progress 0.0.5
This commit is contained in:
Oleg Sheynin
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from __future__ import annotations
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import asyncio
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from typing import Any, Dict, List
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from aiohttp import web
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from cvttpy_tools.app import App
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from cvttpy_tools.base import NamedObject
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from cvttpy_tools.config import CvttAppConfig
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from cvttpy_tools.logger import Log
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from cvttpy_tools.web.rest_service import RestService
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from cvttpy_trading.trading.exchange_config import ExchangeAccounts
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from cvttpy_trading.trading.instrument import ExchangeInstrument
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from pairs_trading.lib.pair_selector_engine import PairSelectionEngine
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class PairSelector(NamedObject):
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instruments_: List[ExchangeInstrument]
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engine_: PairSelectionEngine
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rest_service_: RestService
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def __init__(self) -> None:
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App.instance().add_cmdline_arg("--oneshot", action="store_true", default=False)
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App.instance().add_call(App.Stage.Config, self._on_config())
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App.instance().add_call(App.Stage.Run, self.run())
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async def _on_config(self) -> None:
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cfg = CvttAppConfig.instance()
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self.instruments_ = self._load_instruments(cfg)
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price_field = cfg.get_value("model/stat_model_price", "close")
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self.engine_ = PairSelectionEngine(
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config=cfg,
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instruments=self.instruments_,
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price_field=price_field,
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)
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self.rest_service_ = RestService(config_key="/api/REST")
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self.rest_service_.add_handler("GET", "/data_quality", self._on_data_quality)
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self.rest_service_.add_handler("GET", "/pair_selection", self._on_pair_selection)
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def _load_instruments(self, cfg: CvttAppConfig) -> List[ExchangeInstrument]:
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instruments_cfg = cfg.get_value("instruments", [])
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instruments: List[ExchangeInstrument] = []
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assert len(instruments_cfg) >= 2, "at least two instruments required"
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for item in instruments_cfg:
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if isinstance(item, str):
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parts = item.split(":", 1)
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if len(parts) != 2:
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raise ValueError(f"invalid instrument format: {item}")
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exch_acct, instrument_id = parts
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elif isinstance(item, dict):
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exch_acct = item.get("exch_acct", "")
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instrument_id = item.get("instrument_id", "")
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if not exch_acct or not instrument_id:
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raise ValueError(f"invalid instrument config: {item}")
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else:
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raise ValueError(f"unsupported instrument entry: {item}")
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exch_inst = ExchangeAccounts.instance().get_exchange_instrument(
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exch_acct=exch_acct, instrument_id=instrument_id
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)
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assert exch_inst is not None, f"no ExchangeInstrument for {exch_acct}:{instrument_id}"
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exch_inst.user_data_["exch_acct"] = exch_acct
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instruments.append(exch_inst)
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return instruments
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async def run(self) -> None:
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oneshot = App.instance().get_argument("oneshot", False)
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while True:
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await self.engine_.run_once()
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if oneshot:
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break
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sleep_for = self.engine_.sleep_seconds_until_next_cycle()
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await asyncio.sleep(sleep_for)
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async def _on_data_quality(self, request: web.Request) -> web.Response:
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fmt = request.query.get("format", "html").lower()
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quality = self.engine_.quality_dicts()
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if fmt == "json":
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return web.json_response(quality)
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return web.Response(text=self._render_quality_html(quality), content_type="text/html")
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async def _on_pair_selection(self, request: web.Request) -> web.Response:
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fmt = request.query.get("format", "html").lower()
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pairs = self.engine_.pair_dicts()
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if fmt == "json":
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return web.json_response(pairs)
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return web.Response(text=self._render_pairs_html(pairs), content_type="text/html")
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def _render_quality_html(self, quality: List[Dict[str, Any]]) -> str:
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rows = "".join(
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f"<tr>"
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f"<td>{q.get('instrument','')}</td>"
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f"<td>{q.get('record_count','')}</td>"
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f"<td>{q.get('latest_tstamp','')}</td>"
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f"<td>{q.get('status','')}</td>"
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f"<td>{q.get('reason','')}</td>"
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f"</tr>"
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for q in sorted(quality, key=lambda x: str(x.get("instrument", "")))
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)
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return f"""
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<!DOCTYPE html>
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<html>
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<head>
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<meta charset='utf-8'/>
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<title>Data Quality</title>
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<style>
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body {{ font-family: Arial, sans-serif; margin: 20px; }}
