dev progress
This commit is contained in:
parent
69a0b19e9f
commit
842eb3ec62
@ -1,23 +1,21 @@
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from __future__ import annotations
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from functools import partial
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from typing import Callable, Coroutine, Dict, List
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from typing import Callable, Coroutine, List
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from cvttpy_tools.settings.cvtt_types import JsonDictT
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from cvttpy_tools.app import App
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from cvttpy_tools.config import Config
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from cvttpy_tools.base import NamedObject
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from cvttpy_tools.config import CvttAppConfig
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from cvttpy_tools.logger import Log
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from cvttpy_tools.settings.cvtt_types import BookIdT
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# ---
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from cvttpy_trading.trading.instrument import ExchangeInstrument
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from cvttpy_trading.trading.active_instruments import Instruments
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from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
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from cvttpy_trading.trading.exchange_config import ExchangeAccounts
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# ---
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from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
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from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient, MdSummary
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from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender
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from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient
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from pairs_trading.lib.live.ti_sender import TradingInstructionsSender
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# import sys
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# print("PYTHONPATH directories:")
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@ -25,17 +23,7 @@ from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSend
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# print(path)
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'''
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Config
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=======
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{
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"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456",
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"ti_config": {
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TODO
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},
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"strategy_config": {
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TODO
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}
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}
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config http://cloud16.cvtt.vpn/apps/pairs_trading
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'''
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HistMdCbT = Callable[[List[MdTradesAggregate]], Coroutine]
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@ -44,6 +32,7 @@ UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
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class PairsTrader(NamedObject):
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config_: CvttAppConfig
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instruments_: List[ExchangeInstrument]
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book_id_: BookIdT
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live_strategy_: PtLiveStrategy
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pricer_client_: CvttRestMktDataClient
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@ -62,11 +51,18 @@ class PairsTrader(NamedObject):
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),
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)
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App.instance().add_cmdline_arg(
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"--book_id",
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type=str,
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required=True,
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help="Book ID"
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)
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App.instance().add_call(App.Stage.Config, self._on_config())
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App.instance().add_call(App.Stage.Run, self.run())
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async def _on_config(self) -> None:
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self.config_ = CvttAppConfig.instance()
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self.book_id_ = App.instance().get_argument(name="book_id")
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# ------- PARSE INSTRUMENTS -------
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instr_str = App.instance().get_argument("pair", "")
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@ -90,13 +86,6 @@ class PairsTrader(NamedObject):
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Log.info(f"{self.fname()} Instruments: {self.instruments_[0].details_short()} <==> {self.instruments_[1].details_short()}")
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# ------- CREATE CVTT CLIENT -------
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ti_config = self.config_.get_subconfig("ti_config", Config(json_src={}))
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self.ti_sender_ = TradingInstructionsSender(config=ti_config)
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Log.info(f"{self.fname()} TI client created: {self.ti_sender_}")
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# ------- CREATE STRATEGY -------
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strategy_config = self.config_.get_subconfig("strategy_config", Config({}))
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self.live_strategy_ = PtLiveStrategy(
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@ -108,13 +97,11 @@ class PairsTrader(NamedObject):
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# # ------- CREATE PRICER CLIENT -------
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self.pricer_client_ = CvttRestMktDataClient(config=self.config_)
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Log.info(f"{self.fname()} MD client created: {self.pricer_client_}")
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# ------- CREATE TRADER CLIENT -------
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# URGENT CREATE TRADER CLIENT
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# (send TradingInstructions)
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# ti_config = self.config_.get_subconfig("ti_config", {})
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# self.ti_sender_ = TradingInstructionsSender(config=ti_config)
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# Log.info(f"{self.fname()} TI client created: {self.ti_sender_}")
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self.ti_sender_ = TradingInstructionsSender(config=self.config_, pairs_trader=self)
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Log.info(f"{self.fname()} TI client created: {self.ti_sender_}")
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# # ------- CREATE REST SERVER -------
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@ -133,10 +120,9 @@ class PairsTrader(NamedObject):
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callback=self._on_md_summary
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)
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async def _on_md_summary(self, history: List[MdSummary]) -> None:
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# depth = len(history)
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# if depth < 2:
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pass # URGENT
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async def _on_md_summary(self, history: List[MdTradesAggregate]) -> None:
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# Snapshot or update?
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await self.live_strategy_.on_mkt_data_hist_snapshot(hist_aggr=history)
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async def run(self) -> None:
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Log.info(f"{self.fname()} ...")
