dev progress

lib/pt_strategy/model_data_policy.py

@@ -8,6 +8,7 @@ from typing import Any, Dict, Optional, cast
 import numpy as np
 import pandas as pd
 
+from cvttpy_tools.config import Config
 
 @dataclass
 class DataWindowParams:
@@ -16,22 +17,22 @@ class DataWindowParams:
 
 
 class ModelDataPolicy(ABC):
-    config_: Dict[str, Any]
+    config_: Config
     current_data_params_: DataWindowParams
     count_: int
     is_real_time_: bool
 
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         self.config_ = config
-        training_size = config.get("training_size", 120)
+        training_size = config.get_value("training_size", 120)
         training_start_index = 0
         if kwargs.get("is_real_time", False):
             training_size = 120
             training_start_index = 0
         else:
-            training_size = config.get("training_size", 120)
+            training_size = config.get_value("training_size", 120)
         self.current_data_params_ = DataWindowParams(
-            training_size=config.get("training_size", 120),
+            training_size=config.get_value("training_size", 120),
             training_start_index=0,
         )
         self.count_ = 0
@@ -44,10 +45,10 @@ class ModelDataPolicy(ABC):
         return self.current_data_params_
 
     @staticmethod
-    def create(config: Dict[str, Any], *args: Any, **kwargs: Any) -> ModelDataPolicy:
+    def create(config: Config, *args: Any, **kwargs: Any) -> ModelDataPolicy:
         import importlib
 
-        model_data_policy_class_name = config.get("model_data_policy_class", None)
+        model_data_policy_class_name = config.get_value("model_data_policy_class", None)
         assert model_data_policy_class_name is not None
         module_name, class_name = model_data_policy_class_name.rsplit(".", 1)
         module = importlib.import_module(module_name)
@@ -58,7 +59,7 @@ class ModelDataPolicy(ABC):
 
 
 class RollingWindowDataPolicy(ModelDataPolicy):
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
         self.count_ = 1
 
@@ -80,16 +81,16 @@ class OptimizedWndDataPolicy(ModelDataPolicy, ABC):
     prices_a_: np.ndarray
     prices_b_: np.ndarray
 
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
         assert (
             kwargs.get("pair") is not None
         ), "pair must be provided"
         assert (
-            "min_training_size" in config and "max_training_size" in config
+            "min_training_size" in config.data() and "max_training_size" in config.data()
         ), "min_training_size and max_training_size must be provided"
-        self.min_training_size_ = cast(int, config.get("min_training_size"))
-        self.max_training_size_ = cast(int, config.get("max_training_size"))
+        self.min_training_size_ = cast(int, config.get_value("min_training_size"))
+        self.max_training_size_ = cast(int, config.get_value("max_training_size"))
 
         from pairs_trading.lib.pt_strategy.trading_pair import TradingPair
         self.pair_ = cast(TradingPair, kwargs.get("pair"))        
@@ -133,7 +134,7 @@ class EGOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     # Engle-Granger cointegration test
     *** VERY SLOW ***
     '''
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams:
@@ -162,7 +163,7 @@ class EGOptimizedWndDataPolicy(OptimizedWndDataPolicy):
 
 class ADFOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     # Augmented Dickey-Fuller test
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams:
@@ -208,7 +209,7 @@ class ADFOptimizedWndDataPolicy(OptimizedWndDataPolicy):
     
 class JohansenOptdWndDataPolicy(OptimizedWndDataPolicy):
     # Johansen test
-    def __init__(self, config: Dict[str, Any], *args: Any, **kwargs: Any):
+    def __init__(self, config: Config, *args: Any, **kwargs: Any):
         super().__init__(config, *args, **kwargs)
 
     def optimize_window_size(self) -> DataWindowParams: