def setUp(self):
r = rconfig.Read()
self.broker = Broker("TestBroker")
self.redis = redis.StrictRedis(host=r.host,
port=r.port,
db=r.db,
password=r.password)
def __init__(self):
self.live_trading = True # set False for backtesting.
self.log_level = logging.DEBUG
self.logger = self.setup_logger()
# Don't connect to live data feeds if backtesting.
if self.live_trading:
self.exchanges = self.load_exchanges(self.logger)
# Connect to database.
print("Connecting to database...")
self.db_client = MongoClient(
self.DB_URL, serverSelectionTimeoutMS=self.DB_TIMEOUT_MS)
self.db = self.db_client[self.DB_NAME]
self.check_db_connection()
# Event queue and producer/consumer worker classes.
self.events = queue.Queue(0)
self.data = Datahandler(self.exchanges, self.logger, self.db,
self.db_client)
self.strategy = Strategy(self.exchanges, self.logger, self.db,
self.db_client)
self.portfolio = Portfolio(self.logger)
self.broker = Broker(self.exchanges, self.logger)
# Processing performance variables.
self.start_processing = None
self.end_processing = None
self.run()
class BaseTask(abc.ABC):
task_name = None
def __init__(self):
if not self.task_name:
raise ValueError("task_name should set")
self.broker = Broker()
@abc.abstractmethod
def run(self, *args, **kwargs):
raise NotImplementedError("BaseTask run method must be implented.")
def update_state(self, task_id, state, meta={}):
_task = {"state": state, "meta": meta}
serialized_task = json.dumps(_task)
backend = Backend()
backend.enqueue(queue_name=task_id, item=serialized_task)
print(f"task {task_id} success queued")
def delay(self, *args, **kwargs):
try:
self.task_id = str(uuid.uuid4())
_task = {"task_id": self.task_id, "args": args, "kwargs": kwargs}
serialized_task = json.dumps(_task)
self.broker.enqueue(queue_name=self.task_name,
item=serialized_task)
print(f"task {self.task_id} success queued")
except Exception:
raise Exception("unable to publish task to broker")
return self.task_id
def main():
rounds = 1000
broker = Broker(rounds)
broker.setup()
broker.play()
broker.display_results()
return broker.play(), broker.display_results()
def setup_broker(self, cfg=None):
"""
Currently only creates a dummy Broker object for registering Applications to.
:param cfg:
:return:
"""
self.__broker = Broker()
def test_broker_single_register():
broker = Broker()
data = {
'pk': hexlify(b'this is a test').decode('utf-8'),
'id': hexlify(b'someID').decode('utf-8')
}
broker.register(data, 'mix')
cache = broker.fetch([], 'mix')
assert len(cache) == 1
def __init_broker_and_processors(self):
self.__broker = Broker(self)
self.__event_processor = EventProcessor(0, self)
self.__event_processors = list()
for i in range(self.config.processor_num):
id = i + 1
event_channel = EventChannel()
event_channel.register(self.__broker)
event_processor = EventProcessor(id, self, event_channel)
self.__event_processors.append(event_processor)
def __init__(self, config, name, userOpt, itemName, discoverFun): Broker.__init__(self, config, name, userOpt, itemName, discoverFun) itemsUser = config.getList(userOpt, [], onChange = None) if not itemsUser: itemsUser = None itemsDisc = self._discover(discoverFun).keys() self._itemsStart = itemsDisc if itemsDisc and itemsUser: self._itemsStart = utils.filterBlackWhite(itemsDisc, itemsUser) elif not itemsDisc: self._itemsStart = utils.filterBlackWhite(itemsUser, itemsUser) self._nIndex = 0
def RecordLSHFactory(pipeline, fields, filter_={}, field_weights = None):
name = __LSHName__(fields, filter_)
broker = Broker(pipeline)
try:
i = broker.download_obj(name)
i.LSH = {}
for key in i.fields:
i.LSH[key] = broker.download_obj('{}_{}'.format(name,key))
assert isinstance(i, RecordLSH)
return i
except AssertionError:
return RecordLSH(pipeline, fields, filter_=filter_, field_weights = field_weights)
def __init__(self, data):
"""
TODO: Abstract this from USD and BTC specific accounts
:param data: dataframe to run backtest on
"""
self.data = data
self.strategies = []
usd_account = Account('USD', 1000)
btc_account = Account('BTC', 0, 'Close')
self.broker = Broker(data, [usd_account, btc_account])
def __init__(self, instrument, strategies, start_date, end_date, opening_bal,time_stamp=None):
'''
constructs message queues
initialises brokers and traders
'''
self.instrument = instrument
self.start_date = start_date
self.end_date = end_date
self.opening_bal = opening_bal
self.datafeed = DataFeed(instrument)
self.orderQ = MsgQ()
self.receiptQ = MsgQ()
self.term_req_Q = MsgQ()
self.term_notice_Q = MsgQ()
self.broker = Broker(self.datafeed, self.orderQ, self.receiptQ, self.term_req_Q, self.term_notice_Q)
self.traders = []
for strategy in strategies:
trader = Trader(self.datafeed, self.broker, self.opening_bal, self.instrument, strategy, self.start_date, self.end_date)
self.traders.append(trader)
self.time_stamp = time_stamp
def get_broker_by_name(self, broker_name):
query = "SELECT * FROM brokers WHERE broker_name = %s"
val = (broker_name,)
self.cursor.execute(query, val)
result = self.cursor.fetchone()
broker = Broker(result[0],result[1],result[2])
return broker
def test4():
ip_add = "127.0.0.1"
# initialize
broke1 = Broker(ip_add)
sub1 = Subscriber(ip_add)
pub1 = Publisher(ip_add)
# set up subscriber and publisher with broker
stop = threading.Event()
# subscriber
sub1.register_sub("soccer, basketball") # subscribe -- need no threading
# publishers/broker
T1 = Thread(target=broke1.run,
args=(stop, )) # open up broker for publisher to register with
T2 = Thread(target=pub1.register_pub,
args=("soccer", )) # publisher registers
T1.start()
T2.start()
stop.set()
T1.join()
T2.join()
# open up broker, subscriber for listening and start publishing rapidly.
stop.clear()
T1 = Thread(target=broke1.run, args=(stop, )) # open up broker
T2 = Thread(target=sub1.notify, args=(stop, ))
T1.start()
T2.start()
time.sleep(1)
print("Time published: %.20f" % time.time())
pub1.publish("hello world")
# 1 second wait
time.sleep(1)
stop.set()
def __init__(self):
# Set False for forward testing.
self.live_trading = True
self.log_level = logging.INFO
self.logger = self.setup_logger()
# Check DB state OK before connecting to any exchanges
self.db_client = MongoClient(
self.DB_URL,
serverSelectionTimeoutMS=self.DB_TIMEOUT_MS)
self.db_prices = self.db_client[self.DB_PRICES]
self.db_other = self.db_client[self.DB_OTHER]
self.check_db_status(self.VENUES)
self.exchanges = self.exchange_wrappers(self.logger, self.VENUES)
self.telegram = Telegram(self.logger)
# Main event queue.
self.events = queue.Queue(0)
# Producer/consumer worker classes.
self.data = Datahandler(self.exchanges, self.logger, self.db_prices,
self.db_client)
self.strategy = Strategy(self.exchanges, self.logger, self.db_prices,
self.db_other, self.db_client)
self.portfolio = Portfolio(self.exchanges, self.logger, self.db_other,
self.db_client, self.strategy.models,
self.telegram)
self.broker = Broker(self.exchanges, self.logger, self.portfolio,
self.db_other, self.db_client, self.live_trading,
self.telegram)
self.portfolio.broker = self.broker
# Start flask api in separate process
# p = subprocess.Popen(["python", "api.py"])
# self.logger.info("Started flask API.")
# Processing performance tracking variables.
self.start_processing = None
self.end_processing = None
self.cycle_count = 0
def get_broker(self, broker_id):
query = "SELECT * FROM brokers WHERE broker_id = %s"
val = (broker_id, )
self.cursor.execute(query, val)
for brokers in self.cursor:
broker = Broker(brokers[0], brokers[1], brokers[2])
self.brokers_list.append(broker)
return broker
def __init__(self, symbol1, symbol2, contract1, contract2):
self.symbol1 = symbol1
self.symbol2 = symbol2
self.contract1 = contract1
self.contract2 = contract2
sprint("菲利普准备行动。")
self.broker = Broker()
sprint("菲利普呼叫了交易商。")
self.long_on_match1 = lambda amount: self.broker.long_on_match(
symbol1, contract1, amount)
self.long_on_match2 = lambda amount: self.broker.long_on_match(
symbol2, contract2, amount)
self.short_on_match1 = lambda amount: self.broker.short_on_match(
symbol1, contract1, amount)
self.short_on_match2 = lambda amount: self.broker.short_on_match(
symbol2, contract2, amount)
self.close_long_on_match1 = lambda amount: self.broker.close_long_on_match(
symbol1, contract1, amount)
self.close_long_on_match2 = lambda amount: self.broker.close_long_on_match(
symbol2, contract2, amount)
self.close_short_on_match1 = lambda amount: self.broker.close_short_on_match(
symbol1, contract1, amount)
self.close_short_on_match2 = lambda amount: self.broker.close_short_on_match(
symbol2, contract2, amount)
self.long_position_info1 = self.broker.long_position_info(
symbol1, contract1)
self.long_position_info2 = self.broker.long_position_info(
symbol2, contract2)
self.short_position_info1 = self.broker.short_position_info(
symbol1, contract1)
self.short_position_info2 = self.broker.short_position_info(
symbol2, contract2)
sprint("菲利普准备完毕。")
self.__refresh_position_info()
sprint("菲利普开始刷新仓位信息。")
def test_case_two():
print('\nTest_Case_Two')
test_position = Broker()
midpoint = 100.