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@ -10,11 +10,16 @@ from cvttpy_tools.app import App
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from cvttpy_tools.logger import Log
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from cvttpy_tools.config import Config
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from cvttpy_tools.timer import Timer
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from cvttpy_tools.timeutils import NanosT, current_seconds
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from cvttpy_tools.timeutils import NanosT, current_seconds, NanoPerSec
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from cvttpy_tools.settings.cvtt_types import InstrumentIdT, IntervalSecT
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# ---
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from cvttpy_trading.trading.mkt_data.historical_md import HistMdBar
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from cvttpy_trading.trading.instrument import ExchangeInstrument
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from cvttpy_trading.trading.accounting.exch_account import ExchangeAccountNameT
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from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
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from cvttpy_trading.trading.exchange_config import ExchangeAccounts
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# ---
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from pairs_trading.lib.live.rest_client import RESTSender
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@ -60,16 +65,33 @@ class MdSummary(HistMdBar):
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)
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return res
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MdSummaryCallbackT = Callable[[List[MdSummary]], Coroutine]
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def create_md_trades_aggregate(
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self,
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exch_acct: ExchangeAccountNameT,
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exch_inst: ExchangeInstrument,
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interval_sec: IntervalSecT,
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) -> MdTradesAggregate:
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res = MdTradesAggregate(
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exch_acct=exch_acct,
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exch_inst=exch_inst,
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interval_ns=interval_sec * NanoPerSec,
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)
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res.set(mdbar=self)
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return res
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MdSummaryCallbackT = Callable[[List[MdTradesAggregate]], Coroutine]
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class MdSummaryCollector(NamedObject):
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sender_: RESTSender
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exch_acct_: ExchangeAccountNameT
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instrument_id_: InstrumentIdT
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exch_inst_: ExchangeInstrument
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interval_sec_: IntervalSecT
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history_depth_sec_: IntervalSecT
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history_: List[MdSummary]
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history_: List[MdTradesAggregate]
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callbacks_: List[MdSummaryCallbackT]
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timer_: Optional[Timer]
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@ -83,7 +105,12 @@ class MdSummaryCollector(NamedObject):
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) -> None:
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self.sender_ = sender
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self.exch_acct_ = exch_acct
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self.instrument_id_ = instrument_id
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exch_inst = ExchangeAccounts.instance().get_exchange_instrument(
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exch_acct=exch_acct, instrument_id=instrument_id
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)
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assert exch_inst is not None, f"Unable to find Exchange instrument for {exch_acct}/{instrument_id}"
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self.exch_inst_ = exch_inst
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self.interval_sec_ = interval_sec
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self.history_depth_sec_ = history_depth_sec
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@ -95,12 +122,19 @@ class MdSummaryCollector(NamedObject):
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self.callbacks_.append(cb)
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def __hash__(self):
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return hash((self.exch_acct_, self.instrument_id_, self.interval_sec_, self.history_depth_sec_))
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return hash(
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(
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self.exch_acct_,
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self.exch_inst_.instrument_id(),
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self.interval_sec_,
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self.history_depth_sec_,
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)
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)
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def rqst_data(self) -> Dict[str, Any]:
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return {
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"exch_acct": self.exch_acct_,
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"instrument_id": self.instrument_id_,
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"instrument_id": self.exch_inst_.instrument_id(),
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"interval_sec": self.interval_sec_,
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"history_depth_sec": self.history_depth_sec_,
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}
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@ -110,7 +144,9 @@ class MdSummaryCollector(NamedObject):
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endpoint="md_summary", post_body=self.rqst_data()
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)
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if response.status_code not in (200, 201):
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Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
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Log.error(
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f"{self.fname()}: Received error: {response.status_code} - {response.text}"
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)
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return []
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return MdSummary.from_REST_response(response=response)
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@ -121,7 +157,9 @@ class MdSummaryCollector(NamedObject):
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endpoint="md_summary", post_body=rqst_data
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)
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if response.status_code not in (200, 201):
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Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
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Log.error(
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f"{self.fname()}: Received error: {response.status_code} - {response.text}"
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)
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return None
