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Change Position.clears -> .events #510

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goodboy opened this issue May 23, 2023 · 0 comments
Open
1 of 9 tasks

Change Position.clears -> .events #510

goodboy opened this issue May 23, 2023 · 0 comments
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accounting prolly positioning: the accounting of "what/when (is) owned" clearing auction and mm tech: EMS, OMS, algo-trading ledger trade, accounts and other user focal event history tracking, management and storage

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@goodboy
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goodboy commented May 23, 2023 •
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As per related requirements in #345 and a bit of tasking in #489, it
probably makes sense to make this change for flexibility for things in
legacy markets like splits, renames and in modern (crypto) ones
things like transfers, forks, etc..

Please also see #478 for an older issue prior to #489 which describes
this task set in the past where appropriate content has been movied
here.

Note that this issue is a highlevel section of the grander parent
milestone in #515.

Of course the current schema records would just be flipped to {'type': 'clear', ...}.

There's a TODO in the respective .accounting._pos module:

TODO:

  • change .clears -> .events and adding a 'type': 'clear' field
    to each entry to also allow supporting transaction or market structure
    change events:

    • 'split': for stocks which change their float by reducing or
      increasing the number of units in circulation.
    • 'rename': for any asset that is renamed by it's venue/provider.
    • 'transfer': for both fiat and crypto where it pertains to simply
      moving an amount of asset to some other account or wallet and the
      user desires that this affect the size of the position: eg.
      xferring btc to pay for something in a target fiat which the user
      wishes to view as a "sell-for-profit".
    • 'removal': for assets that get discontinued by their
      venue/provider: eg. a shit coin or penny stock that finally is
      deleted from exchange.

  • the above set of market-event types can also be mapped to
    a set of distinct (graphical) icons when displayed on chart:

    • as an eg. we have arrows for clears and alerts..

  • removal of obsoleted top levels fields: eg. split_ratio

  • add nice-to-have summary stats to the top level?

    • bep break even price
    • duration showing time span since last net-zero position?
    • src_fiat to allow defining which mkts the user chooses to project
      to particular "user fiat": the asset-money-tech of choice that the
      user wants to "price the position in terms of"

  • add a top level balances table per account which shows the
    history of asset holdings per every single clear and transfer allowing
    for avoiding non-trading (non clearing) transactions to be filtered
    in position-pnl calcs?

Further preferred adjustments to actual data schema and surrounding
operating machinery:

  • Better TOML libs -> tomlkit for style, tomli(-w) for speed #496 final refinements and hopefully avoiding carrying our own
    fork!

  • finer grained file update update system

  • high-level multi-account PpTable api that would avoid all the
    exit stacks as is currently implemented in the
    ib.broker.trades_dialogue() backend.

  • Avoid Position.size being a state var and instead always
    computed from an
    [e for e in Position.events if e['type'] in {'clear', 'transfer'}]
    using .calc_size()
@goodboy goodboy added clearing auction and mm tech: EMS, OMS, algo-trading ledger trade, accounts and other user focal event history tracking, management and storage accounting prolly positioning: the accounting of "what/when (is) owned" labels May 23, 2023
This was referenced May 23, 2023
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@goodboy goodboy mentioned this issue Jun 9, 2023
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goodboy added a commit that referenced this issue Jul 5, 2023
@goodboy
Rework .accounting.Position calcs to prep for polars
3307dc8 
We're probably going to move to implementing all accounting using
`polars.DataFrame` and friends and thus this rejig preps for a much more
"stateless" implementation of our `Position` type and its internal
pos-accounting metrics: `ppu` and `cumsize`.

