class TestPortfolio:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.logger = Logger(self.clock)
self.trader_id = TestStubs.trader_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Prepare components
self.cache.add_instrument(AUDUSD_SIM)
self.cache.add_instrument(GBPUSD_SIM)
self.cache.add_instrument(BTCUSDT_BINANCE)
self.cache.add_instrument(BTCUSD_BITMEX)
self.cache.add_instrument(ETHUSD_BITMEX)
self.cache.add_instrument(BETTING_INSTRUMENT)
def test_account_when_no_account_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.account(SIM) is None
def test_account_when_account_returns_the_account_facade(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "1513111"),
account_type=AccountType.CASH,
base_currency=None,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
)
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Act
result = self.portfolio.account(BINANCE)
# Assert
assert result.id.issuer == "BINANCE"
def test_balances_locked_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.balances_locked(SIM) is None
def test_margins_init_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.margins_init(SIM) is None
def test_margins_maint_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.margins_maint(SIM) is None
def test_unrealized_pnl_for_instrument_when_no_instrument_returns_none(
self):
# Arrange, Act, Assert
assert self.portfolio.unrealized_pnl(USDJPY_SIM.id) is None
def test_unrealized_pnl_for_venue_when_no_account_returns_empty_dict(self):
# Arrange, Act, Assert
assert self.portfolio.unrealized_pnls(SIM) == {}
def test_net_position_when_no_positions_returns_zero(self):
# Arrange, Act, Assert
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
def test_net_exposures_when_no_positions_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.net_exposures(SIM) is None
def test_is_net_long_when_no_positions_returns_false(self):
# Arrange, Act, Assert
assert self.portfolio.is_net_long(AUDUSD_SIM.id) is False
def test_is_net_short_when_no_positions_returns_false(self):
# Arrange, Act, Assert
assert self.portfolio.is_net_short(AUDUSD_SIM.id) is False
def test_is_flat_when_no_positions_returns_true(self):
# Arrange, Act, Assert
assert self.portfolio.is_flat(AUDUSD_SIM.id) is True
def test_is_completely_flat_when_no_positions_returns_true(self):
# Arrange, Act, Assert
assert self.portfolio.is_flat(AUDUSD_SIM.id) is True
def test_open_value_when_no_account_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.net_exposures(SIM) is None
def test_update_tick(self):
# Arrange
tick = TestStubs.quote_tick_5decimal(GBPUSD_SIM.id)
# Act
self.portfolio.update_tick(tick)
# Assert
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) is None
def test_update_orders_working_cash_account(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "000")
state = AccountState(
account_id=account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create two working orders
order = self.order_factory.limit(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.0"),
Price.from_str("50000.00"),
)
self.cache.add_order(order, position_id=None)
# Act: push order state to ACCEPTED
self.exec_engine.process(
TestStubs.event_order_submitted(order, account_id=account_id))
self.exec_engine.process(
TestStubs.event_order_accepted(order, account_id=account_id))
# Assert
assert self.portfolio.balances_locked(
BINANCE)[USDT].as_decimal() == 50100
def test_update_orders_working_margin_account(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create two working orders
order1 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
order2 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.cache.update_order(order1)
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
self.exec_engine.process(filled1)
# Update the last quote
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("25001.00"),
ask=Price.from_str("25002.00"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
self.portfolio.update_tick(last)
self.portfolio.initialize_orders()
# Assert
assert self.portfolio.margins_init(BINANCE) == {}
def test_order_accept_updates_margin_init(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
state = AccountState(
account_id=AccountId("BETFAIR", "01234"),
account_type=AccountType.MARGIN,
base_currency=GBP,
reported=True,
balances=[
AccountBalance(
currency=GBP,
total=Money(1000, GBP),
free=Money(1000, GBP),
locked=Money(0, GBP),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
AccountFactory.register_calculated_account("BETFAIR")
self.portfolio.update_account(state)
# Create a passive order
order1 = self.order_factory.limit(
BETTING_INSTRUMENT.id,
OrderSide.BUY,
Quantity.from_str("100"),
