915 lines
25 KiB
Python
915 lines
25 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 functools import partial
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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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from pydantic import BaseModel
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import tractor
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import trio
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from .. import config
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from ..clearing._client import open_ems, OrderBook
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from ..clearing._allocate import (
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mk_allocator,
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Position,
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)
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from ..data._source import Symbol
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from ..data.feed import Feed
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from ..log import get_logger
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from ._editors import LineEditor, ArrowEditor
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from ._lines import order_line, LevelLine
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from ._position import (
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PositionTracker,
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SettingsPane,
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)
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from ._label import FormatLabel
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from ._window import MultiStatus
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from ..clearing._messages import Order, BrokerdPosition
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from ._forms import open_form_input_handling
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log = get_logger(__name__)
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class OrderDialog(BaseModel):
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'''Trade dialogue meta-data describing the lifetime
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of an order submission to ``emsd`` from a chart.
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'''
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# TODO: use ``pydantic.UUID4`` field
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uuid: str
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order: Order
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symbol: Symbol
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line: LevelLine
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last_status_close: Callable = lambda: None
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msgs: dict[str, dict] = {}
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fills: Dict[str, Any] = {}
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class Config:
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arbitrary_types_allowed = True
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underscore_attrs_are_private = False
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def on_level_change_update_next_order_info(
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level: float,
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# these are all ``partial``-ed in at callback assignment time.
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line: LevelLine,
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order: Order,
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tracker: PositionTracker,
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) -> None:
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'''A callback applied for each level change to the line
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which will recompute the order size based on allocator
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settings. this is assigned inside
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``OrderMode.line_from_order()``
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'''
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# NOTE: the ``Order.account`` is set at order stage time
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# inside ``OrderMode.line_from_order()``.
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order_info = tracker.alloc.next_order_info(
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startup_pp=tracker.startup_pp,
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live_pp=tracker.live_pp,
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price=level,
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action=order.action,
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)
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line.update_labels(order_info)
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# update bound-in staged order
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order.price = level
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order.size = order_info['size']
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@dataclass
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class OrderMode:
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'''Major UX mode for placing orders on a chart view providing so
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called, "chart trading".
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This is the other "main" mode that pairs with "view mode" (when
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wathing the rt price update at the current time step) and allows
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entering orders using mouse and keyboard. This object is chart
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oriented, so there is an instance per chart / view currently.
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Current manual:
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a -> alert
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s/ctrl -> submission type modifier {on: live, off: dark}
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f (fill) -> 'buy' limit order
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d (dump) -> 'sell' limit order
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c (cancel) -> cancel order under cursor
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cc -> cancel all submitted orders on chart
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mouse click and drag -> modify current order under cursor
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'''
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chart: 'ChartPlotWidget' # type: ignore # noqa
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nursery: trio.Nursery
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quote_feed: Feed
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book: OrderBook
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lines: LineEditor
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arrows: ArrowEditor
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multistatus: MultiStatus
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pane: SettingsPane
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trackers: dict[str, PositionTracker]
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# switched state, the current position
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current_pp: Optional[PositionTracker] = None
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active: bool = False
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name: str = 'order'
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dialogs: dict[str, OrderDialog] = field(default_factory=dict)
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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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_staged_order: Optional[Order] = None
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def line_from_order(
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self,
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order: Order,
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symbol: Symbol,
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**line_kwargs,
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) -> LevelLine:
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level = order.price
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line = order_line(
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self.chart,
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# TODO: convert these values into human-readable form
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# (i.e. with k, m, M, B) type embedded suffixes
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level=level,
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action=order.action,
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size=order.size,
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color=self._colors[order.action],
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dotted=True if (
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order.exec_mode == 'dark' and
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order.action != 'alert'
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) else False,
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**line_kwargs,
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)
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# set level update callback to order pane method and update once
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# immediately
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if order.action != 'alert':
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line._on_level_change = partial(
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on_level_change_update_next_order_info,
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line=line,
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order=order,
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tracker=self.current_pp,
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)
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else:
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# for alerts we don't need to compute per price sizing via
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# the order mode allocator but we still need to update the
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# "staged" order message we'll send to the ems
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def update_order_price(y: float) -> None:
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order.price = y
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line._on_level_change = update_order_price
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line.set_level(level)
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return line
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def stage_order(
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self,
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action: str,
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trigger_type: str,
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) -> None:
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'''Stage an order for submission.