fee = .003
# ========
order_open = {'price': midpoint + (midpoint * fee), 'side': 'short'}
test_position.add(order=order_open)
assert test_position.short_inventory.position_count == 1
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl())
assert test_position.long_inventory.position_count == 0
assert test_position.long_inventory.get_unrealized_pnl() == 0.
order_close = {'price': midpoint * 0.95, 'side': 'short'}
test_position.remove(order=order_close)
assert test_position.short_inventory.position_count == 0
print('SHORT Unrealized_pnl: %f' %
test_position.short_inventory.get_unrealized_pnl())
assert test_position.long_inventory.position_count == 0
assert test_position.long_inventory.get_unrealized_pnl() == 0.
print('SHORT Realized_pnl: %f' % test_position.get_realized_pnl())
def test_case_one():
print('\nTest_Case_One')
test_position = Broker()
midpoint = 100.
fee = .003
# ========
order_open = {'price': midpoint + (midpoint * fee), 'side': 'long'}
test_position.add(order=order_open)
assert test_position.long_inventory.position_count == 1
print('LONG Unrealized_pnl: %f' %
test_position.long_inventory.get_unrealized_pnl())
assert test_position.short_inventory.position_count == 0
assert test_position.short_inventory.get_unrealized_pnl() == 0.
order_close = {'price': (midpoint * fee) * 5. + midpoint, 'side': 'long'}
test_position.remove(order=order_close)
assert test_position.long_inventory.position_count == 0
print('LONG Unrealized_pnl: %f' %
test_position.long_inventory.get_unrealized_pnl())
assert test_position.short_inventory.position_count == 0
assert test_position.short_inventory.get_unrealized_pnl() == 0.
print('LONG Realized_pnl: %f' % test_position.get_realized_pnl())
def __init__(self, env_config):
account = Account(000000, env_config['initial_cash'], 0,
env_config['initial_cash'],
env_config['initial_cash'], dict(), False)
max_limit = env_config['window']
self.resized_image_width = 100
self.resized_image_height = 100
image_channel = 4
self.log_every = env_config['log_every']
self.broker = Broker(account, max_limit=max_limit)
self.all_tickers = self.broker.all_tickers
self.n_symbols = env_config['n_symbols']
self.tech_indicators = env_config['tech_indicators']
length = OHCLVV + len(self.tech_indicators.split())
self.use_image = env_config['use_image']
if self.use_image:
self.observation_space = gym.spaces.Dict({
'data':
gym.spaces.Box(-np.inf, np.inf,
(self.n_symbols, max_limit, length)),
'images':
gym.spaces.Box(-np.inf, np.inf,
(self.n_symbols, self.resized_image_height,
self.resized_image_width, image_channel)),
'privates':
gym.spaces.Box(-np.inf, np.inf, (5 + self.n_symbols * 2, ))
})
else:
self.observation_space = gym.spaces.Dict({
'data':
gym.spaces.Box(-np.inf, np.inf,
(self.n_symbols, max_limit, length)),
'privates':
gym.spaces.Box(-np.inf, np.inf, (5 + self.n_symbols * 2, ))
})
self.action_space = gym.spaces.MultiDiscrete([env_config['bins']] *
self.n_symbols)
self.current_tickers = None
self.qty_val = np.linspace(-env_config['max_shares'],
env_config['max_shares'],
env_config['bins'])
self.images = None
self.refresh_data = True
class BaseTask(abc.ABC):
"""
Example Usage:
class AdderTask(BaseTask):
task_name = "AdderTask"
def run(self, a, b):
result = a + b
return result
adder = AdderTask()
adder.delay(9, 34)
"""
task_name = None
def __init__(self):
if not self.task_name:
raise ValueError("task_name should be set")
self.broker = Broker()
@abc.abstractmethod # abstractmethod 派生类必须重写实现逻辑
def run(self, *args, **kwargs):
# put your business logic here
raise NotImplementedError("Task `run` method must be implemented.")
# 更新状态
def update_state(self, task_id, state, meta={}):
_task = {"state": state, "meta": meta}
serialized_task = json.dumps(_task)
backend = Backend()
backend.enqueue(queue_name=task_id, item=serialized_task)
print(f"task info: {task_id} succesfully queued")
# 异步执行
def delay(self, *args, **kwargs):
try:
self.task_id = str(uuid.uuid4())
_task = {"task_id": self.task_id, "args": args, "kwargs": kwargs}
serialized_task = json.dumps(_task)
# 加入redis中
self.broker.enqueue(queue_name=self.task_name,
item=serialized_task)
print(f"task: {self.task_id} succesfully queued")
except Exception:
traceback.print_exc()
return self.task_id
def __init__(self, broker_personality, nr_transporters, nr_cargo_owners,
max_iterations, max_displacement_from_estimated_price,
gauss_stdev):
# L
self.broker_personality = broker_personality
self.nr_transporters = nr_transporters
self.nr_cargo_owners = nr_cargo_owners
self.new_transport_providers()
self.new_cargo_owners()
self.broker = Broker(self.broker_personality)
self.stats = Statistics(self.transporters_icnet,
self.transporters_aicnet, self.cargo_owners)
self.max_iterations = max_iterations
self.max_displacement_from_estimated_price = max_displacement_from_estimated_price
self.gauss_stdev = gauss_stdev
self.global_bid_iterator = 0
self.multiple_yes = 0
def setup_broker(self, cfg=None):
"""
Currently only creates a dummy Broker object for registering Applications to.
:param cfg:
:return:
"""
self.__broker = Broker()
return self.broker
def main():
broker = Broker()
subscriber = Subscriber()
subscriber.connect_broker(broker)
topics = ["1", "2", "3", "4", '5', '6', '7', '8', '9']
subscriber.subscribe_to_topics(topics)
def _broker(self, reqs, items): result = Broker._broker(self, reqs, items) for (rType, rValue) in reqs: if (rType == WMS.STORAGE) and rValue: if result == None: result = [] for rval in rValue: result.extend(self.storageDict.get(rval, [])) return result
def main():
broker = Broker()
publisher = Publisher()
publisher.connect_broker(broker)
topics = ['1']
publisher.publish_on_topics(topics)
def __init__(self):
self.client = MongoClient(config.DBURI + config.DBNAME)
self.db = self.client[config.DBNAME]
self.active_readers = dict()
self.broker = Broker()
self.no_exception = True
self.stopped = False
signal('reader_updated').connect(self.update_readers)
def __init__(self, host, port):
socket = TSocket.TSocket(host, port)
self.transport = TTransport.TBufferedTransport(socket)
try:
self.transport.open()
except:
pass
protocol = TBinaryProtocol.TBinaryProtocol(self.transport)
self.client = Broker.Client(protocol)
def __init__(self):
# Set False for forward testing.
self.live_trading = True
self.log_level = logging.DEBUG
self.logger = self.setup_logger()
self.exchanges = self.load_exchanges(self.logger)
# Database.
self.db_client = MongoClient(
self.DB_URL, serverSelectionTimeoutMS=self.DB_TIMEOUT_MS)
# Price data database.
self.db_prices = self.db_client[self.DB_PRICES]
# Non-price data database.
self.db_other = self.db_client[self.DB_OTHER]
self.check_db_connection()
# Main event queue.
self.events = queue.Queue(0)
# Producer/consumer worker classes.
self.data = Datahandler(self.exchanges, self.logger, self.db_prices,
self.db_client)
self.strategy = Strategy(self.exchanges, self.logger, self.db_prices,
self.db_other, self.db_client)
self.portfolio = Portfolio(self.exchanges, self.logger, self.db_other,
self.db_client, self.strategy.models)
self.broker = Broker(self.exchanges, self.logger, self.db_other,
self.db_client, self.live_trading)
# Processing performance tracking variables.
self.start_processing = None
self.end_processing = None
self.cycle_count = 0
self.run()
def run(config_file: str, password: str):
"""Reads config file, initializes configuration and creates Broker object that runs in a separate thread"""
logging.info('Starting broker with config')
logging.info("Loading config file '%s'", config_file)
try:
config = ConfigParser()
config.read(config_file)
except Exception as ex:
logging.error("Error reading config: %s, exiting", type(ex))
logging.error(ex.args)
return
try:
eth_section = config['Ethereum']
eth_contracts = config['Contracts']
eth_use = eth_section['use']
eth_server = eth_section[eth_use]
ipfs_section = config['IPFS']
ipfs_use = config['IPFS.%s' % ipfs_section['use']]
broker = Broker(eth_server=eth_server,
abi_path=eth_contracts['abi_path'],
pandora=eth_contracts['pandora'],
node=eth_contracts['worker_node'],
vault=config['Account']['vault'],
data_dir=ipfs_section['store_in'],
ipfs_server=ipfs_use['server'],
ipfs_port=int(ipfs_use['port']),
use_hooks=eth_contracts.getboolean('hooks'))
except Exception as ex:
logging.error("Error reading config: %s, exiting", type(ex))
logging.error(ex.args)
return
if password is None:
password = getpass(
'Please provide password for unlocking private key: ')
if broker.connect(password) is False:
return
# Remove the following line in order to put the app into a daemon mode (running on the background)
broker.join()
def start(self):
broker = Broker(self.rxq, self.txq)
broker.find_plugins()
irc = Irc(self.rxq, self.txq)
self.irc_p = Process(target=irc.start)
self.broker_p = Process(target=broker.start)
self.irc_p.start()
self.broker_p.start()
for input in settings.INPUTS:
input_path = path.join(settings.INPUTS_DIR, "%s.py" % input)
if path.isfile(input_path):
module = load_source(input, input_path)
p = Process(target=module.input, args=(self.rxq, ))
self.inputs.append(p)
p.start()
else:
# warning
pass
def __init_broker_and_processors(self):
self.__broker = Broker(self)
self.__event_processor = EventProcessor(0, self)
self.__event_processors = list()
for i in range(self.config.processor_num):
id = i + 1
event_channel = EventChannel()
event_channel.register(self.__broker)
event_processor = EventProcessor(id, self, event_channel)
self.__event_processors.append(event_processor)
def start(self):
broker = Broker(self.rxq, self.txq)
broker.find_plugins()
irc = Irc(self.rxq, self.txq)
self.irc_p = Process(target=irc.start)
self.broker_p = Process(target=broker.start)
self.irc_p.start()
self.broker_p.start()
for input in settings.INPUTS:
input_path = path.join(settings.INPUTS_DIR, "%s.py" % input)
if path.isfile(input_path):
module = load_source(input, input_path)
p = Process(target=module.input, args=(self.rxq,))
self.inputs.append(p)
p.start()
else:
# warning
pass
def get_brokers(self):
query = ("SELECT * FROM brokers ORDER BY broker_name ASC")
self.cursor.execute(query)
self.brokers_list = []
for brokers in self.cursor:
broker = Broker(brokers[0], brokers[1], brokers[2])
self.brokers_list.append(broker)
return self.brokers_list
def update(self):
"""Returns: void
Replace the candles with the most recent ones available.
Algorithm for minimizing number of updated candles:
Get the time difference from chart end to now.
If the time difference is greater than the width of the chart,
request <chart size> candles.
else,
request candles from end of chart to now.
"""
new_history = None
if self.get_lag() > self.get_time_span():
# replace all candles
new_history = Broker.get_instrument_history(
instrument=self._instrument,
granularity=self._granularity,
count=self.get_size(),
to=datetime.datetime.utcnow()
)
else:
# request new candles starting from end of chart
# TODO verify candleFormat is same as existing chart
new_history_ = broker.get_instrument_history(
instrument=self._instrument,
granularity=self._granularity,
from_time=self.get_end_timestamp
)
if new_history == None:
Log.write('chart.py update(): Failed to get new candles.')
raise Exception
else:
# Got new candles. Stow them.
new_candles = new_history['candles']
# Iterate forwards from last candle. The last candle is probably
# non-complete, so overwrite it. This thereby fills in the missing
# gap between (end of chart) and (now). If the gap is smaller
# than the size of the chart, only the beginning of the chart is
# overwritten. If the gap is bigger than the chart, all candles
# get overwritten.
for i in range(0, len(self._candles)):
# TODO assuming bid/ask candles
new_candle = new_candles[i]
self._candles[self._get_end_index()].timestamp = util_date.string_to_date(new_candle['time'])
self._candles[self._get_end_index()].volume = float(new_candle['volume'])
self._candles[self._get_end_index()].complete = bool(new_candle['complete'])
self._candles[self._get_end_index()].open_bid = float(new_candle['bid']['o'])
self._candles[self._get_end_index()].open_ask = float(new_candle['ask']['o'])
self._candles[self._get_end_index()].high_bid = float(new_candle['bid']['h'])
self._candles[self._get_end_index()].high_ask = float(new_candle['ask']['h'])
self._candles[self._get_end_index()].low_bid = float(new_candle['bid']['l'])
self._candles[self._get_end_index()].low_ask = float(new_candle['ask']['l'])
self._candles[self._get_end_index()].close_bid = float(new_candle['bid']['c'])
self._candles[self._get_end_index()].close_ask = float(new_candle['ask']['c'])
if i < len(self._candles) - 1:
self._increment_start_index() # increments end index too
def main():
portEnum = PortEnum
broker = Broker()
status = StatusChecker(broker)
try:
status.start()
KeyListener('0.0.0.0', portEnum.broker.value, broker)
loop_thread = Thread(target=asyncore.loop, name="Asyncore Loop")
loop_thread.start()
except Exception as e:
print(e)
status.kill()
def close_position(self):
"""
close the position when current size of position is not zero
"""
if position() != 0:
# print("in close", position_list[-1])
Broker(self.init_capital).make_order(unit=-1 * position(),
limit_price=None,
stop_loss=None,
stop_profit=None)
else:
pass
def _curses_refresh(cls, stdcsr):
ch = stdcsr.getch() # get one char
if ch == 113: # q == quit
stdcsr.addstr('\nInitiating shutdown...\n')
stdcsr.refresh() # redraw
curses.nocbreak()
stdcsr.keypad(False)
#curses.echo()
curses.endwin() # restore terminal
cls.shutdown()
elif ch == 109: # m == monitor
account_id = Config.account_id
balance = Broker.get_balance(account_id)
msg = cls.msg_base.format(balance)
stdcsr.clear()
stdcsr.addstr(msg)
stdcsr.refresh() # redraw
def test___init__(self):
"""
Case: count, no start, no end
"""
COUNT = 100
GRANULARITY = 'S5'
NUM_EXTRA_SECONDS = 300
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
chart = Chart(
in_instrument=sample_instrument,
count=COUNT
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY) # Oanda's default (S5)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
start = None
chart = None
"""
Case: count, start, no end
"""
COUNT = 100
GRANULARITY = 'M1'
WIGGLE_MINUTES = 5 # no price change -> no candle
ADJUSTMENT = 120
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart with no market close gaps.
# start = now - time since close - chart size
# - (adjustment to busy time to avoid gaps) - skipped candle slack
start = datetime.utcnow() \
- Broker.get_time_since_close() \
- timedelta(minutes = COUNT + ADJUSTMENT + WIGGLE_MINUTES)
chart = Chart(
in_instrument=sample_instrument,
count=COUNT,
start=start,
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check start time
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(minutes=WIGGLE_MINUTES)
)
# check end time
end_expected = start + timedelta(minutes=COUNT)
end_real = chart.get_end_timestamp()
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(end_expected - end_real) < timedelta(minutes=WIGGLE_MINUTES)
)
# check candle format
self.assertNotEqual(chart[0].open_bid, None)
"""
count, no start, end
"""
COUNT = 100
GRANULARITY = 'H2'
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
chart = Chart(
in_instrument=sample_instrument,
count=COUNT,
end=datetime.utcnow(),
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check start time
"""self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(minutes=5)
)"""
# check end time
end_expected = datetime.utcnow()
end_real = chart.get_end_timestamp()
if Broker.get_time_until_close() == timedelta():
self.assertTrue(
abs(end_expected - end_real) < timedelta(days=3)
)
else:
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(end_expected - end_real) < timedelta(hours=5)
)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
"""
no count, start, no end
"""
COUNT = 24
GRANULARITY = 'M' # month (Oanda)
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
# start = now - 2 years
start = datetime.utcnow() - timedelta(days=365*2)
chart = Chart(
in_instrument=sample_instrument,
start=start,
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and abs(chart._get_end_index() - COUNT) <= 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertTrue( abs(chart.get_size() - COUNT) <= 1 )
# check start time
self.assertTrue(
# allow wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(days=32)
)
# check end time
end_expected = datetime.utcnow()
end_real = chart.get_end_timestamp()
self.assertTrue(
# Allow wiggle room for market close.
abs(end_expected - end_real) < timedelta(days=32)
)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
def test_update(self):
"""
test: Chart.update()
Constraints to verify:
- Data is as recent as possible
- start index has earliest timestamp
- end index has latest timestamp
- timestamps from start to end are sequential
Cases:
- old chart (complete update)
- somewhat outdated chart (partially updated)
- new chart (no updates other than last (incomplete) candle)
"""
"""
case: old chart that gets completely updated
"""
# initial "outdated" chart
chart = Chart(
in_instrument=Instrument(4),
granularity='M1',
count=4999,
end=datetime(year=2017, month=12, day=5)
)
# Update chart
chart.update()
# Verify data is most recent
time_since_close = Broker.get_time_since_close()
now = datetime.utcnow()
end_timestamp = chart.get_end_timestamp()
if (Broker.get_time_until_close() == timedelta()):
# Time since last candle should be close to time since market
# close. The leniency is high to allow for periods of no new
# candles.
self.assertTrue(
abs((now - end_timestamp) - (time_since_close))
< timedelta(minutes=62)
)
else:
# Time since last candle should be close to now.
self.assertTrue(abs(now - end_timestamp) < timedelta(minutes=2))
# verify candle at start index has earliest timestamp.
earliest_timestamp = datetime.utcnow()
for i in range(0, chart.get_size()):
if chart[i].timestamp < earliest_timestamp:
earliest_timestamp = chart[i].timestamp
self.assertTrue(chart.get_start_timestamp() == earliest_timestamp)
# verify candle at end index has latest timestamp.
latest_timestamp = datetime(year=1999, month=1, day=1)
for i in range(0, chart.get_size()):
if chart[i].timestamp > latest_timestamp:
latest_timestamp = chart[i].timestamp
self.assertTrue(chart.get_end_timestamp() == latest_timestamp)
# Verify sequential timestamps
for i in range(0, chart.get_size() - 1):
self.assertTrue(chart[i].timestamp < chart[i + 1].timestamp)
"""
Chart that gets partially updated
"""
# TODO
"""
def _babysit(self):
""" (See strategy.py for documentation) """
Log.write('fifty.py babysit(): _open_tade_ids: {}'.format(self.open_trade_ids))
for open_trade_id in self.open_trade_ids:
is_closed = Broker.is_trade_closed(open_trade_id)
if is_closed[0]:
Log.write('"fifty.py" _babysit(): Trade ({}) has closed with reason: {}'
.format( open_trade_id, str(is_closed[1]) )
)
# If SL hit, reverse direction.
if is_closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
if self.go_long:
self.go_long = False
else:
self.go_long = True
self.open_trade_ids.remove(open_trade_id)
else:
trade = Broker.get_trade(open_trade_id)
instrument = trade.instrument
sl = round( float(trade.stop_loss), 2 )
go_long = int(trade.units) > 0
if go_long: # currently long
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
if cur_bid - sl > self.sl_price_diff:
new_sl = cur_bid - self.sl_price_diff
resp = Broker.modify_trade(
trade_id=open_trade_id,
stop_loss_price=str(round(new_sl, 2))
)
if resp == None:
Log.write('"fifty.py" _babysit(): Modify failed. Checking if trade is closed.')
closed = Broker.is_trade_closed(open_trade_id)
Log.write('fifty.py babysit(): is_trade_closed returned:\n{}'.format(closed))
if closed[0]:
Log.write('"fifty.py" _babysit(): BUY trade has closed. (BUY)')
self.open_trade_ids.remove(open_trade_id)
# If SL hit, reverse direction.
if closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
self.go_long = False
else:
Log.write('"fifty.py" _babysit(): Failed to modify BUY trade.')
raise Exception
else:
Log.write('"fifty.py" _babysit(): Modified BUY trade with ID (',\
open_trade_id, ').')
else:
Log.write('"fifty.py" _babysit(): Failed to get bid while babysitting.')
raise Exception
else: # currently short
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
if sl - cur_bid > self.sl_price_diff:
new_sl = cur_bid + self.sl_price_diff
resp = Broker.modify_trade(
trade_id=open_trade_id,
stop_loss_price=str(round(new_sl, 2))
)
if resp == None:
closed = Broker.is_trade_closed(open_trade_id)
Log.write('fifty.py babysit(): is_trade_closed returned:\n{}'.format(closed))
if closed[0]:
Log.write('"fifty.py" _babysit(): SELL trade has closed. (BUY)')
self.open_trade_ids.remove(open_trade_id)
# If SL hit, reverse direction.
if closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
self.go_long = True
else:
Log.write('"fifty.py" in _babysit(): Failed to modify SELL trade.')
raise Exception
else:
Log.write('"fifty.py" _babysit(): Modified SELL trade with ID (',\
open_trade_id, ').')
else:
Log.write('"fifty.py" _babysit(): Failed to get ask while babysitting.')
raise Exception
def run(self):
# 1. Start Broker
broker = Broker()
broker.setDaemon(True)
broker.start()
# 2. Start Senders
try:
local_logger = LocalLogger(
queue_size=4096,
config=self._config['sender']['local_logger'])
local_logger.setDaemon(True)
except Exception as e:
print e
print "ERROR: Can\'t create local looger"
else:
broker.register_sender(local_logger)
local_logger.start()
try:
mac_tracker_server = MacTrackerServer(
queue_size=4096,
config=self._config['sender']['mac_tracker_server']
)
mac_tracker_server.setDaemon(True)
except Exception as e:
print e
print "ERROR: Can\'t create MAC tracker server"
else:
broker.register_sender(mac_tracker_server)
mac_tracker_server.start()
# 3. Start Reader
try:
reader = Reader(broker, config=self._config['pipe_file'])
reader.setDaemon(True)
except Exception as e:
#sys.stdout.write("Error: Can\'t create PipeReader\n")
print e
print "Error: Can\'t create PipeReader\n"
else:
reader.start()
broker.join()
reader.join()
#Agent Thread Start Idle Here
while (True):
time.sleep(1)
pass
def __init__(self, config, name, userOpt, itemName, discoverFun):
Broker.__init__(self, config, name, userOpt, itemName, discoverFun)
self.storageDict = config.getDict('%s storage access' % userOpt, {}, onChange = None,
parser = lambda x: utils.parseList(x, ' '))[0]
def __init__(
self,
in_instrument, # <Instrument>
granularity='S5', # string - See Oanda's documentation
count=None, # int - number of candles
start=None, # datetime - UTC
end=None, # datetime - UTC
price='MBA', # string
include_first=None, # bool
daily_alignment=None, # int
alignment_timezone=None, # string - timezone
weekly_alignment=None
):
self._candles = []
# verify instance of <Instrument> by accessing a member.
if in_instrument.get_id() == 0:
pass
if not count in [0]: # do send None
# get candles from broker
instrument_history = Broker.get_instrument_history(
instrument=in_instrument,
granularity=granularity,
count=count,
from_time=start,
to=end,
price=price,
include_first=include_first,
daily_alignment=daily_alignment,
alignment_timezone=alignment_timezone,
weekly_alignment=weekly_alignment
)
if instrument_history == None:
Log.write('chart.py __init__(): Failed to get instrument history.')
raise Exception
else:
candles_raw = instrument_history['candles']
for c_r in candles_raw:
new_candle = Candle(
timestamp=util_date.string_to_date(c_r['time']),
volume=float(c_r['volume']),
complete=bool(c_r['complete']),
open_bid=float(c_r['bid']['o']),
high_bid=float(c_r['bid']['h']),
low_bid=float(c_r['bid']['l']),
close_bid=float(c_r['bid']['c']),
open_ask=float(c_r['ask']['o']),
high_ask=float(c_r['ask']['h']),
low_ask=float(c_r['ask']['l']),
close_ask=float(c_r['ask']['c'])
)
self._candles.append(new_candle)
self._instrument = in_instrument
self._granularity = granularity
self._start_index = 0 # start
self._price = price
self.include_first = include_first
self.daily_alignment = daily_alignment
self._alignment_timezone = alignment_timezone
self.weekly_alignment = weekly_alignment
def recover_trades(cls):
"""Returns: None on failure, any value on success
See if there are any open trades, and resume babysitting.
-
If trades are opened without writing their info to the db,
the trade cannot be distributed back to the strategy that opened
it, because it is unknown what strategy placed the order.
This could be solved by writing to the db before placing the order,
synchronously. However if placing the order failed, then the database
record would have to be deleted, and this would be messy.
Instead, designate a backup strategy that adopts orphan trades.
"""
# Get trades from broker.
open_trades_broker = Broker.get_open_trades() # instance of <Trades>
if open_trades_broker == None:
Log.write('daemon.py recover_trades(): Broker.get_open_trades() failed.')
return None
# Delete any trades from the database that are no longer open.
# First, ignore trades that the broker has open.
db_trades = DB.execute('SELECT trade_id FROM open_trades_live')
Log.write('"daemon.py" recover_trades():\ndb open trades: {}\nbroker open trades: {}'
.format(db_trades, open_trades_broker))
for index, dbt in enumerate(db_trades): # O(n^3)
for otb in open_trades_broker:
if str(dbt[0]) == str(otb.trade_id): # compare trade_id
del db_trades[index]
# The remaining trades are in the "open trades" db table, but
# the broker is not listing them as open.
# They may have closed since the daemon last ran; confirm this.
# Another cause is that trades are automatically removed from
# Oanda's history after much time passes.
for dbt in db_trades:
if Broker.is_trade_closed(dbt[0])[0]:
# Trade is definitely closed; update db.
Log.write('"daemon.py" recover_trades(): Trade {} is closed. Deleting from db.'
.format(dbt[0]))
else:
# Trade is in "open trades" db table and the broker
# says the trade is neither open nor closed.
DB.bug('Trade w/ID ({}) is neither open nor closed.'
.format(dbt[0]))
Log.write('"daemon.py" recover_trades(): Trade w/ID (',
'{}) is neither open nor closed.'.format(dbt[0]))
DB.execute('DELETE FROM open_trades_live WHERE trade_id="{}"'
.format(dbt[0]))
"""
Fill in info not provided by the broker, e.g.
the name of the strategy that opened the trade.
It's possible that a trade will be opened then the system is
unexpectedly terminated before info about the trade can be saved to
the database. Thus a trade may not have a corresponding trade in the database.
"""
for i in range(0,len(open_trades_broker)):
broker_trade = open_trades_broker[i]
db_trade_info = DB.execute(
'SELECT strategy, broker FROM open_trades_live WHERE trade_id="{}"'
.format(broker_trade.trade_id)
)
if len(db_trade_info) > 0:
# Verify broker's info and database info match, just to be safe.
# - broker name
if db_trade_info[0][1] != broker_trade.broker_name:
Log.write('"daemon.py" recover_trades(): ERROR: "{}" != "{}"'
.format(db_trade_info[0][1], broker_trade.broker_name))
raise Exception
# set strategy
broker_trade.strategy = None # TODO: use a different default?
for s in cls.strategies:
if s.get_name == db_trade_info[0][0]:
broker_trade.strategy = s # reference to class instance
else:
# Trade in broker but not db.
# Maybe the trade was opened manually. Ignore it.
# Remove from list.
open_trades_broker = open_trades_broker[0:i] + open_trades_broker[i+1:len(open_trades_broker)] # TODO: optimize speed
# Distribute trades to their respective strategy modules
for broker_trade in open_trades_broker:
if broker_trade.strategy != None:
# Find the strategy that made this trade and notify it.
for s in cls.strategies:
if broker_trade.strategy.get_name() == s.get_name():
s.adopt(broker_trade.trade_id)
open_trades_broker.remove(broker_trade.trade_id)
break
else:
# It is not known what strategy opened this trade.
# One possible reason is that the strategy that opened the
# trade is no longer open.
# Assign it to the backup strategy.
Log.write('"daemon.py" recover_trades(): Assigning trade ',
' ({}) to backup strategy ({}).'
.format(broker_trade.trade_id, cls.backup_strategy.get_name()))
cls.backup_strategy.adopt(broker_trade.trade_id)
return 0 # success
if DEBUG:
print "Currencies I'm looking for:"
pp.pprint(wanted_currencies)
# Set up the record keeper to store our history
recorder = False
if Config.has_section("RecordKeeper"):
from recordkeeper import RecordKeeper
recorder = RecordKeeper("./price-watcher.cfg")
# Set up the broker object for dealing with the money
broker = Broker("./price-watcher.cfg", wanted_currencies, base_currency, DEBUG)
current_portfolio = broker.get_portfolio()
if DEBUG:
print "Current portfolio:"
pp.pprint(current_portfolio)
# Find the new currency equilibrium
money_maker = MoneyMaker("./price-watcher.cfg", base_currency, wanted_currencies, DEBUG)
transactions = money_maker.shake(current_portfolio)
# Get the notifier ready
notifier = False
if Config.has_section("Notifier"):
def __init__(self, config, name, userOpt, itemName, discoverFun): Broker.__init__(self, config, name, userOpt, itemName, discoverFun) self._itemsStart = self._discover(discoverFun)
def __init__(self, config, name, userOpt, itemName, discoverFun): Broker.__init__(self, config, name, userOpt, itemName, discoverFun) self._itemsStart = config.getList(userOpt, [], onChange = None) if not self._itemsStart: self._itemsStart = None
class Simulator(object):
'''
simulation manager
'''
def __init__(self, instrument, strategies, start_date, end_date, opening_bal,time_stamp=None):
'''
constructs message queues
initialises brokers and traders
'''
self.instrument = instrument
self.start_date = start_date
self.end_date = end_date
self.opening_bal = opening_bal
self.datafeed = DataFeed(instrument)
self.orderQ = MsgQ()
self.receiptQ = MsgQ()
self.term_req_Q = MsgQ()
self.term_notice_Q = MsgQ()
self.broker = Broker(self.datafeed, self.orderQ, self.receiptQ, self.term_req_Q, self.term_notice_Q)
self.traders = []
for strategy in strategies:
trader = Trader(self.datafeed, self.broker, self.opening_bal, self.instrument, strategy, self.start_date, self.end_date)
self.traders.append(trader)
self.time_stamp = time_stamp
def run(self):
'''
simulate event series
'''
current_date = date(self.start_date.year, self.start_date.month, self.start_date.day)
length = self.end_date - self.start_date
d_total = length.days
display_int = d_total / 10
while (current_date <= self.end_date):
# PROCESS TRADING DAYS
if (self.datafeed.date_is_trading_day(current_date) == True):
self.broker.open_manage_and_close(current_date)
# book keeping
for trader in self.traders:
trader.ac.tally_individual_open_positions(current_date)
trader.ac.record_net_end_of_day_pos(current_date)
trader.ac.record_end_of_day_balances(current_date)
for trader in self.traders:
trader.execute_strategy(current_date)
#self.broker.log_closed_positions()
self.broker.log_all_positions(current_date)
# IGNORE NON-TRADING DAYS
else:
pass
current_date = current_date + timedelta(days=1)
elapsed = (self.end_date - current_date)
d_elapsed = elapsed.days
progress = (float(d_total) - float(d_elapsed)) / float(d_total) * 100.0
if (d_elapsed % display_int == 0):
print('%i/100' % int(progress))
self.traders[0].strategy.log_self()
def plot(self):
'''
analyse & report on simulation path and outcome
'''
d = date(self.start_date.year, self.start_date.month, self.start_date.day)
dates = []
prices = []
cash_bal = []
margin_bal = []
net_booked_position = []
net_open_position = []
daily_high = []
daily_low = []
mavg_band_ceiling = []
mavg_band_floor = []
trader = self.broker.traders[0]
ac = trader.ac
df = self.datafeed
pMin = None
pMax = None
while (d <= self.end_date):
# TRADING DAYS
if (self.datafeed.date_is_trading_day(d) == True):
dates.append(d)
mavg_top = df.n_day_moving_avg(None, d, 'high', Strategy.n)
mavg_bottom = df.n_day_moving_avg(None, d, 'low', Strategy.n)
mavg_band_ceiling.append(mavg_top)
mavg_band_floor.append(mavg_bottom)
pinfo = df.get_price_info(None, d)
prices.append(pinfo['close'])
daily_high.append(pinfo['high'])
daily_low.append(pinfo['low'])
s = str(d) + ',' + str(mavg_band_ceiling[len(mavg_band_ceiling) - 1]) + ',' + str(mavg_band_floor[len(mavg_band_floor) - 1]) + ',' + str(pinfo['close'])
logging.info(s)
cash_bal.append(ac.d_cash_bal[d])
margin_bal.append(ac.d_margin_bal[d])
net_booked_position.append(ac.d_net_booked_position[d])
net_open_position.append(ac.net_open_position[d])
if (pMin == None):
pMin = pinfo['low']
pMax = pinfo['high']
else:
if pinfo['low'] < pMin:
pMin = pinfo['low']
if pinfo['high'] > pMax:
pMax = pinfo['high']
# NON-TRADING DAYS
else:
pass
d = d + timedelta(days=1)
aDate = np.array(dates)
aPrice = np.array(prices)
fig = plt.figure(figsize=(20, 20))
ax = fig.add_subplot(111)
#ax.plot(aDate, aPrice, color='blue')
for series in [mavg_band_ceiling, mavg_band_floor]:
y = np.array(series)
t = np.array(dates)
ax.plot(t, y, color='red')
for series in [daily_high, daily_low]:
y = np.array(series)
t = np.array(dates)
ax.plot(t, y, color='blue')
plt.ylim([float(pMin), float(pMax)])
for series in [net_booked_position]:
y = np.array(series)
t = np.array(dates)
ax2 = ax.twinx()
ax2.plot(t, y, color='green')
ax.grid(False)
fig.autofmt_xdate(rotation=90)
fname = 'plot/plot_' + self.time_stamp
fig.savefig(fname)
def _broker(self, reqs, items): items = Broker._broker(self, reqs, items) if items: items = [items[self._nIndex % len(items)]] self._nIndex += 1 return items
class ScaleClient(object):
"""This class parses a configuration file and subsequently creates, configures, and manages each component of the
overall Scale Client software.
"""
def __init__(self, quit_time=None, raise_errors=False):
super(ScaleClient, self).__init__()
self._quit_time = quit_time
self._raise_errors = raise_errors
self.__broker = None
self.__reporter = None
self.__sensors = None
self.__applications = None
self.__networks = None
def setup_reporter(self, cfg=None):
if self.__broker is None:
self.setup_broker(cfg)
self.__reporter = EventReporter(self.__broker)
@property
def event_reporter(self):
"""
:rtype: EventReporter
"""
return self.__reporter
def setup_broker(self, cfg=None):
"""
Currently only creates a dummy Broker object for registering Applications to.
:param cfg:
:return:
"""
self.__broker = Broker()
return self.broker
@property
def broker(self):
"""
:rtype: Broker
"""
return self.__broker
def schedule_quit_time(self, quit_time):
"""
Terminate the client and all Applications at the given time.
:param quit_time: time to quit after in seconds
:return:
"""
# HACK: create a dummy app that just calls Broker.stop() at the requested quit_time.
# We need to do it in an app like this to get the self variables bound in correctly.
# This is circuits-specific!
class QuitApp(Application):
def _quitter(self):
log.info("Stopping client...")
self._broker.stop()
# TODO: put this in a thread? that comes back and finishes quitting in case it hangs?
# if you REALLY can't get the client to quit, do this:
# os._exit(0)
quit_app = QuitApp(self.__broker)
quit_app.timed_call(quit_time, QuitApp._quitter)
def run(self):
"""Currently just loop forever to allow the other threads to do their work."""
if self._quit_time is not None:
self.schedule_quit_time(self._quit_time)
# Run the broker until it, and thus the whole scale client, have a stop event fully propagated
self.__broker.run()
def setup_sensors(self, configs):
"""
Configure the sensors expressed in the name-keyed configs dict.
:param configs:
"""
self.__sensors = self.setup_components(configs, 'scale_client.sensors')
def setup_networks(self, configs):
"""
Configure the sensors expressed in the name-keyed configs dict.
:param configs:
"""
self.__networks = self.setup_components(configs, 'scale_client.networks')
def setup_applications(self, configs):
"""
Configure the sensors expressed in the name-keyed configs dict.
:param configs:
"""
self.__applications = self.setup_components(configs, 'scale_client.applications')
def setup_components(self, configs, package_name, helper_fun=None, *args):
"""
Iterate over each component configuration in configs, import the specified class
(possibly using package_name as the root for the import statement), and then call
helper_fun with the class and requested configuration to finish its setup. If
helper_fun isn't specified, the default simply calls the class's constructor
with the given arguments parsed from the configuration.
:param configs: a dict where each entry is a component to set up; each component has a unique
name as its key and the value is a dict of parameters, which should at least include
'class' for importing the class using python's import
:type configs: dict
:param package_name: root package_name for the class paths specified
(these will be classes in the scale_client package e.g. sensors, event_sinks)
:param helper_fun: responsible for creating the component in question and doing any bookkeeping
:param args: these positional args will be passed to helper_fun
:return: list of constructed classes
"""
if helper_fun is None:
def helper_fun(_class, broker, **kwargs):
return _class(broker, *args, **kwargs)
results = []
for comp_name, cfg in list(configs.items()):
# need to get class definition to call constructor
if 'class' not in cfg:
log.warn("Skipping %s config with no class definition: %s" % (comp_name, cfg))
continue
# try importing the specified class extended by package_name first, then just 'class' if error
cls_name = '.'.join([package_name, cfg['class']])
other_cls_name = cfg['class']
try:
cls = _get_class_by_name(cls_name)
except ImportError as e:
try:
cls = _get_class_by_name(other_cls_name)
except ImportError as e2:
log.error("ImportErrors while creating %s class: %s\n"
"Did you remember to put the repository in your PYTHONPATH??? "
"skipping import..." % (other_cls_name, cfg))
log.debug("Errors were: %s (import %s)\n%s (import %s)" % (e, cls_name, e2, other_cls_name))
continue
try: # building the class
# copy config s so we can tweak it as necessary to expose only correct kwargs
new_config = cfg.copy()
new_config.pop('class')
if 'name' not in new_config:
new_config['name'] = comp_name
res = helper_fun(cls, self.__broker, *args, **new_config)
results.append(res)
log.info("%s created from config: %s" % (comp_name, cfg))
except Exception as e:
log.error("Unexpected error while creating %s class: %s\nError: %s" % (cls.__name__, cfg, e))
if self._raise_errors:
raise
return results
@classmethod
def build_from_configuration_parameters(cls, config_filename, args=None):
"""
Builds an instance using the (optionally) specified configuration file. If any args are specified
(e.g. from parse_args()), they may overwrite the configurations in the file. However,
such args that create sensors, apps, etc. will be interpreted as additional
parameters for components sharing the same names: IT'S UP TO YOU to ensure there aren't conflicts!
If config_filename is None, we just build using the specified args.
:param config_filename: optional filename to read config parameters from
:param args: optional additional configuration arguments as parsed from command line
:return:
"""
# XXX: in case the user doesn't specify a name,
# this will help auto-generate unique ones in a sequence.
global __scale_client_n_anon_apps_added__
__scale_client_n_anon_apps_added__ = 0
if config_filename is None and args is None:
raise ValueError("can't build from configuration parameters when both filename and args are None!")
# Dummy config dict in case no config file
cfg = {'eventsinks': {}, 'sensors': {}, 'applications': {}, 'networks': {}}
if config_filename is not None:
try:
cfg = cls.load_configuration_file(config_filename)
# log.debug("Final configuration: %s" % cfg)
except IOError as e:
log.error("Error reading config file: %s" % e)
exit(1)
def __make_event_sink(_class, broker, event_reporter, **config):
res = _class(broker, **config)
event_reporter.add_sink(res)
return res
### BEGIN ACTUAL CONFIG FILE USAGE
# We call appropriate handlers for each section in the appropriate order,
# starting by getting any relevant command line parameters to create the client.
client = cls(quit_time=args.quit_time, raise_errors=args.raise_errors)
# TODO: include command line arguments when some are added
if 'main' in cfg:
client.setup_broker(cfg['main'])
client.setup_reporter(cfg['main'])
else: # use defaults
client.setup_broker({})
client.setup_reporter({})
# These components are all handled almost identically.
# EventSinks
configs = cls.__join_configs_with_args(cfg.get('eventsinks', {}), args.event_sinks \
if args is not None and args.event_sinks is not None else [])
client.setup_components(configs, 'scale_client.event_sinks', __make_event_sink, client.__reporter)
# Set defaults if none were made
if len(client.__reporter.get_sinks()) == 0:
log.info("No event_sinks loaded: adding default LogEventSink")
LogEventSink = None
try:
from ..event_sinks.log_event_sink import LogEventSink
except ValueError:
# relative import error when this script called directly (isn't a package)
try:
from scale_client.event_sinks.log_event_sink import LogEventSink
except ImportError as e:
log.error("can't import LogEventSink! Error: %s" % e)
exit(1)
default_sink = LogEventSink(client.__broker)
client.__reporter.add_sink(default_sink)
# Sensors
log.info("Setting up Sensors...")
configs = cls.__join_configs_with_args(cfg.get('sensors', {}), args.sensors \
if args is not None and args.sensors is not None else [], "anon_vs")
client.setup_sensors(configs)
# Networks
log.info("Setting up Networks...")
configs = cls.__join_configs_with_args(cfg.get('networks', {}), args.networks \
if args is not None and args.networks is not None else [], "anon_network_app")
client.setup_networks(configs)
# Applications
log.info("Setting up other Applications...")
configs = cls.__join_configs_with_args(cfg.get('applications', {}), args.applications \
if args is not None and args.applications is not None else [])
client.setup_applications(configs)
# TODO: set some defaults if no applications, sensors, or networking components are enabled (heartbeat?)
return client
@staticmethod
def __join_configs_with_args(configs, relevant_args, anon_component_prefix="anon_app"):
"""
Join the command-line arguments with the configuration file's parsed args in order to add to
or even modify the file-specified configuration, if there even was one!
:param configs:
:type configs: dict
:param relevant_args: list of individual YAML-encoded dict-like args, possibly without a top-level key for the name
:param anon_component_prefix: for anonymous components (no name as config dict key), use this string with
a unique sequential number appended
:return:
"""
new_configs = ScaleClient._parse_yaml_configs(relevant_args, anon_component_prefix)
return ScaleClient.__merge_configs(new_configs, configs)
@staticmethod
def _parse_yaml_configs(args, anon_component_prefix="anon_app"):
"""
Parses the given list of YAML-encoded config dicts and returns all of them as a dict.
