''' Execution mgmt system (EMS) e2e testing. Most tests leverage our paper clearing engine found (currently) in ``piker.clearing._paper_engine`. Ideally in the longer run we are able to support forms of (non-clearing) live order tests against certain backends that make it possible to do so.. ''' from contextlib import ( contextmanager as cm, ) from typing import ( Awaitable, Callable, AsyncContextManager, Literal, ) import trio # import pytest_trio from exceptiongroup import BaseExceptionGroup import pytest import tractor from uuid import uuid4 from piker.service import Services from piker.log import get_logger from piker.clearing._messages import ( Order, Status, # Cancel, BrokerdPosition, ) from piker.clearing import ( open_ems, OrderClient, ) from piker.accounting import ( unpack_fqme, ) from piker.accounting import ( open_pps, Position, ) log = get_logger(__name__) async def order_and_and_wait_for_ppmsg( client: OrderClient, trades_stream: tractor.MsgStream, fqme: str, action: Literal['buy', 'sell'], price: float = 100e3, # just a super high price. size: float = 0.01, exec_mode: str = 'live', account: str = 'paper', ) -> list[Status | BrokerdPosition]: ''' Start piker, place a trade and assert data in pps stream, ledger and position table. ''' sent: list[Order] = [] broker, mktep, venue, suffix = unpack_fqme(fqme) order = Order( exec_mode=exec_mode, action=action, # TODO: remove this from our schema? oid=str(uuid4()), account=account, size=size, symbol=fqme, price=price, brokers=[broker], ) sent.append(order) await client.send(order) # TODO: i guess we should still test the old sync-API? # client.send_nowait(order) # Wait for position message before moving on to verify flow(s) # for the multi-order position entry/exit. msgs: list[Status | BrokerdPosition] = [] async for msg in trades_stream: match msg: case {'name': 'position'}: ppmsg = BrokerdPosition(**msg) msgs.append(ppmsg) break case {'name': 'status'}: msgs.append(Status(**msg)) return sent, msgs def run_and_tollerate_cancels( fn: Callable[..., Awaitable], expect_errs: tuple[Exception] | None = None, tollerate_errs: tuple[Exception] = (tractor.ContextCancelled,), ): ''' Run ``trio``-``piker`` runtime with potential tolerance for inter-actor cancellation during teardown (normally just `tractor.ContextCancelled`s). ''' if expect_errs: with pytest.raises(BaseExceptionGroup) as exc_info: trio.run(fn) for err in exc_info.value.exceptions: assert type(err) in expect_errs else: try: trio.run(fn) except tollerate_errs: pass @cm def load_and_check_pos( order: Order, ppmsg: BrokerdPosition, ) -> None: with open_pps(ppmsg.broker, ppmsg.account) as table: if ppmsg.size == 0: assert ppmsg.symbol not in table.pps yield None return else: # NOTE: a special case is here since the `PpTable.pps` are # normally indexed by the particular broker's # `Position.bs_mktid: str` (a unique market / symbol id provided # by their systems/design) but for the paper engine case, this # is the same the fqme. pp: Position = table.pps[ppmsg.symbol] assert ppmsg.size == pp.size assert ppmsg.avg_price == pp.ppu yield pp def test_ems_err_on_bad_broker( open_test_pikerd: Services, loglevel: str, ): async def load_bad_fqme(): try: async with ( open_test_pikerd() as (_, _, _, _), open_ems( 'doggycoin.doggy', mode='paper', loglevel=loglevel, ) as _ ): pytest.fail('EMS is working on non-broker!?') except ModuleNotFoundError: pass run_and_tollerate_cancels(load_bad_fqme) async def match_ppmsgs_on_ems_boot( ppmsgs: list[BrokerdPosition], ) -> None: ''' Given a list of input position msgs, verify they match what is loaded from the EMS on connect. ''' by_acct: dict[tuple, list[BrokerdPosition]] = {} for msg in ppmsgs: by_acct.setdefault( (msg.broker, msg.account), [], ).append(msg) # TODO: actually support multi-mkts to `open_ems()` # but for now just pass the first fqme. fqme = msg.symbol # disconnect from EMS, reconnect and ensure we get our same # position relayed to us again in the startup msg. async with ( open_ems( fqme, mode='paper', loglevel='info', ) as ( _, # OrderClient _, # tractor.MsgStream startup_pps, accounts, _, # dialogs, ) ): for (broker, account), ppmsgs in by_acct.items(): assert account in accounts # lookup all msgs rx-ed for this account rx_msgs = startup_pps[(broker, account)] for expect_ppmsg in ppmsgs: rx_msg = BrokerdPosition(**rx_msgs[expect_ppmsg.symbol]) assert rx_msg == expect_ppmsg async def submit_and_check( fills: tuple[dict], loglevel: str, ) -> tuple[ BrokerdPosition, Position, ]: ''' Enter a trade and assert entries are made in pps and ledger files. Shutdown the ems-client and ensure on reconnect we get the expected matching ``BrokerdPosition`` and pps.toml entries. ''' broker: str = 'kraken' mkt_key: str = 'xbtusdt' fqme: str = f'{mkt_key}.{broker}' startup_pps: dict[ tuple[str, str], # brokername, acctid list[BrokerdPosition], ] async with ( open_ems( fqme, mode='paper', loglevel=loglevel, ) as ( client, # OrderClient trades_stream, # tractor.MsgStream startup_pps, accounts, _, # dialogs ) ): # no positions on startup assert not startup_pps assert 'paper' in accounts od: dict for od in fills: print(f'Sending order {od} for fill') size = od['size'] sent, msgs = await order_and_and_wait_for_ppmsg( client, trades_stream, fqme, action='buy' if size > 0 else 'sell', price=100e3 if size > 0 else 0, size=size, ) last_order: Order = sent[-1] last_resp = msgs[-1] assert isinstance(last_resp, BrokerdPosition) ppmsg = last_resp # check that pps.toml for account has been updated # and all ems position msgs match that state. with load_and_check_pos( last_order, ppmsg, ) as pos: pass return ppmsg, pos @pytest.mark.parametrize( 'fills', [ # buy and leave ({'size': 0.001},), # sell short, then buy back to net-zero in dst ( {'size': -0.001}, {'size': 0.001}, ), # multi-partial entry and exits from net-zero, to short and back # to net-zero. ( # enters {'size': 0.001}, {'size': 0.002}, # partial exit {'size': -0.001}, # partial enter {'size': 0.0015}, {'size': 0.001}, {'size': 0.002}, # nearly back to zero. {'size': -0.001}, # switch to net-short {'size': -0.025}, {'size': -0.0195}, # another entry {'size': 0.001}, # final cover to net-zero again. {'size': 0.038}, ), ], ids='fills={}'.format, ) def test_multi_fill_positions( open_test_pikerd: AsyncContextManager, loglevel: str, fills: tuple[dict], check_cross_session: bool = False, ) -> None: ppmsg: BrokerdPosition pos: Position accum_size: float = 0 for fill in fills: accum_size += fill['size'] async def atest(): # export to outer scope for audit on second runtime-boot. nonlocal ppmsg, pos async with ( open_test_pikerd() as (_, _, _, _), ): ppmsg, pos = await submit_and_check( fills=fills, loglevel=loglevel, ) assert ppmsg.size == accum_size run_and_tollerate_cancels(atest) if check_cross_session or accum_size != 0: # rerun just to check that position info is persistent for the paper # account (i.e. a user can expect to see paper pps persist across # runtime sessions. async def just_check_pp(): nonlocal ppmsg async with ( open_test_pikerd() as (_, _, _, _), ): await match_ppmsgs_on_ems_boot([ppmsg]) run_and_tollerate_cancels(just_check_pp) # TODO: still need to implement offline storage of darks/alerts/paper # lives probably all the same way.. see # https://github.com/pikers/piker/issues/463 def test_open_orders_reloaded( open_test_pikerd: AsyncContextManager, loglevel: str, # fills: tuple[dict], check_cross_session: bool = False, ): ... def test_dark_order_clearing(): ...