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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
View File

@ -3,5 +3,8 @@
{
"path": ".."
}
]
],
"settings": {
"workbench.colorTheme": "Dracula Theme"
}
}

45
apps/pairs_trader.py
View File

@ -15,7 +15,7 @@ from cvttpy_trading.trading.active_instruments import Instruments
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.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
# import sys
@ -23,6 +23,20 @@ from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSend
# for path in sys.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]
UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
@ -31,7 +45,7 @@ class PairsTrader(NamedObject):
instruments_: List[JsonDictT]
live_strategy_: PtLiveStrategy
# pricer_client_: PtMktDataClient
pricer_client_: CvttRestMktDataClient
def __init__(self) -> None:
self.instruments_ = []
@ -90,16 +104,10 @@ class PairsTrader(NamedObject):
Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")
# # ------- CREATE PRICER CLIENT -------
# URGENT
# 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_}")
self.pricer_client_ = CvttRestMktDataClient(self.config_)
# ------- CREATE TRADER CLIENT -------
# URGENT
# URGENT CREATE TRADER CLIENT
# (send TradingInstructions)
# ti_config = self.config_.get_subconfig("ti_config", {})
# self.ti_sender_ = TradingInstructionsSender(config=ti_config)
@ -107,11 +115,22 @@ class PairsTrader(NamedObject):
# # ------- CREATE REST SERVER -------
# for dashboard communications
# URGENT CREATE REST SERVER for dashboard communications
async def subscribe_md(self) -> None:
pass
# URGENT implement PairsTrader.subscribe_md()
for inst in self.instruments_:
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:
Log.info(f"{self.fname()} ...")

220
lib/client/mkt_data.py
View File

@ -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
import asyncio
from typing import Callable, Dict, Any, List, Optional
import time
from typing import Callable, Dict, Any, List, Optional, Set
import requests
from cvttpy_tools.base import NamedObject
from cvttpy_tools.app import App
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_tools.timeutils import NanosT, 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.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):
def __init__(
self,
@ -110,10 +64,10 @@ MdSummaryCallbackT = Callable[[List[MdSummary]], None]
class MdSummaryCollector(NamedObject):
sender_: RESTSender
exch_acct_: str
instrument_id_: str
interval_sec_: int
history_depth_sec_: int
exch_acct_: ExchangeAccountNameT
instrument_id_: InstrumentIdT
interval_sec_: IntervalSecT
history_depth_sec_: IntervalSecT
history_: List[MdSummary]
callbacks_: List[MdSummaryCallbackT]
@ -122,10 +76,10 @@ class MdSummaryCollector(NamedObject):
def __init__(
self,
sender: RESTSender,
exch_acct: str,
instrument_id: str,
interval_sec: int,
history_depth_sec: int,
exch_acct: ExchangeAccountNameT,
instrument_id: InstrumentIdT,
interval_sec: IntervalSecT,
history_depth_sec: IntervalSecT,
) -> None:
self.sender_ = sender
self.exch_acct_ = exch_acct
@ -140,6 +94,9 @@ class MdSummaryCollector(NamedObject):
def add_callback(self, cb: MdSummaryCallbackT) -> None:
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]:
return {
"exch_acct": self.exch_acct_,
@ -192,7 +149,6 @@ class MdSummaryCollector(NamedObject):
curr_sec = int(current_seconds())
return (curr_sec - curr_sec % self.interval_sec_) + self.interval_sec_ + 2
async def _load_new(self) -> None:
last: Optional[MdSummary] = self.get_last()
@ -213,39 +169,54 @@ class MdSummaryCollector(NamedObject):
self.timer_.cancel()
self.timer_ = None
class CvttRESTClient(NamedObject):
class CvttRestMktDataClient(NamedObject):
config_: Config
sender_: RESTSender
collectors_: Set[MdSummaryCollector]
def __init__(self, config: Config) -> None:
self.config_ = config
base_url = self.config_.get_value("cvtt_base_url", default="")
assert 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__":
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"})
cvtt_client = CvttRESTClient(config)
def _calback(history: List[MdSummary]) -> None:
Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}")
mdsc = MdSummaryCollector(
sender=cvtt_client.sender_,
async def __run() -> None:
Log.info("Starting...")
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
)
def _calback(history: List[MdSummary]) -> None:
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:
Log.info("Starting...")
await mdsc.start()
while True:
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.app import App
from cvttpy_tools.logger import Log
from cvttpy_tools.settings.cvtt_types import JsonDictT
from cvttpy_tools.settings.cvtt_types import IntervalSecT
# ---
from cvttpy_trading.trading.instrument import ExchangeInstrument
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.trading_pair import PairState, TradingPair
from pairs_trading.apps.pairs_trader import PairsTrader
from pairs_trading.lib.pt_strategy.pt_market_data import RealTimeMarketData
"""
--config=pair.cfg
--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
@ -41,7 +39,6 @@ class PtLiveStrategy(NamedObject):
model_data_policy_: ModelDataPolicy
pairs_trader_: PairsTrader
pt_mkt_data_: RealTimeMarketData
# ti_sender_: TradingInstructionsSender
# for presentation: history of prediction values and trading signals
@ -90,26 +87,31 @@ class PtLiveStrategy(NamedObject):
pass # URGENT PtiveStrategy.on_mkt_data_hist_snapshot()
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:
self.trading_pair_.market_data_ = market_data_df
self.model_data_policy_.advance()
prediction = self.trading_pair_.run(
market_data_df, self.model_data_policy_.advance()
)
self.predictions_ = pd.concat(
[self.predictions_, prediction.to_df()], ignore_index=True
)
# if market_data_df is not None:
# self.trading_pair_.market_data_ = market_data_df
# self.model_data_policy_.advance()
# prediction = self.trading_pair_.run(
# market_data_df, self.model_data_policy_.advance()
# )
# self.predictions_ = pd.concat(
# [self.predictions_, prediction.to_df()], ignore_index=True
# )
trading_instructions: List[TradingInstruction] = (
self._create_trading_instructions(
prediction=prediction, last_row=market_data_df.iloc[-1]
)
)
if len(trading_instructions) > 0:
await self._send_trading_instructions(trading_instructions)
# trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
pass
# trading_instructions: List[TradingInstruction] = (
# self._create_trading_instructions(
# prediction=prediction, last_row=market_data_df.iloc[-1]
# )
# )
# if len(trading_instructions) > 0:
# await self._send_trading_instructions(trading_instructions)
# # trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
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(
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.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"))
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 pt_strategy.trading_pair import TradingPair
from pairs_trading.lib.pt_strategy.pt_model import PairsTradingModel, Prediction
from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
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_}",
]
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
import pandas as pd
from pt_strategy.model_data_policy import ModelDataPolicy
from pt_strategy.pt_market_data import ResearchMarketData
from pt_strategy.pt_model import Prediction
from pt_strategy.trading_pair import PairState, TradingPair
from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pairs_trading.lib.pt_strategy.pt_market_data import ResearchMarketData
from pairs_trading.lib.pt_strategy.pt_model import Prediction
from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair
class PtResearchStrategy:
@ -24,8 +24,8 @@ class PtResearchStrategy:
datafiles: List[str],
instruments: List[Dict[str, str]],
):
from pt_strategy.model_data_policy import ModelDataPolicy
from pt_strategy.trading_pair import TradingPair
from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
self.config_ = config
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
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+

2
lib/pt_strategy/trading_pair.py
View File

@ -57,7 +57,7 @@ class TradingPair:
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"

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:

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

@ -3,11 +3,11 @@ from __future__ import annotations
import os
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)
from pt_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles
from tools.instruments import get_instruments
from pairs_trading.lib.pairs_trading.lib.t_strategy.research_strategy import PtResearchStrategy
from pairs_trading.lib.tools.filetools import resolve_datafiles
from pairs_trading.lib.tools.instruments import get_instruments
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-requests>=2.25
types-retry>=0.9
types-seaborn>0.13.2
types-selenium>=3.141
types-Send2Trash>=1.8
types-setuptools>=57.4

10
research/backtest.py
View File

@ -3,20 +3,20 @@ from __future__ import annotations
import os
from typing import Any, Dict
from pt_strategy.results import (
from pairs_trading.lib.pt_strategy.results import (
PairResearchResult,
create_result_database,
store_config_in_database,
)
from pt_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles
from tools.instruments import get_instruments
from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
from pairs_trading.lib.tools.filetools import resolve_datafiles
from pairs_trading.lib.tools.instruments import get_instruments
def main() -> None:
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.add_argument(

12
research/notebooks/pair_trading_test.ipynb
View File

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

12
tests/viz_test.py
View File

@ -3,18 +3,18 @@ from __future__ import annotations
import os
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)
from pt_strategy.research_strategy import PtResearchStrategy
from tools.filetools import resolve_datafiles
from tools.instruments import get_instruments
from tools.viz.viz_trades import visualize_trades
from pairs_trading.lib.pt_strategy.research_strategy import PtResearchStrategy
from pairs_trading.lib.tools.filetools import resolve_datafiles
from pairs_trading.lib.tools.instruments import get_instruments
from pairs_trading.lib.tools.viz.viz_trades import visualize_trades
def main() -> None:
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.add_argument(