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pps_postmo
...
310_plus
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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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@ -38,21 +38,15 @@ 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.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.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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@ -161,23 +155,30 @@ class NonShittyIB(ibis.IB):
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self.client.apiEnd += self.disconnectedEvent
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# map of symbols to contract ids
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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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_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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'mnq.globex',
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'es.globex',
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'mes.globex', # micro
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'mes.globex',
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# cypto$
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'brr.cmecrypto',
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@ -194,46 +195,20 @@ _adhoc_futes_set = {
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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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'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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# map of symbols to contract ids
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_adhoc_symbol_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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# 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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'VALUE', # no idea
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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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@ -286,29 +261,27 @@ class Client:
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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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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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# 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
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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():
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if isinstance(val, Contract):
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fill[key] = asdict(val)
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norm_fills.append(fill)
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return norm_fills
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async def orders(self) -> list[Order]:
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return await self.ib.reqAllOpenOrdersAsync(
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apiOnly=False,
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)
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async def bars(
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self,
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fqsn: str,
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@ -510,14 +483,6 @@ class Client:
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return con
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async def get_con(
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self,
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conid: int,
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) -> Contract:
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return await self.ib.qualifyContractsAsync(
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ibis.Contract(conId=conid)
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)
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async def find_contract(
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self,
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pattern: str,
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@ -588,7 +553,7 @@ class Client:
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# commodities
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elif exch == 'CMDTY': # eg. XAUUSD.CMDTY
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con_kwargs, bars_kwargs = _adhoc_symbol_map[sym]
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con_kwargs, bars_kwargs = _adhoc_cmdty_data_map[sym]
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con = ibis.Commodity(**con_kwargs)
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con.bars_kwargs = bars_kwargs
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@ -846,23 +811,10 @@ _scan_ignore: set[tuple[str, int]] = set()
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def get_config() -> dict[str, Any]:
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conf, path = config.load('brokers')
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conf, path = config.load()
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section = conf.get('ib')
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accounts = section.get('accounts')
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if not accounts:
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raise ValueError(
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'brokers.toml -> `ib.accounts` must be defined\n'
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f'location: {path}'
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)
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names = list(accounts.keys())
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accts = section['accounts'] = bidict(accounts)
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log.info(
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f'brokers.toml defines {len(accts)} accounts: '
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f'{pformat(names)}'
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)
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if section is None:
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log.warning(f'No config section found for ib in {path}')
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return {}
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@ -1038,7 +990,7 @@ async def load_aio_clients(
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for acct, client in _accounts2clients.items():
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log.info(f'Disconnecting {acct}@{client}')
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client.ib.disconnect()
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_client_cache.pop((host, port), None)
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_client_cache.pop((host, port))
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async def load_clients_for_trio(
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@ -1067,6 +1019,9 @@ async def load_clients_for_trio(
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await asyncio.sleep(float('inf'))
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_proxies: dict[str, MethodProxy] = {}
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@acm
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async def open_client_proxies() -> tuple[
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dict[str, MethodProxy],
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@ -1089,14 +1044,13 @@ async def open_client_proxies() -> tuple[
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if cache_hit:
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log.info(f'Re-using cached clients: {clients}')
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proxies = {}
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for acct_name, client in clients.items():
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proxy = await stack.enter_async_context(
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open_client_proxy(client),
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)
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proxies[acct_name] = proxy
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_proxies[acct_name] = proxy
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yield proxies, clients
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yield _proxies, clients
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def get_preferred_data_client(
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@ -1245,13 +1199,11 @@ async def open_client_proxy(
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event_table = {}
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async with (
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to_asyncio.open_channel_from(
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open_aio_client_method_relay,
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client=client,
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event_consumers=event_table,
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) as (first, chan),
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trio.open_nursery() as relay_n,
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):
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File diff suppressed because it is too large
Load Diff
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@ -217,8 +217,8 @@ async def get_bars(
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)
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elif (
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err.code == 162 and
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'HMDS query returned no data' in err.message
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err.code == 162
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and 'HMDS query returned no data' in err.message
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):
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# XXX: this is now done in the storage mgmt layer
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# and we shouldn't implicitly decrement the frame dt
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@ -237,13 +237,6 @@ async def get_bars(
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frame_size=2000,
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)
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# elif (
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# err.code == 162 and
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# 'Trading TWS session is connected from a different IP address' in err.message
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# ):
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# log.warning("ignoring ip address warning")
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# continue
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elif _pacing in msg:
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log.warning(
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@ -916,17 +909,17 @@ async def open_symbol_search(
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# trigger async request
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await trio.sleep(0)
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# # match against our ad-hoc set immediately
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# adhoc_matches = fuzzy.extractBests(
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# pattern,
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# list(_adhoc_futes_set),
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# score_cutoff=90,
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# )
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# log.info(f'fuzzy matched adhocs: {adhoc_matches}')
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# adhoc_match_results = {}
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# if adhoc_matches:
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# # TODO: do we need to pull contract details?
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# adhoc_match_results = {i[0]: {} for i in adhoc_matches}
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# match against our ad-hoc set immediately
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adhoc_matches = fuzzy.extractBests(
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pattern,
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list(_adhoc_futes_set),
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score_cutoff=90,
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)
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log.info(f'fuzzy matched adhocs: {adhoc_matches}')
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adhoc_match_results = {}
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if adhoc_matches:
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# TODO: do we need to pull contract details?
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adhoc_match_results = {i[0]: {} for i in adhoc_matches}
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log.debug(f'fuzzy matching stocks {stock_results}')
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stock_matches = fuzzy.extractBests(
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@ -935,8 +928,7 @@ async def open_symbol_search(
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score_cutoff=50,
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)
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# matches = adhoc_match_results | {
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matches = {
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matches = adhoc_match_results | {
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item[0]: {} for item in stock_matches
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}
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# TODO: we used to deliver contract details
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|
|
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@ -23,10 +23,53 @@ from typing import Optional
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from bidict import bidict
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from pydantic import BaseModel, validator
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# from msgspec import Struct
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from ..data._source import Symbol
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from ..pp import Position
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from ._messages import BrokerdPosition, Status
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class Position(BaseModel):
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'''
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Basic pp (personal position) model with attached fills history.
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This type should be IPC wire ready?
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'''
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symbol: Symbol
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# last size and avg entry price
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size: float
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avg_price: float # TODO: contextual pricing
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# ordered record of known constituent trade messages
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fills: list[Status] = []
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def update_from_msg(
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self,
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msg: BrokerdPosition,
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) -> None:
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# XXX: better place to do this?
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symbol = self.symbol
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lot_size_digits = symbol.lot_size_digits
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avg_price, size = (
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round(msg['avg_price'], ndigits=symbol.tick_size_digits),
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round(msg['size'], ndigits=lot_size_digits),
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)
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self.avg_price = avg_price
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self.size = size
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@property
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def dsize(self) -> float:
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'''
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The "dollar" size of the pp, normally in trading (fiat) unit
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terms.
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'''
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return self.avg_price * self.size
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_size_units = bidict({
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|
@ -130,7 +173,7 @@ class Allocator(BaseModel):
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l_sub_pp = self.units_limit - abs_live_size
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elif size_unit == 'currency':
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live_cost_basis = abs_live_size * live_pp.be_price
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live_cost_basis = abs_live_size * live_pp.avg_price