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res = MdSummary.from_REST_response(response=response)
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return None if len(res) == 0 else res[-1]
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@ -133,7 +171,15 @@ class MdSummaryCollector(NamedObject):
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if self.timer_:
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Log.error(f"{self.fname()}: Timer is already started")
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return
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self.history_ = self.get_history()
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mdsum_hist = self.get_history()
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self.history_ = [
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mdsum.create_md_trades_aggregate(
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exch_acct=self.exch_acct_,
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exch_inst=self.exch_inst_,
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interval_sec=self.interval_sec_,
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)
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for mdsum in mdsum_hist
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]
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await self.run_callbacks()
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self.set_timer()
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@ -154,10 +200,12 @@ class MdSummaryCollector(NamedObject):
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last: Optional[MdSummary] = self.get_last()
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if not last:
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Log.warning(f"{self.fname()}: did not get last update")
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elif not self.is_empty() and last.ts_ns_ <= self.history_[-1].ts_ns_:
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Log.info(f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}")
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elif not self.is_empty() and last.ts_ns_ <= self.history_[-1].time_ns_:
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Log.info(
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f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}"
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)
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else:
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self.history_.append(last)
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self.history_.append(last.create_md_trades_aggregate(exch_acct=self.exch_acct_, exch_inst=self.exch_inst_, interval_sec=self.interval_sec_))
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await self.run_callbacks()
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self.set_timer()
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@ -169,6 +217,7 @@ class MdSummaryCollector(NamedObject):
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self.timer_.cancel()
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self.timer_ = None
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class CvttRestMktDataClient(NamedObject):
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config_: Config
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sender_: RESTSender
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@ -181,12 +230,13 @@ class CvttRestMktDataClient(NamedObject):
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self.sender_ = RESTSender(base_url=base_url)
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self.collectors_ = set()
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async def add_subscription(self,
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async def add_subscription(
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self,
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exch_acct: ExchangeAccountNameT,
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instrument_id: InstrumentIdT,
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interval_sec: IntervalSecT,
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history_depth_sec: IntervalSecT,
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callback: MdSummaryCallbackT
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callback: MdSummaryCallbackT,
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) -> None:
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mdsc = MdSummaryCollector(
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sender=self.sender_,
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@ -199,13 +249,15 @@ class CvttRestMktDataClient(NamedObject):
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self.collectors_.add(mdsc)
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await mdsc.start()
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if __name__ == "__main__":
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config = Config(json_src={"cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456"})
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# config = Config(json_src={"cvtt_base_url": "http://dev-server-02.cvtt.vpn:23456"})
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async def _calback(history: List[MdSummary]) -> None:
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Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}")
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async def _calback(history: List[MdTradesAggregate]) -> None:
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Log.info(
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f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if len(history) > 0 else '[]'}"
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)
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async def __run() -> None:
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Log.info("Starting...")
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@ -215,7 +267,7 @@ if __name__ == "__main__":
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instrument_id="PAIR-BTC-USD",
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interval_sec=60,
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history_depth_sec=24 * 3600,
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callback=_calback
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callback=_calback,
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)
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while True:
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await asyncio.sleep(5)
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56
lib/live/ti_sender.py
Normal file
56
lib/live/ti_sender.py
Normal file
@ -0,0 +1,56 @@
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from enum import Enum
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import requests
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# import aiohttp
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from cvttpy_tools.base import NamedObject
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from cvttpy_tools.config import Config
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from cvttpy_tools.logger import Log
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# ---
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from cvttpy_trading.trading.trading_instructions import TradingInstructions
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# ---
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from pairs_trading.lib.live.rest_client import RESTSender
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from pairs_trading.apps.pairs_trader import PairsTrader
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class TradingInstructionsSender(NamedObject):
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config_: Config
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sender_: RESTSender
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pairs_trader_: PairsTrader
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class TradingInstType(str, Enum):
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TARGET_POSITION = "TARGET_POSITION"
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DIRECT_ORDER = "DIRECT_ORDER"
