def do_upload(behemoth_path: str, upload_date: datetime.date,
cloud_upload: bool):
logger.info(f'uploading into Behemoth for upload date = {upload_date}')
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
instr_cache = InstrumentCache(cur, TypeCodeCache(cur))
exchanges = {
'PHEMEX': {
'db_prefix': 'PHEMEX',
'supported_products': {'BTCUSD'}
},
'COINBASEPRO': {
'db_prefix': 'COINBASE_PRO',
'supported_products': {'BTC-USD'}
}
}
for exchange in exchanges.keys():
logger.info(f'Uploading for exchange: {exchange}')
db_prefix = exchanges[exchange]['db_prefix']
supported_products = exchanges[exchange]['supported_products']
for instrument in instr_cache.get_all_exchange_instruments(exchange):
symbol = instrument.get_exchange_instrument_code()
if symbol in supported_products:
upload_trades(behemoth_path, db_prefix, exchange, symbol,
upload_date, cloud_upload)
upload_order_books(behemoth_path, db_prefix, exchange, symbol,
upload_date, cloud_upload)
def generate_tax_report():
conn = connect_serenity_db()
cur = conn.cursor()
type_code_cache = TypeCodeCache(cur)
instrument_cache = InstrumentCache(cur, type_code_cache)
analyzer = TradeAnalyzer(cur, type_code_cache, instrument_cache)
analyzer.run_analysis(['BTC-USD', 'ETH-USD'], 2019, 0.35)
def __init__(self, config: BacktestConfig):
logger = logging.getLogger(__name__)
logger.info('Serenity backtester starting up')
sys.path.append(str(config.get_strategy_basedir()))
bt_env = config.get_env()
exchange_id = bt_env.getenv('EXCHANGE_ID', 'autofill')
instance_id = bt_env.getenv('EXCHANGE_INSTANCE', 'prod')
account = bt_env.getenv('EXCHANGE_ACCOUNT', 'Main')
self.logger.info('Connecting to Serenity database')
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
self.scheduler = HistoricNetworkScheduler(
config.get_start_time_millis(), config.get_end_time_millis())
instrument_cache = InstrumentCache(cur, TypeCodeCache(cur))
oms = OrderManagerService(self.scheduler)
md_service = AzureHistoricMarketdataService(
self.scheduler, bt_env.getenv('AZURE_CONNECT_STR'))
mark_service = MarketdataMarkService(self.scheduler.get_network(),
md_service)
op_service = OrderPlacerService(self.scheduler, oms)
op_service.register_order_placer(
f'{exchange_id}:{instance_id}',
AutoFillOrderPlacer(self.scheduler, oms, md_service, account))
xps = NullExchangePositionService(self.scheduler)
extra_outputs_txt = bt_env.getenv('EXTRA_OUTPUTS')
if extra_outputs_txt is None:
extra_outputs = []
else:
extra_outputs = extra_outputs_txt.split(',')
self.dcs = HDF5DataCaptureService(Mode.BACKTEST, self.scheduler,
extra_outputs)
# wire up orders and fills from OMS
Do(self.scheduler.get_network(), oms.get_orders(),
lambda: self.dcs.capture_order(oms.get_orders().get_value()))
Do(self.scheduler.get_network(), oms.get_order_events(),
lambda: self.dcs.capture_fill(oms.get_order_events().get_value()))
self.strategy_name = config.get_strategy_name()
strategy_env = config.get_strategy_env()
ctx = StrategyContext(self.scheduler, instrument_cache, md_service,
mark_service, op_service,
PositionService(self.scheduler, oms), xps,
self.dcs, strategy_env.values)
strategy_instance = config.get_strategy_instance()
strategy_instance.init(ctx)
strategy_instance.start()
def backfill_coinbase():
conn = connect_serenity_db()
cur = conn.cursor()
type_code_cache = TypeCodeCache(cur)
instrument_cache = InstrumentCache(cur, type_code_cache)
exch_service = ExchangeEntityService(cur, type_code_cache,
instrument_cache)
# create a default account for Coinbase
exchange = type_code_cache.get_by_code(Exchange, 'Coinbase')
account = exch_service.get_or_create_account(
ExchangeAccount(0, exchange, 'default'))
# create a BTC-USD symbol for Coinbase
product_id = 'BTC-USD'
instrument_type = type_code_cache.get_by_code(InstrumentType,
