417 lines
11 KiB
Python
417 lines
11 KiB
Python
# piker: trading gear for hackers
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# Copyright (C) Tyler Goodlet (in stewardship for piker0)
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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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Chart trading, the only way to scalp.
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"""
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from contextlib import asynccontextmanager
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from dataclasses import dataclass, field
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from pprint import pformat
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import time
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from typing import Optional, Dict, Callable, Any
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import uuid
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import pyqtgraph as pg
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import trio
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from pydantic import BaseModel
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from ._graphics._lines import LevelLine, position_line
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from ._interaction import LineEditor, ArrowEditor, _order_lines
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from ..clearing._client import open_ems, OrderBook
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from ..data._source import Symbol
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from ..log import get_logger
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log = get_logger(__name__)
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class Position(BaseModel):
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symbol: Symbol
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size: float
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avg_price: float
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fills: Dict[str, Any] = {}
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@dataclass
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class OrderMode:
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"""Major mode for placing orders on a chart view.
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This is the default mode that pairs with "follow mode"
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(when wathing the rt price update at the current time step)
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and allows entering orders using the ``a, d, f`` keys and
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cancelling moused-over orders with the ``c`` key.
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"""
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chart: 'ChartPlotWidget' # type: ignore # noqa
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book: OrderBook
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lines: LineEditor
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arrows: ArrowEditor
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_colors = {
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'alert': 'alert_yellow',
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'buy': 'buy_green',
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'sell': 'sell_red',
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}
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_action: str = 'alert'
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_exec_mode: str = 'dark'
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_size: float = 100.0
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_position: Dict[str, Any] = field(default_factory=dict)
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_position_line: dict = None
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key_map: Dict[str, Callable] = field(default_factory=dict)
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def on_position_update(
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self,
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msg: dict,
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) -> None:
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print(f'Position update {msg}')
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sym = self.chart._lc._symbol
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if msg['symbol'].lower() not in sym.key:
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return
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size = msg['size']
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self._position.update(msg)
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if self._position_line:
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self._position_line.delete()
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if size != 0.0:
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line = self._position_line = position_line(
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self.chart,
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level=msg['avg_price'],
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size=size,
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)
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line.show()
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def uuid(self) -> str:
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return str(uuid.uuid4())
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def set_exec(
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self,
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action: str,
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size: Optional[int] = None,
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) -> None:
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"""Set execution mode.
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"""
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self._action = action
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self.lines.stage_line(
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color=self._colors[action],
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# hl_on_hover=True if self._exec_mode == 'live' else False,
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dotted=True if self._exec_mode == 'dark' else False,
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size=size or self._size,
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action=action,
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)
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def on_submit(self, uuid: str) -> dict:
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"""On order submitted event, commit the order line
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and registered order uuid, store ack time stamp.
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TODO: annotate order line with submission type ('live' vs.
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'dark').
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"""
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line = self.lines.commit_line(uuid)
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req_msg = self.book._sent_orders.get(uuid)
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if req_msg:
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req_msg['ack_time_ns'] = time.time_ns()
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return line
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def on_fill(
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self,
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uuid: str,
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price: float,
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arrow_index: float,
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pointing: Optional[str] = None
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) -> None:
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line = self.lines._order_lines.get(uuid)
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if line:
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self.arrows.add(
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uuid,
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arrow_index,
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price,
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pointing=pointing,
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color=line.color
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)
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async def on_exec(
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self,
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uuid: str,
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msg: Dict[str, Any],
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) -> None:
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# only once all fills have cleared and the execution
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# is complet do we remove our "order line"
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line = self.lines.remove_line(uuid=uuid)
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log.debug(f'deleting {line} with oid: {uuid}')
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# DESKTOP NOTIFICATIONS
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#
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# TODO: this in another task?
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# not sure if this will ever be a bottleneck,
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# we probably could do graphics stuff first tho?
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# XXX: linux only for now
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result = await trio.run_process(
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[
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'notify-send',
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'-u', 'normal',
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'-t', '10000',
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'piker',
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f'alert: {msg}',
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],
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)
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log.runtime(result)
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def on_cancel(self, uuid: str) -> None:
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msg = self.book._sent_orders.pop(uuid, None)
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if msg is not None:
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self.lines.remove_line(uuid=uuid)
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self.chart._cursor.show_xhair()
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else:
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log.warning(
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f'Received cancel for unsubmitted order {pformat(msg)}'
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)
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def submit_exec(
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self,
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size: Optional[float] = None,
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) -> LevelLine:
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"""Send execution order to EMS.
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"""
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# register the "staged" line under the cursor
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# to be displayed when above order ack arrives
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# (means the line graphic doesn't show on screen until the
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# order is live in the emsd).
