dev progress

apps/pairs_trader.py

@@ -13,6 +13,7 @@ from cvttpy_tools.logger import Log
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 from cvttpy_trading.trading.active_instruments import Instruments
 from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
+from cvttpy_trading.trading.exchange_config import ExchangeAccounts
 # ---
 from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
 from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient, MdSummary
@@ -42,7 +43,7 @@ UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
 
 class PairsTrader(NamedObject):
     config_: CvttAppConfig
-    instruments_: List[JsonDictT]
+    instruments_: List[ExchangeInstrument]
 
     live_strategy_: PtLiveStrategy
     pricer_client_: CvttRestMktDataClient
@@ -72,20 +73,22 @@ class PairsTrader(NamedObject):
         if not instr_str:
             raise ValueError("Pair is required")
         instr_list = instr_str.split(",")
+        
+        assert len(instr_list) == 2, "Only two instruments are supported"        
+
         for instr in instr_list:
             instr_parts = instr.split(":")
             if len(instr_parts) != 2:
                 raise ValueError(f"Invalid pair format: {instr}")   
             instrument_id = instr_parts[0]
             exch_acct = instr_parts[1]
-            exch_inst = Instruments.instance()
+            exch_inst = ExchangeAccounts.instance().get_exchange_instrument(exch_acct=exch_acct, instrument_id=instrument_id)
-            self.instruments_.append({
-                "exch_acct": exch_acct,
-                "instrument_id": instrument_id
-            })  
             
-        assert len(self.instruments_) == 2, "Only two instruments are supported"        
+            assert exch_inst is not None, f"No ExchangeInstrument for {instr}"
-        Log.info(f"{self.fname()} Instruments: {self.instruments_}")
+            exch_inst.user_data_["exch_acct"] = exch_acct
+            self.instruments_.append(exch_inst)
+
+        Log.info(f"{self.fname()} Instruments: {self.instruments_[0].details_short()} <==> {self.instruments_[1].details_short()}")
         
         
         # ------- CREATE CVTT CLIENT -------
@@ -95,7 +98,7 @@ class PairsTrader(NamedObject):
 
 
         # ------- CREATE STRATEGY -------
-        strategy_config = self.config_.get_value("strategy_config", {})
+        strategy_config = self.config_.get_subconfig("strategy_config", Config({}))
         self.live_strategy_ = PtLiveStrategy(
             config=strategy_config,
             instruments=self.instruments_,
@@ -104,7 +107,7 @@ class PairsTrader(NamedObject):
         Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")  
         
         # # ------- CREATE PRICER CLIENT -------
-        self.pricer_client_ = CvttRestMktDataClient(self.config_)
+        self.pricer_client_ = CvttRestMktDataClient(config=self.config_)
         
         # ------- CREATE TRADER CLIENT -------
         # URGENT CREATE TRADER CLIENT
@@ -118,9 +121,10 @@ class PairsTrader(NamedObject):
         # URGENT CREATE REST SERVER for dashboard communications
         
     async def subscribe_md(self) -> None:
-        for inst in self.instruments_:
+        for exch_inst in self.instruments_:
-            exch_acct = inst.get("exch_acct", "?exch_acct?")
+            exch_acct = exch_inst.user_data_.get("exch_acct", "?exch_acct?")
-            instrument_id = inst.get("instrument_id", "?instrument_id?")
+            instrument_id = exch_inst.instrument_id()
+            
             await self.pricer_client_.add_subscription(
                 exch_acct=exch_acct,
                 instrument_id=instrument_id,
@@ -129,7 +133,9 @@ class PairsTrader(NamedObject):
                 callback=self._on_md_summary
             )
 
-    def _on_md_summary(self, history: List[MdSummary]) -> None:
+    async def _on_md_summary(self, history: List[MdSummary]) -> None:
+        # depth = len(history)
+        # if depth < 2:
         pass # URGENT
 
     async def run(self) -> None:

lib/live/mkt_data_client.py

@@ -1,7 +1,7 @@
 from __future__ import annotations
 
 import asyncio
-from typing import Callable, Dict, Any, List, Optional, Set
+from typing import Callable, Coroutine, Dict, Any, List, Optional, Set
 
 import requests
 
@@ -60,7 +60,7 @@ class MdSummary(HistMdBar):
             )
         return res
 
-MdSummaryCallbackT = Callable[[List[MdSummary]], None]
+MdSummaryCallbackT = Callable[[List[MdSummary]], Coroutine]
 
