progress. Initial untested version

lib/pt_strategy/live/live_strategy.py

@@ -1,8 +1,6 @@
 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
 
@@ -10,15 +8,14 @@ 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 BookIdT, IntervalSecT
+from cvttpy_tools.settings.cvtt_types import IntervalSecT
-from cvttpy_tools.timeutils import SecPerHour, current_nanoseconds
+from cvttpy_tools.timeutils import SecPerHour, current_nanoseconds, NanoPerSec
 from cvttpy_tools.logger import Log
 
 # ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
 from cvttpy_trading.trading.trading_instructions import TradingInstructions
-from cvttpy_trading.trading.accounting.cvtt_book import CvttBook
 from cvttpy_trading.trading.trading_instructions import TargetPositionSignal
 
 # ---
@@ -29,23 +26,6 @@ from pairs_trading.apps.pairs_trader import PairsTrader
 from pairs_trading.lib.pt_strategy.pt_market_data import LiveMarketData
 
 
-"""
-  --config=pair.cfg
-  --pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
-"""
-
-
-# class TradingInstructionType(Enum):
-#     TARGET_POSITION = "TARGET_POSITION"
-
-
-# @dataclass
-# class TradingInstruction(NamedObject):
-#     type_: TradingInstructionType
-#     exch_instr_: ExchangeInstrument
-#     specifics_: Dict[str, Any]
-
-
 class PtLiveStrategy(NamedObject):
     config_: Config
     instruments_: List[ExchangeInstrument]
@@ -59,12 +39,9 @@ class PtLiveStrategy(NamedObject):
     model_data_policy_: ModelDataPolicy
     pairs_trader_: PairsTrader
 
-    # ti_sender_: TradingInstructionsSender
-
     # for presentation: history of prediction values and trading signals
     predictions_df_: pd.DataFrame
     trading_signals_df_: pd.DataFrame
-    # book_: CvttBook
 
     def __init__(
         self,
@@ -155,7 +132,15 @@ class PtLiveStrategy(NamedObject):
             await self._send_trading_instructions(trading_instructions)
 
     def _is_md_actual(self, hist_aggr: List[MdTradesAggregate]) -> bool:
-        return False  # URGENT _is_md_actual
+        LAG_THRESHOLD = 5 * NanoPerSec
+        
+        if len(hist_aggr) == 0:
+            Log.warning(f"{self.fname()} list of aggregates IS EMPTY")
+            return False
+        # MAYBE check market data length
+        if current_nanoseconds() - hist_aggr[-1].time_ns_ > LAG_THRESHOLD:
+            return False
+        return True
 
     def _create_md_df(self, hist_aggr: List[MdTradesAggregate]) -> pd.DataFrame:
         """
@@ -259,8 +244,8 @@ class PtLiveStrategy(NamedObject):
 
         return trd_instructions
     
-    def _strength(self, scaled_disequilibrium) -> float:
+    def _strength(self, scaled_disequilibrium: float) -> float:
-        # URGENT PtLiveStrategy._strength()
+        # TODO PtLiveStrategy._strength()
         return 1.0
 
     def _create_open_trade_instructions(

lib/pt_strategy/results.py

@@ -4,11 +4,13 @@ from datetime import date, datetime
 from typing import Any, Dict, List, Optional, Tuple
 
 import pandas as pd
+# ---
+from cvttpy_tools.config import Config
+# ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
-
+# ---
 from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
 
-
 # Recommended replacement adapters and converters for Python 3.12+
 # From: https://docs.python.org/3/library/sqlite3.html#sqlite3-adapter-converter-recipes
 def adapt_date_iso(val: date) -> str:
@@ -20,12 +22,10 @@ def adapt_datetime_iso(val: datetime) -> str:
     """Adapt datetime.datetime to timezone-naive ISO 8601 date."""
     return val.isoformat()
 
-
 def convert_date(val: bytes) -> date:
     """Convert ISO 8601 date to datetime.date object."""
     return datetime.fromisoformat(val.decode()).date()
 
