class TestBetfairDataClient: def setup(self): # Fixture Setup self.loop = asyncio.get_event_loop() self.loop.set_debug(True) self.clock = LiveClock() self.uuid_factory = UUIDFactory() self.trader_id = TestStubs.trader_id() self.uuid = UUID4() self.venue = BETFAIR_VENUE self.account_id = AccountId(self.venue.value, "001") # Setup logging self.logger = LiveLogger(loop=self.loop, clock=self.clock, level_stdout=LogLevel.ERROR) self._log = LoggerAdapter("TestBetfairExecutionClient", self.logger) self.msgbus = MessageBus( trader_id=self.trader_id, clock=self.clock, logger=self.logger, ) self.cache = TestStubs.cache() self.cache.add_instrument(BetfairTestStubs.betting_instrument()) self.portfolio = Portfolio( msgbus=self.msgbus, cache=self.cache, clock=self.clock, logger=self.logger, ) self.data_engine = LiveDataEngine( loop=self.loop, msgbus=self.msgbus, cache=self.cache, clock=self.clock, logger=self.logger, ) self.betfair_client = BetfairTestStubs.betfair_client( loop=self.loop, logger=self.logger) self.instrument_provider = BetfairTestStubs.instrument_provider( betfair_client=self.betfair_client) # Add a subset of instruments instruments = [ ins for ins in INSTRUMENTS if ins.market_id in BetfairDataProvider.market_ids() ] self.instrument_provider.add_bulk(instruments) self.client = BetfairDataClient( loop=self.loop, client=self.betfair_client, msgbus=self.msgbus, cache=self.cache, clock=self.clock, logger=self.logger, instrument_provider=self.instrument_provider, market_filter={}, ) self.data_engine.register_client(self.client) # Re-route exec engine messages through `handler` self.messages = [] def handler(x, endpoint): self.messages.append(x) if endpoint == "execute": self.data_engine.execute(x) elif endpoint == "process": self.data_engine.process(x) elif endpoint == "response": self.data_engine.response(x) self.msgbus.deregister( endpoint="DataEngine.execute", handler=self.data_engine.execute) # type: ignore self.msgbus.register( endpoint="DataEngine.execute", handler=partial(handler, endpoint="execute") # type: ignore ) self.msgbus.deregister( endpoint="DataEngine.process", handler=self.data_engine.process) # type: ignore self.msgbus.register( endpoint="DataEngine.process", handler=partial(handler, endpoint="process") # type: ignore ) self.msgbus.deregister( endpoint="DataEngine.response", handler=self.data_engine.response) # type: ignore self.msgbus.register( endpoint="DataEngine.response", handler=partial(handler, endpoint="response") # type: ignore ) @pytest.mark.asyncio @patch( "nautilus_trader.adapters.betfair.data.BetfairDataClient._post_connect_heartbeat" ) @patch( "nautilus_trader.adapters.betfair.data.BetfairMarketStreamClient.connect" ) @patch("nautilus_trader.adapters.betfair.client.core.BetfairClient.connect" ) async def test_connect(self, mock_client_connect, mock_stream_connect, mock_post_connect_heartbeat): await self.client._connect() def test_subscriptions(self): self.client.subscribe_trade_ticks(BetfairTestStubs.instrument_id()) self.client.subscribe_instrument_status_updates( BetfairTestStubs.instrument_id()) self.client.subscribe_instrument_close_prices( BetfairTestStubs.instrument_id()) def test_market_heartbeat(self): self.client._on_market_update(BetfairStreaming.mcm_HEARTBEAT()) def test_stream_latency(self): logs = [] self.logger.register_sink(logs.append) self.client.start() self.client._on_market_update(BetfairStreaming.mcm_latency()) warning, degrading, degraded = logs[2:] assert warning["level"] == "WRN" assert warning["msg"] == "Stream unhealthy, waiting for recover" assert degraded["msg"] == "DEGRADED." def test_stream_con_true(self): logs = [] self.logger.register_sink(logs.append) self.client._on_market_update(BetfairStreaming.mcm_con_true()) (warning, ) = logs assert warning["level"] == "WRN" assert ( warning["msg"] == "Conflated stream - consuming data too slow (data received is delayed)" ) @pytest.mark.asyncio async def test_market_sub_image_market_def(self): update = BetfairStreaming.mcm_SUB_IMAGE() self.client._on_market_update(update) result = [type(event).