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This commit is contained in:
Oleg Sheynin 2025-12-30 10:52:33 +00:00
parent 2e32b26fad
commit 121c85def0
20 changed files with 211 additions and 515 deletions
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5
.vscode/pairs_trading.code-workspace vendored
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@ -3,5 +3,8 @@
{ {
"path": ".." "path": ".."
} }
] ],
"settings": {
"workbench.colorTheme": "Dracula Theme"
}
} }

45
apps/pairs_trader.py
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@ -15,7 +15,7 @@ from cvttpy_trading.trading.active_instruments import Instruments
from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
# --- # ---
from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
# from pairs_trading.lib.pt_strategy.live.pricer_md_client import PtMktDataClient from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient, MdSummary
from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender
# import sys # import sys
@ -23,6 +23,20 @@ from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSend
# for path in sys.path: # for path in sys.path:
# print(path) # print(path)
'''
Config
=======
{
"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456",
"ti_config": {
TODO
},
"strategy_config": {
TODO
}
}
'''
HistMdCbT = Callable[[List[MdTradesAggregate]], Coroutine] HistMdCbT = Callable[[List[MdTradesAggregate]], Coroutine]
UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine] UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
@ -31,7 +45,7 @@ class PairsTrader(NamedObject):
instruments_: List[JsonDictT] instruments_: List[JsonDictT]
live_strategy_: PtLiveStrategy live_strategy_: PtLiveStrategy
# pricer_client_: PtMktDataClient pricer_client_: CvttRestMktDataClient
def __init__(self) -> None: def __init__(self) -> None:
self.instruments_ = [] self.instruments_ = []
@ -90,16 +104,10 @@ class PairsTrader(NamedObject):
Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}") Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")
# # ------- CREATE PRICER CLIENT ------- # # ------- CREATE PRICER CLIENT -------
# URGENT self.pricer_client_ = CvttRestMktDataClient(self.config_)
# pricer_config = self.config_.get_subconfig("pricer_config", {})
# self.pricer_client_ = PtMktDataClient(
# live_strategy=self.live_strategy_,
# pricer_config=pricer_config
# )
# Log.info(f"{self.fname()} CVTT Pricer client created: {self.pricer_client_}")
# ------- CREATE TRADER CLIENT ------- # ------- CREATE TRADER CLIENT -------
# URGENT # URGENT CREATE TRADER CLIENT
# (send TradingInstructions) # (send TradingInstructions)
# ti_config = self.config_.get_subconfig("ti_config", {}) # ti_config = self.config_.get_subconfig("ti_config", {})
# self.ti_sender_ = TradingInstructionsSender(config=ti_config) # self.ti_sender_ = TradingInstructionsSender(config=ti_config)
@ -107,11 +115,22 @@ class PairsTrader(NamedObject):
# # ------- CREATE REST SERVER ------- # # ------- CREATE REST SERVER -------
# for dashboard communications # URGENT CREATE REST SERVER for dashboard communications
async def subscribe_md(self) -> None: async def subscribe_md(self) -> None:
pass for inst in self.instruments_:
# URGENT implement PairsTrader.subscribe_md() exch_acct = inst.get("exch_acct", "?exch_acct?")
instrument_id = inst.get("instrument_id", "?instrument_id?")
await self.pricer_client_.add_subscription(
exch_acct=exch_acct,
instrument_id=instrument_id,
interval_sec=self.live_strategy_.interval_sec(),
history_depth_sec=self.live_strategy_.history_depth_sec(),
callback=self._on_md_summary
)
def _on_md_summary(self, history: List[MdSummary]) -> None:
pass # URGENT
async def run(self) -> None: async def run(self) -> None:
Log.info(f"{self.fname()} ...") Log.info(f"{self.fname()} ...")

220
lib/client/mkt_data.py
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@ -1,220 +0,0 @@
#!/usr/bin/env python3
import asyncio
import json
import uuid
from dataclasses import dataclass
from functools import partial
from typing import Callable, Coroutine, Dict, Optional
import websockets
from cvttpy_tools.logger import Log
from cvttpy_tools.settings.cvtt_types import JsonDictT
from websockets.asyncio.client import ClientConnection
MessageTypeT = str
SubscriptionIdT = str
MessageT = Dict
UrlT = str
CallbackT = Callable[[MessageTypeT, SubscriptionIdT, MessageT], Coroutine[None, str, None]]
@dataclass
class CvttPricesSubscription:
id_: str
exchange_config_name_: str
instrument_id_: str
interval_sec_: int
history_depth_sec_: int
is_subscribed_: bool
is_historical_: bool
callback_: CallbackT
def __init__(
self,
exchange_config_name: str,
instrument_id: str,
interval_sec: int,
history_depth_sec: int,
callback: CallbackT,
):
self.exchange_config_name_ = exchange_config_name
self.instrument_id_ = instrument_id
self.interval_sec_ = interval_sec
self.history_depth_sec_ = history_depth_sec
self.callback_ = callback
self.id_ = str(uuid.uuid4())
self.is_subscribed_ = False
self.is_historical_ = history_depth_sec > 0
class CvttWebSockClient:
ws_url_: UrlT
websocket_: Optional[ClientConnection]
is_connected_: bool
def __init__(self, url: str):
self.ws_url_ = url
self.websocket_ = None
self.is_connected_ = False
async def connect(self) -> None:
self.websocket_ = await websockets.connect(self.ws_url_)
self.is_connected_ = True
async def close(self) -> None:
if self.websocket_ is not None:
await self.websocket_.close()
self.is_connected_ = False
async def receive_message(self) -> JsonDictT:
assert self.websocket_ is not None
assert self.is_connected_
message = await self.websocket_.recv()
message_str = (
message.decode("utf-8")
if isinstance(message, bytes)
else message
)
res = json.loads(message_str)
assert res is not None
assert isinstance(res, dict)
return res
@classmethod
async def check_connection(cls, url: str) -> bool:
try:
async with websockets.connect(url) as websocket:
result = True
except Exception as e:
Log.error(f"Unable to connect to {url}: {str(e)}")
result = False
return result
class CvttPricerWebSockClient(CvttWebSockClient):
# Class members with type hints
subscriptions_: Dict[SubscriptionIdT, CvttPricesSubscription]
def __init__(self, url: str):
super().__init__(url)
self.subscriptions_ = {}
async def subscribe(
self, subscription: CvttPricesSubscription
) -> str: # returns subscription id
if not self.is_connected_:
try:
Log.info(f"Connecting to {self.ws_url_}")
await self.connect()
except Exception as e:
Log.error(f"Unable to connect to {self.ws_url_}: {str(e)}")
raise e
subscr_msg = {
"type": "subscr",
"id": subscription.id_,
"subscr_type": "MD_AGGREGATE",
"exchange_config_name": subscription.exchange_config_name_,
"instrument_id": subscription.instrument_id_,
"interval_sec": subscription.interval_sec_,
}
if subscription.is_historical_:
subscr_msg["history_depth_sec"] = subscription.history_depth_sec_
assert self.websocket_ is not None
await self.websocket_.send(json.dumps(subscr_msg))
response = await self.websocket_.recv()
response_data = json.loads(response)
if not await self.handle_subscription_response(subscription, response_data):
await self.websocket_.close()
self.is_connected_ = False
raise Exception(f"Subscription failed: {str(response)}")
self.subscriptions_[subscription.id_] = subscription
return subscription.id_
async def handle_subscription_response(
self, subscription: CvttPricesSubscription, response: dict
) -> bool:
if response.get("type") != "subscr" or response.get("id") != subscription.id_:
return False
if response.get("status") == "success":
Log.info(f"Subscription successful: {json.dumps(response)}")
return True
elif response.get("status") == "error":
Log.error(f"Subscription failed: {response.get('reason')}")
return False
return False
async def run(self) -> None:
assert self.websocket_
try:
while self.is_connected_:
try:
msg_dict: JsonDictT = await self.receive_message()
except websockets.ConnectionClosed:
Log.warning("Connection closed")
self.is_connected_ = False
break
except Exception as e:
Log.error(f"Error occurred: {str(e)}")
self.is_connected_ = False
await asyncio.sleep(5) # Wait before reconnecting
await self.process_message(msg_dict)
except Exception as e:
Log.error(f"Error occurred: {str(e)}")
self.is_connected_ = False
await asyncio.sleep(5) # Wait before reconnecting
async def process_message(self, message: Dict) -> None:
message_type = message.get("type")
if message_type in ["md_aggregate", "historical_md_aggregate"]:
subscription_id = message.get("subscr_id")
if subscription_id not in self.subscriptions_:
Log.warning(f"Unknown subscription id: {subscription_id}")
return
subscription = self.subscriptions_[subscription_id]
await subscription.callback_(message_type, subscription_id, message)
else:
Log.warning(f"Unknown message type: {message.get('type')}")
async def main() -> None:
async def on_message(message_type: MessageTypeT, subscr_id: SubscriptionIdT, message: Dict, instrument_id: str) -> None:
print(f"{message_type=} {subscr_id=} {instrument_id}")
if message_type == "md_aggregate":
aggr = message.get("md_aggregate", [])
print(f"[{aggr['tstamp'][:19]}] *** RLTM *** {message}")
elif message_type == "historical_md_aggregate":
for aggr in message.get("historical_data", []):
print(f"[{aggr['tstamp'][:19]}] *** HIST *** {aggr}")
else:
print(f"Unknown message type: {message_type}")
pricer_client = CvttPricerWebSockClient(
"ws://localhost:12346/ws"
)
await pricer_client.subscribe(CvttPricesSubscription(
exchange_config_name="COINBASE_AT",
instrument_id="PAIR-BTC-USD",
interval_sec=60,
history_depth_sec=60*60*24,
callback=partial(on_message, instrument_id="PAIR-BTC-USD")
))
await pricer_client.subscribe(CvttPricesSubscription(
exchange_config_name="COINBASE_AT",
instrument_id="PAIR-ETH-USD",
interval_sec=60,
history_depth_sec=60*60*24,
callback=partial(on_message, instrument_id="PAIR-ETH-USD")
))
await pricer_client.run()
if __name__ == "__main__":
asyncio.run(main())

