def __init__(self,
mongo_db=None,
log=logtoscreen("mongoPositionLimitData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithMultipleKeys(
POSITION_LIMIT_STATUS_COLLECTION, mongo_db=mongo_db)
def __init__(
self, mongo_db=None, log=logtoscreen("arcticFuturesMultiplePricesData")
):
super().__init__(log=log)
self._arctic = arcticData(MULTIPLE_COLLECTION, mongo_db=mongo_db)
def dynamic_system(
data: dataBlob,
config_filename: str,
log=logtoscreen("futures_system"),
notional_trading_capital: float = arg_not_supplied,
base_currency: str = arg_not_supplied,
) -> System:
log_level = "on"
sim_data = get_sim_data_object_for_production(data)
config = set_up_config(data, config_filename)
# Overwrite capital and base currency
if notional_trading_capital is not arg_not_supplied:
config.notional_trading_capital = notional_trading_capital
if base_currency is not arg_not_supplied:
config.base_currency = base_currency
system = futures_system(data=sim_data, config=config)
system._log = log
system.set_logging_level(log_level)
return system
def __init__(self, mongo_db=None, log=logtoscreen("mongoRollStateData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(ROLL_STATUS_COLLECTION,
ROLL_KEY,
mongo_db=mongo_db)
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoCapitalData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithMultipleKeys(self._collection_name,
mongo_db=mongo_db)
def __init__(self,
mongo_db=None,
log=logtoscreen("mongoEmailControlData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithMultipleKeys(EMAIL_CONTROL_COLLECTION,
mongo_db=mongo_db)
def __init__(self,
start_date=None,
end_date=None,
log=logtoscreen("csvFuturesSimTestData")):
data = dataBlob(
log=log,
csv_data_paths=dict(
csvFuturesAdjustedPricesData="data.test.adjusted_prices_csv",
csvFuturesInstrumentData="data.test.csvconfig",
),
class_list=[
csvFuturesAdjustedPricesData,
csvFuturesMultiplePricesData,
csvFuturesInstrumentData,
csvFxPricesData,
csvRollParametersData,
],
)
super().__init__(data=data)
if start_date is not None:
self._start_date = start_date
else:
self._start_date = ARBITRARY_START
if end_date is not None:
self._end_date = end_date
else:
self._end_date = self.DEFAULT_END_DATE
def __init__(self,
mongo_db=None,
log=logtoscreen("arcticFuturesAdjustedPrices")):
super().__init__(log=log)
self._arctic = arcticData(ADJPRICE_COLLECTION, mongo_db=mongo_db)
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoRollParametersData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(ROLL_COLLECTION,
"instrument_code",
mongo_db=mongo_db)
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongotemporaryCloseData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(TEMPORARY_CLOSE_COLLECTION,
"instrument_code",
mongo_db=mongo_db)
def __init__(self,
mongo_db: mongoDb = arg_not_supplied,
log=logtoscreen("mongoLogData")):
self._mongo_data = mongoDataWithSingleKey(
collection_name=LOG_COLLECTION_NAME,
key_name=LOG_RECORD_ID,
mongo_db=mongo_db)
super().__init__(log=log)
def __init__(self,
mongo_db=None,
log=logtoscreen("arcticFuturesContractPriceData")):
super().__init__(log=log)
self._arctic_connection = arcticData(CONTRACT_COLLECTION,
mongo_db=mongo_db)
def __init__(self, datapath=arg_not_supplied, log=logtoscreen("csvRollCalendarData")):
super().__init__(log=log)
if datapath is arg_not_supplied:
datapath = CSV_ROLL_CALENDAR_DIRECTORY
self._datapath = datapath
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoFuturesInstrumentData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(INSTRUMENT_COLLECTION,
"instrument_code",
mongo_db=mongo_db)
def __init__(self, mongo_db=None, log=logtoscreen("mongoOrderStackData")):