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uid = str(uuid.uuid4())
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size = size or self._size
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chart = self.chart._cursor.active_plot
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y = chart._cursor._datum_xy[1]
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symbol = self.chart._lc._symbol
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action = self._action
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# send order cmd to ems
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self.book.send(
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uuid=uid,
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symbol=symbol.key,
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brokers=symbol.brokers,
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price=y,
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size=size,
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action=action,
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exec_mode=self._exec_mode,
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)
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# make line graphic if order push was
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# sucessful
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line = self.lines.create_order_line(
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uid,
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level=y,
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chart=chart,
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size=size,
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action=action,
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)
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line.oid = uid
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# hook up mouse drag handlers
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line._on_drag_start = self.order_line_modify_start
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line._on_drag_end = self.order_line_modify_complete
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return line
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def cancel_order_under_cursor(self) -> None:
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for line in self.lines.lines_under_cursor():
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self.book.cancel(uuid=line.oid)
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# order-line modify handlers
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def order_line_modify_start(
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self,
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line: LevelLine,
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) -> None:
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print(f'Line modify: {line}')
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# cancel original order until new position is found
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def order_line_modify_complete(
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self,
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line: LevelLine,
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) -> None:
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self.book.update(
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uuid=line.oid,
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# TODO: should we round this to a nearest tick here?
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price=line.value(),
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)
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# def on_key_press(
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# self,
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# key:
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# mods:
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# text: str,
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# ) -> None:
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# pass
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@asynccontextmanager
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async def open_order_mode(
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symbol: Symbol,
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chart: pg.PlotWidget,
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book: OrderBook,
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):
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view = chart._vb
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lines = LineEditor(view=view, chart=chart, _order_lines=_order_lines)
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arrows = ArrowEditor(chart, {})
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log.info("Opening order mode")
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mode = OrderMode(chart, book, lines, arrows)
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view.mode = mode
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asset_type = symbol.type_key
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if asset_type == 'stock':
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mode._size = 100.0
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elif asset_type in ('future', 'option', 'futures_option'):
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mode._size = 1.0
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else: # to be safe
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mode._size = 1.0
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try:
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yield mode
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finally:
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# XXX special teardown handling like for ex.
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# - cancelling orders if needed?
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# - closing positions if desired?
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# - switching special condition orders to safer/more reliable variants
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log.info("Closing order mode")
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async def start_order_mode(
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chart: 'ChartPlotWidget', # noqa
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symbol: Symbol,
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brokername: str,
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) -> None:
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# spawn EMS actor-service
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async with open_ems(
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brokername,
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symbol,
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) as (book, trades_stream), open_order_mode(
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symbol,
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chart,
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book,
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) as order_mode:
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def get_index(time: float):
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# XXX: not sure why the time is so off here
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# looks like we're gonna have to do some fixing..
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ohlc = chart._shm.array
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indexes = ohlc['time'] >= time
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if any(indexes):
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return ohlc['index'][indexes[-1]]
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else:
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return ohlc['index'][-1]
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# Begin order-response streaming
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# this is where we receive **back** messages
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# about executions **from** the EMS actor
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async for msg in trades_stream:
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fmsg = pformat(msg)
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log.info(f'Received order msg:\n{fmsg}')
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resp = msg['resp']
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if resp in (
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'position',
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):
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# show line label once order is live
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order_mode.on_position_update(msg)
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continue
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# delete the line from view
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oid = msg['oid']
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# response to 'action' request (buy/sell)
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if resp in (
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'dark_submitted',
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'broker_submitted'
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):
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# show line label once order is live
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order_mode.on_submit(oid)
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# resp to 'cancel' request or error condition
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# for action request
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elif resp in (
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'broker_cancelled',
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'broker_inactive',
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'dark_cancelled'
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):
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# delete level line from view
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order_mode.on_cancel(oid)
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elif resp in (
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'dark_executed'
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):
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log.info(f'Dark order triggered for {fmsg}')
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# for alerts add a triangle and remove the
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# level line
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if msg['cmd']['action'] == 'alert':
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# should only be one "fill" for an alert
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order_mode.on_fill(
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oid,
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price=msg['trigger_price'],
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arrow_index=get_index(time.time())
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)
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await order_mode.on_exec(oid, msg)
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# response to completed 'action' request for buy/sell
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elif resp in (
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'broker_executed',
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):
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await order_mode.on_exec(oid, msg)
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# each clearing tick is responded individually
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elif resp in ('broker_filled',):
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action = msg['action']
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# TODO: some kinda progress system
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order_mode.on_fill(
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oid,
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price=msg['price'],
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arrow_index=get_index(msg['broker_time']),
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pointing='up' if action == 'buy' else 'down',
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)
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