If one of the args doesn't have a top-level key for the name, a unique one is generated
for you prefixed with the given parameter
:param args:
:param anon_component_prefix: prefix for 'anonymous' component configs with no name
:return:
"""
# Configuration files are basically nested dictionaries and the command-line arguments
# are a list with each element being a dictionary. If the dict in the args has the key
# 'class', then it is anonymous and we should just give it a sequential unique name to
# ensure it is run. If, however, it does not, then we should assume that it's a NAMED
# configuration and so we can actually use that to overwrite/modify the configurations
# pulled in from a file.
new_configs = {}
for arg in args:
try:
arg = yaml.load(arg)
except (yaml.parser.ParserError, yaml.scanner.ScannerError) as e:
raise ValueError("error parsing manual configuration: %s\nError:%s" % (arg, e))
# If this config is anonymous, give it a unique name and add it to configs
# since it couldn't possibly overwrite another config entry.
# NOTE: if user specified a 'name' entry directly, we will still take that later on...
if 'class' in arg:
# TODO: perhaps register these names somewhere to ensure uniqueness?
global __scale_client_n_anon_apps_added__
unique_key = anon_component_prefix + str(__scale_client_n_anon_apps_added__)
__scale_client_n_anon_apps_added__ += 1
new_configs[unique_key] = arg
else:
try:
new_configs.update(arg)
except TypeError as e:
raise ValueError("error in your manual configuration: %s\n"
"couldn't be interpreted as a dict due to error: %s" % (arg, e))
return new_configs
@classmethod
def __merge_configs(cls, a, b, path=None):
"""Merges values found in b into a if a didn't have them. It does this
recursively so that dicts as values will be merged too. If they're lists
they are merged in a similar way except that the top-level key of each contained
dict is assumed to be the unique id so that, for example, two entries of
'TestApp' will take the first one even if the parameters are different."""
# This function is modeled after:
# https://stackoverflow.com/questions/7204805/dictionaries-of-dictionaries-merge
if path is None: path = []
for key in b:
if key in a:
if isinstance(a[key], dict) and isinstance(b[key], dict):
cls.__merge_configs(a[key], b[key], path + [str(key)])
elif isinstance(a[key], list) and isinstance(b[key], list):
# Easy enough to merge lists of non-dict items...
try:
al = set(a[key])
bl = set(b[key])
bl.update(al)
a[key] = list(bl)
except (TypeError, AttributeError) as e:
log.warning('problem merging lists when merging configurations'
'(are there dict args in one at path %s?):'
'\n%s\n%s\nKeeping the first one due to error %s'
% (path, a[key], b[key], e))
else:
# Same key, but different value type. This is difficult to
# handle so we just keep the value of the first one.
pass
else:
a[key] = b[key]
return a
@classmethod
def load_configuration_file(cls, config_filename):
"""
Reads the YAML-based configuration file specified and optionally recurses on itself
to read other config files that were included in this one.
:param config_filename:
:return: the dict-like configuration
"""
log.info("Reading config file: %s" % config_filename)
with open(config_filename) as cfile:
cfg = yaml.load(cfile)
# lower-case all top-level headings to tolerate different capitalizations
# also filter out any sections that didn't include anything
cfg = {k.lower(): v for k, v in cfg.items() if v is not None}
# Recursively call this function and merge the results back together
if 'main' in cfg and 'include_config_files' in cfg['main']:
# We want to do the update in reverse order so that the top-level config file
# overwrites the lower-level ones (same with left-most sub config).
sub_cfgs = [cfg]
for sub_fname in cfg['main']['include_config_files']:
log.debug("recursively loading config file %s" % sub_fname)
sub_fname = cls._build_config_file_path(sub_fname)
sub_cfg = cls.load_configuration_file(sub_fname)
sub_cfgs.append(sub_cfg)
cfg = reduce(cls.__merge_configs, sub_cfgs)
return cfg
@classmethod
def _build_config_file_path(cls, filename):
"""Returns the complete path to the given config filename,
assuming it's been placed in the proper 'config' directory
or the filename is an absolute path."""
if os.path.exists(filename):
return filename
res = os.path.join(os.path.dirname(__file__), '..', 'config', filename)
if not os.path.exists(res):
raise ValueError("requested config file %s does not exist!" % filename)
return res
@classmethod
def parse_args(cls, args=None):
"""
Parses the given arguments (formatted like sys.argv) or returns default configuration if None specified.
:param args:
:return:
"""
# ArgumentParser.add_argument(name or flags...[, action][, nargs][, const][, default][, type][, choices][, required][, help][, metavar][, dest])
# action is one of: store[_const,_true,_false], append[_const], count
# nargs is one of: N, ?(defaults to const when no args), *, +, argparse.REMAINDER
# help supports %(var)s: help='default value is %(default)s'
test_default_quit_time = 20
test_config_filename = 'test_config.yml'
default_config_filename = cls._build_config_file_path('default_config.yml')
parser = argparse.ArgumentParser(description='''Scale Client main process. You can specify a configuration
file for generating the client's components that will run and/or manually configure them using command
line arguments (NOTE: these may overwrite parameters in the configuration file if there are conflicts,
but things like sensors, apps, etc. will be interpreted as additional components).''')
# Configure what components run
config_group = parser.add_mutually_exclusive_group()
config_group.add_argument('--config-file', '-f', type=str, dest='config_filename',
default=None,
help='''file from which to read configuration (NOTE: if you don't
specify an absolute path, SCALE assumes you're referring to a relative
path within the 'config' directory). Default is %s when no
manual configurations specified. If manual configurations are in use,
no configuration file is used unless you explicitly set one.''' % default_config_filename)
config_group.add_argument('--test', '-t', action='store_true',
help='''run client with simple test configuration found in file %s
(publishes dummy sensor data to simple logging sink).
It also quits after %d seconds if you don't specify --quit-time'''
% (test_config_filename, test_default_quit_time))
# Manually configure components
parser.add_argument('--sensors', '-s', type=str, nargs='+', default=None,
help='''manually specify sensors (and their configurations) to run.
Arguments should be in YAML format (JSON is a subset of YAML!)
e.g. can specify two sensors using:
--sensors '{class: "network.heartbeat_virtual_sensor.HeartbeatSensor",
interval: 5}' '{class:
"dummy.dummy_gas_virtual_sensor.DummyGasPhysicalSensor",
name: "gas0", interval: 3}'
Alternatively, you can also assign a name to your custom component, which
can be used to overwrite or modify one of the same name in your configuration
file such as the following to change the actual class definition used:
'{TempSensor: {class: "environment.usb_temperature_virtual_sensor.UsbTemperaturePhysicalSensor"}'
''')
parser.add_argument('--applications', '-a', type=str, nargs='+', default=None,
help='''manually specify applications (and their configurations) to run.
See --sensors help description for example.''')
parser.add_argument('--event-sinks', '-e', type=str, nargs='+', default=None, dest='event_sinks',
help='''manually specify event sinks (and their configurations) to run.
See --sensors help description for example.''')
parser.add_argument('--networks', '-n', type=str, nargs='+', default=None,
help='''manually specify network components (and their configurations) to run.
See --sensors help description for example.''')
# Configure logging
parser.add_argument('--log-level', type=str, default='WARNING', dest='log_level',
help='''one of debug, info, error, warning''')
parser.add_argument('--enable-log-modules', dest='enable_log_modules', nargs='+', default=(),
help='''explicitly enable logging for the specified modules
(by default all of %s are disabled)''' % DEFAULT_DISABLED_LOG_MODULES)
parser.add_argument('--disable-log-modules', dest='disable_log_modules', nargs='+', default=(),
help='''explicitly disable logging for the specified modules''')
parser.add_argument('--format-logging', type=str, default=DEFAULT_LOG_FORMAT, dest='log_format',
help='''formats logging as per the given argument (default=%(default)s).
NOTE: add timestamp by doing %%(asctime)s''')
# Misc config params
parser.add_argument('--quit-time', '-q', type=int, default=None, dest='quit_time',
help='''quit the client after specified number of seconds
(default is to never quit)''')
parser.add_argument('--raise-errors', action='store_true', dest='raise_errors',
help='''when constructing a component, raise the (non-import) errors to allow printing
a stack trace rather than trying to gracefully skip it and logging the error''')
parsed_args = parser.parse_args(args if args is not None else '')
# Correct configuration filename
if parsed_args.test:
parsed_args.config_filename = cls._build_config_file_path(test_config_filename)
elif parsed_args.config_filename is not None:
parsed_args.config_filename = cls._build_config_file_path(parsed_args.config_filename)
# Set default config file if no files or manual configurations are specified
elif parsed_args.config_filename is None and not any((parsed_args.sensors, parsed_args.applications,
parsed_args.event_sinks, parsed_args.networks)):
parsed_args.config_filename = default_config_filename
# Testing configuration quits after a time
if parsed_args.test and parsed_args.quit_time is None:
parsed_args.quit_time = test_default_quit_time
return parsed_args
def _scan(self):
Log.write('fifty.py scan()')
""" (see strategy.py for documentation) """
# If we're babysitting a trade, don't open a new one.
if len(self.open_trade_ids) > 0:
Log.write('fifty.py _scan(): Trades open; no suggestions.')
return None
instrument = Instrument(Instrument.get_id_from_name('USD_JPY'))
spreads = Broker.get_spreads([instrument])
if spreads == None:
Log.write('"fifty.py" in _scan(): Failed to get spread of {}.'
