Merge pull request #85 from AsyncAlgoTrading/momentum

Momentum strategy and fixes

Makefile

@@ -14,6 +14,12 @@ iexintraday:    ## Clean and make target, run target
 iexpintraday:    ## Clean and make target, run target
 	$(PYTHON) -m aat ./private_config/iex_intraday.cfg
 
+iexmomentum:    ## Clean and make target, run target
+	$(PYTHON) -m aat ./config/iex_intraday_momentum.cfg
+
+iexpmomentum:    ## Clean and make target, run target
+	$(PYTHON) -m aat ./private_config/iex_intraday_momentum.cfg
+
 iexlive:    ## Clean and make target, run target
 	$(PYTHON) -m aat ./config/iex_live.cfg
 

README.md

@@ -123,6 +123,12 @@ class Strategy(metaclass=ABCMeta):
         '''submit a sell order. Note that this is merely a request for an order, it provides no guarantees that the order will
         execute. At a later point, if your order executes, you will receive an alert via the `sold` method'''
 
+    async def cancelAll(self, instrument: Instrument = None):
+        '''cancel all open orders'''
+
+    async def closeAll(self, instrument: Instrument = None):
+        '''close all open positions'''
+
     def orders(self, instrument: Instrument = None, exchange: ExchangeType = None, side: Side = None):
         '''select all open orders'''
 
@@ -165,6 +171,7 @@ class Strategy(metaclass=ABCMeta):
 
