progress

.vscode/launch.json

@@ -30,12 +30,14 @@
             "env": {
                 "PYTHONPATH": "${workspaceFolder}/..",
                 "CONFIG_SERVICE": "cloud16.cvtt.vpn:6789",
-                "MODEL_CONFIG": "vecm"
+                "MODEL_CONFIG": "vecm",
+                "CVTT_URL": "http://cvtt-tester-01.cvtt.vpn:23456",
+                // "CVTT_URL": "http://dev-server-02.cvtt.vpn:23456",
             },
             "args": [
                 // "--config=${workspaceFolder}/configuration/pair_trader.cfg",
                 "--config=http://cloud16.cvtt.vpn:6789/apps/pairs_trading/pair_trader",
-                "--book_id=TEST_BOOK_20250818",
+                "--book_id=TSTBOOK_PT_20260113",
                 "--instrument_A=COINBASE_AT:PAIR-ADA-USD", 
                 "--instrument_B=COINBASE_AT:PAIR-SOL-USD",
             ],

LIBRARIES

@@ -0,0 +1,2 @@
+cvttpy_tools: 1.3.4
+cvttpy_trading: 2.4.1

VERSION

@@ -0,0 +1 @@
+0.0.2

apps/pair_trader.py

@@ -142,7 +142,7 @@ class PairTrader(NamedObject):
 
     async def _on_md_summary(self, history: List[MdTradesAggregate], exch_inst: ExchangeInstrument) -> None:
         # URGENT before calling stragegy, make sure that **BOTH** instruments market data is combined.
-        Log.info(f"DEBUG got {exch_inst.details_short()} data")
+        Log.info(f"{self.fname()}: got {exch_inst.details_short()} data")
         self.latest_history_[exch_inst] = history
         if len(self.latest_history_) == 2:
             from itertools import chain

build.sh

@@ -0,0 +1,183 @@
+#!/usr/bin/env bash
+
+# ---------------- Settings
+
+repo=git@cloud21.cvtt.vpn:/works/git/cvtt2/research/pairs_trading.git
+
+dist_root=/home/cvttdist/software/cvtt2
+dist_user=cvttdist
+dist_host="cloud21.cvtt.vpn"
+dist_ssh_port="22"
+
+dist_locations="cloud21.cvtt.vpn:22 hs01.cvtt.vpn:22"
+version_file="VERSION"
+
+prj=pairs_trading
+brnch=master
+interactive=N
+
+# ---------------- Settings
+
+# ---------------- cmdline
+
+usage() {
+  echo "Usage: $0 [-b <branch (master)> -i (interactive)"
+  exit 1
+}
+
+while getopts "b:i" opt; do
+  case ${opt} in
+    b )
+      brnch=$OPTARG
+      ;;
+    i )
+      interactive=Y
+      ;;
+    \? )
+      echo "Invalid option: -$OPTARG" >&2
+      usage
+      ;;
+    : )
+      echo "Option -$OPTARG requires an argument." >&2
+      usage
+      ;;
+  esac
+done
+# ---------------- cmdline
+
+confirm() {
+    if [ "${interactive}" == "Y" ]; then
+        echo "--------------------------------"
+        echo -n "Press <Enter> to continue" && read
+    fi
+}
+
+
+if [ "${interactive}" == "Y" ]; then
+    echo -n "Enter project [${prj}]: "
+    read project
+    if [ "${project}" == "" ]
+    then
+        project=${prj}
+    fi
+else
+    project=${prj}
+fi
+
+# repo=${git_repo_arr[${project}]}
+if [ -z ${repo} ]; then
+    echo "ERROR: Project repository for ${project} not found"
+    exit -1
+fi
+echo "Project repo: ${repo}"
+
+if [ "${interactive}" == "Y" ]; then
+    echo -n "Enter branch to build release from [${brnch}]: "
+    read branch
+    if [ "${branch}" == "" ]
+    then
+        branch=${brnch}
+    fi
+else
+    branch=${brnch}
+fi
+
+tmp_dir=$(mktemp -d)
+function cleanup {
+    cd ${HOME}
+    rm -rf ${tmp_dir}
+}
+trap cleanup EXIT
+
+
+prj_dir="${tmp_dir}/${prj}"
+
+cmd_arr=()
+Cmd="git clone ${repo} ${prj_dir}"
+cmd_arr+=("${Cmd}")
+
+Cmd="cd ${prj_dir}"
+cmd_arr+=("${Cmd}")
+
+if [ "${interactive}" == "Y" ]; then
+    echo "------------------------------------"
+    echo "The following commands will execute:"
+    echo "------------------------------------"
+    for cmd in "${cmd_arr[@]}"
+    do
+        echo ${cmd}
+    done
+fi
+
+confirm
+
+for cmd in "${cmd_arr[@]}"
+do
+    echo ${cmd} && eval ${cmd}
+done
+
+Cmd="git checkout ${branch}"
+echo ${Cmd} && eval ${Cmd}
+if [ "${?}" != "0" ]; then
+    echo "ERROR: Branch ${branch} is not found"
+    cd ${HOME} && rm -rf ${tmp_dir}
+    exit -1
+fi
+
+
+release_version=$(cat ${version_file} | awk -F',' '{print $1}')
+whats_new=$(cat ${version_file} | awk -F',' '{print $2}')
+
+
+echo "--------------------------------"
+echo "Version file: ${version_file}"
+echo "Release version: ${release_version}"
+
+confirm
+
+version_tag="v${release_version}"
+version_comment="'${version_tag} ${project} ${branch} $(date +%Y-%m-%d)\n${whats_new}'"
+
+cmd_arr=()
+Cmd="git tag -a ${version_tag} -m ${version_comment}"
+cmd_arr+=("${Cmd}")
+
+Cmd="git push origin --tags"
+cmd_arr+=("${Cmd}")
+
+Cmd="rm -rf .git"
+cmd_arr+=("${Cmd}")
+
+SourceLoc=../${project}
+
+dist_path="${dist_root}/${project}/${release_version}"
+
+for dist_loc in ${dist_locations}; do
+    dhp=(${dist_loc//:/ })
+    dist_host=${dhp[0]}
+    dist_port=${dhp[1]}
+    Cmd="rsync -avzh"
+    Cmd="${Cmd} --rsync-path=\"mkdir -p ${dist_path}"
+    Cmd="${Cmd} && rsync\" -e \"ssh -p ${dist_ssh_port}\""
+    Cmd="${Cmd} $SourceLoc ${dist_user}@${dist_host}:${dist_path}/"
+    cmd_arr+=("${Cmd}")
+done
+
+if [ "${interactive}" == "Y" ]; then
+    echo "------------------------------------"
+    echo "The following commands will execute:"
+    echo "------------------------------------"
+    for cmd in "${cmd_arr[@]}"
+    do
+        echo ${cmd}
+    done
+fi
+
+confirm
+
+for cmd in "${cmd_arr[@]}"
+do
+    pwd && echo ${cmd} && eval ${cmd}
+done
+
+echo "$0 Done ${project} ${release_version}"