-
 def convert_datetime(val: bytes) -> datetime:
     """Convert ISO 8601 datetime to datetime.datetime object."""
     return datetime.fromisoformat(val.decode())
@@ -120,7 +120,7 @@ def create_result_database(db_path: str) -> None:
 def store_config_in_database(
     db_path: str,
     config_file_path: str,
-    config: Dict,
+    config: Config,
     datafiles: List[Tuple[str, str]],
     instruments: List[ExchangeInstrument],
 ) -> None:
@@ -137,7 +137,7 @@ def store_config_in_database(
         cursor = conn.cursor()
 
         # Convert config to JSON string
-        config_json = json.dumps(config, indent=2, default=str)
+        config_json = json.dumps(config.data(), indent=2, default=str)
 
         # Convert lists to comma-separated strings for storage
         datafiles_str = ", ".join([f"{datafile}" for _, datafile in datafiles])
@@ -206,9 +206,9 @@ class PairResearchResult:
     trades_: Dict[DayT, pd.DataFrame]
     outstanding_positions_: Dict[DayT, List[OutstandingPositionT]]
     symbol_roundtrip_trades_: Dict[str, List[Dict[str, Any]]]
-    
+    config_: Config
 
-    def __init__(self, config: Dict[str, Any]) -> None:
+    def __init__(self, config: Config) -> None:
         self.config_ = config
         self.trades_ = {}
         self.outstanding_positions_ = {}
@@ -220,13 +220,6 @@ class PairResearchResult:
         self.trades_[day] = trades
         self.outstanding_positions_[day] = outstanding_positions
 
-    # def all_trades(self) -> List[TradeT]:
-    #     """Get all trades across all days as a flat list."""
-    #     all_trades_list: List[TradeT] = []
-    #     for day_trades in self.trades_.values():
-    #         all_trades_list.extend(day_trades.to_dict(orient="records"))
-    #     return all_trades_list
-    
     def outstanding_positions(self) -> List[OutstandingPositionT]:
         """Get all outstanding positions across all days as a flat list."""
         res: List[Dict[str, Any]] = []

lib/pt_strategy/trading_pair.py

@@ -27,22 +27,6 @@ class PairState(Enum):
     CLOSE_STOP_PROFIT = 6
 
 
-# def get_symbol(instrument: Dict[str, str]) -> str:
-#     if "symbol" in instrument:
-#         return instrument["symbol"]
-#     elif "instrument_id" in instrument:
-#         instrument_id = instrument["instrument_id"]
-#         instrument_pfx = instrument_id[: instrument_id.find("-") + 1]
-#         symbol = instrument_id[len(instrument_pfx) :]
-#         instrument["symbol"] = symbol
-#         instrument["instrument_id_pfx"] = instrument_pfx
-#         return symbol
-#     else:
-#         raise ValueError(
-#             f"Invalid instrument: {instrument}, missing symbol or instrument_id"
-#         )
-
-
 class TradingPair(NamedObject, ABC):
     config_: Config
     model_: Any # "PairsTradingModel"
@@ -67,13 +51,12 @@ class TradingPair(NamedObject, ABC):
         self.instruments_[0].user_data_["symbol"] = instruments[0].instrument_id().split("-", 1)[1]
         self.instruments_[1].user_data_["symbol"] = instruments[1].instrument_id().split("-", 1)[1]        
         