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'''
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# not initialized yet
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chart = self.chart
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cursor = chart.linked.cursor
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if not (chart and cursor and cursor.active_plot):
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return
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chart = cursor.active_plot
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price = cursor._datum_xy[1]
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symbol = self.chart.linked.symbol
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order = self._staged_order = Order(
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action=action,
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price=price,
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account=self.current_pp.alloc.account,
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size=0,
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symbol=symbol,
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brokers=symbol.brokers,
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oid='', # filled in on submit
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exec_mode=trigger_type, # dark or live
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)
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line = self.line_from_order(
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order,
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symbol,
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show_markers=True,
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# just for the stage line to avoid
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# flickering while moving the cursor
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# around where it might trigger highlight
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# then non-highlight depending on sensitivity
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always_show_labels=True,
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# don't highlight the "staging" line
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highlight_on_hover=False,
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# prevent flickering of marker while moving/tracking cursor
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only_show_markers_on_hover=False,
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)
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line = self.lines.stage_line(line)
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# hide crosshair y-line and label
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cursor.hide_xhair()
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# add line to cursor trackers
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cursor._trackers.add(line)
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return line
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def submit_order(
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self,
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) -> OrderDialog:
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'''Send execution order to EMS return a level line to
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represent the order on a chart.
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'''
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staged = self._staged_order
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symbol = staged.symbol
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oid = str(uuid.uuid4())
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# format order data for ems
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order = staged.copy(
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update={
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'symbol': symbol.key,
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'oid': oid,
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}
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)
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line = self.line_from_order(
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order,
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symbol,
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show_markers=True,
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only_show_markers_on_hover=True,
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)
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# register the "submitted" line under the cursor
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# to be displayed when above order ack arrives
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# (means the marker graphic doesn't show on screen until the
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# order is live in the emsd).
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# TODO: update the line once an ack event comes back
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# from the EMS!
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# maybe place a grey line in "submission" mode
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# which will be updated to it's appropriate action
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# color once the submission ack arrives.
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self.lines.submit_line(
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line=line,
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uuid=oid,
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)
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dialog = OrderDialog(
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uuid=oid,
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order=order,
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symbol=symbol,
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line=line,
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last_status_close=self.multistatus.open_status(
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f'submitting {self._trigger_type}-{order.action}',
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final_msg=f'submitted {self._trigger_type}-{order.action}',
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clear_on_next=True,
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)
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)
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# TODO: create a new ``OrderLine`` with this optional var defined
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line.dialog = dialog
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# enter submission which will be popped once a response
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# from the EMS is received to move the order to a different# status
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self.dialogs[oid] = dialog
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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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# send order cmd to ems
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self.book.send(order)
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return dialog
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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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# TODO: make a config option for this behaviour..
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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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level = line.value()
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# updateb by level change callback set in ``.line_from_order()``
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size = line.dialog.order.size
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self.book.update(
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uuid=line.dialog.uuid,
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price=level,
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size=size,
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)
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# ems response loop handlers
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def on_submit(
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self,
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uuid: str
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) -> OrderDialog:
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'''
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Order submitted status event handler.
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Commit the order line and registered order uuid, store ack time stamp.
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'''
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line = self.lines.commit_line(uuid)
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# a submission is the start of a new order dialog
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dialog = self.dialogs[uuid]
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dialog.line = line
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dialog.last_status_close()
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return dialog
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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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'''
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Fill msg handler.
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Triggered on reception of a `filled` message from the
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EMS.
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Update relevant UIs:
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- add arrow annotation on bar
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- update fill bar size
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'''
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dialog = self.dialogs[uuid]
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line = dialog.line
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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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else:
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log.warn("No line for order {uuid}!?")
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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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# 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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# TODO: make this not trash.
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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(
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self,
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uuid: str
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) -> 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.linked.cursor.show_xhair()
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dialog = self.dialogs.pop(uuid, None)
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if dialog:
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dialog.last_status_close()
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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 cancel_orders_under_cursor(self) -> list[str]:
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return self.cancel_orders_from_lines(
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self.lines.lines_under_cursor()
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)
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def cancel_all_orders(self) -> list[str]:
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'''Cancel all orders for the current chart.
