async def tick(self):
"""helper method to ensure periodic methods execute periodically in absence
of market data"""
if self._offline():
# periodics injected manually, see main event loop above
return
while True:
yield Event(type=EventType.HEARTBEAT, target=None)
await asyncio.sleep(1)
def start(self):
try:
# if self.event_loop.is_running():
# # return future
# return asyncio.create_task(self.run())
# block until done
self.event_loop.run_until_complete(self.run())
except KeyboardInterrupt:
pass
# send exit event to all callbacks
asyncio.ensure_future(
self.processEvent(Event(type=EventType.EXIT, target=None)))
async def processEvent(self,
event: Event,
strategy: Strategy = None) -> None:
"""send an event to all registered event handlers
Arguments:
event (Event): event to send
"""
if event.type == EventType.HEARTBEAT:
# ignore heartbeat
return
for callback, handler in self._handler_subscriptions[event.type]:
# TODO make cleaner? move to somewhere not in critical path?
if strategy is not None and (handler
not in (strategy, self.manager)):
continue
# TODO make cleaner? move to somewhere not in critical path?
if (event.type in (
EventType.TRADE,
EventType.OPEN,
EventType.CHANGE,
EventType.CANCEL,
EventType.DATA,
) and not self.manager.dataSubscriptions(handler, event)):
continue
try:
await callback(event)
except KeyboardInterrupt:
raise
except SystemExit:
raise
except BaseException as e:
if event.type == EventType.ERROR:
# don't infinite error
raise
await self.processEvent(
Event(
type=EventType.ERROR,
target=Error(
target=event,
handler=handler,
callback=callback,
exception=e,
),
))
await asyncio.sleep(1)
def pushTrade(self, taker_order, filled_in_txn):
"""push taker order trade"""
if not self.orders:
raise Exception("No maker orders provided")
if taker_order.filled <= 0:
raise Exception("No trade occurred")
if filled_in_txn != self.volume:
raise Exception("Accumulation error occurred")
self.push(
Event(
type=EventType.TRADE,
target=Trade(
volume=self.volume,
price=self.price,
maker_orders=self.orders.copy(),
taker_order=taker_order,
),
))
self._taker_order = taker_order
async def run(self):
"""run the engine"""
# setup future queue
self._queued_events = deque()
self._queued_targeted_events = deque()
# await all connections
await asyncio.gather(*(asyncio.create_task(exch.connect())
for exch in self.exchanges))
await asyncio.gather(*(asyncio.create_task(exch.instruments())
for exch in self.exchanges))
# send start event to all callbacks
await self.processEvent(Event(type=EventType.START, target=None))
# **************** #
# Main event loop
# **************** #
async with merge(
*(exch.tick() for exch in self.exchanges + [self]
if inspect.isasyncgenfunction(exch.tick))).stream() as stream:
# stream through all events
async for event in stream:
# TODO move out of critical path
if self._offline():
# inject periodics
# TODO optimize
# Manager should keep track of the intervals for its periodics,
# then we don't need to go through seconds (which is what the
# live engine's `tick` method does below). Instead we can just
# calculate exactly the intervals
if (self._latest != datetime.fromtimestamp(0)
and hasattr(event, "target")
and hasattr(event.target, "timestamp")):
# TODO in progress optimization
intervals = self.manager.periodicIntervals()
# not the first tick
for _ in range(
int((event.target.timestamp -
self._latest).total_seconds() /
intervals)):
self._latest = self._latest + timedelta(seconds=1 *
intervals)
if any(
p.expires(self._latest)
for p in self.manager.periodics()):
await asyncio.gather(
*(asyncio.create_task(
p.execute(self._latest))
for p in self.manager.periodics()
if p.expires(self._latest)))
# tick exchange event to handlers
await self.processEvent(event)
# TODO move out of critical path
if self._offline():
# use time of last event
self._latest = (event.target.timestamp
if hasattr(event, "target")
and hasattr(event.target, "timestamp") else
self._latest)
else:
# use now
self._latest = datetime.now()
# process any secondary events
while self._queued_events:
event = self._queued_events.popleft()
await self.processEvent(event)
# process any secondary callback-targeted events (e.g. order fills)
# these need to route to a specific callback,
# rather than all callbacks
while self._queued_targeted_events:
strat, event = self._queued_targeted_events.popleft()
# send to the generating strategy
await self.processEvent(event, strat)
# process any periodics
await asyncio.gather(
*(asyncio.create_task(p.execute(self._latest))
for p in self.manager.periodics()
if p.expires(self._latest)))
# Before engine shutdown, send an exit event
await self.processEvent(Event(type=EventType.EXIT, target=None))
def pushCancel(self, order, accumulate=False, filled_in_txn=0.0):
"""push order cancellation"""
if accumulate:
self.accumulate(order, filled_in_txn)
self.push(Event(type=EventType.CANCEL, target=order))
def pushChange(self, order, accumulate=False, filled_in_txn=0.0):
"""push order change"""
if accumulate:
self.accumulate(order, filled_in_txn)
self.push(Event(type=EventType.CHANGE, target=order))
def pushFill(self, order, accumulate=False, filled_in_txn=0.0):
"""push order fill"""
if accumulate:
self.accumulate(order, filled_in_txn)
self.push(Event(type=EventType.FILL, target=order))
def pushOpen(self, order):
"""push order open"""
self.push(Event(type=EventType.OPEN, target=order))