__name__ for event in self.messages] expected = ["InstrumentStatusUpdate"] * 7 + ["OrderBookSnapshot"] * 7 assert result == expected # Check prices are probabilities result = set( float(order[0]) for ob_snap in self.messages if isinstance(ob_snap, OrderBookSnapshot) for order in ob_snap.bids + ob_snap.asks) expected = set([ 0.0010204, 0.0076923, 0.0217391, 0.0238095, 0.1724138, 0.2173913, 0.3676471, 0.3937008, 0.4587156, 0.5555556, ]) assert result == expected def test_market_sub_image_no_market_def(self): self.client._on_market_update( BetfairStreaming.mcm_SUB_IMAGE_no_market_def()) result = Counter([type(event).__name__ for event in self.messages]) expected = Counter({ "InstrumentStatusUpdate": 270, "OrderBookSnapshot": 270, "InstrumentClosePrice": 22, }) assert result == expected def test_market_resub_delta(self): self.client._on_market_update(BetfairStreaming.mcm_RESUB_DELTA()) result = [type(event).__name__ for event in self.messages] expected = ["InstrumentStatusUpdate"] * 12 + ["OrderBookDeltas"] * 269 assert result == expected def test_market_update(self): self.client._on_market_update(BetfairStreaming.mcm_UPDATE()) result = [type(event).__name__ for event in self.messages] expected = ["OrderBookDeltas"] * 1 assert result == expected result = [d.action for d in self.messages[0].deltas] expected = [BookAction.UPDATE, BookAction.DELETE] assert result == expected # Ensure order prices are coming through as probability update_op = self.messages[0].deltas[0] assert update_op.order.price == 0.212766 def test_market_update_md(self): self.client._on_market_update(BetfairStreaming.mcm_UPDATE_md()) result = [type(event).__name__ for event in self.messages] expected = ["InstrumentStatusUpdate"] * 2 assert result == expected def test_market_update_live_image(self): self.client._on_market_update(BetfairStreaming.mcm_live_IMAGE()) result = [type(event).__name__ for event in self.messages] expected = (["OrderBookSnapshot"] + ["TradeTick"] * 13 + ["OrderBookSnapshot"] + ["TradeTick"] * 17) assert result == expected def test_market_update_live_update(self): self.client._on_market_update(BetfairStreaming.mcm_live_UPDATE()) result = [type(event).__name__ for event in self.messages] expected = ["TradeTick", "OrderBookDeltas"] assert result == expected def test_market_bsp(self): # Setup update = BetfairStreaming.mcm_BSP() provider = self.client.instrument_provider() for mc in update[0]["mc"]: market_def = {**mc["marketDefinition"], "marketId": mc["id"]} instruments = make_instruments(market_definition=market_def, currency="GBP") provider.add_bulk(instruments) for update in update: self.client._on_market_update(update) result = Counter([type(event).__name__ for event in self.messages]) expected = { "TradeTick": 95, "BSPOrderBookDelta": 30, "InstrumentStatusUpdate": 9, "OrderBookSnapshot": 8, "OrderBookDeltas": 2, } assert result == expected @pytest.mark.asyncio async def test_request_search_instruments(self): req = DataType( type=InstrumentSearch, metadata={"event_type_id": "7"}, ) self.client.request(req, self.uuid) await asyncio.sleep(0) resp = self.messages[0] assert len(resp.data.instruments) == 6800 def test_orderbook_repr(self): self.client._on_market_update(BetfairStreaming.mcm_live_IMAGE()) ob_snap = self.messages[14] ob = L2OrderBook(InstrumentId(Symbol("1"), BETFAIR_VENUE), 5, 5) ob.apply_snapshot(ob_snap) print(ob.pprint()) assert ob.best_ask_price() == 0.5882353 assert ob.best_bid_price() == 0.5847953 def test_orderbook_updates(self): order_books = {} for raw_update in BetfairStreaming.market_updates(): for update in on_market_update( update=raw_update, instrument_provider=self.client.instrument_provider(), ): if len(order_books) > 1 and update.instrument_id != list( order_books)[1]: continue print(update) if isinstance(update, OrderBookSnapshot): order_books[update.instrument_id] = L2OrderBook( instrument_id=update.instrument_id, price_precision=4, size_precision=4, ) order_books[update.instrument_id].apply_snapshot(update) elif isinstance(update, OrderBookDeltas): order_books[update.instrument_id].apply_deltas(update) elif isinstance(update, TradeTick): pass else: raise KeyError book = order_books[list(order_books)[0]] expected = """bids price asks -------- ------- --------- 0.8621 [932.64] 0.8547 [1275.83] 0.8475 [151.96] [147.79] 