.vscode/settings.json

@@ -15,6 +15,9 @@
     ],
     "python.envFile": "${workspaceFolder}/.env",
     "python.testing.debugPort": 3000,
+    "python.linting.enabled": true,
+    "python.linting.pylintEnabled": false,
+    "python.linting.mypyEnabled": true,
     "files.associations": {
         "*.py": "python"
     },

lib/client/cvtt_client.py

@@ -1,7 +1,6 @@
 from __future__ import annotations
 
-import asyncio
+from typing import Dict, Any, List, Optional
-from typing import Callable, Dict, Any, List, Optional
 import time
 
 import requests
@@ -64,6 +63,7 @@ class RESTSender(NamedObject):
                 f"Failed to send status={excpt.response.status_code} {excpt.response.text}"  # type: ignore
             ) from excpt
 
+
 class MdSummary(HistMdBar):
     def __init__(
         self,
@@ -105,7 +105,6 @@ class MdSummary(HistMdBar):
             )
         return res
 
-MdSummaryCallbackT = Callable[[List[MdSummary]], None]
 
 class MdSummaryCollector(NamedObject):
     sender_: RESTSender
@@ -115,7 +114,6 @@ class MdSummaryCollector(NamedObject):
     history_depth_sec_: int
 
     history_: List[MdSummary]
-    callbacks_: List[MdSummaryCallbackT]
     timer_: Optional[Timer]
 
     def __init__(
@@ -132,13 +130,9 @@ class MdSummaryCollector(NamedObject):
         self.interval_sec_ = interval_sec
         self.history_depth_sec_ = history_depth_sec
 
-        self.history_ = []
+        self.history_depth_sec_ = []
-        self.callbacks_ = []
         self.timer_ = None
 
-    def add_callback(self, cb: MdSummaryCallbackT) -> None:
-        self.callbacks_.append(cb)
-
     def rqst_data(self) -> Dict[str, Any]:
         return {
             "exch_acct": self.exch_acct_,
@@ -151,32 +145,22 @@ class MdSummaryCollector(NamedObject):
         response: requests.Response = self.sender_.send_post(
             endpoint="md_summary", post_body=self.rqst_data()
         )
-        if response.status_code not in (200, 201):
-            Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
-            return []
         return MdSummary.from_REST_response(response=response)
 
     def get_last(self) -> Optional[MdSummary]:
         rqst_data = self.rqst_data()
-        rqst_data["history_depth_sec"] = self.interval_sec_ * 2
+        rqst_data["history_depth_sec"] = self.interval_sec_
         response: requests.Response = self.sender_.send_post(
             endpoint="md_summary", post_body=rqst_data
         )
-        if response.status_code not in (200, 201):
-            Log.error(f"{self.fname()}: Received error: {response.status_code} - {response.text}")
-            return None
         res = MdSummary.from_REST_response(response=response)
         return None if len(res) == 0 else res[-1]
 
-    def is_empty(self) -> bool:
-        return len(self.history_) == 0
-    
     async def start(self) -> None:
         if self.timer_:
             Log.error(f"{self.fname()}: Timer is already started")
             return
         self.history_ = self.get_history()
-        self.run_callbacks()
         self.timer_ = Timer(
             start_in_sec=self.interval_sec_,
             is_periodic=True,
@@ -185,19 +169,15 @@ class MdSummaryCollector(NamedObject):
         )
 
     async def _load_new(self) -> None:
-        
         last: Optional[MdSummary] = self.get_last()
         if not last:
-            Log.warning(f"{self.fname()}: did not get last update")
+            # URGENT logging
             return
-        if not self.is_empty() and last.ts_ns_ <= self.history_[-1].ts_ns_:
+        if last.ts_ns_ <= self.history_[-1].ts_ns_:
-            Log.info(f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}")
+            # URGENT logging
             return 
         self.history_.append(last)
-        self.run_callbacks()
+        # URGENT implement notification
-        
-    def run_callbacks(self) -> None:
-        [cb(self.history_) for cb in self.callbacks_]
         
     def stop(self) -> None:
         if self.timer_:
@@ -217,7 +197,6 @@ class CvttRESTClient(NamedObject):
 
