moving to extravm

main.py

@@ -1,3 +1,20 @@
+'''
+Atwater Trading: Perpetual Futures Funding Rate
+
+TODO:
+- Update switch signal to account for diff in leverage (right now its just pure rate)
+    - Can do by calculating based on expected alpha in dollar terms and then back over the collateral for percent - be careful fees are correctly accounted for in dollar terms.
+- WS Stability
+    - Make sure every WS has reconnect and can handle failure scenarios
+    - Create health service (or add to orchestrator) to check that WS outputs are recent and not delayed, kill algo and alert if delayed.
+- GUI
+    - NG basic dashboard to show algo summary, bfr, grid of trades/positions/orders/pnl, graph of ratios, prices, orders, fills, pnl, etc.
+- Infra
+    - Move off AWS to a cheaper option (NYCServers, QuantVPS)
+    - Shutdown old VPS in NYC
+
+'''
+
 from x10.utils.http import WrappedApiResponse
 from x10.perpetual.trading_client.trading_client import PerpetualTradingClient
 import asyncio
@@ -28,6 +45,7 @@ import modules.aster_auth as aster_auth
 import modules.extended_auth as extend_auth
 import modules.structs as structs
 
+
 ### Clients ###
 EXTEND_CLIENT: PerpetualTradingClient
 CON: AsyncContextManager
@@ -535,6 +553,10 @@ async def handle_order_updates(exch: str, local_open_orders: list[dict], ws_open
                     if order_update_status in ['CANCELLED','CANCELED']:
                         logging.info(f'{exch} ORDER CANCELLED: {order_id}')
                         local_open_orders.pop(idx)
+                        if exch=='ASTER':
+                            Aster.cancel_request_pending = False
+                        else:
+                            Extend.cancel_request_pending = False
                         # utils.send_tg_alert(f'FR_ALGO - {exch} REJECTED ({order_id})')
                     elif order_update_status in ['EXPIRED','REJECTED']:
                         logging.info(f'{exch} ORDER REJECTED or EXPIRED: {order_id}')
@@ -542,9 +564,11 @@ async def handle_order_updates(exch: str, local_open_orders: list[dict], ws_open
                         if exch=='ASTER':
                             Aster.just_rejected_count = Aster.just_rejected_count + 1
                             Config.Config.Price_Worsener_Aster=1
+                            Aster.cancel_request_pending = False
                         else:
                             Extend.just_rejected_count = Extend.just_rejected_count + 1
                             # Config.Config.Price_Worsener_Extend=1
+                            Extend.cancel_request_pending = False
                         if Aster.just_rejected_count > 1 or Extend.just_rejected_count > 1:
                             time.sleep(1)
                             Aster.just_rejected_count = 0
@@ -556,8 +580,10 @@ async def handle_order_updates(exch: str, local_open_orders: list[dict], ws_open
                         if exch=='ASTER':
                             await get_aster_notional_position(resp=ws_pos_updates)
                             Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000
+                            Aster.cancel_request_pending = False
                         else:
                             await get_extend_notional(resp=ws_pos_updates)
+                            Extend.cancel_request_pending = False
                         utils.send_tg_alert(f'FR_ALGO - {exch} PARTIALLY FILLED ({order_id})')
                     elif order_update_status in ['FILLED']:
                         logging.info(f'{exch} ORDER FILLED: {order_id}')
@@ -567,8 +593,10 @@ async def handle_order_updates(exch: str, local_open_orders: list[dict], ws_open
                             # await aster_cancel_all_orders()
                             await get_aster_notional_position(resp=ws_pos_updates)
                             Last_Aster_Fill_Time_Ts = datetime.now().timestamp()*1000
+                            Aster.cancel_request_pending = False
                         else:
                             await extend_cancel_all_orders()
+                            Extend.cancel_request_pending = False
                             await get_extend_notional()
                         utils.send_tg_alert(f'FR_ALGO - {exch} FILLED ({order_id})')
                     else:
@@ -796,6 +824,9 @@ async def get_extend_exch_info(symbol_override: str | None = None):
 
 ### CANCEL ORDERS ###
 async def aster_cancel_all_orders():
+    global Aster
+    global Aster_Open_Orders
+    
     cancel_all_open_orders = {
         "url": "/fapi/v3/allOpenOrders",
         "method": "DELETE",
@@ -803,7 +834,12 @@ async def aster_cancel_all_orders():
             'symbol': Aster.symbol,
         }
     }
-    r = await aster_auth.post_authenticated_url(cancel_all_open_orders)
+    r: dict = await aster_auth.post_authenticated_url(cancel_all_open_orders)  # ty:ignore[invalid-assignment]
+    if r.get('code') == 200 and Aster_Open_Orders:
+        Aster_Open_Orders.pop(0)
+        Aster.cancel_request_pending = False
+    else:
+        Aster.cancel_request_pending = True
     logging.info(f'ASTER CANCEL ALL OPEN ORDERS RESP: {r}')
 
 async def extend_cancel_all_orders():
@@ -1082,7 +1118,10 @@ async def run_algo():
                 if not(aster_target.is_orderable(price=price)) and Aster_Open_Orders:
                     logging.info('ASTER HAS NO TAIL BUT OPEN ORDERS - CANCELLING OPEN ORDERS; SKIPPING')
                     skip = True
-                    await aster_cancel_all_orders()
+                    if not Aster.cancel_request_pending:
+                        await aster_cancel_all_orders()
+                        print_summary(use_logging=True)
+                        
                 if aster_target.is_orderable(price=price) and aster_target.base_tail(price=price) == Decimal('0.00'):
                     logging.info(f'ASTER TRYNG TO ORDER 0.00 BASE QTY, SKIPPING: base_qty: {aster_target.base_tail(price=price)}; {aster_target}')
                     skip = True