123
lib/client/cvtt_client.py → lib/live/mkt_data_client.py
View File

@ -1,70 +1,24 @@
from __future__ import annotations from __future__ import annotations
import asyncio import asyncio
from typing import Callable, Dict, Any, List, Optional from typing import Callable, Dict, Any, List, Optional, Set
import time
import requests import requests
from cvttpy_tools.base import NamedObject from cvttpy_tools.base import NamedObject
from cvttpy_tools.app import App
from cvttpy_tools.logger import Log from cvttpy_tools.logger import Log
from cvttpy_tools.config import Config from cvttpy_tools.config import Config
from cvttpy_tools.timer import Timer from cvttpy_tools.timer import Timer
from cvttpy_tools.timeutils import NanosT, current_seconds
from cvttpy_tools.timeutils import NanoPerSec, NanosT, current_nanoseconds, current_seconds from cvttpy_tools.settings.cvtt_types import InstrumentIdT, IntervalSecT
# ---
from cvttpy_trading.trading.mkt_data.historical_md import HistMdBar from cvttpy_trading.trading.mkt_data.historical_md import HistMdBar
from cvttpy_trading.trading.accounting.exch_account import ExchangeAccountNameT
# ---
from pairs_trading.lib.live.rest_client import RESTSender
class RESTSender(NamedObject):
session_: requests.Session
base_url_: str
def __init__(self, base_url: str) -> None:
self.base_url_ = base_url
self.session_ = requests.Session()
def is_ready(self) -> bool:
"""Checks if the server is up and responding"""
url = f"{self.base_url_}/ping"
try:
response = self.session_.get(url)
response.raise_for_status()
return True
except requests.exceptions.RequestException:
return False
def send_post(self, endpoint: str, post_body: Dict) -> requests.Response:
while not self.is_ready():
print("Waiting for FrontGateway to start...")
time.sleep(5)
url = f"{self.base_url_}/{endpoint}"
try:
return self.session_.request(
method="POST",
url=url,
json=post_body,
headers={"Content-Type": "application/json"},
)
except requests.exceptions.RequestException as excpt:
raise ConnectionError(
f"Failed to send status={excpt.response.status_code} {excpt.response.text}" # type: ignore
) from excpt
def send_get(self, endpoint: str) -> requests.Response:
while not self.is_ready():
print("Waiting for FrontGateway to start...")
time.sleep(5)
url = f"{self.base_url_}/{endpoint}"
try:
return self.session_.request(method="GET", url=url)
except requests.exceptions.RequestException as excpt:
raise ConnectionError(
f"Failed to send status={excpt.response.status_code} {excpt.response.text}" # type: ignore
) from excpt
class MdSummary(HistMdBar): class MdSummary(HistMdBar):
def __init__( def __init__(
self, self,
@ -110,10 +64,10 @@ MdSummaryCallbackT = Callable[[List[MdSummary]], None]
class MdSummaryCollector(NamedObject): class MdSummaryCollector(NamedObject):
sender_: RESTSender sender_: RESTSender
exch_acct_: str exch_acct_: ExchangeAccountNameT
instrument_id_: str instrument_id_: InstrumentIdT
interval_sec_: int interval_sec_: IntervalSecT
history_depth_sec_: int history_depth_sec_: IntervalSecT
history_: List[MdSummary] history_: List[MdSummary]
callbacks_: List[MdSummaryCallbackT] callbacks_: List[MdSummaryCallbackT]
@ -122,10 +76,10 @@ class MdSummaryCollector(NamedObject):
def __init__( def __init__(
self, self,
sender: RESTSender, sender: RESTSender,
exch_acct: str, exch_acct: ExchangeAccountNameT,
instrument_id: str, instrument_id: InstrumentIdT,
interval_sec: int, interval_sec: IntervalSecT,
