def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock, bypass_logging=True)
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("BINANCE", "001")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
venue=Venue("BINANCE"),
account_id=self.account_id,
exec_engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(
self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
"""
if strategies is None:
strategies = []
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_data_clients = config.get("data_clients", {})
config_exec_clients = config.get("exec_clients", {})
self._clock = LiveClock()
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._loop.set_debug(False) # TODO: Development
self._is_running = False
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(
config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(
config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(
config_log.get("log_level_store")),
log_thread=config_log.get("log_thread_id", True),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__,
logger=logger)
self._log_header()
self._log.info("Building...")
self.portfolio = Portfolio(
clock=self._clock,
logger=logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
})
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self._exec_engine.load_cache()
self._setup_data_clients(config_data_clients, logger)
self._setup_exec_clients(config_exec_clients, logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=logger,
)
self._check_residuals_delay = 2.0 # Hard coded delay (refactor)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._setup_loop()
self._log.info("state=INITIALIZED.")
class TradingNode:
"""
Provides an asynchronous network node for live trading.
"""
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
"""
if strategies is None:
strategies = []
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_data_clients = config.get("data_clients", {})
config_exec_clients = config.get("exec_clients", {})
self._clock = LiveClock()
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._loop.set_debug(False) # TODO: Development
self._is_running = False
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(
config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(
config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(
config_log.get("log_level_store")),
log_thread=config_log.get("log_thread_id", True),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__,
logger=logger)
self._log_header()
self._log.info("Building...")
self.portfolio = Portfolio(
clock=self._clock,
logger=logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
})
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self._exec_engine.load_cache()
self._setup_data_clients(config_data_clients, logger)
self._setup_exec_clients(config_exec_clients, logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=logger,
)
self._check_residuals_delay = 2.0 # Hard coded delay (refactor)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._setup_loop()
self._log.info("state=INITIALIZED.")
def get_event_loop(self):
"""
Return the event loop of the trading node.
Returns
-------
asyncio.AbstractEventLoop
"""
return self._loop
def start(self):
"""
Start the trading node.
"""
try:
if self._loop.is_running():
self._loop.create_task(self._run())
else:
self._loop.run_until_complete(self._run())
except RuntimeError as ex:
self._log.exception(ex)
def stop(self):
"""
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(ex)
# noinspection PyTypeChecker
# Expected timedelta, got datetime.pyi instead
def dispose(self):
"""
Dispose of the trading node.
Gracefully shuts down the executor and event loop.
"""
try:
timeout = self._clock.utc_now() + timedelta(seconds=5)
while self._is_running:
time.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.warning(
"Timed out (5s) waiting for node to stop.")
break
self._log.info("state=DISPOSING...")
self.trader.dispose()
self._data_engine.dispose()
self._exec_engine.dispose()
self._log.info("Shutting down executor...")
if is_ge_python_version(major=3, minor=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._loop.stop()
if is_ge_python_version(major=3, minor=7):
# tasks.all_tasks added in Python 3.7
self._cancel_all_tasks()
except RuntimeError as ex:
self._log.exception(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("state=DISPOSED.")
time.sleep(0.1) # Assist final logging to daemonic logging thread
def _log_header(self):
nautilus_header(self._log)
self._log.info(f"redis {redis.__version__}")
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(
"================================================================="
)
def _setup_data_clients(self, config, logger):
try:
# Setup each data
for name, config in config.items():
if name == "binance":
data_client = BinanceDataClientFactory.create(
config=config,
data_engine=self._data_engine,
clock=self._clock,
logger=logger,
)
self._data_engine.register_client(data_client)
elif name == "oanda":
data_client = OandaDataClientFactory.create(
config=config,
data_engine=self._data_engine,
clock=self._clock,
logger=logger,
)
self._data_engine.register_client(data_client)
else:
self._log.error(f"No DataClient available for `{name}`.")
except RuntimeError as ex:
self._log.exception(ex)
def _setup_exec_clients(self, config, logger):
try:
# Setup each data
for name, config in config.items():
if name == "binance":
pass
elif name == "oanda":
pass
else:
self._log.error(
f"No ExecutionClient available for `{name}`.")
except RuntimeError as ex:
self._log.exception(ex)
def _setup_loop(self):
signal.signal(signal.SIGINT, signal.SIG_DFL)
signals = (signal.SIGTERM, signal.SIGINT)
if self._loop.is_closed():
self._log.error(
"Cannot setup signal handling (event loop was closed).")
