class TestLiveRiskEngine: def setup(self): # Fixture Setup self.clock = LiveClock() self.uuid_factory = UUIDFactory() self.logger = Logger(self.clock) self.trader_id = TraderId("TESTER", "000") self.account_id = TestStubs.account_id() self.order_factory = OrderFactory( trader_id=self.trader_id, strategy_id=StrategyId("S", "001"), clock=self.clock, ) self.random_order_factory = OrderFactory( trader_id=TraderId("RANDOM", "042"), strategy_id=StrategyId("S", "042"), clock=self.clock, ) self.portfolio = Portfolio( clock=self.clock, logger=self.logger, ) self.portfolio.register_cache(DataCache(self.logger)) self.analyzer = PerformanceAnalyzer() # Fresh isolated loop testing pattern self.loop = asyncio.new_event_loop() asyncio.set_event_loop(self.loop) self.database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger) self.exec_engine = LiveExecutionEngine( loop=self.loop, database=self.database, portfolio=self.portfolio, clock=self.clock, logger=self.logger, ) self.venue = Venue("SIM") self.exec_client = MockExecutionClient( self.venue.value, self.account_id, self.exec_engine, self.clock, self.logger, ) self.risk_engine = LiveRiskEngine( loop=self.loop, exec_engine=self.exec_engine, portfolio=self.portfolio, clock=self.clock, logger=self.logger, config={}, ) self.exec_engine.register_client(self.exec_client) self.exec_engine.register_risk_engine(self.risk_engine) def test_start_when_loop_not_running_logs(self): # Arrange # Act self.risk_engine.start() # Assert assert True # No exceptions raised self.risk_engine.stop() def test_get_event_loop_returns_expected_loop(self): # Arrange # Act loop = self.risk_engine.get_event_loop() # Assert assert loop == self.loop def test_message_qsize_at_max_blocks_on_put_command(self): # Arrange self.risk_engine = LiveRiskEngine( loop=self.loop, exec_engine=self.exec_engine, portfolio=self.portfolio, clock=self.clock, logger=self.logger, config={"qsize": 1}, ) strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity(100000), ) submit_order = SubmitOrder( order.instrument_id, self.trader_id, self.account_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) # Act self.risk_engine.execute(submit_order) self.risk_engine.execute(submit_order) # Assert assert self.risk_engine.qsize() == 1 assert self.risk_engine.command_count == 0 def test_message_qsize_at_max_blocks_on_put_event(self): # Arrange self.risk_engine = LiveRiskEngine( loop=self.loop, exec_engine=self.exec_engine, portfolio=self.portfolio, clock=self.clock, logger=self.logger, config={"qsize": 1}, ) strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity(100000), ) submit_order = SubmitOrder( order.instrument_id, self.trader_id, self.account_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) event = TestStubs.event_order_submitted(order) # Act self.risk_engine.execute(submit_order) self.risk_engine.process(event) # Add over max size # Assert assert self.risk_engine.qsize() == 1 assert self.risk_engine.event_count == 0 def test_start(self): async def run_test(): # Arrange # Act self.risk_engine.start() await asyncio.sleep(0.1) # Assert assert self.risk_engine.state == ComponentState.RUNNING # Tear Down self.risk_engine.stop() self.loop.run_until_complete(run_test()) def test_kill_when_running_and_no_messages_on_queues(self): async def run_test(): # Arrange # Act self.risk_engine.start() await asyncio.sleep(0) self.risk_engine.kill() # Assert assert self.risk_engine.state == ComponentState.STOPPED self.loop.run_until_complete(run_test()) def test_kill_when_not_running_with_messages_on_queue(self): async def run_test(): # Arrange # Act self.risk_engine.kill() # Assert assert self.risk_engine.qsize() == 0 self.loop.run_until_complete(run_test()) def test_execute_command_places_command_on_queue(self): async def run_test(): # Arrange self.risk_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity(100000), ) submit_order = SubmitOrder( order.instrument_id, self.trader_id, self.account_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) # Act self.risk_engine.execute(submit_order) await asyncio.sleep(0.1) # Assert assert self.risk_engine.qsize() == 0 assert self.risk_engine.command_count == 1 # Tear Down self.risk_engine.stop() self.loop.run_until_complete(run_test()) def test_handle_position_opening_with_position_id_none(self): async def run_test(): # Arrange self.risk_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity(100000), ) event = TestStubs.event_order_submitted(order) # Act self.risk_engine.process(event) await asyncio.sleep(0.1) # Assert assert self.risk_engine.qsize() == 0 assert self.risk_engine.event_count == 1 # Tear Down self.risk_engine.stop() self.loop.run_until_complete(run_test())