Price.from_str("0.5"),
)
self.cache.add_order(order1, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(
TestStubs.event_order_accepted(order1,
venue_order_id=VenueOrderId("1")))
self.cache.update_order(order1)
# Act
self.portfolio.initialize_orders()
# Assert
assert self.portfolio.margins_init(BETFAIR)[
BETTING_INSTRUMENT.id] == Money(200, GBP)
def test_update_positions(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10.50000000"),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.cache.update_order(order1)
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
position1 = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position1.apply(fill2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.00000000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("25000.00"),
)
position2 = Position(instrument=BTCUSDT_BINANCE, fill=fill3)
# Update the last quote
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("25001.00"),
ask=Price.from_str("25002.00"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.initialize_positions()
self.portfolio.update_tick(last)
# Assert
assert self.portfolio.is_net_long(BTCUSDT_BINANCE.id)
def test_opening_one_long_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.000000"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("10500.00"),
)
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("10510.00"),
ask=Price.from_str("10511.00"),
bid_size=Quantity.from_str("1.000000"),
ask_size=Quantity.from_str("1.000000"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BINANCE) == {
USDT: Money(105100.00000000, USDT)
}
assert self.portfolio.unrealized_pnls(BINANCE) == {
USDT: Money(100.00000000, USDT)
}
assert self.portfolio.margins_maint(BINANCE) == {
BTCUSDT_BINANCE.id: Money(105.00000000, USDT)
}
assert self.portfolio.net_exposure(BTCUSDT_BINANCE.id) == Money(
105100.00000000, USDT)
assert self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id) == Money(
100.00000000, USDT)
assert self.portfolio.net_position(
order.instrument_id) == Decimal("10.00000000")
assert self.portfolio.is_net_long(order.instrument_id)
assert not self.portfolio.is_net_short(order.instrument_id)
assert not self.portfolio.is_flat(order.instrument_id)
assert not self.portfolio.is_completely_flat()
def test_opening_one_short_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("0.515"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("15000.00"),
)
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("15510.15"),
ask=Price.from_str("15510.25"),
bid_size=Quantity.from_str("12.62"),
ask_size=Quantity.from_str("3.1"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BINANCE) == {
USDT: Money(7987.77875000, USDT)
}
assert self.portfolio.unrealized_pnls(BINANCE) == {
USDT: Money(-262.77875000, USDT)
}
assert self.portfolio.margins_maint(BINANCE) == {
BTCUSDT_BINANCE.id: Money(7.72500000, USDT)
}
assert self.portfolio.net_exposure(BTCUSDT_BINANCE.id) == Money(
7987.77875000, USDT)
assert self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id) == Money(
-262.77875000, USDT)
assert self.portfolio.net_position(
order.instrument_id) == Decimal("-0.515")
assert not self.portfolio.is_net_long(order.instrument_id)
assert self.portfolio.is_net_short(order.instrument_id)
assert not self.portfolio.is_flat(order.instrument_id)
assert not self.portfolio.is_completely_flat()
def test_opening_positions_with_multi_asset_account(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_btcusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("10500.05"),
ask=Price.from_str("10501.51"),
bid_size=Quantity.from_str("2.54"),
ask_size=Quantity.from_str("0.91"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(10000),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BITMEX) == {
ETH: Money(26.59220848, ETH)
}
assert self.portfolio.margins_maint(BITMEX) == {
ETHUSD_BITMEX.id: Money(0.20608962, ETH)
}
assert self.portfolio.net_exposure(ETHUSD_BITMEX.id) == Money(
26.59220848, ETH)
assert self.portfolio.unrealized_pnl(ETHUSD_BITMEX.id) == Money(
0.00000000, ETH)
def test_unrealized_pnl_when_insufficient_data_for_xrate_returns_none(
self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
self.cache.add_order(order, position_id=None)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
self.exec_engine.process(fill)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Act
result = self.portfolio.unrealized_pnls(BITMEX)
# # Assert
assert result == {}
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_xbtusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("50000.00"),
ask=Price.from_str("50000.00"),
bid_size=Quantity.from_str("1"),
ask_size=Quantity.from_str("1"),
