
|
|||
from ._ems import _emsd_main
|
||||
from .._daemon import maybe_open_emsd
|
||||
from ._messages import Order, Cancel
|
||||
from ..brokers import get_brokermod
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -59,11 +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(
|
||||
|
|
@ -74,8 +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
|
||||
|
||||
|
|
@ -83,18 +83,12 @@ class OrderBook:
|
|||
"""Cancel an order (or alert) in the EMS.
|
||||
|
||||
"""
|
||||
cmd = self._sent_orders.get(uuid)
|
||||
if not cmd:
|
||||
log.error(
|
||||
f'Unknown order {uuid}!?\n'
|
||||
f'Maybe there is a stale entry or line?\n'
|
||||
f'You should report this as a bug!'
|
||||
)
|
||||
cmd = self._sent_orders[uuid]
|
||||
msg = Cancel(
|
||||
oid=uuid,
|
||||
symbol=cmd.symbol,
|
||||
)
|
||||
self._to_ems.send_nowait(msg)
|
||||
self._to_ems.send_nowait(msg.dict())
|
||||
|
||||
|
||||
_orders: OrderBook = None
|
||||
|
|
@ -155,17 +149,10 @@ 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:
|
||||
sym = cmd.symbol
|
||||
msg = pformat(cmd)
|
||||
if sym == symbol_key:
|
||||
log.info(f'Send order cmd:\n{msg}')
|
||||
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)
|
||||
else:
|
||||
log.warning(
|
||||
f'Ignoring unmatched order cmd for {sym} != {symbol_key}:'
|
||||
f'\n{msg}'
|
||||
)
|
||||
|
||||
|
||||
@acm
|
||||
|
|
@ -217,35 +204,20 @@ async def open_ems(
|
|||
from ..data._source import unpack_fqsn
|
||||
broker, symbol, suffix = unpack_fqsn(fqsn)
|
||||
|
||||
mode: str = 'live'
|
||||
|
||||
async with maybe_open_emsd(broker) as portal:
|
||||
|
||||
mod = get_brokermod(broker)
|
||||
if not getattr(mod, 'trades_dialogue', None):
|
||||
mode = 'paper'
|
||||
|
||||
async with (
|
||||
# connect to emsd
|
||||
portal.open_context(
|
||||
|
||||
_emsd_main,
|
||||
fqsn=fqsn,
|
||||
exec_mode=mode,
|
||||
|
||||
) as (
|
||||
ctx,
|
||||
(
|
||||
positions,
|
||||
accounts,
|
||||
dialogs,
|
||||
)
|
||||
),
|
||||
) as (ctx, (positions, accounts)),
|
||||
|
||||
# open 2-way trade command stream
|
||||
ctx.open_stream() as trades_stream,
|
||||
):
|
||||
# start sync code order msg delivery task
|
||||
async with trio.open_nursery() as n:
|
||||
n.start_soon(
|
||||
relay_order_cmds_from_sync_code,
|
||||
|
|
@ -253,10 +225,4 @@ async def open_ems(
|
|||
trades_stream
|
||||
)
|
||||
|
||||
yield (
|
||||
book,
|
||||
trades_stream,
|
||||
positions,
|
||||
accounts,
|
||||
dialogs,
|
||||
)
|
||||
yield book, trades_stream, positions, accounts
|
||||
|
|
|
|||
File diff suppressed because it is too large
Load Diff
|
|
@ -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
|
||||
|
|
@ -15,95 +15,22 @@
|
|||
# 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 collections import (
|
||||
# ChainMap,
|
||||
# deque,
|
||||
# )
|
||||
from typing import (
|
||||
Optional,
|
||||
Literal,
|
||||
)
|
||||
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: a composite for tracking msg flow on 2-legged
|
||||
# dialogs.
|
||||
# class Dialog(ChainMap):
|
||||
# '''
|
||||
# Msg collection abstraction to easily track the state changes of
|
||||
# a msg flow in one high level, query-able and immutable construct.
|
||||
|
||||
# The main use case is to query data from a (long-running)
|
||||
# msg-transaction-sequence
|
||||
|
||||
|
||||
# '''
|
||||
# def update(
|
||||
# self,
|
||||
# msg,
|
||||
# ) -> None:
|
||||
# self.maps.insert(0, msg.to_dict())
|
||||
|
||||
# def flatten(self) -> dict:
|
||||
# return dict(self)
|
||||
|
||||
|
||||
# TODO: ``msgspec`` stuff worth paying attention to:
|
||||
# - schema evolution:
|
||||
# https://jcristharif.com/msgspec/usage.html#schema-evolution
|
||||
# - for eg. ``BrokerdStatus``, instead just have separate messages?
|
||||
# - use literals for a common msg determined by diff keys?
|
||||
# - https://jcristharif.com/msgspec/usage.html#literal
|
||||
|
||||
# --------------
|
||||
# Client -> emsd
|
||||
# --------------
|
||||
|
||||
class Order(Struct):
|
||||
|
||||
# TODO: ideally we can combine these 2 fields into
|
||||
# 1 and just use the size polarity to determine a buy/sell.
|
||||
# i would like to see this become more like
|
||||
# https://jcristharif.com/msgspec/usage.html#literal
|
||||
# action: Literal[
|
||||
# 'live',
|
||||
# 'dark',
|
||||
# 'alert',
|
||||
# ]
|
||||
|
||||
action: Literal[
|
||||
'buy',
|
||||
'sell',
|
||||
'alert',
|
||||
]
|
||||
# determines whether the create execution
|
||||
# will be submitted to the ems or directly to
|
||||
# the backend broker
|
||||
exec_mode: Literal[
|
||||
'dark',
|
||||
'live',
|
||||
# 'paper', no right?
|
||||
]
|
||||
|
||||
# internal ``emdsd`` unique "order id"
|
||||
oid: str # uuid4
|
||||
symbol: str | Symbol
|
||||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
size: float # -ve is "sell", +ve is "buy"
|
||||
|
||||
brokers: Optional[list[str]] = []
|
||||
|
||||
|
||||
class Cancel(Struct):
|
||||
'''
|
||||
Cancel msg for removing a dark (ems triggered) or
|
||||
class Cancel(BaseModel):
|
||||
'''Cancel msg for removing a dark (ems triggered) or
|
||||
broker-submitted (live) trigger/order.
|
||||
|
||||
'''
|
||||
|
|
@ -112,57 +39,82 @@ class Cancel(Struct):
|
|||
symbol: str
|
||||
|
||||
|
||||
# --------------
|
||||
class Order(BaseModel):
|
||||
|
||||
action: str # {'buy', 'sell', 'alert'}
|
||||
# internal ``emdsd`` unique "order id"
|
||||
oid: str # uuid4
|
||||
symbol: Union[str, Symbol]
|
||||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
size: float
|
||||
brokers: list[str]
|
||||
|
||||
# Assigned once initial ack is received
|
||||
# ack_time_ns: Optional[int] = None
|
||||
|
||||
# determines whether the create execution
|
||||
# will be submitted to the ems or directly to
|
||||
# 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
|
||||
time_ns: int
|
||||
oid: str # uuid4 ems-order dialog id
|
||||
|
||||
resp: Literal[
|
||||
'pending', # acked by broker but not yet open
|
||||
'open',
|
||||
'dark_open', # dark/algo triggered order is open in ems clearing loop
|
||||
'triggered', # above triggered order sent to brokerd, or an alert closed
|
||||
'closed', # fully cleared all size/units
|
||||
'fill', # partial execution
|
||||
'canceled',
|
||||
'error',
|
||||
]
|
||||
# {
|
||||
# 'dark_submitted',
|
||||
# 'dark_cancelled',
|
||||
# 'dark_triggered',
|
||||
|
||||
# 'broker_submitted',
|
||||
# 'broker_cancelled',
|
||||
# 'broker_executed',
|
||||
# 'broker_filled',
|
||||
# 'broker_errored',
|
||||
|
||||
# 'alert_submitted',
|
||||
# 'alert_triggered',
|
||||
|
||||
# }
|
||||
resp: str # "response", see above
|
||||
|
||||
# symbol: str
|
||||
|
||||
# trigger info
|
||||
trigger_price: Optional[float] = None
|
||||
# price: float
|
||||
|
||||
# broker: Optional[str] = None
|
||||
|
||||
# this maps normally to the ``BrokerdOrder.reqid`` below, an id
|
||||
# normally allocated internally by the backend broker routing system
|
||||
reqid: Optional[int | str] = None
|
||||
broker_reqid: Optional[Union[int, str]] = None
|
||||
|
||||
# the (last) source order/request msg if provided
|
||||
# (eg. the Order/Cancel which causes this msg) and
|
||||
# acts as a back-reference to the corresponding
|
||||
# request message which was the source of this msg.
|
||||
req: Optional[Order | Cancel] = None
|
||||
|
||||
# XXX: better design/name here?
|
||||
# flag that can be set to indicate a message for an order
|
||||
# event that wasn't originated by piker's emsd (eg. some external
|
||||
# trading system which does it's own order control but that you
|
||||
# might want to "track" using piker UIs/systems).
|
||||
src: Optional[str] = None
|
||||
|
||||
# for relaying a boxed brokerd-dialog-side msg data "through" the
|
||||
# ems layer to clients.
|
||||
# for relaying backend msg data "through" the ems layer
|
||||
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
|
||||
|
|
@ -175,38 +127,34 @@ class BrokerdCancel(Struct):
|
|||
# for setting a unique order id then this value will be relayed back
|
||||
# on the emsd order request stream as the ``BrokerdOrderAck.reqid``
|
||||
# field
|
||||
reqid: Optional[int | str] = None
|
||||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
|
||||
class BrokerdOrder(Struct):
|
||||
class BrokerdOrder(BaseModel):
|
||||
|
||||
action: str # {buy, sell}
|
||||
oid: str
|
||||
account: str
|
||||
time_ns: int
|
||||
|
||||
# TODO: if we instead rely on a +ve/-ve size to determine
|
||||
# the action we more or less don't need this field right?
|
||||
action: str = '' # {buy, sell}
|
||||
|
||||
# "broker request id": broker specific/internal order id if this is
|
||||
# None, creates a new order otherwise if the id is valid the backend
|
||||
# api must modify the existing matching order. If the broker allows
|
||||
# for setting a unique order id then this value will be relayed back
|
||||
# on the emsd order request stream as the ``BrokerdOrderAck.reqid``
|
||||
# field
|
||||
reqid: Optional[int | str] = None
|
||||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
symbol: str # fqsn
|
||||
symbol: str # symbol.<providername> ?
|
||||
price: float
|
||||
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
|
||||
|
|
@ -217,32 +165,39 @@ class BrokerdOrderAck(Struct):
|
|||
name: str = 'ack'
|
||||
|
||||
# defined and provided by backend
|
||||
reqid: int | str
|
||||
reqid: Union[int, str]
|
||||
|
||||
# emsd id originally sent in matching request msg
|
||||
oid: str
|
||||
account: str = ''
|
||||
|
||||
|
||||
class BrokerdStatus(Struct):
|
||||
class BrokerdStatus(BaseModel):
|
||||
|
||||
name: str = 'status'
|
||||
reqid: int | str
|
||||
reqid: Union[int, str]
|
||||
time_ns: int
|
||||
status: Literal[
|
||||
'open',
|
||||
'canceled',
|
||||
'fill',
|
||||
'pending',
|
||||
'error',
|
||||
]
|
||||
|
||||
account: str
|
||||
# XXX: should be best effort set for every update
|
||||
account: str = ''
|
||||
|
||||
# {
|
||||
# 'submitted',
|
||||
# 'cancelled',
|
||||
# 'filled',
|
||||
# }
|
||||
status: str
|
||||
|
||||
filled: float = 0.0
|
||||
reason: str = ''
|
||||
remaining: float = 0.0
|
||||
|
||||
# external: bool = False
|
||||
# XXX: better design/name here?
|
||||
# flag that can be set to indicate a message for an order
|
||||
# event that wasn't originated by piker's emsd (eg. some external
|
||||
# trading system which does it's own order control but that you
|
||||
# might want to "track" using piker UIs/systems).
|
||||
external: bool = False
|
||||
|
||||
# XXX: not required schema as of yet
|
||||
broker_details: dict = {
|
||||
|
|
@ -250,14 +205,14 @@ class BrokerdStatus(Struct):
|
|||
}
|
||||
|
||||
|
||||
class BrokerdFill(Struct):
|
||||
class BrokerdFill(BaseModel):
|
||||
'''
|
||||
A single message indicating a "fill-details" event from the broker
|
||||
if avaiable.
|
||||
|
||||
'''
|
||||
name: str = 'fill'
|
||||
reqid: int | str
|
||||
reqid: Union[int, str]
|
||||
time_ns: int
|
||||
|
||||
# order exeuction related
|
||||
|
|
@ -275,7 +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.
|
||||
|
||||
|
|
@ -287,14 +242,14 @@ class BrokerdError(Struct):
|
|||
|
||||
# if no brokerd order request was actually submitted (eg. we errored
|
||||
# at the ``pikerd`` layer) then there will be ``reqid`` allocated.
|
||||
reqid: Optional[int | str] = None
|
||||
reqid: Optional[Union[int, str]] = None
|
||||
|
||||
symbol: str
|
||||
reason: str
|
||||
broker_details: dict = {}
|
||||
|
||||
|
||||
class BrokerdPosition(Struct):
|
||||
class BrokerdPosition(BaseModel):
|
||||
'''Position update event from brokerd.
|
||||
|
||||
'''
|
||||
|
|
@ -303,6 +258,6 @@ class BrokerdPosition(Struct):
|
|||
broker: str
|
||||
account: str
|
||||
symbol: str
|
||||
currency: str
|
||||
size: float
|
||||
avg_price: float
|
||||
currency: str = ''
|
||||
|
|
|
|||
|
|
@ -22,43 +22,29 @@ from contextlib import asynccontextmanager
|
|||
from datetime import datetime
|
||||
from operator import itemgetter
|
||||
import time
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Callable,
|
||||
)
|
||||
from typing import Tuple, Optional, Callable
|
||||
import uuid
|
||||
|
||||
from bidict import bidict
|
||||
import pendulum
|
||||
import trio
|
||||
import tractor
|
||||
from dataclasses import dataclass
|
||||
|
||||
from .. import data
|
||||
from ..data._source import Symbol
|
||||
from ..data.types import Struct
|
||||
from ..pp import (
|
||||
Position,
|
||||
Transaction,
|
||||
)
|
||||
from ..data._normalize import iterticks
|
||||
from ..data._source import unpack_fqsn
|
||||
from ..log import get_logger
|
||||
from ._messages import (
|
||||
BrokerdCancel,
|
||||
BrokerdOrder,
|
||||
BrokerdOrderAck,
|
||||
BrokerdStatus,
|
||||
BrokerdFill,
|
||||
BrokerdPosition,
|
||||
BrokerdError,
|
||||
BrokerdCancel, BrokerdOrder, BrokerdOrderAck, BrokerdStatus,
|
||||
BrokerdFill, BrokerdPosition, BrokerdError
|
||||
)
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class PaperBoi(Struct):
|
||||
@dataclass
|
||||
class PaperBoi:
|
||||
"""
|
||||
Emulates a broker order client providing the same API and
|
||||
delivering an order-event response stream but with methods for
|
||||
|
|
@ -72,15 +58,14 @@ class PaperBoi(Struct):
|
|||
|
||||
# map of paper "live" orders which be used
|
||||
# to simulate fills based on paper engine settings
|
||||
_buys: dict
|
||||
_sells: dict
|
||||
_buys: bidict
|
||||
_sells: bidict
|
||||
_reqids: bidict
|
||||
_positions: dict[str, Position]
|
||||
_trade_ledger: dict[str, Any]
|
||||
_positions: dict[str, BrokerdPosition]
|
||||
|
||||
# init edge case L1 spread
|
||||
last_ask: tuple[float, float] = (float('inf'), 0) # price, size
|
||||
last_bid: tuple[float, float] = (0, 0)
|
||||
last_ask: Tuple[float, float] = (float('inf'), 0) # price, size
|
||||
last_bid: Tuple[float, float] = (0, 0)
|
||||
|
||||
async def submit_limit(
|
||||
self,
|
||||
|
|
@ -90,28 +75,27 @@ class PaperBoi(Struct):
|
|||
action: str,
|
||||
size: float,
|
||||
reqid: Optional[str],
|
||||
|
||||
) -> int:
|
||||
'''
|
||||
Place an order and return integer request id provided by client.
|
||||
"""Place an order and return integer request id provided by client.
|
||||
|
||||
'''
|
||||
"""
|
||||
is_modify: bool = False
|
||||
if reqid is None:
|
||||
reqid = str(uuid.uuid4())
|
||||
|
||||
else:
|
||||
# order is already existing, this is a modify
|
||||
(oid, symbol, action, old_price) = self._reqids[reqid]
|
||||
assert old_price != price
|
||||
is_modify = True
|
||||
|
||||
# register order internally
|
||||
self._reqids[reqid] = (oid, symbol, action, price)
|
||||
|
||||
if action == 'alert':
|
||||
# bypass all fill simulation
|
||||
return reqid
|
||||
|
||||
entry = self._reqids.get(reqid)
|
||||
if entry:
|
||||
# order is already existing, this is a modify
|
||||
(oid, symbol, action, old_price) = entry
|
||||
assert old_price != price
|
||||
is_modify = True
|
||||
else:
|
||||
# register order internally
|
||||
self._reqids[reqid] = (oid, symbol, action, price)
|
||||
|
||||
# TODO: net latency model
|
||||
# we checkpoint here quickly particulalry
|
||||
# for dark orders since we want the dark_executed
|
||||
|
|
@ -123,18 +107,15 @@ class PaperBoi(Struct):
|
|||
size = -size
|
||||
|
||||
msg = BrokerdStatus(
|
||||
status='open',
|
||||
# account=f'paper_{self.broker}',
|
||||
account='paper',
|
||||
status='submitted',
|
||||
reqid=reqid,
|
||||
broker=self.broker,
|
||||
time_ns=time.time_ns(),
|
||||
filled=0.0,
|
||||
reason='paper_trigger',
|
||||
remaining=size,
|
||||
|
||||
broker_details={'name': 'paperboi'},
|
||||
)
|
||||
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 (
|
||||
|
|
@ -142,14 +123,7 @@ class PaperBoi(Struct):
|
|||
) or (
|
||||
action == 'sell' and (clear_price := self.last_bid[0]) >= price
|
||||
):
|
||||
await self.fake_fill(
|
||||
symbol,
|
||||
clear_price,
|
||||
size,
|
||||
action,
|
||||
reqid,
|
||||
oid,
|
||||
)
|
||||
await self.fake_fill(symbol, clear_price, size, action, reqid, oid)
|
||||
|
||||
else:
|
||||
# register this submissions as a paper live order
|
||||
|
|
@ -191,14 +165,13 @@ class PaperBoi(Struct):
|
|||
await trio.sleep(0.05)
|
||||
|
||||
msg = BrokerdStatus(
|
||||
status='canceled',
|
||||
# account=f'paper_{self.broker}',
|
||||
account='paper',
|
||||
status='cancelled',
|
||||
oid=oid,
|
||||
reqid=reqid,
|
||||
broker=self.broker,
|
||||
time_ns=time.time_ns(),
|
||||
broker_details={'name': 'paperboi'},
|
||||
)
|
||||
await self.ems_trades_stream.send(msg)
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
async def fake_fill(
|
||||
self,
|
||||
|
|
@ -222,15 +195,16 @@ class PaperBoi(Struct):
|
|||
"""
|
||||
# TODO: net latency model
|
||||
await trio.sleep(0.05)
|
||||
fill_time_ns = time.time_ns()
|
||||
fill_time_s = time.time()
|
||||
|
||||
fill_msg = BrokerdFill(
|
||||
msg = BrokerdFill(
|
||||
|
||||
reqid=reqid,
|
||||
time_ns=fill_time_ns,
|
||||
time_ns=time.time_ns(),
|
||||
|
||||
action=action,
|
||||
size=size,
|
||||
price=price,
|
||||
|
||||
broker_time=datetime.now().timestamp(),
|
||||
broker_details={
|
||||
'paper_info': {
|
||||
|
|
@ -240,66 +214,79 @@ class PaperBoi(Struct):
|
|||
'name': self.broker + '_paper',
|
||||
},
|
||||
)
|
||||
await self.ems_trades_stream.send(fill_msg)
|
||||
|
||||
self._trade_ledger.update(fill_msg.to_dict())
|
||||
await self.ems_trades_stream.send(msg.dict())
|
||||
|
||||
if order_complete:
|
||||
|
||||
msg = BrokerdStatus(
|
||||
|
||||
reqid=reqid,
|
||||
time_ns=time.time_ns(),
|
||||
# account=f'paper_{self.broker}',
|
||||
account='paper',
|
||||
status='closed',
|
||||
|
||||
status='filled',
|
||||
filled=size,
|
||||
remaining=0 if order_complete else remaining,
|
||||
|
||||
action=action,
|
||||
size=size,
|
||||
price=price,
|
||||
|
||||
broker_details={
|
||||
'paper_info': {
|
||||
'oid': oid,
|
||||
},
|
||||
'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}'