class TradingNode: """ Provides an asynchronous network node for live trading. """ def __init__( self, strategies: List[TradingStrategy], config: Dict[str, object], ): """ Initialize a new instance of the TradingNode class. Parameters ---------- strategies : list[TradingStrategy] The list of strategies to run on the trading node. config : dict[str, object] The configuration for the trading node. Raises ------ ValueError If strategies is None or empty. ValueError If config is None or empty. """ PyCondition.not_none(strategies, "strategies") PyCondition.not_none(config, "config") PyCondition.not_empty(strategies, "strategies") PyCondition.not_empty(config, "config") self._config = config # Extract configs config_trader = config.get("trader", {}) config_system = config.get("system", {}) config_log = config.get("logging", {}) config_exec_db = config.get("exec_database", {}) config_risk = config.get("risk", {}) config_strategy = config.get("strategy", {}) # System config self._connection_timeout = config_system.get("connection_timeout", 5.0) self._disconnection_timeout = config_system.get( "disconnection_timeout", 5.0) self._check_residuals_delay = config_system.get( "check_residuals_delay", 5.0) self._load_strategy_state = config_strategy.get("load_state", True) self._save_strategy_state = config_strategy.get("save_state", True) # 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_system.get("loop_debug", False)) # Components self._clock = LiveClock(loop=self._loop) self._uuid_factory = UUIDFactory() self.system_id = self._uuid_factory.generate() self.created_time = self._clock.utc_now() self._is_running = False # Setup identifiers self.trader_id = TraderId( name=config_trader["name"], tag=config_trader["id_tag"], ) # Setup logging level_stdout = LogLevelParser.from_str_py( config_log.get("level_stdout")) self._logger = LiveLogger( loop=self._loop, clock=self._clock, trader_id=self.trader_id, system_id=self.system_id, level_stdout=level_stdout, ) self._log = LoggerAdapter( component=self.__class__.__name__, logger=self._logger, ) self._log_header() self._log.info("Building...") if platform.system() != "Windows": # Requires the logger to be initialized # Windows does not support signal handling # https://stackoverflow.com/questions/45987985/asyncio-loops-add-signal-handler-in-windows self._setup_loop() # Build platform # ---------------------------------------------------------------------- self.portfolio = Portfolio( clock=self._clock, logger=self._logger, ) self._data_engine = LiveDataEngine( loop=self._loop, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config={"qsize": 10000}, ) self.portfolio.register_cache(self._data_engine.cache) self.analyzer = PerformanceAnalyzer() if config_exec_db["type"] == "redis": exec_db = RedisExecutionDatabase( trader_id=self.trader_id, logger=self._logger, command_serializer=MsgPackCommandSerializer(), event_serializer=MsgPackEventSerializer(), config={ "host": config_exec_db["host"], "port": config_exec_db["port"], }, ) else: exec_db = BypassExecutionDatabase( trader_id=self.trader_id, logger=self._logger, ) self._exec_engine = LiveExecutionEngine( loop=self._loop, database=exec_db, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config={"qsize": 10000}, ) self._risk_engine = LiveRiskEngine( loop=self._loop, exec_engine=self._exec_engine, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config=config_risk, ) self._exec_engine.load_cache() self._exec_engine.register_risk_engine(self._risk_engine) self.trader = Trader( trader_id=self.trader_id, strategies=strategies, portfolio=self.portfolio, data_engine=self._data_engine, exec_engine=self._exec_engine, risk_engine=self._risk_engine, clock=self._clock, logger=self._logger, ) if self._load_strategy_state: self.trader.load() self._builder = TradingNodeBuilder( data_engine=self._data_engine, exec_engine=self._exec_engine, risk_engine=self._risk_engine, clock=self._clock, logger=self._logger, log=self._log, ) self._log.info("state=INITIALIZED.") self.time_to_initialize = self._clock.delta(self.created_time) self._log.info( f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.") self._is_built = False @property def is_running(self) -> bool: """ If the trading node is running. Returns ------- bool True if running, else False. """ return self._is_running @property def is_built(self) -> bool: """ If the trading node clients are built. Returns ------- bool True if built, else False. """ 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_data_client_factory(self, name, 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, 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.get("data_clients")) self._builder.build_exec_clients(self._config.get("exec_clients")) self._is_built = True def start(self) -> None: """ 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(): self._loop.create_task(self._run()) else: self._loop.run_until_complete(self._run()) except RuntimeError as ex: self._log.exception(ex) def stop(self) -> None: """ Stop the trading node gracefully. After a specified delay the internal `Trader` residuals will be checked. If save strategy is specified then strategy states will then be saved. """ try: if self._loop.is_running(): self._loop.create_task(self._stop()) else: self._loop.run_until_complete(self._stop()) except RuntimeError as ex: self._log.exception(ex) def dispose(self) -> None: """ Dispose of the trading node. Gracefully shuts down the executor and event loop. """ try: timeout = self._clock.utc_now() + timedelta(seconds=5) while self._is_running: time.sleep(0.1) if self._clock.utc_now() >= timeout: self._log.warning( "Timed out (5s) waiting for node to stop.") break self._log.info("state=DISPOSING...") self._log.debug(f"{self._data_engine.get_run_queue_task()}") self._log.debug(f"{self._exec_engine.get_run_queue_task()}") self._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._logger.stop() self._loop.stop() except RuntimeError as ex: self._log.exception(ex) finally: if self._loop.is_running(): self._log.warning("Cannot close a running event loop.") else: self._log.info("Closing event loop...") self._loop.close() # Check and log if event loop is running if self._loop.is_running(): self._log.warning(f"loop.is_running={self._loop.is_running()}") else: self._log.info(f"loop.is_running={self._loop.is_running()}") # Check and log if event loop is closed if not self._loop.is_closed(): self._log.warning(f"loop.is_closed={self._loop.is_closed()}") else: self._log.info(f"loop.is_closed={self._loop.is_closed()}") self._log.info("state=DISPOSED.") def _log_header(self) -> None: nautilus_header(self._log) self._log.info(f"redis {redis.__version__}") self._log.info( f"msgpack {msgpack.version[0]}.{msgpack.version[1]}.{msgpack.version[2]}" ) if uvloop_version: self._log.info(f"uvloop {uvloop_version}") self._log.info( "=================================================================" ) def _setup_loop(self) -> None: if self._loop.is_closed(): self._log.error( "Cannot setup signal handling (event loop was closed).") return signal.signal(signal.SIGINT, signal.SIG_DFL) signals = (signal.SIGTERM, signal.SIGINT, signal.SIGABRT) for sig in signals: self._loop.add_signal_handler(sig, self._loop_sig_handler, sig) self._log.debug(f"Event loop {signals} handling setup.") def _loop_sig_handler(self, sig: signal.signal) -> None: self._loop.remove_signal_handler(signal.SIGTERM) self._loop.add_signal_handler(signal.SIGINT, lambda: None) self._log.warning(f"Received {sig!s}, shutting down...") self.stop() async def _run(self) -> None: try: self._log.info("state=STARTING...") self._is_running = True self._logger.start() self._data_engine.start() self._exec_engine.start() self._risk_engine.start() result: bool = await self._await_engines_connected() if not result: return result: bool = await self._exec_engine.reconcile_state() if not result: return self.trader.start() if self._loop.is_running(): self._log.info("state=RUNNING.") else: self._log.warning("Event loop is not running.") # Continue to run while engines are running... await self._data_engine.get_run_queue_task() await self._exec_engine.get_run_queue_task() 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: self._log.info(f"Waiting for engines to initialize " f"({self._connection_timeout}s timeout)...") # The data engine clients will be set as connected when all # instruments are received and updated with the data engine. # The execution engine clients will be set as connected when all # accounts are updated and the current order and position status is # reconciled. Thus any delay here will be due to blocking network IO. seconds = self._connection_timeout timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0) if self._clock.utc_now() >= timeout: self._log.error( f"Timed out ({seconds}s) waiting for engines to connect.") 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 _stop(self) -> None: self._is_stopping = True self._log.info("state=STOPPING...") if self.trader.state == ComponentState.RUNNING: self.trader.stop() self._log.info( f"Awaiting residual state ({self._check_residuals_delay}s delay)..." ) await asyncio.sleep(self._check_residuals_delay) self.trader.check_residuals() if self._save_strategy_state: self.trader.save() if self._data_engine.state == ComponentState.RUNNING: self._data_engine.stop() if self._exec_engine.state == ComponentState.RUNNING: self._exec_engine.stop() if self._risk_engine.state == ComponentState.RUNNING: self._risk_engine.stop() await self._await_engines_disconnected() # Clean up remaining timers timer_names = self._clock.timer_names() self._clock.cancel_timers() for name in timer_names: self._log.info(f"Cancelled Timer(name={name}).") self._log.info("state=STOPPED.") self._is_running = False async def _await_engines_disconnected(self) -> None: self._log.info(f"Waiting for engines to disconnect " f"({self._disconnection_timeout}s timeout)...") seconds = self._disconnection_timeout timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0) if self._clock.utc_now() >= timeout: self._log.error( f"Timed out ({seconds}s) waiting for engines to disconnect." ) break if not self._data_engine.check_disconnected(): continue if not self._exec_engine.check_disconnected(): continue break def _cancel_all_tasks(self) -> None: to_cancel = asyncio.tasks.all_tasks(self._loop) if not to_cancel: self._log.info("All tasks finished.") return for task in to_cancel: self._log.warning(f"Cancelling pending task {task}") task.cancel() if self._loop.is_running(): self._log.warning( "Event loop still running during `cancel_all_tasks`.") return finish_all_tasks: asyncio.Future = asyncio.tasks.gather( *to_cancel, loop=self._loop, return_exceptions=True, ) self._loop.run_until_complete(finish_all_tasks) self._log.debug(f"{finish_all_tasks}") for task in to_cancel: if task.cancelled(): continue if task.exception() is not None: self._loop.call_exception_handler({ "message": "unhandled exception during asyncio.run() shutdown", "exception": task.exception(), "task": task, })