ts_event=0,
ts_init=0,
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
self.cache.add_position(position, OMSType.HEDGING)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_xbtusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_xbtusd)
# Act
result = self.portfolio.net_exposures(BITMEX)
# Assert
assert result == {BTC: Money(0.00200000, BTC)}
def test_opening_several_positions_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
self.cache.update_order(order1)
self.cache.update_order(order2)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=GBPUSD_SIM, fill=fill2)
position_opened1 = TestStubs.event_position_opened(position1)
position_opened2 = TestStubs.event_position_opened(position2)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
assert self.portfolio.net_exposures(SIM) == {
USD: Money(210816.00, USD)
}
assert self.portfolio.unrealized_pnls(SIM) == {
USD: Money(10816.00, USD)
}
assert self.portfolio.margins_maint(SIM) == {
AUDUSD_SIM.id: Money(3002.00, USD),
GBPUSD_SIM.id: Money(3002.00, USD),
}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(
80501.00, USD)
assert self.portfolio.net_exposure(GBPUSD_SIM.id) == Money(
130315.00, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(
-19499.00, USD)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(
30315.00, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(100000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(100000)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert not self.portfolio.is_flat(AUDUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
def test_modifying_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.portfolio.update_tick(last_audusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(50000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(
TestStubs.event_position_changed(position))
# Assert
assert self.portfolio.net_exposures(SIM) == {USD: Money(40250.50, USD)}
assert self.portfolio.unrealized_pnls(SIM) == {
USD: Money(-9749.50, USD)
}
assert self.portfolio.margins_maint(SIM) == {
AUDUSD_SIM.id: Money(1501.00, USD)
}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(
40250.50, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(
-9749.50, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(50000)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert not self.portfolio.is_flat(AUDUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
assert self.portfolio.unrealized_pnls(BINANCE) == {}
assert self.portfolio.net_exposures(BINANCE) is None
def test_closing_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00010"),
)
position.apply(order2_filled)
self.cache.update_position(position)
# Act
self.portfolio.update_position(
TestStubs.event_position_closed(position))
# Assert
assert self.portfolio.net_exposures(SIM) == {}
assert self.portfolio.unrealized_pnls(SIM) == {}
assert self.portfolio.margins_maint(SIM) == {}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
assert not self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert self.portfolio.is_flat(AUDUSD_SIM.id)
assert self.portfolio.is_completely_flat()
def test_several_positions_with_different_instruments_updates_portfolio(
self):
# Arrange
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00100"),
)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=AUDUSD_SIM, fill=fill2)
position3 = Position(instrument=GBPUSD_SIM, fill=fill3)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.cache.add_position(position3, OMSType.HEDGING)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position1))
self.portfolio.update_position(
TestStubs.event_position_opened(position2))
self.portfolio.update_position(
TestStubs.event_position_opened(position3))
position3.apply(fill4)
self.cache.update_position(position3)
self.portfolio.update_position(
TestStubs.event_position_closed(position3))
# Assert
assert {
USD: Money(-38998.00, USD)
} == self.portfolio.unrealized_pnls(SIM)
assert {
USD: Money(161002.00, USD)
} == self.portfolio.net_exposures(SIM)
assert Money(161002.00,
USD) == self.portfolio.net_exposure(AUDUSD_SIM.id)
assert Money(-38998.00,
USD) == self.portfolio.unrealized_pnl(AUDUSD_SIM.id)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(200000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(0)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert self.portfolio.is_flat(GBPUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
class TradingNode:
"""
Provides an asynchronous network node for live trading.
Parameters
----------
config : TradingNodeConfig, optional
The configuration for the instance.
Raises
------
TypeError
If `config` is not of type `TradingNodeConfig`.
