decimal_prices_thru_ems: yeah, just suck it up and do Order.price: Decimal for now.. #44
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@ -2,22 +2,29 @@
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from decimal import (
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Decimal,
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)
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from pathlib import Path
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import numpy as np
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import polars as pl
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# import polars as pl
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import trio
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import tractor
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from datetime import datetime
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from pprint import pformat
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# from pprint import pformat
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from piker.brokers.deribit.api import (
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get_client,
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maybe_open_oi_feed,
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)
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from piker.storage import open_storage_client, StorageClient
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from piker.log import get_logger
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import sys
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import pyqtgraph as pg
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from PyQt6 import QtCore
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from pyqtgraph import ScatterPlotItem, InfiniteLine
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from PyQt6.QtWidgets import QApplication
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from cryptofeed.symbols import Symbol
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log = get_logger(__name__)
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# XXX, use 2 newlines between top level LOC (even between these
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# imports and the next function line ;)
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@ -192,10 +199,13 @@ async def max_pain_daemon(
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),
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], dtype=dtype)
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path = await client.write_oi(
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path: Path = await client.write_oi(
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col_sym_key,
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data,
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)
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# TODO, use std logging like this throughout for status
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# emissions on console!
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log.info(f'Wrote OI history to {path}')
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def get_max_pain(
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oi_by_strikes: dict[str, dict[str, Decimal]]
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@ -258,7 +268,7 @@ async def max_pain_daemon(
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# hardcoded to something, sorry.)
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timestamp = msg[1]['timestamp']
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max_pain = get_max_pain(oi_by_strikes)
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intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
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# intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
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# graph here
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plot_graph(oi_by_strikes, plot)
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@ -298,14 +308,27 @@ async def max_pain_daemon(
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async def main():
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async with tractor.open_nursery() as n:
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async with tractor.open_nursery(
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debug_mode=True,
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loglevel='info',
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) as an:
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from tractor import log
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log.get_console_log(level='info')
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p: tractor.Portal = await n.start_actor(
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ptl: tractor.Portal = await an.start_actor(
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'max_pain_daemon',
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enable_modules=[__name__],
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infect_asyncio=True,
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# ^TODO, we can actually run this in the root-actor now
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# if needed as per 2nd "section" in,
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# https://pikers.dev/goodboy/tractor/pulls/2
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#
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# NOTE, will first require us porting to modern
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# `tractor:main` though ofc!
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)
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await p.run(max_pain_daemon)
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await ptl.run(max_pain_daemon)
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if __name__ == '__main__':
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trio.run(main)
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@ -42,7 +42,6 @@ from ._mktinfo import (
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dec_digits,
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digits_to_dec,
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MktPair,
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Symbol,
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unpack_fqme,
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_derivs as DerivTypes,
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)
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@ -60,7 +59,6 @@ __all__ = [
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'Asset',
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'MktPair',
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'Position',
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'Symbol',
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'Transaction',
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'TransactionLedger',
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'dec_digits',
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@ -390,8 +390,8 @@ class MktPair(Struct, frozen=True):
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cls,
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fqme: str,
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price_tick: float | str,
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size_tick: float | str,
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price_tick: float|str,
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size_tick: float|str,
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bs_mktid: str,
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broker: str | None = None,
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@ -677,90 +677,3 @@ def unpack_fqme(
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# '.'.join([mkt_ep, venue]),
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suffix,
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)
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class Symbol(Struct):
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'''
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I guess this is some kinda container thing for dealing with
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all the different meta-data formats from brokers?
