627 lines
19 KiB
Python
627 lines
19 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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Fake trading for forward testing.
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"""
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from collections import defaultdict
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from contextlib import asynccontextmanager
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from datetime import datetime
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from operator import itemgetter
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import itertools
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import time
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from typing import (
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Any,
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Optional,
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Callable,
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)
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import uuid
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from bidict import bidict
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import pendulum
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import trio
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import tractor
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from .. import data
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from ..data.types import Struct
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from ..data._source import Symbol
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from ..pp import (
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Position,
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Transaction,
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open_trade_ledger,
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open_pps,
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)
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from ..data._normalize import iterticks
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from ..data._source import unpack_fqsn
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from ..log import get_logger
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from ._messages import (
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BrokerdCancel,
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BrokerdOrder,
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BrokerdOrderAck,
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BrokerdStatus,
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BrokerdFill,
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BrokerdPosition,
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BrokerdError,
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)
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from ..config import load
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log = get_logger(__name__)
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class PaperBoi(Struct):
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'''
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Emulates a broker order client providing approximately the same API
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and delivering an order-event response stream but with methods for
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triggering desired events based on forward testing engine
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requirements (eg open, closed, fill msgs).
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'''
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broker: str
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ems_trades_stream: tractor.MsgStream
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# map of paper "live" orders which be used
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# to simulate fills based on paper engine settings
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_buys: defaultdict[str, bidict]
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_sells: defaultdict[str, bidict]
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_reqids: bidict
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_positions: dict[str, Position]
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_trade_ledger: dict[str, Any]
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_syms: dict[str, Symbol] = {}
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# init edge case L1 spread
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last_ask: tuple[float, float] = (float('inf'), 0) # price, size
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last_bid: tuple[float, float] = (0, 0)
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async def submit_limit(
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self,
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oid: str, # XXX: see return value
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symbol: str,
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price: float,
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action: str,
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size: float,
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reqid: Optional[str],
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) -> int:
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'''
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Place an order and return integer request id provided by client.
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'''
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if action == 'alert':
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# bypass all fill simulation
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return reqid
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entry = self._reqids.get(reqid)
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if entry:
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# order is already existing, this is a modify
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(oid, symbol, action, old_price) = entry
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else:
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# register order internally
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self._reqids[reqid] = (oid, symbol, action, price)
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# TODO: net latency model
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# we checkpoint here quickly particulalry
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# for dark orders since we want the dark_executed
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# to trigger first thus creating a lookup entry
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# in the broker trades event processing loop
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await trio.sleep(0.05)
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if action == 'sell':
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size = -size
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msg = BrokerdStatus(
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status='open',
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# account=f'paper_{self.broker}',
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account='paper',
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reqid=reqid,
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time_ns=time.time_ns(),
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filled=0.0,
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reason='paper_trigger',
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remaining=size,
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broker_details={'name': 'paperboi'},
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)
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await self.ems_trades_stream.send(msg)
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# if we're already a clearing price simulate an immediate fill
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if (
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action == 'buy' and (clear_price := self.last_ask[0]) <= price
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) or (
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action == 'sell' and (clear_price := self.last_bid[0]) >= price
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):
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await self.fake_fill(
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symbol,
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clear_price,
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size,
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action,
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reqid,
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oid,
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)
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# register this submissions as a paper live order
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else:
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# set the simulated order in the respective table for lookup
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# and trigger by the simulated clearing task normally
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# running ``simulate_fills()``.
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if action == 'buy':
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orders = self._buys
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elif action == 'sell':
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orders = self._sells
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# {symbol -> bidict[oid, (<price data>)]}
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orders[symbol][oid] = (price, size, reqid, action)
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return reqid
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async def submit_cancel(
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self,
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reqid: str,
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) -> None:
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# TODO: fake market simulation effects
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oid, symbol, action, price = self._reqids[reqid]
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if action == 'buy':
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self._buys[symbol].pop(oid, None)
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elif action == 'sell':
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self._sells[symbol].pop(oid, None)
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# TODO: net latency model
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await trio.sleep(0.05)
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msg = BrokerdStatus(
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status='canceled',
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account='paper',
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reqid=reqid,
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time_ns=time.time_ns(),
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broker_details={'name': 'paperboi'},
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)
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await self.ems_trades_stream.send(msg)
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async def fake_fill(
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self,
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fqsn: str,
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price: float,
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size: float,
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action: str, # one of {'buy', 'sell'}
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reqid: str,
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oid: str,
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# determine whether to send a filled status that has zero
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# remaining lots to fill
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order_complete: bool = True,
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remaining: float = 0,
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) -> None:
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'''
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Pretend to fill a broker order @ price and size.