0.8403 [156.74] 0.8333 [11.19] 0.8197""" result = book.pprint() assert result == expected def test_instrument_opening_events(self): updates = BetfairDataProvider.raw_market_updates() messages = on_market_update( instrument_provider=self.client.instrument_provider(), update=updates[0]) assert len(messages) == 2 assert (isinstance(messages[0], InstrumentStatusUpdate) and messages[0].status == InstrumentStatus.PRE_OPEN) assert (isinstance(messages[1], InstrumentStatusUpdate) and messages[0].status == InstrumentStatus.PRE_OPEN) def test_instrument_in_play_events(self): events = [ msg for update in BetfairDataProvider.raw_market_updates() for msg in on_market_update( instrument_provider=self.client.instrument_provider(), update=update) if isinstance(msg, InstrumentStatusUpdate) ] assert len(events) == 14 result = [ev.status for ev in events] expected = [ InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PRE_OPEN.value, InstrumentStatus.PAUSE.value, InstrumentStatus.PAUSE.value, InstrumentStatus.OPEN.value, InstrumentStatus.OPEN.value, InstrumentStatus.PAUSE.value, InstrumentStatus.PAUSE.value, InstrumentStatus.CLOSED.value, InstrumentStatus.CLOSED.value, ] assert result == expected def test_instrument_closing_events(self): updates = BetfairDataProvider.raw_market_updates() messages = on_market_update( instrument_provider=self.client.instrument_provider(), update=updates[-1], ) assert len(messages) == 4 assert (isinstance(messages[0], InstrumentStatusUpdate) and messages[0].status == InstrumentStatus.CLOSED) assert isinstance( messages[1], InstrumentClosePrice) and messages[1].close_price == 1.0000 assert (isinstance(messages[1], InstrumentClosePrice) and messages[1].close_type == InstrumentCloseType.EXPIRED) assert (isinstance(messages[2], InstrumentStatusUpdate) and messages[2].status == InstrumentStatus.CLOSED) assert isinstance( messages[3], InstrumentClosePrice) and messages[3].close_price == 0.0 assert (isinstance(messages[3], InstrumentClosePrice) and messages[3].close_type == InstrumentCloseType.EXPIRED) def test_betfair_ticker(self): self.client._on_market_update(BetfairStreaming.mcm_UPDATE_tv()) ticker: BetfairTicker = self.messages[1] assert ticker.last_traded_price == Price.from_str("0.3174603") assert ticker.traded_volume == Quantity.from_str("364.45") def test_betfair_orderbook(self): book = L2OrderBook( instrument_id=BetfairTestStubs.instrument_id(), price_precision=2, size_precision=2, ) for update in BetfairDataProvider.raw_market_updates(): for message in on_market_update( instrument_provider=self.instrument_provider, update=update): try: if isinstance(message, OrderBookSnapshot): book.apply_snapshot(message) elif isinstance(message, OrderBookDeltas): book.apply_deltas(message) elif isinstance(message, OrderBookDelta): book.apply_delta(message) elif isinstance(message, (Ticker, TradeTick, InstrumentStatusUpdate, InstrumentClosePrice)): pass else: raise NotImplementedError(str(type(message))) book.check_integrity() except Exception as ex: print(str(type(ex)) + " " + str(ex))
class TradingNode: """ Provides an asynchronous network node for live trading. Parameters ---------- config : TradingNodeConfig, optional The configuration for the instance. Raises ------ TypeError If `config` is not of type `TradingNodeConfig`. """ def __init__(self, config: Optional[TradingNodeConfig] = None): if config is None: config = TradingNodeConfig() PyCondition.not_none(config, "config") PyCondition.type(config, TradingNodeConfig, "config") # Configuration self._config = config # Setup loop self._loop = asyncio.get_event_loop() self._executor = concurrent.futures.ThreadPoolExecutor() self._loop.set_default_executor(self._executor) self._loop.set_debug(config.loop_debug) # Components self._clock = LiveClock(loop=self._loop) self._uuid_factory = UUIDFactory() self.created_time = self._clock.utc_now() self._is_running = False # Identifiers self.trader_id = TraderId(config.trader_id) self.machine_id = socket.gethostname() self.instance_id = self._uuid_factory.generate() # Setup logging self._logger = LiveLogger( loop=self._loop, clock=self._clock, trader_id=self.trader_id, machine_id=self.machine_id, instance_id=self.instance_id, level_stdout=LogLevelParser.from_str_py(config.log_level.upper()), ) self._log = LoggerAdapter( component_name=type(self).