|
||||
pp = self._positions.setdefault(
|
||||
pp_msg = self._positions.setdefault(
|
||||
token,
|
||||
Position(
|
||||
Symbol(
|
||||
key=symbol,
|
||||
broker_info={self.broker: {}},
|
||||
),
|
||||
size=size,
|
||||
ppu=price,
|
||||
bsuid=symbol,
|
||||
BrokerdPosition(
|
||||
broker=self.broker,
|
||||
account='paper',
|
||||
symbol=symbol,
|
||||
# TODO: we need to look up the asset currency from
|
||||
# broker info. i guess for crypto this can be
|
||||
# inferred from the pair?
|
||||
currency='',
|
||||
size=0.0,
|
||||
avg_price=0,
|
||||
)
|
||||
)
|
||||
t = Transaction(
|
||||
fqsn=symbol,
|
||||
tid=oid,
|
||||
size=size,
|
||||
price=price,
|
||||
cost=0, # TODO: cost model
|
||||
dt=pendulum.from_timestamp(fill_time_s),
|
||||
bsuid=symbol,
|
||||
)
|
||||
pp.add_clear(t)
|
||||
|
||||
pp_msg = BrokerdPosition(
|
||||
broker=self.broker,
|
||||
account='paper',
|
||||
symbol=symbol,
|
||||
# TODO: we need to look up the asset currency from
|
||||
# broker info. i guess for crypto this can be
|
||||
# inferred from the pair?
|
||||
currency='',
|
||||
size=pp.size,
|
||||
avg_price=pp.ppu,
|
||||
)
|
||||
# "avg position price" calcs
|
||||
# TODO: eventually it'd be nice to have a small set of routines
|
||||
# to do this stuff from a sequence of cleared orders to enable
|
||||
# so called "contextual positions".
|
||||
new_size = size + pp_msg.size
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg)
|
||||
# old size minus the new size gives us size differential with
|
||||
# +ve -> increase in pp size
|
||||
# -ve -> decrease in pp size
|
||||
size_diff = abs(new_size) - abs(pp_msg.size)
|
||||
|
||||
if new_size == 0:
|
||||
pp_msg.avg_price = 0
|
||||
|
||||
elif size_diff > 0:
|
||||
# only update the "average position price" when the position
|
||||
# size increases not when it decreases (i.e. the position is
|
||||
# being made smaller)
|
||||
pp_msg.avg_price = (
|
||||
abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
|
||||
) / abs(new_size)
|
||||
|
||||
pp_msg.size = new_size
|
||||
|
||||
await self.ems_trades_stream.send(pp_msg.dict())
|
||||
|
||||
|
||||
async def simulate_fills(
|
||||
quote_stream: 'tractor.ReceiveStream', # noqa
|
||||
client: PaperBoi,
|
||||
|
||||
) -> None:
|
||||
|
||||
# TODO: more machinery to better simulate real-world market things:
|
||||
|
|
@ -319,54 +306,50 @@ async def simulate_fills(
|
|||
|
||||
# this stream may eventually contain multiple symbols
|
||||
async for quotes in quote_stream:
|
||||
|
||||
for sym, quote in quotes.items():
|
||||
|
||||
for tick in iterticks(
|
||||
quote,
|
||||
# dark order price filter(s)
|
||||
types=('ask', 'bid', 'trade', 'last')
|
||||
):
|
||||
# print(tick)
|
||||
match tick:
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': 'ask',
|
||||
}:
|
||||
client.last_ask = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_ask[1]),
|
||||
)
|
||||
tick_price = tick.get('price')
|
||||
ttype = tick['type']
|
||||
|
||||
orders = client._buys.get(sym, {})
|
||||
book_sequence = reversed(
|
||||
sorted(orders.keys(), key=itemgetter(1)))
|
||||
if ttype in ('ask',):
|
||||
|
||||
def pred(our_price):
|
||||
return tick_price <= our_price
|
||||
client.last_ask = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_ask[1]),
|
||||
)
|
||||
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': 'bid',
|
||||
}:
|
||||
client.last_bid = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_bid[1]),
|
||||
)
|
||||
orders = client._sells.get(sym, {})
|
||||
book_sequence = sorted(
|
||||
orders.keys(),
|
||||
key=itemgetter(1)
|
||||
)
|
||||
orders = client._buys.get(sym, {})
|
||||
|
||||
def pred(our_price):
|
||||
return tick_price >= our_price
|
||||
book_sequence = reversed(
|
||||
sorted(orders.keys(), key=itemgetter(1)))
|
||||
|
||||
case {
|
||||
'price': tick_price,
|
||||
'type': ('trade' | 'last'),
|
||||
}:
|
||||
# TODO: simulate actual book queues and our orders
|
||||
# place in it, might require full L2 data?
|
||||
continue
|
||||
def pred(our_price):
|
||||
return tick_price < our_price
|
||||
|
||||
elif ttype in ('bid',):
|
||||
|
||||
client.last_bid = (
|
||||
tick_price,
|
||||
tick.get('size', client.last_bid[1]),
|
||||
)
|
||||
|
||||
orders = client._sells.get(sym, {})
|
||||
book_sequence = sorted(orders.keys(), key=itemgetter(1))
|
||||
|
||||
def pred(our_price):
|
||||
return tick_price > our_price
|
||||
|
||||
elif ttype in ('trade', 'last'):
|
||||
# TODO: simulate actual book queues and our orders
|
||||
# place in it, might require full L2 data?
|
||||
continue
|
||||
|
||||
# iterate book prices descending
|
||||
for oid, our_price in book_sequence:
|
||||
|
|
@ -397,75 +380,66 @@ async def handle_order_requests(
|
|||
|
||||
) -> None:
|
||||
|
||||
request_msg: dict
|
||||
# order_request: dict
|
||||
async for request_msg in ems_order_stream:
|
||||
match request_msg:
|
||||
case {'action': ('buy' | 'sell')}:
|
||||
order = BrokerdOrder(**request_msg)
|
||||
account = order.account
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account,'
|
||||
' only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=order.oid,
|
||||
symbol=order.symbol,
|
||||
reason=f'Paper only. No account found: `{account}` ?',
|
||||
))
|
||||
continue
|
||||
|
||||
reqid = order.reqid or str(uuid.uuid4())
|
||||
action = request_msg['action']
|
||||
|
||||
# deliver ack that order has been submitted to broker routing
|
||||
await ems_order_stream.send(
|
||||
BrokerdOrderAck(
|
||||
oid=order.oid,
|
||||
reqid=reqid,
|
||||
)
|
||||
if action in {'buy', 'sell'}:
|
||||
|
||||
account = request_msg['account']
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account, only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
symbol=request_msg['symbol'],
|
||||
reason=f'Paper only. No account found: `{account}` ?',
|
||||
).dict())
|
||||
continue
|
||||
|
||||
# call our client api to submit the order
|
||||
reqid = await client.submit_limit(
|
||||
# validate
|
||||
order = BrokerdOrder(**request_msg)
|
||||
|
||||
# call our client api to submit the order
|
||||
reqid = await client.submit_limit(
|
||||
|
||||
oid=order.oid,
|
||||
symbol=order.symbol,
|
||||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||
# there is no existing order so ask the client to create
|
||||
# a new one (which it seems to do by allocating an int
|
||||
# counter - collision prone..)
|
||||
reqid=order.reqid,
|
||||
)
|
||||
|
||||
# deliver ack that order has been submitted to broker routing
|
||||
await ems_order_stream.send(
|
||||
BrokerdOrderAck(
|
||||
|
||||
# ems order request id
|
||||
oid=order.oid,
|
||||
symbol=order.symbol,
|
||||
price=order.price,
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||
# there is no existing order so ask the client to create
|
||||
# a new one (which it seems to do by allocating an int
|
||||
# counter - collision prone..)
|
||||
|
||||
# broker specific request id
|
||||
reqid=reqid,
|
||||
)
|
||||
|
||||
# elif action == 'cancel':
|
||||
case {'action': 'cancel'}:
|
||||
msg = BrokerdCancel(**request_msg)
|
||||
await client.submit_cancel(
|
||||
reqid=msg.reqid
|
||||
)
|
||||
).dict()
|
||||
)
|
||||
|
||||
case _:
|
||||
log.error(f'Unknown order command: {request_msg}')
|
||||
elif action == 'cancel':
|
||||
msg = BrokerdCancel(**request_msg)
|
||||
|
||||
await client.submit_cancel(
|
||||
reqid=msg.reqid
|
||||
)
|
||||
|
||||
_reqids: bidict[str, tuple] = {}
|
||||
_buys: dict[
|
||||
str,
|
||||
dict[
|
||||
tuple[str, float],
|
||||
tuple[float, str, str],
|
||||
]
|
||||
] = {}
|
||||
_sells: dict[
|
||||
str,
|
||||
dict[
|
||||
tuple[str, float],
|
||||
tuple[float, str, str],
|
||||
]
|
||||
] = {}
|
||||
_positions: dict[str, Position] = {}
|
||||
else:
|
||||
log.error(f'Unknown order command: {request_msg}')
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
@ -477,57 +451,39 @@ async def trades_dialogue(
|
|||
loglevel: str = None,
|
||||
|
||||
) -> None:
|
||||
|
||||
tractor.log.get_console_log(loglevel)
|
||||
|
||||
async with (
|
||||
|
||||
data.open_feed(
|
||||
[fqsn],
|
||||
loglevel=loglevel,
|
||||
) as feed,
|
||||
|
||||
):
|
||||
pp_msgs: list[BrokerdPosition] = []
|
||||
pos: Position
|
||||
token: str # f'{symbol}.{self.broker}'
|
||||
for token, pos in _positions.items():
|
||||
pp_msgs.append(BrokerdPosition(
|
||||
broker=broker,
|
||||
account='paper',
|
||||
symbol=pos.symbol.front_fqsn(),
|
||||
size=pos.size,
|
||||
avg_price=pos.ppu,
|
||||
))
|
||||
|
||||
# TODO: load paper positions per broker from .toml config file
|
||||
# and pass as symbol to position data mapping: ``dict[str, dict]``
|
||||
# await ctx.started(all_positions)
|
||||
await ctx.started((pp_msgs, ['paper']))
|
||||
await ctx.started(({}, {'paper',}))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
trio.open_nursery() as n,
|
||||
):
|
||||
|
||||
client = PaperBoi(
|
||||
broker,
|
||||
ems_stream,
|
||||
_buys=_buys,
|
||||
_sells=_sells,
|
||||
_buys={},
|
||||
_sells={},
|
||||
|
||||
_reqids=_reqids,
|
||||
_reqids={},
|
||||
|
||||
# TODO: load paper positions from ``positions.toml``
|
||||
_positions=_positions,
|
||||
|
||||
# TODO: load postions from ledger file
|
||||
_trade_ledger={},
|
||||
_positions={},
|
||||
)
|
||||
|
||||
n.start_soon(
|
||||
handle_order_requests,
|
||||
client,
|
||||
ems_stream,
|
||||
)
|
||||
n.start_soon(handle_order_requests, client, ems_stream)
|
||||
|
||||
# paper engine simulator clearing task
|
||||
await simulate_fills(feed.stream, client)
|
||||
|
|
@ -555,17 +511,17 @@ async def open_paperboi(
|
|||
# (we likely don't need more then one proc for basic
|
||||
# simulated order clearing)
|
||||
if portal is None:
|
||||
log.info('Starting new paper-engine actor')
|
||||
portal = await tn.start_actor(
|
||||
service_name,
|
||||
enable_modules=[__name__]
|
||||
)
|
||||
|
||||
async with portal.open_context(
|
||||
trades_dialogue,
|
||||
broker=broker,
|
||||
fqsn=fqsn,
|
||||
loglevel=loglevel,
|
||||
trades_dialogue,
|
||||
broker=broker,
|
||||
fqsn=fqsn,
|
||||
loglevel=loglevel,
|
||||
|
||||
) as (ctx, first):
|
||||
|
||||
yield ctx, first
|
||||
|
|
|
|||
|
|
@ -83,9 +83,9 @@ def pikerd(loglevel, host, tl, pdb, tsdb):
|
|||
|
||||
)
|
||||
log.info(
|
||||
f'`marketstored` up!\n'
|
||||
f'pid: {pid}\n'
|
||||
f'container id: {cid[:12]}\n'
|
||||
f'`marketstore` up!\n'
|
||||
f'`marketstored` pid: {pid}\n'
|
||||
f'docker container id: {cid}\n'
|
||||
f'config: {pformat(config)}'
|
||||
)
|
||||
|
||||
|
|
|
|||
|
|
@ -21,7 +21,6 @@ Broker configuration mgmt.
|
|||
import platform
|
||||
import sys
|
||||
import os
|
||||
from os import path
|
||||
from os.path import dirname
|
||||
import shutil
|
||||
from typing import Optional
|
||||
|
|
@ -112,7 +111,6 @@ if _parent_user:
|
|||
|
||||
_conf_names: set[str] = {
|
||||
'brokers',
|
||||
'pps',
|
||||
'trades',
|
||||
'watchlists',
|
||||
}
|
||||
|
|
@ -149,21 +147,19 @@ def get_conf_path(
|
|||
conf_name: str = 'brokers',
|
||||
|
||||
) -> str:
|
||||
'''
|
||||
Return the top-level default config path normally under
|
||||
``~/.config/piker`` on linux for a given ``conf_name``, the config
|
||||
name.
|
||||
"""Return the default config path normally under
|
||||
``~/.config/piker`` on linux.
|
||||
|
||||
Contains files such as:
|
||||
- brokers.toml
|
||||
- pp.toml
|
||||
- watchlists.toml
|
||||
- trades.toml
|
||||
|
||||
# maybe coming soon ;)
|
||||
- signals.toml
|
||||
- strats.toml
|
||||
|
||||
'''
|
||||
"""
|
||||
assert conf_name in _conf_names
|
||||
fn = _conf_fn_w_ext(conf_name)
|
||||
return os.path.join(
|
||||
|
|
@ -177,7 +173,7 @@ def repodir():
|
|||
Return the abspath to the repo directory.
|
||||
|
||||
'''
|
||||
dirpath = path.abspath(
|
||||
dirpath = os.path.abspath(
|
||||
# we're 3 levels down in **this** module file
|
||||
dirname(dirname(os.path.realpath(__file__)))
|
||||
)
|
||||
|
|
@ -186,9 +182,7 @@ def repodir():
|
|||
|
||||
def load(
|
||||
conf_name: str = 'brokers',
|
||||
path: str = None,
|
||||
|
||||
**tomlkws,
|
||||
path: str = None
|
||||
|
||||
) -> (dict, str):
|
||||
'''
|
||||
|
|
@ -196,7 +190,6 @@ def load(
|
|||
|
||||
'''
|
||||
path = path or get_conf_path(conf_name)
|
||||
|
||||
if not os.path.isfile(path):
|
||||
fn = _conf_fn_w_ext(conf_name)
|
||||
|
||||
|
|
@ -209,11 +202,8 @@ def load(
|
|||
# if one exists.
|
||||
if os.path.isfile(template):
|
||||
shutil.copyfile(template, path)
|
||||
else:
|
||||
with open(path, 'w'):
|
||||
pass # touch
|
||||
|
||||
config = toml.load(path, **tomlkws)
|
||||
config = toml.load(path)
|
||||
log.debug(f"Read config file {path}")
|
||||
return config, path
|
||||
|
||||
|
|
@ -222,7 +212,6 @@ def write(
|
|||
config: dict, # toml config as dict
|
||||
name: str = 'brokers',
|
||||
path: str = None,
|
||||
**toml_kwargs,
|
||||
|
||||
) -> None:
|
||||
''''
|
||||
|
|
@ -246,14 +235,11 @@ def write(
|
|||
f"{path}"
|
||||
)
|
||||
with open(path, 'w') as cf:
|
||||
return toml.dump(
|
||||
config,
|
||||
cf,
|
||||
**toml_kwargs,
|
||||
)
|
||||
return toml.dump(config, cf)
|
||||
|
||||
|
||||
def load_accounts(
|
||||
|
||||
providers: Optional[list[str]] = None
|
||||
|
||||
) -> bidict[str, Optional[str]]:
|
||||
|
|
|
|||
|
|
@ -37,13 +37,8 @@ from docker.models.containers import Container as DockerContainer
|
|||
from docker.errors import (
|
||||
DockerException,
|
||||
APIError,
|
||||
# ContainerError,
|
||||
)
|
||||
import requests
|
||||
from requests.exceptions import (
|
||||
ConnectionError,
|
||||
ReadTimeout,
|
||||
)
|
||||
from requests.exceptions import ConnectionError, ReadTimeout
|
||||
|
||||
from ..log import get_logger, get_console_log
|
||||
from .. import config
|
||||
|
|
@ -55,8 +50,8 @@ class DockerNotStarted(Exception):
|
|||
'Prolly you dint start da daemon bruh'
|
||||
|
||||
|
||||
class ApplicationLogError(Exception):
|
||||
'App in container reported an error in logs'
|
||||
class ContainerError(RuntimeError):
|
||||
'Error reported via app-container logging level'
|
||||
|
||||
|
||||
@acm
|
||||
|
|
@ -101,9 +96,9 @@ async def open_docker(
|
|||
# not perms?
|
||||
raise
|
||||
|
||||
# finally:
|
||||
# if client:
|
||||
# client.close()
|
||||
finally:
|
||||
if client:
|
||||
client.close()
|
||||
|
||||
|
||||
class Container:
|
||||
|
|
@ -161,7 +156,7 @@ class Container:
|
|||
|
||||
# print(f'level: {level}')
|
||||
if level in ('error', 'fatal'):
|
||||
raise ApplicationLogError(msg)
|
||||
raise ContainerError(msg)
|
||||
|
||||
if patt in msg:
|
||||
return True
|
||||
|
|
@ -190,29 +185,12 @@ class Container:
|
|||
if 'is not running' in err.explanation:
|
||||
return False
|
||||
|
||||
def hard_kill(self, start: float) -> None:
|
||||
delay = time.time() - start
|
||||
# get out the big guns, bc apparently marketstore
|
||||
# doesn't actually know how to terminate gracefully
|
||||
# :eyeroll:...
|
||||
log.error(
|
||||
f'SIGKILL-ing: {self.cntr.id} after {delay}s\n'
|
||||
)
|
||||
self.try_signal('SIGKILL')
|
||||
self.cntr.wait(
|
||||
timeout=3,
|
||||
condition='not-running',
|
||||
)
|
||||
|
||||
async def cancel(
|
||||
self,
|
||||
stop_msg: str,
|
||||
hard_kill: bool = False,
|
||||
|
||||
) -> None:
|
||||
|
||||
cid = self.cntr.id
|
||||
|
||||
# first try a graceful cancel
|
||||
log.cancel(
|
||||
f'SIGINT cancelling container: {cid}\n'
|
||||
|
|
@ -221,25 +199,15 @@ class Container:
|
|||
self.try_signal('SIGINT')
|
||||
|
||||
start = time.time()
|
||||
for _ in range(6):
|
||||
for _ in range(30):
|
||||
|
||||
with trio.move_on_after(0.5) as cs:
|
||||
log.cancel('polling for CNTR logs...')