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'''
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# TODO: net latency model
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await trio.sleep(0.05)
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fill_time_ns = time.time_ns()
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fill_time_s = time.time()
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fill_msg = BrokerdFill(
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reqid=reqid,
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time_ns=fill_time_ns,
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action=action,
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size=size,
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price=price,
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broker_time=datetime.now().timestamp(),
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broker_details={
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'paper_info': {
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'oid': oid,
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},
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# mocking ib
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'name': self.broker + '_paper',
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},
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)
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log.info(f'Fake filling order:\n{fill_msg}')
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await self.ems_trades_stream.send(fill_msg)
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if order_complete:
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msg = BrokerdStatus(
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reqid=reqid,
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time_ns=time.time_ns(),
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# account=f'paper_{self.broker}',
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account='paper',
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status='closed',
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filled=size,
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remaining=0 if order_complete else remaining,
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)
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await self.ems_trades_stream.send(msg)
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# lookup any existing position
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key = fqsn.rstrip(f'.{self.broker}')
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t = Transaction(
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fqsn=fqsn,
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sym=self._syms[fqsn],
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tid=oid,
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size=size,
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price=price,
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cost=0, # TODO: cost model
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dt=pendulum.from_timestamp(fill_time_s),
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bsuid=key,
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)
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with (
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open_trade_ledger(self.broker, 'paper') as ledger,
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open_pps(self.broker, 'paper', write_on_exit=True) as table
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):
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tx = t.to_dict()
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tx.pop('sym')
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ledger.update({oid: tx})
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# Write to pps toml right now
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table.update_from_trans({oid: t})
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pp = table.pps[key]
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pp_msg = BrokerdPosition(
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broker=self.broker,
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account='paper',
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symbol=fqsn,
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# TODO: we need to look up the asset currency from
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# broker info. i guess for crypto this can be
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# inferred from the pair?
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currency=key,
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size=pp.size,
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avg_price=pp.ppu,
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)
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await self.ems_trades_stream.send(pp_msg)
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async def simulate_fills(
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quote_stream: tractor.MsgStream, # noqa
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client: PaperBoi,
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) -> None:
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# TODO: more machinery to better simulate real-world market things:
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# - slippage models, check what quantopian has:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/slippage.py
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# * this should help with simulating partial fills in a fast moving mkt
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# afaiu
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# - commisions models, also quantopian has em:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/commission.py
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# - network latency models ??
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# - position tracking:
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# https://github.com/quantopian/zipline/blob/master/zipline/finance/ledger.py
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# this stream may eventually contain multiple symbols
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async for quotes in quote_stream:
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for sym, quote in quotes.items():
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for tick in iterticks(
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quote,
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# dark order price filter(s)
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types=('ask', 'bid', 'trade', 'last')
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):
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tick_price = tick['price']
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buys: bidict[str, tuple] = client._buys[sym]
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iter_buys = reversed(sorted(
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buys.values(),
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key=itemgetter(0),
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))
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def buy_on_ask(our_price):
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return tick_price <= our_price
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sells: bidict[str, tuple] = client._sells[sym]
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iter_sells = sorted(
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sells.values(),
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key=itemgetter(0)
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)
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def sell_on_bid(our_price):
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return tick_price >= our_price
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match tick:
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# on an ask queue tick, only clear buy entries
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case {
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'price': tick_price,
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'type': 'ask',
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}:
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client.last_ask = (
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tick_price,
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tick.get('size', client.last_ask[1]),
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)
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iter_entries = zip(
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iter_buys,
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itertools.repeat(buy_on_ask)
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)
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# on a bid queue tick, only clear sell entries
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case {
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'price': tick_price,
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'type': 'bid',
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}:
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client.last_bid = (
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tick_price,
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tick.get('size', client.last_bid[1]),
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)
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iter_entries = zip(
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iter_sells,
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itertools.repeat(sell_on_bid)
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)
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# TODO: fix this block, though it definitely
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# costs a lot more CPU-wise
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# - doesn't seem like clears are happening still on
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# "resting" limit orders?
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case {
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'price': tick_price,
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'type': ('trade' | 'last'),
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}:
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# in the clearing price / last price case we
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# want to iterate both sides of our book for
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# clears since we don't know which direction the
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# price is going to move (especially with HFT)
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# and thus we simply interleave both sides (buys
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# and sells) until one side clears and then
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# break until the next tick?
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def interleave():
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for pair in zip(
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iter_buys,
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iter_sells,
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):
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for order_info, pred in zip(
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pair,
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itertools.cycle([buy_on_ask, sell_on_bid]),
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):
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yield order_info, pred
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iter_entries = interleave()
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# NOTE: all other (non-clearable) tick event types
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# - we don't want to sping the simulated clear loop
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# below unecessarily and further don't want to pop
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# simulated live orders prematurely.
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case _:
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continue
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# iterate all potentially clearable book prices
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# in FIFO order per side.
