fixes #21

aat/backtest.py

@@ -32,7 +32,7 @@ def run(self, engine) -> None:
             self.receive(line_to_data(row))
         log.info('Backtest done, running analysis.')
 
-        self.callback(TickType.ANALYZE, engine.portfolio_value(), engine.query().query_tradereqs(), engine.query().query_traderesps())
+        self.callback(TickType.ANALYZE, engine)
         log.info('Analysis completed.')
 
     def receive(self, data: MarketData) -> None:

aat/query.py

@@ -33,8 +33,14 @@ def query_exchanges(self) -> List[ExchangeType]:
         return self._exchanges
 
     def _paginate(self, instrument: Instrument, lst: list, lst_sub: list, page: int = 1)-> list:
-        from_ = -1*page*100
-        to_ = -1*(page-1)*100
+        if page is not None:
+            from_ = -1*page*100
+            to_ = -1*(page-1)*100
+        else:
+            # all results
+            page = 0
+            from_ = 0
+            to_ = -1
 
         if instrument:
             return lst_sub[instrument][from_:to_] \
@@ -95,7 +101,6 @@ def push(self, data: MarketData) -> None:
                 self._last_price_by_asset_and_exchange[data.instrument] = {}
             self._last_price_by_asset_and_exchange[data.instrument][data.exchange] = data
             self._last_price_by_asset_and_exchange[data.instrument]['ANY'] = data
-            print("here", self._last_price_by_asset_and_exchange[data.instrument][data.exchange])
 
     def push_tradereq(self, req: TradeRequest) -> None:
         self._trade_reqs.append(req)

aat/risk.py

@@ -1,3 +1,4 @@
+from datetime import datetime
 from .config import RiskConfig
 from .structs import TradeRequest, TradeResponse, Instrument
 from .enums import Side, TradeResult, OrderType, RiskReason, ExchangeType
@@ -28,9 +29,19 @@ def _constructResp(self,
                        order_type: OrderType,
                        vol: float,
                        price: float,
+                       time: datetime,
                        status: bool,
                        reason: RiskReason) -> TradeRequest:
-        resp = TradeRequest(side=side, exchange=exchange, instrument=instrument, order_type=order_type, volume=vol, price=price, risk_check=status, risk_reason=reason)
+        resp = TradeRequest(side=side,
+                            exchange=exchange,
+                            instrument=instrument,
+                            order_type=order_type,
+                            volume=vol,
+                            price=price,
+                            time=time,
+                            risk_check=status,
+                            risk_reason=reason,
+                            )
 
         if status == TradeResult.FILLED:  # FIXME
             self.outstanding += abs(vol * price) * (1 if side == Side.BUY else -1)
@@ -59,6 +70,7 @@ def request(self, req: TradeRequest) -> TradeRequest:
                                        order_type=req.order_type,
                                        vol=req.volume,
                                        price=req.price,
+                                       time=req.time,
                                        status=True,
                                        reason=RiskReason.NONE)
 
@@ -72,6 +84,7 @@ def request(self, req: TradeRequest) -> TradeRequest:
                                        order_type=req.order_type,
                                        vol=volume,
                                        price=req.price,
+                                       time=req.time,
                                        status=True,
                                        reason=RiskReason.PARTIAL)
 
@@ -83,6 +96,7 @@ def request(self, req: TradeRequest) -> TradeRequest:
                                    order_type=req.order_type,
                                    vol=volume,
                                    price=req.price,
+                                   time=req.time,
                                    status=False,
                                    reason=RiskReason.FULL)
 

aat/strategies/backtest.py

@@ -77,7 +77,7 @@ def onTrade(self, data: MarketData):
             self.state = ''
 
         if self.state == 'buy' and self.prev_state != 'buy' and \
-                self.bought == 0.0:  # watch for floating point error
+                self.bought == 0.0:  # watch for floating point  error
             req = TradeRequest(side=Side.BUY,
                                # buy between .2 and 1 BTC
                                volume=max(min(1.0, data.volume), .2),
@@ -104,24 +104,15 @@ def onTrade(self, data: MarketData):
     def onError(self, e: MarketData):
         elog.critical(e)
 
-    def onAnalyze(self, _):
+    def onAnalyze(self, portfolio_value, requests, responses) -> None:
         import pandas
         import matplotlib.pyplot as plt
         import seaborn as sns
 
-        # pd = pandas.DataFrame(self._actions,
-        #                       columns=['time', 'action', 'price'])
-
-        pd = pandas.DataFrame(self._portfolio_value, columns=['time', 'value'])
+        pd = pandas.DataFrame(portfolio_value, columns=['time', 'value'])
         pd.set_index(['time'], inplace=True)
 
         print(self.size, pd.iloc[1].value, pd.iloc[-1].value)
-        # sp500 = pandas.DataFrame()
-        # tmp = pandas.read_csv('./data/sp/sp500_v_kraken.csv')
-        # sp500['Date'] = pandas.to_datetime(tmp['Date'])
-        # sp500['Close'] = tmp['Close']
-        # sp500.set_index(['Date'], inplace=True)
-        # print(sp500)
 
         sns.set_style('darkgrid')
         fig, ax1 = plt.subplots()
@@ -131,13 +122,9 @@ def onAnalyze(self, _):
 
         ax1.set_ylabel('Portfolio value($)')
         ax1.set_xlabel('Date')
-        for xy in [self._portfolio_value[0]] + [self._portfolio_value[-1]]:
+        for xy in [portfolio_value[0]] + [portfolio_value[-1]]:
             ax1.annotate('$%s' % xy[1], xy=xy, textcoords='data')
 