'CurrencyPair')
instrument = instrument_cache.get_or_create_instrument(
product_id, instrument_type)
exchange_instrument = instrument_cache.get_or_create_exchange_instrument(
product_id, instrument, 'Coinbase')
# synthesize market orders and fills for Coinbase purchases
side = type_code_cache.get_by_code(Side, 'Buy')
order_type = type_code_cache.get_by_code(OrderType, 'Market')
tif = type_code_cache.get_by_code(TimeInForce, 'Day')
# noinspection DuplicatedCode
def create_exchange_order_and_fill(price, quantity, fees, order_id,
create_time):
order = ExchangeOrder(0, exchange, exchange_instrument, order_type,
account, side, tif, order_id, price, quantity,
create_time)
order = exch_service.get_or_create_exchange_order(order)
conn.commit()
fill = ExchangeFill(0, price, quantity, fees, order_id, create_time)
fill.set_order(order)
exch_service.get_or_create_exchange_fill(fill)
conn.commit()
# investment purchase
create_exchange_order_and_fill(265.39, 1.13, 2.9993, 1,
datetime(2015, 1, 26))
# residual left in account after payment by Bitcoin
create_exchange_order_and_fill(238.47, 2.1 - 1.68136, 5.013, 2,
datetime(2015, 2, 13))
# investment purchase
create_exchange_order_and_fill(249.05, 0.5, 1.25, 3, datetime(2015, 2, 14))
def do_upload(behemoth_path: str, upload_date: datetime.date):
logger.info(f'uploading into Behemoth for upload date = {upload_date}')
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
instr_cache = InstrumentCache(cur, TypeCodeCache(cur))
exchanges = {'PHEMEX': 'PHEMEX', 'COINBASE_PRO': 'COINBASE_PRO'}
for exchange, db_prefix in exchanges.items():
for instrument in instr_cache.get_all_exchange_instruments(exchange):
symbol = instrument.get_exchange_instrument_code()
upload_trades(behemoth_path, db_prefix, exchange, symbol,
upload_date)
upload_order_books(behemoth_path, db_prefix, exchange, symbol,
upload_date)
import yfinance
from serenity.db.api import connect_serenity_db
def backfill_symbol(symbol):
ticker = yfinance.Ticker(symbol)
marks = ticker.history(period="max")
cur.execute("SELECT instrument_id FROM serenity.instrument WHERE instrument_code = %s", (symbol,))
instrument_id = cur.fetchone()[0]
cur.execute("SELECT mark_type_id FROM serenity.mark_type WHERE mark_type_code = %s", ("YahooDailyClose",))
mark_type_id = cur.fetchone()[0]
for index, row in marks.iterrows():
cur.execute("INSERT INTO serenity.instrument_mark (instrument_id, mark_type_id, mark_time, mark) "
"VALUES (%s, %s, %s, %s)", (instrument_id, mark_type_id, index, float(row['Close'])))
conn.commit()
if __name__ == '__main__':
conn = connect_serenity_db()
cur = conn.cursor()
backfill_symbol("BTC-USD")
backfill_symbol("ETH-USD")
backfill_symbol("ZEC-USD")
def ws_fh_main(create_fh, uri_scheme: str, instance_id: str, journal_path: str, db: str, journal_books: bool = True,
include_symbol: str = '*'):
init_logging()
logger = logging.getLogger(__name__)
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
instr_cache = InstrumentCache(cur, TypeCodeCache(cur))
scheduler = RealtimeNetworkScheduler()
registry = FeedHandlerRegistry()
fh = create_fh(scheduler, instr_cache, include_symbol, instance_id)
registry.register(fh)
for instrument in fh.get_instruments():
symbol = instrument.get_exchange_instrument_code()
if not (symbol == include_symbol or include_symbol == '*'):
continue
# subscribe to FeedState in advance so we know when the Feed is ready to subscribe trades
class SubscribeTrades(Event):
def __init__(self, trade_symbol):
self.trade_symbol = trade_symbol
self.appender = None
def on_activate(self) -> bool:
if fh.get_state().get_value() == FeedHandlerState.LIVE:
feed = registry.get_feed(f'{uri_scheme}:{instance_id}:{self.trade_symbol}')
instrument_code = feed.get_instrument().get_exchange_instrument_code()