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MARKET_MAKING = "MARKET_MAKING"
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NONE = "NONE"
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# config_: Config
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# ti_method_: str
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# ti_url_: str
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# health_check_method_: str
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# health_check_url_: str
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def __init__(self, config: Config, pairs_trader: PairsTrader) -> None:
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self.config_ = config
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base_url = self.config_.get_value("cvtt_base_url", default="")
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assert base_url
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self.sender_ = RESTSender(base_url=base_url)
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self.pairs_trader_ = pairs_trader
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self.book_id_ = self.pairs_trader_.book_id_
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assert self.book_id_, "book_id is required"
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self.strategy_id_ = config.get_value("strategy_id", "")
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assert self.strategy_id_, "strategy_id is required"
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async def send_trading_instructions(self, ti: TradingInstructions) -> None:
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response: requests.Response = self.sender_.send_post(
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endpoint="trading_instructions", post_body=ti.to_dict()
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)
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if response.status_code not in (200, 201):
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Log.error(
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f"{self.fname()}: Received error: {response.status_code} - {response.text}"
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)
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@ -120,7 +120,6 @@ class PtLiveStrategy(NamedObject):
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# await self.pt_mkt_data_.on_mkt_data_hist_snapshot(snapshot=aggr)
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pass # URGENT PtiveStrategy.on_mkt_data_hist_snapshot()
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async def on_mkt_data_update(self, aggr: MdTradesAggregate) -> None:
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# if market_data_df is not None:
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# self.trading_pair_.market_data_ = market_data_df
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# self.model_data_policy_.advance()
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@ -139,7 +138,6 @@ class PtLiveStrategy(NamedObject):
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# if len(trading_instructions) > 0:
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# await self._send_trading_instructions(trading_instructions)
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# # trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
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pass # URGENT
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def interval_sec(self) -> IntervalSecT:
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return self.interval_sec_
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@ -1,86 +0,0 @@
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import time
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from enum import Enum
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from typing import Tuple
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# import aiohttp
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from cvttpy_tools.app import App
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from cvttpy_tools.base import NamedObject
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from cvttpy_tools.config import Config
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from cvttpy_tools.logger import Log
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from cvttpy_tools.timer import Timer
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from cvttpy_tools.timeutils import NanoPerSec
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from cvttpy_tools.web.rest_client import REST_RequestProcessor
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class TradingInstructionsSender(NamedObject):
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class TradingInstType(str, Enum):
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TARGET_POSITION = "TARGET_POSITION"
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DIRECT_ORDER = "DIRECT_ORDER"
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MARKET_MAKING = "MARKET_MAKING"
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NONE = "NONE"
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|
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config_: Config
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ti_method_: str
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ti_url_: str
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health_check_method_: str
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health_check_url_: str
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def __init__(self, config: Config):
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self.config_ = config
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base_url = config.get_value("url", "ws://localhost:12346/ws")
|
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self.book_id_ = config.get_value("book_id", "")
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assert self.book_id_, "book_id is required"
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self.strategy_id_ = config.get_value("strategy_id", "")
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assert self.strategy_id_, "strategy_id is required"
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endpoint_uri = config.get_value("ti_endpoint/url", "/trading_instructions")
|
||||
endpoint_method = config.get_value("ti_endpoint/method", "POST")
|
||||
|
||||
health_check_uri = config.get_value("health_check_endpoint/url", "/ping")
|
||||
health_check_method = config.get_value("health_check_endpoint/method", "GET")
|
||||
|
||||
|
||||
|
||||
self.ti_method_ = endpoint_method
|
||||
self.ti_url_ = f"{base_url}{endpoint_uri}"
|
||||
|
||||
self.health_check_method_ = health_check_method
|
||||
self.health_check_url_ = f"{base_url}{health_check_uri}"
|
||||
|
||||
App.instance().add_call(App.Stage.Start, self._set_health_check_timer(), can_run_now=True)
|
||||
|
||||
async def _set_health_check_timer(self) -> None:
|
||||
# TODO: configurable interval
|
||||
self.health_check_timer_ = Timer(is_periodic=True, period_interval=15, start_in_sec=0, func=self._health_check)
|
||||
Log.info(f"{self.fname()} Health check timer set to 15 seconds")
|
||||
|
||||
async def _health_check(self) -> None:
|
||||
rqst = REST_RequestProcessor(method=self.health_check_method_, url=self.health_check_url_)
|
||||
async with rqst as (status, msg, headers):
|
||||
if status != 200:
|
||||
Log.error(f"{self.fname()} CVTT Service is not responding")
|
||||
|
||||
async def send_tgt_positions(self, strength: float, base_asset: str, quote_asset: str) -> Tuple[int, str]:
|
||||
instr = {
|
||||
"type": self.TradingInstType.TARGET_POSITION.value,
|
||||
"book_id": self.book_id_,
|
||||
"strategy_id": self.strategy_id_,
|
||||
"issued_ts_ns": int(time.time() * NanoPerSec),
|
||||
"data": {
|
||||
"strength": strength,
|
||||
"base_asset": base_asset,
|
||||
"quote_asset": quote_asset,
|
||||
"user_data": {},
|
||||
},
|
||||
}
|
||||
|
||||
rqst = REST_RequestProcessor(method=self.ti_method_, url=self.ti_url_, params=instr)
|
||||
async with rqst as (status, msg, headers):
|
||||
if status != 200:
|
||||
raise ConnectionError(f"Failed to send trading instructions: {msg}")
|
||||
return (status, msg)
|
||||
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user