 class MdSummaryCollector(NamedObject):
     sender_: RESTSender
@@ -134,7 +134,7 @@ class MdSummaryCollector(NamedObject):
             Log.error(f"{self.fname()}: Timer is already started")
             return
         self.history_ = self.get_history()
-        self.run_callbacks()
+        await self.run_callbacks()
         self.set_timer()
 
     def set_timer(self):
@@ -158,11 +158,11 @@ class MdSummaryCollector(NamedObject):
             Log.info(f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}")
         else:
             self.history_.append(last)
-            self.run_callbacks()
+            await self.run_callbacks()
         self.set_timer()
         
-    def run_callbacks(self) -> None:
+    async def run_callbacks(self) -> None:
-        [cb(self.history_) for cb in self.callbacks_]
+        [await cb(self.history_) for cb in self.callbacks_]
         
     def stop(self) -> None:
         if self.timer_:
@@ -203,7 +203,7 @@ 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"})
 
-    def _calback(history: List[MdSummary]) -> None:
+    async def _calback(history: List[MdSummary]) -> None:
         Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if  len(history) > 0 else '[]'}")
 
     

lib/pt_strategy/live/live_strategy.py

@@ -1,22 +1,28 @@
 from __future__ import annotations
 
 from dataclasses import dataclass
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List, Optional, cast
 from enum import Enum
 
 import pandas as pd
+
 # ---
 from cvttpy_tools.base import NamedObject
 from cvttpy_tools.app import App
+from cvttpy_tools.config import Config
 from cvttpy_tools.settings.cvtt_types import IntervalSecT
+from cvttpy_tools.timeutils import SecPerHour
+
 # ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
+
 # ---
 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
+
 """
   --config=pair.cfg
   --pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
@@ -26,6 +32,7 @@ from pairs_trading.apps.pairs_trader import PairsTrader
 class TradingInstructionType(Enum):
     TARGET_POSITION = "TARGET_POSITION"
 
+
 @dataclass
 class TradingInstruction(NamedObject):
     type_: TradingInstructionType
@@ -34,7 +41,14 @@ class TradingInstruction(NamedObject):
 
 
 class PtLiveStrategy(NamedObject):
-    config_: Dict[str, Any]
+    config_: Config
+    instruments_: List[ExchangeInstrument]
+
+    interval_sec_: IntervalSecT
+    history_depth_sec_: IntervalSecT
+    open_threshold_: float
+    close_threshold_: float
+
     trading_pair_: TradingPair
     model_data_policy_: ModelDataPolicy
     pairs_trader_: PairsTrader
@@ -42,49 +56,69 @@ class PtLiveStrategy(NamedObject):
     # ti_sender_: TradingInstructionsSender
 
     # for presentation: history of prediction values and trading signals
-    predictions_: pd.DataFrame
+    predictions_df_: pd.DataFrame
-    trading_signals_: pd.DataFrame
+    trading_signals_df_: pd.DataFrame
 
     def __init__(
         self,
-        config: Dict[str, Any],
+        config: Config,
-        instruments: List[Dict[str, str]],
+        instruments: List[ExchangeInstrument],
         pairs_trader: PairsTrader,
     ):
 
-        self.config_ = config
+        self.trading_pair_ = TradingPair(
-        self.trading_pair_ = TradingPair(config=config, instruments=instruments)
+            config=cast(Dict[str, Any], config.data()),
-        self.predictions_ = pd.DataFrame()
+            instruments=[{"instrument_id": ei.instrument_id()} for ei in instruments],
-        self.trading_signals_ = pd.DataFrame()
+        )
+        self.predictions_df_ = pd.DataFrame()
+        self.trading_signals_df_ = pd.DataFrame()
         self.pairs_trader_ = pairs_trader
 
         import copy
 
         # modified config must be passed to PtMarketData
-        config_copy = copy.deepcopy(config)
+        self.config_ = Config(json_src=copy.deepcopy(config.data()))
-        config_copy["instruments"] = instruments
-        self.config_ = config_copy
 
