progress

configuration/crypto.cfg

@@ -29,5 +29,5 @@
     "dis-equilibrium_close_trshld": 0.5,
     "training_minutes": 120,
     "funding_per_pair": 2000.0,
-    "strategy_class": "strategies.StaticFitStrategy"
+    "strategy_class": "trading.strategies.StaticFitStrategy"
 }

configuration/equity.cfg

@@ -20,7 +20,7 @@
     "training_minutes": 120,
     "funding_per_pair": 2000.0,
     # "strategy_class": "strategies.StaticFitStrategy"
-    "strategy_class": "strategies.SlidingFitStrategy"
+    "strategy_class": "trading.strategies.SlidingFitStrategy"
     "exclude_instruments": ["CAN"]
     
 }

pyproject.toml

@@ -0,0 +1,66 @@
+[build-system]
+requires = ["setuptools>=45", "wheel"]
+build-backend = "setuptools.build_meta"
+
+[project]
+name = "pairs-trading"
+version = "0.1.0"
+description = "Pairs Trading Backtesting Framework"
+requires-python = ">=3.8"
+
+[tool.black]
+line-length = 88
+target-version = ['py38']
+include = '\.pyi?$'
+extend-exclude = '''
+/(
+  # directories
+  \.eggs
+  | \.git
+  | \.hg
+  | \.mypy_cache
+  | \.tox
+  | \.venv
+  | build
+  | dist
+)/
+'''
+
+[tool.flake8]
+max-line-length = 88
+extend-ignore = ["E203", "W503"]
+exclude = [
+    ".git",
+    "__pycache__",
+    "build",
+    "dist",
+    ".venv",
+    ".mypy_cache",
+    ".tox"
+]
+
+[tool.mypy]
+python_version = "3.8"
+warn_return_any = true
+warn_unused_configs = true
+disallow_untyped_defs = true
+disallow_incomplete_defs = true
+check_untyped_defs = true
+disallow_untyped_decorators = true
+no_implicit_optional = true
+warn_redundant_casts = true
+warn_unused_ignores = true
+warn_no_return = true
+warn_unreachable = true
+strict_equality = true
+
+[[tool.mypy.overrides]]
+module = [
+    "numpy.*",
+    "pandas.*",
+    "matplotlib.*",
+    "seaborn.*",
+    "scipy.*",
+    "sklearn.*"
+]
+ignore_missing_imports = true 

pyrightconfig.json

@@ -0,0 +1,24 @@
+{
+    "include": [
+        "src"
+    ],
+    "exclude": [
+        "**/node_modules",
+        "**/__pycache__",
+        "**/.*",
+        "results",
+        "data"
+    ],
+    "ignore": [],
+    "defineConstant": {},
+    "typeCheckingMode": "basic",
+    "useLibraryCodeForTypes": true,
+    "autoImportCompletions": true,
+    "autoSearchPaths": true,
+    "extraPaths": [
+        "src"
+    ],
+    "stubPath": "./typings",
+    "venvPath": ".",
+    "venv": "python3.12-venv"
+}

requirements.txt

@@ -4,6 +4,7 @@ async-timeout>=4.0.2
 attrs>=21.2.0
 beautifulsoup4>=4.10.0
 black>=23.3.0
+flake8>=6.0.0
 certifi>=2020.6.20
 chardet>=4.0.0
 charset-normalizer>=3.1.0

scripts/load_crypto_1min.sh

@@ -12,11 +12,13 @@
 # -------------------------------------
 # --- Current month - all files
 # -------------------------------------
-cd $(realpath $(dirname $0))
+cd $(realpath $(dirname $0))/..
 mkdir -p ./data/crypto
 pushd ./data/crypto
 
-rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/*.gz ./
+Cmd="rsync -ahvv cvtt@hs01.cvtt.vpn:/works/cvtt/md_archive/crypto/sim/*.gz ./"
+echo $Cmd
+eval $Cmd
 # -------------------------------------
 
 for srcfname in $(ls *.db.gz); do
@@ -24,8 +26,12 @@ for srcfname in $(ls *.db.gz); do
     tgtfile=${dt}.mktdata.ohlcv.db
     echo "${srcfname} -> ${tgtfile}"
 