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slot_size = currency_per_slot / price
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l_sub_pp = (self.currency_limit - live_cost_basis) / price
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|
@ -162,7 +205,7 @@ class Allocator(BaseModel):
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if size_unit == 'currency':
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# compute the "projected" limit's worth of units at the
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# current pp (weighted) price:
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slot_size = currency_per_slot / live_pp.be_price
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slot_size = currency_per_slot / live_pp.avg_price
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else:
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slot_size = u_per_slot
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|
@ -201,12 +244,7 @@ class Allocator(BaseModel):
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if order_size < slot_size:
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# compute a fractional slots size to display
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slots_used = self.slots_used(
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Position(
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symbol=sym,
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size=order_size,
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be_price=price,
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bsuid=sym,
|
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)
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Position(symbol=sym, size=order_size, avg_price=price)
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)
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return {
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|
|
@ -233,8 +271,8 @@ class Allocator(BaseModel):
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abs_pp_size = abs(pp.size)
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if self.size_unit == 'currency':
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# live_currency_size = size or (abs_pp_size * pp.be_price)
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live_currency_size = abs_pp_size * pp.be_price
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# live_currency_size = size or (abs_pp_size * pp.avg_price)
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live_currency_size = abs_pp_size * pp.avg_price
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prop = live_currency_size / self.currency_limit
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else:
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|
|
@ -304,7 +342,7 @@ def mk_allocator(
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# if the current position is already greater then the limit
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# settings, increase the limit to the current position
|
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if alloc.size_unit == 'currency':
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startup_size = startup_pp.size * startup_pp.be_price
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startup_size = startup_pp.size * startup_pp.avg_price
|
||||
|
||||
if startup_size > alloc.currency_limit:
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alloc.currency_limit = round(startup_size, ndigits=2)
|
||||
|
|
|
|||
|
|
@ -289,11 +289,7 @@ class TradesRelay:
|
|||
brokerd_dialogue: tractor.MsgStream
|
||||
|
||||
# map of symbols to dicts of accounts to pp msgs
|
||||
positions: dict[
|
||||
# brokername, acctid
|
||||
tuple[str, str],
|
||||
list[BrokerdPosition],
|
||||
]
|
||||
positions: dict[str, dict[str, BrokerdPosition]]
|
||||
|
||||
# allowed account names
|
||||
accounts: tuple[str]
|
||||
|
|
@ -465,24 +461,18 @@ async def open_brokerd_trades_dialogue(
|
|||
# normalizing them to EMS messages and relaying back to
|
||||
# the piker order client set.
|
||||
|
||||
# locally cache and track positions per account with
|
||||
# a table of (brokername, acctid) -> `BrokerdPosition`
|
||||
# msgs.
|
||||
# locally cache and track positions per account.
|
||||
pps = {}
|
||||
for msg in positions:
|
||||
log.info(f'loading pp: {msg}')
|
||||
|
||||
account = msg['account']
|
||||
|
||||
# TODO: better value error for this which
|
||||
# dumps the account and message and states the
|
||||
# mismatch..
|
||||
assert account in accounts
|
||||
|
||||
pps.setdefault(
|
||||
(broker, account),
|
||||
[],
|
||||
).append(msg)
|
||||
f'{msg["symbol"]}.{broker}',
|
||||
{}
|
||||
)[account] = msg
|
||||
|
||||
relay = TradesRelay(
|
||||
brokerd_dialogue=brokerd_trades_stream,
|
||||
|
|
@ -588,9 +578,11 @@ async def translate_and_relay_brokerd_events(
|
|||
|
||||
relay.positions.setdefault(
|
||||
# NOTE: translate to a FQSN!
|
||||
(broker, sym),
|
||||
[]
|
||||
).append(pos_msg)
|
||||
f'{sym}.{broker}',
|
||||
{}
|
||||
).setdefault(
|
||||
pos_msg['account'], {}
|
||||
).update(pos_msg)
|
||||
|
||||
# fan-out-relay position msgs immediately by
|
||||
# broadcasting updates on all client streams
|
||||
|
|
@ -643,8 +635,8 @@ async def translate_and_relay_brokerd_events(
|
|||
# something is out of order, we don't have an oid for
|
||||
# this broker-side message.
|
||||
log.error(
|
||||
f'Unknown oid: {oid} for msg:\n'
|
||||
f'{pformat(brokerd_msg)}\n'
|
||||
'Unknown oid:{oid} for msg:\n'
|
||||
f'{pformat(brokerd_msg)}'
|
||||
'Unable to relay message to client side!?'