class TestLiveExecutionPerformance(PerformanceHarness): def setup(self): # Fixture Setup self.clock = LiveClock() self.uuid_factory = UUIDFactory() self.trader_id = TraderId("TESTER-000") self.logger = Logger(self.clock, bypass_logging=True) self.account_id = AccountId(BINANCE.value, "001") self.cache = TestStubs.cache() self.portfolio = Portfolio( cache=self.cache, clock=self.clock, logger=self.logger, ) # Fresh isolated loop testing pattern self.loop = asyncio.new_event_loop() asyncio.set_event_loop(self.loop) self.exec_engine = LiveExecutionEngine( loop=self.loop, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, ) self.risk_engine = LiveRiskEngine( loop=self.loop, exec_engine=self.exec_engine, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, ) exec_client = MockExecutionClient( client_id=ClientId("BINANCE"), venue_type=VenueType.EXCHANGE, account_id=self.account_id, account_type=AccountType.CASH, base_currency=None, # Multi-currency account engine=self.exec_engine, clock=self.clock, logger=self.logger, ) # Wire up components self.exec_engine.register_risk_engine(self.risk_engine) self.exec_engine.register_client(exec_client) self.exec_engine.process(TestStubs.event_account_state( self.account_id)) self.strategy = TradingStrategy(order_id_tag="001") self.strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(self.strategy) @pytest.fixture(autouse=True) @pytest.mark.benchmark(disable_gc=True, warmup=True) def setup_benchmark(self, benchmark): self.benchmark = benchmark def submit_order(self): order = self.strategy.order_factory.market( BTCUSDT_BINANCE.id, OrderSide.BUY, Quantity.from_str("1.00000000"), ) self.strategy.submit_order(order) def test_execute_command(self): order = self.strategy.order_factory.market( BTCUSDT_BINANCE.id, OrderSide.BUY, Quantity.from_str("1.00000000"), ) command = SubmitOrder( self.trader_id, self.strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) def execute_command(): self.exec_engine.execute(command) self.benchmark.pedantic(execute_command, iterations=10_000, rounds=1) # ~0.0ms / ~0.2μs / 218ns minimum of 10,000 runs @ 1 iteration each run. def test_submit_order(self): self.exec_engine.start() time.sleep(0.1) async def run_test(): def submit_order(): order = self.strategy.order_factory.market( BTCUSDT_BINANCE.id, OrderSide.BUY, Quantity.from_str("1.00000000"), ) self.strategy.submit_order(order) self.benchmark.pedantic(submit_order, iterations=10_000, rounds=1) self.loop.run_until_complete(run_test()) # ~0.0ms / ~25.3μs / 25326ns minimum of 10,000 runs @ 1 iteration each run. def test_submit_order_end_to_end(self): self.exec_engine.start() time.sleep(0.1) async def run_test(): for _ in range(10000): order = self.strategy.order_factory.market( BTCUSDT_BINANCE.id, OrderSide.BUY, Quantity.from_str("1.00000000"), ) self.strategy.submit_order(order) stats_file = "perf_live_execution.prof" cProfile.runctx("self.loop.run_until_complete(run_test())", globals(), locals(), stats_file) s = pstats.Stats(stats_file) s.strip_dirs().sort_stats("time").print_stats()
class TestLiveExecutionEngine: def setup(self): # Fixture Setup self.clock = LiveClock() self.uuid_factory = UUIDFactory() self.logger = Logger(self.clock) self.trader_id = TraderId("TESTER-000") self.order_factory = OrderFactory( trader_id=self.trader_id, strategy_id=StrategyId("S-001"), clock=self.clock, ) self.random_order_factory = OrderFactory( trader_id=TraderId("RANDOM-042"), strategy_id=StrategyId("S-042"), clock=self.clock, ) # Fresh isolated loop testing pattern self.loop = asyncio.new_event_loop() asyncio.set_event_loop(self.loop) self.cache = TestStubs.cache() self.portfolio = Portfolio( cache=self.cache, clock=self.clock, logger=self.logger, ) self.exec_engine = LiveExecutionEngine( loop=self.loop, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, ) self.risk_engine = LiveRiskEngine( loop=self.loop, exec_engine=self.exec_engine, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, ) self.instrument_provider = InstrumentProvider() self.instrument_provider.add(AUDUSD_SIM) self.instrument_provider.add(GBPUSD_SIM) self.client = MockLiveExecutionClient( client_id=ClientId(SIM.value), venue_type=VenueType.ECN, account_id=TestStubs.account_id(), account_type=AccountType.CASH, base_currency=USD, engine=self.exec_engine, instrument_provider=self.instrument_provider, clock=self.clock, logger=self.logger, ) # Wired up components self.exec_engine.register_risk_engine(self.risk_engine) self.exec_engine.register_client(self.client) def teardown(self): self.exec_engine.dispose() self.loop.stop() self.loop.close() def test_start_when_loop_not_running_logs(self): # Arrange # Act self.exec_engine.start() # Assert assert True # No exceptions raised self.exec_engine.stop() def test_get_event_loop_returns_expected_loop(self): # Arrange # Act loop = self.exec_engine.get_event_loop() # Assert assert loop == self.loop def test_message_qsize_at_max_blocks_on_put_command(self): # Arrange