"""
def __init__(self, config: Optional[TradingNodeConfig] = None):
if config is None:
config = TradingNodeConfig()
PyCondition.not_none(config, "config")
PyCondition.type(config, TradingNodeConfig, "config")
# Configuration
self._config = config
# Setup loop
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._loop.set_debug(config.loop_debug)
# Components
self._clock = LiveClock(loop=self._loop)
self._uuid_factory = UUIDFactory()
self.created_time = self._clock.utc_now()
self._is_running = False
# Identifiers
self.trader_id = TraderId(config.trader_id)
self.machine_id = socket.gethostname()
self.instance_id = self._uuid_factory.generate()
# Setup logging
self._logger = LiveLogger(
loop=self._loop,
clock=self._clock,
trader_id=self.trader_id,
machine_id=self.machine_id,
instance_id=self.instance_id,
level_stdout=LogLevelParser.from_str_py(config.log_level.upper()),
)
self._log = LoggerAdapter(
component_name=type(self).__name__,
logger=self._logger,
)
self._log_header()
self._log.info("Building...")
if platform.system() != "Windows":
# Windows does not support signal handling
# https://stackoverflow.com/questions/45987985/asyncio-loops-add-signal-handler-in-windows
self._setup_loop()
########################################################################
# Build platform
########################################################################
if config.cache_database is None or config.cache_database.type == "in-memory":
cache_db = None
elif config.cache_database.type == "redis":
cache_db = RedisCacheDatabase(
trader_id=self.trader_id,
logger=self._logger,
serializer=MsgPackSerializer(timestamps_as_str=True),
config=config.cache_database,
)
else: # pragma: no cover (design-time error)
raise ValueError(
"The cache_db_type in the configuration is unrecognized, "
"can one of {{'in-memory', 'redis'}}.",
)
self._msgbus = MessageBus(
trader_id=self.trader_id,
clock=self._clock,
logger=self._logger,
)
self._cache = Cache(
database=cache_db,
logger=self._logger,
config=config.cache,
)
self.portfolio = Portfolio(
msgbus=self._msgbus,
cache=self._cache,
clock=self._clock,
logger=self._logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
msgbus=self._msgbus,
cache=self._cache,
clock=self._clock,
logger=self._logger,
config=config.data_engine,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
msgbus=self._msgbus,
cache=self._cache,
clock=self._clock,
logger=self._logger,
config=config.exec_engine,
)
self._exec_engine.load_cache()
self._risk_engine = LiveRiskEngine(
loop=self._loop,
portfolio=self.portfolio,
msgbus=self._msgbus,
cache=self._cache,
clock=self._clock,
logger=self._logger,
config=config.risk_engine,
)
self.trader = Trader(
trader_id=self.trader_id,
msgbus=self._msgbus,
cache=self._cache,
portfolio=self.portfolio,
data_engine=self._data_engine,
risk_engine=self._risk_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=self._logger,
)
if config.load_strategy_state:
self.trader.load()
# Setup persistence (requires trader)
self.persistence_writers: List[Any] = []
if config.persistence:
self._setup_persistence(config=config.persistence)
self._builder = TradingNodeBuilder(
loop=self._loop,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
msgbus=self._msgbus,
cache=self._cache,
clock=self._clock,
logger=self._logger,
log=self._log,
)
self._log.info("INITIALIZED.")
self.time_to_initialize = self._clock.delta(self.created_time)
self._log.info(f"Initialized in {int(self.time_to_initialize.total_seconds() * 1000)}ms.")
self._is_built = False
@property
def is_running(self) -> bool:
"""
If the trading node is running.
Returns
-------
bool
"""
return self._is_running
@property
def is_built(self) -> bool:
"""
If the trading node clients are built.
Returns
-------
bool
"""
return self._is_built
def get_event_loop(self) -> asyncio.AbstractEventLoop:
"""
Return the event loop of the trading node.
Returns
-------
asyncio.AbstractEventLoop
"""
return self._loop
def get_logger(self) -> LiveLogger:
"""
Return the logger for the trading node.
Returns
-------
LiveLogger
"""
return self._logger
def add_log_sink(self, handler: Callable[[Dict], None]):
"""
Register the given sink handler with the nodes logger.
