progress. Initial untested version

lib/pt_strategy/live/live_strategy.py

@@ -1,8 +1,6 @@
 from __future__ import annotations
 
-from dataclasses import dataclass
-from typing import Any, Dict, List, Optional, cast
-from enum import Enum
+from typing import Any, Dict, List, Optional
 
 import pandas as pd
 
@@ -10,15 +8,14 @@ import pandas as pd
 from cvttpy_tools.base import NamedObject
 from cvttpy_tools.app import App
 from cvttpy_tools.config import Config
-from cvttpy_tools.settings.cvtt_types import BookIdT, IntervalSecT
-from cvttpy_tools.timeutils import SecPerHour, current_nanoseconds
+from cvttpy_tools.settings.cvtt_types import IntervalSecT
+from cvttpy_tools.timeutils import SecPerHour, current_nanoseconds, NanoPerSec
 from cvttpy_tools.logger import Log
 
 # ---
 from cvttpy_trading.trading.instrument import ExchangeInstrument
 from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
 from cvttpy_trading.trading.trading_instructions import TradingInstructions
-from cvttpy_trading.trading.accounting.cvtt_book import CvttBook
 from cvttpy_trading.trading.trading_instructions import TargetPositionSignal
 
 # ---
@@ -29,23 +26,6 @@ from pairs_trading.apps.pairs_trader import PairsTrader
 from pairs_trading.lib.pt_strategy.pt_market_data import LiveMarketData
 
 
-"""
-  --config=pair.cfg
-  --pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
-"""
-
-
-# class TradingInstructionType(Enum):
-#     TARGET_POSITION = "TARGET_POSITION"
-
-
-# @dataclass
-# class TradingInstruction(NamedObject):
-#     type_: TradingInstructionType
-#     exch_instr_: ExchangeInstrument
-#     specifics_: Dict[str, Any]
-
-
 class PtLiveStrategy(NamedObject):
     config_: Config
     instruments_: List[ExchangeInstrument]
@@ -59,12 +39,9 @@ class PtLiveStrategy(NamedObject):
     model_data_policy_: ModelDataPolicy
     pairs_trader_: PairsTrader
 
-    # ti_sender_: TradingInstructionsSender
-
     # for presentation: history of prediction values and trading signals
     predictions_df_: pd.DataFrame
     trading_signals_df_: pd.DataFrame
-    # book_: CvttBook
 
     def __init__(
         self,
@@ -155,7 +132,15 @@ class PtLiveStrategy(NamedObject):
             await self._send_trading_instructions(trading_instructions)
 
     def _is_md_actual(self, hist_aggr: List[MdTradesAggregate]) -> bool:
-        return False  # URGENT _is_md_actual
+        LAG_THRESHOLD = 5 * NanoPerSec
+        
+        if len(hist_aggr) == 0:
+            Log.warning(f"{self.fname()} list of aggregates IS EMPTY")
+            return False
+        # MAYBE check market data length
+        if current_nanoseconds() - hist_aggr[-1].time_ns_ > LAG_THRESHOLD:
+            return False
+        return True
 
     def _create_md_df(self, hist_aggr: List[MdTradesAggregate]) -> pd.DataFrame:
         """
@@ -259,8 +244,8 @@ class PtLiveStrategy(NamedObject):
 
         return trd_instructions
     
-    def _strength(self, scaled_disequilibrium) -> float:
-        # URGENT PtLiveStrategy._strength()
+    def _strength(self, scaled_disequilibrium: float) -> float:
+        # TODO PtLiveStrategy._strength()
         return 1.0
 
     def _create_open_trade_instructions(