journal = Journal(Path(f'{journal_path}/{db}_TRADES/{instrument_code}'))
self.appender = journal.create_appender()
trades = feed.get_trades()
Do(scheduler.get_network(), trades, lambda: self.on_trade_print(trades.get_value()))
return False
def on_trade_print(self, trade):
logger.info(trade)
self.appender.write_double(datetime.utcnow().timestamp())
self.appender.write_long(trade.get_trade_id())
self.appender.write_long(trade.get_trade_id())
self.appender.write_string(trade.get_instrument().get_exchange_instrument_code())
self.appender.write_short(1 if trade.get_side() == Side.BUY else 0)
self.appender.write_double(trade.get_qty())
self.appender.write_double(trade.get_price())
if journal_books:
class SubscribeOrderBook(Event):
def __init__(self, trade_symbol):
self.trade_symbol = trade_symbol
self.appender = None
def on_activate(self) -> bool:
if fh.get_state().get_value() == FeedHandlerState.LIVE:
feed = registry.get_feed(f'{uri_scheme}:{instance_id}:{self.trade_symbol}')
instrument_code = feed.get_instrument().get_exchange_instrument_code()
journal = Journal(Path(f'{journal_path}/{db}_BOOKS/{instrument_code}'))
self.appender = journal.create_appender()
books = feed.get_order_books()
Do(scheduler.get_network(), books, lambda: self.on_book_update(books.get_value()))
return False
def on_book_update(self, book: OrderBook):
self.appender.write_double(datetime.utcnow().timestamp())
if len(book.get_bids()) > 0:
self.appender.write_long(book.get_best_bid().get_qty())
self.appender.write_double(book.get_best_bid().get_px())
else:
self.appender.write_long(0)
self.appender.write_double(0)
if len(book.get_asks()) > 0:
self.appender.write_long(book.get_best_ask().get_qty())
self.appender.write_double(book.get_best_ask().get_px())
else:
self.appender.write_long(0)
self.appender.write_double(0)
scheduler.get_network().connect(fh.get_state(), SubscribeOrderBook(symbol))
scheduler.get_network().connect(fh.get_state(), SubscribeTrades(symbol))
# async start the feedhandler
asyncio.ensure_future(fh.start())
# crash out on any exception
asyncio.get_event_loop().set_exception_handler(custom_asyncio_error_handler)
# go!
asyncio.get_event_loop().run_forever()
def backfill_coinbasepro(api_key: str, api_secret: str, api_passphrase: str):
conn = connect_serenity_db()
cur = conn.cursor()
type_code_cache = TypeCodeCache(cur)
instrument_cache = InstrumentCache(cur, type_code_cache)
exch_service = ExchangeEntityService(cur, type_code_cache,
instrument_cache)
auth_client = coinbasepro.AuthenticatedClient(key=api_key,
secret=api_secret,
passphrase=api_passphrase)
# Coinbase Pro has a notion of account per currency for tracking balances, so we want to pull
# out what it calls the profile, which is the parent exchange account
profile_set = set()
for account in auth_client.get_accounts():
profile_set.add(account['profile_id'])
exchange = type_code_cache.get_by_code(Exchange, "CoinbasePro")
account_by_profile_id = {}
for profile in profile_set:
account = exch_service.get_or_create_account(
ExchangeAccount(0, exchange, profile))
account_by_profile_id[profile] = account
# load up all the orders
for order in auth_client.get_orders(status=['done']):
order_uuid = order['id']
# market orders have no price
if 'price' in order:
price = order['price']
else:
price = None
# market orders that specify "funds" have no size
if 'size' in order:
size = order['size']
else:
size = order['filled_size']
exchange_account = account_by_profile_id[order['profile_id']]
instrument_type = type_code_cache.get_by_code(InstrumentType,
'CurrencyPair')
instrument = instrument_cache.get_or_create_instrument(
order['product_id'], instrument_type)
exchange_instrument = instrument_cache.get_or_create_exchange_instrument(
order['product_id'], instrument, exchange.get_type_code())
side = type_code_cache.get_by_code(Side, order['side'].capitalize())
if order['type'] is None:
order['type'] = 'Market'
order_type = type_code_cache.get_by_code(OrderType,
order['type'].capitalize())
if 'time_in_force' in order:
tif = type_code_cache.get_by_code(TimeInForce,
order['time_in_force'])
else:
tif = type_code_cache.get_by_code(TimeInForce, 'Day')
create_time = order['created_at']
order = ExchangeOrder(0, exchange, exchange_instrument, order_type,
exchange_account, side, tif, order_uuid, price,
size, create_time)
exch_service.get_or_create_exchange_order(order)
conn.commit()
# load up all the fills, linking back to the orders
for product in ['BTC-USD', 'ETH-BTC']:
for fill in auth_client.get_fills(product_id=product):
order_id = fill['order_id']
trade_id = fill['trade_id']
price = fill['price']
size = fill['size']
fees = fill['fee']
create_time = fill['created_at']
order = exch_service.get_entity_by_ak(
ExchangeOrder, (exchange.get_type_code(), order_id))
fill = ExchangeFill(0, price, size, fees, trade_id, create_time)
fill.set_order(order)
exch_service.get_or_create_exchange_fill(fill)
conn.commit()
def backfill_gemini(gemini_api_key: str, gemini_api_secret: str):
conn = connect_serenity_db()
cur = conn.cursor()
type_code_cache = TypeCodeCache(cur)
instrument_cache = InstrumentCache(cur, type_code_cache)
exch_service = ExchangeEntityService(cur, type_code_cache,
instrument_cache)
client = gemini.PrivateClient(gemini_api_key, gemini_api_secret)
for exchange_symbol in ('BTCUSD', 'ETHBTC', 'ZECBTC'):
instrument_symbol = exchange_symbol[0:3] + '-' + exchange_symbol[3:]
instrument_type = type_code_cache.get_by_code(InstrumentType,
'CurrencyPair')
instrument = instrument_cache.get_or_create_instrument(
instrument_symbol, instrument_type)
exchange_instrument = instrument_cache.get_or_create_exchange_instrument(
exchange_symbol.lower(), instrument, 'Gemini')
conn.commit()
exchange = type_code_cache.get_by_code(Exchange, 'Gemini')
for trade in client.get_past_trades(exchange_symbol):
fill_price = trade['price']
quantity = trade['amount']
fees = trade['fee_amount']
side = type_code_cache.get_by_code(Side, trade['type'])
trade_id = trade['tid']
order_uuid = trade['order_id']
create_time_ms = trade['timestampms']
create_time = datetime.utcfromtimestamp(create_time_ms // 1000).\
replace(microsecond=create_time_ms % 1000 * 1000)
# because we cannot get historical exchange orders past 7 days, we need to synthesize limit orders
exchange_account = ExchangeAccount(0, exchange, 'default')
exchange_account = exch_service.get_or_create_account(
exchange_account)
order_type = type_code_cache.get_by_code(OrderType, 'Limit')
tif = type_code_cache.get_by_code(TimeInForce, 'GTC')
order = ExchangeOrder(0, exchange, exchange_instrument, order_type,
exchange_account, side, tif, order_uuid,
fill_price, quantity, create_time)
order = exch_service.get_or_create_exchange_order(order)
conn.commit()
# create the fills and insert, linking back to the synthetic order
fill = ExchangeFill(0, fill_price, quantity, fees, trade_id,
create_time)
fill.set_order(order)
exch_service.get_or_create_exchange_fill(fill)
conn.commit()
for transfer in client.api_query('/v1/transfers', {}):
transfer_type = type_code_cache.get_by_code(ExchangeTransferType,
transfer['type'])
transfer_method = type_code_cache.get_by_code(ExchangeTransferMethod,
"Blockchain")
currency = instrument_cache.get_or_create_currency(
transfer['currency'])
quantity = transfer['amount']
transfer_ref = transfer['txHash']
transfer_time_ms = transfer['timestampms']
transfer_time = datetime.utcfromtimestamp(transfer_time_ms // 1000). \
replace(microsecond=transfer_time_ms % 1000 * 1000)
transfer = ExchangeTransfer(0, exchange, transfer_type,
transfer_method, currency, quantity,
transfer_ref, transfer_time)
exch_service.get_or_create_exchange_transfer(transfer)
conn.commit()
def ws_fh_main(create_fh,
uri_scheme: str,
instance_id: str,
journal_path: str,
db: str,
journal_books: bool = True,
include_symbol: str = '*'):
init_logging()
logger = logging.getLogger(__name__)
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
instr_cache = InstrumentCache(cur, TypeCodeCache(cur))
scheduler = RealtimeNetworkScheduler()
registry = FeedHandlerRegistry()
fh = create_fh(scheduler, instr_cache, include_symbol, instance_id)
registry.register(fh)
# register Prometheus metrics
trade_counter = Counter('serenity_trade_counter',
'Number of trade prints received by feedhandler')
book_update_counter = Counter(
'serenity_book_update_counter',
'Number of book updates received by feedhandler')
for instrument in fh.get_instruments():
symbol = instrument.get_exchange_instrument_code()
if not (symbol == include_symbol or include_symbol == '*'):
continue
# subscribe to FeedState in advance so we know when the Feed is ready to subscribe trades
class SubscribeTrades(Event):
def __init__(self, trade_symbol):
self.trade_symbol = trade_symbol
self.tx_writer = None
def on_activate(self) -> bool:
if fh.get_state().get_value() == FeedHandlerState.LIVE:
feed = registry.get_feed(
f'{uri_scheme}:{instance_id}:{self.trade_symbol}')
instrument_code = feed.get_instrument(
).get_exchange_instrument_code()
txlog = TransactionLog(
Path(f'{journal_path}/{db}_TRADES/{instrument_code}'))
self.tx_writer = txlog.create_writer()
trades = feed.get_trades()
Do(scheduler.get_network(), trades,
lambda: self.on_trade_print(trades.get_value()))
return False
def on_trade_print(self, trade):
trade_counter.inc()
logger.info(trade)
trade_msg = capnp_def.TradeMessage.new_message()
trade_msg.time = datetime.utcnow().timestamp()
trade_msg.tradeId = trade.get_trade_id()
trade_msg.side = capnp_def.Side.buy if trade.get_side(
) == Side.BUY else capnp_def.Side.sell
trade_msg.size = trade.get_qty()
trade_msg.price = trade.get_price()
self.tx_writer.append_msg(trade_msg)
if journal_books:
class SubscribeOrderBook(Event):
def __init__(self, trade_symbol):
self.trade_symbol = trade_symbol
self.tx_writer = None
def on_activate(self) -> bool:
if fh.get_state().get_value() == FeedHandlerState.LIVE:
feed = registry.get_feed(
f'{uri_scheme}:{instance_id}:{self.trade_symbol}')
instrument_code = feed.get_instrument(
).get_exchange_instrument_code()
txlog = TransactionLog(
Path(f'{journal_path}/{db}_BOOKS/{instrument_code}'
))
self.tx_writer = txlog.create_writer()
books = feed.get_order_books()
Do(scheduler.get_network(), books,
lambda: self.on_book_update(books.get_value()))
return False
def on_book_update(self, book: OrderBook):
book_update_counter.inc()
book_msg = capnp_def.Level1BookUpdateMessage.new_message()
book_msg.time = datetime.utcnow().timestamp()
if len(book.get_bids()) > 0:
book_msg.bestBidQty = book.get_best_bid().get_qty()
book_msg.bestBidPx = book.get_best_bid().get_px()
else:
book_msg.bestBidQty = 0
book_msg.bestBidPx = 0
if len(book.get_asks()) > 0:
book_msg.bestAskQty = book.get_best_ask().get_qty()
book_msg.bestAskPx = book.get_best_ask().get_px()
else:
book_msg.bestAskQty = 0
book_msg.bestAskPx = 0
self.tx_writer.append_msg(book_msg)
scheduler.get_network().connect(fh.get_state(),
SubscribeOrderBook(symbol))
scheduler.get_network().connect(fh.get_state(),
SubscribeTrades(symbol))
# launch the monitoring endpoint
start_http_server(8000)
# async start the feedhandler
asyncio.ensure_future(fh.start())
# crash out on any exception
asyncio.get_event_loop().set_exception_handler(
custom_asyncio_error_handler)