-    def __repr__(self) -> str:
+    def run(self, market_data: pd.DataFrame, data_params: DataWindowParams) -> Prediction:  # type: ignore[assignment]
-        return (
+        self.market_data_ = market_data[
-            f"{self.__class__.__name__}:"
+            data_params.training_start_index_ : data_params.training_start_index_
-            f" symbol_a={self.symbol_a()},"
+            + data_params.training_size_
-            f" symbol_b={self.symbol_b()},"
+        ]
-            f" model={self.model_.__class__.__name__}"
+        return self.model_.predict(pair=self)
-        )
 
     def colnames(self) -> List[str]:
         return [
@@ -91,9 +74,15 @@ class TradingPair(NamedObject, ABC):
 
     def get_instrument_b(self) -> ExchangeInstrument:
         return self.instruments_[1]
+
+    def __repr__(self) -> str:
+        return (
+            f"{self.__class__.__name__}:"
+            f" symbol_a={self.symbol_a()},"
+            f" symbol_b={self.symbol_b()},"
+            f" model={self.model_.__class__.__name__}"
+        )
     
-
-
 class ResearchTradingPair(TradingPair):
 
     def __init__(
@@ -109,8 +98,6 @@ class ResearchTradingPair(TradingPair):
             "state": PairState.INITIAL,
         }
         
-        # URGENT set exchange instruments for the pair
-
     def is_closed(self) -> bool:
         return self.user_data_["state"] in [
             PairState.CLOSE,
@@ -228,13 +215,6 @@ class ResearchTradingPair(TradingPair):
             }
         )
 
-    def run(self, market_data: pd.DataFrame, data_params: DataWindowParams) -> Prediction:  # type: ignore[assignment]
-        self.market_data_ = market_data[
-            data_params.training_start_index_ : data_params.training_start_index_
-            + data_params.training_size_
-        ]
-        return self.model_.predict(pair=self)
-
 class LiveTradingPair(TradingPair):
 
     def __init__(self, config: Config, instruments: List[ExchangeInstrument]):

lib/tools/filetools.py

@@ -2,7 +2,7 @@ import os
 import glob
 from typing import Dict, List, Tuple
 # ---
-from cvttpy_tools.config import CvttAppConfig
+from cvttpy_tools.config import Config
 # ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 
@@ -10,13 +10,13 @@ DayT = str
 DataFileNameT = str
 
 def resolve_datafiles(
-    config: Dict, date_pattern: str, instruments: List[ExchangeInstrument]
+    config: Config, date_pattern: str, instruments: List[ExchangeInstrument]
 ) -> List[Tuple[DayT, DataFileNameT]]:
     resolved_files: List[Tuple[DayT, DataFileNameT]] = []
     for exch_inst in instruments:
         pattern = date_pattern
         inst_type = exch_inst.user_data_.get("instrument_type", "?instrument_type?")
-        data_dir = config["market_data_loading"][inst_type]["data_directory"]
+        data_dir = config.get_value(f"market_data_loading/{inst_type}/data_directory")
         if "*" in pattern or "?" in pattern:
             # Handle wildcards
             if not os.path.isabs(pattern):

research/backtest.py

@@ -58,7 +58,7 @@ class Runner(NamedObject):
         # Resolve data files (CLI takes priority over config)
         instruments: List[ExchangeInstrument] = self._get_instruments()
         datafiles = resolve_datafiles(
-            config=CvttAppConfig.instance().to_dict(),
+            config=CvttAppConfig.instance(),
             date_pattern=App.instance().get_argument("date_pattern"),
             instruments=instruments,
         )
@@ -77,7 +77,7 @@ class Runner(NamedObject):
         is_config_stored = False
         # Process each data file
 
-        results = PairResearchResult(config=CvttAppConfig.instance().to_dict())
+        results = PairResearchResult(config=CvttAppConfig.instance())
         for day in sorted(days):
             md_datafiles = [datafile for md_day, datafile in datafiles if md_day == day]
             if not all([os.path.exists(datafile) for datafile in md_datafiles]):
@@ -89,7 +89,7 @@ class Runner(NamedObject):
                 store_config_in_database(
                     db_path=App.instance().get_argument("result_db"),
                     config_file_path=App.instance().get_argument("config"),
-                    config=CvttAppConfig.instance().to_dict(),
+                    config=CvttAppConfig.instance(),
                     datafiles=datafiles,
                     instruments=instruments,
                 )