history_depth_sec: int, history_depth_sec: IntervalSecT,
) -> None: ) -> None:
self.sender_ = sender self.sender_ = sender
self.exch_acct_ = exch_acct self.exch_acct_ = exch_acct
@ -140,6 +94,9 @@ class MdSummaryCollector(NamedObject):
def add_callback(self, cb: MdSummaryCallbackT) -> None: def add_callback(self, cb: MdSummaryCallbackT) -> None:
self.callbacks_.append(cb) self.callbacks_.append(cb)
def __hash__(self):
return hash((self.exch_acct_, self.instrument_id_, self.interval_sec_, self.history_depth_sec_))
def rqst_data(self) -> Dict[str, Any]: def rqst_data(self) -> Dict[str, Any]:
return { return {
"exch_acct": self.exch_acct_, "exch_acct": self.exch_acct_,
@ -192,7 +149,6 @@ class MdSummaryCollector(NamedObject):
curr_sec = int(current_seconds()) curr_sec = int(current_seconds())
return (curr_sec - curr_sec % self.interval_sec_) + self.interval_sec_ + 2 return (curr_sec - curr_sec % self.interval_sec_) + self.interval_sec_ + 2
async def _load_new(self) -> None: async def _load_new(self) -> None:
last: Optional[MdSummary] = self.get_last() last: Optional[MdSummary] = self.get_last()
@ -213,39 +169,54 @@ class MdSummaryCollector(NamedObject):
self.timer_.cancel() self.timer_.cancel()
self.timer_ = None self.timer_ = None
class CvttRESTClient(NamedObject): class CvttRestMktDataClient(NamedObject):
config_: Config config_: Config
sender_: RESTSender sender_: RESTSender
collectors_: Set[MdSummaryCollector]
def __init__(self, config: Config) -> None: def __init__(self, config: Config) -> None:
self.config_ = config self.config_ = config
base_url = self.config_.get_value("cvtt_base_url", default="") base_url = self.config_.get_value("cvtt_base_url", default="")
assert base_url assert base_url
self.sender_ = RESTSender(base_url=base_url) self.sender_ = RESTSender(base_url=base_url)
self.collectors_ = set()
async def add_subscription(self,
exch_acct: ExchangeAccountNameT,
instrument_id: InstrumentIdT,
interval_sec: IntervalSecT,
history_depth_sec: IntervalSecT,
callback: MdSummaryCallbackT
) -> None:
mdsc = MdSummaryCollector(
sender=self.sender_,
exch_acct=exch_acct,
instrument_id=instrument_id,
interval_sec=interval_sec,
history_depth_sec=history_depth_sec,
)
mdsc.add_callback(callback)
self.collectors_.add(mdsc)
await mdsc.start()
if __name__ == "__main__": if __name__ == "__main__":
config = Config(json_src={"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456"}) config = Config(json_src={"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456"})
# config = Config(json_src={"cvtt_base_url": "http://dev-server-02.cvtt.vpn:23456"}) # config = Config(json_src={"cvtt_base_url": "http://dev-server-02.cvtt.vpn:23456"})
cvtt_client = CvttRESTClient(config)
mdsc = MdSummaryCollector(
sender=cvtt_client.sender_,
exch_acct="COINBASE_AT",
instrument_id="PAIR-BTC-USD",
interval_sec=60,
history_depth_sec=24 * 3600,
)
def _calback(history: List[MdSummary]) -> None: def _calback(history: List[MdSummary]) -> None:
Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}") Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}")
mdsc.add_callback(_calback)
async def __run() -> None: async def __run() -> None:
Log.info("Starting...") Log.info("Starting...")
await mdsc.start() cvtt_client = CvttRestMktDataClient(config)
await cvtt_client.add_subscription(
exch_acct="COINBASE_AT",
instrument_id="PAIR-BTC-USD",
interval_sec=60,
history_depth_sec=24 * 3600,
callback=_calback
)
while True: while True:
await asyncio.sleep(5) await asyncio.sleep(5)

