Code

LIFO/"breakeven" pps for ib#336

Code

Merged

goodboy merged 58 commits intomasterpikers/piker:masterfrom lifo_pps_ibpikers/piker:lifo_pps_ibCopy head branch name to clipboardJun 29, 2022

+1,713-359

Commits

Commits on Jun 28, 2022

• Add open_trade_ledger() for writing <confdir>/ledgers/trades_<broker>_<acct>.toml files

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• Simplify trades ledger collection to single pass loop

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• Convert accounts table to bidict after config load

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• Start piker.pp module, LIFO pp updates

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• Drop old trade log config writing code

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• Delegate paper engine pp tracking to new type

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• Make our Symbol a msgspec.Struct

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• Add API trade/exec entry parsing and ledger updates

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• Extend trade-record tools, add ledger to pps extraction

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• Call it pps.toml, allows toml passthrough kwargs

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• Implement updates and write to config: pps.toml

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• Cut schema-related comment down to major sections

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• Ensure .fills are filled in during object construct..

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• Use new ledger pps but cross-ref with what ib says

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• Better doc strings and detailed comments

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• Move open_trade_ledger() to pp mod, add get_pps()

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• Use IB.fills() method for Client.trades()

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• Add transaction costs to "fills"

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• Use new Position.bsuid field throughout

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• Many, many ib trade log schema hackz

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• Maybe load from ledger in get_pps(), allow account filtering

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• Filter pps loading to client-active accounts set

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• Return object form from update_pps_conf()

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• Add update_and_audit() in prep for rt per-trade-event pp udpates

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• Get real-time trade oriented pp updates workin

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• Only finally-write around the ledger yield up

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• Drop global proxies table, isn't multi-task safe..

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• Allow packing pps by a different key set

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• Only emit pps msg for trade triggering instrument

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• Ugh, hack our own toml encoder since it seems everything in the lib is half-baked..

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• Support pp expiries, datetimes on transactions

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• Port everything to Position.be_price

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• Add expiry and datetime support to ledger parsing

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• Passthrough toml lib kwargs

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• Write clears table as a list of tables in toml

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• Key pps by bsuid to avoid incorrect disparate entries

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• Fix null case return

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• Drop ledger entries that have no transaction id

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• Support pp audits with multiple accounts

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• Support re-processing a filtered ledger entry set

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• Strip ib prefix before acctid use

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• Add draft ip-mismatch skip case

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• Add tomli as dep being fastest in the west

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• Make pp msg .currency not required

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• Support per-symbol reload from ledger pp loading

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• Fixes for newly opened and closed pps

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• Reset the clears table on zero size conditions

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• Simplify updates to single-pass, fix clears minimizing

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• Right, zero sized "closed out" msgs are totally fine

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• Terser startup msg fields

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• Cost part of position breakeven calc is direction dependent

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• Build out adhoc sym map from futes list

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• Use sign of the new size which indicates direction of position

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• Use new adhoc sym map for symbols without exchange tags (usually futes)

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• Comment-drop adhoc symbol (futes) matching in search

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• Add tractor breaker assert..

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• Fix field name to new .bsuid

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Commits on Jun 29, 2022

• Put swb2 in venue filter for now

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