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'''
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return self.cancel_orders_from_lines(
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self.lines.all_lines()
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)
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def cancel_orders_from_lines(
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self,
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lines: list[LevelLine],
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) -> list[str]:
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ids: list = []
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if lines:
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key = self.multistatus.open_status(
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f'cancelling {len(lines)} orders',
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final_msg=f'cancelled {len(lines)} orders',
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group_key=True
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)
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# cancel all active orders and triggers
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for line in lines:
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dialog = getattr(line, 'dialog', None)
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if dialog:
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oid = dialog.uuid
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cancel_status_close = self.multistatus.open_status(
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f'cancelling order {oid[:6]}',
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group_key=key,
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)
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dialog.last_status_close = cancel_status_close
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ids.append(oid)
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self.book.cancel(uuid=oid)
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return ids
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@asynccontextmanager
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async def open_order_mode(
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feed: Feed,
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chart: 'ChartPlotWidget', # noqa
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symbol: Symbol,
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brokername: str,
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started: trio.Event,
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) -> None:
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'''Activate chart-trader order mode loop:
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- connect to emsd
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- load existing positions
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- begin EMS response handling loop which updates local
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state, mostly graphics / UI.
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'''
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multistatus = chart.window().status_bar
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done = multistatus.open_status('starting order mode..')
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book: OrderBook
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trades_stream: tractor.MsgStream
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# The keys in this dict **must** be in set our set of "normalized"
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# symbol names (i.e. the same names you'd get back in search
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# results) in order for position msgs to correctly trigger the
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# display of a position indicator on screen.
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position_msgs: dict[str, list[BrokerdPosition]]
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# spawn EMS actor-service
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async with (
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open_ems(brokername, symbol) as (
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book,
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trades_stream,
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position_msgs,
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brokerd_accounts,
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),
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trio.open_nursery() as tn,
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):
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log.info(f'Opening order mode for {brokername}.{symbol.key}')
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view = chart.view
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# annotations editors
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lines = LineEditor(chart=chart)
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arrows = ArrowEditor(chart, {})
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# symbol id
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symbol = chart.linked.symbol
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symkey = symbol.key
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# map of per-provider account keys to position tracker instances
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trackers: dict[str, PositionTracker] = {}
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# load account names from ``brokers.toml``
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accounts_def = config.load_accounts(
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providers=symbol.brokers
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)
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# XXX: ``brokerd`` delivers a set of account names that it allows
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# use of but the user also can define the accounts they'd like
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# to use, in order, in their `brokers.toml` file.
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accounts = {}
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for name in brokerd_accounts:
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# ensure name is in ``brokers.toml``
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accounts[name] = accounts_def[name]
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# first account listed is the one we select at startup
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# (aka order based selection).
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pp_account = next(
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# choose first account based on line order from `brokers.toml`.
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iter(accounts.keys())
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) if accounts else 'paper'
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# NOTE: requires the backend exactly specifies
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# the expected symbol key in its positions msg.
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pp_msgs = position_msgs.get(symkey, ())
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pps_by_account = {msg['account']: msg for msg in pp_msgs}
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# update pp trackers with data relayed from ``brokerd``.
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for account_name in accounts:
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# net-zero pp
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startup_pp = Position(
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symbol=symbol,
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size=0,
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avg_price=0,
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)
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msg = pps_by_account.get(account_name)
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if msg:
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log.info(f'Loading pp for {symkey}:\n{pformat(msg)}')
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startup_pp.update_from_msg(msg)
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# allocator
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alloc = mk_allocator(
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symbol=symbol,
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account=account_name,
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# if this startup size is greater the allocator limit,
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|
# the limit is increased internally in this factory.
|
|
startup_pp=startup_pp,
|
|
)
|
|
|
|
pp_tracker = PositionTracker(
|
|
chart,
|
|
alloc,
|
|
startup_pp
|
|
)
|
|
pp_tracker.hide()
