basic bot: add real-time price trailer (task) that keeps bid price 0.0005% below last clear value

Author: goodboy

examples/basic_order_bot.py

@@ -1,18 +1,29 @@
+from pprint import pformat
+from functools import partial
+from decimal import Decimal
+from typing import Callable
+
 import tractor
 import trio
 from uuid import uuid4
 
+from piker.accounting import dec_digits
 from piker.clearing import (
     open_ems,
     OrderClient,
 )
-
 # TODO: we should probably expose these top level in this subsys?
 from piker.clearing._messages import (
     Order,
     Status,
     BrokerdPosition,
 )
+from piker.data import (
+    Flume,
+    open_feed,
+    Feed,
+    ShmArray,
+)
 
 
 async def wait_for_order_status(
@@ -66,25 +77,24 @@ async def bot_main():
 
     ll: str = 'info'
 
-    # open an order ctl client
+    # open an order ctl client, live data feed, trio nursery for
+    # spawning an order trailer task
     client: OrderClient
     trades_stream: tractor.MsgStream
+    feed: Feed
     accounts: list[str]
 
     fqme: str = 'btcusdt.usdtm.perp.binance'
 
     async with (
 
+        # TODO: do this implicitly inside `open_ems()` ep below?
         # init and sync actor-service runtime
         maybe_open_pikerd(
             loglevel=ll,
-            debug_mode=False,
+            debug_mode=True,
 
         ),
-        tractor.wait_for_actor(
-            'pikerd',
-        ),
-
         open_ems(
             fqme,
             mode='paper',  # {'live', 'paper'}
@@ -97,14 +107,81 @@ async def bot_main():
             _,  # positions
             accounts,
             _,  # dialogs
-        )
+        ),
+
+        open_feed(
+            fqmes=[fqme],
+            loglevel=ll,
+
+            # TODO: if you want to throttle via downsampling
+            # how many tick updates your feed received on
+            # quote streams B)
+            # tick_throttle=10,
+        ) as feed,
+
+        trio.open_nursery() as tn,
     ):
         print(f'Loaded binance accounts: {accounts}')
 
-        price: float = 30e3  # non-clearable
+        flume: Flume = feed.flumes[fqme]
+        min_tick = Decimal(flume.mkt.price_tick)
+        min_tick_digits: int = dec_digits(min_tick)
+        price_round: Callable = partial(
+            round,
+            ndigits=min_tick_digits,
+        )
+
+        quote_stream: trio.abc.ReceiveChannel = feed.streams['binance']
+
+
+        clear_margin: float = 0.9995
+
+        async def trailer(
+            order: Order,
+        ):
+            # ref shm OHLCV array
+            s_shm: ShmArray = flume.rt_shm
+            m_shm: ShmArray = flume.hist_shm
+
+            # NOTE: if you wanted to frame ticks by type like the
+            # the quote throttler does.
+            # from piker.data._sampling import frame_ticks
+
+            async for quotes in quote_stream:
+                for fqme, quote in quotes.items():
+                    for tick in quote.get('ticks', ()):
+                        print(
+                            f'{fqme} ticks:\n{pformat(tick)}\n\n'
+                            f'last 1s OHLC:\n{s_shm.array[-1]}\n'
+                            f'last 1m OHLC:\n{m_shm.array[-1]}\n'
+                        )
+
+                        # always keep live limit 2% below last
+                        # clearing price
+                        if tick['type'] == 'trade':
+                            await client.update(
+                                uuid=order.oid,
+                                price=price_round(
+                                    clear_margin
+                                    *
+                                    tick['price']
+                                ),
+                            )
+                            msgs, pps = await wait_for_order_status(
+                                trades_stream,
+                                oid,
+                                'open'
+                            )
+
+
+        # setup order dialog via first msg
         size: float = 0.01
+        price: float = price_round(
+                clear_margin
+                *
+                flume.first_quote['last']
+        )
         oid: str = str(uuid4())
-
         order = Order(
             exec_mode='live',  # {'dark', 'live', 'alert'}
             action='buy',  # TODO: remove this from our schema?
@@ -116,6 +193,7 @@ async def bot_main():
             price=price,
             brokers=['binance'],
         )
+
         await client.send(order)
 
         msgs, pps = await wait_for_order_status(
@@ -127,6 +205,9 @@ async def bot_main():
         assert not pps
         assert msgs[-1].oid == oid
 
+        # start "trailer task" which tracks rt quote stream
+        tn.start_soon(trailer, order)
+
         try:
             # wait for ctl-c from user..
             await trio.sleep_forever()
@@ -138,6 +219,7 @@ async def bot_main():
                 oid,
                 'canceled'
             )
+            raise
 
 
 if __name__ == '__main__':