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'''
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key: str
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broker: str = ''
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venue: str = ''
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# precision descriptors for price and vlm
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tick_size: Decimal = Decimal('0.01')
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lot_tick_size: Decimal = Decimal('0.0')
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suffix: str = ''
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broker_info: dict[str, dict[str, Any]] = {}
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@classmethod
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def from_fqme(
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cls,
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fqsn: str,
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info: dict[str, Any],
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) -> Symbol:
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broker, mktep, venue, suffix = unpack_fqme(fqsn)
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tick_size = info.get('price_tick_size', 0.01)
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lot_size = info.get('lot_tick_size', 0.0)
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return Symbol(
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broker=broker,
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key=mktep,
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tick_size=tick_size,
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lot_tick_size=lot_size,
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venue=venue,
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suffix=suffix,
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broker_info={broker: info},
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)
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@property
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def type_key(self) -> str:
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return list(self.broker_info.values())[0]['asset_type']
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@property
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def tick_size_digits(self) -> int:
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return float_digits(self.tick_size)
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@property
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def lot_size_digits(self) -> int:
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return float_digits(self.lot_tick_size)
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@property
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def price_tick(self) -> Decimal:
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return Decimal(str(self.tick_size))
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@property
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def size_tick(self) -> Decimal:
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return Decimal(str(self.lot_tick_size))
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@property
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def broker(self) -> str:
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return list(self.broker_info.keys())[0]
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@property
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def fqme(self) -> str:
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return maybe_cons_tokens([
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self.key, # final "pair name" (eg. qqq[/usd], btcusdt)
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self.venue,
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self.suffix, # includes expiry and other con info
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self.broker,
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])
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def quantize(
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self,
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size: float,
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) -> Decimal:
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digits = float_digits(self.lot_tick_size)
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return Decimal(size).quantize(
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Decimal(f'1.{"0".ljust(digits, "0")}'),
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rounding=ROUND_HALF_EVEN
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)
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# NOTE: when cast to `str` return fqme
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def __str__(self) -> str:
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return self.fqme
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@ -374,9 +374,14 @@ class Client:
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pair: Pair = pair_type(**item)
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except Exception as e:
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e.add_note(
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"\nDon't panic, prolly stupid binance changed their symbology schema again..\n"
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'Check out their API docs here:\n\n'
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'https://binance-docs.github.io/apidocs/spot/en/#exchange-information'
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f'\n'
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f'New or removed field we need to codify!\n'
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f'pair-type: {pair_type!r}\n'
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f'\n'
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f"Don't panic, prolly stupid binance changed their symbology schema again..\n"
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f'Check out their API docs here:\n'
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f'\n'
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f'https://binance-docs.github.io/apidocs/spot/en/#exchange-information\n'
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)
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raise
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pair_table[pair.symbol.upper()] = pair
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@ -144,6 +144,11 @@ class SpotPair(Pair, frozen=True):
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permissions: list[str]
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permissionSets: list[list[str]]
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# can the paint botz creat liq gaps even easier on this asset?
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# Bp
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# https://developers.binance.com/docs/binance-spot-api-docs/faqs/order_amend_keep_priority
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amendAllowed: bool
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# NOTE: see `.data._symcache.SymbologyCache.load()` for why
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ns_path: str = 'piker.brokers.binance:SpotPair'
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@ -328,7 +328,6 @@ class Client:
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'''
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Return the set of currencies for deribit.
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'''
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assets = {}
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resp = await self._json_rpc_auth_wrapper(
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'public/get_currencies',
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params={}
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|
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@ -175,9 +175,8 @@ async def handle_order_requests(
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case {
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'account': 'kraken.spot' as account,
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'action': action,
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} if action in {'buy', 'sell'}:
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'action': 'buy'|'sell',
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}:
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# validate
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order = BrokerdOrder(**msg)
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@ -262,6 +261,12 @@ async def handle_order_requests(
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} | extra
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log.info(f'Submitting WS order request:\n{pformat(req)}')
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# NOTE HOWTO, debug order requests
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#
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# if 'XRP' in pair:
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# await tractor.pause()
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await ws.send_msg(req)
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# placehold for sanity checking in relay loop
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@ -1085,6 +1090,8 @@ async def handle_order_updates(
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f'Failed to {action} order {reqid}:\n'
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f'{errmsg}'
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)
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# if tractor._state.debug_mode():
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# await tractor.pause()
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symbol: str = 'N/A'
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if chain := apiflows.get(reqid):
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|
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@ -76,7 +76,6 @@ if TYPE_CHECKING:
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# TODO: numba all of this
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def mk_check(
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trigger_price: float,
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known_last: float,
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action: str,
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@ -162,7 +161,7 @@ async def clear_dark_triggers(
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router: Router,
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brokerd_orders_stream: tractor.MsgStream,
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quote_stream: tractor.ReceiveMsgStream, # noqa
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quote_stream: tractor.MsgStream,
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broker: str,
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fqme: str,
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@ -178,6 +177,7 @@ async def clear_dark_triggers(
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'''
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# XXX: optimize this for speed!
