def __init__(self, *args, **kwargs) -> None:
super(ReadOnlyStrategy, self).__init__(*args, **kwargs)
async def onStart(self, event: Event) -> None:
pprint(self.instruments())
pprint(self.positions())
for i in self.instruments():
await self.subscribe(i)
async def onTrade(self, event: Event) -> None:
pprint(event)
async def onOrder(self, event):
pprint(event)
async def onExit(self, event: Event) -> None:
print('Finishing...')
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(['--trading_type', 'backtest',
'--load_accounts',
'--exchanges', 'aat.exchange.generic:CSV,{}'.format(os.path.join(os.path.dirname(__file__), 'data', 'aapl.csv')),
'--strategies', 'aat.strategy.sample.readonly:ReadOnlyStrategy'
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
trade.exchange,
))
self._trade = False
async def onReceived(self, event: Event) -> None:
pprint(event)
self._trade = True
self._received_count += 1
async def onExit(self, event: Event) -> None:
print("Finishing...")
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
"--trading_type",
"backtest",
"--load_accounts",
"--exchanges",
"aat.exchange.generic:CSV,{}".format(
os.path.join(os.path.dirname(__file__), "data", "aapl.csv")),
"--strategies",
"aat.strategy.sample.csv.received:ReceivedStrategy",
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
assert t.strategies[0]._received_count == 64
super(TestCancelAll, self).__init__(*args, **kwargs)
self._count = 0
async def onTrade(self, event: Event) -> None:
if self._count < 5:
await self.newOrder(
Order(
1,
10000000,
Side.SELL,
self.instruments()[0],
order_type=OrderType.LIMIT,
))
self._count += 1
assert len(self.orders()) == self._count
else:
await self.cancelAll()
assert len(self.orders()) == 0
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
'--trading_type', 'backtest', '--exchanges',
'aat.exchange:SyntheticExchange,1,1000', '--strategies',
'aat.tests.strategy.test_strategies.test_cancel_all::TestCancelAll'
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
self._trades.append(event.target) # type: ignore
async def onPeriodic(self) -> None:
o = Order(1, 1, Side.BUY,
self.instruments()[0], ExchangeType("testharness"))
_ = await self.newOrder(o)
self._orders.append(o)
async def onExit(self, event: Event) -> None:
assert len(self._orders) == len(self._trades)
assert len(self._trades) == 334
assert self._trades[0].price == 2
assert self._trades[1].price == 3
assert self._trades[-1].price == 999
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange.test.harness:Harness",
"--strategies",
"aat.exchange.test.harness:TestStrategy",
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
sys.exit(0)
async def onExit(self, event: Event) -> None:
print("Finishing...")
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(
[
"--trading_type",
"sandbox",
"--load_accounts",
"--exchanges",
"aat.exchange.crypto.coinbase:CoinbaseProExchange,,,,l2",
"--strategies",
"aat.strategy.sample.coinbase.buy_and_hold:BuyAndHoldCBStrategy",
]
)
# OR via config file
"""
[general]
verbose=0
trading_type=sandbox
load_accounts=1
[exchange]
exchanges=
1,
10000000,
Side.SELL,
self.instruments()[0],
order_type=OrderType.LIMIT,
)
)
self._count += 1
assert len(self.orders()) == self._count
else:
await self.cancelAll()
assert len(self.orders()) == 0
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(
[
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange:SyntheticExchange,1,1000",
"--strategies",
"aat.tests.strategy.test_strategies.test_cancel_all::TestCancelAll",
]
)
print(cfg)
t = TradingEngine(**cfg)
t.start()
sys.exit(0)
async def onExit(self, event: Event) -> None:
print("Finishing...")
if not os.environ.get("TESTING"):
self.performanceCharts(render=True, save=True, save_data=True)
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,",
# "aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1d,20210821",
"--strategies",
"aat.strategy.sample.iex.momentum:MomentumStrategy,SPY-EQUITY,25,45,-10,10000",
])
"""
[general]
verbose=0
trading_type=backtest
[exchange]
exchanges=
aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,
[strategy]
strategies =
async def onTrade(self, event: Event) -> None:
pass
async def onTraded(self, event: Event) -> None:
self._trades.append(event.target) # type: ignore
async def onPeriodic(self):
o = await self.newOrder(
Order(1, 1, Side.BUY,
self.instruments()[0], ExchangeType('testharness')))
self._orders.append(o)
async def onExit(self, event: Event) -> None:
assert len(self._orders) == len(self._trades)
assert len(self._trades) == 334
assert self._trades[0].price == 2
assert self._trades[1].price == 3
assert self._trades[-1].price == 999
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
'--trading_type', 'backtest', '--exchanges',
'aat.exchange.test.harness:Harness', '--strategies',
'aat.exchange.test.harness:TestStrategy'
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
assert trade.my_order == self._order
async def onRejected(self, event: Event) -> None:
print("order rejected")
import sys
sys.exit(0)
async def onExit(self, event: Event) -> None:
print("Finishing...")
if not os.environ.get("TESTING"):
self.performanceCharts()
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(
[
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,",
"--strategies",
"aat.strategy.sample.iex.buy_and_hold:BuyAndHoldIEXStrategy,FB",
]
)
print(cfg)
t = TradingEngine(**cfg)
t.start()
sys.exit(0)
async def onExit(self, event: Event) -> None:
print("Finishing...")
if not os.environ.get("TESTING"):
self.performanceCharts()
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,",
"--strategies",
"aat.strategy.sample.iex.golden_death:GoldenDeathStrategy,SPY",
])
"""
[general]
verbose=0
trading_type=backtest
[exchange]
exchanges=
aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,
[strategy]
strategies =
aat.strategy.sample.iex.momentum:MomentumStrategy,SPY-EQUITY,25,45,-10,10000
# pprint(event)
pass
async def onExit(self, event: Event) -> None:
print("Finishing...")
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(
[
"--trading_type",
"sandbox",
"--load_accounts",
"--exchanges",
"aat.exchange.crypto.coinbase:CoinbaseProExchange,,,,l2",
"--strategies",
"aat.strategy.sample.coinbase.readonly:ReadOnlyStrategy",
]
)
# or via config file
"""
[general]
verbose=0
trading_type=sandbox
load_accounts=1
[exchange]
exchanges=
type=InstrumentType.EQUITY,
exchange=ExchangeType("iex"))
async def onStart(self, event: Event) -> None:
await self.subscribe(self._inst)
async def onTrade(self, event: Event) -> None:
pprint(event)
async def onOrder(self, event: Event) -> None:
pprint(event)
async def onExit(self, event: Event) -> None:
print("Finishing...")
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig([
"--trading_type",
"backtest",
"--exchanges",
"aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1m,,,,",
"--strategies",
"aat.strategy.sample.iex.readonly:ReadOnlyStrategy,F",
])
print(cfg)
t = TradingEngine(**cfg)
t.start()
if __name__ == "__main__":
from aat import TradingEngine, parseConfig
cfg = parseConfig(
[
"--trading_type",
"live",
"--load_accounts",
"--exchanges",
"aat.exchange.public.ib:InteractiveBrokersExchange",
"--strategies",
"aat.strategy.sample.readonly:ReadOnlyStrategy",
]
)
print(cfg)
t = TradingEngine(**cfg)
t.start()
