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This commit is contained in:
Oleg Sheynin
2025-12-19 23:04:31 +00:00
parent 7d137a1a0e
commit 38e1621b2f
26 changed files with 383 additions and 10591 deletions
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bin/pairs_trader.py
+22 -24
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@@ -4,13 +4,13 @@ from functools import partial
from typing import Dict, List
from cvttpy_tools.settings.cvtt_types import JsonDictT
from cvttpy_tools.tools.app import App
from cvttpy_tools.tools.base import NamedObject
from cvttpy_tools.tools.config import CvttAppConfig
from cvttpy_tools.tools.logger import Log
from pt_strategy.live.live_strategy import PtLiveStrategy
from pt_strategy.live.pricer_md_client import PtMktDataClient
from pt_strategy.live.ti_sender import TradingInstructionsSender
from cvttpy_tools.app import App
from cvttpy_tools.base import NamedObject
from cvttpy_tools.config import CvttAppConfig
from cvttpy_tools.logger import Log
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.pt_strategy.live.ti_sender import TradingInstructionsSender
# import sys
# print("PYTHONPATH directories:")
@@ -18,11 +18,6 @@ from pt_strategy.live.ti_sender import TradingInstructionsSender
# print(path)
# from cvtt_client.mkt_data import (CvttPricerWebSockClient,
# CvttPricesSubscription, MessageTypeT,
# SubscriptionIdT)
class PairTradingRunner(NamedObject):
config_: CvttAppConfig
instruments_: List[JsonDictT]
@@ -69,11 +64,17 @@ class PairTradingRunner(NamedObject):
assert len(self.instruments_) == 2, "Only two instruments are supported"
Log.info(f"{self.fname()} Instruments: {self.instruments_}")
# ------- CREATE TI (trading instructions) CLIENT -------
# # ------- CREATE TI (trading instructions) CLIENT -------
# ti_config = self.config_.get_subconfig("ti_config", {})
# self.ti_sender_ = TradingInstructionsSender(config=ti_config)
# Log.info(f"{self.fname()} TI client created: {self.ti_sender_}")
# ------- CREATE CVTT CLIENT -------
ti_config = self.config_.get_subconfig("ti_config", {})
self.ti_sender_ = TradingInstructionsSender(config=ti_config)
Log.info(f"{self.fname()} TI client created: {self.ti_sender_}")
# ------- CREATE STRATEGY -------
strategy_config = self.config_.get_value("strategy_config", {})
self.live_strategy_ = PtLiveStrategy(
@@ -83,21 +84,18 @@ class PairTradingRunner(NamedObject):
)
Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")
# ------- CREATE PRICER CLIENT -------
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_}")
# # ------- CREATE PRICER CLIENT -------
# 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_}")
async def run(self) -> None:
Log.info(f"{self.fname()} ...")
pass
if __name__ == "__main__":
App()
CvttAppConfig()