67
lib/live/rest_client.py Normal file
View File

@ -0,0 +1,67 @@
from __future__ import annotations
import asyncio
from typing import Callable, Dict, Any, List, Optional
import time
import requests
from cvttpy_tools.base import NamedObject
from cvttpy_tools.logger import Log
from cvttpy_tools.config import Config
from cvttpy_tools.timer import Timer
from cvttpy_tools.timeutils import NanoPerSec, NanosT, current_nanoseconds, current_seconds
from cvttpy_trading.trading.mkt_data.historical_md import HistMdBar
class RESTSender(NamedObject):
session_: requests.Session
base_url_: str
def __init__(self, base_url: str) -> None:
self.base_url_ = base_url
self.session_ = requests.Session()
def is_ready(self) -> bool:
"""Checks if the server is up and responding"""
url = f"{self.base_url_}/ping"
try:
response = self.session_.get(url)
response.raise_for_status()
return True
except requests.exceptions.RequestException:
return False
def send_post(self, endpoint: str, post_body: Dict) -> requests.Response:
while not self.is_ready():
print("Waiting for FrontGateway to start...")
time.sleep(5)
url = f"{self.base_url_}/{endpoint}"
try:
return self.session_.request(
method="POST",
url=url,
json=post_body,
headers={"Content-Type": "application/json"},
)
except requests.exceptions.RequestException as excpt:
raise ConnectionError(
f"Failed to send status={excpt.response.status_code} {excpt.response.text}" # type: ignore
) from excpt
def send_get(self, endpoint: str) -> requests.Response:
while not self.is_ready():
print("Waiting for FrontGateway to start...")
time.sleep(5)
url = f"{self.base_url_}/{endpoint}"
try:
return self.session_.request(method="GET", url=url)
except requests.exceptions.RequestException as excpt:
raise ConnectionError(
f"Failed to send status={excpt.response.status_code} {excpt.response.text}" # type: ignore
) from excpt

48
lib/pt_strategy/live/live_strategy.py
View File

@ -8,8 +8,7 @@ import pandas as pd
# --- # ---
from cvttpy_tools.base import NamedObject from cvttpy_tools.base import NamedObject
from cvttpy_tools.app import App from cvttpy_tools.app import App
from cvttpy_tools.logger import Log from cvttpy_tools.settings.cvtt_types import IntervalSecT
from cvttpy_tools.settings.cvtt_types import JsonDictT
# --- # ---
from cvttpy_trading.trading.instrument import ExchangeInstrument from cvttpy_trading.trading.instrument import ExchangeInstrument
from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
@ -18,7 +17,6 @@ from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pairs_trading.lib.pt_strategy.pt_model import Prediction from pairs_trading.lib.pt_strategy.pt_model import Prediction
from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair
from pairs_trading.apps.pairs_trader import PairsTrader from pairs_trading.apps.pairs_trader import PairsTrader
from pairs_trading.lib.pt_strategy.pt_market_data import RealTimeMarketData
""" """
--config=pair.cfg --config=pair.cfg
--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT --pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
@ -41,7 +39,6 @@ class PtLiveStrategy(NamedObject):
model_data_policy_: ModelDataPolicy model_data_policy_: ModelDataPolicy
pairs_trader_: PairsTrader pairs_trader_: PairsTrader
pt_mkt_data_: RealTimeMarketData
# ti_sender_: TradingInstructionsSender # ti_sender_: TradingInstructionsSender
# for presentation: history of prediction values and trading signals # for presentation: history of prediction values and trading signals
@ -90,26 +87,31 @@ class PtLiveStrategy(NamedObject):
pass # URGENT PtiveStrategy.on_mkt_data_hist_snapshot() pass # URGENT PtiveStrategy.on_mkt_data_hist_snapshot()
async def on_mkt_data_update(self, aggr: MdTradesAggregate) -> None: async def on_mkt_data_update(self, aggr: MdTradesAggregate) -> None:
market_data_df = await self.pt_mkt_data_.on_mkt_data_update(update=aggr) # if market_data_df is not None:
if market_data_df is not None: # self.trading_pair_.market_data_ = market_data_df
self.trading_pair_.market_data_ = market_data_df # self.model_data_policy_.advance()
self.model_data_policy_.advance() # prediction = self.trading_pair_.run(
prediction = self.trading_pair_.run( # market_data_df, self.model_data_policy_.advance()
market_data_df, self.model_data_policy_.advance() # )
) # self.predictions_ = pd.concat(
self.predictions_ = pd.concat( # [self.predictions_, prediction.to_df()], ignore_index=True
[self.predictions_, prediction.to_df()], ignore_index=True # )
)
trading_instructions: List[TradingInstruction] = ( # trading_instructions: List[TradingInstruction] = (
self._create_trading_instructions( # self._create_trading_instructions(
prediction=prediction, last_row=market_data_df.iloc[-1] # prediction=prediction, last_row=market_data_df.iloc[-1]
) # )
) # )
if len(trading_instructions) > 0: # if len(trading_instructions) > 0:
await self._send_trading_instructions(trading_instructions) # await self._send_trading_instructions(trading_instructions)
# trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1]) # # trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
pass pass # URGENT
def interval_sec(self) -> IntervalSecT:
return 60 # URGENT use config
def history_depth_sec(self) -> IntervalSecT:
return 3600 * 60 * 2 # URGENT use config
async def _send_trading_instructions( async def _send_trading_instructions(
self, trading_instructions: List[TradingInstruction] self, trading_instructions: List[TradingInstruction]