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# TODO:
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# - port to the new ringbuf stuff in `tractor.ipc`!
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# - numba all this!
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# - this stream may eventually contain multiple symbols
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quote_stream._raise_on_lag = False
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@ -1182,12 +1182,16 @@ async def process_client_order_cmds(
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submitting live orders immediately if requested by the client.
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'''
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# cmd: dict
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# TODO, only allow `msgspec.Struct` form!
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cmd: dict
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async for cmd in client_order_stream:
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log.info(f'Received order cmd:\n{pformat(cmd)}')
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log.info(
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f'Received order cmd:\n'
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f'{pformat(cmd)}\n'
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)
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# CAWT DAMN we need struct support!
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oid = str(cmd['oid'])
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oid: str = str(cmd['oid'])
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# register this stream as an active order dialog (msg flow) for
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# this order id such that translated message from the brokerd
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@ -1293,7 +1297,7 @@ async def process_client_order_cmds(
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case {
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'oid': oid,
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'symbol': fqme,
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'price': trigger_price,
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'price': price,
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'size': size,
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'action': ('buy' | 'sell') as action,
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'exec_mode': ('live' | 'paper'),
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@ -1325,7 +1329,7 @@ async def process_client_order_cmds(
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symbol=sym,
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action=action,
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price=trigger_price,
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price=price,
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size=size,
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account=req.account,
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)
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@ -1347,7 +1351,11 @@ async def process_client_order_cmds(
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# (``translate_and_relay_brokerd_events()`` above) will
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# handle relaying the ems side responses back to
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# the client/cmd sender from this request
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log.info(f'Sending live order to {broker}:\n{pformat(msg)}')
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log.info(
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f'Sending live order to {broker}:\n'
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f'{pformat(msg)}'
|
||||
)
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|
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await brokerd_order_stream.send(msg)
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|
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# an immediate response should be ``BrokerdOrderAck``
|
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|
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@ -1363,7 +1371,7 @@ async def process_client_order_cmds(
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case {
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'oid': oid,
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'symbol': fqme,
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'price': trigger_price,
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'price': price,
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'size': size,
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'exec_mode': exec_mode,
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'action': action,
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|
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@ -1391,7 +1399,12 @@ async def process_client_order_cmds(
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if isnan(last):
|
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last = flume.rt_shm.array[-1]['close']
|
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|
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pred = mk_check(trigger_price, last, action)
|
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trigger_price: float = float(price)
|
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pred = mk_check(
|
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trigger_price,
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last,
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action,
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)
|
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|
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# NOTE: for dark orders currently we submit
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# the triggered live order at a price 5 ticks
|
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|
|
@ -1531,7 +1544,7 @@ async def _emsd_main(
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ctx: tractor.Context,
|
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fqme: str,
|
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exec_mode: str, # ('paper', 'live')
|
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loglevel: str | None = None,
|
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loglevel: str|None = None,
|
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|
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) -> tuple[
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dict[
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|
|
|
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|
|
@ -19,6 +19,7 @@ Clearing sub-system message and protocols.
|
|||
|
||||
"""
|
||||
from __future__ import annotations
|
||||
from decimal import Decimal
|
||||
from typing import (
|
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Literal,
|
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)
|
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|
|
@ -71,7 +72,15 @@ class Order(Struct):
|
|||
symbol: str # | MktPair
|
||||
account: str # should we set a default as '' ?
