research/stat_pairs_backtest
2
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

dev progress

Browse Source
This commit is contained in:
Oleg Sheynin
2025-12-31 08:03:26 +00:00
parent 121c85def0
commit 69a0b19e9f
5 changed files with 117 additions and 75 deletions
Download Patch File Download Diff File Expand all files Collapse all files
apps/pairs_trader.py
+21 -15
View File
@@ -13,6 +13,7 @@ from cvttpy_tools.logger import Log
from cvttpy_trading.trading.instrument import ExchangeInstrument
from cvttpy_trading.trading.active_instruments import Instruments
from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
from cvttpy_trading.trading.exchange_config import ExchangeAccounts
# ---
from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient, MdSummary
@@ -42,7 +43,7 @@ UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
class PairsTrader(NamedObject):
config_: CvttAppConfig
instruments_: List[JsonDictT]
instruments_: List[ExchangeInstrument]
live_strategy_: PtLiveStrategy
pricer_client_: CvttRestMktDataClient
@@ -72,20 +73,22 @@ class PairsTrader(NamedObject):
if not instr_str:
raise ValueError("Pair is required")
instr_list = instr_str.split(",")
assert len(instr_list) == 2, "Only two instruments are supported"
for instr in instr_list:
instr_parts = instr.split(":")
if len(instr_parts) != 2:
raise ValueError(f"Invalid pair format: {instr}")
instrument_id = instr_parts[0]
exch_acct = instr_parts[1]
exch_inst = Instruments.instance()
self.instruments_.append({
"exch_acct": exch_acct,
"instrument_id": instrument_id
})
exch_inst = ExchangeAccounts.instance().get_exchange_instrument(exch_acct=exch_acct, instrument_id=instrument_id)
assert len(self.instruments_) == 2, "Only two instruments are supported"
Log.info(f"{self.fname()} Instruments: {self.instruments_}")
assert exch_inst is not None, f"No ExchangeInstrument for {instr}"
exch_inst.user_data_["exch_acct"] = exch_acct
self.instruments_.append(exch_inst)
Log.info(f"{self.fname()} Instruments: {self.instruments_[0].details_short()} <==> {self.instruments_[1].details_short()}")
# ------- CREATE CVTT CLIENT -------
@@ -95,7 +98,7 @@ class PairsTrader(NamedObject):
# ------- CREATE STRATEGY -------
strategy_config = self.config_.get_value("strategy_config", {})
strategy_config = self.config_.get_subconfig("strategy_config", Config({}))
self.live_strategy_ = PtLiveStrategy(
config=strategy_config,
instruments=self.instruments_,
@@ -104,7 +107,7 @@ class PairsTrader(NamedObject):
Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")
# # ------- CREATE PRICER CLIENT -------
self.pricer_client_ = CvttRestMktDataClient(self.config_)
self.pricer_client_ = CvttRestMktDataClient(config=self.config_)
# ------- CREATE TRADER CLIENT -------
# URGENT CREATE TRADER CLIENT
@@ -118,9 +121,10 @@ class PairsTrader(NamedObject):
# URGENT CREATE REST SERVER for dashboard communications
async def subscribe_md(self) -> None:
for inst in self.instruments_:
exch_acct = inst.get("exch_acct", "?exch_acct?")
instrument_id = inst.get("instrument_id", "?instrument_id?")
for exch_inst in self.instruments_:
exch_acct = exch_inst.user_data_.get("exch_acct", "?exch_acct?")
instrument_id = exch_inst.instrument_id()
await self.pricer_client_.add_subscription(
exch_acct=exch_acct,
instrument_id=instrument_id,
@@ -129,8 +133,10 @@ class PairsTrader(NamedObject):
callback=self._on_md_summary
)
def _on_md_summary(self, history: List[MdSummary]) -> None:
pass # URGENT
async def _on_md_summary(self, history: List[MdSummary]) -> None:
# depth = len(history)
# if depth < 2:
pass # URGENT
async def run(self) -> None:
Log.info(f"{self.fname()} ...")