def _constructInstrument(contract):
name = contract.localSymbol if contract.localSymbol else contract.symbol
brokerId = str(contract.conId)
brokerExchange = contract.exchange
currency = Instrument(name=contract.currency, type=InstrumentType.CURRENCY)
if contract.secType == "STK":
type = InstrumentType.EQUITY
elif contract.secType == "BOND":
type = InstrumentType.BOND
elif contract.secType == "OPT":
type = InstrumentType.OPTION
elif contract.secType == "FUT":
type = InstrumentType.FUTURE
elif contract.secType == "CASH":
type = InstrumentType.PAIR
elif contract.secType == "FOP":
type = InstrumentType.FUTURESOPTION
elif contract.secType == "FUND":
type = InstrumentType.MUTUALFUND
elif contract.secType == "CMDTY":
type = InstrumentType.COMMODITIES
elif contract.secType == "BAG":
type = InstrumentType.SPREAD
else:
raise NotImplementedError()
return Instrument(name=name,
type=type,
exchanges=[],
brokerExchange=brokerExchange,
brokerId=brokerId,
currency=currency)
def restore(self, filename_prefix):
with open('{}.prices.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._prices = {
Instrument.fromJson(json.loads(k)):
[(p1, datetime.fromtimestamp(p2)) for p1, p2 in v]
for k, v in jsn.items()
}
with open('{}.trades.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._trades = {
Instrument.fromJson(json.loads(k)):
[Trade.fromJson(x) for x in v]
for k, v in jsn.items()
}
with open('{}.active_by_inst.json'.format(filename_prefix), 'r') as fp:
jsn = json.load(fp)
self._active_positions_by_instrument = {
Instrument.fromJson(json.loads(k)):
[Position.fromJson(vv) for vv in v]
for k, v in jsn.items()
}
with open('{}.active_by_strat.json'.format(filename_prefix),
'r') as fp:
jsn = json.load(fp)
self._active_positions_by_strategy = {
k: {
Instrument.fromJson(json.loads(kk)): Position.fromJson(vv)
for kk, vv in v.items()
}
for k, v in jsn.items()
}
async def instruments(self):
'''get list of available instruments'''
instruments = []
symbols = self._client.symbols()
for record in symbols:
if not record['isEnabled'] or not record['type'] or record[
'type'] == 'temp':
continue
symbol = record['symbol']
brokerExchange = record['exchange']
type = _iex_instrument_types[record['type']]
currency = Instrument(type=InstrumentType.CURRENCY,
name=record['currency'])
try:
inst = Instrument(name=symbol,
type=type,
exchange=self.exchange(),
brokerExchange=brokerExchange,
currency=currency)
except AssertionError:
# Happens sometimes on sandbox
continue
instruments.append(inst)
return instruments
async def instruments(self) -> List[Instrument]:
"""get list of available instruments"""
instruments = []
symbols = self._client.symbols()
for record in symbols:
if (not record["isEnabled"] or not record["type"]
or record["type"] == "temp"):
continue
symbol = record["symbol"]
brokerExchange = record["exchange"]
type = _iex_instrument_types[record["type"]]
currency = Instrument(type=InstrumentType.CURRENCY,
name=record["currency"])
try:
inst = Instrument(
name=symbol,
type=type,
exchange=self.exchange(),
brokerExchange=brokerExchange,
currency=currency,
)
except AssertionError:
# Happens sometimes on sandbox
continue
instruments.append(inst)
return instruments
def test_instrument(self):
E1 = ExchangeType("E1")
E2 = ExchangeType("E2")
E3 = ExchangeType("E3")
i1 = Instrument(
"TestInst",
exchange=E1,
broker_id="1",
)
i2 = Instrument(
"TestInst",
exchange=E2,
broker_id="2",
broker_exchange="test",
)
i3 = Instrument(
"TestInst",
exchange=E3,
broker_id="3",
)
assert i1.tradingLines() == [i1, i2, i3]
assert i2.tradingLines() == [i1, i2, i3]
assert i3.tradingLines() == [i1, i2, i3]
def test_instrument_calendar_getter(self):
t = TradingDay()
e = ExchangeType("test-exchange")
i = Instrument(
"test",
exchange=e,
trading_day=t,
)
assert i.tradingDay(e) == t
async def connect(self):
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=',')
for row in self._reader:
order = Order(volume=float(row['volume']),
price=float(row['close']),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row['symbol'].split('-')[0],
InstrumentType(row['symbol'].split('-')[1].upper())
)
)
order.filled = float(row['volume'])
if 'time' in row:
order.timestamp = datetime.fromtimestamp(float(row['time']))
elif 'date' in row:
order.timestamp = datetime.fromisoformat(row['date'])
elif 'datetime' in row:
order.timestamp = datetime.fromisoformat(row['datetime'])
self._data.append(Trade(volume=float(row['volume']),
price=float(row['close']),
maker_orders=[],
taker_order=order))
async def connect(self) -> None:
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=",")
for row in self._reader:
order = Order(
volume=float(row["volume"]),
price=float(row["close"]),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row["symbol"].split("-")[0],
InstrumentType(row["symbol"].split("-")[1].upper()),
),
filled=float(row["volume"]),
)
if "time" in row:
order.timestamp = datetime.fromtimestamp(float(
row["time"]))
elif "date" in row:
order.timestamp = datetime.fromisoformat(row["date"])
elif "datetime" in row:
order.timestamp = datetime.fromisoformat(row["datetime"])
self._data.append(
Trade(
volume=float(row["volume"]),
price=float(row["close"]),
maker_orders=[],
taker_order=order,
))
def __init__(self, trading_type: TradingType, verbose: bool) -> None:
super().__init__(ExchangeType("testharness"))
self._trading_type = trading_type
self._verbose = verbose
self._instrument = Instrument("Test.inst", InstrumentType.EQUITY)
self._id = 0
self._start = datetime.now() - timedelta(days=30)
self._client_order: Optional[Order] = None
def __init__(self, trading_type, verbose):
super().__init__(ExchangeType('testharness'))
self._trading_type = trading_type
self._verbose = verbose
self._instrument = Instrument('Test.inst', InstrumentType.EQUITY)
self._id = 0
self._start = datetime.now() - timedelta(days=30)
self._client_order = None
def test_price_level_iter(self):
pl = _PriceLevel(5, _Collector())
orders = [
Order(10 + i, 5, Side.BUY, Instrument('TEST'), ExchangeType(""),
0.0, OrderType.LIMIT, OrderFlag.NONE, None) for i in range(2)
]
for o in orders: # This causes a segfault
pl.add(o)
for o, op in zip(orders, pl):
assert o == op
# type: ignore
import pytest
from aat.common import _in_cpp
from aat.core import Order, Instrument, ExchangeType
_INSTRUMENT = Instrument("TE.ST")
class TestOrder:
def test_stop_order_validation(self):
if _in_cpp():
return
with pytest.raises(AssertionError):
Order(
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
exchange=ExchangeType(""),
order_type=Order.Types.STOP,
stop_target=Order(
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
exchange=ExchangeType(""),
order_type=Order.Types.STOP,
instrument=_INSTRUMENT,
),
instrument=_INSTRUMENT,
)
# type: ignore
import pydantic
import pytest
from datetime import datetime
from aat.common import _in_cpp
from aat.core import Order, Instrument, ExchangeType
_INSTRUMENT = Instrument('TE.ST')
class TestOrder:
def test_stop_order_validation(self):
if _in_cpp():
return
with pytest.raises(pydantic.ValidationError):
Order(id=1,
timestamp=datetime.now(),
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
exchange=ExchangeType(''),
order_type=Order.Types.STOP,
stop_target=Order(
id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
exchange=ExchangeType(''),
order_type=Order.Types.STOP,
async def tick(
self) -> AsyncGenerator[Any, Event]: # type: ignore[override]
"""return data from exchange"""
if self._timeframe == "live":
data: Deque[dict] = deque()
def _callback(record: dict) -> None:
data.append(record)
self._client.tradesSSE(
symbols=",".join([i.name for i in self._subscriptions]),
on_data=_callback,
)
while True:
while data:
record = data.popleft()
volume = record["volume"]
price = record["price"]
instrument = Instrument(record["symbol"],
InstrumentType.EQUITY)
o = Order(
volume=volume,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange(),
)
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
insts = set()
if self._timeframe != "1d":
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs("_aat_data", exist_ok=True)
data_filename = os.path.join(
"_aat_data",
"iex_{}_{}_{}_{}.pkl".format(
i.name,
self._timeframe,
datetime.now().strftime("%Y%m%d"),
"sand" if self._is_sandbox else "",
),
)
if os.path.exists(data_filename):
print("using cached IEX data for {}".format(
i.name))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name, timeframe=self._timeframe)
df.to_pickle(data_filename)
else:
df = self._client.chartDF(i.name,
timeframe=self._timeframe)
df = df[["close", "volume"]]
df.columns = [
"close:{}".format(i.name), "volume:{}".format(i.name)
]
dfs.append(df)
insts.add(i.name)
data_frame = pd.concat(dfs, axis=1)
data_frame.sort_index(inplace=True)
data_frame = data_frame.groupby(data_frame.index).last()