87
lib/pt_strategy/live/pricer_md_client.py.md
View File

@ -1,87 +0,0 @@
```python
from __future__ import annotations
from functools import partial
from typing import Dict, List
# from cvtt_client.mkt_data import (CvttPricerWebSockClient,
# CvttPricesSubscription, MessageTypeT,
# SubscriptionIdT)
from cvttpy_tools.app import App
from cvttpy_tools.base import NamedObject
from cvttpy_tools.config import Config
from cvttpy_tools.logger import Log
from cvttpy_tools.settings.cvtt_types import JsonDictT
from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
"""
--config=pair.cfg
--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
"""
class PtMktDataClient(NamedObject):
config_: Config
live_strategy_: PtLiveStrategy
pricer_client_: CvttPricerWebSockClient
subscriptions_: List[CvttPricesSubscription]
def __init__(self, live_strategy: PtLiveStrategy, pricer_config: Config):
self.config_ = pricer_config
self.live_strategy_ = live_strategy
App.instance().add_call(App.Stage.Start, self._on_start())
App.instance().add_call(App.Stage.Run, self.run())
async def _on_start(self) -> None:
pricer_url = self.config_.get_value("pricer_url")
assert pricer_url is not None, "pricer_url is not found in config"
self.pricer_client_ = CvttPricerWebSockClient(url=pricer_url)
async def _subscribe(self) -> None:
history_depth_sec = self.config_.get_value("history_depth_sec", 86400)
interval_sec = self.config_.get_value("interval_sec", 60)
pair: TradingPair = self.live_strategy_.trading_pair_
subscriptions = [CvttPricesSubscription(
exchange_config_name=instrument["exchange_config_name"],
instrument_id=instrument["instrument_id"],
interval_sec=interval_sec,
history_depth_sec=history_depth_sec,
callback=partial(
self.on_message, instrument_id=instrument["instrument_id"]
),
) for instrument in pair.instruments_]
for subscription in subscriptions:
Log.info(f"{self.fname()} Subscribing to {subscription}")
await self.pricer_client_.subscribe(subscription)
async def on_message(
self,
message_type: MessageTypeT,
subscr_id: SubscriptionIdT,
message: Dict,
instrument_id: str,
) -> None:
Log.info(f"{self.fname()}: {message_type=} {subscr_id=} {instrument_id}")
aggr: JsonDictT
if message_type == "md_aggregate":
aggr = message.get("md_aggregate", {})
await self.live_strategy_.on_mkt_data_update(aggr)
elif message_type == "historical_md_aggregate":
aggr = message.get("historical_data", {})
await self.live_strategy_.on_mkt_data_hist_snapshot(aggr)
else:
Log.info(f"Unknown message type: {message_type}")
async def run(self) -> None:
if not await CvttPricerWebSockClient.check_connection(self.pricer_client_.ws_url_):
Log.error(f"Unable to connect to {self.pricer_client_.ws_url_}")
raise Exception(f"Unable to connect to {self.pricer_client_.ws_url_}")
await self._subscribe()
await self.pricer_client_.run()
```

2
lib/pt_strategy/model_data_policy.py
View File

@ -91,7 +91,7 @@ class OptimizedWndDataPolicy(ModelDataPolicy, ABC):
self.min_training_size_ = cast(int, config.get("min_training_size")) self.min_training_size_ = cast(int, config.get("min_training_size"))
self.max_training_size_ = cast(int, config.get("max_training_size")) self.max_training_size_ = cast(int, config.get("max_training_size"))
from pt_strategy.trading_pair import TradingPair from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
self.pair_ = cast(TradingPair, kwargs.get("pair")) self.pair_ = cast(TradingPair, kwargs.get("pair"))
if "mkt_data" in kwargs: if "mkt_data" in kwargs:

4
lib/pt_strategy/models.py
View File

@ -6,8 +6,8 @@ import statsmodels.api as sm
from pt_strategy.pt_model import PairsTradingModel, Prediction from pairs_trading.lib.pt_strategy.pt_model import PairsTradingModel, Prediction
from pt_strategy.trading_pair import TradingPair from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
class OLSModel(PairsTradingModel): class OLSModel(PairsTradingModel):