|
||||
|
||||
price: float
|
||||
# https://docs.python.org/3/library/decimal.html#decimal-objects
|
||||
#
|
||||
# ?TODO? decimal usage throughout?
|
||||
# -[ ] possibly leverage the `Encoder(decimal_format='number')`
|
||||
# bit?
|
||||
# |_https://jcristharif.com/msgspec/supported-types.html#decimal
|
||||
# -[ ] should we also use it for .size?
|
||||
#
|
||||
price: Decimal
|
||||
size: float # -ve is "sell", +ve is "buy"
|
||||
|
||||
brokers: list[str] = []
|
||||
|
|
@ -178,7 +187,7 @@ class BrokerdOrder(Struct):
|
|||
time_ns: int
|
||||
|
||||
symbol: str # fqme
|
||||
price: float
|
||||
price: Decimal
|
||||
size: float
|
||||
|
||||
# TODO: if we instead rely on a +ve/-ve size to determine
|
||||
|
|
|
|||
|
|
@ -508,7 +508,7 @@ async def handle_order_requests(
|
|||
reqid = await client.submit_limit(
|
||||
oid=order.oid,
|
||||
symbol=f'{order.symbol}.{client.broker}',
|
||||
price=order.price,
|
||||
price=float(order.price),
|
||||
action=order.action,
|
||||
size=order.size,
|
||||
# XXX: by default 0 tells ``ib_insync`` methods that
|
||||
|
|
|
|||
|
|
@ -876,6 +876,7 @@ async def uniform_rate_send(
|
|||
except tractor.RemoteActorError as rme:
|
||||
if rme.type is not tractor._exceptions.StreamOverrun:
|
||||
raise
|
||||
|
||||
ctx = stream._ctx
|
||||
chan = ctx.chan
|
||||
log.warning(
|
||||
|
|
@ -892,6 +893,7 @@ async def uniform_rate_send(
|
|||
trio.ClosedResourceError,
|
||||
trio.BrokenResourceError,
|
||||
ConnectionResetError,
|
||||
trio.EndOfChannel,
|
||||
):
|
||||
# if the feed consumer goes down then drop
|
||||
# out of this rate limiter
|
||||
|
|
|
|||
|
|
@ -21,6 +21,7 @@ Chart trading, the only way to scalp.
|
|||
from __future__ import annotations
|
||||
from contextlib import asynccontextmanager
|
||||
from dataclasses import dataclass, field
|
||||
from decimal import Decimal
|
||||
from functools import partial
|
||||
from pprint import pformat
|
||||
import time
|
||||
|
|
@ -41,7 +42,6 @@ from piker.accounting import (
|
|||
Position,
|
||||
mk_allocator,
|
||||
MktPair,
|
||||
Symbol,
|
||||
)
|
||||
from piker.clearing import (
|
||||
open_ems,
|
||||
|
|
@ -143,6 +143,15 @@ class OrderMode:
|
|||
}
|
||||
_staged_order: Order | None = None
|
||||
|
||||
@property
|
||||
def curr_mkt(self) -> MktPair:
|
||||
'''
|
||||
Deliver the currently selected `MktPair` according
|
||||
chart state.
|
||||
|
||||
'''
|
||||
return self.chart.linked.mkt
|
||||
|
||||
def on_level_change_update_next_order_info(
|
||||
self,
|
||||
level: float,
|
||||
|
|
@ -172,7 +181,11 @@ class OrderMode:
|
|||
line.update_labels(order_info)
|
||||
|
||||
# update bound-in staged order
|
||||
order.price = level
|
||||
mkt: MktPair = self.curr_mkt
|
||||
order.price: Decimal = mkt.quantize(
|
||||
size=level,
|
||||
quantity_type='price',
|
||||
)
|
||||
order.size = order_info['size']
|
||||
|
||||
# when an order is changed we flip the settings side-pane to
|
||||
|
|
@ -187,7 +200,9 @@ class OrderMode:
|
|||
|
||||
) -> LevelLine:
|
||||
|
||||
level = order.price
|
||||
# TODO, if we instead just always decimalize at the ems layer
|
||||
# we can avoid this back-n-forth casting?
|
||||
level = float(order.price)
|
||||
|
||||
line = order_line(
|
||||
chart or self.chart,
|
||||
|
|
@ -224,7 +239,11 @@ class OrderMode:
|
|||
# the order mode allocator but we still need to update the
|
||||
# "staged" order message we'll send to the ems
|
||||
def update_order_price(y: float) -> None:
|
||||
order.price = y
|
||||
mkt: MktPair = self.curr_mkt
|
||||
order.price: Decimal = mkt.quantize(
|
||||
size=y,
|
||||
quantity_type='price',
|
||||
)
|
||||
|
||||
line._on_level_change = update_order_price
|
||||
|
||||
|
|
@ -275,34 +294,31 @@ class OrderMode:
|
|||
chart = cursor.linked.chart
|
||||
if (
|
||||
not chart
|
||||
and cursor
|
||||
and cursor.active_plot
|
||||
and
|
||||
cursor
|
||||
and
|
||||
cursor.active_plot
|
||||
):
|
||||
return
|
||||
|
||||
chart = cursor.active_plot
|
||||
price = cursor._datum_xy[1]
|
||||
price: float = cursor._datum_xy[1]
|
||||
if not price:
|
||||
# zero prices are not supported by any means
|
||||
# since that's illogical / a no-op.
|
||||
return
|
||||
|
||||
mkt: MktPair = self.chart.linked.mkt
|
||||
|
||||
# NOTE : we could also use instead,
|
||||
# mkt.quantize(price, quantity_type='price')
|
||||
# but it returns a Decimal and it's probably gonna
|
||||
# be slower?
|
||||
# TODO: should we be enforcing this precision
|
||||
# at a different layer in the stack? right now
|
||||
# any precision error will literally be relayed
|
||||
# all the way back from the backend.
|
||||
|
||||
price = round(
|
||||
price,
|
||||
ndigits=mkt.price_tick_digits,
|
||||
# at a different layer in the stack?
|
||||
# |_ might require `MktPair` tracking in the EMS?
|
||||
# |_ right now any precision error will be relayed
|
||||
# all the way back from the backend and vice-versa..
|
||||
#
|
||||
mkt: MktPair = self.curr_mkt
|
||||
price: Decimal = mkt.quantize(
|
||||
size=price,
|
||||
quantity_type='price',
|
||||
)
|
||||
|
||||
order = self._staged_order = Order(
|
||||
action=action,
|
||||
price=price,
|
||||
|
|
@ -378,7 +394,7 @@ class OrderMode:
|
|||
'oid': oid,
|
||||
})
|
||||
|
||||
if order.price <= 0:
|
||||
if float(order.price) <= 0:
|
||||
log.error(
|
||||
'*!? Invalid `Order.price <= 0` ?!*\n'
|
||||
# TODO: make this present multi-line in object form
|
||||
|
|
@ -515,14 +531,15 @@ class OrderMode:
|
|||
# if an order msg is provided update the line
|
||||
# **from** that msg.
|
||||
if order:
|
||||
if order.price <= 0:
|
||||
price: float = float(order.price)
|
||||
if price <= 0:
|
||||
log.error(f'Order has 0 price, cancelling..\n{order}')
|
||||
self.cancel_orders([order.oid])
|
||||
return None
|
||||
|
||||
line.set_level(order.price)
|
||||
line.set_level(price)
|
||||
self.on_level_change_update_next_order_info(
|
||||
level=order.price,
|
||||
level=price,
|
||||
line=line,
|
||||
order=order,
|
||||
# use the corresponding position tracker for the
|
||||
|
|
@ -681,9 +698,9 @@ class OrderMode:
|
|||
) -> Dialog | None:
