269 lines
7.0 KiB
Python
269 lines
7.0 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for pikers)
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU Affero General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU Affero General Public License for more details.
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# You should have received a copy of the GNU Affero General Public License
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# along with this program. If not, see <https://www.gnu.org/licenses/>.
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"""
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Clearing sub-system message and protocols.
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"""
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from typing import Optional, Union
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from ..data._source import Symbol
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from ..data.types import Struct
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# TODO: ``msgspec`` stuff worth paying attention to:
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# - schema evolution: https://jcristharif.com/msgspec/usage.html#schema-evolution
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# - use literals for a common msg determined by diff keys?
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# - https://jcristharif.com/msgspec/usage.html#literal
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# - for eg. ``BrokerdStatus``, instead just have separate messages?
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# --------------
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# Client -> emsd
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# --------------
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class Cancel(Struct):
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'''Cancel msg for removing a dark (ems triggered) or
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broker-submitted (live) trigger/order.
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'''
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action: str = 'cancel'
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oid: str # uuid4
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symbol: str
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class Order(Struct):
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# TODO: use ``msgspec.Literal``
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# https://jcristharif.com/msgspec/usage.html#literal
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action: str # {'buy', 'sell', 'alert'}
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# internal ``emdsd`` unique "order id"
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oid: str # uuid4
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symbol: Union[str, Symbol]
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account: str # should we set a default as '' ?
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price: float
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# TODO: could we drop the ``.action`` field above and instead just
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# use +/- values here? Would make the msg smaller at the sake of a
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# teensie fp precision?
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size: float
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brokers: list[str]
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# Assigned once initial ack is received
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# ack_time_ns: Optional[int] = None
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# determines whether the create execution
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# will be submitted to the ems or directly to
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# the backend broker
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exec_mode: str # {'dark', 'live', 'paper'}
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# --------------
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# Client <- emsd
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# --------------
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# update msgs from ems which relay state change info
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# from the active clearing engine.
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class Status(Struct):
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name: str = 'status'
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oid: str # uuid4
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time_ns: int
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# {
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# 'dark_submitted',
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# 'dark_cancelled',
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# 'dark_triggered',
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# 'broker_submitted',
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# 'broker_cancelled',
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# 'broker_executed',
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# 'broker_filled',
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# 'broker_errored',
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# 'alert_submitted',
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# 'alert_triggered',
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# }
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resp: str # "response", see above
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# trigger info
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trigger_price: Optional[float] = None
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# price: float
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# broker: Optional[str] = None
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# this maps normally to the ``BrokerdOrder.reqid`` below, an id
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# normally allocated internally by the backend broker routing system
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broker_reqid: Optional[Union[int, str]] = None
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# for relaying backend msg data "through" the ems layer
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brokerd_msg: dict = {}
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# ---------------
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# emsd -> brokerd
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# ---------------
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# requests *sent* from ems to respective backend broker daemon
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class BrokerdCancel(Struct):
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action: str = 'cancel'
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oid: str # piker emsd order id
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time_ns: int
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account: str
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# "broker request id": broker specific/internal order id if this is
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# None, creates a new order otherwise if the id is valid the backend
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# api must modify the existing matching order. If the broker allows
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# for setting a unique order id then this value will be relayed back
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# on the emsd order request stream as the ``BrokerdOrderAck.reqid``
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# field
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reqid: Optional[Union[int, str]] = None
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class BrokerdOrder(Struct):
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action: str # {buy, sell}
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oid: str
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account: str
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time_ns: int
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# "broker request id": broker specific/internal order id if this is
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# None, creates a new order otherwise if the id is valid the backend
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# api must modify the existing matching order. If the broker allows
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# for setting a unique order id then this value will be relayed back
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# on the emsd order request stream as the ``BrokerdOrderAck.reqid``
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# field
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reqid: Optional[Union[int, str]] = None
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symbol: str # symbol.<providername> ?
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price: float
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size: float
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# ---------------
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# emsd <- brokerd
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# ---------------
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# requests *received* to ems from broker backend
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class BrokerdOrderAck(Struct):
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'''
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Immediate reponse to a brokerd order request providing the broker
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specific unique order id so that the EMS can associate this
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(presumably differently formatted broker side ID) with our own
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``.oid`` (which is a uuid4).
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'''
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name: str = 'ack'
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# defined and provided by backend
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reqid: Union[int, str]
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# emsd id originally sent in matching request msg
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oid: str
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account: str = ''
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class BrokerdStatus(Struct):
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name: str = 'status'
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reqid: Union[int, str]
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time_ns: int
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# XXX: should be best effort set for every update
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account: str = ''
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# {
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# 'submitted',
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# 'cancelled',
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# 'filled',
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# }
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status: str
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filled: float = 0.0
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reason: str = ''
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remaining: float = 0.0
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# XXX: better design/name here?
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# flag that can be set to indicate a message for an order
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# event that wasn't originated by piker's emsd (eg. some external
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# trading system which does it's own order control but that you
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# might want to "track" using piker UIs/systems).
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external: bool = False
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# XXX: not required schema as of yet
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broker_details: dict = {
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'name': '',
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}
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class BrokerdFill(Struct):
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'''
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A single message indicating a "fill-details" event from the broker
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if avaiable.
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'''
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name: str = 'fill'
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reqid: Union[int, str]
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time_ns: int
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# order exeuction related
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action: str
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size: float
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price: float
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broker_details: dict = {} # meta-data (eg. commisions etc.)
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# brokerd timestamp required for order mode arrow placement on x-axis
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# TODO: maybe int if we force ns?
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# we need to normalize this somehow since backends will use their
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# own format and likely across many disparate epoch clocks...
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broker_time: float
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class BrokerdError(Struct):
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'''
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Optional error type that can be relayed to emsd for error handling.
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This is still a TODO thing since we're not sure how to employ it yet.
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'''
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name: str = 'error'
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oid: str
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# if no brokerd order request was actually submitted (eg. we errored
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# at the ``pikerd`` layer) then there will be ``reqid`` allocated.
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reqid: Optional[Union[int, str]] = None
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symbol: str
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reason: str
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broker_details: dict = {}
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class BrokerdPosition(Struct):
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'''Position update event from brokerd.
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'''
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name: str = 'position'
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broker: str
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account: str
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symbol: str
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size: float
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avg_price: float
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currency: str = ''
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