__name__, logger=self._logger, ) self._log_header() self._log.info("Building...") if platform.system() != "Windows": # Windows does not support signal handling # https://stackoverflow.com/questions/45987985/asyncio-loops-add-signal-handler-in-windows self._setup_loop() ######################################################################## # Build platform ######################################################################## if config.cache_database is None or config.cache_database.type == "in-memory": cache_db = None elif config.cache_database.type == "redis": cache_db = RedisCacheDatabase( trader_id=self.trader_id, logger=self._logger, serializer=MsgPackSerializer(timestamps_as_str=True), config=config.cache_database, ) else: # pragma: no cover (design-time error) raise ValueError( "The cache_db_type in the configuration is unrecognized, " "can one of {{'in-memory', 'redis'}}.", ) self._msgbus = MessageBus( trader_id=self.trader_id, clock=self._clock, logger=self._logger, ) self._cache = Cache( database=cache_db, logger=self._logger, config=config.cache, ) self.portfolio = Portfolio( msgbus=self._msgbus, cache=self._cache, clock=self._clock, logger=self._logger, ) self._data_engine = LiveDataEngine( loop=self._loop, msgbus=self._msgbus, cache=self._cache, clock=self._clock, logger=self._logger, config=config.data_engine, ) self._exec_engine = LiveExecutionEngine( loop=self._loop, msgbus=self._msgbus, cache=self._cache, clock=self._clock, logger=self._logger, config=config.exec_engine, ) self._exec_engine.load_cache() self._risk_engine = LiveRiskEngine( loop=self._loop, portfolio=self.portfolio, msgbus=self._msgbus, cache=self._cache, clock=self._clock, logger=self._logger, config=config.risk_engine, ) self.trader = Trader( trader_id=self.trader_id, msgbus=self._msgbus, cache=self._cache, portfolio=self.portfolio, data_engine=self._data_engine, risk_engine=self._risk_engine, exec_engine=self._exec_engine, clock=self._clock, logger=self._logger, ) if config.load_strategy_state: self.trader.load() # Setup persistence (requires trader) self.persistence_writers: List[Any] = [] if config.persistence: self._setup_persistence(config=config.persistence) self._builder = TradingNodeBuilder( loop=self._loop, data_engine=self._data_engine, exec_engine=self._exec_engine, msgbus=self._msgbus, cache=self._cache, clock=self._clock, logger=self._logger, log=self._log, ) self._log.info("INITIALIZED.") self.time_to_initialize = self._clock.delta(self.created_time) self._log.info(f"Initialized in {int(self.time_to_initialize.total_seconds() * 1000)}ms.") self._is_built = False @property def is_running(self) -> bool: """ If the trading node is running. Returns ------- bool """ return self._is_running @property def is_built(self) -> bool: """ If the trading node clients are built. Returns ------- bool """ return self._is_built 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 add_log_sink(self, handler: Callable[[Dict], None]): """ Register the given sink handler with the nodes logger. Parameters ---------- handler : Callable[[Dict], None] The sink handler to register. Raises ------ KeyError If `handler` already registered. """ self._logger.register_sink(handler=handler) def add_data_client_factory(self, name: str, factory): """ Add the given data client factory to the node. Parameters ---------- name : str The name of the client factory. factory : LiveDataClientFactory or LiveExecutionClientFactory The factory to add. Raises ------ ValueError If `name` is not a valid string. KeyError If `name` has already been added. """ self._builder.add_data_client_factory(name, factory) def add_exec_client_factory(self, name: str, factory): """ Add the given execution client factory to the node. Parameters ---------- name : str The name of the client factory. factory : LiveDataClientFactory or LiveExecutionClientFactory The factory to add. Raises ------ ValueError If `name` is not a valid string. KeyError If `name` has already been added. """ self._builder.add_exec_client_factory(name, factory) def