progress
This commit is contained in:
Oleg Sheynin
@@ -1,6 +1,7 @@
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from __future__ import annotations
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from typing import Callable, Coroutine, List
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import asyncio
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from typing import Callable, Coroutine, Dict, List
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import aiohttp.web as web
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from cvttpy_tools.app import App
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@@ -16,9 +17,7 @@ from cvttpy_trading.trading.instrument import ExchangeInstrument
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from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
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from cvttpy_trading.trading.exchange_config import ExchangeAccounts
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# ---
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from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
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from pairs_trading.lib.live.mkt_data_client import CvttRestMktDataClient
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from pairs_trading.lib.live.ti_sender import TradingInstructionsSender
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'''
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config http://cloud16.cvtt.vpn/apps/pairs_trading
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@@ -27,27 +26,36 @@ config http://cloud16.cvtt.vpn/apps/pairs_trading
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HistMdCbT = Callable[[List[MdTradesAggregate]], Coroutine]
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UpdateMdCbT = Callable[[MdTradesAggregate], Coroutine]
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class PairsTrader(NamedObject):
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class PairTrader(NamedObject):
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config_: CvttAppConfig
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instruments_: List[ExchangeInstrument]
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book_id_: BookIdT
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live_strategy_: PtLiveStrategy
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live_strategy_: "PtLiveStrategy" #type: ignore
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ti_sender_: "TradingInstructionsSender" #type: ignore
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pricer_client_: CvttRestMktDataClient
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ti_sender_: TradingInstructionsSender
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rest_service_: RestService
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latest_history_: Dict[ExchangeInstrument, List[MdTradesAggregate]]
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def __init__(self) -> None:
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self.instruments_ = []
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self.latest_history_ = {}
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App.instance().add_cmdline_arg(
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"--pair",
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"--instrument_A",
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type=str,
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required=True,
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help=(
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"Comma-separated pair of instrument symbols"
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" with exchange config name"
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" (e.g., PAIR-BTC-USD:BNBSPOT,PAIR-ETH-USD:BNBSPOT)"
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" Instrument A in pair (e.g., COINBASE_AT:PAIR-BTC-USD)"
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),
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)
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App.instance().add_cmdline_arg(
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"--instrument_B",
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type=str,
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required=True,
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help=(
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" Instrument B in pair (e.g., COINBASE_AT:PAIR-ETH-USD)"
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),
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)
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@@ -65,21 +73,21 @@ class PairsTrader(NamedObject):
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self.book_id_ = App.instance().get_argument(name="book_id")
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# ------- PARSE INSTRUMENTS -------
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instr_str = App.instance().get_argument("pair", "")
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if not instr_str:
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raise ValueError("Pair is required")
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instr_list = instr_str.split(",")
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assert len(instr_list) == 2, "Only two instruments are supported"
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instr_list: List[str] = []
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instr_str = App.instance().get_argument("instrument_A", "")
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assert instr_str != "", "Missing insrument A"
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instr_list.append(instr_str)
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instr_str = App.instance().get_argument("instrument_B", "")
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assert instr_str != "", "Missing insrument B"
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instr_list.append(instr_str)
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for instr in instr_list:
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instr_parts = instr.split(":")
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if len(instr_parts) != 2:
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raise ValueError(f"Invalid pair format: {instr}")
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instrument_id = instr_parts[0]
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exch_acct = instr_parts[1]
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exch_acct = instr_parts[0]
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instrument_id = instr_parts[1]
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exch_inst = ExchangeAccounts.instance().get_exchange_instrument(exch_acct=exch_acct, instrument_id=instrument_id)
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assert exch_inst is not None, f"No ExchangeInstrument for {instr}"
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exch_inst.user_data_["exch_acct"] = exch_acct
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self.instruments_.append(exch_inst)
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@@ -87,20 +95,24 @@ class PairsTrader(NamedObject):
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Log.info(f"{self.fname()} Instruments: {self.instruments_[0].details_short()} <==> {self.instruments_[1].details_short()}")
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# ------- CREATE STRATEGY -------
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strategy_config = self.config_.get_subconfig("strategy_config", Config({}))
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from pairs_trading.lib.pt_strategy.live.live_strategy import PtLiveStrategy
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strategy_config = CvttAppConfig.instance() #self.config_.get_subconfig("strategy_config", Config({}))
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self.live_strategy_ = PtLiveStrategy(
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config=strategy_config,
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pairs_trader=self,
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)
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Log.info(f"{self.fname()} Strategy created: {self.live_strategy_}")
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model_name = self.config_.get_value("model/name", "?model/name?")
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self.config_.set_value("strategy_id", f"{self.live_strategy_.__class__.__name__}:{model_name}")
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# # ------- CREATE PRICER CLIENT -------
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self.pricer_client_ = CvttRestMktDataClient(config=self.config_)
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Log.info(f"{self.fname()} MD client created: {self.pricer_client_}")
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# ------- CREATE TRADER CLIENT -------
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from pairs_trading.lib.live.ti_sender import TradingInstructionsSender
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self.ti_sender_ = TradingInstructionsSender(config=self.config_, pairs_trader=self)
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Log.info(f"{self.fname()} TI sebder created: {self.ti_sender_}")
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Log.info(f"{self.fname()} TI sender created: {self.ti_sender_}")
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# # ------- CREATE REST SERVER -------
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self.rest_service_ = RestService(
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@@ -115,6 +127,7 @@ class PairsTrader(NamedObject):
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)
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async def subscribe_md(self) -> None:
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from functools import partial
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for exch_inst in self.instruments_:
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exch_acct = exch_inst.user_data_.get("exch_acct", "?exch_acct?")
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instrument_id = exch_inst.instrument_id()
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@@ -124,12 +137,19 @@ class PairsTrader(NamedObject):
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instrument_id=instrument_id,
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interval_sec=self.live_strategy_.interval_sec(),
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history_depth_sec=self.live_strategy_.history_depth_sec(),
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callback=self._on_md_summary
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callback=partial(self._on_md_summary, exch_inst=exch_inst)
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)
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async def _on_md_summary(self, history: List[MdTradesAggregate]) -> None:
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# Snapshot or update?
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await self.live_strategy_.on_mkt_data_hist_snapshot(hist_aggr=history)
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async def _on_md_summary(self, history: List[MdTradesAggregate], exch_inst: ExchangeInstrument) -> None:
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# URGENT before calling stragegy, make sure that **BOTH** instruments market data is combined.
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Log.info(f"DEBUG got {exch_inst.details_short()} data")
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self.latest_history_[exch_inst] = history
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if len(self.latest_history_) == 2:
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from itertools import chain
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all_aggrs = sorted(list(chain.from_iterable(self.latest_history_.values())), key=lambda X: X.time_ns_)
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await self.live_strategy_.on_mkt_data_hist_snapshot(hist_aggr=all_aggrs)
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self.latest_history_ = {}
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async def _on_api_request(self, request: web.Request) -> web.Response:
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# TODO choose pair
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@@ -139,10 +159,12 @@ class PairsTrader(NamedObject):
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async def run(self) -> None:
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Log.info(f"{self.fname()} ...")
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while True:
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await asyncio.sleep(0.1)
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pass
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if __name__ == "__main__":
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App()
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CvttAppConfig()
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PairsTrader()
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PairTrader()
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App.instance().run()
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