|
||||
)
|
||||
|
||||
|
|
@ -1096,12 +1088,15 @@ async def _emsd_main(
|
|||
|
||||
brokerd_stream = relay.brokerd_dialogue # .clone()
|
||||
|
||||
# flatten out collected pps from brokerd for delivery
|
||||
pp_msgs = {
|
||||
fqsn: list(pps.values())
|
||||
for fqsn, pps in relay.positions.items()
|
||||
}
|
||||
|
||||
# signal to client that we're started and deliver
|
||||
# all known pps and accounts for this ``brokerd``.
|
||||
await ems_ctx.started((
|
||||
relay.positions,
|
||||
list(relay.accounts),
|
||||
))
|
||||
await ems_ctx.started((pp_msgs, list(relay.accounts)))
|
||||
|
||||
# establish 2-way stream with requesting order-client and
|
||||
# begin handling inbound order requests and updates
|
||||
|
|
|
|||
|
|
@ -258,6 +258,6 @@ class BrokerdPosition(BaseModel):
|
|||
broker: str
|
||||
account: str
|
||||
symbol: str
|
||||
currency: str
|
||||
size: float
|
||||
avg_price: float
|
||||
currency: str = ''
|
||||
|
|
|
|||
|
|
@ -31,8 +31,6 @@ import tractor
|
|||
from dataclasses import dataclass
|
||||
|
||||
from .. import data
|
||||
from ..data._source import Symbol
|
||||
from ..pp import Position
|
||||
from ..data._normalize import iterticks
|
||||
from ..data._source import unpack_fqsn
|
||||
from ..log import get_logger
|
||||
|
|
@ -259,14 +257,29 @@ class PaperBoi:
|
|||
)
|
||||
)
|
||||
|
||||
# delegate update to `.pp.Position.lifo_update()`
|
||||
pp = Position(
|
||||
Symbol(key=symbol),
|
||||
size=pp_msg.size,
|
||||
be_price=pp_msg.avg_price,
|
||||
bsuid=symbol,
|
||||
)
|
||||
pp_msg.size, pp_msg.avg_price = pp.lifo_update(size, price)
|
||||
# "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
|
||||
|
||||
# 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())
|
||||
|
||||
|
|
@ -377,8 +390,7 @@ async def handle_order_requests(
|
|||
account = request_msg['account']
|
||||
if account != 'paper':
|
||||
log.error(
|
||||
'This is a paper account,'
|
||||
' only a `paper` selection is valid'
|
||||
'This is a paper account, only a `paper` selection is valid'
|
||||
)
|
||||
await ems_order_stream.send(BrokerdError(
|
||||
oid=request_msg['oid'],
|
||||
|
|
@ -452,7 +464,7 @@ async def trades_dialogue(
|
|||
# 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(({}, ['paper']))
|
||||
await ctx.started(({}, {'paper',}))
|
||||
|
||||
async with (
|
||||
ctx.open_stream() as ems_stream,
|
||||
|
|
|
|||
|
|
@ -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]]:
|
||||
|
|
|
|||
|
|
@ -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]:
|
||||
|
|
|
|||
|
|
@ -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')
|
||||
|
|
@ -374,8 +374,7 @@ async def cascade(
|
|||
'key': dst_shm_token,
|
||||
'first': dst._first.value,
|
||||
'last': dst._last.value,
|
||||
}
|
||||
})
|
||||
}})
|
||||
return tracker, index
|
||||
|
||||
def is_synced(
|
||||
|
|
|
|||
788
piker/pp.py
788
piker/pp.py
|
|
@ -1,788 +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 collections import deque
|
||||
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,
|
||||
)
|
||||
|
||||
from msgspec import Struct
|
||||
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
|
||||
|
||||
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:
|
||||
return toml.dump(ledger, cf)
|
||||
|
||||
|
||||
class Transaction(Struct):
|
||||
# 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".
|
||||
be_price: float
|
||||
|
||||
# unique backend symbol id
|
||||
bsuid: str
|
||||
|
||||
# ordered record of known constituent trade messages
|
||||
clears: dict[
|
||||
Union[str, int, Status], # trade id
|
||||
dict[str, Any], # transaction history summaries
|
||||
] = {}
|
||||
|
||||
expiry: Optional[datetime] = None
|
||||
|
||||
def to_dict(self) -> dict:
|
||||
return {
|
||||
f: getattr(self, f)
|
||||
for f in self.__struct_fields__
|
||||
}
|
||||
|
||||
def to_pretoml(self) -> 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 expiry:
|
||||
d['expiry'] = str(expiry)
|
||||
|
||||
clears_list = []
|
||||
|
||||
for tid, data in clears.items():
|
||||
inline_table = toml.TomlDecoder().get_empty_inline_table()
|
||||
inline_table['tid'] = tid
|
||||
|
||||
for k, v in data.items():
|
||||
inline_table[k] = v
|
||||
|
||||
clears_list.append(inline_table)
|
||||
|
||||
d['clears'] = clears_list
|
||||
|
||||
return d
|
||||
|
||||
def update_from_msg(
|
||||
self,
|
||||
msg: BrokerdPosition,
|
||||
|
||||
) -> None:
|
||||
|
||||
# XXX: better place to do this?
|
||||
symbol = self.symbol
|
||||
|
||||
lot_size_digits = symbol.lot_size_digits
|
||||
be_price, size = (
|
||||
round(
|
||||
msg['avg_price'],
|
||||
ndigits=symbol.tick_size_digits
|
||||
),
|
||||
round(
|
||||
msg['size'],
|
||||
ndigits=lot_size_digits
|
||||
),
|
||||
)
|
||||
|
||||
self.be_price = be_price
|
||||
self.size = size
|
||||
|
||||
@property
|
||||
def dsize(self) -> float:
|
||||
'''
|
||||
The "dollar" size of the pp, normally in trading (fiat) unit
|
||||
terms.
|
||||
|
||||
'''
|
||||
return self.be_price * self.size
|
||||
|
||||
def update(
|
||||
self,
|
||||
t: Transaction,
|
||||
|
||||
) -> None:
|
||||
self.clears[t.tid] = {
|
||||
'cost': t.cost,
|
||||
'price': t.price,
|
||||
'size': t.size,
|
||||
'dt': str(t.dt),
|
||||
}
|
||||
|
||||
def lifo_update(
|
||||
self,
|
||||
size: float,
|
||||
price: float,
|
||||
cost: float = 0,
|
||||
|
||||
# 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.?
|
||||
# dynamic_breakeven_price: bool = False,
|
||||
|
||||
) -> (float, float):
|
||||
'''
|
||||
Incremental update using a LIFO-style weighted mean.
|
||||
|
||||
'''
|
||||
# "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 = self.size + size
|
||||
|
||||
# old size minus the new size gives us size diff with
|
||||
# +ve -> increase in pp size
|
||||
# -ve -> decrease in pp size
|
||||
size_diff = abs(new_size) - abs(self.size)
|
||||
|
||||
if new_size == 0:
|
||||
self.be_price = 0
|
||||
|
||||
elif size_diff > 0:
|
||||
# XXX: LOFI incremental update:
|
||||
# only update the "average price" when
|
||||
# the size increases not when it decreases (i.e. the
|
||||
# position is being made smaller)
|
||||
self.be_price = (
|
||||
# weight of current exec = (size * price) + cost
|
||||
(abs(size) * price)
|
||||
+
|
||||
(copysign(1, new_size) * cost) # transaction cost
|
||||
+
|
||||
# weight of existing be price
|
||||
self.be_price * abs(self.size) # weight of previous pp
|
||||
) / abs(new_size) # normalized by the new size: weighted mean.
|
||||
|
||||
self.size = new_size
|
||||
|
||||
return new_size, self.be_price
|
||||
|
||||
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 = self.size
|
||||
clears_since_zero: deque[tuple(str, dict)] = deque()
|
||||
|
||||
# scan for the last "net zero" position by
|
||||
# iterating clears in reverse.
|
||||
for tid, clear in reversed(self.clears.items()):
|
||||
size -= clear['size']
|
||||
clears_since_zero.appendleft((tid, clear))
|
||||
|
||||
if size == 0:
|
||||
break
|
||||
|
||||
self.clears = dict(clears_since_zero)
|
||||
return self.clears
|
||||
|
||||
|
||||
def update_pps(
|
||||
records: dict[str, Transaction],
|
||||
pps: Optional[dict[str, Position]] = None
|
||||
|
||||
) -> dict[str, Position]:
|
||||
'''
|
||||
Compile a set of positions from a trades ledger.