Summary:
- wrt to `._pos.Position`:
  - rename `.size`/`.accum_size` to `.cumsize` to be more in line
    with `polars.DataFrame.cumsum()`.
  - make `Position.expiry` delegate to the underlying `.mkt: MktPair`
    handling (hopefully) all edge cases..
  - change over to a new `._events: dict[str, Transaction]` in prep
    for #510 (and friends) and enforce a new `Transaction.etype: str`
    which is by default `clear`.
  - add `.iter_by_type()` which iterates, filters and sorts the
    entries in `._events` from above.
  - add `Position.clearsdict()` which returns the dict-ified and
    datetime-sorted table which can more-or-less be stored in the
    toml account file.
  - add `.minimized_clears()` a new (and close) version of the old
    method which always grabs at least one clear before
    a position-side-polarity-change.
  - mask-drop `.ensure_state()` since there is no more `.size`/`.price`
    state vars (per say) as we always re-calc the ppu and cumsize from
    the clears records on every read.
  - `.add_clear` no longer does bisec insorting since all sorting is
    done on position properties *reads*.
  - move the PPU (price per unit) calculator to a new `.accounting.calcs`
    as well as add in the `iter_by_dt()` clearing transaction sorted
    iterator.
    - also make some fixes to this to handle both lists of `Transaction`
      as well as `dict`s as before.

- start rename of `PpTable` -> `Account` and make a note about adding
  a `.balances` table.
- always `float()` the transaction size/price values since it seems if
  they get processed as `tomlkit.Integer` there's some suuper weird
  double negative on read-then-write to the clears table?
  - something like `cumsize = -1` -> `cumsize = --1` !?!?
- make `load_pps_from_ledger()` work again but now includes some very
  very first draft `polars` df processing from a transaction ledger.
  - use this from the `accounting.cli.disect` subcmd which is also in
    *super early draft* mode ;)
- obviously as mentioned in the `Position` section, add the new `.calcs`
  module with a `.ppu()` calculator func B)
goodboy added a commit that referenced this issue Jul 14, 2023
@goodboy
Rework .accounting.Position calcs to prep for polars
05af2b3 
We're probably going to move to implementing all accounting using
`polars.DataFrame` and friends and thus this rejig preps for a much more
"stateless" implementation of our `Position` type and its internal
pos-accounting metrics: `ppu` and `cumsize`.

Summary:
- wrt to `._pos.Position`:
  - rename `.size`/`.accum_size` to `.cumsize` to be more in line
    with `polars.DataFrame.cumsum()`.
  - make `Position.expiry` delegate to the underlying `.mkt: MktPair`
    handling (hopefully) all edge cases..
  - change over to a new `._events: dict[str, Transaction]` in prep
    for #510 (and friends) and enforce a new `Transaction.etype: str`
    which is by default `clear`.
  - add `.iter_by_type()` which iterates, filters and sorts the
    entries in `._events` from above.
  - add `Position.clearsdict()` which returns the dict-ified and
    datetime-sorted table which can more-or-less be stored in the
    toml account file.
  - add `.minimized_clears()` a new (and close) version of the old
    method which always grabs at least one clear before
    a position-side-polarity-change.
  - mask-drop `.ensure_state()` since there is no more `.size`/`.price`
    state vars (per say) as we always re-calc the ppu and cumsize from
    the clears records on every read.
  - `.add_clear` no longer does bisec insorting since all sorting is
    done on position properties *reads*.
  - move the PPU (price per unit) calculator to a new `.accounting.calcs`
    as well as add in the `iter_by_dt()` clearing transaction sorted
    iterator.
    - also make some fixes to this to handle both lists of `Transaction`
      as well as `dict`s as before.

- start rename of `PpTable` -> `Account` and make a note about adding
  a `.balances` table.
- always `float()` the transaction size/price values since it seems if
  they get processed as `tomlkit.Integer` there's some suuper weird
  double negative on read-then-write to the clears table?
  - something like `cumsize = -1` -> `cumsize = --1` !?!?
- make `load_pps_from_ledger()` work again but now includes some very
  very first draft `polars` df processing from a transaction ledger.
  - use this from the `accounting.cli.disect` subcmd which is also in
    *super early draft* mode ;)
- obviously as mentioned in the `Position` section, add the new `.calcs`
  module with a `.ppu()` calculator func B)
goodboy added a commit that referenced this issue Jul 17, 2023
@goodboy
.accounting: type Transaction.etype as a Literal
430309b 
Start working out the set of possible "txn types" we want to define in
a simple set.

Relates to #510
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accounting prolly positioning: the accounting of "what/when (is) owned" clearing auction and mm tech: EMS, OMS, algo-trading ledger trade, accounts and other user focal event history tracking, management and storage
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