-        # ax2 = ax1.twinx()
-        # ax2.plot(sp500, 'r')
-        # ax2.set_ylabel('S&P500 ($)')
-
         plt.show()
 
     def onChange(self, data: MarketData) -> None:

aat/strategies/buy_and_hold.py

@@ -24,7 +24,8 @@ def onTrade(self, data: MarketData) -> bool:
                                instrument=data.instrument,
                                order_type=OrderType.MARKET,
                                exchange=data.exchange,
-                               price=data.price)
+                               price=data.price,
+                               time=data.time)
             slog.info("requesting buy : %s", req)
             self.requestBuy(self.onBuy, req)
             return True
@@ -33,25 +34,59 @@ def onTrade(self, data: MarketData) -> bool:
     def onError(self, e) -> None:
         elog.critical(e)
 
-    def onAnalyze(self, portfolio_value, requests, responses) -> None:
+    def onAnalyze(self, engine) -> None:
         import pandas
         import matplotlib.pyplot as plt
         import seaborn as sns
 
+        portfolio_value = engine.portfolio_value()
+        requests = engine.query().query_tradereqs()
+        responses = engine.query().query_traderesps()
+        trades = pandas.DataFrame([{'time': x.time, 'price': x.price} for x in engine.query().query_trades(instrument=requests[0].instrument, page=None)])
+        trades.set_index(['time'], inplace=True)
+
         pd = pandas.DataFrame(portfolio_value, columns=['time', 'value'])
         pd.set_index(['time'], inplace=True)
 
         sns.set_style('darkgrid')
-        fig, ax1 = plt.subplots()
+        fig = plt.figure(figsize=(5, 8))
+        ax1 = fig.add_subplot(211)
+        ax2 = fig.add_subplot(212)
 
         plt.title('BTC algo 1 performance')
         ax1.plot(pd)
 
+        ax1.set_title('Performance')
         ax1.set_ylabel('Portfolio value($)')
-        ax1.set_xlabel('Date')
         for xy in [portfolio_value[0]] + [portfolio_value[-1]]:
             ax1.annotate('$%s' % xy[1], xy=xy, textcoords='data')
+            ax2.annotate('$%s' % xy[1], xy=xy, textcoords='data')
+
+        ax2.set_title('Trades')
+        ax2.set_ylabel('Intent/Action')
+        ax2.set_xlabel('Date')
+
+        ax2.plot([x.time for x in requests if x.side == Side.BUY],
+                 [x.price for x in requests if x.side == Side.BUY],
+                 '2', color='y')
+        ax2.plot([x.time for x in requests if x.side == Side.SELL],
+                 [x.price for x in requests if x.side == Side.SELL],
+                 '1', color='y')
+        ax2.plot([x.time for x in responses if x.side == Side.BUY],  # FIXME
+                 [x.price for x in responses if x.side == Side.BUY],
+                 '^', color='g')
+        ax2.plot([x.time for x in responses if x.side == Side.SELL],  # FIXME
+                 [x.price for x in responses if x.side == Side.SELL],
+                 'v', color='r')
+        ax2.plot(trades)
+
+        y_bot, y_top = ax1.get_ylim()
+        x_bot, x_top = ax1.get_xlim()
+        ax2.set_ylim(y_bot, y_top)
+        ax2.set_xlim(x_bot, x_top)
+
         plt.show()
+
         print(requests)
         print(responses)
 

aat/structs.py

@@ -135,7 +135,7 @@ class TradeRequest:
     order_type = OrderType
     order_sub_type = OrderSubType, OrderSubType.NONE
 
-    time = datetime.datetime, datetime.datetime.now()  # FIXME
+    time = datetime.datetime
     risk_check = bool, False
     risk_reason = RiskReason, RiskReason.NONE
 
@@ -156,7 +156,7 @@ class TradeResponse:
     slippage = float, 0.0
     transaction_cost = float, 0.0
 
-    time = datetime.datetime, datetime.datetime.now()  # FIXME
+    time = datetime.datetime
     status = TradeResult
     order_id = str
     remaining = float, 0.0

aat/trading.py

@@ -163,7 +163,6 @@ def recalculate_value(self, data: MarketData) -> None:
             # self._portfolio_value = [[data.time, self._rk.total_funds]]
             self._portfolio_value = [[data.time, volume*data.price]]
         self._portfolio_value.append([data.time, volume*data.price])
-        print(f'\n{volume} {data.price} {volume*data.price} {data.time}\n')
 
     def update_holdings(self, resp: TradeResponse) -> None:
         # TODO move to risk
@@ -219,7 +218,6 @@ def _request(self,
                  req: TradeRequest,
                  callback_failure=None,
                  strat=None):
-        print('requesting!')
         self.query().push_tradereq(req)
         if not self._trading:
             # not allowed to trade right now

aat/ui/server.py

@@ -39,7 +39,6 @@ def __init__(self,
         for route, handler, h_kwargs in extra_handlers:
             if 'trading_engine' in h_kwargs:
                 h_kwargs['trading_engine'] = trading_engine
-        print(extra_handlers)
 
         super(ServerApplication, self).__init__(
           extra_handlers + [