build(self) -> None: """ Build the nodes clients. """ if self._is_built: raise RuntimeError("the trading nodes clients are already built.") self._builder.build_data_clients(self._config.data_clients) self._builder.build_exec_clients(self._config.exec_clients) self._is_built = True def start(self) -> Optional[asyncio.Task]: """ Start the trading node. """ if not self._is_built: raise RuntimeError( "The trading nodes clients have not been built. " "Please run `node.build()` prior to start." ) try: if self._loop.is_running(): return self._loop.create_task(self._run()) else: self._loop.run_until_complete(self._run()) return None except RuntimeError as ex: self._log.exception("Error on run", ex) return None 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("Error on stop", 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=self._config.timeout_disconnection) while self._is_running: time.sleep(0.1) if self._clock.utc_now() >= timeout: self._log.warning( f"Timed out ({self._config.timeout_disconnection}s) waiting for node to stop." f"\nStatus" f"\n------" f"\nDataEngine.check_disconnected() == {self._data_engine.check_disconnected()}" f"\nExecEngine.check_disconnected() == {self._exec_engine.check_disconnected()}" ) break self._log.info("DISPOSING...") self._log.debug(f"{self._data_engine.get_run_queue_task()}") self._log.debug(f"{self._exec_engine.get_run_queue_task()}") self._log.debug(f"{self._risk_engine.get_run_queue_task()}") self.trader.dispose() self._data_engine.dispose() self._exec_engine.dispose() self._risk_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._cancel_all_tasks() self._loop.stop() except RuntimeError as ex: self._log.exception("Error on dispose", 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("DISPOSED.") def _log_header(self) -> None: nautilus_header(self._log) self._log.info(f"redis {redis.__version__}") # type: ignore 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("\033[36m=================================================================") 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.SIGABRT) for sig in signals: self._loop.add_signal_handler(sig, self._loop_sig_handler, sig) self._log.debug(f"Event loop signal handling setup for {signals}.") def _setup_persistence(self, config: PersistenceConfig) -> None: # Setup persistence path = f"{config.catalog_path}/live/{self.instance_id}.feather" writer = FeatherWriter( path=path, fs_protocol=config.fs_protocol, flush_interval=config.flush_interval, ) self.persistence_writers.append(writer) self.trader.subscribe("*", writer.write) self._log.info(f"Persisting data & events to {path=}") # Setup logging if config.persist_logs: def sink(record, f): f.write(orjson.dumps(record) + b"\n") path = f"{config.catalog_path}/logs/{self.instance_id}.log" log_sink = open(path, "wb") self.persistence_writers.append(log_sink) self._logger.register_sink(partial(sink, f=log_sink)) self._log.info(f"Persisting logs to {path=}") def _loop_sig_handler(self, sig) -> 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() async def _run(self) -> None: try: self._log.info("STARTING...") self._is_running = True # Start system self._logger.start() self._data_engine.start() self._exec_engine.start() self._risk_engine.start() # Connect all clients self._data_engine.connect() self._exec_engine.connect() # Await engine connection and initialization self._log.info( f"Waiting for engines to connect and initialize " f"({self._config.timeout_connection}s timeout)...", color=LogColor.BLUE, ) if not await self._await_engines_connected(): self._log.warning( f"Timed out ({self._config.timeout_connection}s) waiting for engines to connect and initialize." f"\nStatus" f"\n------" f"\nDataEngine.check_connected() == {self._data_engine.check_connected()}" f"\nExecEngine.check_connected() == {self._exec_engine.check_connected()}" ) return self._log.info("Engines connected.", color=LogColor.GREEN) # Await execution state reconciliation self._log.info( f"Waiting for execution state to reconcile " f"({self._config.timeout_reconciliation}s timeout)...", color=LogColor.BLUE, ) if not await self._exec_engine.reconcile_state( timeout_secs=self._config.timeout_reconciliation, ): self._log.error("Execution