-    gunzip -c $srcfname > temp.db
-    rm -f ${tgtfile} && sqlite3 temp.db ".dump md_1min_bars" | sqlite3  ${tgtfile} && rm ${srcfname}
+    Cmd="gunzip -c $srcfname > temp.db"
+    echo $Cmd
+    eval $Cmd
+    Cmd="rm -f ${tgtfile} && sqlite3 temp.db \".dump md_1min_bars\" | sqlite3  ${tgtfile} && rm ${srcfname}"
+    echo $Cmd
+    eval $Cmd
 done
 rm temp.db
 popd

src/cvtt/mkt_data.py

@@ -0,0 +1,182 @@
+#!/usr/bin/env python3
+
+import argparse
+import asyncio
+import json
+import logging
+import uuid
+from dataclasses import dataclass
+from typing import Callable, Coroutine, Dict, List, Optional
+
+from numpy.strings import str_len
+import websockets
+from websockets.asyncio.client import ClientConnection
+
+SubscriptionIdT = str
+UrlT = str
+CallbackT = Callable[[Dict], 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 CvttPricerWebSockClient:
+    # Class members with type hints
+    ws_url_: UrlT
+    websocket_: Optional[ClientConnection]
+    subscriptions_: Dict[SubscriptionIdT, CvttPricesSubscription]
+    is_connected_: bool
+    logger_: logging.Logger
+
+    def __init__(self, url: str):
+        self.ws_url_ = url
+        self.websocket_ = None
+        self.is_connected_ = False
+        self.subscriptions_ = {}
+        self.logger_ = logging.getLogger(__name__)
+        logging.basicConfig(level=logging.INFO)
+
+    async def subscribe(
+        self, subscription: CvttPricesSubscription
+    ) -> str:  # returns subscription id
+
+        if not self.is_connected_:
+            self.logger_.info(f"Connecting to {self.ws_url_}")
+            self.websocket_ = await websockets.connect(self.ws_url_)
+            self.is_connected_ = True
+        else:
+            raise Exception(f"Unable to connect to {self.ws_url_}")
+
+        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_
+
+        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":
+            self.logger_.info(f"Subscription successful: {json.dumps(response)}")
+            return True
+        elif response.get("status") == "error":
+            self.logger_.error(f"Subscription failed: {response.get('reason')}")
+            return False
+        return False
+
+    async def connect_and_subscribe(self) -> None:
+        assert self.websocket_
+        try:
+            while self.is_connected_:
+                try:
+                    message = await self.websocket_.recv()
+                    message_str = (
+                        message.decode("utf-8")
+                        if isinstance(message, bytes)
+                        else message
+                    )
+                    await self.process_message(json.loads(message_str))
+                except websockets.ConnectionClosed:
+                    self.logger_.warning("Connection closed")
+                    self.is_connected_ = False
+                    break
+        except Exception as e:
+            self.logger_.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:
+        if message.get("type") in ["md_aggregate", "historical_md_aggregate"]:
+            subscription_id = message.get("id")
+            if subscription_id not in self.subscriptions_:
+                self.logger_.warning(f"Unknown subscription id: {subscription_id}")
+                return
+
+            subscription = self.subscriptions_[subscription_id]
+            await subscription.callback_(message)
+        else:
+            self.logger_.warning(f"Unknown message type: {message.get('type')}")
+
+
+async def main() -> None:
+    pass
+    # parser = argparse.ArgumentParser(description="WebSocket API Testing Tool")
+    # parser.add_argument("--url", required=True, help="WebSocket API URL")
+    # parser.add_argument(
+    #     "--exchange_config_name", required=True, help="Exchange config name"
+    # )
+    # parser.add_argument(
+    #     "--instrument_ids", required=True, help="Comma separated Instrument IDs"
+    # )
+    # parser.add_argument(
+    #     "--interval_sec", type=int, required=True, help="Interval in seconds"
+    # )
+    # parser.add_argument(
+    #     "--history_depth_sec",
+    #     default=0,
+    #     type=int,
+    #     required=False,
+    #     help="History depth in seconds",
+    # )
+
+    # args = parser.parse_args()
+
+    # config = PricerClientConfig(
+    #     url_=args.url,
+    #     exchange_config_name_=args.exchange_config_name,
+    #     instrument_ids_=args.instrument_ids.split(","),
+    #     interval_sec_=args.interval_sec,
+    #     history_depth_sec_=args.history_depth_sec,
+    # )
+
+    # client = CvttPricerWebSockClient(config)
+    # await client.connect_and_subscribe()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