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table {{ border-collapse: collapse; width: 100%; }}
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th, td {{ border: 1px solid #ccc; padding: 8px; text-align: left; }}
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th {{ background: #f2f2f2; }}
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</style>
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</head>
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<body>
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<h2>Data Quality</h2>
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<table>
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<thead>
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<tr><th>Instrument</th><th>Records</th><th>Latest</th><th>Status</th><th>Reason</th></tr>
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</thead>
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<tbody>{rows}</tbody>
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</table>
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</body>
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</html>
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"""
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def _render_pairs_html(self, pairs: List[Dict[str, Any]]) -> str:
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if not pairs:
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body = "<p>No pairs available. Check data quality and try again.</p>"
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else:
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body_rows = []
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for p in pairs:
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body_rows.append(
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"<tr>"
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f"<td>{p.get('instrument_a','')}</td>"
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f"<td>{p.get('instrument_b','')}</td>"
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f"<td data-value='{p.get('rank_eg',0)}'>{p.get('rank_eg','')}</td>"
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f"<td data-value='{p.get('rank_adf',0)}'>{p.get('rank_adf','')}</td>"
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f"<td data-value='{p.get('rank_j',0)}'>{p.get('rank_j','')}</td>"
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f"<td data-value='{p.get('pvalue_eg','')}'>{p.get('pvalue_eg','')}</td>"
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f"<td data-value='{p.get('pvalue_adf','')}'>{p.get('pvalue_adf','')}</td>"
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f"<td data-value='{p.get('pvalue_j','')}'>{p.get('pvalue_j','')}</td>"
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"</tr>"
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)
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body = "\n".join(body_rows)
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return f"""
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<!DOCTYPE html>
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<html>
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<head>
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<meta charset='utf-8'/>
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<title>Pair Selection</title>
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<style>
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body {{ font-family: Arial, sans-serif; margin: 20px; }}
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table {{ border-collapse: collapse; width: 100%; }}
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th, td {{ border: 1px solid #ccc; padding: 8px; text-align: left; }}
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th.sortable {{ cursor: pointer; background: #f2f2f2; }}
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</style>
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</head>
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<body>
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<h2>Pair Selection</h2>
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<table id="pairs-table">
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<thead>
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<tr>
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<th>Instrument A</th>
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<th>Instrument B</th>
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<th class="sortable" data-type="num">Rank-EG</th>
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<th class="sortable" data-type="num">Rank-ADF</th>
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<th class="sortable" data-type="num">Rank-J</th>
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<th>EG p-value</th>
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<th>ADF p-value</th>
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<th>Johansen pseudo p</th>
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</tr>
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</thead>
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<tbody>
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{body}
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</tbody>
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</table>
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<script>
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(function() {{
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const table = document.getElementById('pairs-table');
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if (!table) return;
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const getValue = (cell) => {{
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const val = cell.getAttribute('data-value');
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const num = parseFloat(val);
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return isNaN(num) ? val : num;
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}};
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const toggleSort = (index, isNumeric) => {{
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const tbody = table.querySelector('tbody');
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const rows = Array.from(tbody.querySelectorAll('tr'));
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const th = table.querySelectorAll('th')[index];
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const dir = th.getAttribute('data-dir') === 'asc' ? 'desc' : 'asc';
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th.setAttribute('data-dir', dir);
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rows.sort((a, b) => {{
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const va = getValue(a.children[index]);
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const vb = getValue(b.children[index]);
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if (isNumeric && !isNaN(va) && !isNaN(vb)) {{
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return dir === 'asc' ? va - vb : vb - va;
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}}
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return dir === 'asc'
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? String(va).localeCompare(String(vb))
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: String(vb).localeCompare(String(va));
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}});
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tbody.innerHTML = '';
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rows.forEach(r => tbody.appendChild(r));
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}};
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table.querySelectorAll('th.sortable').forEach((th, idx) => {{
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th.addEventListener('click', () => toggleSort(idx, th.dataset.type === 'num'));
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}});
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}})();
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</script>
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</body>
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</html>
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"""
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if __name__ == "__main__":
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App()
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CvttAppConfig()
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PairSelector()
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App.instance().run()
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