|
||||
cs.shield = True
|
||||
await self.process_logs_until(stop_msg)
|
||||
|
||||
try:
|
||||
await self.process_logs_until(stop_msg)
|
||||
except ApplicationLogError:
|
||||
hard_kill = True
|
||||
else:
|
||||
# if we aren't cancelled on above checkpoint then we
|
||||
# assume we read the expected stop msg and
|
||||
# terminated.
|
||||
break
|
||||
|
||||
if cs.cancelled_caught:
|
||||
# on timeout just try a hard kill after
|
||||
# a quick container sync-wait.
|
||||
hard_kill = True
|
||||
# if we aren't cancelled on above checkpoint then we
|
||||
# assume we read the expected stop msg and terminated.
|
||||
break
|
||||
|
||||
try:
|
||||
log.info(f'Polling for container shutdown:\n{cid}')
|
||||
|
|
@ -250,7 +218,6 @@ class Container:
|
|||
condition='not-running',
|
||||
)
|
||||
|
||||
# graceful exit if we didn't time out
|
||||
break
|
||||
|
||||
except (
|
||||
|
|
@ -262,23 +229,25 @@ class Container:
|
|||
except (
|
||||
docker.errors.APIError,
|
||||
ConnectionError,
|
||||
requests.exceptions.ConnectionError,
|
||||
trio.Cancelled,
|
||||
):
|
||||
log.exception('Docker connection failure')
|
||||
self.hard_kill(start)
|
||||
raise
|
||||
|
||||
except trio.Cancelled:
|
||||
log.exception('trio cancelled...')
|
||||
self.hard_kill(start)
|
||||
break
|
||||
else:
|
||||
hard_kill = True
|
||||
delay = time.time() - start
|
||||
log.error(
|
||||
f'Failed to kill container {cid} after {delay}s\n'
|
||||
'sending SIGKILL..'
|
||||
)
|
||||
# get out the big guns, bc apparently marketstore
|
||||
# doesn't actually know how to terminate gracefully
|
||||
# :eyeroll:...
|
||||
self.try_signal('SIGKILL')
|
||||
self.cntr.wait(
|
||||
timeout=3,
|
||||
condition='not-running',
|
||||
)
|
||||
|
||||
if hard_kill:
|
||||
self.hard_kill(start)
|
||||
else:
|
||||
log.cancel(f'Container stopped: {cid}')
|
||||
log.cancel(f'Container stopped: {cid}')
|
||||
|
||||
|
||||
@tractor.context
|
||||
|
|
@ -320,13 +289,15 @@ async def open_ahabd(
|
|||
))
|
||||
|
||||
try:
|
||||
|
||||
# TODO: we might eventually want a proxy-style msg-prot here
|
||||
# to allow remote control of containers without needing
|
||||
# callers to have root perms?
|
||||
await trio.sleep_forever()
|
||||
|
||||
finally:
|
||||
await cntr.cancel(stop_msg)
|
||||
with trio.CancelScope(shield=True):
|
||||
await cntr.cancel(stop_msg)
|
||||
|
||||
|
||||
async def start_ahab(
|
||||
|
|
|
|||
|
|
@ -56,7 +56,7 @@ def iterticks(
|
|||
sig = (
|
||||
time,
|
||||
tick['price'],
|
||||
tick.get('size')
|
||||
tick['size']
|
||||
)
|
||||
|
||||
if ttype == 'dark_trade':
|
||||
|
|
|
|||
|
|
@ -27,14 +27,13 @@ from multiprocessing.shared_memory import SharedMemory, _USE_POSIX
|
|||
if _USE_POSIX:
|
||||
from _posixshmem import shm_unlink
|
||||
|
||||
# import msgspec
|
||||
import numpy as np
|
||||
from numpy.lib import recfunctions as rfn
|
||||
import tractor
|
||||
import numpy as np
|
||||
from pydantic import BaseModel
|
||||
from numpy.lib import recfunctions as rfn
|
||||
|
||||
from ..log import get_logger
|
||||
from ._source import base_iohlc_dtype
|
||||
from .types import Struct
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
|
@ -108,12 +107,15 @@ class SharedInt:
|
|||
log.warning(f'Shm for {name} already unlinked?')
|
||||
|
||||
|
||||
class _Token(Struct, frozen=True):
|
||||
class _Token(BaseModel):
|
||||
'''
|
||||
Internal represenation of a shared memory "token"
|
||||
which can be used to key a system wide post shm entry.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
frozen = True
|
||||
|
||||
shm_name: str # this servers as a "key" value
|
||||
shm_first_index_name: str
|
||||
shm_last_index_name: str
|
||||
|
|
@ -124,22 +126,17 @@ class _Token(Struct, frozen=True):
|
|||
return np.dtype(list(map(tuple, self.dtype_descr))).descr
|
||||
|
||||
def as_msg(self):
|
||||
return self.to_dict()
|
||||
return self.dict()
|
||||
|
||||
@classmethod
|
||||
def from_msg(cls, msg: dict) -> _Token:
|
||||
if isinstance(msg, _Token):
|
||||
return msg
|
||||
|
||||
# TODO: native struct decoding
|
||||
# return _token_dec.decode(msg)
|
||||
|
||||
msg['dtype_descr'] = tuple(map(tuple, msg['dtype_descr']))
|
||||
return _Token(**msg)
|
||||
|
||||
|
||||
# _token_dec = msgspec.msgpack.Decoder(_Token)
|
||||
|
||||
# TODO: this api?
|
||||
# _known_tokens = tractor.ActorVar('_shm_tokens', {})
|
||||
# _known_tokens = tractor.ContextStack('_known_tokens', )
|
||||
|
|
@ -170,7 +167,7 @@ def _make_token(
|
|||
shm_name=key,
|
||||
shm_first_index_name=key + "_first",
|
||||
shm_last_index_name=key + "_last",
|
||||
dtype_descr=tuple(np.dtype(dtype).descr)
|
||||
dtype_descr=np.dtype(dtype).descr
|
||||
)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -23,7 +23,7 @@ import decimal
|
|||
|
||||
from bidict import bidict
|
||||
import numpy as np
|
||||
from msgspec import Struct
|
||||
from pydantic import BaseModel
|
||||
# from numba import from_dtype
|
||||
|
||||
|
||||
|
|
@ -126,7 +126,7 @@ def unpack_fqsn(fqsn: str) -> tuple[str, str, str]:
|
|||
)
|
||||
|
||||
|
||||
class Symbol(Struct):
|
||||
class Symbol(BaseModel):
|
||||
'''
|
||||
I guess this is some kinda container thing for dealing with
|
||||
all the different meta-data formats from brokers?
|
||||
|
|
@ -152,7 +152,9 @@ class Symbol(Struct):
|
|||
info: dict[str, Any],
|
||||
suffix: str = '',
|
||||
|
||||
) -> Symbol:
|
||||
# XXX: like wtf..
|
||||
# ) -> 'Symbol':
|
||||
) -> None:
|
||||
|
||||
tick_size = info.get('price_tick_size', 0.01)
|
||||
lot_tick_size = info.get('lot_tick_size', 0.0)
|
||||
|
|
@ -173,7 +175,9 @@ class Symbol(Struct):
|
|||
fqsn: str,
|
||||
info: dict[str, Any],
|
||||
|
||||
) -> Symbol:
|
||||
# XXX: like wtf..
|
||||
# ) -> 'Symbol':
|
||||
) -> None:
|
||||
broker, key, suffix = unpack_fqsn(fqsn)
|
||||
return cls.from_broker_info(
|
||||
broker,
|
||||
|
|
@ -236,7 +240,7 @@ class Symbol(Struct):
|
|||
|
||||
'''
|
||||
tokens = self.tokens()
|
||||
fqsn = '.'.join(map(str.lower, tokens))
|
||||
fqsn = '.'.join(tokens)
|
||||
return fqsn
|
||||
|
||||
def iterfqsns(self) -> list[str]:
|
||||
|
|
|
|||
|
|
@ -53,11 +53,13 @@ class NoBsWs:
|
|||
def __init__(
|
||||
self,
|
||||
url: str,
|
||||
token: str,
|
||||
stack: AsyncExitStack,
|
||||
fixture: Callable,
|
||||
serializer: ModuleType = json,
|
||||
):
|
||||
self.url = url
|
||||
self.token = token
|
||||
self.fixture = fixture
|
||||
self._stack = stack
|
||||
self._ws: 'WebSocketConnection' = None # noqa
|
||||
|
|
@ -81,9 +83,14 @@ class NoBsWs:
|
|||
trio_websocket.open_websocket_url(self.url)
|
||||
)
|
||||
# rerun user code fixture
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self)
|
||||
)
|
||||
if self.token == '':
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self)
|
||||
)
|
||||
else:
|
||||
ret = await self._stack.enter_async_context(
|
||||
self.fixture(self, self.token)
|
||||
)
|
||||
|
||||
assert ret is None
|
||||
|
||||
|
|
@ -128,13 +135,14 @@ async def open_autorecon_ws(
|
|||
|
||||
# TODO: proper type annot smh
|
||||
fixture: Callable,
|
||||
|
||||
# used for authenticated websockets
|
||||
token: str = '',
|
||||
) -> AsyncGenerator[tuple[...], NoBsWs]:
|
||||
"""Apparently we can QoS for all sorts of reasons..so catch em.
|
||||
|
||||
"""
|
||||
async with AsyncExitStack() as stack:
|
||||
ws = NoBsWs(url, stack, fixture=fixture)
|
||||
ws = NoBsWs(url, token, stack, fixture=fixture)
|
||||
await ws._connect()
|
||||
|
||||
try:
|
||||
|
|
|
|||
|
|
@ -42,6 +42,7 @@ from trio_typing import TaskStatus
|
|||
import trimeter
|
||||
import tractor
|
||||
from tractor.trionics import maybe_open_context
|
||||
from pydantic import BaseModel
|
||||
import pendulum
|
||||
import numpy as np
|
||||
|
||||
|
|
@ -58,7 +59,6 @@ from ._sharedmem import (
|
|||
ShmArray,
|
||||
)
|
||||
from .ingest import get_ingestormod
|
||||
from .types import Struct
|
||||
from ._source import (
|
||||
base_iohlc_dtype,
|
||||
Symbol,
|
||||
|
|
@ -84,7 +84,7 @@ if TYPE_CHECKING:
|
|||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class _FeedsBus(Struct):
|
||||
class _FeedsBus(BaseModel):
|
||||
'''
|
||||
Data feeds broadcaster and persistence management.
|
||||
|
||||
|
|
@ -100,6 +100,10 @@ class _FeedsBus(Struct):
|
|||
a dedicated cancel scope.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
brokername: str
|
||||
nursery: trio.Nursery
|
||||
feeds: dict[str, tuple[dict, dict]] = {}
|
||||
|
|
@ -309,7 +313,7 @@ async def start_backfill(
|
|||
# when no tsdb "last datum" is provided, we just load
|
||||
# some near-term history.
|
||||
periods = {
|
||||
1: {'seconds': 4000},
|
||||
1: {'days': 1},
|
||||
60: {'days': 14},
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -37,7 +37,7 @@ import time
|
|||
from math import isnan
|
||||
|
||||
from bidict import bidict
|
||||
from msgspec.msgpack import encode, decode
|
||||
import msgpack
|
||||
import pyqtgraph as pg
|
||||
import numpy as np
|
||||
import tractor
|
||||
|
|
@ -774,13 +774,12 @@ async def stream_quotes(
|
|||
async with open_websocket_url(f'ws://{host}:{port}/ws') as ws:
|
||||
# send subs topics to server
|
||||
resp = await ws.send_message(
|
||||
|
||||
encode({'streams': list(tbks.values())})
|
||||
msgpack.dumps({'streams': list(tbks.values())})
|
||||
)
|
||||
log.info(resp)
|
||||
|
||||
async def recv() -> dict[str, Any]:
|
||||
return decode((await ws.get_message()), encoding='utf-8')
|
||||
return msgpack.loads((await ws.get_message()), encoding='utf-8')
|
||||
|
||||
streams = (await recv())['streams']
|
||||
log.info(f"Subscribed to {streams}")
|
||||
|
|
|
|||
|
|
@ -1,84 +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.
|
||||
|
||||
"""
|
||||
import sys
|
||||
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):
|
||||
# only turn on pprint when we detect a python REPL
|
||||
# at runtime B)
|
||||
if (
|
||||
hasattr(sys, 'ps1')
|
||||
# TODO: check if we're in pdb
|
||||
):
|
||||
return f'Struct({pformat(self.to_dict())})'
|
||||
|
||||
return super().__repr__()
|
||||
|
||||
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)
|
||||
)
|
||||
|
||||
def typecast(
|
||||
self,
|
||||
# fields: Optional[list[str]] = None,
|
||||
) -> None:
|
||||
for fname, ftype in self.__annotations__.items():
|
||||
setattr(self, fname, ftype(getattr(self, fname)))
|
||||
|
|
@ -78,8 +78,7 @@ class Fsp:
|
|||
# + the consuming fsp *to* the consumers output
|
||||
# shm flow.
|
||||
_flow_registry: dict[
|
||||
tuple[_Token, str],
|
||||
tuple[_Token, Optional[ShmArray]],
|
||||
tuple[_Token, str], _Token,
|
||||
] = {}
|
||||
|
||||
def __init__(
|
||||
|
|
@ -121,6 +120,7 @@ class Fsp:
|
|||
):
|
||||
return self.func(*args, **kwargs)
|
||||
|
||||
# TODO: lru_cache this? prettty sure it'll work?
|
||||
def get_shm(
|
||||
self,
|
||||
src_shm: ShmArray,
|
||||
|
|
@ -131,27 +131,12 @@ class Fsp:
|
|||
for this "instance" of a signal processor for
|
||||
the given ``key``.
|
||||
|
||||
The destination shm "token" and array are cached if possible to
|
||||
minimize multiple stdlib/system calls.
|
||||
|
||||
'''
|
||||
dst_token, maybe_array = self._flow_registry[
|
||||
dst_token = self._flow_registry[
|
||||
(src_shm._token, self.name)
|
||||
]
|
||||
if maybe_array is None:
|
||||
self._flow_registry[
|
||||
(src_shm._token, self.name)
|
||||
] = (
|
||||
dst_token,
|
||||
# "cache" the ``ShmArray`` such that
|
||||
# we call the underlying "attach" code as few
|
||||
# times as possible as per:
|
||||
# - https://github.com/pikers/piker/issues/359
|
||||
# - https://github.com/pikers/piker/issues/332
|
||||
maybe_array := attach_shm_array(dst_token)
|
||||
)
|
||||
|
||||
return maybe_array
|
||||
shm = attach_shm_array(dst_token)
|
||||
return shm
|
||||
|
||||
|
||||
def fsp(
|
||||
|
|
|
|||
|
|
@ -114,7 +114,7 @@ async def fsp_compute(
|
|||
dict[str, np.ndarray], # multi-output case
|
||||
np.ndarray, # single output case
|
||||
]
|
||||
history_output = await anext(out_stream)
|
||||
history_output = await out_stream.__anext__()
|
||||
|
||||
func_name = func.__name__
|
||||
profiler(f'{func_name} generated history')
|
||||
|
|
@ -284,10 +284,9 @@ async def cascade(
|
|||
# TODO: ugh i hate this wind/unwind to list over the wire
|
||||
# but not sure how else to do it.
|
||||
for (token, fsp_name, dst_token) in shm_registry:
|
||||
Fsp._flow_registry[(
|
||||
_Token.from_msg(token),
|
||||
fsp_name,
|
||||
)] = _Token.from_msg(dst_token), None
|
||||
Fsp._flow_registry[
|
||||
(_Token.from_msg(token), fsp_name)
|
||||
] = _Token.from_msg(dst_token)
|
||||
|
||||
fsp: Fsp = reg.get(
|
||||
NamespacePath(ns_path)
|
||||
|
|
@ -375,8 +374,7 @@ async def cascade(
|
|||
'key': dst_shm_token,
|
||||
'first': dst._first.value,
|
||||
'last': dst._last.value,
|
||||
}
|
||||
})
|
||||
}})
|
||||
return tracker, index
|
||||
|
||||
def is_synced(
|
||||
|
|
|
|||
975
piker/pp.py
975
piker/pp.py
|
|
@ -1,975 +0,0 @@
|
|||
# piker: trading gear for hackers
|
||||
# Copyright (C) Tyler Goodlet (in stewardship for pikers)
|
||||
|
||||
# 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/>.
|
||||
'''
|
||||
Personal/Private position parsing, calculating, summarizing in a way
|
||||
that doesn't try to cuk most humans who prefer to not lose their moneys..
|
||||
(looking at you `ib` and dirt-bird friends)
|
||||
|
||||
'''
|
||||
from contextlib import contextmanager as cm
|
||||
from pprint import pformat
|
||||
import os
|
||||
from os import path
|
||||
from math import copysign
|
||||
import re
|
||||
import time
|
||||
from typing import (
|
||||
Any,
|
||||
Optional,
|
||||
Union,
|
||||
)
|
||||
|
||||
import pendulum
|
||||
from pendulum import datetime, now
|
||||
import tomli
|
||||
import toml
|
||||
|
||||
from . import config
|
||||
from .brokers import get_brokermod
|
||||
from .clearing._messages import BrokerdPosition, Status
|
||||
from .data._source import Symbol
|
||||
from .log import get_logger
|
||||
from .data.types import Struct
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
@cm
|
||||
def open_trade_ledger(
|
||||
broker: str,
|
||||
account: str,
|
||||
|
||||
) -> str:
|
||||
'''
|
||||
Indempotently create and read in a trade log file from the
|
||||
``<configuration_dir>/ledgers/`` directory.
|
||||
|
||||
Files are named per broker account of the form
|
||||
``<brokername>_<accountname>.toml``. The ``accountname`` here is the
|
||||
name as defined in the user's ``brokers.toml`` config.
