Merge pull request #116 from AsyncAlgoTrading/coinbase

Coinbase updates

aat/core/data/order.py

@@ -16,7 +16,7 @@
 
 def _make_cpp_order(volume, price, side, instrument, exchange=ExchangeType(""), notional=0.0, order_type=OrderType.MARKET, flag=OrderFlag.NONE, stop_target=None):
     '''helper method to ensure all arguments are setup'''
-    return OrderCpp(0, datetime.now(), volume, price, side, instrument, exchange, notional, order_type, flag, stop_target)
+    return OrderCpp("0", datetime.now(), volume, price, side, instrument, exchange, notional, order_type, flag, stop_target)
 
 
 class Order(object):
@@ -69,8 +69,8 @@ def __init__(self, volume, price, side, instrument, exchange=ExchangeType(""), n
         assert (order_type != OrderType.STOP and stop_target is None) or (isinstance(stop_target, Order) and order_type == OrderType.STOP and stop_target.order_type != OrderType.STOP)
         assert order_type != OrderType.STOP or (isinstance(stop_target.instrument, Instrument))
 
-        self.__volume = volume
-        self.__price = price
+        self.__volume = round(volume, 8)
+        self.__price = round(price, 4)
         self.__side = side
         self.__notional = notional
         self.__order_type = order_type
@@ -138,13 +138,13 @@ def finish(self) -> None:
     # Read/write #
     # ***********#
     @property
-    def id(self) -> int:
+    def id(self) -> str:
         return self.__id
 
     @id.setter
-    def id(self, id: int) -> None:
-        assert isinstance(id, int)
-        self.__id = id
+    def id(self, id: Union[str, int]) -> None:
+        assert isinstance(id, (int, str))
+        self.__id = str(id)
 
     @property
     def timestamp(self) -> datetime:
@@ -163,7 +163,10 @@ def volume(self) -> float:
     def volume(self, volume: float) -> None:
         assert isinstance(volume, (int, float))
         assert volume < float('inf') and (volume > 0 or self.order_type == OrderType.STOP)
+        volume = round(volume, 8)
+
         assert volume >= self.filled
+
         self.__volume = volume
 
     @property
@@ -173,6 +176,7 @@ def filled(self) -> float:
     @filled.setter
     def filled(self, filled: float) -> None:
         assert isinstance(filled, (int, float))
+        filled = round(filled, 8)
         assert filled <= self.volume
         self.__filled = filled
 
@@ -239,7 +243,7 @@ def fromJson(jsn):
     @staticmethod
     def perspectiveSchema() -> Mapping[str, Type]:
         return {
-            "id": int,
+            "id": str,
             "timestamp": int,
             "volume": float,
             "price": float,

aat/core/data/trade.py

@@ -41,7 +41,7 @@ def __new__(cls, *args, **kwargs):
         return super(Trade, cls).__new__(cls)
 
     def __init__(self, volume, price, maker_orders, taker_order):
-        self.__id = -1  # on construction, provide no ID until exchange assigns one
+        self.__id = ""  # on construction, provide no ID until exchange assigns one
         self.__type = DataType.TRADE
 
         assert(isinstance(price, (float, int)))
@@ -101,13 +101,13 @@ def finished(self):
     # Read/write #
     # ***********#
     @property
-    def id(self) -> int:
+    def id(self) -> str:
         return self.__id
 
     @id.setter
-    def id(self, id: int) -> None:
-        assert isinstance(id, int)
-        self.__id = id
+    def id(self, id: str) -> None:
+        assert isinstance(id, (str, int))
+        self.__id = str(id)
 
     @property
     def maker_orders(self) -> List[Order]:

aat/cpp/include/aat/core/data/order.hpp

@@ -15,7 +15,7 @@ using namespace aat::config;
 namespace aat {
 namespace core {
   struct Order : public _EventTarget {
-    Order(uint_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument& instrument,
+    Order(str_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument& instrument,
       ExchangeType& exchange = NullExchange, double notional = 0.0, OrderType order_type = OrderType::MARKET,
       OrderFlag flag = OrderFlag::NONE, std::shared_ptr<Order> stop_target = nullptr);
 