|
||||
|
||||
'''
|
||||
pps: dict[str, Position] = pps or {}
|
||||
|
||||
# lifo update all pps from records
|
||||
for r in records:
|
||||
|
||||
pp = pps.setdefault(
|
||||
r.bsuid,
|
||||
|
||||
# if no existing pp, allocate fresh one.
|
||||
Position(
|
||||
Symbol.from_fqsn(
|
||||
r.fqsn,
|
||||
info={},
|
||||
),
|
||||
size=0.0,
|
||||
be_price=0.0,
|
||||
bsuid=r.bsuid,
|
||||
expiry=r.expiry,
|
||||
)
|
||||
)
|
||||
|
||||
# don't do updates for ledger records we already have
|
||||
# included in the current pps state.
|
||||
if r.tid in pp.clears:
|
||||
# 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
|
||||
|
||||
# lifo style "breakeven" price calc
|
||||
pp.lifo_update(
|
||||
r.size,
|
||||
r.price,
|
||||
|
||||
# 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=2*r.cost,
|
||||
)
|
||||
|
||||
# track clearing data
|
||||
pp.update(r)
|
||||
|
||||
return pps
|
||||
|
||||
|
||||
def load_pps_from_ledger(
|
||||
|
||||
brokername: str,
|
||||
acctname: str,
|
||||
|
||||
# post normalization filter on ledger entries to be processed
|
||||
filter_by: Optional[list[dict]] = None,
|
||||
|
||||
) -> 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 pass these into the position processing routine
|
||||
and deliver the two dict-sets of the active and closed pps.
|
||||
|
||||
'''
|
||||
with open_trade_ledger(
|
||||
brokername,
|
||||
acctname,
|
||||
) as ledger:
|
||||
if not ledger:
|
||||
# null case, no ledger file with content
|
||||
return {}
|
||||
|
||||
brokermod = get_brokermod(brokername)
|
||||
src_records = brokermod.norm_trade_records(ledger)
|
||||
|
||||
if filter_by:
|
||||
bsuids = set(filter_by)
|
||||
records = list(filter(lambda r: r.bsuid in bsuids, src_records))
|
||||
else:
|
||||
records = src_records
|
||||
|
||||
return update_pps(records)
|
||||
|
||||
|
||||
def get_pps(
|
||||
brokername: str,
|
||||
acctids: Optional[set[str]] = set(),
|
||||
|
||||
) -> dict[str, dict[str, Position]]:
|
||||
'''
|
||||
Read out broker-specific position entries from
|
||||
incremental update file: ``pps.toml``.
|
||||
|
||||
'''
|
||||
conf, path = config.load(
|
||||
'pps',
|
||||
# load dicts as inlines to preserve compactness
|
||||
# _dict=toml.decoder.InlineTableDict,
|
||||
)
|
||||
|
||||
all_active = {}
|
||||
all_closed = {}
|
||||
|
||||
# try to load any ledgers if no section found
|
||||
bconf, path = config.load('brokers')
|
||||
accounts = bconf[brokername]['accounts']
|
||||
for account in accounts:
|
||||
|
||||
# TODO: instead of this filter we could
|
||||
# always send all known pps but just not audit
|
||||
# them since an active client might not be up?
|
||||
if (
|
||||
acctids and
|
||||
f'{brokername}.{account}' not in acctids
|
||||
):
|
||||
continue
|
||||
|
||||
active, closed = update_pps_conf(brokername, account)
|
||||
all_active.setdefault(account, {}).update(active)
|
||||
all_closed.setdefault(account, {}).update(closed)
|
||||
|
||||
return all_active, all_closed
|
||||
|
||||
|
||||
# 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)
|
||||
|
||||
|
||||
def load_pps_from_toml(
|
||||
brokername: str,
|
||||
acctid: str,
|
||||
|
||||
# XXX: there is an edge case here where we may want to either audit
|
||||
# the retrieved ``pps.toml`` output or reprocess it since there was
|
||||
# an error on write on the last attempt to update the state file
|
||||
# even though the ledger *was* updated. For this cases we allow the
|
||||
# caller to pass in a symbol set they'd like to reload from the
|
||||
# underlying ledger to be reprocessed in computing pps state.
|
||||
reload_records: Optional[dict[str, str]] = None,
|
||||
update_from_ledger: bool = False,
|
||||
|
||||
) -> tuple[dict, dict[str, Position]]:
|
||||
'''
|
||||
Load and marshal to objects all pps from either an existing
|
||||
``pps.toml`` config, or from scratch from a ledger file when
|
||||
none yet exists.
|
||||
|
||||
'''
|
||||
conf, path = config.load('pps')
|
||||
brokersection = conf.setdefault(brokername, {})
|
||||
pps = brokersection.setdefault(acctid, {})
|
||||
pp_objs = {}
|
||||
|
||||
# no pps entry yet for this broker/account so parse any available
|
||||
# ledgers to build a brand new pps state.
|
||||
if not pps or update_from_ledger:
|
||||
pp_objs = load_pps_from_ledger(
|
||||
brokername,
|
||||
acctid,
|
||||
)
|
||||
|
||||
# Reload symbol specific ledger entries if requested by the
|
||||
# caller **AND** none exist in the current pps state table.
|
||||
elif (
|
||||
pps and reload_records
|
||||
):
|
||||
# no pps entry yet for this broker/account so parse
|
||||
# any available ledgers to build a pps state.
|
||||
pp_objs = load_pps_from_ledger(
|
||||
brokername,
|
||||
acctid,
|
||||
filter_by=reload_records,
|
||||
)
|
||||
|
||||
if not pps:
|
||||
log.warning(
|
||||
f'No trade history could be loaded for {brokername}:{acctid}'
|
||||
)
|
||||
|
||||
# unmarshal/load ``pps.toml`` config entries into object form.
|
||||
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``).
|
||||
pp = pp_objs.get(bsuid)
|
||||
if pp:
|
||||
clears = pp.clears
|
||||
else:
|
||||
clears = {}
|
||||
|
||||
for clears_table in clears_list:
|
||||
tid = clears_table.pop('tid')
|
||||
clears[tid] = clears_table
|
||||
|
||||
size = entry['size']
|
||||
|
||||
# TODO: an audit system for existing pps entries?
|
||||
# if not len(clears) == abs(size):
|
||||
# pp_objs = load_pps_from_ledger(
|
||||
# brokername,
|
||||
# acctid,
|
||||
# filter_by=reload_records,
|
||||
# )
|
||||
# reason = 'size <-> len(clears) mismatch'
|
||||
# raise ValueError(
|
||||
# '`pps.toml` entry is invalid:\n'
|
||||
# f'{fqsn}\n'
|
||||
# f'{pformat(entry)}'
|
||||
# )
|
||||
|
||||
expiry = entry.get('expiry')
|
||||
if expiry:
|
||||
expiry = pendulum.parse(expiry)
|
||||
|
||||
pp_objs[bsuid] = Position(
|
||||
Symbol.from_fqsn(fqsn, info={}),
|
||||
size=size,
|
||||
be_price=entry['be_price'],
|
||||
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!
|
||||
clears=clears,
|
||||
)
|
||||
|
||||
return conf, pp_objs
|
||||
|
||||
|
||||
def update_pps_conf(
|
||||
brokername: str,
|
||||
acctid: str,
|
||||
|
||||
trade_records: Optional[list[Transaction]] = None,
|
||||
ledger_reload: Optional[dict[str, str]] = None,
|
||||
|
||||
) -> tuple[
|
||||
dict[str, Position],
|
||||
dict[str, Position],
|
||||
]:
|
||||
|
||||
# this maps `.bsuid` values to positions
|
||||
pp_objs: dict[Union[str, int], Position]
|
||||
|
||||
if trade_records and ledger_reload:
|
||||
for r in trade_records:
|
||||
ledger_reload[r.bsuid] = r.fqsn
|
||||
|
||||
conf, pp_objs = load_pps_from_toml(
|
||||
brokername,
|
||||
acctid,
|
||||
reload_records=ledger_reload,
|
||||
)
|
||||
|
||||
# update all pp objects from any (new) trade records which
|
||||
# were passed in (aka incremental update case).
|
||||
if trade_records:
|
||||
pp_objs = update_pps(
|
||||
trade_records,
|
||||
pps=pp_objs,
|
||||
)