|
||||
|
||||
'''
|
||||
ldir = path.join(config._config_dir, 'ledgers')
|
||||
if not path.isdir(ldir):
|
||||
os.makedirs(ldir)
|
||||
|
||||
fname = f'trades_{broker}_{account}.toml'
|
||||
tradesfile = path.join(ldir, fname)
|
||||
|
||||
if not path.isfile(tradesfile):
|
||||
log.info(
|
||||
f'Creating new local trades ledger: {tradesfile}'
|
||||
)
|
||||
with open(tradesfile, 'w') as cf:
|
||||
pass # touch
|
||||
with open(tradesfile, 'rb') as cf:
|
||||
start = time.time()
|
||||
ledger = tomli.load(cf)
|
||||
print(f'Ledger load took {time.time() - start}s')
|
||||
cpy = ledger.copy()
|
||||
|
||||
try:
|
||||
yield cpy
|
||||
finally:
|
||||
if cpy != ledger:
|
||||
# TODO: show diff output?
|
||||
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
|
||||
print(f'Updating ledger for {tradesfile}:\n')
|
||||
ledger.update(cpy)
|
||||
|
||||
# we write on close the mutated ledger data
|
||||
with open(tradesfile, 'w') as cf:
|
||||
toml.dump(ledger, cf)
|
||||
|
||||
|
||||
class Transaction(Struct, frozen=True):
|
||||
# TODO: should this be ``.to`` (see below)?
|
||||
fqsn: str
|
||||
|
||||
tid: Union[str, int] # unique transaction id
|
||||
size: float
|
||||
price: float
|
||||
cost: float # commisions or other additional costs
|
||||
dt: datetime
|
||||
expiry: Optional[datetime] = None
|
||||
|
||||
# optional key normally derived from the broker
|
||||
# backend which ensures the instrument-symbol this record
|
||||
# is for is truly unique.
|
||||
bsuid: Optional[Union[str, int]] = None
|
||||
|
||||
# optional fqsn for the source "asset"/money symbol?
|
||||
# from: Optional[str] = None
|
||||
|
||||
|
||||
class Position(Struct):
|
||||
'''
|
||||
Basic pp (personal/piker position) model with attached clearing
|
||||
transaction history.
|
||||
|
||||
'''
|
||||
symbol: Symbol
|
||||
|
||||
# can be +ve or -ve for long/short
|
||||
size: float
|
||||
|
||||
# "breakeven price" above or below which pnl moves above and below
|
||||
# zero for the entirety of the current "trade state".
|
||||
ppu: float
|
||||
|
||||
# unique backend symbol id
|
||||
bsuid: str
|
||||
|
||||
split_ratio: Optional[int] = None
|
||||
|
||||
# ordered record of known constituent trade messages
|
||||
clears: dict[
|
||||
Union[str, int, Status], # trade id
|
||||
dict[str, Any], # transaction history summaries
|
||||
] = {}
|
||||
first_clear_dt: Optional[datetime] = None
|
||||
|
||||
expiry: Optional[datetime] = None
|
||||
|
||||
def to_dict(self) -> dict:
|
||||
return {
|
||||
f: getattr(self, f)
|
||||
for f in self.__struct_fields__
|
||||
}
|
||||
|
||||
def to_pretoml(self) -> tuple[str, dict]:
|
||||
'''
|
||||
Prep this position's data contents for export to toml including
|
||||
re-structuring of the ``.clears`` table to an array of
|
||||
inline-subtables for better ``pps.toml`` compactness.
|
||||
|
||||
'''
|
||||
d = self.to_dict()
|
||||
clears = d.pop('clears')
|
||||
expiry = d.pop('expiry')
|
||||
|
||||
if self.split_ratio is None:
|
||||
d.pop('split_ratio')
|
||||
|
||||
# should be obvious from clears/event table
|
||||
d.pop('first_clear_dt')
|
||||
|
||||
# TODO: we need to figure out how to have one top level
|
||||
# listing venue here even when the backend isn't providing
|
||||
# it via the trades ledger..
|
||||
# drop symbol obj in serialized form
|
||||
s = d.pop('symbol')
|
||||
fqsn = s.front_fqsn()
|
||||
|
||||
if self.expiry is None:
|
||||
d.pop('expiry', None)
|
||||
elif expiry:
|
||||
d['expiry'] = str(expiry)
|
||||
|
||||
toml_clears_list = []
|
||||
|
||||
# reverse sort so latest clears are at top of section?
|
||||
for tid, data in sorted(
|
||||
list(clears.items()),
|
||||
|
||||
# sort by datetime
|
||||
key=lambda item: item[1]['dt'],
|
||||
):
|
||||
inline_table = toml.TomlDecoder().get_empty_inline_table()
|
||||
|
||||
# serialize datetime to parsable `str`
|
||||
inline_table['dt'] = str(data['dt'])
|
||||
|
||||
# insert optional clear fields in column order
|
||||
for k in ['ppu', 'accum_size']:
|
||||
val = data.get(k)
|
||||
if val:
|
||||
inline_table[k] = val
|
||||
|
||||
# insert required fields
|
||||
for k in ['price', 'size', 'cost']:
|
||||
inline_table[k] = data[k]
|
||||
|
||||
inline_table['tid'] = tid
|
||||
toml_clears_list.append(inline_table)
|
||||
|
||||
d['clears'] = toml_clears_list
|
||||
|
||||
return fqsn, d
|
||||
|
||||
def ensure_state(self) -> None:
|
||||
'''
|
||||
Audit either the `.size` and `.ppu` local instance vars against
|
||||
the clears table calculations and return the calc-ed values if
|
||||
they differ and log warnings to console.
|
||||
|
||||
'''
|
||||
clears = list(self.clears.values())
|
||||
self.first_clear_dt = min(list(entry['dt'] for entry in clears))
|
||||
last_clear = clears[-1]
|
||||
|
||||
csize = self.calc_size()
|
||||
accum = last_clear['accum_size']
|
||||
if not self.expired():
|
||||
if (
|
||||
csize != accum
|
||||
and csize != round(accum * self.split_ratio or 1)
|
||||
):
|
||||
raise ValueError(f'Size mismatch: {csize}')
|
||||
else:
|
||||
assert csize == 0, 'Contract is expired but non-zero size?'
|
||||
|
||||
if self.size != csize:
|
||||
log.warning(
|
||||
'Position state mismatch:\n'
|
||||
f'{self.size} => {csize}'
|
||||
)
|
||||
self.size = csize
|
||||
|
||||
cppu = self.calc_ppu()
|
||||
ppu = last_clear['ppu']
|
||||
if (
|
||||
cppu != ppu
|
||||
and self.split_ratio is not None
|
||||
# handle any split info entered (for now) manually by user
|
||||
and cppu != (ppu / self.split_ratio)
|
||||
):
|
||||
raise ValueError(f'PPU mismatch: {cppu}')
|
||||
|
||||
if self.ppu != cppu:
|
||||
log.warning(
|
||||
'Position state mismatch:\n'
|
||||
f'{self.ppu} => {cppu}'
|
||||
)
|
||||
self.ppu = cppu
|
||||
|
||||
def update_from_msg(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
|
||||
) -> None:
|
||||
|
||||
# XXX: better place to do this?
|
||||
symbol = self.symbol
|
||||
|
||||
lot_size_digits = symbol.lot_size_digits
|
||||
ppu, size = (
|
||||
round(
|
||||
msg['avg_price'],
|
||||
ndigits=symbol.tick_size_digits
|
||||
),
|
||||
round(
|
||||
msg['size'],
|
||||
ndigits=lot_size_digits
|
||||
),
|
||||
)
|
||||
|
||||
self.ppu = ppu
|
||||
self.size = size
|
||||
|
||||
@property
|
||||
def dsize(self) -> float:
|
||||
'''
|
||||
The "dollar" size of the pp, normally in trading (fiat) unit
|
||||
terms.
|
||||
|
||||
'''
|
||||
return self.ppu * self.size
|
||||
|
||||
# TODO: idea: "real LIFO" dynamic positioning.
|
||||
# - when a trade takes place where the pnl for
|
||||
# the (set of) trade(s) is below the breakeven price
|
||||
# it may be that the trader took a +ve pnl on a short(er)
|
||||
# term trade in the same account.
|
||||
# - in this case we could recalc the be price to
|
||||
# be reverted back to it's prior value before the nearest term
|
||||
# trade was opened.?
|
||||
# def lifo_price() -> float:
|
||||
# ...
|
||||
|
||||
def calc_ppu(
|
||||
self,
|
||||
# include transaction cost in breakeven price
|
||||
# and presume the worst case of the same cost
|
||||
# to exit this transaction (even though in reality
|
||||
# it will be dynamic based on exit stratetgy).
|
||||
cost_scalar: float = 2,
|
||||
|
||||
) -> float:
|
||||
'''
|
||||
Compute the "price-per-unit" price for the given non-zero sized
|
||||
rolling position.
|
||||
|
||||
The recurrence relation which computes this (exponential) mean
|
||||
per new clear which **increases** the accumulative postiion size
|
||||
is:
|
||||
|
||||
ppu[-1] = (
|
||||
ppu[-2] * accum_size[-2]
|
||||
+
|
||||
ppu[-1] * size
|
||||
) / accum_size[-1]
|
||||
|
||||
where `cost_basis` for the current step is simply the price
|
||||
* size of the most recent clearing transaction.
|
||||
|
||||
'''
|
||||
asize_h: list[float] = [] # historical accumulative size
|
||||
ppu_h: list[float] = [] # historical price-per-unit
|
||||
|
||||
clears = list(self.clears.items())
|
||||
|
||||
for i, (tid, entry) in enumerate(clears):
|
||||
|
||||
clear_size = entry['size']
|
||||
clear_price = entry['price']
|
||||
|
||||
last_accum_size = asize_h[-1] if asize_h else 0
|
||||
accum_size = last_accum_size + clear_size
|
||||
accum_sign = copysign(1, accum_size)
|
||||
|
||||
sign_change: bool = False
|
||||
|
||||
if accum_size == 0:
|
||||
ppu_h.append(0)
|
||||
asize_h.append(0)
|
||||
continue
|
||||
|
||||
# test if the pp somehow went "passed" a net zero size state
|
||||
# resulting in a change of the "sign" of the size (+ve for
|
||||
# long, -ve for short).
|
||||
sign_change = (
|
||||
copysign(1, last_accum_size) + accum_sign == 0
|
||||
and last_accum_size != 0
|
||||
)
|
||||
|
||||
# since we passed the net-zero-size state the new size
|
||||
# after sum should be the remaining size the new
|
||||
# "direction" (aka, long vs. short) for this clear.
|
||||
if sign_change:
|
||||
clear_size = accum_size
|
||||
abs_diff = abs(accum_size)
|
||||
asize_h.append(0)
|
||||
ppu_h.append(0)
|
||||
|
||||
else:
|
||||
# old size minus the new size gives us size diff with
|
||||
# +ve -> increase in pp size
|
||||
# -ve -> decrease in pp size
|
||||
abs_diff = abs(accum_size) - abs(last_accum_size)
|
||||
|
||||
# XXX: LIFO breakeven price update. only an increaze in size
|
||||
# of the position contributes the breakeven price,
|
||||
# a decrease does not (i.e. the position is being made
|
||||
# smaller).
|
||||
# abs_clear_size = abs(clear_size)
|
||||
abs_new_size = abs(accum_size)
|
||||
|
||||
if abs_diff > 0:
|
||||
|
||||
cost_basis = (
|
||||
# cost basis for this clear
|
||||
clear_price * abs(clear_size)
|
||||
+
|
||||
# transaction cost
|
||||
accum_sign * cost_scalar * entry['cost']
|
||||
)
|
||||
|
||||
if asize_h:
|
||||
size_last = abs(asize_h[-1])
|
||||
cb_last = ppu_h[-1] * size_last
|
||||
ppu = (cost_basis + cb_last) / abs_new_size
|
||||
|
||||
else:
|
||||
ppu = cost_basis / abs_new_size
|
||||
|
||||
ppu_h.append(ppu)
|
||||
asize_h.append(accum_size)
|
||||
|
||||
else:
|
||||
# on "exit" clears from a given direction,
|
||||
# only the size changes not the price-per-unit
|
||||
# need to be updated since the ppu remains constant
|
||||
# and gets weighted by the new size.
|
||||
asize_h.append(accum_size)
|
||||
ppu_h.append(ppu_h[-1])
|
||||
|
||||
final_ppu = ppu_h[-1] if ppu_h else 0
|
||||
|
||||
# handle any split info entered (for now) manually by user
|
||||
if self.split_ratio is not None:
|
||||
final_ppu /= self.split_ratio
|
||||
|
||||
return final_ppu
|
||||
|
||||
def expired(self) -> bool:
|
||||
'''
|
||||
Predicate which checks if the contract/instrument is past its expiry.
|
||||
|
||||
'''
|
||||
return bool(self.expiry) and self.expiry < now()
|
||||
|
||||
def calc_size(self) -> float:
|
||||
'''
|
||||
Calculate the unit size of this position in the destination
|
||||
asset using the clears/trade event table; zero if expired.
|
||||
|
||||
'''
|
||||
size: float = 0
|
||||
|
||||
# time-expired pps (normally derivatives) are "closed"
|
||||
# and have a zero size.
|
||||
if self.expired():
|
||||
return 0
|
||||
|
||||
for tid, entry in self.clears.items():
|
||||
size += entry['size']
|
||||
|
||||
if self.split_ratio is not None:
|
||||
size = round(size * self.split_ratio)
|
||||
|
||||
return size
|
||||
|
||||
def minimize_clears(
|
||||
self,
|
||||
|
||||
) -> dict[str, dict]:
|
||||
'''
|
||||
Minimize the position's clears entries by removing
|
||||
all transactions before the last net zero size to avoid
|
||||
unecessary history irrelevant to the current pp state.
|
||||
|
||||
'''
|
||||
size: float = 0
|
||||
clears_since_zero: list[tuple(str, dict)] = []
|
||||
|
||||
# TODO: we might just want to always do this when iterating
|
||||
# a ledger? keep a state of the last net-zero and only do the
|
||||
# full iterate when no state was stashed?
|
||||
|
||||
# scan for the last "net zero" position by iterating
|
||||
# transactions until the next net-zero size, rinse, repeat.
|
||||
for tid, clear in self.clears.items():
|
||||
size += clear['size']
|
||||
clears_since_zero.append((tid, clear))
|
||||
|
||||
if size == 0:
|
||||
clears_since_zero.clear()
|
||||
|
||||
self.clears = dict(clears_since_zero)
|
||||
return self.clears
|
||||
|
||||
def add_clear(
|
||||
self,
|
||||
t: Transaction,
|
||||
) -> dict:
|
||||
'''
|
||||
Update clearing table and populate rolling ppu and accumulative
|
||||
size in both the clears entry and local attrs state.
|
||||
|
||||
'''
|
||||
clear = self.clears[t.tid] = {
|
||||
'cost': t.cost,
|
||||
'price': t.price,
|
||||
'size': t.size,
|
||||
'dt': t.dt,
|
||||
}
|
||||
|
||||
# TODO: compute these incrementally instead
|
||||
# of re-looping through each time resulting in O(n**2)
|
||||
# behaviour..?
|
||||
|
||||
# NOTE: we compute these **after** adding the entry in order to
|
||||
# make the recurrence relation math work inside
|
||||
# ``.calc_size()``.
|
||||
self.size = clear['accum_size'] = self.calc_size()
|
||||
self.ppu = clear['ppu'] = self.calc_ppu()
|
||||
|
||||
return clear
|
||||
|
||||
def sugest_split(self) -> float:
|
||||
...
|
||||
|
||||
|
||||
class PpTable(Struct):
|
||||
|
||||
brokername: str
|
||||
acctid: str
|
||||
pps: dict[str, Position]
|
||||
conf: Optional[dict] = {}
|
||||
|
||||
def update_from_trans(
|
||||
self,
|
||||
trans: dict[str, Transaction],
|
||||
cost_scalar: float = 2,
|
||||
|
||||
) -> dict[str, Position]:
|
||||
|
||||
pps = self.pps
|
||||
updated: dict[str, Position] = {}
|
||||
|
||||
# lifo update all pps from records
|
||||
for tid, t in trans.items():
|
||||
|
||||
pp = pps.setdefault(
|
||||
t.bsuid,
|
||||
|
||||
# if no existing pp, allocate fresh one.
|
||||
Position(
|
||||
Symbol.from_fqsn(
|
||||
t.fqsn,
|
||||
info={},
|
||||
),
|
||||
size=0.0,
|
||||
ppu=0.0,
|
||||
bsuid=t.bsuid,
|
||||
expiry=t.expiry,
|
||||
)
|
||||
)
|
||||
clears = pp.clears
|
||||
if clears:
|
||||
first_clear_dt = pp.first_clear_dt
|
||||
|
||||
# don't do updates for ledger records we already have
|
||||
# included in the current pps state.
|
||||
if (
|
||||
t.tid in clears
|
||||
or first_clear_dt and t.dt < first_clear_dt
|
||||
):
|
||||
# NOTE: likely you'll see repeats of the same
|
||||
# ``Transaction`` passed in here if/when you are restarting
|
||||
# a ``brokerd.ib`` where the API will re-report trades from
|
||||
# the current session, so we need to make sure we don't
|
||||
# "double count" these in pp calculations.
|
||||
continue
|
||||
|
||||
# update clearing table
|
||||
pp.add_clear(t)
|
||||
updated[t.bsuid] = pp
|
||||
|
||||
# minimize clears tables and update sizing.
|
||||
for bsuid, pp in updated.items():
|
||||
pp.ensure_state()
|
||||
|
||||
return updated
|
||||
|
||||
def dump_active(
|
||||
self,
|
||||
) -> tuple[
|
||||
dict[str, Position],
|
||||
dict[str, Position]
|
||||
]:
|
||||
'''
|
||||
Iterate all tabulated positions, render active positions to
|
||||
a ``dict`` format amenable to serialization (via TOML) and drop
|
||||
from state (``.pps``) as well as return in a ``dict`` all
|
||||
``Position``s which have recently closed.
|
||||
|
||||
'''
|
||||
# NOTE: newly closed position are also important to report/return
|
||||
# since a consumer, like an order mode UI ;), might want to react
|
||||
# based on the closure (for example removing the breakeven line
|
||||
# and clearing the entry from any lists/monitors).
|
||||
closed_pp_objs: dict[str, Position] = {}
|
||||
open_pp_objs: dict[str, Position] = {}
|
||||
|
||||
pp_objs = self.pps
|
||||
for bsuid in list(pp_objs):
|
||||
pp = pp_objs[bsuid]
|
||||
|
||||
# XXX: debug hook for size mismatches
|
||||
# qqqbsuid = 320227571
|
||||
# if bsuid == qqqbsuid:
|
||||
# breakpoint()
|
||||
|
||||
pp.ensure_state()
|
||||
|
||||
if (
|
||||
# "net-zero" is a "closed" position
|
||||
pp.size == 0
|
||||
|
||||
# time-expired pps (normally derivatives) are "closed"
|
||||
or (pp.expiry and pp.expiry < now())
|
||||
):
|
||||
# for expired cases
|
||||
pp.size = 0
|
||||
|
||||
# NOTE: we DO NOT pop the pp here since it can still be
|
||||
# used to check for duplicate clears that may come in as
|
||||
# new transaction from some backend API and need to be
|
||||
# ignored; the closed positions won't be written to the
|
||||
# ``pps.toml`` since ``pp_active_entries`` above is what's
|
||||
# written.
|
||||
closed_pp_objs[bsuid] = pp
|
||||
|
||||
else:
|
||||
open_pp_objs[bsuid] = pp
|
||||
|
||||
return open_pp_objs, closed_pp_objs
|
||||
|
||||
def to_toml(
|
||||
self,
|
||||
) -> dict[str, Any]:
|
||||
|
||||
active, closed = self.dump_active()
|
||||
|
||||
# ONLY dict-serialize all active positions; those that are closed
|
||||
# we don't store in the ``pps.toml``.
|
||||
to_toml_dict = {}
|
||||
|
||||
for bsuid, pos in active.items():
|
||||
|
||||
# keep the minimal amount of clears that make up this
|
||||
# position since the last net-zero state.
|
||||
pos.minimize_clears()
|
||||
pos.ensure_state()
|
||||
|
||||
# serialize to pre-toml form
|
||||
fqsn, asdict = pos.to_pretoml()
|
||||
log.info(f'Updating active pp: {fqsn}')
|
||||
|
||||
# XXX: ugh, it's cuz we push the section under
|
||||
# the broker name.. maybe we need to rethink this?
|
||||
brokerless_key = fqsn.removeprefix(f'{self.brokername}.')
|
||||
to_toml_dict[brokerless_key] = asdict
|
||||
|
||||
return to_toml_dict
|
||||
|
||||
def write_config(self) -> None:
|
||||
'''
|
||||
Write the current position table to the user's ``pps.toml``.
|
||||
|
||||
'''
|
||||
# TODO: show diff output?
|
||||
# https://stackoverflow.com/questions/12956957/print-diff-of-python-dictionaries
|
||||
print(f'Updating ``pps.toml`` for {path}:\n')
|
||||
|
||||
# active, closed_pp_objs = table.dump_active()
|
||||
pp_entries = self.to_toml()
|
||||
self.conf[self.brokername][self.acctid] = pp_entries
|
||||
|
||||
# TODO: why tf haven't they already done this for inline
|
||||
# tables smh..
|
||||
enc = PpsEncoder(preserve=True)
|
||||
# table_bs_type = type(toml.TomlDecoder().get_empty_inline_table())
|
||||
enc.dump_funcs[
|
||||
toml.decoder.InlineTableDict
|
||||
] = enc.dump_inline_table
|
||||
|
||||
config.write(
|
||||
self.conf,
|
||||
'pps',
|
||||
encoder=enc,
|
||||
)
|
||||
|
||||
|
||||
def load_pps_from_ledger(
|
||||
|
||||
brokername: str,
|
||||
acctname: str,
|
||||
|
||||
# post normalization filter on ledger entries to be processed
|
||||
filter_by: Optional[list[dict]] = None,
|
||||
|
||||
) -> tuple[
|
||||
dict[str, Transaction],
|
||||
dict[str, Position],
|
||||
]:
|
||||
'''
|
||||
Open a ledger file by broker name and account and read in and
|
||||
process any trade records into our normalized ``Transaction`` form
|
||||
and then update the equivalent ``Pptable`` and deliver the two
|
||||
bsuid-mapped dict-sets of the transactions and pps.
|
||||
|
||||
'''
|
||||
with (
|
||||
open_trade_ledger(brokername, acctname) as ledger,
|
||||
open_pps(brokername, acctname) as table,
|
||||
):
|
||||
if not ledger:
|
||||
# null case, no ledger file with content
|
||||
return {}
|
||||
|
||||
mod = get_brokermod(brokername)
|
||||
src_records: dict[str, Transaction] = mod.norm_trade_records(ledger)
|
||||
|
||||
if filter_by:
|
||||
records = {}
|
||||
bsuids = set(filter_by)
|
||||
for tid, r in src_records.items():
|
||||
if r.bsuid in bsuids:
|
||||
records[tid] = r
|
||||
else:
|
||||
records = src_records
|
||||
|
||||
updated = table.update_from_trans(records)
|
||||
|
||||
return records, updated
|
||||
|
||||
|
||||
# TODO: instead see if we can hack tomli and tomli-w to do the same:
|
||||
# - https://github.com/hukkin/tomli
|
||||
# - https://github.com/hukkin/tomli-w
|
||||
class PpsEncoder(toml.TomlEncoder):
|
||||
'''
|
||||
Special "styled" encoder that makes a ``pps.toml`` redable and
|
||||
compact by putting `.clears` tables inline and everything else
|
||||
flat-ish.
|
||||
|
||||
'''
|
||||
separator = ','
|
||||
|
||||
def dump_list(self, v):
|
||||
'''
|
||||
Dump an inline list with a newline after every element and
|
||||
with consideration for denoted inline table types.
|
||||
|
||||
'''
|
||||
retval = "[\n"
|
||||
for u in v:
|
||||
if isinstance(u, toml.decoder.InlineTableDict):
|
||||
out = self.dump_inline_table(u)
|
||||
else:
|
||||
out = str(self.dump_value(u))
|
||||
|
||||
retval += " " + out + "," + "\n"
|
||||
retval += "]"
|
||||
return retval
|
||||
|
||||
def dump_inline_table(self, section):
|
||||
"""Preserve inline table in its compact syntax instead of expanding
|
||||
into subsection.
|
||||
https://github.com/toml-lang/toml#user-content-inline-table
|
||||
"""
|
||||
val_list = []
|
||||
for k, v in section.items():
|
||||
# if isinstance(v, toml.decoder.InlineTableDict):
|
||||
if isinstance(v, dict):
|
||||
val = self.dump_inline_table(v)
|
||||
else:
|
||||
val = str(self.dump_value(v))
|
||||
|
||||
val_list.append(k + " = " + val)
|
||||
|
||||
retval = "{ " + ", ".join(val_list) + " }"
|
||||
return retval
|
||||
|
||||
def dump_sections(self, o, sup):
|
||||
retstr = ""
|
||||
if sup != "" and sup[-1] != ".":
|
||||
sup += '.'
|
||||
retdict = self._dict()
|
||||
arraystr = ""
|
||||
for section in o:
|
||||
qsection = str(section)
|
||||
value = o[section]
|
||||
|
||||
if not re.match(r'^[A-Za-z0-9_-]+$', section):
|
||||
qsection = toml.encoder._dump_str(section)
|
||||
|
||||
# arrayoftables = False
|
||||
if (
|
||||
self.preserve
|
||||
and isinstance(value, toml.decoder.InlineTableDict)
|
||||
):
|
||||
retstr += (
|
||||
qsection
|
||||
+
|
||||
" = "
|
||||
+
|
||||
self.dump_inline_table(o[section])
|
||||
+
|
||||
'\n' # only on the final terminating left brace
|
||||
)
|
||||
|
||||
# XXX: this code i'm pretty sure is just blatantly bad
|
||||
# and/or wrong..
|
||||
# if isinstance(o[section], list):
|
||||
# for a in o[section]:
|
||||
# if isinstance(a, dict):
|
||||
# arrayoftables = True
|
||||
# if arrayoftables:
|
||||
# for a in o[section]:
|
||||
# arraytabstr = "\n"
|
||||
# arraystr += "[[" + sup + qsection + "]]\n"
|
||||
# s, d = self.dump_sections(a, sup + qsection)
|
||||
# if s:
|
||||
# if s[0] == "[":
|
||||
# arraytabstr += s
|
||||
# else:
|
||||
# arraystr += s
|
||||
# while d:
|
||||
# newd = self._dict()
|
||||
# for dsec in d:
|
||||
# s1, d1 = self.dump_sections(d[dsec], sup +
|
||||
# qsection + "." +
|
||||
# dsec)
|
||||
# if s1:
|
||||
# arraytabstr += ("[" + sup + qsection +
|
||||
# "." + dsec + "]\n")
|
||||
# arraytabstr += s1
|
||||
# for s1 in d1:
|
||||
# newd[dsec + "." + s1] = d1[s1]
|
||||
# d = newd
|
||||
# arraystr += arraytabstr
|
||||
|
||||
elif isinstance(value, dict):
|
||||
retdict[qsection] = o[section]
|
||||
|
||||
elif o[section] is not None:
|
||||
retstr += (
|
||||
qsection
|
||||
+
|
||||
" = "
|
||||
+
|
||||
str(self.dump_value(o[section]))
|
||||
)
|
||||
|
||||
# if not isinstance(value, dict):
|
||||
if not isinstance(value, toml.decoder.InlineTableDict):
|
||||
# inline tables should not contain newlines:
|
||||
# https://toml.io/en/v1.0.0#inline-table
|
||||
retstr += '\n'
|
||||
|
||||
else:
|
||||
raise ValueError(value)
|
||||
|
||||
retstr += arraystr
|
||||
return (retstr, retdict)
|
||||
|
||||
|
||||
@cm
|
||||
def open_pps(
|
||||
brokername: str,
|
||||
acctid: str,
|
||||
write_on_exit: bool = True,
|
||||
|
||||
) -> PpTable:
|
||||
'''
|
||||
Read out broker-specific position entries from
|
||||
incremental update file: ``pps.toml``.
|
||||
|
||||
'''
|
||||
conf, path = config.load('pps')
|
||||
brokersection = conf.setdefault(brokername, {})
|
||||
pps = brokersection.setdefault(acctid, {})
|
||||
|
||||
# TODO: ideally we can pass in an existing
|
||||
# pps state to this right? such that we
|
||||
# don't have to do a ledger reload all the
|
||||
# time.. a couple ideas I can think of,
|
||||
# - mirror this in some client side actor which
|
||||
# does the actual ledger updates (say the paper
|
||||
# engine proc if we decide to always spawn it?),
|
||||
# - do diffs against updates from the ledger writer
|
||||
# actor and the in-mem state here?
|
||||
|
||||
pp_objs = {}
|
||||
table = PpTable(
|
||||
brokername,
|
||||
acctid,
|
||||
pp_objs,
|
||||
conf=conf,
|
||||
)
|
||||
|
||||
# unmarshal/load ``pps.toml`` config entries into object form
|
||||
# and update `PpTable` obj entries.
|
||||
for fqsn, entry in pps.items():
|
||||
bsuid = entry['bsuid']
|
||||
|
||||
# convert clears sub-tables (only in this form
|
||||
# for toml re-presentation) back into a master table.
|
||||
clears_list = entry['clears']
|
||||
|
||||
# index clears entries in "object" form by tid in a top
|
||||
# level dict instead of a list (as is presented in our
|
||||
# ``pps.toml``).
|
||||
clears = pp_objs.setdefault(bsuid, {})
|
||||
|
||||
# TODO: should be make a ``Struct`` for clear/event entries?
|
||||
# convert "clear events table" from the toml config (list of
|
||||
# a dicts) and load it into object form for use in position
|
||||
# processing of new clear events.
|
||||
trans: list[Transaction] = []
|
||||
|
||||
for clears_table in clears_list:
|
||||
tid = clears_table.pop('tid')
|
||||
dtstr = clears_table['dt']
|
||||
dt = pendulum.parse(dtstr)
|
||||
clears_table['dt'] = dt
|
||||
trans.append(Transaction(
|
||||
fqsn=bsuid,
|
||||
bsuid=bsuid,
|
||||
tid=tid,
|
||||
size=clears_table['size'],
|
||||
price=clears_table['price'],
|
||||
cost=clears_table['cost'],
|
||||
dt=dt,
|
||||
))
|
||||
clears[tid] = clears_table
|
||||
|
||||
size = entry['size']
|
||||
|
||||
# TODO: remove but, handle old field name for now
|
||||
ppu = entry.get('ppu', entry.get('be_price', 0))
|
||||
split_ratio = entry.get('split_ratio')
|
||||
|
||||
expiry = entry.get('expiry')
|
||||
if expiry:
|
||||
expiry = pendulum.parse(expiry)
|
||||
|
||||
pp = pp_objs[bsuid] = Position(
|
||||
Symbol.from_fqsn(fqsn, info={}),
|
||||
size=size,
|
||||
ppu=ppu,
|
||||
split_ratio=split_ratio,
|
||||
expiry=expiry,
|
||||
bsuid=entry['bsuid'],
|
||||
)
|
||||
|
||||
# XXX: super critical, we need to be sure to include
|
||||
# all pps.toml clears to avoid reusing clears that were
|
||||
# already included in the current incremental update
|
||||
# state, since today's records may have already been
|
||||
# processed!
|
||||
for t in trans:
|
||||
pp.add_clear(t)
|
||||
|
||||
# audit entries loaded from toml
|
||||
pp.ensure_state()
|
||||
|
||||
try:
|
||||
yield table
|
||||
finally:
|
||||
if write_on_exit:
|
||||
table.write_config()
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
import sys
|
||||
|
||||
args = sys.argv
|
||||
assert len(args) > 1, 'Specifiy account(s) from `brokers.toml`'
|
||||
args = args[1:]
|
||||
for acctid in args:
|
||||
broker, name = acctid.split('.')
|
||||
trans, updated_pps = load_pps_from_ledger(broker, name)
|
||||
print(
|
||||
f'Processing transactions into pps for {broker}:{acctid}\n'
|
||||
f'{pformat(trans)}\n\n'
|
||||
f'{pformat(updated_pps)}'
|
||||
)
|
||||
|
|
@ -230,26 +230,25 @@ class GodWidget(QWidget):
|
|||
# - we'll probably want per-instrument/provider state here?
|
||||
# change the order config form over to the new chart
|
||||
|
||||
# XXX: since the pp config is a singleton widget we have to
|
||||
# also switch it over to the new chart's interal-layout
|
||||
# self.linkedsplits.chart.qframe.hbox.removeWidget(self.pp_pane)
|
||||
chart = linkedsplits.chart
|
||||
|
||||
# chart is already in memory so just focus it
|
||||
linkedsplits.show()
|
||||
linkedsplits.focus()
|
||||
linkedsplits.graphics_cycle()
|
||||
await trio.sleep(0)
|
||||
|
||||
# XXX: since the pp config is a singleton widget we have to
|
||||
# also switch it over to the new chart's interal-layout
|
||||
# self.linkedsplits.chart.qframe.hbox.removeWidget(self.pp_pane)
|
||||
chart = linkedsplits.chart
|
||||
|
||||
# resume feeds *after* rendering chart view asap
|
||||
if chart:
|
||||
chart.resume_all_feeds()
|
||||
chart.resume_all_feeds()
|
||||
|
||||
# TODO: we need a check to see if the chart
|
||||
# last had the xlast in view, if so then shift so it's
|
||||
# still in view, if the user was viewing history then
|
||||
# do nothing yah?
|
||||
chart.default_view()
|
||||
# TODO: we need a check to see if the chart
|
||||
# last had the xlast in view, if so then shift so it's
|
||||
# still in view, if the user was viewing history then
|
||||
# do nothing yah?
|
||||
chart.default_view()
|
||||
|
||||
self.linkedsplits = linkedsplits
|
||||
symbol = linkedsplits.symbol
|
||||
|
|
@ -453,6 +452,13 @@ class LinkedSplits(QWidget):
|
|||
# add crosshair graphic
|
||||
self.chart.addItem(self.cursor)
|
||||
|
||||
# axis placement
|
||||
if (
|
||||
_xaxis_at == 'bottom' and
|
||||
'bottom' in self.chart.plotItem.axes
|
||||
):
|
||||
self.chart.hideAxis('bottom')
|
||||
|
||||
# style?
|
||||
self.chart.setFrameStyle(
|
||||
QFrame.StyledPanel |
|
||||
|
|
@ -517,26 +523,21 @@ class LinkedSplits(QWidget):
|
|||
cpw.hideAxis('left')
|
||||
cpw.hideAxis('bottom')
|
||||
|
||||
if (
|
||||
_xaxis_at == 'bottom' and (
|
||||
self.xaxis_chart
|
||||
or (
|
||||
not self.subplots
|
||||
and self.xaxis_chart is None
|
||||
)
|
||||
)
|
||||
):
|
||||
if self.xaxis_chart:
|
||||
self.xaxis_chart.hideAxis('bottom')
|
||||
if self.xaxis_chart:
|
||||
self.xaxis_chart.hideAxis('bottom')
|
||||
|
||||
# presuming we only want it at the true bottom of all charts.
|
||||
# XXX: uses new api from our ``pyqtgraph`` fork.
|
||||
# https://github.com/pikers/pyqtgraph/tree/plotitemoverlay_onto_pg_master
|
||||
# _ = self.xaxis_chart.removeAxis('bottom', unlink=False)
|
||||
# assert 'bottom' not in self.xaxis_chart.plotItem.axes
|
||||
|
||||
self.xaxis_chart = cpw
|
||||
cpw.showAxis('bottom')
|
||||
|
||||
if self.xaxis_chart is None:
|
||||
self.xaxis_chart = cpw
|
||||
|
||||
qframe.chart = cpw
|
||||
qframe.hbox.addWidget(cpw)
|
||||
|
||||
|
|
@ -759,18 +760,9 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
self.pi_overlay: PlotItemOverlay = PlotItemOverlay(self.plotItem)
|
||||
|
||||
# indempotent startup flag for auto-yrange subsys
|
||||
# to detect the "first time" y-domain graphics begin
|
||||
# to be shown in the (main) graphics view.
|
||||
self._on_screen: bool = False
|
||||
|
||||
def resume_all_feeds(self):
|
||||
try:
|
||||
for feed in self._feeds.values():
|
||||
self.linked.godwidget._root_n.start_soon(feed.resume)
|
||||
except RuntimeError:
|
||||
# TODO: cancel the qtractor runtime here?
|
||||
raise
|
||||
for feed in self._feeds.values():
|
||||
self.linked.godwidget._root_n.start_soon(feed.resume)
|
||||
|
||||
def pause_all_feeds(self):
|
||||
for feed in self._feeds.values():
|
||||
|
|
@ -867,8 +859,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
def default_view(
|
||||
self,
|
||||
bars_from_y: int = 616,
|
||||
do_ds: bool = True,
|
||||
bars_from_y: int = 3000,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
|
|
@ -929,11 +920,8 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
max=end,
|
||||
padding=0,
|
||||
)
|
||||
|
||||
if do_ds:
|
||||
self.view.maybe_downsample_graphics()
|
||||
view._set_yrange()
|
||||
|
||||
self.view.maybe_downsample_graphics()
|
||||
view._set_yrange()
|
||||
try:
|
||||
self.linked.graphics_cycle()
|
||||
except IndexError:
|
||||
|
|
@ -1267,6 +1255,7 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
If ``bars_range`` is provided use that range.
|
||||
|
||||
'''
|
||||
# print(f'Chart[{self.name}].maxmin()')
|
||||
profiler = pg.debug.Profiler(
|
||||
msg=f'`{str(self)}.maxmin(name={name})`: `{self.name}`',
|
||||
disabled=not pg_profile_enabled(),
|
||||
|
|
@ -1298,18 +1287,11 @@ class ChartPlotWidget(pg.PlotWidget):
|
|||
|
||||
key = round(lbar), round(rbar)
|
||||
res = flow.maxmin(*key)
|
||||
|
||||
if (
|
||||
res is None
|
||||
):
|
||||
log.warning(
|
||||
if res == (None, None):
|
||||
log.error(
|
||||
f"{flow_key} no mxmn for bars_range => {key} !?"