@@ -26,7 +26,7 @@ namespace core {
     virtual json toJson() const;
     virtual json perspectiveSchema() const;
 
-    uint_t id;
+    str_t id;
     timestamp_t timestamp;
     const DataType type;
     const Instrument instrument;

aat/cpp/include/aat/core/data/trade.hpp

@@ -16,7 +16,7 @@ using namespace aat::config;
 namespace aat {
 namespace core {
   struct Trade : public _EventTarget {
-    Trade(uint_t id, double volume, double price,
+    Trade(str_t id, double volume, double price,
       std::deque<std::shared_ptr<Order>> maker_orders = std::deque<std::shared_ptr<Order>>(),
       std::shared_ptr<Order> taker_order = nullptr)
       : id(id)
@@ -49,7 +49,7 @@ namespace core {
     virtual json toJson() const;
     virtual json perspectiveSchema() const;
 
-    uint_t id;
+    str_t id;
     timestamp_t timestamp;
     const DataType type;
 

aat/cpp/include/aat/python/binding.hpp

@@ -187,7 +187,7 @@ PYBIND11_MODULE(binding, m) {
     .def_readonly("target", &Event::target);
 
   py::class_<Order, std::shared_ptr<Order>>(m, "OrderCpp")
-    .def(py::init<uint_t, timestamp_t, double, double, Side, Instrument&, ExchangeType&, double, OrderType, OrderFlag,
+    .def(py::init<str_t, timestamp_t, double, double, Side, Instrument&, ExchangeType&, double, OrderType, OrderFlag,
            std::shared_ptr<Order>>(),
       py::arg("id").none(false), py::arg("timestamp").none(false), py::arg("volume").none(false),
       py::arg("price").none(false), py::arg("side").none(false), py::arg("instrument").none(false),
@@ -213,7 +213,7 @@ PYBIND11_MODULE(binding, m) {
     .def_readwrite("notional", &Order::notional);
 
   py::class_<Trade, std::shared_ptr<Trade>>(m, "TradeCpp")
-    .def(py::init<uint_t, double, double, std::deque<std::shared_ptr<Order>>, std::shared_ptr<Order>>())
+    .def(py::init<str_t, double, double, std::deque<std::shared_ptr<Order>>, std::shared_ptr<Order>>())
     .def("__repr__", &Trade::toString)
     .def("slippage", &Trade::slippage)
     .def("transactionCost", &Trade::transactionCost)

aat/cpp/src/core/data/order.cpp

@@ -8,7 +8,7 @@ using namespace aat::common;
 
 namespace aat {
 namespace core {
-  Order::Order(uint_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument& instrument,
+  Order::Order(str_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument& instrument,
     ExchangeType& exchange, double notional, OrderType order_type, OrderFlag flag, std::shared_ptr<Order> stop_target)
     : id(id)
     , timestamp(timestamp)
@@ -70,7 +70,7 @@ namespace core {
   json
   Order::perspectiveSchema() const {
     json ret;
-    ret["id"] = "int";
+    ret["id"] = "str";
     ret["timestamp"] = "int";
     ret["volume"] = "float";
     ret["price"] = "float";

aat/cpp/src/core/data/trade.cpp

@@ -42,7 +42,7 @@ namespace core {
   json
   Trade::perspectiveSchema() const {
     json ret;
-    ret["id"] = "int";
+    ret["id"] = "str";
     ret["timestamp"] = "int";
     ret["volume"] = "float";
     ret["price"] = "float";

aat/cpp/src/core/order_book/collector.cpp

@@ -78,7 +78,7 @@ namespace core {
       throw AATCPPException("Accumulation error occurred");
     }
 
-    push(std::make_shared<Event>(EventType::TRADE, std::make_shared<Trade>(0, price, volume, orders, taker_order)));
+    push(std::make_shared<Event>(EventType::TRADE, std::make_shared<Trade>("", price, volume, orders, taker_order)));
     this->taker_order = taker_order;
   }
 

aat/engine/dispatch/risk/risk.py

@@ -49,7 +49,6 @@ def risk(self, position=None):
     # *********************
     async def newOrder(self, strategy, order: Order):
         # TODO
-        print('adding order: {}'.format(order))
         self._active_orders.append(order)  # TODO use strategy
         return order, True