|
|
trackers[account_name] = pp_tracker
|
|
|
|
assert pp_tracker.startup_pp.size == pp_tracker.live_pp.size
|
|
|
|
# TODO: do we even really need the "startup pp" or can we
|
|
# just take the max and pass that into the some state / the
|
|
# alloc?
|
|
pp_tracker.update_from_pp()
|
|
|
|
# on existing position, show pp tracking graphics
|
|
if pp_tracker.startup_pp.size != 0:
|
|
pp_tracker.show()
|
|
pp_tracker.hide_info()
|
|
|
|
# setup order mode sidepane widgets
|
|
form = chart.sidepane
|
|
vbox = form.vbox
|
|
|
|
from textwrap import dedent
|
|
|
|
from PyQt5.QtCore import Qt
|
|
|
|
from ._style import _font, _font_small
|
|
from ..calc import humanize
|
|
|
|
feed_label = FormatLabel(
|
|
fmt_str=dedent("""
|
|
actor: **{actor_name}**\n
|
|
|_ @**{host}:{port}**\n
|
|
|_ throttle_hz: **{throttle_rate}**\n
|
|
|_ streams: **{symbols}**\n
|
|
|_ shm: **{shm}**\n
|
|
"""),
|
|
font=_font.font,
|
|
font_size=_font_small.px_size,
|
|
font_color='default_lightest',
|
|
)
|
|
|
|
form.feed_label = feed_label
|
|
|
|
# add feed info label to top
|
|
vbox.insertWidget(
|
|
0,
|
|
feed_label,
|
|
alignment=Qt.AlignBottom,
|
|
)
|
|
# vbox.setAlignment(feed_label, Qt.AlignBottom)
|
|
# vbox.setAlignment(Qt.AlignBottom)
|
|
blank_h = chart.height() - (
|
|
form.height() +
|
|
form.fill_bar.height()
|
|
# feed_label.height()
|
|
)
|
|
vbox.setSpacing((1 + 5/8)*_font.px_size)
|
|
|
|
# fill in brokerd feed info
|
|
host, port = feed.portal.channel.raddr
|
|
if host == '127.0.0.1':
|
|
host = 'localhost'
|
|
mpshm = feed.shm._shm
|
|
shmstr = f'{humanize(mpshm.size)}'
|
|
form.feed_label.format(
|
|
actor_name=feed.portal.channel.uid[0],
|
|
host=host,
|
|
port=port,
|
|
symbols=len(feed.symbols),
|
|
shm=shmstr,
|
|
throttle_rate=feed.throttle_rate,
|
|
)
|
|
|
|
order_pane = SettingsPane(
|
|
form=form,
|
|
# XXX: ugh, so hideous...
|
|
fill_bar=form.fill_bar,
|
|
pnl_label=form.left_label,
|
|
step_label=form.bottom_label,
|
|
limit_label=form.top_label,
|
|
)
|
|
order_pane.set_accounts(list(trackers.keys()))
|
|
|
|
# update pp icons
|
|
for name, tracker in trackers.items():
|
|
order_pane.update_account_icons({name: tracker.live_pp})
|
|
|
|
# top level abstraction which wraps all this crazyness into
|
|
# a namespace..
|
|
mode = OrderMode(
|
|
chart,
|
|
tn,
|
|
feed,
|
|
book,
|
|
lines,
|
|
arrows,
|
|
multistatus,
|
|
pane=order_pane,
|
|
trackers=trackers,
|
|
|
|
)
|
|
# XXX: MUST be set
|
|
order_pane.order_mode = mode
|
|
|
|
# select a pp to track
|
|
tracker = trackers[pp_account]
|
|
mode.current_pp = tracker
|
|
tracker.show()
|
|
tracker.hide_info()
|
|
|
|
# XXX: would love to not have to do this separate from edit
|
|
# fields (which are done in an async loop - see below)
|
|
# connect selection signals (from drop down widgets)
|
|
# to order sync pane handler
|
|
for key in ('account', 'size_unit',):
|
|
w = form.fields[key]
|
|
|
|
w.currentTextChanged.connect(
|
|
partial(
|
|
order_pane.on_selection_change,
|
|
key=key,
|
|
)
|
|
)
|
|
|
|
# make fill bar and positioning snapshot
|
|
order_pane.on_ui_settings_change('limit', tracker.alloc.limit())
|
|
order_pane.update_status_ui(pp=tracker)