lib/pt_strategy/live/live_strategy.py

@@ -270,6 +270,7 @@ class PtLiveStrategy(NamedObject):
             issued_ts_ns=current_nanoseconds(),
             data=TargetPositionSignal(
                 strength=side_a * self._strength(scaled_disequilibrium),
+                exchange_id=pair.get_instrument_a().exchange_id_,
                 base_asset=pair.get_instrument_a().base_asset_id_,
                 quote_asset=pair.get_instrument_a().quote_asset_id_,
                 user_data={}
@@ -284,6 +285,7 @@ class PtLiveStrategy(NamedObject):
             issued_ts_ns=current_nanoseconds(),
             data=TargetPositionSignal(
                 strength=side_b * self._strength(scaled_disequilibrium),
+                exchange_id=pair.get_instrument_b().exchange_id_,
                 base_asset=pair.get_instrument_b().base_asset_id_,
                 quote_asset=pair.get_instrument_b().quote_asset_id_,
                 user_data={}
@@ -304,6 +306,7 @@ class PtLiveStrategy(NamedObject):
             issued_ts_ns=current_nanoseconds(),
             data=TargetPositionSignal(
                 strength=0,
+                exchange_id=pair.get_instrument_a().exchange_id_,
                 base_asset=pair.get_instrument_a().base_asset_id_,
                 quote_asset=pair.get_instrument_a().quote_asset_id_,
                 user_data={}
@@ -318,6 +321,7 @@ class PtLiveStrategy(NamedObject):
             issued_ts_ns=current_nanoseconds(),
             data=TargetPositionSignal(
                 strength=0,
+                exchange_id=pair.get_instrument_b().exchange_id_,
                 base_asset=pair.get_instrument_b().base_asset_id_,
                 quote_asset=pair.get_instrument_b().quote_asset_id_,
                 user_data={}