Merge pull request #56 from AsyncAlgoTrading/windows

starting on windows support
AsyncAlgoTrading · Jun 14, 2020 · 0aee0f9 · 0aee0f9
2 parents af4bac5 + 5f1de86
commit 0aee0f9
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Showing 8 changed files with 140 additions and 91 deletions.
diff --git a/.gitignore b/.gitignore
@@ -4,6 +4,7 @@ __pycache__/
 
 # C extensions
 *.so
+*.dll
 
 # Distribution / packaging
 .Python

diff --git a/CMakeLists.txt b/CMakeLists.txt
@@ -2,8 +2,6 @@ cmake_minimum_required(VERSION 3.7.2)
 project(aat)
 
 set(CMAKE_BUILD_TYPE "Release")
-set(CMAKE_CXX_FLAGS_RELEASE "-O3 -DNDEBUG")
-set(CMAKE_C_FLAGS_RELEASE "-O3 -DNDEBUG")
 
 set(CMAKE_CXX_STANDARD 14)
 set(CMAKE_EXPORT_COMPILE_COMMANDS ON)
@@ -141,23 +139,29 @@ endif()
 # VANILLA CPP BUILD #
 #####################
 if(CMAKE_BUILD_TYPE_LOWER STREQUAL debug)
-    set(OPT_FLAGS " \
+    set(FLAGS " \
         -O1 \
+        -DEBUG
         -g3 \
         ")
 else()
-    set(OPT_FLAGS " \
+    set(FLAGS " \
         -O3 \
+        -DNDEBUG
         -g0 \
         ")
 endif()
 
 set(CMAKE_CXX_FLAGS " \
     ${CMAKE_CXX_FLAGS} \
-    ${EXTENDED_FLAGS} \
+    ${OPT_FLAGS} \
+    ")
+set(CMAKE_C_FLAGS " \
+    ${CMAKE_C_FLAGS} \
     ${OPT_FLAGS} \
     ")
 
+
 message(WARNING "${BUILD_MESSAGE}")
 
 if(WIN32)
@@ -197,25 +201,17 @@ build_dep("json-pybind" "${AAT_CMAKE_MODULE_PATH}/Json_pybind.txt.in")
 build_dep("date" "${AAT_CMAKE_MODULE_PATH}/date.txt.in")
 
 if(MACOS)
-    # on mac, use the vanilla pybind11 finder
-    find_package(pybind11)
-    if(pybind11_FOUND)
-        # Homebrew install pybind11
-        set(PYTHON_PYBIND_FOUND pybind11_FOUND)
-    else()
-        # see if python installed pybind11 is available
-        find_package(Pybind)
-        if(PYTHON_PYBIND_FOUND)
-            # Need to add extra flags due to pybind weirness
-            # https://github.com/pybind/pybind11/blob/7830e8509f2adc97ce9ee32bf99cd4b82089cc4c/tools/pybind11Tools.cmake#L103
-            set(CMAKE_SHARED_LINKER_FLAGS "${CMAKE_SHARED_LINKER_FLAGS} -undefined dynamic_lookup")
-        endif()
+    # see if python installed pybind11 is available
+    find_package(Pybind)
+    if(PYTHON_PYBIND_FOUND)
+        # Need to add extra flags due to pybind weirness
+        # https://github.com/pybind/pybind11/blob/7830e8509f2adc97ce9ee32bf99cd4b82089cc4c/tools/pybind11Tools.cmake#L103
+        set(CMAKE_SHARED_LINKER_FLAGS "${CMAKE_SHARED_LINKER_FLAGS} -undefined dynamic_lookup")
     endif()
-
 else()
     # on linux or in docker, use our custom pybind finder to look 
     # for just the python installed pybind
-    find_package(Pybind)
+    find_package(Pybind11)
 endif()
 
 if(NOT PYTHON_PYBIND_FOUND)
@@ -237,7 +233,7 @@ include_directories( ${PYTHON_NUMPY_INCLUDE_DIR})
 #####################
 
 if (WIN32)
-    set(CMAKE_CXX_FLAGS " /EHsc")
+    set(CMAKE_CXX_FLAGS " /EHsc -DHAVE_SNPRINTF")
 else()
     if(CMAKE_CXX_COMPILER_ID STREQUAL "GNU")
         set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -std=c++1y")
@@ -267,8 +263,8 @@ set(CMAKE_SHARED_LIBRARY_PREFIX "")
 include_directories("${CMAKE_SOURCE_DIR}/cpp/include")
 
 set(SOURCE_FILES
-${CMAKE_SOURCE_DIR}/cpp/src/config/enums.cpp
-${CMAKE_SOURCE_DIR}/cpp/src/config/parser.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/config/enums.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/config/parser.cpp
     ${CMAKE_SOURCE_DIR}/cpp/src/core/instrument/instrument.cpp
     ${CMAKE_SOURCE_DIR}/cpp/src/core/exchange/exchange.cpp
     ${CMAKE_SOURCE_DIR}/cpp/src/core/models/data.cpp

diff --git a/Makefile b/Makefile
@@ -1,46 +1,47 @@
+PYTHON=python3.7
 CONFIG=./config/synthetic.cfg
 
 
 run:  build  ## Clean and make target, run target
-	python3 -m aat $(CONFIG)
+	$(PYTHON) -m aat $(CONFIG)
 
 runcpp:  build  ## Clean and make target, run target
-	AAT_USE_CPP=1 python3 -m aat $(CONFIG)
+	AAT_USE_CPP=1 $(PYTHON) -m aat $(CONFIG)
 
 rundebug:  debug  ## Clean and make debug target, run target
-	python3 -m aat $(CONFIG)
+	$(PYTHON) -m aat $(CONFIG)
 
 buildext: ## build the package extensions
-	python3 setup.py build_ext
+	$(PYTHON) setup.py build_ext
 
 build: ## build the package
-	python3 setup.py build
+	$(PYTHON) setup.py build
 
 debug: ## build debug build of the package
-	DEBUG=1 python3 setup.py build
+	DEBUG=1 $(PYTHON) setup.py build
 
 js:  ## build the js assets
 	cd js; yarn build
 
 install: ## install the package
-	python3 -m pip install .
+	$(PYTHON) -m pip install .
 
 tests: build testpy  ## Make unit tests
 
 testpy: ## Make unit tests
-	python3 -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch
+	$(PYTHON) -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch
 
 testpycpp: ## Make unit tests
-	# AAT_USE_CPP=1 python3 -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch --capture=no
-	AAT_USE_CPP=1 python3 -m pytest -s ./aat/tests
+	# AAT_USE_CPP=1 $(PYTHON) -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch --capture=no
+	AAT_USE_CPP=1 $(PYTHON) -m pytest -s ./aat/tests
 
 testjs:  ## Make js tests
 	cd js; yarn test
 
 lint: lintpy lintjs lintcpp  ## run all linters
 
 lintpy: ## run python linter
-	python3 -m flake8 aat setup.py
+	$(PYTHON) -m flake8 aat setup.py
 
 lintjs: ## run js linter
 	cd js; yarn lint
@@ -51,7 +52,7 @@ lintcpp: ## run cpp linter
 fix: fixpy fixjs fixcpp  ## run all fixers
 
 fixpy:  ## run autopep8 fix
-	python3 -m autopep8 --in-place -r -a -a aat/ setup.py
+	$(PYTHON) -m autopep8 --in-place -r -a -a aat/ setup.py
 
 fixcpp:  ## run clang-format
 	clang-format -i -style=file `find ./cpp -name "*.*pp"`
@@ -60,18 +61,18 @@ fixjs:  ## run clang-format
 	cd js; yarn fix
 
 annotate: ## MyPy type annotation check
-	python3 -m mypy aat
+	$(PYTHON) -m mypy aat
 
 annotate_l: ## MyPy type annotation check - count only
-	python3 -m mypy -s aat | wc -l 
+	$(PYTHON) -m mypy -s aat | wc -l 
 
 docs:  ## Build the sphinx docs
 	make -C docs html
 	open ./docs/_build/html/index.html
 
 dist:  ## dist to pypi
 	rm -rf dist build
-	python3 setup.py sdist bdist_wheel
+	$(PYTHON) setup.py sdist bdist_wheel
 	twine check dist/* && twine upload dist/*
 
 clean: ## clean the repository

diff --git a/aat/core/__init__.py b/aat/core/__init__.py
@@ -5,7 +5,10 @@
 from .order_book import OrderBook  # noqa: F401
 from .table import TableHandler  # noqa: F401
 
-from ..binding import InstrumentCpp, DataCpp, EventCpp, OrderCpp, TradeCpp, OrderBookCpp  # noqa: F401
+try:
+    from ..binding import InstrumentCpp, DataCpp, EventCpp, OrderCpp, TradeCpp, OrderBookCpp  # noqa: F401
+except ImportError:
+    pass
 
 # import last
 from .engine import TradingEngine  # noqa: F401
diff --git a/aat/core/engine/engine.py b/aat/core/engine/engine.py
@@ -6,7 +6,11 @@
 from traitlets.config.application import Application  # type: ignore
 from traitlets import validate, TraitError, Unicode, Bool, List, Instance  # type: ignore
 from tornado.web import StaticFileHandler, RedirectHandler, Application as TornadoApplication
-from perspective import PerspectiveManager, PerspectiveTornadoHandler  # type: ignore
+
+try:
+    from perspective import PerspectiveManager, PerspectiveTornadoHandler  # type: ignore
+except ImportError:
+    PerspectiveManager, PerspectiveTornadoHandler = None, None  # type: ignore
 
 from .manager import Manager
 from ..execution import ExecutionManager
@@ -48,7 +52,8 @@ class TradingEngine(Application):
 
     api_application = Instance(klass=TornadoApplication)
     api_handlers = List(default_value=[])
-    table_manager = Instance(klass=PerspectiveManager, args=(), kwargs={})
+
+    table_manager = Instance(klass=PerspectiveManager or object, args=(), kwargs={})  # failover to object
 
     aliases = {
         'port': 'AAT.port',
@@ -108,9 +113,12 @@ def __init__(self, **config):
         # install webserver
         if self.api:
             self.log.critical('Installing API handlers')
-            table_handler = TableHandler()
-            table_handler.installTables(self.table_manager)
-            self.registerHandler(table_handler)
+
+            if PerspectiveManager is not None:
+                table_handler = TableHandler()
+                table_handler.installTables(self.table_manager)
+                self.registerHandler(table_handler)
+
             self.api_handlers.append((r"/", RedirectHandler, {"url": "/index.html"}))
             self.api_handlers.append((r"/api/v1/ws", PerspectiveTornadoHandler, {"manager": self.table_manager, "check_origin": True}))
             self.api_handlers.append((r"/static/js/(.*)", StaticFileHandler, {"path": os.path.join(os.path.dirname(__file__), '..', '..', 'ui', 'assets', 'static', 'js')}))

diff --git a/aat/core/table.py b/aat/core/table.py
@@ -1,7 +1,19 @@
 from typing import Tuple
 from .models import Event, Order, Trade
 from .handler import EventHandler
-from perspective import Table  # type: ignore
+
+try:
+    from perspective import Table  # type: ignore
+except ImportError:
+    class Table(object):
+        def __init__(*args, **kwargs):
+            pass
+
+        def update(self, *args):
+            pass
+
+        def remove(self, *args):
+            pass
 
 
 class TableHandler(EventHandler):

diff --git a/azure-pipelines.yml b/azure-pipelines.yml
@@ -132,49 +132,77 @@ jobs:
         codeCoverageTool: Cobertura
         summaryFileLocation: '$(System.DefaultWorkingDirectory)/*coverage.xml'
 
-# - job: 'Windows'
-#   pool:
-#     vmImage: 'vs2017-win2016'
-
-#   strategy:
-#     matrix:
-#       Python37:
-#         python.version: '3.7'
-
-#   steps:
-#     - task: UsePythonVersion@0
-#       inputs:
-#         versionSpec: '$(python.version)'
-#       displayName: 'Use Python $(python.version)'
-
-#     - script: |
-#         which python > python.txt
-#         set /p PYTHON=<python.txt
-#         ln -s %PYTHON% %PYTHON%$(python.version)
-#         python --version
-#         which python$(python.version)
-#       displayName: "Which python"
-
-#     - script: |
-#         python -m pip install --upgrade pip
-#         pip install -e .[dev]
-#       displayName: 'Install dependencies'
-
-#     - script: |
-#         make lint
-#       displayName: 'Lint'
-
-#     - script: |
-#         make tests
-#       displayName: 'Test'
-
-#     - task: PublishTestResults@2
-#       condition: succeededOrFailed()
-#       inputs:
-#         testResultsFiles: 'python_junit.xml'
-#         testRunTitle: 'Publish test results for Python $(python.version) $(manylinux_flag)'
-
-#     - task: PublishCodeCoverageResults@1
-#       inputs: 
-#         codeCoverageTool: Cobertura
-#         summaryFileLocation: '$(System.DefaultWorkingDirectory)/*coverage.xml'
+- job: 'Windows'
+  pool:
+    vmImage: 'vs2017-win2016'
+
+  strategy:
+    matrix:
+      Python37:
+        python.version: '3.7'
+
+  steps:
+    - task: UsePythonVersion@0
+      inputs:
+        versionSpec: '$(python.version)'
+      displayName: 'Use Python $(python.version)'
+
+    - script: |
+        which python > python.txt
+        set /p PYTHON=<python.txt
+        ln -s %PYTHON% %PYTHON%$(python.version)
+        python --version
+        which python$(python.version)
+      displayName: "Which python"
+
+    - task: NodeTool@0
+      inputs:
+        versionSpec: '12.x'
+
+    - bash: npm install -g yarn
+      displayName: "Install Yarn"
+
+    - bash: cd js; yarn
+      displayName: 'Install JS dependencies'
+
+    - script: |
+        python -m pip install --upgrade pip numpy pyarrow==0.15.1 cpplint
+        pip install -e .[dev]
+      displayName: 'Install Python Dependencies'
+      env:
+        # Set `BOOST_ROOT` manually, as `BOOST_ROOT` is removed in the VM:
+        # https://github.com/actions/virtual-environments/issues/687
+        BOOST_ROOT: "C:/hostedtoolcache/windows/Boost/1.69.0/"
+        BOOST_INCLUDEDIR: "C:/hostedtoolcache/windows/Boost/1.69.0/include"
+        BOOST_LIBRARYDIR: "C:/hostedtoolcache/windows/Boost/1.69.0/libs"
+
+    - script: |
+        make lintpy
+      displayName: 'Lint Python'
+
+    - script: |
+        make lintjs
+      displayName: 'Lint JS'
+
+    - script: |
+        make lintcpp
+      displayName: 'Lint C++'
+
+    - script: |
+        make tests
+      displayName: 'Test'
+
+    - script: |
+        make testpycpp
+      displayName: 'Test C++'
+
+    - task: PublishTestResults@2
+      condition: succeededOrFailed()
+      inputs:
+        testResultsFiles: 'python_junit.xml'
+        testRunTitle: 'Publish test results for Python $(python.version) $(manylinux_flag)'
+
+    - task: PublishCodeCoverageResults@1
+      inputs: 
+        codeCoverageTool: Cobertura
+        summaryFileLocation: '$(System.DefaultWorkingDirectory)/*coverage.xml'
diff --git a/cmake/modules/FindPybind.cmake → cmake/modules/FindPybind11.cmake b/cmake/modules/FindPybind.cmake → cmake/modules/FindPybind11.cmake