# Not needed as we don't store anything in _state attribute used in parent class
# If we did have _state would risk breaking if we forgot to override methods
# super().__init__()
collection_name = self._collection_name()
self._mongo_data = mongoDataWithSingleKey(collection_name, "order_id", mongo_db=mongo_db)
super().__init__(log=log)
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoLockData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(LOCK_STATUS_COLLECTION,
"instrument_code",
mongo_db=mongo_db)
def __init__(
self,
idoffset=arg_not_supplied,
log=logtoscreen("brokerClientIdTracker"),
):
if idoffset is arg_not_supplied:
_notused_ipaddress, _notused_port, idoffset = ib_defaults()
super().__init__(log=log, idoffset=idoffset)
def __init__(
self,
idoffset: int = 0,
log=logtoscreen("brokerClientIdTracker"),
):
super().__init__(log=log)
self._idoffset = idoffset
def __init__(self, datapath=arg_not_supplied,
log=logtoscreen("csvFuturesContractData")):
super().__init__(log=log)
if datapath is arg_not_supplied:
raise Exception("Need to pass datapath")
self._datapath = datapath
def __init__(
self,
mongo_db=arg_not_supplied,
idoffset=arg_not_supplied,
log=logtoscreen("mongoIDTracker"),
):
super().__init__(log=log, idoffset=idoffset)
self._mongo_data = mongoDataWithSingleKey(IB_CLIENT_COLLECTION, IB_ID_REF, mongo_db)
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoFuturesContractData")):
super().__init__(log=log)
mongo_data = mongoDataWithSingleKey(CONTRACT_COLLECTION,
"contract_key",
mongo_db=mongo_db)
self._mongo_data = mongo_data
def __init__(
self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoMarginData"),
):
self._mongo_data = mongoDataWithSingleKey(MARGIN_COLLECTION,
STRATEGY_REF, mongo_db)
self._log = log
def __init__(self, datapath=arg_not_supplied, log=logtoscreen("csvRollStateData")):
super().__init__(log=log)
if datapath is arg_not_supplied:
raise Exception("Datapath needs to be passed")
self._config_file = get_filename_for_package(datapath, "roll_state.csv")
self.name = "Roll state data from %s" % self._config_file
def __init__(self,
mongo_db=arg_not_supplied,
log=logtoscreen("mongoControlProcessData")):
super().__init__(log=log)
self._mongo_data = mongoDataWithSingleKey(PROCESS_CONTROL_COLLECTION,
PROCESS_CONTROL_KEY,
mongo_db=mongo_db)
def __init__(self, log=logtoscreen("baseData")):
"""
simData socket base class
>>> data = baseData()
>>> data
simData object
"""
self._log = log
def __init__(self,
net_returns: returnsForOptimisation,
log: logger = logtoscreen("optimiser"),
method="handcraft",
**weighting_args):
self._net_returns = net_returns
self._log = log
self._weighting_args = weighting_args
self._method = method
def __init__(self,
datapath: str = arg_not_supplied,
log=logtoscreen("csvFuturesMultiplePricesData")):
super().__init__(log=log)
if datapath is arg_not_supplied:
datapath = CSV_MULTIPLE_PRICE_DIRECTORY
self._datapath = datapath
def __init__(self,
datapath=arg_not_supplied,
log=logtoscreen("csvOptimalPositionData")):
super().__init__(log=log)
if datapath is None:
raise Exception("Need to provide datapath")
self._datapath = datapath
def __init__(self,
log=logtoscreen("csvRollParametersData"),
datapath=arg_not_supplied):
super().__init__(log=log)
if datapath is arg_not_supplied:
datapath = ROLLS_DATAPATH
config_file = get_filename_for_package(datapath, ROLLS_CONFIG_FILE)
self._config_file = config_file
def _avoid_pacing_violation(last_call_datetime: datetime.datetime,
log: logger = logtoscreen("")):
printed_warning_already = False
while _pause_for_pacing(last_call_datetime):
if not printed_warning_already:
log.msg(
"Pausing %f seconds to avoid pacing violation" %
(datetime.datetime.now() - last_call_datetime).total_seconds())
printed_warning_already = True
pass