.format(instrument.get_name()))
raise Exception
elif len(spreads) < 1:
Log.write('"fifty.py" in _scan(): len(spreads) == {}.'
.format(len(spreads)))
raise Exception
# This only checks for one instrument.
elif not spreads[0]['tradeable']:
Log.write('"fifty.py" in _scan(): Instrument {} not tradeable.'
.format(instrument.get_name()))
return None
else:
spread = spreads[0]['spread']
if spread < 3:
Log.write('fifty.py _scan(): spread = {}'.format(spread))
if self.go_long: # buy
Log.write('"fifty.py" _scan(): Going long.')
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
# Rounding the raw bid didn't prevent float inaccuracy
# cur_bid = round(cur_bid_raw, 2)
tp = round(cur_bid + self.tp_price_diff, 2)
sl = round(cur_bid - self.sl_price_diff, 2)
else:
Log.write('"fifty.py" in _scan(): Failed to get bid.')
raise Exception
else: # sell
Log.write('"fifty.py" _scan(): Shorting.')
self.go_long = False
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
tp = round(cur_bid - self.tp_price_diff, 2)
sl = round(cur_bid + self.sl_price_diff, 2)
else:
Log.write('"fifty.py" in _scan(): Failed to get ask.')
raise Exception
# Prepare the order and sent it back to daemon.
units = 1 if self.go_long else -1
confidence = 50
order = Order(
instrument=instrument,
order_type="MARKET", # matches Oanda's OrderType definition
stop_loss={ "price" : str(sl) },
take_profit={ "price" : str(tp) },
units=units
)
reason = 'happy day'
opp = Opportunity(order, confidence, self, reason)
Log.write('"fifty.py" _scan(): Returning opportunity with \
order:\n{}'.format(opp))
return opp
else:
Log.write('fifty.py _scan(): Spread is high; no suggestions.')
return None
class App(object):
def __init__(self, name, config={}):
self.name = name
self.config = Configure(config)
self.__init_local_and_global()
self.__init_logger()
self.__init_broker_and_processors()
self.__init_runtime_tree_storage()
def __init_local_and_global(self):
local_defaults = {
'event_handler_map': dict,
}
self.__local = Local(**local_defaults)
self.__global = self
self.__global.event_handler_map = {}
def __init_logger(self):
self.logger = logging.getLogger(self.name)
self.logger.propagate = 0
formatter = logging.Formatter(
'[%(asctime)s: %(levelname)s] %(message)s')
if self.config.debug:
ch = logging.StreamHandler(sys.stdout)
ch.setFormatter(formatter)
ch.setLevel(logging.DEBUG)
self.logger.addHandler(ch)
self.logger.setLevel(logging.DEBUG)
else:
fh = logging.FileHandler(self.config.log_path)
fh.setFormatter(formatter)
fh.setLevel(logging.INFO)
self.logger.addHandler(fh)
self.logger.setLevel(logging.INFO)
def __init_broker_and_processors(self):
self.__broker = Broker(self)
self.__event_processor = EventProcessor(0, self)
self.__event_processors = list()
for i in range(self.config.processor_num):
id = i + 1
event_channel = EventChannel()
event_channel.register(self.__broker)
event_processor = EventProcessor(id, self, event_channel)
self.__event_processors.append(event_processor)
def __init_runtime_tree_storage(self):
self.runtime_tree_storage = RuntimeTreeStorage(self.config.runtime_db)
def __load_include_modules(self):
pass
def start(self):
self.__broker.start()
for event_processor in self.__event_processors:
event_processor.start()
def stop(self):
self.__broker.stop()
for event_processor in self.__event_processors:
event_processor.stop()
def find_handlers(self, event_name):
handlers = []
if event_name in self.__global.event_handler_map:
handlers.extend(self.__global.event_handler_map[event_name])
if event_name in self.__local.event_handler_map:
handlers.extend(self.__local.event_handler_map[event_name])
return handlers
def on(self, event_name, handler, local=False):
if local:
if event_name not in self.__local.event_handler_map:
self.__local.event_handler_map[event_name] = []
self.__local.event_handler_map[event_name].append(handler)
else:
if event_name not in self.__global.event_handler_map:
self.__global.event_handler_map[event_name] = []
self.__global.event_handler_map[event_name].append(handler)
def fire(self, event, background=True):
if background:
self.__broker.put(event)
else:
return self.__event_processor.process_event(event)
def handler(self, event_name, throws_events=list(), local=False):
def decorator(func):
self.on(event_name, Handler(func, throws_events), local)
def wrapper(*args, **kw):
return func(*args, **kw)
return wrapper
return decorator
def run(cls, stdcsr):
"""Returns: void
This is the main program loop.
"""
# initialize user interface
cls._curses_init(stdcsr)
# Read in existing trades
while not cls.stopped and cls.recover_trades() == None:
Log.write('"daemon.py" run(): Recovering trades...')
cls._curses_refresh(stdcsr)
# logging
if Config.live_trading:
Log.write('"daemon.py" start(): Using live account.')
else:
Log.write('"daemon.py" start(): Using practice mode.')
"""
Main loop:
1. Gather opportunities from each strategy.
2. Decide which opportunities to execute.
3. Clear the opportunity list.
"""
while not cls.stopped:
# refresh user interface
cls._curses_refresh(stdcsr)
# Let each strategy suggest an order
for s in cls.strategies:
new_opp = s.refresh()
if new_opp == None:
Log.write('daemon.py run(): {} has nothing to offer now.'
.format(s.get_name()))
pass
else:
cls.opportunities.push(new_opp)
# Decide which opportunity (or opportunities) to execute
Log.write('"daemon.py" run(): Picking best opportunity...')
best_opp = cls.opportunities.pick()
if best_opp == None:
# Nothing is being suggested.
pass
else:
# An order was suggested by a strategy, so place the order.
# Don't use all the money available.
SLIPPAGE_WIGGLE = 0.95
###available_money = Broker.get_margin_available(Config.account_id) * SLIPPAGE_WIGGLE
available_money = 100 # USD - testing
# Get the current price of one unit.
instrument_price = 0
Log.write('best opp: {}'.format(best_opp))
go_long = best_opp.order.units > 0
if go_long:
instrument_price = Broker.get_ask(best_opp.order.instrument)
else:
instrument_price = Broker.get_bid(best_opp.order.instrument)
# How much leverage available:
margin_rate = Broker.get_margin_rate(best_opp.order.instrument)
# TODO: A bit awkward, but overwrite the existing value that was used to
# determine long/short.
units = available_money
units /= cls.num_strategies_with_no_positions() # save money for other strategies
units /= margin_rate
units = int(units) # floor
if units <= 0: # verify
Log.write('daemon.py run(): units <= 0')
raise Exception # abort
if not go_long: # negative means short
units = -units
best_opp.order.units = units
Log.write('daemon.py run(): Executing opportunity:\n{}'.format(best_opp))
order_result = Broker.place_order(best_opp.order)
# Notify the strategies.
if 'orderFillTransaction' in order_result:
try:
opened_trade_id = order_result['orderFillTransaction']['tradeOpened']['tradeID']
best_opp.strategy.trade_opened(trade_id=opened_trade_id)
except:
Log.write(
'daemon.py run(): Failed to extract opened trade from order result:\n{}'
.format(order_result) )
raise Exception
elif 'tradesClosed' in order_result:
try:
for trade in order_result['orderFillTransaction']['tradesClosed']:
best_opp.strategy.trade_closed(trade_id=trade['tradeID'])
except:
Log.write(
'daemon.py run(): Failed to extract closed trades from order result:\n{}'
.format(order_result) )
raise Exception
elif 'tradeReduced' in order_result:
try:
closed_trade_id = order_result['orderFillTransaction']['tradeReduced']['tradeID']
best_opp.strategy.trade_reduced(
closed_trade_id,
instrument_id=Instrument.get_id_from_name(order_result['instrument'])
)
except:
Log.write(
'daemon.py run(): Failed to extract reduced trades from order result:\n{}'
.format(order_result) )
raise Exception
else:
Log.write(
'"daemon.py" run(): Unrecognized order result:\n{}'
.format(order_result) )
raise Exception
"""
Clear opportunity list.
Opportunities should be considered to exist only in the moment,
so there is no need to save them for later.
"""
cls.opportunities.clear()
"""
Shutdown stuff. This runs after shutdown() is called, and is the
last code that runs before returning to algo.py.
"""
DB.shutdown() # atexit() used in db.py, but call to be safe.