state could not be reconciled.") return self._log.info("State reconciled.", color=LogColor.GREEN) # Initialize portfolio self.portfolio.initialize_orders() self.portfolio.initialize_positions() # Await portfolio initialization self._log.info( "Waiting for portfolio to initialize " f"({self._config.timeout_portfolio}s timeout)...", color=LogColor.BLUE, ) if not await self._await_portfolio_initialized(): self._log.warning( f"Timed out ({self._config.timeout_portfolio}s) waiting for portfolio to initialize." f"\nStatus" f"\n------" f"\nPortfolio.initialized == {self.portfolio.initialized}" ) return self._log.info("Portfolio initialized.", color=LogColor.GREEN) # Start trader and strategies self.trader.start() if self._loop.is_running(): self._log.info("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() await self._risk_engine.get_run_queue_task() except asyncio.CancelledError as ex: self._log.error(str(ex)) async def _await_engines_connected(self) -> bool: # - The data engine clients will be set connected when all # instruments are received and updated with the data engine. # - The execution engine clients will be set connected when all # accounts are updated and the current order and position status is # reconciled. # Thus any delay here will be due to blocking network I/O. seconds = self._config.timeout_connection timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0) if self._clock.utc_now() >= timeout: return False if not self._data_engine.check_connected(): continue if not self._exec_engine.check_connected(): continue break return True # Engines connected async def _await_portfolio_initialized(self) -> bool: # - The portfolio will be set initialized when all margin and unrealized # PnL calculations are completed (maybe waiting on first quotes). # Thus any delay here will be due to blocking network I/O. seconds = self._config.timeout_portfolio timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0) if self._clock.utc_now() >= timeout: return False if not self.portfolio.initialized: continue break return True # Portfolio initialized async def _stop(self) -> None: self._is_stopping = True self._log.info("STOPPING...") if self.trader.is_running: self.trader.stop() self._log.info( f"Awaiting residual state ({self._config.check_residuals_delay}s delay)...", color=LogColor.BLUE, ) await asyncio.sleep(self._config.check_residuals_delay) self.trader.check_residuals() if self._config.save_strategy_state: self.trader.save() # Disconnect all clients self._data_engine.disconnect() self._exec_engine.disconnect() if self._data_engine.is_running: self._data_engine.stop() if self._exec_engine.is_running: self._exec_engine.stop() if self._risk_engine.is_running: self._risk_engine.stop() self._log.info( f"Waiting for engines to disconnect " f"({self._config.timeout_disconnection}s timeout)...", color=LogColor.BLUE, ) if not await self._await_engines_disconnected(): self._log.error( f"Timed out ({self._config.timeout_disconnection}s) waiting for engines to disconnect." f"\nStatus" f"\n------" f"\nDataEngine.check_disconnected() == {self._data_engine.check_disconnected()}" f"\nExecEngine.check_disconnected() == {self._exec_engine.check_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}).") # Clean up persistence for writer in self.persistence_writers: writer.close() self._log.info("STOPPED.") self._logger.stop() self._is_running = False async def _await_engines_disconnected(self) -> bool: seconds = self._config.timeout_disconnection timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0) if self._clock.utc_now() >= timeout: return False if not self._data_engine.check_disconnected(): continue if not self._exec_engine.check_disconnected(): continue break return True # Engines disconnected def _cancel_all_tasks(self) -> None: to_cancel = asyncio.tasks.all_tasks(self._loop) if not to_cancel: self._log.info("All tasks canceled.") return for task in to_cancel: self._log.warning(f"Canceling 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( # type: ignore *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: # pragma: no cover 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, } )