|
||||
|
||||
pp_entries = {} # dict-serialize all active pps
|
||||
# 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.
|
||||
closed_pp_objs: dict[str, Position] = {}
|
||||
|
||||
for bsuid in list(pp_objs):
|
||||
pp = pp_objs[bsuid]
|
||||
|
||||
# XXX: debug hook for size mismatches
|
||||
# if bsuid == 447767096:
|
||||
# breakpoint()
|
||||
|
||||
pp.minimize_clears()
|
||||
|
||||
if (
|
||||
pp.size == 0
|
||||
|
||||
# drop time-expired positions (normally derivatives)
|
||||
or (pp.expiry and pp.expiry < now())
|
||||
):
|
||||
# if expired the position is closed
|
||||
pp.size = 0
|
||||
|
||||
# position is already closed aka "net zero"
|
||||
closed_pp = pp_objs.pop(bsuid, None)
|
||||
if closed_pp:
|
||||
closed_pp_objs[bsuid] = closed_pp
|
||||
|
||||
else:
|
||||
# serialize to pre-toml form
|
||||
asdict = pp.to_pretoml()
|
||||
|
||||
if pp.expiry is None:
|
||||
asdict.pop('expiry', None)
|
||||
|
||||
# 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 = asdict.pop('symbol')
|
||||
fqsn = s.front_fqsn()
|
||||
print(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.rstrip(f'.{brokername}')
|
||||
|
||||
pp_entries[brokerless_key] = asdict
|
||||
|
||||
conf[brokername][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(
|
||||
conf,
|
||||
'pps',
|
||||
encoder=enc,
|
||||
)
|
||||
|
||||
# deliver object form of all pps in table to caller
|
||||
return pp_objs, closed_pp_objs
|
||||
|
||||
|
||||
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('.')
|
||||
update_pps_conf(broker, name)
|
||||
|
|
@ -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
|
||||
|
|
@ -761,18 +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():
|
||||
|
|
@ -869,8 +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:
|
||||
'''
|
||||
|
|
@ -931,11 +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:
|
||||
|
|
@ -1269,6 +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(),
|
||||
|
|
@ -1300,18 +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:
|
||||
|
|
@ -226,9 +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,
|
||||
|
|
@ -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
|
||||
|
||||
|
|
@ -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,
|
||||
)
|
||||
|
||||
|
|
|
|||
|
|
@ -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
|
||||
|
|
|
|||
|
|
@ -639,25 +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)
|
||||
|
|
@ -781,7 +776,6 @@ async def open_vlm_displays(
|
|||
|
||||
) -> None:
|
||||
for name in names:
|
||||
|
||||
if 'dark' in name:
|
||||
color = dark_vlm_color
|
||||
elif 'rate' in name:
|
||||
|
|
|
|||
|
|
@ -923,7 +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
|
||||
|
|
|
|||
|
|
@ -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.be_price,
|
||||
order_mode.current_pp.live_pp.be_price,
|
||||
# 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.be_price,
|
||||
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.be_price,
|
||||
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.be_price
|
||||
self._level_marker.level = pp.avg_price
|
||||
|
||||
# these updates are critical to avoid lag on view/scene changes
|
||||
self._level_marker.update() # trigger paint
|
||||
|
|
|
|||
|
|
@ -33,10 +33,10 @@ 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
|
||||
|
|
@ -59,8 +59,7 @@ log = get_logger(__name__)
|
|||
|
||||
|
||||
class OrderDialog(BaseModel):
|
||||
'''
|
||||
Trade dialogue meta-data describing the lifetime
|
||||
'''Trade dialogue meta-data describing the lifetime
|
||||
of an order submission to ``emsd`` from a chart.
|
||||
|
||||
'''
|
||||
|
|
@ -88,8 +87,7 @@ def on_level_change_update_next_order_info(
|
|||
tracker: PositionTracker,
|
||||
|
||||
) -> None:
|
||||
'''
|
||||
A callback applied for each level change to the line
|
||||
'''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()``
|
||||
|
|
@ -579,9 +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``
|
||||
|
|
@ -594,21 +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:
|
||||
|
|
@ -617,10 +604,7 @@ async def open_order_mode(
|
|||
startup_pp = Position(
|
||||
symbol=symbol,
|
||||
size=0,
|
||||
be_price=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:
|
||||
|
|
|
|||
Loading…
Reference in New Issue