Parameters
----------
handler : Callable[[Dict], None]
The sink handler to register.
Raises
------
KeyError
If `handler` already registered.
"""
self._logger.register_sink(handler=handler)
def add_data_client_factory(self, name: str, factory):
"""
Add the given data client factory to the node.
Parameters
----------
name : str
The name of the client factory.
factory : LiveDataClientFactory or LiveExecutionClientFactory
The factory to add.
Raises
------
ValueError
If `name` is not a valid string.
KeyError
If `name` has already been added.
"""
self._builder.add_data_client_factory(name, factory)
def add_exec_client_factory(self, name: str, factory):
"""
Add the given execution client factory to the node.
Parameters
----------
name : str
The name of the client factory.
factory : LiveDataClientFactory or LiveExecutionClientFactory
The factory to add.
Raises
------
ValueError
If `name` is not a valid string.
KeyError
If `name` has already been added.
"""
self._builder.add_exec_client_factory(name, factory)
def build(self) -> None:
"""
Build the nodes clients.
"""
if self._is_built:
raise RuntimeError("the trading nodes clients are already built.")
self._builder.build_data_clients(self._config.data_clients)
self._builder.build_exec_clients(self._config.exec_clients)
self._is_built = True
def start(self) -> Optional[asyncio.Task]:
"""
Start the trading node.
"""
if not self._is_built:
raise RuntimeError(
"The trading nodes clients have not been built. "
"Please run `node.build()` prior to start."
)
try:
if self._loop.is_running():
return self._loop.create_task(self._run())
else:
self._loop.run_until_complete(self._run())
return None
except RuntimeError as ex:
self._log.exception("Error on run", ex)
return None
def stop(self) -> None:
"""
Stop the trading node gracefully.
After a specified delay the internal `Trader` residuals will be checked.
If save strategy is specified then strategy states will then be saved.
"""
try:
if self._loop.is_running():
self._loop.create_task(self._stop())
else:
self._loop.run_until_complete(self._stop())
except RuntimeError as ex:
self._log.exception("Error on stop", ex)
def dispose(self) -> None:
"""
Dispose of the trading node.
Gracefully shuts down the executor and event loop.
"""
try:
timeout = self._clock.utc_now() + timedelta(seconds=self._config.timeout_disconnection)
while self._is_running:
time.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.warning(
f"Timed out ({self._config.timeout_disconnection}s) waiting for node to stop."
f"\nStatus"
f"\n------"
f"\nDataEngine.check_disconnected() == {self._data_engine.check_disconnected()}"
f"\nExecEngine.check_disconnected() == {self._exec_engine.check_disconnected()}"
)
break
self._log.info("DISPOSING...")
self._log.debug(f"{self._data_engine.get_run_queue_task()}")
self._log.debug(f"{self._exec_engine.get_run_queue_task()}")
self._log.debug(f"{self._risk_engine.get_run_queue_task()}")
self.trader.dispose()
self._data_engine.dispose()
self._exec_engine.dispose()
self._risk_engine.dispose()
self._log.info("Shutting down executor...")
if sys.version_info >= (3, 9):
# cancel_futures added in Python 3.9
self._executor.shutdown(wait=True, cancel_futures=True)
else:
self._executor.shutdown(wait=True)
self._log.info("Stopping event loop...")
self._cancel_all_tasks()
self._loop.stop()
except RuntimeError as ex:
self._log.exception("Error on dispose", ex)
finally:
if self._loop.is_running():
self._log.warning("Cannot close a running event loop.")
else:
self._log.info("Closing event loop...")
self._loop.close()
# Check and log if event loop is running
if self._loop.is_running():
self._log.warning(f"loop.is_running={self._loop.is_running()}")
else:
self._log.info(f"loop.is_running={self._loop.is_running()}")
# Check and log if event loop is closed
if not self._loop.is_closed():
self._log.warning(f"loop.is_closed={self._loop.is_closed()}")
else:
self._log.info(f"loop.is_closed={self._loop.is_closed()}")
self._log.info("DISPOSED.")