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for order_info, pred in iter_entries:
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(our_price, size, reqid, action) = order_info
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# print(order_info)
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clearable = pred(our_price)
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if clearable:
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# pop and retreive order info
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oid = {
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'buy': buys,
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'sell': sells
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}[action].inverse.pop(order_info)
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# clearing price would have filled entirely
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await client.fake_fill(
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fqsn=sym,
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# todo slippage to determine fill price
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price=tick_price,
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size=size,
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action=action,
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reqid=reqid,
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oid=oid,
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)
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async def handle_order_requests(
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client: PaperBoi,
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ems_order_stream: tractor.MsgStream,
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) -> None:
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request_msg: dict
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async for request_msg in ems_order_stream:
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match request_msg:
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case {'action': ('buy' | 'sell')}:
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order = BrokerdOrder(**request_msg)
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account = order.account
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# error on bad inputs
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reason = None
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if account != 'paper':
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reason = f'No account found:`{account}` (paper only)?'
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elif order.size == 0:
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reason = 'Invalid size: 0'
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if reason:
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log.error(reason)
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await ems_order_stream.send(BrokerdError(
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oid=order.oid,
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symbol=order.symbol,
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reason=reason,
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))
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continue
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reqid = order.reqid or str(uuid.uuid4())
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# deliver ack that order has been submitted to broker routing
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await ems_order_stream.send(
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BrokerdOrderAck(
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oid=order.oid,
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reqid=reqid,
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)
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)
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# call our client api to submit the order
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reqid = await client.submit_limit(
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oid=order.oid,
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symbol=f'{order.symbol}.{client.broker}',
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price=order.price,
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action=order.action,
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size=order.size,
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# XXX: by default 0 tells ``ib_insync`` methods that
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# there is no existing order so ask the client to create
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# a new one (which it seems to do by allocating an int
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# counter - collision prone..)
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reqid=reqid,
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)
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log.info(f'Submitted paper LIMIT {reqid}:\n{order}')
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case {'action': 'cancel'}:
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msg = BrokerdCancel(**request_msg)
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await client.submit_cancel(
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reqid=msg.reqid
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)
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case _:
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log.error(f'Unknown order command: {request_msg}')
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_reqids: bidict[str, tuple] = {}
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_buys: defaultdict[
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str, # symbol
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bidict[
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str, # oid
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tuple[float, float, str, str], # order info
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]
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] = defaultdict(bidict)
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_sells: defaultdict[
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str, # symbol
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bidict[
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str, # oid
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tuple[float, float, str, str], # order info
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]
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] = defaultdict(bidict)
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_positions: dict[str, Position] = {}
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@tractor.context
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async def trades_dialogue(
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ctx: tractor.Context,
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broker: str,
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fqsn: str,
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loglevel: str = None,
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) -> None:
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tractor.log.get_console_log(loglevel)
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async with (
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data.open_feed(
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[fqsn],
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loglevel=loglevel,
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) as feed,
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):
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with open_pps(broker, 'paper') as table:
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# save pps in local state
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_positions.update(table.pps)
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pp_msgs: list[BrokerdPosition] = []
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pos: Position
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token: str # f'{symbol}.{self.broker}'
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for token, pos in _positions.items():
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pp_msgs.append(BrokerdPosition(
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broker=broker,
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account='paper',
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symbol=pos.symbol.front_fqsn(),
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size=pos.size,
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avg_price=pos.ppu,
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))
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await ctx.started((
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pp_msgs,
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['paper'],
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))
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async with (
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ctx.open_stream() as ems_stream,
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trio.open_nursery() as n,
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):
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client = PaperBoi(
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broker,
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ems_stream,
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_buys=_buys,
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_sells=_sells,
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_reqids=_reqids,
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_positions=_positions,
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# TODO: load postions from ledger file
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_trade_ledger={},
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_syms={
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fqsn: flume.symbol
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for fqsn, flume in feed.flumes.items()
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}
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)
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n.start_soon(
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handle_order_requests,
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client,
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ems_stream,
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)
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# paper engine simulator clearing task
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await simulate_fills(feed.streams[broker], client)
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@asynccontextmanager
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async def open_paperboi(
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fqsn: str,
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loglevel: str,
|
|
|
|
) -> Callable:
|
|
'''
|
|
Spawn a paper engine actor and yield through access to
|
|
its context.
|
|
|
|
'''
|
|
broker, symbol, expiry = unpack_fqsn(fqsn)
|
|
service_name = f'paperboi.{broker}'
|
|
|
|
async with (
|
|
tractor.find_actor(service_name) as portal,
|
|
tractor.open_nursery() as tn,
|
|
):
|
|
# only spawn if no paperboi already is up
|
|
# (we likely don't need more then one proc for basic
|
|
# simulated order clearing)
|
|
if portal is None:
|
|
log.info('Starting new paper-engine actor')
|
|
portal = await tn.start_actor(
|
|
service_name,
|
|
enable_modules=[__name__]
|
|
)
|
|
|
|
async with portal.open_context(
|
|
trades_dialogue,
|
|
broker=broker,
|
|
fqsn=fqsn,
|
|
loglevel=loglevel,
|
|
|
|
) as (ctx, first):
|
|
yield ctx, first
|