return
for sig in signals:
self._loop.add_signal_handler(sig, self._loop_sig_handler, sig)
self._log.debug(f"Event loop {signals} handling setup.")
def _loop_sig_handler(self, sig):
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):
try:
self._log.info("state=STARTING...")
self._data_engine.start()
self._exec_engine.start()
# Wait for engines to initialize (will hang if never initialized)
await self._loop.run_in_executor(None, self._wait_for_engines)
self.trader.start()
if self._loop.is_running():
self._log.info("state=RUNNING.")
else:
self._log.warning("Event loop is not running.")
self._is_running = True
# Continue to run loop while engines are running...
await self._data_engine.get_run_queue_task()
await self._exec_engine.get_run_queue_task()
except asyncio.exceptions.CancelledError as ex:
self._log.error(str(ex))
def _wait_for_engines(self):
self._log.info("Waiting for engines to initialize...")
# The engines require that all of their clients are initialized.
# The data engine clients will be set as initialized when all
# instruments are received and updated with the data engine.
# The execution engine clients will be set as initialized when all
# accounts are updated and the current order and position status is
# confirmed. Thus any delay here will be due to blocking network IO.
while True:
time.sleep(0.1)
if not self._data_engine.check_initialized():
continue
if not self._exec_engine.check_initialized():
continue
return True # Engines initialized
async def _stop(self):
self._is_stopping = True
self._log.info("state=STOPPING...")
self.trader.stop()
self._log.info("Awaiting residual state...")
await asyncio.sleep(self._check_residuals_delay)
self.trader.check_residuals()
if self._save_strategy_state:
self.trader.save()
self._data_engine.stop()
self._exec_engine.stop()
await self._data_engine.get_run_queue_task()
await self._exec_engine.get_run_queue_task()
self._log.debug(f"{self._data_engine.get_run_queue_task()}")
self._log.debug(f"{self._exec_engine.get_run_queue_task()}")
# 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}).")
self._log.info("state=STOPPED.")
self._is_running = False
def _cancel_all_tasks(self):
to_cancel = tasks.all_tasks(self._loop)
if not to_cancel:
self._log.info("All tasks finished.")
return
for task in to_cancel:
self._log.warning(f"Cancelling 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 = tasks.gather(*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:
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,
})
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
Raises
------
ValueError
If strategies is None or empty.
ValueError
If config is None or empty.
"""
PyCondition.not_none(strategies, "strategies")
PyCondition.not_none(config, "config")
PyCondition.not_empty(strategies, "strategies")
PyCondition.not_empty(config, "config")
# Extract configs
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_adapters = config.get("adapters", {})
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._clock = LiveClock(loop=self._loop)
self.created_time = self._clock.utc_now()
self._is_running = False
# Uncomment for debugging
# self._loop.set_debug(True)
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
self._logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(
config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(
config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(
config_log.get("log_level_store")),
run_in_process=config_log.get(
"run_in_process", True), # Run logger in a separate process
log_thread=config_log.get("log_thread_id", False),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__,
logger=self._logger)
self._log_header()
self._log.info("Building...")
self._setup_loop() # Requires the logger to be initialized
self.portfolio = Portfolio(
clock=self._clock,
logger=self._logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
})
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
)
self._exec_engine.load_cache()
self._setup_adapters(config_adapters, self._logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
portfolio=self.portfolio,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=self._logger,
)
self._check_residuals_delay = config_trader.get(
"check_residuals_delay", 5.0)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._log.info("state=INITIALIZED.")
self.time_to_initialize = self._clock.delta(self.created_time)
self._log.info(
f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.")
class TradingNode:
"""
Provides an asynchronous network node for live trading.
"""
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
Raises
------
ValueError
If strategies is None or empty.
ValueError
If config is None or empty.
"""
PyCondition.not_none(strategies, "strategies")
PyCondition.not_none(config, "config")
PyCondition.not_empty(strategies, "strategies")
PyCondition.not_empty(config, "config")
# Extract configs
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_adapters = config.get("adapters", {})
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._clock = LiveClock(loop=self._loop)
self.created_time = self._clock.utc_now()
self._is_running = False
# Uncomment for debugging
# self._loop.set_debug(True)
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
self._logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(
config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(
config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(
config_log.get("log_level_store")),
run_in_process=config_log.get(
"run_in_process", True), # Run logger in a separate process
log_thread=config_log.get("log_thread_id", False),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__,
logger=self._logger)
self._log_header()
self._log.info("Building...")
self._setup_loop() # Requires the logger to be initialized
self.portfolio = Portfolio(
clock=self._clock,
logger=self._logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
})
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
)
self._exec_engine.load_cache()
self._setup_adapters(config_adapters, self._logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
portfolio=self.portfolio,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=self._logger,
)
self._check_residuals_delay = config_trader.get(
"check_residuals_delay", 5.0)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._log.info("state=INITIALIZED.")
self.time_to_initialize = self._clock.delta(self.created_time)
self._log.info(
f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.")
@property
def is_running(self) -> bool:
"""
If the trading node is running.
Returns
-------
bool
True if running, else False.
"""
return self._is_running
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 start(self) -> None:
"""
Start the trading node.
"""
try:
if self._loop.is_running():
self._loop.create_task(self._run())
else:
self._loop.run_until_complete(self._run())
except RuntimeError as ex:
self._log.exception(ex)
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(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=5)
while self._is_running:
time.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.warning(
"Timed out (5s) waiting for node to stop.")
break
self._log.info("state=DISPOSING...")
self._log.debug(f"{self._data_engine.get_run_queue_task()}")
self._log.debug(f"{self._exec_engine.get_run_queue_task()}")
self.trader.dispose()
self._data_engine.dispose()
self._exec_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._loop.stop()
self._cancel_all_tasks()
except RuntimeError as ex:
self._log.error("Shutdown coro issues will be fixed soon..."
) # TODO: Remove when fixed
self._log.exception(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("state=DISPOSED.")
self._logger.stop() # Ensure process is stopped
time.sleep(0.1) # Ensure final log messages
def _log_header(self) -> None:
nautilus_header(self._log)
self._log.info(f"redis {redis.__version__}")
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(
"================================================================="
)
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.SIGHUP,
signal.SIGABRT)
for sig in signals:
self._loop.add_signal_handler(sig, self._loop_sig_handler, sig)
self._log.debug(f"Event loop {signals} handling setup.")
def _loop_sig_handler(self, sig: signal.signal) -> 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()
def _setup_adapters(self, config: Dict[str, object],
logger: LiveLogger) -> None:
# Setup each data client
for name, config in config.items():
if name.startswith("ccxt-"):
try:
import ccxtpro # TODO: Find a better way of doing this
except ImportError:
raise ImportError(
"ccxtpro is not installed, "
"installation instructions can be found at https://ccxt.pro"
)
client_cls = getattr(ccxtpro, name.partition('-')[2].lower())
data_client, exec_client = CCXTClientsFactory.create(
client_cls=client_cls,
config=config,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=logger,
)
elif name == "oanda":
data_client = OandaDataClientFactory.create(
config=config,
data_engine=self._data_engine,
clock=self._clock,
logger=logger,
)
exec_client = None # TODO: Implement
else:
self._log.error(f"No adapter available for `{name}`.")
continue
if data_client is not None:
self._data_engine.register_client(data_client)
if exec_client is not None:
self._exec_engine.register_client(exec_client)
async def _run(self) -> None:
try:
self._log.info("state=STARTING...")
self._is_running = True
self._data_engine.start()
self._exec_engine.start()
result: bool = await self._await_engines_connected()
if not result:
return
self._exec_engine.resolve_state()
result: bool = await self._await_state_resolved()
if not result:
return
self.trader.start()
if self._loop.is_running():
self._log.info("state=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()
except asyncio.CancelledError as ex:
self._log.error(str(ex))
async def _await_engines_connected(self) -> bool:
self._log.info("Waiting for engines to initialize...")
# The data engine clients will be set as connected when all
# instruments are received and updated with the data engine.
# The execution engine clients will be set as connected when all
# accounts are updated and the current order and position status is
# confirmed. Thus any delay here will be due to blocking network IO.
seconds = 5 # Hard coded for now
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.error(f"Timed out ({seconds}s) waiting for "
f"engines to initialize.")
return False
if not self._data_engine.check_connected():
continue
if not self._exec_engine.check_connected():
continue
break
return True # Engines initialized
async def _await_state_resolved(self) -> bool:
self._log.info("Waiting for execution states to resolve...")
seconds = 5 # Hard coded for now
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.error(f"Timed out ({seconds}s) waiting for "
f"execution states to resolve.")
return False
if not self._exec_engine.check_resolved():
continue
break
return True # Execution states resolved
async def _stop(self) -> None:
self._is_stopping = True
self._log.info("state=STOPPING...")
if self.trader.state == ComponentState.RUNNING:
self.trader.stop()
self._log.info(
f"Awaiting residual state ({self._check_residuals_delay}s delay)..."