-        App.instance().add_call(stage=App.Stage.Config, func=self._on_config(), can_run_now=True)
+        self.instruments_ = instruments
+
+        App.instance().add_call(
+            stage=App.Stage.Config, func=self._on_config(), can_run_now=True
+        )
 
     async def _on_config(self) -> None:
+        self.interval_sec_ = self.config_.get_value("interval_sec", 0)
+        self.history_depth_sec_ = (
+            self.config_.get_value("history_depth_hours", 0) * SecPerHour
+        )
+
         await self.pairs_trader_.subscribe_md()
 
         self.model_data_policy_ = ModelDataPolicy.create(
             self.config_, is_real_time=True, pair=self.trading_pair_
         )
-        self.open_threshold_ = self.config_.get("dis-equilibrium_open_trshld", 0.0)
+        self.open_threshold_ = self.config_.get_value(
-        assert self.open_threshold_ > 0, "open_threshold must be greater than 0"
+            "dis-equilibrium_open_trshld", 0.0
-        self.close_threshold_ = self.config_.get("dis-equilibrium_close_trshld", 0.0)
+        )
-        assert self.close_threshold_ > 0, "close_threshold must be greater than 0"
+        self.close_threshold_ = self.config_.get_value(
+            "dis-equilibrium_close_trshld", 0.0
+        )
+
+        assert (
+            self.open_threshold_ > 0
+        ), "dis-equilibrium_open_trshld must be greater than 0"
+        assert (
+            self.close_threshold_ > 0
+        ), "dis-equilibrium_close_trshld must be greater than 0"
 
     def __repr__(self) -> str:
         return f"{self.classname()}: trading_pair={self.trading_pair_}, mdp={self.model_data_policy_.__class__.__name__}, "
 
-    async def on_mkt_data_hist_snapshot(self, hist_aggr: List[MdTradesAggregate]) -> None:
+    async def on_mkt_data_hist_snapshot(
+        self, hist_aggr: List[MdTradesAggregate]
+    ) -> None:
         # Log.info(f"on_mkt_data_hist_snapshot: {aggr}")
         # await self.pt_mkt_data_.on_mkt_data_hist_snapshot(snapshot=aggr)
-        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:
         # if market_data_df is not None:
@@ -105,18 +139,18 @@ class PtLiveStrategy(NamedObject):
         #     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
+        pass  # URGENT
 
     def interval_sec(self) -> IntervalSecT:
-        return 60 # URGENT use config
+        return self.interval_sec_
 
     def history_depth_sec(self) -> IntervalSecT:
-        return 3600 * 60 * 2 # URGENT use config
+        return self.history_depth_sec_
 
     async def _send_trading_instructions(
         self, trading_instructions: List[TradingInstruction]
     ) -> None:
-        pass # URGENT implement _send_trading_instructions
+        pass  # URGENT implement _send_trading_instructions
 
     def _create_trading_instructions(
         self, prediction: Prediction, last_row: pd.Series
@@ -135,7 +169,7 @@ class PtLiveStrategy(NamedObject):
         elif pair.is_open():
             if abs_scaled_disequilibrium <= self.close_threshold_:
                 trd_instructions = self._create_close_trade_instructions(
-                    pair, row=last_row #, prediction=prediction
+                    pair, row=last_row  # , prediction=prediction
                 )
             elif pair.to_stop_close_conditions(predicted_row=last_row):
                 trd_instructions = self._create_close_trade_instructions(
@@ -204,16 +238,15 @@ class PtLiveStrategy(NamedObject):
             "signed_scaled_disequilibrium": scaled_disequilibrium,
             # "pair": pair,
         }
-        ti: List[TradingInstruction] =self._create_trading_instructions(
+        ti: List[TradingInstruction] = self._create_trading_instructions(
-                    prediction=prediction, last_row=row
+            prediction=prediction, last_row=row
         )
         return ti
 
-
     def _create_close_trade_instructions(
-        self, pair: TradingPair, row: pd.Series #, prediction: Prediction
+        self, pair: TradingPair, row: pd.Series  # , prediction: Prediction
     ) -> List[TradingInstruction]:
-        return [] # URGENT implement _create_close_trade_instructions
+        return []  # URGENT implement _create_close_trade_instructions
 
     def _handle_outstanding_positions(self) -> Optional[pd.DataFrame]:
         trades = None
@@ -223,7 +256,7 @@ class PtLiveStrategy(NamedObject):
         if pair.user_data_["state"] == PairState.OPEN:
             print(f"{pair}:  *** Position is NOT CLOSED. ***")
             # outstanding positions
-            if self.config_["close_outstanding_positions"]:
+            if self.config_.key_exists("close_outstanding_positions"):
                 close_position_row = pd.Series(pair.market_data_.iloc[-2])
                 # close_position_row["disequilibrium"] = 0.0
                 # close_position_row["scaled_disequilibrium"] = 0.0

lib/pt_strategy/model_data_policy.py

@@ -8,6 +8,7 @@ from typing import Any, Dict, Optional, cast
 import numpy as np
 import pandas as pd
 