def _log_header(self) -> None:
nautilus_header(self._log)
self._log.info(f"redis {redis.__version__}") # type: ignore
self._log.info(f"msgpack {msgpack.version[0]}.{msgpack.version[1]}.{msgpack.version[2]}")
if uvloop_version:
self._log.info(f"uvloop {uvloop_version}")
self._log.info("\033[36m=================================================================")
def _setup_loop(self) -> None:
if self._loop.is_closed():
self._log.error("Cannot setup signal handling (event loop was closed).")
return
signal.signal(signal.SIGINT, signal.SIG_DFL)
signals = (signal.SIGTERM, signal.SIGINT, signal.SIGABRT)
for sig in signals:
self._loop.add_signal_handler(sig, self._loop_sig_handler, sig)
self._log.debug(f"Event loop signal handling setup for {signals}.")
def _setup_persistence(self, config: PersistenceConfig) -> None:
# Setup persistence
path = f"{config.catalog_path}/live/{self.instance_id}.feather"
writer = FeatherWriter(
path=path,
fs_protocol=config.fs_protocol,
flush_interval=config.flush_interval,
)
self.persistence_writers.append(writer)
self.trader.subscribe("*", writer.write)
self._log.info(f"Persisting data & events to {path=}")
# Setup logging
if config.persist_logs:
def sink(record, f):
f.write(orjson.dumps(record) + b"\n")
path = f"{config.catalog_path}/logs/{self.instance_id}.log"
log_sink = open(path, "wb")
self.persistence_writers.append(log_sink)
self._logger.register_sink(partial(sink, f=log_sink))
self._log.info(f"Persisting logs to {path=}")
def _loop_sig_handler(self, sig) -> None:
self._loop.remove_signal_handler(signal.SIGTERM)
self._loop.add_signal_handler(signal.SIGINT, lambda: None)
self._log.warning(f"Received {sig!s}, shutting down...")
self.stop()
async def _run(self) -> None:
try:
self._log.info("STARTING...")
self._is_running = True
# Start system
self._logger.start()
self._data_engine.start()
self._exec_engine.start()
self._risk_engine.start()
# Connect all clients
self._data_engine.connect()
self._exec_engine.connect()
# Await engine connection and initialization
self._log.info(
f"Waiting for engines to connect and initialize "
f"({self._config.timeout_connection}s timeout)...",
color=LogColor.BLUE,
)
if not await self._await_engines_connected():
self._log.warning(
f"Timed out ({self._config.timeout_connection}s) waiting for engines to connect and initialize."
f"\nStatus"
f"\n------"
f"\nDataEngine.check_connected() == {self._data_engine.check_connected()}"
f"\nExecEngine.check_connected() == {self._exec_engine.check_connected()}"
)
return
self._log.info("Engines connected.", color=LogColor.GREEN)
# Await execution state reconciliation
self._log.info(
f"Waiting for execution state to reconcile "
f"({self._config.timeout_reconciliation}s timeout)...",
color=LogColor.BLUE,
)
if not await self._exec_engine.reconcile_state(
timeout_secs=self._config.timeout_reconciliation,
):
self._log.error("Execution state could not be reconciled.")
return
self._log.info("State reconciled.", color=LogColor.GREEN)
# Initialize portfolio
self.portfolio.initialize_orders()
self.portfolio.initialize_positions()
# Await portfolio initialization
self._log.info(
"Waiting for portfolio to initialize "
f"({self._config.timeout_portfolio}s timeout)...",
color=LogColor.BLUE,
)
if not await self._await_portfolio_initialized():
self._log.warning(
f"Timed out ({self._config.timeout_portfolio}s) waiting for portfolio to initialize."
f"\nStatus"
f"\n------"
f"\nPortfolio.initialized == {self.portfolio.initialized}"
)
return
self._log.info("Portfolio initialized.", color=LogColor.GREEN)
# Start trader and strategies
self.trader.start()
if self._loop.is_running():
self._log.info("RUNNING.")
else:
self._log.warning("Event loop is not running.")
