progress

.vscode/settings.json

@@ -15,9 +15,6 @@
     ],
     "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

@@ -1,6 +1,7 @@
 from __future__ import annotations
 
-from typing import Dict, Any, List, Optional
+import asyncio
+from typing import Callable, Dict, Any, List, Optional
 import time
 
 import requests
@@ -63,7 +64,6 @@ 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,
@@ -105,6 +105,7 @@ class MdSummary(HistMdBar):
             )
         return res
 
+MdSummaryCallbackT = Callable[[List[MdSummary]], None]
 
 class MdSummaryCollector(NamedObject):
     sender_: RESTSender
@@ -114,6 +115,7 @@ class MdSummaryCollector(NamedObject):
     history_depth_sec_: int
 
     history_: List[MdSummary]
+    callbacks_: List[MdSummaryCallbackT]
     timer_: Optional[Timer]
     
     def __init__(
@@ -130,9 +132,13 @@ class MdSummaryCollector(NamedObject):
         self.interval_sec_ = interval_sec
         self.history_depth_sec_ = history_depth_sec
 
-        self.history_depth_sec_ = []
+        self.history_ = []
+        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_,
@@ -145,22 +151,32 @@ 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_
+        rqst_data["history_depth_sec"] = self.interval_sec_ * 2
         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,
@@ -169,15 +185,19 @@ class MdSummaryCollector(NamedObject):
         )
 
     async def _load_new(self) -> None:
+        
         last: Optional[MdSummary] = self.get_last()
         if not last:
-            # URGENT logging
+            Log.warning(f"{self.fname()}: did not get last update")
             return
-        if last.ts_ns_ <= self.history_[-1].ts_ns_:
-            # URGENT logging
+        if not self.is_empty() and last.ts_ns_ <= self.history_[-1].ts_ns_:
+            Log.info(f"{self.fname()}: Received {last}. Already Have: {self.history_[-1]}")
             return 
         self.history_.append(last)
-        # URGENT implement notification
+        self.run_callbacks()
+        
+    def run_callbacks(self) -> None:
+        [cb(self.history_) for cb in self.callbacks_]
         
     def stop(self) -> None:
         if self.timer_:
@@ -197,6 +217,7 @@ 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)
 
@@ -208,6 +229,16 @@ if __name__ == "__main__":
         history_depth_sec=24 * 3600,
     )
 
-    hist = mdsc.get_history()
-    last = mdsc.get_last()
+    def _calback(history: List[MdSummary]) -> None:
+        Log.info(f"MdSummary Hist Length is {len(history)}. Last summary: {history[-1] if  len(history) > 0 else '[]'}")
+
+    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 pt_strategy.live.ti_sender import TradingInstructionsSender
-from pt_strategy.model_data_policy import ModelDataPolicy
-from pt_strategy.pt_market_data import RealTimeMarketData
-from pt_strategy.pt_model import Prediction
-from pt_strategy.trading_pair import PairState, TradingPair
+from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender
+from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
+from pairs_trading.lib.pt_strategy.pt_market_data import RealTimeMarketData
+from pairs_trading.lib.pt_strategy.pt_model import Prediction
+from pairs_trading.lib.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: pd.DataFrame
+        self, trading_instructions: List[TradingInstruction]
     ) -> None:
-        pass
+        pass # URGENT implement _send_trading_instructions
 
     def _create_trading_instructions(
         self, prediction: Prediction, last_row: pd.Series
@@ -186,6 +186,11 @@ 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.md

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

pyproject.toml

@@ -1,66 +0,0 @@
-[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

@@ -1,25 +0,0 @@
-{
-    "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"
-}