|
||||
)
|
||||
res = 0, 0
|
||||
if not self._on_screen:
|
||||
self.default_view(do_ds=False)
|
||||
self._on_screen = True
|
||||
|
||||
profiler(f'yrange mxmn: {key} -> {res}')
|
||||
# print(f'{flow_key} yrange mxmn: {key} -> {res}')
|
||||
return res
|
||||
|
|
|
|||
|
|
@ -223,20 +223,14 @@ def ds_m4(
|
|||
assert frames >= (xrange / uppx)
|
||||
|
||||
# call into ``numba``
|
||||
(
|
||||
nb,
|
||||
x_out,
|
||||
y_out,
|
||||
ymn,
|
||||
ymx,
|
||||
) = _m4(
|
||||
nb, i_win, y_out = _m4(
|
||||
x,
|
||||
y,
|
||||
|
||||
frames,
|
||||
|
||||
# TODO: see func below..
|
||||
# x_out,
|
||||
# i_win,
|
||||
# y_out,
|
||||
|
||||
# first index in x data to start at
|
||||
|
|
@ -249,11 +243,10 @@ def ds_m4(
|
|||
# filter out any overshoot in the input allocation arrays by
|
||||
# removing zero-ed tail entries which should start at a certain
|
||||
# index.
|
||||
x_out = x_out[x_out != 0]
|
||||
y_out = y_out[:x_out.size]
|
||||
i_win = i_win[i_win != 0]
|
||||
y_out = y_out[:i_win.size]
|
||||
|
||||
# print(f'M4 output ymn, ymx: {ymn},{ymx}')
|
||||
return nb, x_out, y_out, ymn, ymx
|
||||
return nb, i_win, y_out
|
||||
|
||||
|
||||
@jit(
|
||||
|
|
@ -267,8 +260,8 @@ def _m4(
|
|||
|
||||
frames: int,
|
||||
|
||||
# TODO: using this approach, having the ``.zeros()`` alloc lines
|
||||
# below in pure python, there were segs faults and alloc crashes..
|
||||
# TODO: using this approach by having the ``.zeros()`` alloc lines
|
||||
# below, in put python was causing segs faults and alloc crashes..
|
||||
# we might need to see how it behaves with shm arrays and consider
|
||||
# allocating them once at startup?
|
||||
|
||||
|
|
@ -281,22 +274,14 @@ def _m4(
|
|||
x_start: int,
|
||||
step: float,
|
||||
|
||||
) -> tuple[
|
||||
int,
|
||||
np.ndarray,
|
||||
np.ndarray,
|
||||
float,
|
||||
float,
|
||||
]:
|
||||
'''
|
||||
Implementation of the m4 algorithm in ``numba``:
|
||||
http://www.vldb.org/pvldb/vol7/p797-jugel.pdf
|
||||
) -> int:
|
||||
# nbins = len(i_win)
|
||||
# count = len(xs)
|
||||
|
||||
'''
|
||||
# these are pre-allocated and mutated by ``numba``
|
||||
# code in-place.
|
||||
y_out = np.zeros((frames, 4), ys.dtype)
|
||||
x_out = np.zeros(frames, xs.dtype)
|
||||
i_win = np.zeros(frames, xs.dtype)
|
||||
|
||||
bincount = 0
|
||||
x_left = x_start
|
||||
|
|
@ -310,34 +295,24 @@ def _m4(
|
|||
|
||||
# set all bins in the left-most entry to the starting left-most x value
|
||||
# (aka a row broadcast).
|
||||
x_out[bincount] = x_left
|
||||
i_win[bincount] = x_left
|
||||
# set all y-values to the first value passed in.
|
||||
y_out[bincount] = ys[0]
|
||||
|
||||
# full input y-data mx and mn
|
||||
mx: float = -np.inf
|
||||
mn: float = np.inf
|
||||
|
||||
# compute OHLC style max / min values per window sized x-frame.
|
||||
for i in range(len(xs)):
|
||||
|
||||
x = xs[i]
|
||||
y = ys[i]
|
||||
|
||||
if x < x_left + step: # the current window "step" is [bin, bin+1)
|
||||
ymn = y_out[bincount, 1] = min(y, y_out[bincount, 1])
|
||||
ymx = y_out[bincount, 2] = max(y, y_out[bincount, 2])
|
||||
y_out[bincount, 1] = min(y, y_out[bincount, 1])
|
||||
y_out[bincount, 2] = max(y, y_out[bincount, 2])
|
||||
y_out[bincount, 3] = y
|
||||
mx = max(mx, ymx)
|
||||
mn = min(mn, ymn)
|
||||
|
||||
else:
|
||||
# Find the next bin
|
||||
while x >= x_left + step:
|
||||
x_left += step
|
||||
|
||||
bincount += 1
|
||||
x_out[bincount] = x_left
|
||||
i_win[bincount] = x_left
|
||||
y_out[bincount] = y
|
||||
|
||||
return bincount, x_out, y_out, mn, mx
|
||||
return bincount, i_win, y_out
|
||||
|
|
|
|||
|
|
@ -105,10 +105,6 @@ def chart_maxmin(
|
|||
mn, mx = out
|
||||
|
||||
mx_vlm_in_view = 0
|
||||
|
||||
# TODO: we need to NOT call this to avoid a manual
|
||||
# np.max/min trigger and especially on the vlm_chart
|
||||
# flows which aren't shown.. like vlm?
|
||||
if vlm_chart:
|
||||
out = vlm_chart.maxmin()
|
||||
if out:
|
||||
|
|
@ -136,16 +132,16 @@ class DisplayState:
|
|||
# high level chart handles
|
||||
linked: LinkedSplits
|
||||
chart: ChartPlotWidget
|
||||
vlm_chart: ChartPlotWidget
|
||||
|
||||
# axis labels
|
||||
l1: L1Labels
|
||||
last_price_sticky: YAxisLabel
|
||||
vlm_sticky: YAxisLabel
|
||||
|
||||
# misc state tracking
|
||||
vars: dict[str, Any]
|
||||
|
||||
vlm_chart: Optional[ChartPlotWidget] = None
|
||||
vlm_sticky: Optional[YAxisLabel] = None
|
||||
wap_in_history: bool = False
|
||||
|
||||
|
||||
|
|
@ -185,6 +181,9 @@ async def graphics_update_loop(
|
|||
*ohlcv.array[-1][['index', 'close']]
|
||||
)
|
||||
|
||||
if vlm_chart:
|
||||
vlm_sticky = vlm_chart._ysticks['volume']
|
||||
|
||||
maxmin = partial(
|
||||
chart_maxmin,
|
||||
chart,
|
||||
|
|
@ -223,9 +222,33 @@ async def graphics_update_loop(
|
|||
tick_margin = 3 * tick_size
|
||||
|
||||
chart.show()
|
||||
# view = chart.view
|
||||
last_quote = time.time()
|
||||
i_last = ohlcv.index
|
||||
|
||||
# async def iter_drain_quotes():
|
||||
# # NOTE: all code below this loop is expected to be synchronous
|
||||
# # and thus draw instructions are not picked up jntil the next
|
||||
# # wait / iteration.
|
||||
# async for quotes in stream:
|
||||
# while True:
|
||||
# try:
|
||||
# moar = stream.receive_nowait()
|
||||
# except trio.WouldBlock:
|
||||
# yield quotes
|
||||
# break
|
||||
# else:
|
||||
# for sym, quote in moar.items():
|
||||
# ticks_frame = quote.get('ticks')
|
||||
# if ticks_frame:
|
||||
# quotes[sym].setdefault(
|
||||
# 'ticks', []).extend(ticks_frame)
|
||||
# print('pulled extra')
|
||||
|
||||
# yield quotes
|
||||
|
||||
# async for quotes in iter_drain_quotes():
|
||||
|
||||
ds = linked.display_state = DisplayState(**{
|
||||
'quotes': {},
|
||||
'linked': linked,
|
||||
|
|
@ -233,6 +256,8 @@ async def graphics_update_loop(
|
|||
'ohlcv': ohlcv,
|
||||
'chart': chart,
|
||||
'last_price_sticky': last_price_sticky,
|
||||
'vlm_chart': vlm_chart,
|
||||
'vlm_sticky': vlm_sticky,
|
||||
'l1': l1,
|
||||
|
||||
'vars': {
|
||||
|
|
@ -245,11 +270,6 @@ async def graphics_update_loop(
|
|||
}
|
||||
})
|
||||
|
||||
if vlm_chart:
|
||||
vlm_sticky = vlm_chart._ysticks['volume']
|
||||
ds.vlm_chart = vlm_chart
|
||||
ds.vlm_sticky = vlm_sticky
|
||||
|
||||
chart.default_view()
|
||||
|
||||
# main real-time quotes update loop
|
||||
|
|
@ -273,7 +293,6 @@ async def graphics_update_loop(
|
|||
|
||||
# chart isn't active/shown so skip render cycle and pause feed(s)
|
||||
if chart.linked.isHidden():
|
||||
print('skipping update')
|
||||
chart.pause_all_feeds()
|
||||
continue
|
||||
|
||||
|
|
@ -322,7 +341,7 @@ def graphics_update_cycle(
|
|||
for sym, quote in ds.quotes.items():
|
||||
|
||||
# compute the first available graphic's x-units-per-pixel
|
||||
uppx = chart.view.x_uppx()
|
||||
uppx = vlm_chart.view.x_uppx()
|
||||
|
||||
# NOTE: vlm may be written by the ``brokerd`` backend
|
||||
# event though a tick sample is not emitted.
|
||||
|
|
@ -397,8 +416,10 @@ def graphics_update_cycle(
|
|||
)
|
||||
or trigger_all
|
||||
):
|
||||
# TODO: we should track and compute whether the last
|
||||
# pixel in a curve should show new data based on uppx
|
||||
# and then iff update curves and shift?
|
||||
chart.increment_view(steps=i_diff)
|
||||
# chart.increment_view(steps=i_diff + round(append_diff - uppx))
|
||||
|
||||
if vlm_chart:
|
||||
vlm_chart.increment_view(steps=i_diff)
|
||||
|
|
@ -456,6 +477,7 @@ def graphics_update_cycle(
|
|||
):
|
||||
chart.update_graphics_from_flow(
|
||||
chart.name,
|
||||
# do_append=uppx < update_uppx,
|
||||
do_append=do_append,
|
||||
)
|
||||
|
||||
|
|
@ -786,10 +808,7 @@ async def display_symbol_data(
|
|||
async with trio.open_nursery() as ln:
|
||||
|
||||
# if available load volume related built-in display(s)
|
||||
if (
|
||||
not symbol.broker_info[provider].get('no_vlm', False)
|
||||
and has_vlm(ohlcv)
|
||||
):
|
||||
if has_vlm(ohlcv):
|
||||
vlm_chart = await ln.start(
|
||||
open_vlm_displays,
|
||||
linked,
|
||||
|
|
@ -824,9 +843,6 @@ async def display_symbol_data(
|
|||
order_mode_started
|
||||
)
|
||||
):
|
||||
if not vlm_chart:
|
||||
chart.default_view()
|
||||
|
||||
# let Qt run to render all widgets and make sure the
|
||||
# sidepanes line up vertically.
|
||||
await trio.sleep(0)
|
||||
|
|
|
|||
|
|
@ -140,9 +140,9 @@ class LineEditor:
|
|||
|
||||
) -> LevelLine:
|
||||
|
||||
# staged_line = self._active_staged_line
|
||||
# if not staged_line:
|
||||
# raise RuntimeError("No line is currently staged!?")
|
||||
staged_line = self._active_staged_line
|
||||
if not staged_line:
|
||||
raise RuntimeError("No line is currently staged!?")
|
||||
|
||||
# for now, until submission reponse arrives
|
||||
line.hide_labels()
|
||||
|
|
|
|||
|
|
@ -21,6 +21,7 @@ Qt event proxying and processing using ``trio`` mem chans.
|
|||
from contextlib import asynccontextmanager, AsyncExitStack
|
||||
from typing import Callable
|
||||
|
||||
from pydantic import BaseModel
|
||||
import trio
|
||||
from PyQt5 import QtCore
|
||||
from PyQt5.QtCore import QEvent, pyqtBoundSignal
|
||||
|
|
@ -29,8 +30,6 @@ from PyQt5.QtWidgets import (
|
|||
QGraphicsSceneMouseEvent as gs_mouse,
|
||||
)
|
||||
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
MOUSE_EVENTS = {
|
||||
gs_mouse.GraphicsSceneMousePress,
|
||||
|
|
@ -44,10 +43,13 @@ MOUSE_EVENTS = {
|
|||
# TODO: maybe consider some constrained ints down the road?
|
||||
# https://pydantic-docs.helpmanual.io/usage/types/#constrained-types
|
||||
|
||||
class KeyboardMsg(Struct):
|
||||
class KeyboardMsg(BaseModel):
|
||||
'''Unpacked Qt keyboard event data.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
event: QEvent
|
||||
etype: int
|
||||
key: int
|
||||
|
|
@ -55,13 +57,16 @@ class KeyboardMsg(Struct):
|
|||
txt: str
|
||||
|
||||
def to_tuple(self) -> tuple:
|
||||
return tuple(self.to_dict().values())
|
||||
return tuple(self.dict().values())
|
||||
|
||||
|
||||
class MouseMsg(Struct):
|
||||
class MouseMsg(BaseModel):
|
||||
'''Unpacked Qt keyboard event data.
|
||||
|
||||
'''
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
|
||||
event: QEvent
|
||||
etype: int
|
||||
button: int
|
||||
|
|
|
|||
|
|
@ -337,7 +337,6 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
name: str
|
||||
plot: pg.PlotItem
|
||||
graphics: Union[Curve, BarItems]
|
||||
yrange: tuple[float, float] = None
|
||||
|
||||
# in some cases a flow may want to change its
|
||||
# graphical "type" or, "form" when downsampling,
|
||||
|
|
@ -387,11 +386,10 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
lbar: int,
|
||||
rbar: int,
|
||||
|
||||
) -> Optional[tuple[float, float]]:
|
||||
) -> tuple[float, float]:
|
||||
'''
|
||||
Compute the cached max and min y-range values for a given
|
||||
x-range determined by ``lbar`` and ``rbar`` or ``None``
|
||||
if no range can be determined (yet).
|
||||
x-range determined by ``lbar`` and ``rbar``.
|
||||
|
||||
'''
|
||||
rkey = (lbar, rbar)
|
||||
|
|
@ -401,44 +399,40 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
|
||||
shm = self.shm
|
||||
if shm is None:
|
||||
return None
|
||||
mxmn = None
|
||||
|
||||
arr = shm.array
|
||||
else: # new block for profiling?..
|
||||
arr = shm.array
|
||||
|
||||
# build relative indexes into shm array
|
||||
# TODO: should we just add/use a method
|
||||
# on the shm to do this?
|
||||
ifirst = arr[0]['index']
|
||||
slice_view = arr[
|
||||
lbar - ifirst:
|
||||
(rbar - ifirst) + 1
|
||||
]
|
||||
# build relative indexes into shm array
|
||||
# TODO: should we just add/use a method
|
||||
# on the shm to do this?
|
||||
ifirst = arr[0]['index']
|
||||
slice_view = arr[
|
||||
lbar - ifirst:
|
||||
(rbar - ifirst) + 1
|
||||
]
|
||||
|
||||
if not slice_view.size:
|
||||
return None
|
||||
|
||||
elif self.yrange:
|
||||
mxmn = self.yrange
|
||||
# print(f'{self.name} M4 maxmin: {mxmn}')
|
||||
|
||||
else:
|
||||
if self.is_ohlc:
|
||||
ylow = np.min(slice_view['low'])
|
||||
yhigh = np.max(slice_view['high'])
|
||||
if not slice_view.size:
|
||||
mxmn = None
|
||||
|
||||
else:
|
||||
view = slice_view[self.name]
|
||||
ylow = np.min(view)
|
||||
yhigh = np.max(view)
|
||||
if self.is_ohlc:
|
||||
ylow = np.min(slice_view['low'])
|
||||
yhigh = np.max(slice_view['high'])
|
||||
|
||||
mxmn = ylow, yhigh
|
||||
# print(f'{self.name} MANUAL maxmin: {mxmin}')
|
||||
else:
|
||||
view = slice_view[self.name]
|
||||
ylow = np.min(view)
|
||||
yhigh = np.max(view)
|
||||
|
||||
# cache result for input range
|
||||
assert mxmn
|
||||
self._mxmns[rkey] = mxmn
|
||||
mxmn = ylow, yhigh
|
||||
|
||||
return mxmn
|
||||
if mxmn is not None:
|
||||
# cache new mxmn result
|
||||
self._mxmns[rkey] = mxmn
|
||||
|
||||
return mxmn
|
||||
|
||||
def view_range(self) -> tuple[int, int]:
|
||||
'''
|
||||
|
|
@ -634,13 +628,10 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
# source data so we clear our path data in prep
|
||||
# to generate a new one from original source data.
|
||||
new_sample_rate = True
|
||||
showing_src_data = True
|
||||
should_ds = False
|
||||
should_redraw = True
|
||||
|
||||
showing_src_data = True
|
||||
# reset yrange to be computed from source data
|
||||
self.yrange = None
|
||||
|
||||
# MAIN RENDER LOGIC:
|
||||
# - determine in view data and redraw on range change
|
||||
# - determine downsampling ops if needed
|
||||
|
|
@ -666,10 +657,6 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
|
||||
**rkwargs,
|
||||
)
|
||||
if showing_src_data:
|
||||
# print(f"{self.name} SHOWING SOURCE")
|
||||
# reset yrange to be computed from source data
|
||||
self.yrange = None
|
||||
|
||||
if not out:
|
||||
log.warning(f'{self.name} failed to render!?')
|
||||
|
|
@ -677,9 +664,6 @@ class Flow(msgspec.Struct): # , frozen=True):
|
|||
|
||||
path, data, reset = out
|
||||
|
||||
# if self.yrange:
|
||||
# print(f'flow {self.name} yrange from m4: {self.yrange}')
|
||||
|
||||
# XXX: SUPER UGGGHHH... without this we get stale cache
|
||||
# graphics that don't update until you downsampler again..
|
||||
if reset:
|
||||
|
|
@ -1074,7 +1058,6 @@ class Renderer(msgspec.Struct):
|
|||
# xy-path data transform: convert source data to a format
|
||||
# able to be passed to a `QPainterPath` rendering routine.
|
||||
if not len(hist):
|
||||
# XXX: this might be why the profiler only has exits?
|
||||
return
|
||||
|
||||
x_out, y_out, connect = self.format_xy(
|
||||
|
|
@ -1161,14 +1144,11 @@ class Renderer(msgspec.Struct):
|
|||
|
||||
elif should_ds and uppx > 1:
|
||||
|
||||
x_out, y_out, ymn, ymx = xy_downsample(
|
||||
x_out, y_out = xy_downsample(
|
||||
x_out,
|
||||
y_out,
|
||||
uppx,
|
||||
)
|
||||
self.flow.yrange = ymn, ymx
|
||||
# print(f'{self.flow.name} post ds: ymn, ymx: {ymn},{ymx}')
|
||||
|
||||
reset = True
|
||||
profiler(f'FULL PATH downsample redraw={should_ds}')
|
||||
self._in_ds = True
|
||||
|
|
|
|||
|
|
@ -619,7 +619,7 @@ class FillStatusBar(QProgressBar):
|
|||
# color: #19232D;
|
||||
# width: 10px;
|
||||
|
||||
self.setRange(0, int(slots))
|
||||
self.setRange(0, slots)
|
||||
self.setValue(value)
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -27,13 +27,12 @@ from itertools import cycle
|
|||
from typing import Optional, AsyncGenerator, Any
|
||||
|
||||
import numpy as np
|
||||
import msgspec
|
||||
from pydantic import create_model
|
||||
import tractor
|
||||
import pyqtgraph as pg
|
||||
import trio
|
||||
from trio_typing import TaskStatus
|
||||
|
||||
from piker.data.types import Struct
|
||||
from ._axes import PriceAxis
|
||||
from .._cacheables import maybe_open_context
|
||||
from ..calc import humanize
|
||||
|
|
@ -54,7 +53,7 @@ from ._forms import (
|
|||
from ..fsp._api import maybe_mk_fsp_shm, Fsp
|
||||
from ..fsp import cascade
|
||||
from ..fsp._volume import (
|
||||
# tina_vwap,
|
||||
tina_vwap,
|
||||
dolla_vlm,
|
||||
flow_rates,
|
||||
)
|
||||
|
|
@ -154,13 +153,12 @@ async def open_fsp_sidepane(
|
|||
)
|
||||
|
||||
# https://pydantic-docs.helpmanual.io/usage/models/#dynamic-model-creation
|
||||
FspConfig = msgspec.defstruct(
|
||||
"Point",
|
||||
[('name', name)] + list(params.items()),
|
||||
bases=(Struct,),
|
||||
FspConfig = create_model(
|
||||
'FspConfig',
|
||||
name=name,
|
||||
**params,
|
||||
)
|
||||
model = FspConfig(name=name, **params)
|
||||
sidepane.model = model
|
||||
sidepane.model = FspConfig()
|
||||
|
||||
# just a logger for now until we get fsp configs up and running.
|
||||
async def settings_change(
|
||||
|
|
@ -442,9 +440,7 @@ class FspAdmin:
|
|||
# if the chart isn't hidden try to update
|
||||
# the data on screen.
|
||||
if not self.linked.isHidden():
|
||||
log.debug(
|
||||
f'Re-syncing graphics for fsp: {ns_path}'
|
||||
)
|
||||
log.debug(f'Re-syncing graphics for fsp: {ns_path}')
|
||||
self.linked.graphics_cycle(
|
||||
trigger_all=True,
|
||||
prepend_update_index=info['first'],
|
||||
|
|
@ -473,10 +469,9 @@ class FspAdmin:
|
|||
target=target,
|
||||
readonly=True,
|
||||
)
|
||||
self._flow_registry[(
|
||||
self.src_shm._token,
|
||||
target.name
|
||||
)] = dst_shm._token
|
||||
self._flow_registry[
|
||||
(self.src_shm._token, target.name)
|
||||
] = dst_shm._token
|
||||
|
||||
# if not opened:
|
||||
# raise RuntimeError(
|
||||
|
|
@ -644,25 +639,20 @@ async def open_vlm_displays(
|
|||
names: list[str],
|
||||
|
||||
) -> tuple[float, float]:
|
||||
'''
|
||||
Flows "group" maxmin loop; assumes all named flows
|
||||
are in the same co-domain and thus can be sorted
|
||||
as one set.