|
|
|
|
# TODO: create a mode "manager" of sorts?
|
|
# -> probably just call it "UxModes" err sumthin?
|
|
# so that view handlers can access it
|
|
view.order_mode = mode
|
|
|
|
order_pane.on_ui_settings_change('account', pp_account)
|
|
mode.pane.display_pnl(mode.current_pp)
|
|
|
|
# Begin order-response streaming
|
|
done()
|
|
|
|
# start async input handling for chart's view
|
|
async with (
|
|
|
|
# ``ChartView`` input async handler startup
|
|
chart.view.open_async_input_handler(),
|
|
|
|
# pp pane kb inputs
|
|
open_form_input_handling(
|
|
form,
|
|
focus_next=chart.linked.godwidget,
|
|
on_value_change=order_pane.on_ui_settings_change,
|
|
),
|
|
|
|
):
|
|
# signal to top level symbol loading task we're ready
|
|
# to handle input since the ems connection is ready
|
|
started.set()
|
|
|
|
tn.start_soon(
|
|
process_trades_and_update_ui,
|
|
tn,
|
|
feed,
|
|
mode,
|
|
trades_stream,
|
|
book,
|
|
)
|
|
yield mode
|
|
|
|
|
|
async def process_trades_and_update_ui(
|
|
|
|
n: trio.Nursery,
|
|
feed: Feed,
|
|
mode: OrderMode,
|
|
trades_stream: tractor.MsgStream,
|
|
book: OrderBook,
|
|
|
|
) -> None:
|
|
|
|
get_index = mode.chart.get_index
|
|
global _pnl_tasks
|
|
|
|
# this is where we receive **back** messages
|
|
# about executions **from** the EMS actor
|
|
async for msg in trades_stream:
|
|
|
|
fmsg = pformat(msg)
|
|
log.info(f'Received order msg:\n{fmsg}')
|
|
|
|
name = msg['name']
|
|
if name in (
|
|
'position',
|
|
):
|
|
sym = mode.chart.linked.symbol
|
|
if msg['symbol'].lower() in sym.key:
|
|
|
|
tracker = mode.trackers[msg['account']]
|
|
tracker.live_pp.update_from_msg(msg)
|
|
# update order pane widgets
|
|
tracker.update_from_pp()
|
|
mode.pane.update_status_ui(tracker)
|
|
|
|
if tracker.live_pp.size:
|
|
# display pnl
|
|
mode.pane.display_pnl(tracker)
|
|
|
|
# short circuit to next msg to avoid
|
|
# unnecessary msg content lookups
|
|
continue
|
|
|
|
resp = msg['resp']
|
|
oid = msg['oid']
|
|
|
|
dialog = mode.dialogs.get(oid)
|
|
if dialog is None:
|
|
log.warning(f'received msg for untracked dialog:\n{fmsg}')
|
|
|
|
# TODO: enable pure tracking / mirroring of dialogs
|
|
# is desired.
|
|
continue
|
|
|
|
# record message to dialog tracking
|
|
dialog.msgs[oid] = msg
|
|
|
|
# response to 'action' request (buy/sell)
|
|
if resp in (
|
|
'dark_submitted',
|
|
'broker_submitted'
|
|
):
|
|
|
|
# show line label once order is live
|
|
mode.on_submit(oid)
|
|
|
|
# resp to 'cancel' request or error condition
|
|
# for action request
|
|
elif resp in (
|
|
'broker_cancelled',
|
|
'broker_inactive',
|
|
'broker_errored',
|
|
'dark_cancelled'
|
|
):
|
|
# delete level line from view
|
|
mode.on_cancel(oid)
|
|
broker_msg = msg['brokerd_msg']
|
|
log.warning(f'Order {oid} failed with:\n{pformat(broker_msg)}')
|
|
|
|
elif resp in (
|
|
'dark_triggered'
|
|
):
|
|
log.info(f'Dark order triggered for {fmsg}')
|
|
|
|
elif resp in (
|
|
'alert_triggered'
|
|
):
|
|
# should only be one "fill" for an alert
|
|
# add a triangle and remove the level line
|
|
mode.on_fill(
|
|
oid,
|
|
price=msg['trigger_price'],
|
|
arrow_index=get_index(time.time()),
|
|
)
|
|
mode.lines.remove_line(uuid=oid)
|
|
await mode.on_exec(oid, msg)
|
|
|
|
# response to completed 'action' request for buy/sell
|
|
elif resp in (
|
|
'broker_executed',
|
|
):
|
|
# right now this is just triggering a system alert
|
|
await mode.on_exec(oid, msg)
|
|
|
|
if msg['brokerd_msg']['remaining'] == 0:
|
|
mode.lines.remove_line(uuid=oid)
|
|
|
|
# each clearing tick is responded individually
|
|
elif resp in ('broker_filled',):
|
|
|
|
known_order = book._sent_orders.get(oid)
|
|
if not known_order:
|
|
log.warning(f'order {oid} is unknown')
|
|
continue
|
|
|
|
action = known_order.action
|
|
details = msg['brokerd_msg']
|
|
|
|
# TODO: some kinda progress system
|
|
mode.on_fill(
|
|
oid,
|
|
price=details['price'],
|
|
pointing='up' if action == 'buy' else 'down',
|
|
|
|
# TODO: put the actual exchange timestamp
|
|
arrow_index=get_index(details['broker_time']),
|
|
)
|
|
|
|
# TODO: how should we look this up?
|
|
# tracker = mode.trackers[msg['account']]
|
|
# tracker.live_pp.fills.append(msg)
|