 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"})
 
     cvtt_client = CvttRESTClient(config)
 
@@ -229,16 +208,6 @@ if __name__ == "__main__":
         history_depth_sec=24 * 3600,
     )
 
-    def _calback(history: List[MdSummary]) -> None:
+    hist = mdsc.get_history()
-        Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if  len(history) > 0 else '[]'}")
+    last = mdsc.get_last()
-
-    mdsc.add_callback(_calback)
-    
-    async def __run() -> None:
-        Log.info("Starting...")
-        await mdsc.start()
-        while True:
-            await asyncio.sleep(5)
-            
-    asyncio.run(__run())
     pass

lib/pt_strategy/live/live_strategy.py

@@ -12,11 +12,11 @@ from cvttpy_tools.settings.cvtt_types import JsonDictT
 # ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 # ---
-from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender
+from pt_strategy.live.ti_sender import TradingInstructionsSender
-from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
+from pt_strategy.model_data_policy import ModelDataPolicy
-from pairs_trading.lib.pt_strategy.pt_market_data import RealTimeMarketData
+from pt_strategy.pt_market_data import RealTimeMarketData
-from pairs_trading.lib.pt_strategy.pt_model import Prediction
+from pt_strategy.pt_model import Prediction
-from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair
+from pt_strategy.trading_pair import PairState, TradingPair
 
 """
   --config=pair.cfg
@@ -104,9 +104,9 @@ class PtLiveStrategy(NamedObject):
         pass
 
     async def _send_trading_instructions(
-        self, trading_instructions: List[TradingInstruction]
+        self, trading_instructions: pd.DataFrame
     ) -> None:
-        pass # URGENT implement _send_trading_instructions
+        pass
 
     def _create_trading_instructions(
         self, prediction: Prediction, last_row: pd.Series
@@ -186,11 +186,6 @@ class PtLiveStrategy(NamedObject):
         }
         return df
 
-    def _create_close_trade_instructions(
-        self, pair: TradingPair, row: pd.Series #, prediction: Prediction
-    ) -> List[TradingInstruction]:
-        return [] # URGENT implement _create_close_trade_instructions
-
     def _handle_outstanding_positions(self) -> Optional[pd.DataFrame]:
         trades = None
         pair = self.trading_pair_

lib/pt_strategy/live/pricer_md_client.py

@@ -1,19 +1,18 @@
-```python
 from __future__ import annotations
 
 from functools import partial
 from typing import Dict, List
 
-# from cvtt_client.mkt_data import (CvttPricerWebSockClient,
+from cvtt_client.mkt_data import (CvttPricerWebSockClient,
-#                                   CvttPricesSubscription, MessageTypeT,
+                                  CvttPricesSubscription, MessageTypeT,
-#                                   SubscriptionIdT)
+                                  SubscriptionIdT)
 from cvttpy_tools.app import App
 from cvttpy_tools.base import NamedObject
 from cvttpy_tools.config import Config
 from cvttpy_tools.logger import Log
 from cvttpy_tools.settings.cvtt_types import JsonDictT
-from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
+from pt_strategy.live.live_strategy import PtLiveStrategy
-from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
+from pt_strategy.trading_pair import TradingPair
 
 """
   --config=pair.cfg
@@ -84,4 +83,3 @@ class PtMktDataClient(NamedObject):
         await self._subscribe()
 
         await self.pricer_client_.run()
-```

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 +1,25 @@
+{
+    "include": [
+        "lib"
+    ],
+    "exclude": [
+        "**/node_modules",
+        "**/__pycache__",
+        "**/.*",
+        "results",
+        "data"
+    ],
+    "ignore": [],
+    "defineConstant": {},
+    "typeCheckingMode": "basic",
+    "useLibraryCodeForTypes": true,
+    "autoImportCompletions": true,
+    "autoSearchPaths": true,
+    "extraPaths": [
+        "lib",
+        ".."
+    ],
+    "stubPath": "./typings",
+    "venvPath": ".",
+    "venv": "python3.12-venv"
+}