def strategy(ctx, group, name, path, low_latency, replay, session_id,
backtest):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.md_path = None
assert not (replay and backtest
), "Replay mode and BackTest mode cannot be selected together"
ctx.replay = replay
ctx.backtest = backtest
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.BACKTEST if ctx.backtest else pyyjj.mode.LIVE
ctx.logger = create_logger(
name, ctx.log_level,
pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
ctx.category = 'strategy'
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
if backtest:
#ctx.md_path = os.path.join(ctx.home, 'md', group, name, 'journal', 'backtest', '00000000.*.journal')
ctx.category = 'md'
ctx.mode = pyyjj.get_mode_name(mode)
ctx.session_id = session_id
backtest_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def unittest(ctx):
pass_ctx_from_parent(ctx)
import unittest
loader = unittest.TestLoader()
suite = loader.discover("python/kungfu/tests")
runner = unittest.TextTestRunner()
runner.run(suite)
def bar(ctx, source, frequency, low_latency):
print(source, frequency, low_latency)
pass_ctx_from_parent(ctx)
ctx.low_latency = low_latency
location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.MD, source, str(frequency)+"_min", ctx.locator)
server = kfext_bar.bar(location, source, frequency, low_latency)
server.run()
def md(ctx, source, low_latency):
pass_ctx_from_parent(ctx)
ctx.name = 'md_' + source
ctx.source = source
ctx.low_latency = low_latency
ctx.logger = create_logger(source, ctx.log_level, pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.MD, source, source, ctx.locator))
run_extension(ctx, EXTENSION_REGISTRY_MD)
def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.category = 'strategy'
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.mode = pyyjj.get_mode_name(mode)
ctx.location = pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator)
ctx.logger = create_logger(name, ctx.log_level, ctx.location)
if path.endswith('.py'):
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
else:
spec = util.spec_from_file_location(
os.path.basename(path).split('.')[0], path)
cpp = util.module_from_spec(spec)
spec.loader.exec_module(cpp)
ctx.strategy = cpp.Strategy(ctx.location)
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def td(ctx, source, account, low_latency):
pass_ctx_from_parent(ctx)
ctx.name = 'td_' + source + '_' + account
ctx.source = source
ctx.account = account
ctx.low_latency = low_latency
ctx.logger = create_logger(source, ctx.log_level, pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.TD, source, account, ctx.locator))
run_extension(ctx, EXTENSION_REGISTRY_TD)
def td(ctx, source, account, low_latency):
pass_ctx_from_parent(ctx)
ctx.db = AccountsDB(
pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM, 'etc', 'kungfu',
ctx.locator), 'accounts')
account_config = ctx.db.get_td_account_config(source, account)
ext = EXTENSION_REGISTRY_TD.get_extension(source)(low_latency, ctx.locator,
account, account_config)
ext.run()
def watcher(ctx, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.session_id = session_id
watcher_instance = Watcher(ctx)
if replay:
ctx.category = 'system'
ctx.group = 'watcher'
ctx.name = 'watcher'
replay_setup.setup(ctx, session_id, watcher, watcher_instance)
watcher_instance.run()
def ledger(ctx, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.session_id = session_id
ledger_instance = Ledger(ctx)
if replay:
ctx.category = 'system'
ctx.group = 'service'
ctx.name = 'ledger'
replay_setup.setup(ctx, session_id, ledger, ledger_instance)
ledger_instance.run()
def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.session_id = session_id
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.logger = create_logger(name, ctx.log_level, pyyjj.location(mode, pyyjj.category.STRATEGY, group, name, ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.category = 'strategy'
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def ping(ctx, times, message):
pass_ctx_from_parent(ctx)
pyyjj.setup_log(ctx.name)
io_device = pyyjj.create_io_device_client(ctx.parent.name)
latency = []
for t in range(times):
start = pyyjj.now_in_nano()
request = {'messsage': message} if message else {}
sent_bytes = io_device.publisher.publish(json.dumps(request))
while not io_device.observer.wait():
pass
rsp_data = io_device.observer.get_notice()
end = pyyjj.now_in_nano()
latency.append(end - start)
recv_bytes = len(rsp_data)
print('[{}] {}/{} bytes time={} ns'.format(t + 1, sent_bytes,
recv_bytes, latency[-1]))
click.echo(
'round-trip min/avg/max/stddev = {:.0f}/{:.0f}/{:.0f}/{:.0f} ns'.
format(numpy.min(latency), numpy.mean(latency), numpy.max(latency),
numpy.std(latency)))
def master(ctx, low_latency):
pass_ctx_from_parent(ctx)
ctx.low_latency = low_latency
server = Master(ctx)
server.run()
def algo(ctx):
pass_ctx_from_parent(ctx)
def bar(ctx, source, time_interval, low_latency):
pass_ctx_from_parent(ctx)
ctx.mode = pyyjj.mode.LIVE
args = {"source": source, "time_interval": time_interval}
instance = pywingchun.BarGenerator(ctx.locator, ctx.mode, low_latency, json.dumps(args))
instance.run()