+from cvttpy_tools.config import Config
 
 @dataclass
 class DataWindowParams:
@@ -16,22 +17,22 @@ class DataWindowParams:
 
 
 class ModelDataPolicy(ABC):
-    config_: Dict[str, Any]
+    config_: Config
     current_data_params_: DataWindowParams
     count_: int
     is_real_time_: bool
 
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         self.config_ = config
-        training_size = config.get("training_size", 120)
+        training_size = config.get_value("training_size", 120)
         training_start_index = 0
         if kwargs.get("is_real_time", False):
             training_size = 120
             training_start_index = 0
         else:
-            training_size = config.get("training_size", 120)
+            training_size = config.get_value("training_size", 120)
         self.current_data_params_ = DataWindowParams(
-            training_size=config.get("training_size", 120),
+            training_size=config.get_value("training_size", 120),
             training_start_index=0,
         )
         self.count_ = 0
@@ -44,10 +45,10 @@ class ModelDataPolicy(ABC):
         return self.current_data_params_
 
     @staticmethod
-    def create(config: Dict[str, Any], *args: Any, **kwargs: Any) -> ModelDataPolicy:
+    def create(config: Config, *args: Any, **kwargs: Any) -> ModelDataPolicy:
         import importlib
 
-        model_data_policy_class_name = config.get("model_data_policy_class", None)
+        model_data_policy_class_name = config.get_value("model_data_policy_class", None)
         assert model_data_policy_class_name is not None
         module_name, class_name = model_data_policy_class_name.rsplit(".", 1)
         module = importlib.import_module(module_name)
@@ -58,7 +59,7 @@ class ModelDataPolicy(ABC):
 
 
 class RollingWindowDataPolicy(ModelDataPolicy):
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
         self.count_ = 1
 
@@ -80,16 +81,16 @@ class OptimizedWndDataPolicy(ModelDataPolicy, ABC):
     prices_a_: np.ndarray
     prices_b_: np.ndarray
 
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
         assert (
             kwargs.get("pair") is not None
         ), "pair must be provided"
         assert (
-            "min_training_size" in config and "max_training_size" in config
+            "min_training_size" in config.data() and "max_training_size" in config.data()
         ), "min_training_size and max_training_size must be provided"
-        self.min_training_size_ = cast(int, config.get("min_training_size"))
+        self.min_training_size_ = cast(int, config.get_value("min_training_size"))
-        self.max_training_size_ = cast(int, config.get("max_training_size"))
+        self.max_training_size_ = cast(int, config.get_value("max_training_size"))
 
         from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
         self.pair_ = cast(TradingPair, kwargs.get("pair"))        
@@ -133,7 +134,7 @@ class EGOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     # Engle-Granger cointegration test
     *** VERY SLOW ***
     '''
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams:
@@ -162,7 +163,7 @@ class EGOptimizedWndDataPolicy(OptimizedWndDataPolicy):
 
 class ADFOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     # Augmented Dickey-Fuller test
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams:
@@ -208,7 +209,7 @@ class ADFOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     
 class JohansenOptdWndDataPolicy(OptimizedWndDataPolicy):
     # Johansen test
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams:

lib/pt_strategy/research_strategy.py

@@ -3,6 +3,8 @@ from __future__ import annotations
 from typing import Any, Dict, List, Optional
 
 import pandas as pd
+from cvttpy_tools.config import Config
+
 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
@@ -41,7 +43,7 @@ class PtResearchStrategy:
         self.pt_mkt_data_ = ResearchMarketData(config=config_copy)
         self.pt_mkt_data_.load()
         self.model_data_policy_ = ModelDataPolicy.create(
-            config, mkt_data=self.pt_mkt_data_.market_data_df_, pair=self.trading_pair_
+            Config(config_copy), mkt_data=self.pt_mkt_data_.market_data_df_, pair=self.trading_pair_
         )
 
     def outstanding_positions(self) -> List[Dict[str, Any]]: