Merge pull request #172 from LouisSzeto/atreyu-existing-portfolio-state

Initial cash balance for live paper trading

README.md

@@ -241,7 +241,7 @@ Usage: lean cloud live deploy [OPTIONS] PROJECT
   --notify-insights.
 
 Options:
-  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Pro|Binance|Zerodha|Samco|Kraken|FTX]
+  --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Pro|Binance|Zerodha|Samco|Trading Technologies|Kraken|FTX]
                                   The brokerage to use
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -290,6 +290,25 @@ Options:
   --samco-trading-segment [equity|commodity]
                                   EQUITY if you are trading equities on NSE or BSE, COMMODITY if you are trading
                                   commodities on MCX
+  --tt-user-name TEXT             Your Trading Technologies username
+  --tt-session-password TEXT      Your Trading Technologies session password
+  --tt-account-name TEXT          Your Trading Technologies account name
+  --tt-rest-app-key TEXT          Your Trading Technologies REST app key
+  --tt-rest-app-secret TEXT       Your Trading Technologies REST app secret
+  --tt-rest-environment TEXT      The REST environment to run in
+  --tt-market-data-sender-comp-id TEXT
+                                  The market data sender comp id to use
+  --tt-market-data-target-comp-id TEXT
+                                  The market data target comp id to use
+  --tt-market-data-host TEXT      The host of the market data server
+  --tt-market-data-port TEXT      The port of the market data server
+  --tt-order-routing-sender-comp-id TEXT
+                                  The order routing sender comp id to use
+  --tt-order-routing-target-comp-id TEXT
+                                  The order routing target comp id to use
+  --tt-order-routing-host TEXT    The host of the order routing server
+  --tt-order-routing-port TEXT    The port of the order routing server
+  --tt-log-fix-messages BOOLEAN   Whether FIX messages should be logged
   --kraken-api-key TEXT           Your Kraken API key
   --kraken-api-secret TEXT        Your Kraken API secret
   --kraken-verification-tier [Starter|Intermediate|Pro]
@@ -314,6 +333,7 @@ Options:
   --notify-sms TEXT               A comma-separated list of phone numbers configuring SMS-notifications
   --notify-telegram TEXT          A comma-separated list of 'user/group Id:token(optional)' pairs configuring telegram-
                                   notifications
+  --live-cash-balance TEXT        A comma-separated list of currency:amount pairs of initial cash balance
   --push                          Push local modifications to the cloud before starting live trading
   --open                          Automatically open the live results in the browser once the deployment starts
   --verbose                       Enable debug logging
@@ -987,6 +1007,7 @@ Options:
   --release                       Compile C# projects in release configuration instead of debug
   --image TEXT                    The LEAN engine image to use (defaults to quantconnect/lean:latest)
   --python-venv TEXT              The path of the python virtual environment to be used
+  --live-cash-balance TEXT        A comma-separated list of currency:amount pairs of initial cash balance
   --update                        Pull the LEAN engine image before starting live trading
   --lean-config FILE              The Lean configuration file that should be used (defaults to the nearest lean.json)
   --verbose                       Enable debug logging

lean/commands/cloud/live/deploy.py

@@ -12,20 +12,22 @@
 # limitations under the License.
 
 import webbrowser
-from typing import Dict, List, Tuple, Optional
+from typing import List, Tuple, Optional
 import click
 from lean.click import LeanCommand, ensure_options
 from lean.components.api.api_client import APIClient
 from lean.components.util.logger import Logger
 from lean.container import container
 from lean.models.api import (QCEmailNotificationMethod, QCNode, QCNotificationMethod, QCSMSNotificationMethod,
                              QCWebhookNotificationMethod, QCTelegramNotificationMethod, QCProject)
+from lean.models.json_module import LiveCashBalanceInput
 from lean.models.logger import Option
 from lean.models.brokerages.cloud.cloud_brokerage import CloudBrokerage
-from lean.models.configuration import Configuration, InfoConfiguration, InternalInputUserInput, OrganzationIdConfiguration
+from lean.models.configuration import InternalInputUserInput, OrganzationIdConfiguration
 from lean.models.click_options import options_from_json
 from lean.models.brokerages.cloud import all_cloud_brokerages
 from lean.commands.cloud.live.live import live
+from lean.components.util.live_utils import _get_configs_for_options, get_latest_cash_state, configure_initial_cash_balance
 
 def _log_notification_methods(methods: List[QCNotificationMethod]) -> None:
     """Logs a list of notification methods."""
@@ -160,22 +162,13 @@ def _configure_auto_restart(logger: Logger) -> bool:
     logger.info("This can help improve its resilience to temporary errors such as a brokerage API disconnection")
     return click.confirm("Do you want to enable automatic algorithm restarting?", default=True)
 
-#TODO: same duplication present in commands\live.py
-def _get_configs_for_options() -> Dict[Configuration, str]: 
-    run_options: Dict[str, Configuration] = {}
-    for module in all_cloud_brokerages:
-        for config in module.get_all_input_configs([InternalInputUserInput, InfoConfiguration]):
-            if config._id in run_options:
-                raise ValueError(f'Options names should be unique. Duplicate key present: {config._id}')
-            run_options[config._id] = config
-    return list(run_options.values())
 
 @live.command(cls=LeanCommand, default_command=True, name="deploy")
 @click.argument("project", type=str)
 @click.option("--brokerage",
               type=click.Choice([b.get_name() for b in all_cloud_brokerages], case_sensitive=False),
               help="The brokerage to use")
-@options_from_json(_get_configs_for_options())
+@options_from_json(_get_configs_for_options("cloud"))
 @click.option("--node", type=str, help="The name or id of the live node to run on")
 @click.option("--auto-restart", type=bool, help="Whether automatic algorithm restarting must be enabled")
 @click.option("--notify-order-events", type=bool, help="Whether notifications must be sent for order events")
@@ -188,6 +181,9 @@ def _get_configs_for_options() -> Dict[Configuration, str]:
               help="A comma-separated list of 'url:HEADER_1=VALUE_1:HEADER_2=VALUE_2:etc' pairs configuring webhook-notifications")
 @click.option("--notify-sms", type=str, help="A comma-separated list of phone numbers configuring SMS-notifications")
 @click.option("--notify-telegram", type=str, help="A comma-separated list of 'user/group Id:token(optional)' pairs configuring telegram-notifications")
+@click.option("--live-cash-balance",
+              type=str,
+              help=f"A comma-separated list of currency:amount pairs of initial cash balance")
 @click.option("--push",
               is_flag=True,
               default=False,
@@ -206,6 +202,7 @@ def deploy(project: str,
          notify_webhooks: Optional[str],
          notify_sms: Optional[str],
          notify_telegram: Optional[str],
+         live_cash_balance: Optional[str],
          push: bool,
          open_browser: bool,
          **kwargs) -> None:
@@ -289,6 +286,13 @@ def deploy(project: str,
     brokerage_settings = brokerage_instance.get_settings()
     price_data_handler = brokerage_instance.get_price_data_handler()
 
+    cash_balance_option = brokerage_instance._initial_cash_balance
+    if cash_balance_option != LiveCashBalanceInput.NotSupported:
+        previous_cash_state = get_latest_cash_state(api_client, cloud_project.projectId, project)
+        live_cash_balance = configure_initial_cash_balance(logger, cash_balance_option, live_cash_balance, previous_cash_state)
+    elif live_cash_balance is not None and live_cash_balance != "":
+        raise RuntimeError(f"Custom cash balance setting is not available for {brokerage_instance.get_name()}")
+
     logger.info(f"Brokerage: {brokerage_instance.get_name()}")
     logger.info(f"Project id: {cloud_project.projectId}")
     logger.info(f"Environment: {brokerage_settings['environment'].title()}")
@@ -300,6 +304,8 @@ def deploy(project: str,
     logger.info(f"Insight notifications: {'Yes' if notify_insights else 'No'}")
     if notify_order_events or notify_insights:
         _log_notification_methods(notify_methods)
+    if live_cash_balance:
+        logger.info(f"Initial live cash balance: {live_cash_balance}")
     logger.info(f"Automatic algorithm restarting: {'Yes' if auto_restart else 'No'}")
 
     if brokerage is None:
@@ -316,7 +322,8 @@ def deploy(project: str,
                                            cloud_project.leanVersionId,
                                            notify_order_events,
                                            notify_insights,
-                                           notify_methods)
+                                           notify_methods,
+                                           live_cash_balance)
 
     logger.info(f"Live url: {live_algorithm.get_url()}")
 

lean/commands/live/deploy.py

@@ -15,6 +15,7 @@
 import subprocess
 import time
 from datetime import datetime
+import json
 from pathlib import Path
 from typing import Any, Dict, List, Optional, Tuple
 import click
@@ -25,10 +26,11 @@
 from lean.models.errors import MoreInfoError
 from lean.models.lean_config_configurer import LeanConfigConfigurer
 from lean.models.logger import Option
-from lean.models.configuration import Configuration, InfoConfiguration, InternalInputUserInput, OrganzationIdConfiguration
+from lean.models.configuration import InternalInputUserInput, OrganzationIdConfiguration
 from lean.models.click_options import options_from_json
-from lean.models.json_module import JsonModule
+from lean.models.json_module import JsonModule, LiveCashBalanceInput
 from lean.commands.live.live import live
+from lean.components.util.live_utils import _get_configs_for_options, get_latest_cash_state, configure_initial_cash_balance
 from lean.models.data_providers import all_data_providers
 
 _environment_skeleton = {
@@ -172,7 +174,6 @@ def _configure_lean_config_interactively(lean_config: Dict[str, Any], environmen
             setattr(data_feed, '_is_installed_and_build', True)
         data_feed.build(lean_config, logger).configure(lean_config, environment_name)
 
-
 _cached_organizations = None
 
 
@@ -262,21 +263,6 @@ def _get_default_value(key: str) -> Optional[Any]:
 
     return value
 
-def _get_configs_for_options() -> List[Configuration]: 
-    run_options: Dict[str, Configuration] = {}
-    config_with_module_id: Dict[str, str] = {}
-    for module in all_local_brokerages + all_local_data_feeds + all_data_providers:
-        for config in module.get_all_input_configs([InternalInputUserInput, InfoConfiguration]):
-            if config._id in run_options:
-                if (config._id in config_with_module_id 
-                    and config_with_module_id[config._id] == module._id):
-                    # config of same module
-                    continue
-                else:
-                    raise ValueError(f'Options names should be unique. Duplicate key present: {config._id}')
-            run_options[config._id] = config
-            config_with_module_id[config._id] = module._id
-    return list(run_options.values())
 
 @live.command(cls=LeanCommand, requires_lean_config=True, requires_docker=True, default_command=True, name="deploy")
 @click.argument("project", type=PathParameter(exists=True, file_okay=True, dir_okay=True))
@@ -300,7 +286,7 @@ def _get_configs_for_options() -> List[Configuration]:
 @click.option("--data-provider",
               type=click.Choice([dp.get_name() for dp in all_data_providers], case_sensitive=False),
               help="Update the Lean configuration file to retrieve data from the given provider")
-@options_from_json(_get_configs_for_options())
+@options_from_json(_get_configs_for_options("local"))
 @click.option("--release",
               is_flag=True,
               default=False,
@@ -311,6 +297,9 @@ def _get_configs_for_options() -> List[Configuration]:
 @click.option("--python-venv",
               type=str,
               help=f"The path of the python virtual environment to be used")
+@click.option("--live-cash-balance",
+              type=str,
+              help=f"A comma-separated list of currency:amount pairs of initial cash balance")
 @click.option("--update",
               is_flag=True,
               default=False,
@@ -325,6 +314,7 @@ def deploy(project: Path,
         release: bool,
         image: Optional[str],
         python_venv: Optional[str],
+        live_cash_balance: Optional[str],
         update: bool,
         **kwargs) -> None:
     """Start live trading a project locally using Docker.
@@ -422,9 +412,19 @@ def deploy(project: Path,
 
     output_config_manager = container.output_config_manager()
     lean_config["algorithm-id"] = f"L-{output_config_manager.get_live_deployment_id(output)}"
-    
+
     if python_venv is not None and python_venv != "":
         lean_config["python-venv"] = f'{"/" if python_venv[0] != "/" else ""}{python_venv}'
 
+    cash_balance_option = env_brokerage._initial_cash_balance
+    logger = container.logger()
+    if cash_balance_option != LiveCashBalanceInput.NotSupported:
+        previous_cash_state = get_latest_cash_state(container.api_client(), project_config.get("cloud-id", None), project)
+        live_cash_balance = configure_initial_cash_balance(logger, cash_balance_option, live_cash_balance, previous_cash_state)
+        if live_cash_balance:
+            lean_config["live-cash-balance"] = live_cash_balance
+    elif live_cash_balance is not None and live_cash_balance != "":
+        raise RuntimeError(f"Custom cash balance setting is not available for {brokerage}")
+
     lean_runner = container.lean_runner()
     lean_runner.run_lean(lean_config, environment_name, algorithm_file, output, engine_image, None, release, detach)

lean/commands/report.py

@@ -22,6 +22,7 @@
 from lean.constants import DEFAULT_ENGINE_IMAGE, PROJECT_CONFIG_FILE_NAME
 from lean.container import container
 from lean.models.errors import MoreInfoError
+from lean.components.util.live_utils import get_state_json
 
 
 def _find_project_directory(backtest_file: Path) -> Optional[Path]:
@@ -107,18 +108,13 @@ def report(backtest_results: Optional[Path],
         raise RuntimeError(f"{report_destination} already exists, use --overwrite to overwrite it")
 
     if backtest_results is None:
-        backtest_json_files = list(Path.cwd().rglob("backtests/*/*.json"))
-        result_json_files = [f for f in backtest_json_files if
-                             not f.name.endswith("-order-events.json") and not f.name.endswith("alpha-results.json")]
-
-        if len(result_json_files) == 0:
+        backtest_results = get_state_json("backtests")
+        if not backtest_results:
             raise MoreInfoError(
-                "Could not find a recent backtest result file, please use the --backtest-results option",
-                "https://www.lean.io/docs/v2/lean-cli/reports#02-Generate-Reports"
+            "Could not find a recent backtest result file, please use the --backtest-results option",
+            "https://www.lean.io/docs/v2/lean-cli/reports#02-Generate-Reports"
             )
 
-        backtest_results = sorted(result_json_files, key=lambda f: f.stat().st_mtime, reverse=True)[0]
-
     logger = container.logger()
 
     if live_results is None:

lean/components/api/live_client.py

@@ -56,13 +56,14 @@ def start(self,
               project_id: int,
               compile_id: str,
               node_id: str,
-              brokerage_settings: Dict[str, str],
+              brokerage_settings: Dict[str, Any],
               price_data_handler: str,
               automatic_redeploy: bool,
               version_id: int,
               notify_order_events: bool,
               notify_insights: bool,
-              notify_methods: List[QCNotificationMethod]) -> QCMinimalLiveAlgorithm:
+              notify_methods: List[QCNotificationMethod],
+              live_cash_balance: Optional[List[Dict[str, float]]] = None) -> QCMinimalLiveAlgorithm:
         """Starts live trading for a project.
 
         :param project_id: the id of the project to start live trading for
@@ -75,9 +76,13 @@ def start(self,
         :param notify_order_events: whether notifications should be sent on order events
         :param notify_insights: whether notifications should be sent on insights
         :param notify_methods: the places to send notifications to
+        :param live_cash_balance: the list of initial cash balance
         :return: the created live algorithm
         """
 
+        if live_cash_balance:
+            brokerage_settings["cash"] = live_cash_balance
+
         parameters = {
             "projectId": project_id,
             "compileId": compile_id,