# go!
asyncio.get_event_loop().run_forever()
def __init__(self):
self.conn = connect_serenity_db()
self.cur = self.conn.cursor()
def __init__(self, config_path: str, strategy_dir: str):
sys.path.append(strategy_dir)
with open(config_path, 'r') as config_yaml:
logger = logging.getLogger(__name__)
logger.info('Serenity starting up')
config = yaml.safe_load(config_yaml)
api_version = config['api-version']
if api_version != 'v1Beta':
raise ValueError(f'Unsupported API version: {api_version}')
self.engine_env = Environment(config['environment'])
instance_id = self.engine_env.getenv('EXCHANGE_INSTANCE', 'prod')
self.fh_registry = FeedHandlerRegistry()
account = self.engine_env.getenv('EXCHANGE_ACCOUNT', 'Main')
logger.info('Connecting to Serenity database')
conn = connect_serenity_db()
conn.autocommit = True
cur = conn.cursor()
scheduler = RealtimeNetworkScheduler()
instrument_cache = InstrumentCache(cur, TypeCodeCache(cur))
if 'feedhandlers' in config:
logger.info('Registering feedhandlers')
for feedhandler in config['feedhandlers']:
fh_name = feedhandler['exchange']
include_symbol = feedhandler.get('include_symbol', '*')
if fh_name == 'Phemex':
self.fh_registry.register(
PhemexFeedHandler(scheduler, instrument_cache,
include_symbol, instance_id))
elif fh_name == 'CoinbasePro':
self.fh_registry.register(
CoinbaseProFeedHandler(scheduler, instrument_cache,
instance_id))
else:
raise ValueError(
f'Unsupported feedhandler type: {fh_name}')
oms = OrderManagerService(scheduler,
TimescaleDbTradeBookingService())
op_service = OrderPlacerService(scheduler, oms)
md_service = FeedHandlerMarketdataService(scheduler,
self.fh_registry,
instance_id)
mark_service = PhemexMarkService(scheduler, instrument_cache,
instance_id)
self.xps = None
extra_outputs_txt = self.engine_env.getenv('EXTRA_OUTPUTS')
if extra_outputs_txt is None:
extra_outputs = []
else:
extra_outputs = extra_outputs_txt.split(',')
self.dcs = HDF5DataCaptureService(Mode.LIVE, scheduler,
extra_outputs)
if 'order_placers' in config:
logger.info('Registering OrderPlacers')
for order_placer in config['order_placers']:
op_name = order_placer['exchange']
if op_name == 'Phemex':
api_key = self.engine_env.getenv('PHEMEX_API_KEY')
api_secret = self.engine_env.getenv(
'PHEMEX_API_SECRET')
if not api_key:
raise ValueError('missing PHEMEX_API_KEY')
if not api_secret:
raise ValueError('missing PHEMEX_API_SECRET')
credentials = AuthCredentials(api_key, api_secret)
op_service.register_order_placer(
f'phemex:{instance_id}',
PhemexOrderPlacer(credentials, scheduler, oms,
account, instance_id))
self.xps = PhemexExchangePositionService(
credentials, scheduler, instrument_cache, account,
instance_id)
self.ps = PositionService(scheduler, oms)
else:
raise ValueError(
f'Unsupported order placer: {op_name}')
self.strategies = []
self.strategy_names = []
for strategy in config['strategies']:
strategy_name = strategy['name']
self.strategy_names.append(strategy_name)
self.logger.info(f'Loading strategy: {strategy_name}')
module = strategy['module']
strategy_class = strategy['strategy-class']
env = Environment(strategy['environment'],
parent=self.engine_env)
module = importlib.import_module(module)
klass = getattr(module, strategy_class)
strategy_instance = klass()
ctx = StrategyContext(scheduler, instrument_cache, md_service,
mark_service, op_service, self.ps,
self.xps, self.dcs, env.values)
self.strategies.append((strategy_instance, ctx))