60
lib/pt_strategy/pt_market_data.py
View File

@ -171,63 +171,3 @@ class ResearchMarketData(PtMarketData):
f"exec_price_{self.symbol_b_}", f"exec_price_{self.symbol_b_}",
] ]
class RealTimeMarketData(PtMarketData):
def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
super().__init__(config, *args, **kwargs)
async def on_mkt_data_hist_snapshot(self, snapshot: JsonDictT) -> None:
# URGENT
# create origin_mkt_data_df_ from snapshot
# verify that the data for both instruments are present
# transform it to market_data_df_ tstamp, close_symbolA, close_symbolB
'''
# from cvttpy/exchanges/binance/spot/mkt_data.py
values = {
"time_ns": time_ns,
"tstamp": format_nanos_utc(time_ns),
"exchange_id": exch_inst.exchange_id_,
"instrument_id": exch_inst.instrument_id(),
"interval_ns": interval_sec * 1_000_000_000,
"open": float(kline[1]),
"high": float(kline[2]),
"low": float(kline[3]),
"close": float(kline[4]),
"volume": float(kline[5]),
"num_trades": kline[8],
"vwap": float(kline[7]) / float(kline[5]) if float(kline[5]) > 0 else 0.0 # Calculate VWAP
}
'''
pass
async def on_mkt_data_update(self, update: MdTradesAggregate) -> Optional[pd.DataFrame]:
# URGENT
# make sure update has both instruments
# create DataFrame tmp1 from update
# transform tmp1 into temp. datframe tmp2
# add tmp1 to origin_mkt_data_df_
# add tmp2 to market_data_df_
# return market_data_df_
'''
class MdTradesAggregate(NamedObject):
def to_dict(self) -> Dict[str, Any]:
return {
"time_ns": self.time_ns_,
"tstamp": format_nanos_utc(self.time_ns_),
"exchange_id": self.exch_inst_.exchange_id_,
"instrument_id": self.exch_inst_.instrument_id(),
"interval_ns": self.interval_ns_,
"open": self.exch_inst_.get_price(self.open_),
"high": self.exch_inst_.get_price(self.high_),
"low": self.exch_inst_.get_price(self.low_),
"close": self.exch_inst_.get_price(self.close_),
"volume": self.exch_inst_.get_quantity(self.volume_),
"vwap": self.exch_inst_.get_price(self.vwap_),
"num_trades": self.exch_inst_.get_quantity(self.num_trades_),
}
'''
return pd.DataFrame()

12
lib/pt_strategy/research_strategy.py
View File

@ -3,10 +3,10 @@ from __future__ import annotations
from typing import Any, Dict, List, Optional from typing import Any, Dict, List, Optional
import pandas as pd import pandas as pd
from pt_strategy.model_data_policy import ModelDataPolicy from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pt_strategy.pt_market_data import ResearchMarketData from pairs_trading.lib.pt_strategy.pt_market_data import ResearchMarketData
from pt_strategy.pt_model import Prediction from pairs_trading.lib.pt_strategy.pt_model import Prediction
from pt_strategy.trading_pair import PairState, TradingPair from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair
class PtResearchStrategy: class PtResearchStrategy:
@ -24,8 +24,8 @@ class PtResearchStrategy:
datafiles: List[str], datafiles: List[str],
instruments: List[Dict[str, str]], instruments: List[Dict[str, str]],
): ):
from pt_strategy.model_data_policy import ModelDataPolicy from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pt_strategy.trading_pair import TradingPair from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
self.config_ = config self.config_ = config
self.trades_ = [] self.trades_ = []

2
lib/pt_strategy/results.py
View File

@ -4,7 +4,7 @@ from datetime import date, datetime
from typing import Any, Dict, List, Optional, Tuple from typing import Any, Dict, List, Optional, Tuple
import pandas as pd import pandas as pd
from pt_strategy.trading_pair import TradingPair from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
# Recommended replacement adapters and converters for Python 3.12+ # Recommended replacement adapters and converters for Python 3.12+

2
lib/pt_strategy/trading_pair.py
View File

@ -57,7 +57,7 @@ class TradingPair:
instruments: List[Dict[str, str]], instruments: List[Dict[str, str]],
): ):
from pt_strategy.pt_model import PairsTradingModel from pairs_trading.lib.pt_strategy.pt_model import PairsTradingModel
assert len(instruments) == 2, "Trading pair must have exactly 2 instruments" assert len(instruments) == 2, "Trading pair must have exactly 2 instruments"

2
lib/tools/viz/viz_prices.py
View File

@ -1,4 +1,4 @@
from pt_strategy.research_strategy import PtResearchStrategy from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
def visualize_prices(strategy: PtResearchStrategy, trading_date: str) -> None: def visualize_prices(strategy: PtResearchStrategy, trading_date: str) -> None:

8
lib/tools/viz/viz_trades.py
View File

@ -3,11 +3,11 @@ from __future__ import annotations
import os import os
from typing import Any, Dict from typing import Any, Dict
from pt_strategy.results import (PairResearchResult, create_result_database, from pairs_trading.lib.pairs_trading.lib.tegy.results import (PairResearchResult, create_result_database,
store_config_in_database) store_config_in_database)
from pt_strategy.research_strategy import PtResearchStrategy from pairs_trading.lib.pairs_trading.lib.t_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles from pairs_trading.lib.tools.filetools import resolve_datafiles
from tools.instruments import get_instruments from pairs_trading.lib.tools.instruments import get_instruments
def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult, trading_date: str) -> None: def visualize_trades(strategy: PtResearchStrategy, results: PairResearchResult, trading_date: str) -> None:

