progress. not ready, changing live_strategy.py to use ExchangeInstrument and new TradingInstruction class
This commit is contained in:
Oleg Sheynin
@@ -0,0 +1,348 @@
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from __future__ import annotations
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from dataclasses import dataclass
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from functools import partial
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from typing import Any, Dict, List, Optional
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import pandas as pd
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from cvttpy_base.settings.cvtt_types import JsonDictT
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from cvttpy_base.tools.base import NamedObject
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from cvttpy_base.tools.logger import Log
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from pt_strategy.live.ti_sender import TradingInstructionsSender
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from pt_strategy.model_data_policy import ModelDataPolicy
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from pt_strategy.pt_market_data import RealTimeMarketData
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from pt_strategy.pt_model import Prediction
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from pt_strategy.trading_pair import PairState, TradingPair
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"""
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--config=pair.cfg
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--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
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"""
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class TradingInstructionType(Enum):
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TARGET_POSITION = "TARGET_POSITION"
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@dataclass
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class TradingInstruction(NamedObject):
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type_: TradingInstructionType
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exch_instr_: ExchangeInstrument
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specifics_: Dict[str, Any]
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class PtLiveStrategy(NamedObject):
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config_: Dict[str, Any]
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trading_pair_: TradingPair
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model_data_policy_: ModelDataPolicy
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pt_mkt_data_: RealTimeMarketData
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ti_sender_: TradingInstructionsSender
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# for presentation: history of prediction values and trading signals
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predictions_: pd.DataFrame
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trading_signals_: pd.DataFrame
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def __init__(
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self,
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config: Dict[str, Any],
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instruments: List[Dict[str, str]],
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ti_sender: TradingInstructionsSender,
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):
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self.config_ = config
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self.trading_pair_ = TradingPair(config=config, instruments=instruments)
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self.predictions_ = pd.DataFrame()
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self.trading_signals_ = pd.DataFrame()
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self.ti_sender_ = ti_sender
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import copy
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# modified config must be passed to PtMarketData
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config_copy = copy.deepcopy(config)
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config_copy["instruments"] = instruments
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self.pt_mkt_data_ = RealTimeMarketData(config=config_copy)
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self.model_data_policy_ = ModelDataPolicy.create(
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config, is_real_time=True, pair=self.trading_pair_
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)
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self.open_threshold_ = self.config_.get("dis-equilibrium_open_trshld", 0.0)
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assert self.open_threshold_ > 0, "open_threshold must be greater than 0"
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self.close_threshold_ = self.config_.get("dis-equilibrium_close_trshld", 0.0)
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assert self.close_threshold_ > 0, "close_threshold must be greater than 0"
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def __repr__(self) -> str:
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return f"{self.classname()}: trading_pair={self.trading_pair_}, mdp={self.model_data_policy_.__class__.__name__}, "
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async def on_mkt_data_hist_snapshot(self, aggr: JsonDictT) -> None:
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Log.info(f"on_mkt_data_hist_snapshot: {aggr}")
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await self.pt_mkt_data_.on_mkt_data_hist_snapshot(snapshot=aggr)
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pass
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async def on_mkt_data_update(self, aggr: JsonDictT) -> None:
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market_data_df = await self.pt_mkt_data_.on_mkt_data_update(update=aggr)
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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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prediction = self.trading_pair_.run(
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market_data_df, self.model_data_policy_.advance()
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)
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self.predictions_ = pd.concat(
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[self.predictions_, prediction.to_df()], ignore_index=True
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)
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trading_instructions: List[TradingInstruction] = (
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self._create_trading_instructions(
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prediction=prediction, last_row=market_data_df.iloc[-1]
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)
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)
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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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# URGENT implement this
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pass
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async def _send_trading_instructions(
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self, trading_instructions: pd.DataFrame
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) -> None:
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pass
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def _create_trading_instructions(
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self, prediction: Prediction, last_row: pd.Series
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) -> List[TradingInstruction]:
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pair = self.trading_pair_
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trd_instructions: List[TradingInstruction] = []
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scaled_disequilibrium = prediction.scaled_disequilibrium_
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abs_scaled_disequilibrium = abs(scaled_disequilibrium)
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if pair.is_closed():
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if abs_scaled_disequilibrium >= self.open_threshold_:
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trd_instructions = self._create_open_trade_instructions(
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pair, row=last_row, prediction=prediction
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)
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elif pair.is_open():
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if abs_scaled_disequilibrium <= self.close_threshold_:
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trd_instructions = self._create_close_trade_instructions(
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pair, row=last_row, prediction=prediction
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)
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elif pair.to_stop_close_conditions(predicted_row=last_row):
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trd_instructions = self._create_close_trade_instructions(
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pair, row=last_row
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)
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return trd_instructions
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def _create_open_trade_instructions(
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self, pair: TradingPair, row: pd.Series, prediction: Prediction
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) -> List[TradingInstruction]:
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scaled_disequilibrium = prediction.scaled_disequilibrium_
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if scaled_disequilibrium > 0:
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side_a = "SELL"
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trd_inst_a = TradingInstruction(
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type=TradingInstructionType.TARGET_POSITION,
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exch_instr=pair.get_instrument_a(),
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specifics={"side": "SELL", "strength": -1},
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)
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side_b = "BUY"
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else:
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side_a = "BUY"
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side_b = "SELL"
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# save closing sides
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pair.user_data_["open_side_a"] = side_a # used in oustanding positions
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pair.user_data_["open_side_b"] = side_b
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pair.user_data_["open_px_a"] = px_a
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pair.user_data_["open_px_b"] = px_b
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pair.user_data_["open_tstamp"] = tstamp
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pair.user_data_["close_side_a"] = side_b # used for closing trades
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pair.user_data_["close_side_b"] = side_a
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# create opening trades
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_a_,
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"side": side_a,
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"action": "OPEN",
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"price": px_a,
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"disequilibrium": diseqlbrm,
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"signed_scaled_disequilibrium": scaled_disequilibrium,
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"scaled_disequilibrium": abs(scaled_disequilibrium),
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# "pair": pair,
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}
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_b_,
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"side": side_b,
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"action": "OPEN",
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"price": px_b,
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"disequilibrium": diseqlbrm,
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"scaled_disequilibrium": abs(scaled_disequilibrium),
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"signed_scaled_disequilibrium": scaled_disequilibrium,
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# "pair": pair,
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}
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return df
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def _handle_outstanding_positions(self) -> Optional[pd.DataFrame]:
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trades = None
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pair = self.trading_pair_
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# Outstanding positions
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if pair.user_data_["state"] == PairState.OPEN:
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print(f"{pair}: *** Position is NOT CLOSED. ***")
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# outstanding positions
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if self.config_["close_outstanding_positions"]:
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close_position_row = pd.Series(pair.market_data_.iloc[-2])
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# close_position_row["disequilibrium"] = 0.0
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# close_position_row["scaled_disequilibrium"] = 0.0
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# close_position_row["signed_scaled_disequilibrium"] = 0.0
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trades = self._create_close_trades(
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pair=pair, row=close_position_row, prediction=None
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)
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if trades is not None:
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trades["status"] = PairState.CLOSE_POSITION.name
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print(f"CLOSE_POSITION TRADES:\n{trades}")
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pair.user_data_["state"] = PairState.CLOSE_POSITION
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pair.on_close_trades(trades)
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else:
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pair.add_outstanding_position(
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symbol=pair.symbol_a_,
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open_side=pair.user_data_["open_side_a"],
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open_px=pair.user_data_["open_px_a"],
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open_tstamp=pair.user_data_["open_tstamp"],
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last_mkt_data_row=pair.market_data_.iloc[-1],
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)
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pair.add_outstanding_position(
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symbol=pair.symbol_b_,
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open_side=pair.user_data_["open_side_b"],
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open_px=pair.user_data_["open_px_b"],
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open_tstamp=pair.user_data_["open_tstamp"],
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last_mkt_data_row=pair.market_data_.iloc[-1],
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)
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return trades
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def _trades_df(self) -> pd.DataFrame:
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types = {
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"time": "datetime64[ns]",
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"action": "string",
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"symbol": "string",
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"side": "string",
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"price": "float64",
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"disequilibrium": "float64",
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"scaled_disequilibrium": "float64",
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"signed_scaled_disequilibrium": "float64",
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# "pair": "object",
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}
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columns = list(types.keys())
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return pd.DataFrame(columns=columns).astype(types)
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def _create_open_trades(
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self, pair: TradingPair, row: pd.Series, prediction: Prediction
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) -> Optional[pd.DataFrame]:
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colname_a, colname_b = pair.exec_prices_colnames()
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tstamp = row["tstamp"]
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diseqlbrm = prediction.disequilibrium_
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scaled_disequilibrium = prediction.scaled_disequilibrium_
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px_a = row[f"{colname_a}"]
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px_b = row[f"{colname_b}"]
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# creating the trades
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df = self._trades_df()
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print(f"OPEN_TRADES: {row["tstamp"]} {scaled_disequilibrium=}")
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if diseqlbrm > 0:
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side_a = "SELL"
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side_b = "BUY"
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else:
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side_a = "BUY"
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side_b = "SELL"
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# save closing sides
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pair.user_data_["open_side_a"] = side_a # used in oustanding positions
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pair.user_data_["open_side_b"] = side_b
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pair.user_data_["open_px_a"] = px_a
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pair.user_data_["open_px_b"] = px_b
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pair.user_data_["open_tstamp"] = tstamp
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pair.user_data_["close_side_a"] = side_b # used for closing trades
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pair.user_data_["close_side_b"] = side_a
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# create opening trades
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_a_,
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"side": side_a,
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"action": "OPEN",
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"price": px_a,
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"disequilibrium": diseqlbrm,
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"signed_scaled_disequilibrium": scaled_disequilibrium,
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"scaled_disequilibrium": abs(scaled_disequilibrium),
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# "pair": pair,
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}
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_b_,
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"side": side_b,
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"action": "OPEN",
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"price": px_b,
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"disequilibrium": diseqlbrm,
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"scaled_disequilibrium": abs(scaled_disequilibrium),
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"signed_scaled_disequilibrium": scaled_disequilibrium,
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# "pair": pair,
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}
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return df
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def _create_close_trades(
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self, pair: TradingPair, row: pd.Series, prediction: Optional[Prediction] = None
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) -> Optional[pd.DataFrame]:
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colname_a, colname_b = pair.exec_prices_colnames()
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tstamp = row["tstamp"]
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if prediction is not None:
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diseqlbrm = prediction.disequilibrium_
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signed_scaled_disequilibrium = prediction.scaled_disequilibrium_
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scaled_disequilibrium = abs(prediction.scaled_disequilibrium_)
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else:
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diseqlbrm = 0.0
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signed_scaled_disequilibrium = 0.0
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scaled_disequilibrium = 0.0
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px_a = row[f"{colname_a}"]
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px_b = row[f"{colname_b}"]
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# creating the trades
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df = self._trades_df()
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# create opening trades
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_a_,
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"side": pair.user_data_["close_side_a"],
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"action": "CLOSE",
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"price": px_a,
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"disequilibrium": diseqlbrm,
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"scaled_disequilibrium": scaled_disequilibrium,
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"signed_scaled_disequilibrium": signed_scaled_disequilibrium,
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# "pair": pair,
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}
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df.loc[len(df)] = {
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"time": tstamp,
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"symbol": pair.symbol_b_,
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"side": pair.user_data_["close_side_b"],
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"action": "CLOSE",
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"price": px_b,
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"disequilibrium": diseqlbrm,
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"scaled_disequilibrium": scaled_disequilibrium,
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"signed_scaled_disequilibrium": signed_scaled_disequilibrium,
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# "pair": pair,
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}
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del pair.user_data_["close_side_a"]
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del pair.user_data_["close_side_b"]
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del pair.user_data_["open_tstamp"]
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del pair.user_data_["open_px_a"]
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del pair.user_data_["open_px_b"]
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del pair.user_data_["open_side_a"]
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del pair.user_data_["open_side_b"]
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return df
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@@ -0,0 +1,90 @@
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from __future__ import annotations
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from functools import partial
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from typing import Any, Dict, List, Optional
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import pandas as pd
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from cvttpy_base.tools.app import App
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from cvttpy_base.tools.config import Config
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from cvttpy_base.settings.cvtt_types import JsonDictT
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from cvttpy_base.tools.base import NamedObject
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from cvttpy_base.tools.logger import Log
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from cvtt_client.mkt_data import (
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CvttPricerWebSockClient,
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CvttPricesSubscription,
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MessageTypeT,
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SubscriptionIdT,
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)
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from pt_strategy.live.live_strategy import PtLiveStrategy
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from pt_strategy.trading_pair import TradingPair
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"""
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--config=pair.cfg
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--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
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"""
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class PtMktDataClient(NamedObject):
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config_: Config
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live_strategy_: PtLiveStrategy
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pricer_client_: CvttPricerWebSockClient
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subscriptions_: List[CvttPricesSubscription]
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def __init__(self, live_strategy: PtLiveStrategy, pricer_config: Config):
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self.config_ = pricer_config
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self.live_strategy_ = live_strategy
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App.instance().add_call(App.Stage.Start, self._on_start())
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App.instance().add_call(App.Stage.Run, self.run())
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async def _on_start(self) -> None:
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pricer_url = self.config_.get_value("pricer_url")
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assert pricer_url is not None, "pricer_url is not found in config"
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self.pricer_client_ = CvttPricerWebSockClient(url=pricer_url)
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async def _subscribe(self) -> None:
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history_depth_sec = self.config_.get_value("history_depth_sec", 86400)
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interval_sec = self.config_.get_value("interval_sec", 60)
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pair: TradingPair = self.live_strategy_.trading_pair_
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subscriptions = [CvttPricesSubscription(
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exchange_config_name=instrument["exchange_config_name"],
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instrument_id=instrument["instrument_id"],
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interval_sec=interval_sec,
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history_depth_sec=history_depth_sec,
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callback=partial(
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self.on_message, instrument_id=instrument["instrument_id"]
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),
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) for instrument in pair.instruments_]
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for subscription in subscriptions:
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Log.info(f"{self.fname()} Subscribing to {subscription}")
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await self.pricer_client_.subscribe(subscription)
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async def on_message(
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self,
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message_type: MessageTypeT,
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subscr_id: SubscriptionIdT,
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message: Dict,
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instrument_id: str,
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) -> None:
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Log.info(f"{self.fname()}: {message_type=} {subscr_id=} {instrument_id}")
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aggr: JsonDictT
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if message_type == "md_aggregate":
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aggr = message.get("md_aggregate", {})
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await self.live_strategy_.on_mkt_data_update(aggr)
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elif message_type == "historical_md_aggregate":
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aggr = message.get("historical_data", {})
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await self.live_strategy_.on_mkt_data_hist_snapshot(aggr)
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else:
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Log.info(f"Unknown message type: {message_type}")
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async def run(self) -> None:
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if not await CvttPricerWebSockClient.check_connection(self.pricer_client_.ws_url_):
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Log.error(f"Unable to connect to {self.pricer_client_.ws_url_}")
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raise Exception(f"Unable to connect to {self.pricer_client_.ws_url_}")
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await self._subscribe()
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|
||||
await self.pricer_client_.run()
|
||||
@@ -0,0 +1,85 @@
|
||||
from enum import Enum
|
||||
from typing import Dict, Any, Tuple
|
||||
import time
|
||||
# import aiohttp
|
||||
from cvttpy_base.tools.app import App
|
||||
from cvttpy_base.tools.base import NamedObject
|
||||
from cvttpy_base.tools.config import Config
|
||||
from cvttpy_base.tools.logger import Log
|
||||
from cvttpy_base.tools.web.rest_client import REST_RequestProcessor
|
||||
from cvttpy_base.tools.timeutils import NanoPerSec
|
||||
from cvttpy_base.tools.timer import Timer
|
||||
|
||||
|
||||
class TradingInstructionsSender(NamedObject):
|
||||
|
||||
class TradingInstType(str, Enum):
|
||||
TARGET_POSITION = "TARGET_POSITION"
|
||||
DIRECT_ORDER = "DIRECT_ORDER"
|
||||
MARKET_MAKING = "MARKET_MAKING"
|
||||
NONE = "NONE"
|
||||
|
||||
config_: Config
|
||||
ti_method_: str
|
||||
ti_url_: str
|
||||
health_check_method_: str
|
||||
health_check_url_: str
|
||||
|
||||
def __init__(self, config: Config):
|
||||
self.config_ = config
|
||||
base_url = config.get_value("url", "ws://localhost:12346/ws")
|
||||
|
||||
self.book_id_ = config.get_value("book_id", "")
|
||||
assert self.book_id_, "book_id is required"
|
||||
|
||||
self.strategy_id_ = config.get_value("strategy_id", "")
|
||||
assert self.strategy_id_, "strategy_id is required"
|
||||
|
||||
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)
|
||||
|
||||
|
||||
Reference in New Issue
Block a user