     def lookup(self, instrument):
         '''lookup an instrument on the exchange'''
+
 ```
 
 ### Example Strategy

aat/core/__init__.py

@@ -11,4 +11,4 @@
     pass
 
 # import last
-from .engine import TradingEngine  # noqa: F401
+from .engine import TradingEngine, StrategyManager  # noqa: F401

aat/core/engine/__init__.py

@@ -1 +1,2 @@
 from .engine import TradingEngine  # noqa: F401
+from .manager import StrategyManager  # noqa: F401

aat/core/handler/__init__.py

@@ -0,0 +1,2 @@
+from .handler import EventHandler  # noqa: F401
+from .print import PrintHandler  # noqa: F401

aat/core/handler.py → aat/core/handler/handler.py

@@ -1,12 +1,12 @@
 from abc import ABCMeta, abstractmethod
 from inspect import isabstract
 from typing import TYPE_CHECKING
-from .models import Event
-from ..config import EventType
+from ..models import Event
+from ...config import EventType
 
 if TYPE_CHECKING:
     # Circular import
-    from .engine.manager import StrategyManager
+    from ..engine import StrategyManager
 
 
 class EventHandler(metaclass=ABCMeta):
@@ -126,43 +126,6 @@ async def onCanceled(self, event: Event):
     #################
 
 
-class PrintHandler(EventHandler):
-    #########################
-    # Event Handler Methods #
-    #########################
-    def onTrade(self, event: Event):
-        '''Called whenever a `Trade` event is received'''
-        print(event)
-
-    def onOrder(self, event: Event):
-        '''Called whenever an Order `Open` event is received'''
-        print(event)
-
-    def onData(self, event: Event):
-        '''Called whenever other data is received'''
-        print(event)
-
-    def onHalt(self, event: Event):
-        '''Called whenever an exchange `Halt` event is received, i.e. an event to stop trading'''
-        print(event)
-
-    def onContinue(self, event: Event):
-        '''Called whenever an exchange `Continue` event is received, i.e. an event to continue trading'''
-        print(event)
-
-    def onError(self, event: Event):
-        '''Called whenever an internal error occurs'''
-        print(event)
-
-    def onStart(self, event: Event):
-        '''Called once at engine initialization time'''
-        print(event)
-
-    def onExit(self, event: Event):
-        '''Called once at engine exit time'''
-        print(event)
-
-
 setattr(EventHandler.onTrade, '_original', 1)
 setattr(EventHandler.onOrder, '_original', 1)
 setattr(EventHandler.onOpen, '_original', 1)

aat/core/handler/print.py

@@ -0,0 +1,39 @@
+from .handler import EventHandler
+from ..models import Event
+
+
+class PrintHandler(EventHandler):
+    #########################
+    # Event Handler Methods #
+    #########################
+    def onTrade(self, event: Event):
+        '''Called whenever a `Trade` event is received'''
+        print(event)
+
+    def onOrder(self, event: Event):
+        '''Called whenever an Order `Open` event is received'''
+        print(event)
+
+    def onData(self, event: Event):
+        '''Called whenever other data is received'''
+        print(event)
+
+    def onHalt(self, event: Event):
+        '''Called whenever an exchange `Halt` event is received, i.e. an event to stop trading'''
+        print(event)
+
+    def onContinue(self, event: Event):
+        '''Called whenever an exchange `Continue` event is received, i.e. an event to continue trading'''
+        print(event)
+
+    def onError(self, event: Event):
+        '''Called whenever an internal error occurs'''
+        print(event)
+
+    def onStart(self, event: Event):
+        '''Called once at engine initialization time'''
+        print(event)
+
+    def onExit(self, event: Event):
+        '''Called once at engine exit time'''
+        print(event)

aat/core/models/order.py

@@ -14,7 +14,7 @@
     _CPP = False
 
 
-def _make_cpp_order(volume, price, side, instrument, exchange=ExchangeType(""), notional=0.0, order_type=OrderType.LIMIT, flag=OrderFlag.NONE, stop_target=None):
+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)
 
@@ -46,7 +46,7 @@ def __new__(cls, *args, **kwargs):
             return _make_cpp_order(*args, **kwargs)
         return super(Order, cls).__new__(cls)
 
-    def __init__(self, volume, price, side, instrument, exchange=ExchangeType(""), notional=0.0, order_type=OrderType.LIMIT, flag=OrderFlag.NONE, stop_target=None):
+    def __init__(self, volume, price, side, instrument, exchange=ExchangeType(""), notional=0.0, order_type=OrderType.MARKET, flag=OrderFlag.NONE, stop_target=None):
         self.__id = 0  # on construction, provide no ID until exchange assigns one
         self.__timestamp = datetime.now()
         self.__type = DataType.ORDER
@@ -137,7 +137,7 @@ def id(self, id: int) -> None:
         self.__id = id
 
     @property
-    def timestamp(self) -> int:
+    def timestamp(self) -> datetime:
         return self.__timestamp
 
     @timestamp.setter
@@ -182,7 +182,7 @@ def __eq__(self, other) -> bool:
     def to_json(self) -> Mapping[str, Union[str, int, float]]:
         return \
             {'id': self.id,
-             'timestamp': self.timestamp,
+             'timestamp': self.timestamp.timestamp(),
              'volume': self.volume,
              'price': self.price,
              'side': self.side.value,

aat/core/models/trade.py

@@ -1,4 +1,5 @@
 from collections import deque
+from datetime import datetime
 from typing import Mapping, Type, Union, List, Dict
 from .order import Order
 from ...config import DataType, Side
@@ -61,7 +62,7 @@ def __init__(self, volume, price, maker_orders, taker_order):
     # Readonly #
     # ******** #
     @property
-    def timestamp(self) -> int:
+    def timestamp(self) -> datetime:
         return self.taker_order.timestamp
 
     @property
@@ -141,7 +142,7 @@ def to_json(self) -> Mapping[str, Union[str, int, float]]:
             [{'maker_order{}.' + k: v for k, v in order.to_json().items()} for i, order in enumerate(self.maker_orders)]
 
         ret: Dict[str, Union[str, int, float]] = \
-            {'id': self.id, 'timestamp': self.timestamp,
+            {'id': self.id, 'timestamp': self.timestamp.timestamp(),
              'price': self.price, 'volume': self.volume}
 
         # update with taker order dict

aat/core/risk/__init__.py

@@ -1,2 +1 @@
-from .calculations import CalculationsMixin  # noqa: F401
 from .risk import RiskManager  # noqa: F401

aat/core/risk/risk.py

@@ -32,19 +32,18 @@ def newPosition(self, trade: Trade):
             prev_price: float = cur_pos.price
             prev_notional: float = prev_size * prev_price
 
-            # FIXME separate maker, taker
             cur_pos.size = (cur_pos.size + (my_order.volume if my_order.side == Side.BUY else -1 * my_order.volume), trade.timestamp)
 
-            if (prev_size > 0 and cur_pos.size > prev_size) or (prev_size < 0 and cur_pos.size < prev_size):  # type: ignore
+            if (prev_size >= 0 and cur_pos.size > prev_size) or (prev_size <= 0 and cur_pos.size < prev_size):  # type: ignore
                 # increasing position size
                 # update average price
                 cur_pos.price = ((prev_notional + (my_order.volume * trade.price)) / cur_pos.size, trade.timestamp)
 
             elif (prev_size > 0 and cur_pos.size < 0) or (prev_size < 0 and cur_pos.size > 0):  # type: ignore
                 # decreasing position size in one direction, increasing position size in other
                 # update realized pnl
-                pnl = cur_pos.pnl + (prev_size * (trade.price - prev_price))
-                cur_pos.pnl = (pnl, trade.timestamp)  # update realized pnl with closing position
+                pnl = (prev_size * (trade.price - prev_price))
+                cur_pos.pnl = (cur_pos.pnl + pnl, trade.timestamp)  # update realized pnl with closing position
 
                 # deduct from unrealized pnl
                 cur_pos.unrealizedPnl = (cur_pos.unrealizedPnl - pnl, trade.timestamp)
@@ -55,13 +54,13 @@ def newPosition(self, trade: Trade):
             else:
                 # decreasing position size
                 # update realized pnl
-                pnl = cur_pos.pnl + (prev_size * (trade.price - prev_price))
-                cur_pos.pnl = (pnl, trade.timestamp)  # update realized pnl with closing position
+                pnl = (prev_size * (trade.price - prev_price))
+                cur_pos.pnl = (cur_pos.pnl + pnl, trade.timestamp)  # update realized pnl with closing position
 
                 # deduct from unrealized pnl
                 cur_pos.unrealizedPnl = (cur_pos.unrealizedPnl - pnl, trade.timestamp)
 
-            # TODO close if side is 0
+            # TODO close if side is 0?
 
         else:
             self._active_positions[trade.instrument] = Position(price=trade.price,

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

@@ -16,7 +16,7 @@ namespace aat {
 namespace core {
   struct Order : public _EventTarget {
     Order(uint_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument instrument,
-      ExchangeType exchange = NullExchange, double notional = 0.0, OrderType order_type = OrderType::LIMIT,
+      ExchangeType exchange = NullExchange, double notional = 0.0, OrderType order_type = OrderType::MARKET,
       OrderFlag flag = OrderFlag::NONE, std::shared_ptr<Order> stop_target = nullptr);
 
     virtual str_t toString() const;
@@ -33,7 +33,7 @@ namespace core {
     double price;
     const Side side;
 
-    const OrderType order_type = OrderType::LIMIT;
+    const OrderType order_type = OrderType::MARKET;
     const OrderFlag flag = OrderFlag::NONE;
     const std::shared_ptr<Order> stop_target = nullptr;
     double notional = 0.0;

aat/exchange/public/iex.py

@@ -120,12 +120,18 @@ def _callback(record):
 
         else:
             dfs = []
+            insts = set()
+
             if self._timeframe != '1d':
                 for i in tqdm(self._subscriptions, desc="Fetching data..."):
+                    if i.name in insts:
+                        continue
+
                     df = self._client.chartDF(i.name, timeframe=self._timeframe)
                     df = df[['close', 'volume']]
                     df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
                     dfs.append(df)
+                    insts.add(i.name)
 
                 data = pd.concat(dfs, axis=1)
                 data.sort_index(inplace=True)
@@ -135,6 +141,9 @@ def _callback(record):
 
             else:
                 for i in tqdm(self._subscriptions, desc="Fetching data..."):
+                    if i.name in insts:
+                        continue
+
                     date = self._start_date
                     subdfs = []
                     while date <= self._end_date:
@@ -145,6 +154,7 @@ def _callback(record):
                             subdfs.append(df)
                         date += timedelta(days=1)
                     dfs.append(pd.concat(subdfs))
+                    insts.add(i.name)
 
                 data = pd.concat(dfs, axis=1)
                 data.index = [x + timedelta(hours=int(y.split(':')[0]), minutes=int(y.split(':')[1])) for x, y in data.index]