# Continue to run while engines are running...
await self._data_engine.get_run_queue_task()
await self._exec_engine.get_run_queue_task()
await self._risk_engine.get_run_queue_task()
except asyncio.CancelledError as ex:
self._log.error(str(ex))
async def _await_engines_connected(self) -> bool:
# - The data engine clients will be set connected when all
# instruments are received and updated with the data engine.
# - The execution engine clients will be set connected when all
# accounts are updated and the current order and position status is
# reconciled.
# Thus any delay here will be due to blocking network I/O.
seconds = self._config.timeout_connection
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0)
if self._clock.utc_now() >= timeout:
return False
if not self._data_engine.check_connected():
continue
if not self._exec_engine.check_connected():
continue
break
return True # Engines connected
async def _await_portfolio_initialized(self) -> bool:
# - The portfolio will be set initialized when all margin and unrealized
# PnL calculations are completed (maybe waiting on first quotes).
# Thus any delay here will be due to blocking network I/O.
seconds = self._config.timeout_portfolio
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0)
if self._clock.utc_now() >= timeout:
return False
if not self.portfolio.initialized:
continue
break
return True # Portfolio initialized
async def _stop(self) -> None:
self._is_stopping = True
self._log.info("STOPPING...")
if self.trader.is_running:
self.trader.stop()
self._log.info(
f"Awaiting residual state ({self._config.check_residuals_delay}s delay)...",
color=LogColor.BLUE,
)
await asyncio.sleep(self._config.check_residuals_delay)
self.trader.check_residuals()
if self._config.save_strategy_state:
self.trader.save()
# Disconnect all clients
self._data_engine.disconnect()
self._exec_engine.disconnect()
if self._data_engine.is_running:
self._data_engine.stop()
if self._exec_engine.is_running:
self._exec_engine.stop()
if self._risk_engine.is_running:
self._risk_engine.stop()
self._log.info(
f"Waiting for engines to disconnect "
f"({self._config.timeout_disconnection}s timeout)...",
color=LogColor.BLUE,
)
if not await self._await_engines_disconnected():
self._log.error(
f"Timed out ({self._config.timeout_disconnection}s) waiting for engines to disconnect."
f"\nStatus"
f"\n------"
f"\nDataEngine.check_disconnected() == {self._data_engine.check_disconnected()}"
f"\nExecEngine.check_disconnected() == {self._exec_engine.check_disconnected()}"
)
# Clean up remaining timers
timer_names = self._clock.timer_names()
self._clock.cancel_timers()
for name in timer_names:
self._log.info(f"Cancelled Timer(name={name}).")
# Clean up persistence
for writer in self.persistence_writers:
writer.close()
self._log.info("STOPPED.")
self._logger.stop()
self._is_running = False
async def _await_engines_disconnected(self) -> bool:
seconds = self._config.timeout_disconnection
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0)
if self._clock.utc_now() >= timeout:
return False
if not self._data_engine.check_disconnected():
continue
if not self._exec_engine.check_disconnected():
continue
break
return True # Engines disconnected
def _cancel_all_tasks(self) -> None:
to_cancel = asyncio.tasks.all_tasks(self._loop)
if not to_cancel:
self._log.info("All tasks canceled.")
return
for task in to_cancel:
self._log.warning(f"Canceling pending task {task}")
task.cancel()
if self._loop.is_running():
self._log.warning("Event loop still running during `cancel_all_tasks`.")
return
finish_all_tasks: asyncio.Future = asyncio.tasks.gather( # type: ignore
*to_cancel,
loop=self._loop,
return_exceptions=True,
)
self._loop.run_until_complete(finish_all_tasks)
self._log.debug(f"{finish_all_tasks}")
for task in to_cancel: # pragma: no cover
if task.cancelled():
continue
if task.exception() is not None:
self._loop.call_exception_handler(
{
"message": "unhandled exception during asyncio.run() shutdown",
"exception": task.exception(),
"task": task,
}
)