)
await asyncio.sleep(self._check_residuals_delay)
self.trader.check_residuals()
if self._save_strategy_state:
self.trader.save()
if self._data_engine.state == ComponentState.RUNNING:
self._data_engine.stop()
if self._exec_engine.state == ComponentState.RUNNING:
self._exec_engine.stop()
await self._await_engines_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}).")
self._log.info("state=STOPPED.")
self._is_running = False
async def _await_engines_disconnected(self) -> None:
self._log.info("Waiting for engines to disconnect...")
seconds = 5 # Hard coded for now
timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds)
while True:
await asyncio.sleep(0.1)
if self._clock.utc_now() >= timeout:
self._log.warning(
f"Timed out ({seconds}s) waiting for engines to disconnect."
)
break
if not self._data_engine.check_disconnected():
continue
if not self._exec_engine.check_disconnected():
continue
break # Engines initialized
def _cancel_all_tasks(self) -> None:
to_cancel = asyncio.tasks.all_tasks(self._loop)
if not to_cancel:
self._log.info("All tasks finished.")
return
for task in to_cancel:
self._log.warning(f"Cancelling 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(
*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:
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,
})
class ExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
def tearDown(self):
self.exec_engine.dispose()
self.loop.stop()
self.loop.close()
def test_get_event_loop_returns_expected_loop(self):
# Arrange
# Act
loop = self.exec_engine.get_event_loop()
# Assert
self.assertEqual(self.loop, loop)
def test_start(self):
async def run_test():
# Arrange
# Act
self.exec_engine.start()
await asyncio.sleep(0.1)
# Assert
self.assertEqual(ComponentState.RUNNING, self.exec_engine.state)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
def test_execute_command_places_command_on_queue(self):
async def run_test():
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
Venue("SIM"),
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
self.assertEqual(0, self.exec_engine.qsize())
self.assertEqual(1, self.exec_engine.command_count)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
def test_handle_position_opening_with_position_id_none(self):
async def run_test():
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
event = TestStubs.event_order_submitted(order)
# Act
self.exec_engine.process(event)
await asyncio.sleep(0.1)
# Assert
self.assertEqual(0, self.exec_engine.qsize())
self.assertEqual(1, self.exec_engine.event_count)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
class LiveExecutionPerformanceTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock, bypass_logging=True)
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("BINANCE", "001")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
venue=Venue("BINANCE"),
account_id=self.account_id,
exec_engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(
self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
def submit_order(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
def test_execute_command(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
command = SubmitOrder(
order.symbol.venue,
self.trader_id,
self.account_id,
self.strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
def execute_command():
self.exec_engine.execute(command)
PerformanceHarness.profile_function(execute_command, 10000, 1)
# ~0.0ms / ~0.3μs / 253ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
def submit_order():
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
PerformanceHarness.profile_function(submit_order, 10000, 1)
self.loop.run_until_complete(run_test())
# ~0.0ms / ~32.3μs / 32260ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order_end_to_end(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
for _ in range(10000):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
stats_file = "perf_live_execution.prof"
cProfile.runctx("self.loop.run_until_complete(run_test())", globals(),
locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.trader_id = TraderId("TESTER", "001")
self.account_id = AccountId("BINANCE", "001")
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
# Setup logging
logger = LiveLogger(
clock=self.clock,
name=self.trader_id.value,
level_console=LogLevel.INFO,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
run_in_process=False,
)
self.logger = LiveLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