data_frame.drop_duplicates(inplace=True)
data_frame.fillna(method="ffill", inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
date = self._start_date
subdfs = []
while date <= self._end_date:
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs("_aat_data", exist_ok=True)
data_filename = os.path.join(
"_aat_data",
"iex_{}_{}_{}_{}.pkl".format(
i.name,
self._timeframe,
date,
"sand" if self._is_sandbox else "",
),
)
if os.path.exists(data_filename):
print(
"using cached IEX data for {} - {}".format(
i.name, date))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe="1d",
date=date.strftime("%Y%m%d"))
df.to_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe="1d",
date=date.strftime("%Y%m%d"))
if not df.empty:
df = df[["average", "volume"]]
df.columns = [
"close:{}".format(i.name),
"volume:{}".format(i.name),
]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
insts.add(i.name)
data_frame = pd.concat(dfs, axis=1)
data_frame.index = [
x + timedelta(hours=int(y.split(":")[0]),
minutes=int(y.split(":")[1]))
for x, y in data_frame.index
]
data_frame = data_frame.groupby(data_frame.index).last()
data_frame.drop_duplicates(inplace=True)
data_frame.fillna(method="ffill", inplace=True)
for index in data_frame.index:
for i in self._subscriptions:
volume = data_frame.loc[index]["volume:{}".format(i.name)]
price = data_frame.loc[index]["close:{}".format(i.name)]
if volume == 0:
continue
o = Order(
volume=volume,
price=price,
side=Side.BUY,
instrument=i,
exchange=self.exchange(),
filled=volume,
timestamp=index.to_pydatetime(),
)
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
order.filled = order.volume
t = Trade(
volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[],
my_order=order,
)
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join(
[i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'],
InstrumentType.EQUITY)
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange())
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
insts = set()
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe,
datetime.now().strftime('%Y%m%d'),
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print('using cached IEX data for {}'.format(
i.name))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name, timeframe=self._timeframe)
df.to_pickle(data_filename)
else:
df = self._client.chartDF(i.name,
timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = [
'close:{}'.format(i.name), 'volume:{}'.format(i.name)
]
dfs.append(df)
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
date = self._start_date
subdfs = []
while date <= self._end_date:
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe, date,
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print(
'using cached IEX data for {} - {}'.format(
i.name, date))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
df.to_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = [
'close:{}'.format(i.name),
'volume:{}'.format(i.name)
]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.index = [
x + timedelta(hours=int(y.split(':')[0]),
minutes=int(y.split(':')[1]))
for x, y in data.index
]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=i,
exchange=self.exchange())
o.filled = volume
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
order.filled = order.volume
t = Trade(volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join([i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'], InstrumentType.EQUITY)
o = Order(volume=volume, price=price, side=Side.BUY, instrument=instrument, exchange=self.exchange())
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
df = self._client.chartDF(i.name, timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
dfs.append(df)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
date = self._start_date
subdfs = []
while date <= self._end_date:
df = self._client.chartDF(i.name, timeframe='1d', date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
data = pd.concat(dfs, axis=1)
data.index = [x + timedelta(hours=int(y.split(':')[0]), minutes=int(y.split(':')[1])) for x, y in data.index]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume, price=price, side=Side.BUY, instrument=i, exchange=self.exchange())
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
t = Trade(volume=order.volume, price=order.price, taker_order=order, maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)