|
||||
|
||||
Iterates all the named flows and calls the chart
|
||||
api to find their range values and return.
|
||||
|
||||
TODO: really we should probably have a more built-in API
|
||||
for this?
|
||||
|
||||
'''
|
||||
mx = 0
|
||||
for name in names:
|
||||
ymn, ymx = chart.maxmin(name=name)
|
||||
mx = max(mx, ymx)
|
||||
|
||||
mxmn = chart.maxmin(name=name)
|
||||
if mxmn:
|
||||
ymax = mxmn[1]
|
||||
if ymax > mx:
|
||||
mx = ymax
|
||||
|
||||
return 0, mx
|
||||
|
||||
chart.view.maxmin = partial(multi_maxmin, names=['volume'])
|
||||
|
||||
# TODO: fix the x-axis label issue where if you put
|
||||
# the axis on the left it's totally not lined up...
|
||||
# show volume units value on LHS (for dinkus)
|
||||
|
|
@ -786,7 +776,6 @@ async def open_vlm_displays(
|
|||
|
||||
) -> None:
|
||||
for name in names:
|
||||
|
||||
if 'dark' in name:
|
||||
color = dark_vlm_color
|
||||
elif 'rate' in name:
|
||||
|
|
|
|||
|
|
@ -221,7 +221,6 @@ async def handle_viewmode_kb_inputs(
|
|||
# TODO: show pp config mini-params in status bar widget
|
||||
# mode.pp_config.show()
|
||||
|
||||
trigger_type: str = 'dark'
|
||||
if (
|
||||
# 's' for "submit" to activate "live" order
|
||||
Qt.Key_S in pressed or
|
||||
|
|
@ -229,6 +228,9 @@ async def handle_viewmode_kb_inputs(
|
|||
):
|
||||
trigger_type: str = 'live'
|
||||
|
||||
else:
|
||||
trigger_type: str = 'dark'
|
||||
|
||||
# order mode trigger "actions"
|
||||
if Qt.Key_D in pressed: # for "damp eet"
|
||||
action = 'sell'
|
||||
|
|
@ -395,11 +397,8 @@ class ChartView(ViewBox):
|
|||
|
||||
'''
|
||||
if self._ic is None:
|
||||
try:
|
||||
self.chart.pause_all_feeds()
|
||||
self._ic = trio.Event()
|
||||
except RuntimeError:
|
||||
pass
|
||||
self.chart.pause_all_feeds()
|
||||
self._ic = trio.Event()
|
||||
|
||||
def signal_ic(
|
||||
self,
|
||||
|
|
@ -412,12 +411,9 @@ class ChartView(ViewBox):
|
|||
|
||||
'''
|
||||
if self._ic:
|
||||
try:
|
||||
self._ic.set()
|
||||
self._ic = None
|
||||
self.chart.resume_all_feeds()
|
||||
except RuntimeError:
|
||||
pass
|
||||
self._ic.set()
|
||||
self._ic = None
|
||||
self.chart.resume_all_feeds()
|
||||
|
||||
@asynccontextmanager
|
||||
async def open_async_input_handler(
|
||||
|
|
@ -673,10 +669,7 @@ class ChartView(ViewBox):
|
|||
# XXX: WHY
|
||||
ev.accept()
|
||||
|
||||
try:
|
||||
self.start_ic()
|
||||
except RuntimeError:
|
||||
pass
|
||||
self.start_ic()
|
||||
# if self._ic is None:
|
||||
# self.chart.pause_all_feeds()
|
||||
# self._ic = trio.Event()
|
||||
|
|
@ -930,7 +923,6 @@ class ChartView(ViewBox):
|
|||
# XXX: super important to be aware of this.
|
||||
# or not flow.graphics.isVisible()
|
||||
):
|
||||
# print(f'skipping {flow.name}')
|
||||
continue
|
||||
|
||||
# pass in no array which will read and render from the last
|
||||
|
|
|
|||
|
|
@ -421,10 +421,6 @@ class LevelLine(pg.InfiniteLine):
|
|||
|
||||
return path
|
||||
|
||||
@property
|
||||
def marker(self) -> LevelMarker:
|
||||
return self._marker
|
||||
|
||||
def hoverEvent(self, ev):
|
||||
'''
|
||||
Mouse hover callback.
|
||||
|
|
|
|||
|
|
@ -22,9 +22,12 @@ from __future__ import annotations
|
|||
from typing import (
|
||||
Optional, Generic,
|
||||
TypeVar, Callable,
|
||||
Literal,
|
||||
)
|
||||
import enum
|
||||
import sys
|
||||
|
||||
# from pydantic import BaseModel, validator
|
||||
from pydantic import BaseModel, validator
|
||||
from pydantic.generics import GenericModel
|
||||
from PyQt5.QtWidgets import (
|
||||
QWidget,
|
||||
|
|
@ -35,7 +38,6 @@ from ._forms import (
|
|||
# FontScaledDelegate,
|
||||
Edit,
|
||||
)
|
||||
from ..data.types import Struct
|
||||
|
||||
|
||||
DataType = TypeVar('DataType')
|
||||
|
|
@ -60,7 +62,7 @@ class Selection(Field[DataType], Generic[DataType]):
|
|||
options: dict[str, DataType]
|
||||
# value: DataType = None
|
||||
|
||||
# @validator('value') # , always=True)
|
||||
@validator('value') # , always=True)
|
||||
def set_value_first(
|
||||
cls,
|
||||
|
||||
|
|
@ -98,7 +100,7 @@ class Edit(Field[DataType], Generic[DataType]):
|
|||
widget_factory = Edit
|
||||
|
||||
|
||||
class AllocatorPane(Struct):
|
||||
class AllocatorPane(BaseModel):
|
||||
|
||||
account = Selection[str](
|
||||
options=dict.fromkeys(
|
||||
|
|
|
|||
|
|
@ -49,17 +49,12 @@ def xy_downsample(
|
|||
|
||||
x_spacer: float = 0.5,
|
||||
|
||||
) -> tuple[
|
||||
np.ndarray,
|
||||
np.ndarray,
|
||||
float,
|
||||
float,
|
||||
]:
|
||||
) -> tuple[np.ndarray, np.ndarray]:
|
||||
|
||||
# downsample whenever more then 1 pixels per datum can be shown.
|
||||
# always refresh data bounds until we get diffing
|
||||
# working properly, see above..
|
||||
bins, x, y, ymn, ymx = ds_m4(
|
||||
bins, x, y = ds_m4(
|
||||
x,
|
||||
y,
|
||||
uppx,
|
||||
|
|
@ -72,7 +67,7 @@ def xy_downsample(
|
|||
)).flatten()
|
||||
y = y.flatten()
|
||||
|
||||
return x, y, ymn, ymx
|
||||
return x, y
|
||||
|
||||
|
||||
@njit(
|
||||
|
|
|
|||
|
|
@ -19,7 +19,6 @@ Position info and display
|
|||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from copy import copy
|
||||
from dataclasses import dataclass
|
||||
from functools import partial
|
||||
from math import floor, copysign
|
||||
|
|
@ -106,8 +105,8 @@ async def update_pnl_from_feed(
|
|||
# compute and display pnl status
|
||||
order_mode.pane.pnl_label.format(
|
||||
pnl=copysign(1, size) * pnl(
|
||||
# live.ppu,
|
||||
order_mode.current_pp.live_pp.ppu,
|
||||
# live.avg_price,
|
||||
order_mode.current_pp.live_pp.avg_price,
|
||||
tick['price'],
|
||||
),
|
||||
)
|
||||
|
|
@ -357,7 +356,7 @@ class SettingsPane:
|
|||
# last historical close price
|
||||
last = feed.shm.array[-1][['close']][0]
|
||||
pnl_value = copysign(1, size) * pnl(
|
||||
tracker.live_pp.ppu,
|
||||
tracker.live_pp.avg_price,
|
||||
last,
|
||||
)
|
||||
|
||||
|
|
@ -477,7 +476,7 @@ class PositionTracker:
|
|||
|
||||
self.alloc = alloc
|
||||
self.startup_pp = startup_pp
|
||||
self.live_pp = copy(startup_pp)
|
||||
self.live_pp = startup_pp.copy()
|
||||
|
||||
view = chart.getViewBox()
|
||||
|
||||
|
|
@ -557,7 +556,7 @@ class PositionTracker:
|
|||
pp = position or self.live_pp
|
||||
|
||||
self.update_line(
|
||||
pp.ppu,
|
||||
pp.avg_price,
|
||||
pp.size,
|
||||
self.chart.linked.symbol.lot_size_digits,
|
||||
)
|
||||
|
|
@ -571,7 +570,7 @@ class PositionTracker:
|
|||
self.hide()
|
||||
|
||||
else:
|
||||
self._level_marker.level = pp.ppu
|
||||
self._level_marker.level = pp.avg_price
|
||||
|
||||
# these updates are critical to avoid lag on view/scene changes
|
||||
self._level_marker.update() # trigger paint
|
||||
|
|
|
|||
|
|
@ -27,20 +27,20 @@ import time
|
|||
from typing import Optional, Dict, Callable, Any
|
||||
import uuid
|
||||
|
||||
from pydantic import BaseModel
|
||||
import tractor
|
||||
import trio
|
||||
from PyQt5.QtCore import Qt
|
||||
|
||||
from .. import config
|
||||
from ..pp import Position
|
||||
from ..clearing._client import open_ems, OrderBook
|
||||
from ..clearing._allocate import (
|
||||
mk_allocator,
|
||||
Position,
|
||||
)
|
||||
from ._style import _font
|
||||
from ..data._source import Symbol
|
||||
from ..data.feed import Feed
|
||||
from ..data.types import Struct
|
||||
from ..log import get_logger
|
||||
from ._editors import LineEditor, ArrowEditor
|
||||
from ._lines import order_line, LevelLine
|
||||
|
|
@ -49,23 +49,17 @@ from ._position import (
|
|||
SettingsPane,
|
||||
)
|
||||
from ._forms import FieldsForm
|
||||
# from ._label import FormatLabel
|
||||
from ._window import MultiStatus
|
||||
from ..clearing._messages import (
|
||||
Order,
|
||||
Status,
|
||||
# BrokerdOrder,
|
||||
# BrokerdStatus,
|
||||
BrokerdPosition,
|
||||
)
|
||||
from ..clearing._messages import Order, BrokerdPosition
|
||||
from ._forms import open_form_input_handling
|
||||
|
||||
|
||||
log = get_logger(__name__)
|
||||
|
||||
|
||||
class Dialog(Struct):
|
||||
'''
|
||||
Trade dialogue meta-data describing the lifetime
|
||||
class OrderDialog(BaseModel):
|
||||
'''Trade dialogue meta-data describing the lifetime
|
||||
of an order submission to ``emsd`` from a chart.
|
||||
|
||||
'''
|
||||
|
|
@ -78,6 +72,41 @@ class Dialog(Struct):
|
|||
msgs: dict[str, dict] = {}
|
||||
fills: Dict[str, Any] = {}
|
||||
|
||||
class Config:
|
||||
arbitrary_types_allowed = True
|
||||
underscore_attrs_are_private = False
|
||||
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
|
||||
level: float,
|
||||
|
||||
# these are all ``partial``-ed in at callback assignment time.
|
||||
line: LevelLine,
|
||||
order: Order,
|
||||
tracker: PositionTracker,
|
||||
|
||||
) -> None:
|
||||
'''A callback applied for each level change to the line
|
||||
which will recompute the order size based on allocator
|
||||
settings. this is assigned inside
|
||||
``OrderMode.line_from_order()``
|
||||
|
||||
'''
|
||||
# NOTE: the ``Order.account`` is set at order stage time
|
||||
# inside ``OrderMode.line_from_order()``.
|
||||
order_info = tracker.alloc.next_order_info(
|
||||
startup_pp=tracker.startup_pp,
|
||||
live_pp=tracker.live_pp,
|
||||
price=level,
|
||||
action=order.action,
|
||||
)
|
||||
line.update_labels(order_info)
|
||||
|
||||
# update bound-in staged order
|
||||
order.price = level
|
||||
order.size = order_info['size']
|
||||
|
||||
|
||||
@dataclass
|
||||
class OrderMode:
|
||||
|
|
@ -114,7 +143,7 @@ class OrderMode:
|
|||
current_pp: Optional[PositionTracker] = None
|
||||
active: bool = False
|
||||
name: str = 'order'
|
||||
dialogs: dict[str, Dialog] = field(default_factory=dict)
|
||||
dialogs: dict[str, OrderDialog] = field(default_factory=dict)
|
||||
|
||||
_colors = {
|
||||
'alert': 'alert_yellow',
|
||||
|
|
@ -123,45 +152,12 @@ class OrderMode:
|
|||
}
|
||||
_staged_order: Optional[Order] = None
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
self,
|
||||
level: float,
|
||||
|
||||
# these are all ``partial``-ed in at callback assignment time.
|
||||
line: LevelLine,
|
||||
order: Order,
|
||||
tracker: PositionTracker,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
A callback applied for each level change to the line
|
||||
which will recompute the order size based on allocator
|
||||
settings. this is assigned inside
|
||||
``OrderMode.line_from_order()``
|
||||
|
||||
'''
|
||||
# NOTE: the ``Order.account`` is set at order stage time inside
|
||||
# ``OrderMode.line_from_order()`` or is inside ``Order`` msg
|
||||
# field for loaded orders.
|
||||
order_info = tracker.alloc.next_order_info(
|
||||
startup_pp=tracker.startup_pp,
|
||||
live_pp=tracker.live_pp,
|
||||
price=level,
|
||||
action=order.action,
|
||||
)
|
||||
line.update_labels(order_info)
|
||||
|
||||
# update bound-in staged order
|
||||
order.price = level
|
||||
order.size = order_info['size']
|
||||
|
||||
# when an order is changed we flip the settings side-pane to
|
||||
# reflect the corresponding account and pos info.
|
||||
self.pane.on_ui_settings_change('account', order.account)
|
||||
|
||||
def line_from_order(
|
||||
self,
|
||||
|
||||
order: Order,
|
||||
symbol: Symbol,
|
||||
|
||||
**line_kwargs,
|
||||
|
||||
) -> LevelLine:
|
||||
|
|
@ -179,8 +175,8 @@ class OrderMode:
|
|||
color=self._colors[order.action],
|
||||
|
||||
dotted=True if (
|
||||
order.exec_mode == 'dark'
|
||||
and order.action != 'alert'
|
||||
order.exec_mode == 'dark' and
|
||||
order.action != 'alert'
|
||||
) else False,
|
||||
|
||||
**line_kwargs,
|
||||
|
|
@ -190,12 +186,10 @@ class OrderMode:
|
|||
# immediately
|
||||
if order.action != 'alert':
|
||||
line._on_level_change = partial(
|
||||
self.on_level_change_update_next_order_info,
|
||||
on_level_change_update_next_order_info,
|
||||
line=line,
|
||||
order=order,
|
||||
# use the corresponding position tracker for the
|
||||
# order's account.
|
||||
tracker=self.trackers[order.account],
|
||||
tracker=self.current_pp,
|
||||
)
|
||||
|
||||
else:
|
||||
|
|
@ -244,6 +238,8 @@ class OrderMode:
|
|||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
symbol,
|
||||
|
||||
show_markers=True,
|
||||
# just for the stage line to avoid
|
||||
# flickering while moving the cursor
|
||||
|
|
@ -255,6 +251,7 @@ class OrderMode:
|
|||
# prevent flickering of marker while moving/tracking cursor
|
||||
only_show_markers_on_hover=False,
|
||||
)
|
||||
|
||||
line = self.lines.stage_line(line)
|
||||
|
||||
# hide crosshair y-line and label
|
||||
|
|
@ -267,26 +264,28 @@ class OrderMode:
|
|||
|
||||
def submit_order(
|
||||
self,
|
||||
send_msg: bool = True,
|
||||
order: Optional[Order] = None,
|
||||
|
||||
) -> Dialog:
|
||||
'''
|
||||
Send execution order to EMS return a level line to
|
||||
) -> OrderDialog:
|
||||
'''Send execution order to EMS return a level line to
|
||||
represent the order on a chart.