self.exec_engine = LiveExecutionEngine( loop=self.loop, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, config={"qsize": 1}, ) self.exec_engine.register_risk_engine(self.risk_engine) strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) # Act self.exec_engine.execute(submit_order) self.exec_engine.execute(submit_order) # Assert assert self.exec_engine.qsize() == 1 assert self.exec_engine.command_count == 0 def test_message_qsize_at_max_blocks_on_put_event(self): # Arrange self.exec_engine = LiveExecutionEngine( loop=self.loop, portfolio=self.portfolio, cache=self.cache, clock=self.clock, logger=self.logger, config={"qsize": 1}, ) self.exec_engine.register_risk_engine(self.risk_engine) strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) event = TestStubs.event_order_submitted(order) # Act self.exec_engine.execute(submit_order) self.exec_engine.process(event) # Add over max size # Assert assert self.exec_engine.qsize() == 1 assert self.exec_engine.command_count == 0 def test_start(self): async def run_test(): # Arrange # Act self.exec_engine.start() await asyncio.sleep(0.1) # Assert assert self.exec_engine.state == ComponentState.RUNNING # Tear Down self.exec_engine.stop() self.loop.run_until_complete(run_test()) def test_kill_when_running_and_no_messages_on_queues(self): async def run_test(): # Arrange # Act self.exec_engine.start() await asyncio.sleep(0) self.exec_engine.kill() # Assert assert self.exec_engine.state == ComponentState.STOPPED self.loop.run_until_complete(run_test()) def test_kill_when_not_running_with_messages_on_queue(self): async def run_test(): # Arrange # Act self.exec_engine.kill() # Assert assert self.exec_engine.qsize() == 0 self.loop.run_until_complete(run_test()) def test_execute_command_places_command_on_queue(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) # Act self.exec_engine.execute(submit_order) await asyncio.sleep(0.1) # Assert assert self.exec_engine.qsize() == 0 assert self.exec_engine.command_count == 1 # Tear Down self.exec_engine.stop() self.loop.run_until_complete(run_test()) def test_handle_position_opening_with_position_id_none(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), ) event = TestStubs.event_order_submitted(order) # Act self.exec_engine.process(event) await asyncio.sleep(0.1) # Assert assert self.exec_engine.qsize() == 0 assert self.exec_engine.event_count == 1 # Tear Down self.exec_engine.stop() self.loop.run_until_complete(run_test()) def test_reconcile_state_with_no_active_orders(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) # Act await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert True # No exceptions raised self.loop.run_until_complete(run_test()) def test_reconcile_state_when_report_agrees_reconciles(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.limit( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), Price.from_str("1.00000"), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) self.exec_engine.execute(submit_order) self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) report = OrderStatusReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), # <-- from stub event order_state=OrderState.ACCEPTED, filled_qty=Quantity.zero(), timestamp_ns=0, ) self.client.add_order_status_report(report) await asyncio.sleep(0.1) # Allow processing time # Act result = await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert result self.loop.run_until_complete(run_test()) def test_reconcile_state_when_canceled_reconciles(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.limit( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), Price.from_str("1.00000"), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) self.exec_engine.execute(submit_order) self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) report = OrderStatusReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), # <-- from stub event order_state=OrderState.CANCELED, filled_qty=Quantity.zero(), timestamp_ns=0, ) self.client.add_order_status_report(report) await asyncio.sleep(0.1) # Allow processing time # Act result = await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert result self.loop.run_until_complete(run_test()) def test_reconcile_state_when_expired_reconciles(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.limit( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), Price.from_str("1.00000"), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) self.exec_engine.execute(submit_order) self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) report = OrderStatusReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), # <-- from stub event order_state=OrderState.EXPIRED, filled_qty=Quantity.zero(), timestamp_ns=0, ) self.client.add_order_status_report(report) await asyncio.sleep(0.01) # Act result = await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert result self.loop.run_until_complete(run_test()) def test_reconcile_state_when_partially_filled_reconciles(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.limit( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), Price.from_str("1.00000"), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) self.exec_engine.execute(submit_order) self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) report = OrderStatusReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), # <-- from stub event order_state=OrderState.PARTIALLY_FILLED, filled_qty=Quantity.from_int(70000), timestamp_ns=0, ) trade1 = ExecutionReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), execution_id=ExecutionId("1"), last_qty=Quantity.from_int(50000), last_px=Price.from_str("1.00000"), commission=Money(5.00, USD), liquidity_side=LiquiditySide.MAKER, execution_ns=0, timestamp_ns=0, ) trade2 = ExecutionReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), execution_id=ExecutionId("2"), last_qty=Quantity.from_int(20000), last_px=Price.from_str("1.00000"), commission=Money(2.00, USD), liquidity_side=LiquiditySide.MAKER, execution_ns=0, timestamp_ns=0, ) self.client.add_order_status_report(report) self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2]) await asyncio.sleep(0.01) # Act result = await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert result self.loop.run_until_complete(run_test()) def test_reconcile_state_when_filled_reconciles(self): async def run_test(): # Arrange self.exec_engine.start() strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER-000"), self.clock, self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.limit( AUDUSD_SIM.id, OrderSide.BUY, Quantity.from_int(100000), Price.from_str("1.00000"), ) submit_order = SubmitOrder( self.trader_id, strategy.id, PositionId.null(), order, self.uuid_factory.generate(), self.clock.timestamp_ns(), ) self.exec_engine.execute(submit_order) self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) report = OrderStatusReport( client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), # <-- from stub event order_state=OrderState.FILLED, filled_qty=Quantity.from_int(100000), timestamp_ns=0, ) trade1 = ExecutionReport( execution_id=ExecutionId("1"), client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), last_qty=Quantity.from_int(50000), last_px=Price.from_str("1.00000"), commission=Money(5.00, USD), liquidity_side=LiquiditySide.MAKER, execution_ns=0, timestamp_ns=0, ) trade2 = ExecutionReport( execution_id=ExecutionId("2"), client_order_id=order.client_order_id, venue_order_id=VenueOrderId("1"), last_qty=Quantity.from_int(50000), last_px=Price.from_str("1.00000"), commission=Money(2.00, USD), liquidity_side=LiquiditySide.MAKER, execution_ns=0, timestamp_ns=0, ) self.client.add_order_status_report(report) self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2]) await asyncio.sleep(0.01) # Act result = await self.exec_engine.reconcile_state(timeout_secs=10) self.exec_engine.stop() # Assert assert result self.loop.run_until_complete(run_test())
class TradingNode: """ Provides an asynchronous network node for live trading. """ def __init__( self, strategies: List[TradingStrategy], config: Dict[str, object], ): """ Initialize a new instance of the TradingNode class. Parameters ---------- strategies : list[TradingStrategy] The list of strategies to run on the trading node. config : dict[str, object] The configuration for the trading node. Raises ------ ValueError If strategies is None or empty. ValueError If config is None or empty. """ PyCondition.not_none(strategies, "strategies") PyCondition.not_none(config, "config") PyCondition.not_empty(strategies, "strategies") PyCondition.not_empty(config, "config") # Extract configs config_trader = config.get("trader", {}) config_system = config.get("system", {}) config_log = config.get("logging", {}) config_exec_db = config.get("exec_database", {}) config_risk = config.get("risk", {}) config_strategy = config.get("strategy", {}) config_adapters = config.get("adapters", {}) self._uuid_factory = UUIDFactory() self._loop = asyncio.get_event_loop() self._executor = concurrent.futures.ThreadPoolExecutor() self._loop.set_default_executor(self._executor) self._clock = LiveClock(loop=self._loop) self.created_time = self._clock.utc_now() self._is_running = False # Uncomment for debugging # self._loop.set_debug(True) # Setup identifiers self.trader_id = TraderId( name=config_trader["name"], tag=config_trader["id_tag"], ) # Setup logging self._logger = LiveLogger( clock=self._clock, name=self.trader_id.value, level_console=LogLevelParser.from_str_py( config_log.get("log_level_console")), level_file=LogLevelParser.from_str_py( config_log.get("log_level_file")), level_store=LogLevelParser.from_str_py( config_log.get("log_level_store")), run_in_process=config_log.get( "run_in_process", True), # Run logger in a separate process log_thread=config_log.get("log_thread_id", False), log_to_file=config_log.get("log_to_file", False), log_file_path=config_log.get("log_file_path", ""), ) self._log = LoggerAdapter(component_name=self.__class__.__name__, logger=self._logger) self._log_header() self._log.info("Building...") self._setup_loop() # Requires the logger to be initialized self.portfolio = Portfolio( clock=self._clock, logger=self._logger, ) self._data_engine = LiveDataEngine( loop=self._loop, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config={"qsize": 10000}, ) self.portfolio.register_cache(self._data_engine.cache) self.analyzer = PerformanceAnalyzer() if config_exec_db["type"] == "redis": exec_db = RedisExecutionDatabase( trader_id=self.trader_id, logger=self._logger, command_serializer=MsgPackCommandSerializer(), event_serializer=MsgPackEventSerializer(), config={ "host": config_exec_db["host"], "port": config_exec_db["port"], }) else: exec_db = BypassExecutionDatabase( trader_id=self.trader_id, logger=self._logger, ) self._exec_engine = LiveExecutionEngine( loop=self._loop, database=exec_db, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config={"qsize": 10000}, ) self._risk_engine = LiveRiskEngine( loop=self._loop, exec_engine=self._exec_engine, portfolio=self.portfolio, clock=self._clock, logger=self._logger, config=config_risk, ) self._exec_engine.load_cache() self._exec_engine.register_risk_engine(self._risk_engine) self._setup_adapters(config_adapters, self._logger) self.trader = Trader( trader_id=self.trader_id, strategies=strategies, portfolio=self.portfolio, data_engine=self._data_engine, exec_engine=self._exec_engine, risk_engine=self._risk_engine, clock=self._clock, logger=self._logger, ) # System config self._connection_timeout = config_system.get("connection_timeout", 5.0) self._disconnection_timeout = config_system.get( "disconnection_timeout", 5.0) self._check_residuals_delay = config_system.get( "check_residuals_delay", 5.0) self._load_strategy_state = config_strategy.get("load_state", True) self._save_strategy_state = config_strategy.get("save_state", True) if self._load_strategy_state: self.trader.load() self._log.info("state=INITIALIZED.") self.time_to_initialize = self._clock.delta(self.created_time) self._log.info( f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.") @property def is_running(self) -> bool: """ If the trading node is running. Returns ------- bool True if running, else False. """ return self._is_running def get_event_loop(self) -> asyncio.AbstractEventLoop: """ Return the event loop of the trading node. Returns ------- asyncio.AbstractEventLoop """ return self._loop def get_logger(self) -> LiveLogger: """ Return the logger for the trading node. Returns ------- LiveLogger """ return self._logger def start(self) -> None: """ Start the trading node. """ try: if self._loop.is_running(): self._loop.create_task(self._run()) else: self._loop.run_until_complete(self._run()) except RuntimeError as ex: self._log.exception(ex) def stop(self) -> None: """ Stop the trading node gracefully. After a specified delay the internal `Trader` residuals will be checked. If save strategy is specified then strategy states will then be saved. """ try: if self._loop.is_running(): self._loop.create_task(self._stop()) else: self._loop.run_until_complete(self._stop()) except RuntimeError as ex: self._log.exception(ex) def dispose(self) -> None: """ Dispose of the trading node. Gracefully shuts down the executor and event loop. """ try: timeout = self._clock.utc_now() + timedelta(seconds=5) while self._is_running: time.sleep(0.1) if self._clock.utc_now() >= timeout: self._log.warning( "Timed out (5s) waiting for node to stop.") break self._log.info("state=DISPOSING...") self._log.debug(f"{self._data_engine.get_run_queue_task()}") self._log.debug(f"{self._exec_engine.get_run_queue_task()}") self._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._loop.stop() self._cancel_all_tasks() except RuntimeError as ex: self._log.error("CCXT shutdown issues will be fixed soon..." ) # TODO: Remove when fixed self._log.exception(ex) finally: if self._loop.is_running(): self._log.warning("Cannot close a running event loop.") else: self._log.info("Closing event loop...") self._loop.close() # Check and log if event loop is running if self._loop.is_running(): self._log.warning(f"loop.is_running={self._loop.is_running()}") else: self._log.info(f"loop.is_running={self._loop.is_running()}") # Check and log if event loop is closed if not self._loop.is_closed(): self._log.warning(f"loop.is_closed={self._loop.is_closed()}") else: self._log.info(f"loop.is_closed={self._loop.is_closed()}") self._log.info("state=DISPOSED.") self._logger.stop() # Ensure process is stopped time.sleep(0.1) # Ensure final log messages def _log_header(self) -> None: nautilus_header(self._log) self._log.info(f"redis {redis.__version__}") self._log.info( f"msgpack {msgpack.version[0]}.{msgpack.version[1]}.{msgpack.version[2]}" ) if uvloop_version: self._log.info(f"uvloop {uvloop_version}") self._log.info( "=================================================================" ) def _setup_loop(self) -> None: if self._loop.is_closed(): self._log.error( "Cannot setup signal handling (event loop was closed).") return signal.signal(signal.SIGINT, signal.SIG_DFL) signals = (signal.SIGTERM, signal.SIGINT, signal.SIGHUP, signal.SIGABRT) for sig in signals: self._loop.add_signal_handler(sig, self._loop_sig_handler, sig) self._log.debug(f"Event loop {signals} handling setup.") def _loop_sig_handler(self, sig: signal.signal) -> None: self._loop.remove_signal_handler(signal.SIGTERM) self._loop.add_signal_handler(signal.SIGINT, lambda: None) self._log.warning(f"Received {sig!s}, shutting