1
requirements.txt
View File

@ -170,6 +170,7 @@ types-PyYAML>=5.4
types-redis>=3.5 types-redis>=3.5
types-requests>=2.25 types-requests>=2.25
types-retry>=0.9 types-retry>=0.9
types-seaborn>0.13.2
types-selenium>=3.141 types-selenium>=3.141
types-Send2Trash>=1.8 types-Send2Trash>=1.8
types-setuptools>=57.4 types-setuptools>=57.4

10
research/backtest.py
View File

@ -3,20 +3,20 @@ from __future__ import annotations
import os import os
from typing import Any, Dict from typing import Any, Dict
from pt_strategy.results import ( from pairs_trading.lib.pt_strategy.results import (
PairResearchResult, PairResearchResult,
create_result_database, create_result_database,
store_config_in_database, store_config_in_database,
) )
from pt_strategy.research_strategy import PtResearchStrategy from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles from pairs_trading.lib.tools.filetools import resolve_datafiles
from tools.instruments import get_instruments from pairs_trading.lib.tools.instruments import get_instruments
def main() -> None: def main() -> None:
import argparse import argparse
from tools.config import expand_filename, load_config from pairs_trading.lib.tools.config import expand_filename, load_config
parser = argparse.ArgumentParser(description="Run pairs trading backtest.") parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
parser.add_argument( parser.add_argument(

12
research/notebooks/pair_trading_test.ipynb
View File

@ -117,7 +117,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 10, "execution_count": null,
"metadata": {}, "metadata": {},
"outputs": [], "outputs": [],
"source": [ "source": [
@ -135,8 +135,8 @@
" from IPython.display import clear_output\n", " from IPython.display import clear_output\n",
"\n", "\n",
" # Import our modules\n", " # Import our modules\n",
" from pt_strategy.trading_pair import TradingPair, PairState\n", " from pairs_trading.lib.pairs_trading.lib.pairs_trading.lib.pt_strategy.trading_pair import TradingPair, PairState\n",
" from pt_strategy.results import PairResearchResult\n", " from pairs_trading.lib.pairs_trading.lib.pairs_trading.lib.pt_strategy.results import PairResearchResult\n",
"\n", "\n",
" pd.set_option('display.width', 400)\n", " pd.set_option('display.width', 400)\n",
" pd.set_option('display.max_colwidth', None)\n", " pd.set_option('display.max_colwidth', None)\n",
@ -301,9 +301,9 @@
" global PT_RESULTS\n", " global PT_RESULTS\n",
"\n", "\n",
" \n", " \n",
" from pt_strategy.trading_pair import TradingPair\n", " from pairs_trading.lib.pt_strategy.trading_pair import TradingPair\n",
" from pt_strategy.research_strategy import PtResearchStrategy\n", " from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy\n",
" from pt_strategy.results import PairResearchResult\n", " from pairs_trading.lib.pt_strategy.results import PairResearchResult\n",
"\n", "\n",
" # Create trading pair\n", " # Create trading pair\n",
" PT_RESULTS = PairResearchResult(config=PT_BT_CONFIG)\n", " PT_RESULTS = PairResearchResult(config=PT_BT_CONFIG)\n",

2
research/tools/research_tools.py
View File

@ -3,7 +3,7 @@ import os
from typing import Dict, List, Optional from typing import Dict, List, Optional
import pandas as pd import pandas as pd
from pt_trading.fit_method import PairsTradingFitMethod from pairs_trading.lib.pt_trading.fit_method import PairsTradingFitMethod
def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List[str]: def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List[str]:

12
tests/viz_test.py
View File

@ -3,18 +3,18 @@ from __future__ import annotations
import os import os
from typing import Any, Dict from typing import Any, Dict
from pt_strategy.results import (PairResearchResult, create_result_database, from pairs_trading.lib.pt_strategy.results import (PairResearchResult, create_result_database,
store_config_in_database) store_config_in_database)
from pt_strategy.research_strategy import PtResearchStrategy from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles from pairs_trading.lib.tools.filetools import resolve_datafiles
from tools.instruments import get_instruments from pairs_trading.lib.tools.instruments import get_instruments
from tools.viz.viz_trades import visualize_trades from pairs_trading.lib.tools.viz.viz_trades import visualize_trades
def main() -> None: def main() -> None:
import argparse import argparse
from tools.config import expand_filename, load_config from pairs_trading.lib.tools.config import expand_filename, load_config
parser = argparse.ArgumentParser(description="Run pairs trading backtest.") parser = argparse.ArgumentParser(description="Run pairs trading backtest.")
parser.add_argument( parser.add_argument(