with open(TEST_PATH + "markets.json") as response:
markets = json.load(response)
with open(TEST_PATH + "currencies.json") as response:
currencies = json.load(response)
with open(TEST_PATH + "fetch_balance.json") as response:
fetch_balance = json.load(response)
with open(TEST_PATH + "watch_balance.json") as response:
watch_balance = json.load(response)
self.mock_ccxt = MagicMock()
self.mock_ccxt.name = "Binance"
self.mock_ccxt.precisionMode = 2
self.mock_ccxt.has = {
"fetchBalance": True,
"watchBalance": True,
"watchMyTrades": True,
}
self.mock_ccxt.markets = markets
self.mock_ccxt.currencies = currencies
self.mock_ccxt.fetch_balance = fetch_balance
self.mock_ccxt.watch_balance = watch_balance
self.client = CCXTExecutionClient(
client=self.mock_ccxt,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=logger,
)
self.exec_engine.register_client(self.client)
class CCXTExecutionClientTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.trader_id = TraderId("TESTER", "001")
self.account_id = AccountId("BINANCE", "001")
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
# Setup logging
logger = LiveLogger(
clock=self.clock,
name=self.trader_id.value,
level_console=LogLevel.INFO,
level_file=LogLevel.DEBUG,
level_store=LogLevel.WARNING,
run_in_process=False,
)
self.logger = LiveLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
with open(TEST_PATH + "markets.json") as response:
markets = json.load(response)
with open(TEST_PATH + "currencies.json") as response:
currencies = json.load(response)
with open(TEST_PATH + "fetch_balance.json") as response:
fetch_balance = json.load(response)
with open(TEST_PATH + "watch_balance.json") as response:
watch_balance = json.load(response)
self.mock_ccxt = MagicMock()
self.mock_ccxt.name = "Binance"
self.mock_ccxt.precisionMode = 2
self.mock_ccxt.has = {
"fetchBalance": True,
"watchBalance": True,
"watchMyTrades": True,
}
self.mock_ccxt.markets = markets
self.mock_ccxt.currencies = currencies
self.mock_ccxt.fetch_balance = fetch_balance
self.mock_ccxt.watch_balance = watch_balance
self.client = CCXTExecutionClient(
client=self.mock_ccxt,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=logger,
)
self.exec_engine.register_client(self.client)
def tearDown(self):
self.loop.stop()
self.loop.close()
def test_connect(self):
async def run_test():
# Arrange
# Act
self.exec_engine.start() # Also connects clients
await asyncio.sleep(0.3) # Allow engine message queue to start
# Assert
self.assertTrue(self.client.is_connected)
# Tear down
self.exec_engine.stop()
await self.exec_engine.get_run_queue_task()
self.loop.run_until_complete(run_test())
def test_disconnect(self):
async def run_test():
# Arrange
self.exec_engine.start()
await asyncio.sleep(0.3) # Allow engine message queue to start
# Act
self.client.disconnect()
await asyncio.sleep(0.3)
# Assert
self.assertFalse(self.client.is_connected)
# Tear down
self.exec_engine.stop()
await self.exec_engine.get_run_queue_task()
self.loop.run_until_complete(run_test())
def test_reset_when_not_connected_successfully_resets(self):
async def run_test():
# Arrange
self.exec_engine.start()
await asyncio.sleep(0.3) # Allow engine message queue to start
self.exec_engine.stop()
await asyncio.sleep(0.3) # Allow engine message queue to stop
# Act
self.client.reset()
# Assert
self.assertFalse(self.client.is_connected)
self.loop.run_until_complete(run_test())
def test_reset_when_connected_does_not_reset(self):
async def run_test():
# Arrange
self.exec_engine.start()
await asyncio.sleep(0.3) # Allow engine message queue to start
# Act
self.client.reset()
# Assert
self.assertTrue(self.client.is_connected)
# Tear Down
self.exec_engine.stop()
await self.exec_engine.get_run_queue_task()
self.loop.run_until_complete(run_test())
def test_dispose_when_not_connected_does_not_dispose(self):
async def run_test():
# Arrange
self.exec_engine.start()
await asyncio.sleep(0.3) # Allow engine message queue to start
# Act
self.client.dispose()
# Assert
self.assertTrue(self.client.is_connected)
# Tear Down
self.exec_engine.stop()
await self.exec_engine.get_run_queue_task()
self.loop.run_until_complete(run_test())
def test_submit_order(self):
async def run_test():
# Arrange
stub_response = ""
self.exec_engine.start()
await asyncio.sleep(0.3) # Allow engine message queue to start
# Act
self.client.dispose()
# Assert
self.assertTrue(self.client.is_connected)
# Tear Down
self.exec_engine.stop()
await self.exec_engine.get_run_queue_task()
self.loop.run_until_complete(run_test())