|
||||
# NOTE: the `.order` attr **must** be set with the
|
||||
# equivalent order msg in order to be loaded.
|
||||
order = msg.req
|
||||
order: Order = msg.req
|
||||
oid = str(msg.oid)
|
||||
symbol = order.symbol
|
||||
symbol: str = order.symbol
|
||||
|
||||
# TODO: MEGA UGGG ZONEEEE!
|
||||
src = msg.src
|
||||
|
|
@ -702,13 +719,22 @@ class OrderMode:
|
|||
order.oid = str(order.oid)
|
||||
order.brokers = [brokername]
|
||||
|
||||
# TODO: change this over to `MktPair`, but it's
|
||||
# gonna be tough since we don't have any such data
|
||||
# really in our clearing msg schema..
|
||||
order.symbol = Symbol.from_fqme(
|
||||
fqsn=fqme,
|
||||
info={},
|
||||
)
|
||||
# ?TODO? change this over to `MktPair`, but it's gonna be
|
||||
# tough since we don't have any such data really in our
|
||||
# clearing msg schema..
|
||||
# BUT WAIT! WHY do we even want/need this!?
|
||||
#
|
||||
# order.symbol = self.curr_mkt
|
||||
#
|
||||
# XXX, the old approach.. which i don't quire member why..
|
||||
# -[ ] verify we for sure don't require this any more!
|
||||
# |_https://github.com/pikers/piker/issues/517
|
||||
#
|
||||
# order.symbol = Symbol.from_fqme(
|
||||
# fqsn=fqme,
|
||||
# info={},
|
||||
# )
|
||||
|
||||
maybe_dialog: Dialog | None = self.submit_order(
|
||||
send_msg=False,
|
||||
order=order,
|
||||
|
|
@ -1101,7 +1127,7 @@ async def process_trade_msg(
|
|||
)
|
||||
)
|
||||
):
|
||||
msg.req = order
|
||||
msg.req: Order = order
|
||||
dialog: (
|
||||
Dialog
|
||||
# NOTE: on an invalid order submission (eg.
|
||||
|
|
@ -1166,7 +1192,7 @@ async def process_trade_msg(
|
|||
tm = time.time()
|
||||
mode.on_fill(
|
||||
oid,
|
||||
price=req.price,
|
||||
price=float(req.price),
|
||||
time_s=tm,
|
||||
)
|
||||
mode.lines.remove_line(uuid=oid)
|
||||
|
|
@ -1221,7 +1247,7 @@ async def process_trade_msg(
|
|||
tm = details['broker_time']
|
||||
mode.on_fill(
|
||||
oid,
|
||||
price=details['price'],
|
||||
price=float(details['price']),
|
||||
time_s=tm,
|
||||
pointing='up' if action == 'buy' else 'down',
|
||||
)
|
||||
|
|
|
|||
|
|
@ -62,8 +62,9 @@ ignore-init-module-imports = false
|
|||
fixable = ["ALL"]
|
||||
unfixable = []
|
||||
|
||||
# TODO? uhh why no work!?
|
||||
# Allow unused variables when underscore-prefixed.
|
||||
dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
||||
# dummy-variable-rgx = "^(_+|(_+[a-zA-Z0-9_]*[a-zA-Z0-9]+?))$"
|
||||
|
||||
[format]
|
||||
# Use single quotes in `ruff format`.
|
||||
|
|
|
|||
|
|
@ -179,7 +179,7 @@ def test_ems_err_on_bad_broker(
|
|||
# NOTE: emsd should error on the actor's enabled modules
|
||||
# import phase, when looking for a backend named `doggy`.
|
||||
except tractor.RemoteActorError as re:
|
||||
assert re.type == ModuleNotFoundError
|
||||
assert re.type is ModuleNotFoundError
|
||||
|
||||
run_and_tollerate_cancels(load_bad_fqme)
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue