dev progress

apps/pairs_trader.py

@@ -15,7 +15,7 @@ from cvttpy_trading.trading.active_instruments import Instruments
 from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
 # ---
 from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
-# from pairs_trading.lib.pt_strategy.live.pricer_md_client import PtMktDataClient
+from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient, MdSummary
 from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSender
 
 # import sys
@@ -23,6 +23,20 @@ from pairs_trading.lib.pt_strategy.live.ti_sender import TradingInstructionsSend
 # for path in sys.path:
 #     print(path)
 
+'''
+Config
+=======
+{
+    "cvtt_base_url": "http://cvtt-tester-01.cvtt.vpn:23456",
+    "ti_config": {
+        TODO
+    },
+    "strategy_config": {
+        TODO
+    }
+}
+'''
+
 HistMdCbT = Callable[[List[MdTradesAggregate]], Coroutine]
 UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
 
@@ -31,7 +45,7 @@ class PairsTrader(NamedObject):
     instruments_: List[JsonDictT]
 
     live_strategy_: PtLiveStrategy
-    # pricer_client_: PtMktDataClient
+    pricer_client_: CvttRestMktDataClient
     
     def __init__(self) -> None:
         self.instruments_ = []
@@ -90,16 +104,10 @@ class PairsTrader(NamedObject):
         Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")  
         
         # # ------- CREATE PRICER CLIENT -------
-        # URGENT
-        # pricer_config = self.config_.get_subconfig("pricer_config", {})
-        # self.pricer_client_ = PtMktDataClient(
-        #     live_strategy=self.live_strategy_,
-        #     pricer_config=pricer_config
-        # )
-        # Log.info(f"{self.fname()} CVTT Pricer client created: {self.pricer_client_}") 
+        self.pricer_client_ = CvttRestMktDataClient(self.config_)
         
         # ------- CREATE TRADER CLIENT -------
-        # URGENT
+        # URGENT CREATE TRADER CLIENT
         # (send TradingInstructions)
         # ti_config = self.config_.get_subconfig("ti_config", {})
         # self.ti_sender_ = TradingInstructionsSender(config=ti_config)
@@ -107,12 +115,23 @@ class PairsTrader(NamedObject):
         
 
         # # ------- CREATE REST SERVER -------
-        # for dashboard communications
+        # URGENT CREATE REST SERVER for dashboard communications
         
     async def subscribe_md(self) -> None:
-        pass
-        # URGENT implement PairsTrader.subscribe_md()
-        
+        for inst in self.instruments_:
+            exch_acct = inst.get("exch_acct", "?exch_acct?")
+            instrument_id = inst.get("instrument_id", "?instrument_id?")
+            await self.pricer_client_.add_subscription(
+                exch_acct=exch_acct,
+                instrument_id=instrument_id,
+                interval_sec=self.live_strategy_.interval_sec(),
+                history_depth_sec=self.live_strategy_.history_depth_sec(),
+                callback=self._on_md_summary
+            )
+
+    def _on_md_summary(self, history: List[MdSummary]) -> None:
+        pass # URGENT 
+
     async def run(self) -> None:
         Log.info(f"{self.fname()} ...")
         pass