Fixed bug in new AlpacaBroker impl

neurallayer · May 7, 2024 · e7b114d · e7b114d
1 parent f260591
commit e7b114d
Show file tree

Hide file tree

Showing 3 changed files with 24 additions and 43 deletions.
diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt
@@ -127,12 +127,10 @@ class AlpacaBroker(
     private fun syncOrders() {
         _account.orders.forEach {
             if (it.open) {
-                val aOrderId = it.order.id
-                logger.info { "open order id=$aOrderId" }
-                val alpacaOrder = alpacaAPI.trader().orders().getOrderByOrderID(UUID.fromString(aOrderId), false)
+                val orderId = UUID.fromString(it.order.id)
+                val alpacaOrder = alpacaAPI.trader().orders().getOrderByOrderID(orderId, false)
+                logger.info { "open order id=$orderId alpaca-order=$alpacaOrder" }
                 updateIAccountOrder(it.order, alpacaOrder)
-            } else {
-                logger.warn("cannot find order=${it.order} in orderMap")
             }
         }
     }
@@ -147,7 +145,6 @@ class AlpacaBroker(
             logger.debug { "received open $order" }
             val rqOrder = toOrder(order)
             _account.initializeOrders(listOf(rqOrder))
-            orderPlacer.addExistingOrder(rqOrder, order.id!!)
             updateIAccountOrder(rqOrder, order)
         }
     }
@@ -280,21 +277,16 @@ class AlpacaBroker(
      * @return the updated account that reflects the latest state
      */
     override fun place(orders: List<Order>) {
-        val now = Instant.now()
 
-        _account.initializeOrders(orders)
         for (order in orders) {
             when (order) {
-                is SingleOrder -> orderPlacer.placeSingleOrder(order)
-                is CancelOrder -> {
-                    val sucess = orderPlacer.cancelOrder(order)
-                    val status = if (sucess) OrderStatus.COMPLETED else OrderStatus.REJECTED
-                    _account.updateOrder(order, now, status)
+                is SingleOrder -> {
+                    orderPlacer.placeSingleOrder(order)
+                    _account.initializeOrders(listOf(order))
                 }
-
+                is CancelOrder -> orderPlacer.cancelOrder(order)
                 else -> {
-                    logger.warn { "unsupported order type order=$order" }
-                    _account.updateOrder(order, now, OrderStatus.REJECTED)
+                    logger.warn { "ignoring unsupported order type order=$order" }
                 }
             }
         }

diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt
@@ -31,18 +31,12 @@ import net.jacobpeterson.alpaca.openapi.trader.model.TimeInForce as OrderTimeInF
  */
 internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val extendedHours: Boolean = false) {
 
-    private val orders = mutableMapOf<Order, String>()
 
-
-    fun cancelOrder(cancellation: CancelOrder): Boolean {
-        if (cancellation !in orders) return false
-
-        val orderId = orders[cancellation.order]
-        alpacaAPI.trader().orders().deleteOrderByOrderID(UUID.fromString(orderId))
-    return true
+    fun cancelOrder(cancellation: CancelOrder) {
+        val orderId = UUID.fromString(cancellation.id)
+        alpacaAPI.trader().orders().deleteOrderByOrderID(orderId)
     }
 
-    fun get(order: Order) = orders[order]
 
 
     private fun TimeInForce.toOrderTimeInForce(): OrderTimeInForce {
@@ -72,18 +66,18 @@ internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val e
             .timeInForce(tif)
             .extendedHours(extendedHours)
 
-       when (order) {
+        when (order) {
 
-           is LimitOrder -> {
-               result.type(OrderType.LIMIT)
-               result.limitPrice(order.limit.toString())
-           }
+            is LimitOrder -> {
+                result.type(OrderType.LIMIT)
+                result.limitPrice(order.limit.toString())
+            }
 
-           is MarketOrder -> result.type(OrderType.MARKET)
+            is MarketOrder -> result.type(OrderType.MARKET)
 
-           else -> throw UnsupportedException("unsupported ordertype $order")
+            else -> throw UnsupportedException("unsupported ordertype $order")
 
-       }
+        }
 
         return result
     }
@@ -109,12 +103,7 @@ internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val e
 
     }
 
-    /**
-     * Add an order that already existed when starting the broker implementation
-     */
-    fun addExistingOrder(rqOrder: Order, id: String) {
-        orders[rqOrder] = id
-    }
+
 
 
 }
diff --git a/roboquant-questdb/src/main/kotlin/org/roboquant/questdb/QuestDBJournal.kt b/roboquant-questdb/src/main/kotlin/org/roboquant/questdb/QuestDBJournal.kt
@@ -92,9 +92,9 @@ class QuestDBJournal(
 
     }
 
-    private inline fun CairoEngine.appendRows(tableName: String, block: TableWriter.() -> Unit) {
-        val token = ctx.getTableToken(tableName)
-        getWriter(token, tableName).use {
+    private inline fun appendRows(block: TableWriter.() -> Unit) {
+        val token = ctx.getTableToken(table)
+        ctx.cairoEngine.getWriter(token, table).use {
             it.block()
             it.commit()
         }
@@ -174,7 +174,7 @@ class QuestDBJournal(
             result.putAll(values)
         }
 
-        engine.appendRows(table) {
+        appendRows {
             val t = event.time.epochMicro
             for ((k, v) in result) {
                 val row = newRow(t)