|
||||
|
||||
'''
|
||||
if not order:
|
||||
staged = self._staged_order
|
||||
# apply order fields for ems
|
||||
oid = str(uuid.uuid4())
|
||||
order = staged.copy()
|
||||
order.oid = oid
|
||||
staged = self._staged_order
|
||||
symbol: Symbol = staged.symbol
|
||||
oid = str(uuid.uuid4())
|
||||
|
||||
order.symbol = order.symbol.front_fqsn()
|
||||
# format order data for ems
|
||||
fqsn = symbol.front_fqsn()
|
||||
order = staged.copy(
|
||||
update={
|
||||
'symbol': fqsn,
|
||||
'oid': oid,
|
||||
}
|
||||
)
|
||||
|
||||
line = self.line_from_order(
|
||||
order,
|
||||
symbol,
|
||||
|
||||
show_markers=True,
|
||||
only_show_markers_on_hover=True,
|
||||
|
|
@ -304,17 +303,17 @@ class OrderMode:
|
|||
# color once the submission ack arrives.
|
||||
self.lines.submit_line(
|
||||
line=line,
|
||||
uuid=order.oid,
|
||||
uuid=oid,
|
||||
)
|
||||
|
||||
dialog = Dialog(
|
||||
uuid=order.oid,
|
||||
dialog = OrderDialog(
|
||||
uuid=oid,
|
||||
order=order,
|
||||
symbol=order.symbol,
|
||||
symbol=symbol,
|
||||
line=line,
|
||||
last_status_close=self.multistatus.open_status(
|
||||
f'submitting {order.exec_mode}-{order.action}',
|
||||
final_msg=f'submitted {order.exec_mode}-{order.action}',
|
||||
f'submitting {self._trigger_type}-{order.action}',
|
||||
final_msg=f'submitted {self._trigger_type}-{order.action}',
|
||||
clear_on_next=True,
|
||||
)
|
||||
)
|
||||
|
|
@ -324,21 +323,14 @@ class OrderMode:
|
|||
|
||||
# enter submission which will be popped once a response
|
||||
# from the EMS is received to move the order to a different# status
|
||||
self.dialogs[order.oid] = dialog
|
||||
self.dialogs[oid] = dialog
|
||||
|
||||
# hook up mouse drag handlers
|
||||
line._on_drag_start = self.order_line_modify_start
|
||||
line._on_drag_end = self.order_line_modify_complete
|
||||
|
||||
# send order cmd to ems
|
||||
if send_msg:
|
||||
self.book.send(order)
|
||||
else:
|
||||
# just register for control over this order
|
||||
# TODO: some kind of mini-perms system here based on
|
||||
# an out-of-band tagging/auth sub-sys for multiplayer
|
||||
# order control?
|
||||
self.book._sent_orders[order.oid] = order
|
||||
self.book.send(order)
|
||||
|
||||
return dialog
|
||||
|
||||
|
|
@ -376,7 +368,7 @@ class OrderMode:
|
|||
self,
|
||||
uuid: str
|
||||
|
||||
) -> Dialog:
|
||||
) -> OrderDialog:
|
||||
'''
|
||||
Order submitted status event handler.
|
||||
|
||||
|
|
@ -431,7 +423,7 @@ class OrderMode:
|
|||
self,
|
||||
|
||||
uuid: str,
|
||||
msg: Status,
|
||||
msg: Dict[str, Any],
|
||||
|
||||
) -> None:
|
||||
|
||||
|
|
@ -455,7 +447,7 @@ class OrderMode:
|
|||
|
||||
# TODO: add in standard fill/exec info that maybe we
|
||||
# pack in a broker independent way?
|
||||
f'{msg.resp}: {msg.req.price}',
|
||||
f'{msg["resp"]}: {msg["trigger_price"]}',
|
||||
],
|
||||
)
|
||||
log.runtime(result)
|
||||
|
|
@ -515,7 +507,7 @@ class OrderMode:
|
|||
oid = dialog.uuid
|
||||
|
||||
cancel_status_close = self.multistatus.open_status(
|
||||
f'cancelling order {oid}',
|
||||
f'cancelling order {oid[:6]}',
|
||||
group_key=key,
|
||||
)
|
||||
dialog.last_status_close = cancel_status_close
|
||||
|
|
@ -525,44 +517,6 @@ class OrderMode:
|
|||
|
||||
return ids
|
||||
|
||||
def load_unknown_dialog_from_msg(
|
||||
self,
|
||||
msg: Status,
|
||||
|
||||
) -> Dialog:
|
||||
# NOTE: the `.order` attr **must** be set with the
|
||||
# equivalent order msg in order to be loaded.
|
||||
order = msg.req
|
||||
oid = str(msg.oid)
|
||||
symbol = order.symbol
|
||||
|
||||
# TODO: MEGA UGGG ZONEEEE!
|
||||
src = msg.src
|
||||
if (
|
||||
src
|
||||
and src not in ('dark', 'paperboi')
|
||||
and src not in symbol
|
||||
):
|
||||
fqsn = symbol + '.' + src
|
||||
brokername = src
|
||||
else:
|
||||
fqsn = symbol
|
||||
*head, brokername = fqsn.rsplit('.')
|
||||
|
||||
# fill out complex fields
|
||||
order.oid = str(order.oid)
|
||||
order.brokers = [brokername]
|
||||
order.symbol = Symbol.from_fqsn(
|
||||
fqsn=fqsn,
|
||||
info={},
|
||||
)
|
||||
dialog = self.submit_order(
|
||||
send_msg=False,
|
||||
order=order,
|
||||
)
|
||||
assert self.dialogs[oid] == dialog
|
||||
return dialog
|
||||
|
||||
|
||||
@asynccontextmanager
|
||||
async def open_order_mode(
|
||||
|
|
@ -600,7 +554,6 @@ async def open_order_mode(
|
|||
trades_stream,
|
||||
position_msgs,
|
||||
brokerd_accounts,
|
||||
ems_dialog_msgs,
|
||||
),
|
||||
trio.open_nursery() as tn,
|
||||
|
||||
|
|
@ -624,9 +577,9 @@ async def open_order_mode(
|
|||
providers=symbol.brokers
|
||||
)
|
||||
|
||||
# XXX: ``brokerd`` delivers a set of account names that it
|
||||
# allows use of but the user also can define the accounts they'd
|
||||
# like to use, in order, in their `brokers.toml` file.
|
||||
# XXX: ``brokerd`` delivers a set of account names that it allows
|
||||
# use of but the user also can define the accounts they'd like
|
||||
# to use, in order, in their `brokers.toml` file.
|
||||
accounts = {}
|
||||
for name in brokerd_accounts:
|
||||
# ensure name is in ``brokers.toml``
|
||||
|
|
@ -639,21 +592,10 @@ async def open_order_mode(
|
|||
iter(accounts.keys())
|
||||
) if accounts else 'paper'
|
||||
|
||||
# Pack position messages by account, should only be one-to-one.
|
||||
# NOTE: requires the backend exactly specifies
|
||||
# the expected symbol key in its positions msg.
|
||||
pps_by_account = {}
|
||||
for (broker, acctid), msgs in position_msgs.items():
|
||||
for msg in msgs:
|
||||
|
||||
sym = msg['symbol']
|
||||
if (
|
||||
(sym == symkey) or (
|
||||
# mega-UGH, i think we need to fix the FQSN
|
||||
# stuff sooner then later..
|
||||
sym == symkey.removesuffix(f'.{broker}'))
|
||||
):
|
||||
pps_by_account[acctid] = msg
|
||||
pp_msgs = position_msgs.get(symkey, ())
|
||||
pps_by_account = {msg['account']: msg for msg in pp_msgs}
|
||||
|
||||
# update pp trackers with data relayed from ``brokerd``.
|
||||
for account_name in accounts:
|
||||
|
|
@ -662,10 +604,7 @@ async def open_order_mode(
|
|||
startup_pp = Position(
|
||||
symbol=symbol,
|
||||
size=0,
|
||||
ppu=0,
|
||||
|
||||
# XXX: BLEH, do we care about this on the client side?
|
||||
bsuid=symbol,
|
||||
avg_price=0,
|
||||
)
|
||||
msg = pps_by_account.get(account_name)
|
||||
if msg:
|
||||
|
|
@ -705,7 +644,7 @@ async def open_order_mode(
|
|||
# setup order mode sidepane widgets
|
||||
form: FieldsForm = chart.sidepane
|
||||
form.vbox.setSpacing(
|
||||
int((1 + 5 / 8) * _font.px_size)
|
||||
int((1 + 5/8)*_font.px_size)
|
||||
)
|
||||
|
||||
from ._feedstatus import mk_feed_label
|
||||
|
|
@ -755,7 +694,7 @@ async def open_order_mode(
|
|||
order_pane.order_mode = mode
|
||||
|
||||
# select a pp to track
|
||||
tracker: PositionTracker = trackers[pp_account]
|
||||
tracker = trackers[pp_account]
|
||||
mode.current_pp = tracker
|
||||
tracker.show()
|
||||
tracker.hide_info()
|
||||
|
|
@ -807,186 +746,144 @@ async def open_order_mode(
|
|||
# to handle input since the ems connection is ready
|
||||
started.set()
|
||||
|
||||
for oid, msg in ems_dialog_msgs.items():
|
||||
|
||||
# HACK ALERT: ensure a resp field is filled out since
|
||||
# techincally the call below expects a ``Status``. TODO:
|
||||
# parse into proper ``Status`` equivalents ems-side?
|
||||
# msg.setdefault('resp', msg['broker_details']['resp'])
|
||||
# msg.setdefault('oid', msg['broker_details']['oid'])
|
||||
msg['brokerd_msg'] = msg
|
||||
|
||||
await process_trade_msg(
|
||||
mode,
|
||||
book,
|
||||
msg,
|
||||
)
|
||||
|
||||
tn.start_soon(
|
||||
process_trades_and_update_ui,
|
||||
trades_stream,
|
||||
tn,
|
||||
feed,
|
||||
mode,
|
||||
trades_stream,
|
||||
book,
|
||||
)
|
||||
|
||||
yield mode
|
||||
|
||||
|
||||
async def process_trades_and_update_ui(
|
||||
|
||||
trades_stream: tractor.MsgStream,
|
||||
n: trio.Nursery,
|
||||
feed: Feed,
|
||||
mode: OrderMode,
|
||||
trades_stream: tractor.MsgStream,
|
||||
book: OrderBook,
|
||||
|
||||
) -> None:
|
||||
|
||||
get_index = mode.chart.get_index
|
||||
global _pnl_tasks
|
||||
|
||||
# this is where we receive **back** messages
|
||||
# about executions **from** the EMS actor
|
||||
async for msg in trades_stream:
|
||||
await process_trade_msg(
|
||||
mode,
|
||||
book,
|
||||
msg,
|
||||
)
|
||||
|
||||
fmsg = pformat(msg)
|
||||
log.info(f'Received order msg:\n{fmsg}')
|
||||
|
||||
async def process_trade_msg(
|
||||
mode: OrderMode,
|
||||
book: OrderBook,
|
||||
msg: dict,
|
||||
|
||||
) -> tuple[Dialog, Status]:
|
||||
|
||||
get_index = mode.chart.get_index
|
||||
fmsg = pformat(msg)
|
||||
log.debug(f'Received order msg:\n{fmsg}')
|
||||
name = msg['name']
|
||||
|
||||
if name in (
|
||||
'position',
|
||||
):
|
||||
sym = mode.chart.linked.symbol
|
||||
pp_msg_symbol = msg['symbol'].lower()
|
||||
fqsn = sym.front_fqsn()
|
||||
broker, key = sym.front_feed()
|
||||
if (
|
||||
pp_msg_symbol == fqsn
|
||||
or pp_msg_symbol == fqsn.removesuffix(f'.{broker}')
|
||||
name = msg['name']
|
||||
if name in (
|
||||
'position',
|
||||
):
|
||||
log.info(f'{fqsn} matched pp msg: {fmsg}')
|
||||
tracker = mode.trackers[msg['account']]
|
||||
tracker.live_pp.update_from_msg(msg)
|
||||
# update order pane widgets
|
||||
tracker.update_from_pp()
|
||||
mode.pane.update_status_ui(tracker)
|
||||
sym = mode.chart.linked.symbol
|
||||
pp_msg_symbol = msg['symbol'].lower()
|
||||
fqsn = sym.front_fqsn()
|
||||
broker, key = sym.front_feed()
|
||||
# print(
|
||||
# f'pp msg symbol: {pp_msg_symbol}\n',
|
||||
# f'fqsn: {fqsn}\n',
|
||||
# f'front key: {key}\n',
|
||||
# )
|
||||
|
||||
if tracker.live_pp.size:
|
||||
# display pnl
|
||||
mode.pane.display_pnl(tracker)
|
||||
if (
|
||||
pp_msg_symbol == fqsn.replace(f'.{broker}', '')
|
||||
):
|
||||
tracker = mode.trackers[msg['account']]
|
||||
tracker.live_pp.update_from_msg(msg)
|
||||
# update order pane widgets
|
||||
tracker.update_from_pp()
|
||||
mode.pane.update_status_ui(tracker)
|
||||
|
||||
# short circuit to next msg to avoid
|
||||
# unnecessary msg content lookups
|
||||
return
|
||||
if tracker.live_pp.size:
|
||||
# display pnl
|
||||
mode.pane.display_pnl(tracker)
|
||||
|
||||
msg = Status(**msg)
|
||||
resp = msg.resp
|
||||
oid = msg.oid
|
||||
dialog: Dialog = mode.dialogs.get(oid)
|
||||
# short circuit to next msg to avoid
|
||||
# unnecessary msg content lookups
|
||||
continue
|
||||
|
||||
match msg:
|
||||
case Status(resp='dark_open' | 'open'):
|
||||
resp = msg['resp']
|
||||
oid = msg['oid']
|
||||
|
||||
if dialog is not None:
|
||||
# show line label once order is live
|
||||
mode.on_submit(oid)
|
||||
dialog = mode.dialogs.get(oid)
|
||||
if dialog is None:
|
||||
log.warning(f'received msg for untracked dialog:\n{fmsg}')
|
||||
|
||||
else:
|
||||
log.warning(
|
||||
f'received msg for untracked dialog:\n{fmsg}'
|
||||
)
|
||||
assert msg.resp in ('open', 'dark_open'), f'Unknown msg: {msg}'
|
||||
# TODO: enable pure tracking / mirroring of dialogs
|
||||
# is desired.
|
||||
continue
|
||||
|
||||
sym = mode.chart.linked.symbol
|
||||
fqsn = sym.front_fqsn()
|
||||
order = Order(**msg.req)
|
||||
if (
|
||||
((order.symbol + f'.{msg.src}') == fqsn)
|
||||
# record message to dialog tracking
|
||||
dialog.msgs[oid] = msg
|
||||
|
||||
# a existing dark order for the same symbol
|
||||
or (
|
||||
order.symbol == fqsn
|
||||
and (
|
||||
msg.src in ('dark', 'paperboi')
|
||||
or (msg.src in fqsn)
|
||||
# response to 'action' request (buy/sell)
|
||||
if resp in (
|
||||
'dark_submitted',
|
||||
'broker_submitted'
|
||||
):
|
||||
|
||||
)
|
||||
)
|
||||
):
|
||||
msg.req = order
|
||||
dialog = mode.load_unknown_dialog_from_msg(msg)
|
||||
mode.on_submit(oid)
|
||||
# return dialog, msg
|
||||
# show line label once order is live
|
||||
mode.on_submit(oid)
|
||||
|
||||
case Status(resp='error'):
|
||||
# resp to 'cancel' request or error condition
|
||||
# for action request
|
||||
elif resp in (
|
||||
'broker_cancelled',
|
||||
'broker_inactive',
|
||||
'broker_errored',
|
||||
'dark_cancelled'
|
||||
):
|
||||
# delete level line from view
|
||||
mode.on_cancel(oid)
|
||||
broker_msg = msg.brokerd_msg
|
||||
log.error(
|
||||
f'Order {oid}->{resp} with:\n{pformat(broker_msg)}'
|
||||
)
|
||||
broker_msg = msg['brokerd_msg']
|
||||
log.warning(f'Order {oid} failed with:\n{pformat(broker_msg)}')
|
||||
|
||||
case Status(resp='canceled'):
|
||||
# delete level line from view
|
||||
mode.on_cancel(oid)
|
||||
req = Order(**msg.req)
|
||||
log.cancel(f'Canceled {req.action}:{oid}')
|
||||
|
||||
case Status(
|
||||
resp='triggered',
|
||||
# req=Order(exec_mode='dark') # TODO:
|
||||
req={'exec_mode': 'dark'},
|
||||
elif resp in (
|
||||
'dark_triggered'
|
||||
):
|
||||
# TODO: UX for a "pending" clear/live order
|
||||
log.info(f'Dark order triggered for {fmsg}')
|
||||
|
||||
case Status(
|
||||
resp='triggered',
|
||||
# req=Order(exec_mode='live', action='alert') as req, # TODO
|
||||
req={'exec_mode': 'live', 'action': 'alert'} as req,
|
||||
elif resp in (
|
||||
'alert_triggered'
|
||||
):
|
||||
# should only be one "fill" for an alert
|
||||
# add a triangle and remove the level line
|
||||
req = Order(**req)
|
||||
mode.on_fill(
|
||||
oid,
|
||||
price=req.price,
|
||||
price=msg['trigger_price'],
|
||||
arrow_index=get_index(time.time()),
|
||||
)
|
||||
mode.lines.remove_line(uuid=oid)
|
||||
msg.req = req
|
||||
await mode.on_exec(oid, msg)
|
||||
|
||||
# response to completed 'dialog' for order request
|
||||
case Status(
|
||||
resp='closed',
|
||||
# req=Order() as req, # TODO
|
||||
req=req,
|
||||
# response to completed 'action' request for buy/sell
|
||||
elif resp in (
|
||||
'broker_executed',
|
||||
):
|
||||
msg.req = Order(**req)
|
||||
# right now this is just triggering a system alert
|
||||
await mode.on_exec(oid, msg)
|
||||
mode.lines.remove_line(uuid=oid)
|
||||
|
||||
if msg['brokerd_msg']['remaining'] == 0:
|
||||
mode.lines.remove_line(uuid=oid)
|
||||
|
||||
# each clearing tick is responded individually
|
||||
case Status(resp='fill'):
|
||||
elif resp in (
|
||||
'broker_filled',
|
||||
):
|
||||
|
||||
# handle out-of-piker fills reporting?
|
||||
known_order = book._sent_orders.get(oid)
|
||||
if not known_order:
|
||||
log.warning(f'order {oid} is unknown')
|
||||
return
|
||||
continue
|
||||
|
||||
action = known_order.action
|
||||
details = msg.brokerd_msg
|
||||
details = msg['brokerd_msg']
|
||||
|
||||
# TODO: some kinda progress system
|
||||
mode.on_fill(
|
||||
|
|
@ -1001,9 +898,3 @@ async def process_trade_msg(
|
|||
# TODO: how should we look this up?
|
||||
# tracker = mode.trackers[msg['account']]
|
||||
# tracker.live_pp.fills.append(msg)
|
||||
|
||||
# record message to dialog tracking
|
||||
if dialog:
|
||||
dialog.msgs[oid] = msg
|
||||
|
||||
return dialog, msg
|
||||
|
|
|
|||
|
|
@ -8,6 +8,7 @@
|
|||
# as more graphics stuff gets hashed out.
|
||||
-e git+https://github.com/pikers/pyqtgraph.git@piker_pin#egg=pyqtgraph
|
||||
|
||||
|
||||
# our async client for ``marketstore`` (the tsdb)
|
||||
-e git+https://github.com/pikers/anyio-marketstore.git@master#egg=anyio-marketstore
|
||||
|
||||
|
|
@ -17,4 +18,4 @@
|
|||
|
||||
|
||||
# ``asyncvnc`` for sending interactions to ib-gw inside docker
|
||||
-e git+https://github.com/pikers/asyncvnc.git@main#egg=asyncvnc
|
||||
-e git+https://github.com/pikers/asyncvnc.git@vid_passthrough#egg=asyncvnc
|
||||
|
|
|
|||
4
setup.py
4
setup.py
|
|
@ -41,17 +41,17 @@ setup(
|
|||
},
|
||||
install_requires=[
|
||||
'toml',
|
||||
'tomli', # fastest pure py reader
|
||||
'click',
|
||||
'colorlog',
|
||||
'attrs',
|
||||
'pygments',
|
||||
'colorama', # numba traceback coloring
|
||||
'msgspec', # performant IPC messaging and structs
|
||||
'pydantic', # structured data
|
||||
|
||||
# async
|
||||
'trio',
|
||||
'trio-websocket',
|
||||
'msgspec', # performant IPC messaging
|
||||
'async_generator',
|
||||
|
||||
# from github currently (see requirements.txt)
|
||||
|
|
|
|||
Loading…
Reference in New Issue