down...") self.stop() def _setup_adapters(self, config: Dict[str, object], logger: LiveLogger) -> None: # Setup each data client for name, config in config.items(): if name.startswith("ccxt-"): try: import ccxtpro except ImportError: raise ImportError( "ccxtpro is not installed, " "installation instructions can be found at https://ccxt.pro" ) client_cls = getattr(ccxtpro, name.partition('-')[2].lower()) if name == "ccxt-binance": data_client, exec_client = BinanceClientsFactory.create( client_cls=client_cls, config=config, data_engine=self._data_engine, exec_engine=self._exec_engine, clock=self._clock, logger=logger, ) elif name == "ccxt-bitmex": data_client, exec_client = BitmexClientsFactory.create( client_cls=client_cls, config=config, data_engine=self._data_engine, exec_engine=self._exec_engine, clock=self._clock, logger=logger, ) else: raise NotImplementedError( f"{name} not implemented in this version.") # data_client, exec_client = CCXTClientsFactory.create( # client_cls=client_cls, # config=config, # data_engine=self._data_engine, # exec_engine=self._exec_engine, # clock=self._clock, # logger=logger, # ) elif name == "oanda": data_client = OandaDataClientFactory.create( config=config, data_engine=self._data_engine, clock=self._clock, logger=logger, ) exec_client = None # TODO: Implement else: self._log.error(f"No adapter available for `{name}`.") continue if data_client is not None: self._data_engine.register_client(data_client) if exec_client is not None: self._exec_engine.register_client(exec_client) # Automatically registers with the risk engine async def _run(self) -> None: try: self._log.info("state=STARTING...") self._is_running = True self._data_engine.start() self._exec_engine.start() self._risk_engine.start() result: bool = await self._await_engines_connected() if not result: return result: bool = await self._exec_engine.reconcile_state() if not result: return self.trader.start() if self._loop.is_running(): self._log.info("state=RUNNING.") else: self._log.warning("Event loop is not running.") # Continue to run while engines are running... await self._data_engine.get_run_queue_task() await self._exec_engine.get_run_queue_task() 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: self._log.info("Waiting for engines to initialize...") # The data engine clients will be set as connected when all # instruments are received and updated with the data engine. # The execution engine clients will be set as connected when all # accounts are updated and the current order and position status is # reconciled. Thus any delay here will be due to blocking network IO. seconds = self._connection_timeout timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0.1) if self._clock.utc_now() >= timeout: self._log.error(f"Timed out ({seconds}s) waiting for " f"engines to initialize.") return False if not self._data_engine.check_connected(): continue if not self._exec_engine.check_connected(): continue break return True # Engines initialized async def _stop(self) -> None: self._is_stopping = True self._log.info("state=STOPPING...") if self.trader.state == ComponentState.RUNNING: self.trader.stop() self._log.info( f"Awaiting residual state ({self._check_residuals_delay}s delay)..." ) await asyncio.sleep(self._check_residuals_delay) self.trader.check_residuals() if self._save_strategy_state: self.trader.save() if self._data_engine.state == ComponentState.RUNNING: self._data_engine.stop() if self._exec_engine.state == ComponentState.RUNNING: self._exec_engine.stop() if self._risk_engine.state == ComponentState.RUNNING: self._risk_engine.stop() await self._await_engines_disconnected() # Clean up remaining timers timer_names = self._clock.timer_names() self._clock.cancel_timers() for name in timer_names: self._log.info(f"Cancelled Timer(name={name}).") self._log.info("state=STOPPED.") self._is_running = False async def _await_engines_disconnected(self) -> None: self._log.info("Waiting for engines to disconnect...") seconds = self._disconnection_timeout timeout: timedelta = self._clock.utc_now() + timedelta(seconds=seconds) while True: await asyncio.sleep(0.1) if self._clock.utc_now() >= timeout: self._log.warning( f"Timed out ({seconds}s) waiting for engines to disconnect." ) break if not self._data_engine.check_disconnected(): continue if not self._exec_engine.check_disconnected(): continue break # Engines initialized def _cancel_all_tasks(self) -> None: to_cancel = asyncio.tasks.all_tasks(self._loop) if not to_cancel: self._log.info("All tasks finished.") return for task in to_cancel: self._log.warning(f"Cancelling pending task {task}") task.cancel() if self._loop.is_running(): self._log.warning( "Event loop still running during `cancel_all_tasks`.") return finish_all_tasks: asyncio.Future = asyncio.tasks.gather( *to_cancel, loop=self._loop, return_exceptions=True, ) self._loop.run_until_complete(finish_all_tasks) self._log.debug(f"{finish_all_tasks}") for task in to_cancel: if task.cancelled(): continue if task.exception() is not None: self._loop.call_exception_handler({ 'message': 'unhandled exception during asyncio.run() shutdown', 'exception': task.exception(), 'task': task, })