src/notebooks/pt_pair_backtest.ipynb

@@ -89,8 +89,8 @@
         "# Import our modules\n",
         "from strategies import StaticFitStrategy, SlidingFitStrategy, PairState\n",
         "from tools.data_loader import load_market_data\n",
-        "from tools.trading_pair import TradingPair\n",
-        "from results import BacktestResult\n",
+        "from trading.trading_pair import TradingPair\n",
+        "from trading.results import BacktestResult\n",
         "\n",
         "# Set plotting style\n",
         "plt.style.use('seaborn-v0_8')\n",

src/notebooks/pt_sliding.ipynb

@@ -113,8 +113,8 @@
     "# Import our modules\n",
     "from strategies import SlidingFitStrategy, PairState\n",
     "from tools.data_loader import load_market_data\n",
-    "from tools.trading_pair import TradingPair\n",
-    "from results import BacktestResult\n",
+    "from trading.trading_pair import TradingPair\n",
+    "from trading.results import BacktestResult\n",
     "\n",
     "# Set plotting style\n",
     "plt.style.use('seaborn-v0_8')\n",

src/notebooks/pt_static.ipynb

@@ -98,8 +98,8 @@
     "# Import our modules\n",
     "from strategies import StaticFitStrategy, SlidingFitStrategy\n",
     "from tools.data_loader import load_market_data\n",
-    "from tools.trading_pair import TradingPair\n",
-    "from results import BacktestResult\n",
+    "from trading.trading_pair import TradingPair\n",
+    "from trading.results import BacktestResult\n",
     "\n",
     "# Set plotting style\n",
     "plt.style.use('seaborn-v0_8')\n",

src/pt_backtest.py

@@ -3,7 +3,6 @@ import hjson
 import importlib
 import glob
 import os
-import sqlite3
 from datetime import datetime, date
 
 from typing import Any, Dict, List, Optional
@@ -11,15 +10,20 @@ from typing import Any, Dict, List, Optional
 import pandas as pd
 
 from tools.data_loader import get_available_instruments_from_db, load_market_data
-from tools.trading_pair import TradingPair
-from results import BacktestResult, create_result_database, store_results_in_database, store_config_in_database
+from trading.strategies import PairsTradingStrategy
+from trading.trading_pair import TradingPair
+from trading.results import (
+    BacktestResult,
+    create_result_database,
+    store_results_in_database,
+    store_config_in_database,
+)
 
 
 def load_config(config_path: str) -> Dict:
     with open(config_path, "r") as f:
         config = hjson.load(f)
-    return config
-
+    return dict(config)
 
 
 def resolve_datafiles(config: Dict, cli_datafiles: Optional[str] = None) -> List[str]:
@@ -65,7 +69,7 @@ def run_backtest(
     config: Dict,
     datafile: str,
     price_column: str,
-    strategy,
+    strategy: PairsTradingStrategy,
     instruments: List[str],
 ) -> BacktestResult:
     """
@@ -174,7 +178,9 @@ def main() -> None:
         all_instruments = []
         for datafile in datafiles:
             if args.instruments:
-                file_instruments = [inst.strip() for inst in args.instruments.split(",")]
+                file_instruments = [
+                    inst.strip() for inst in args.instruments.split(",")
+                ]
             else:
                 file_instruments = get_available_instruments_from_db(datafile, config)
             all_instruments.extend(file_instruments)
@@ -188,7 +194,7 @@ def main() -> None:
             config=config,
             strategy_class=strategy_class_name,
             datafiles=datafiles,
-            instruments=unique_instruments
+            instruments=unique_instruments,
         )
 
     # Process each data file

src/trading/strategies.py

@@ -5,8 +5,8 @@ from typing import Dict, Optional, cast
 
 import pandas as pd  # type: ignore[import]
 
-from tools.trading_pair import TradingPair
-from results import BacktestResult
+from trading.trading_pair import TradingPair
+from trading.results import BacktestResult
 
 NanoPerMin = 1e9