fixes #4

aat/enums.py

@@ -84,7 +84,7 @@ def _joiner(l):
 
 class _PairType(BaseEnum):
     def __str__(self):
-        return str(self.value[0].value) + str(self.value[1].value)
+        return str(self.value[0].value) + '/' + str(self.value[1].value)
 
     @staticmethod
     def from_string(first, second=''):

aat/execution.py

@@ -1,3 +1,4 @@
+from typing import List
 from .config import ExecutionConfig
 from .exchange import Exchange
 from .enums import Side
@@ -6,18 +7,17 @@
 
 
 class Execution(object):
-    def __init__(self, options: ExecutionConfig, exchange: Exchange) -> None:
+    def __init__(self, options: ExecutionConfig, exchanges: List[Exchange]) -> None:
         self.trading_type = options.trading_type
-        self._ex = exchange
-        self._exs = []
+        self._exs = exchanges
 
     def requestBuy(self, req: TradeRequest) -> TradeResponse:
-        resp = self._ex.buy(req)
+        resp = self._exs[req.exchange].buy(req)
         exlog.info('Order info: %s' % resp)
         return resp
 
     def requestSell(self, req: TradeRequest) -> TradeResponse:
-        resp = self._ex.sell(req)
+        resp = self._exs[req.exchange].sell(req)
         exlog.info('Order info: %s' % resp)
         return resp
 
@@ -27,7 +27,8 @@ def request(self, req: TradeRequest) -> TradeResponse:
         return self.requestSell(req)
 
     def cancel(self, resp: TradeResponse):  # TODO
-        return self._ex.cancel(resp)
+        return self._exs[resp.exchange].cancel(resp)
 
     def cancelAll(self):
-        return self._ex.cancelAll()
+        for ex in self._exs.values():
+            ex.cancelAll()

aat/query.py

@@ -17,12 +17,16 @@ def __init__(self,
 
         self._pairs = pairs
         self._instruments = instruments
+        self._exchanges = exchanges
 
         self._last_price_by_exchange = {}
 
     def query_instruments(self) -> List[PairType]:
         return self._instruments
 
+    def query_exchanges(self) -> List[ExchangeType]:
+        return self._exchanges
+
     def query_trades(self,
                      instrument: Instrument = None,
                      page: int = 1) -> List[MarketData]:

aat/risk.py

@@ -1,6 +1,6 @@
 from .config import RiskConfig
 from .structs import TradeRequest, TradeResponse, Instrument
-from .enums import Side, TradeResult, OrderType, RiskReason
+from .enums import Side, TradeResult, OrderType, RiskReason, ExchangeType
 from .logging import RISK as rlog
 
 
@@ -23,13 +23,14 @@ def __init__(self, options: RiskConfig) -> None:
 
     def _constructResp(self,
                        side: Side,
+                       exchange: ExchangeType,
                        instrument: Instrument,
                        order_type: OrderType,
                        vol: float,
                        price: float,
                        status: bool,
                        reason: RiskReason) -> TradeRequest:
-        resp = TradeRequest(side=side, 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, risk_check=status, risk_reason=reason)
 
         if status == TradeResult.FILLED:  # FIXME
             self.outstanding += abs(vol * price) * (1 if side == Side.BUY else -1)
@@ -52,17 +53,38 @@ def request(self, req: TradeRequest) -> TradeRequest:
         if (total + self.outstanding) <= max:
             # room for full volume
             rlog.info('Risk check passed for order: %s' % req)
-            return self._constructResp(req.side, req.instrument, req.order_type, req.volume, req.price, True, RiskReason.NONE)
+            return self._constructResp(side=req.side,
+                                       exchange=req.exchange,
+                                       instrument=req.instrument,
+                                       order_type=req.order_type,
+                                       vol=req.volume,
+                                       price=req.price,
+                                       status=True,
+                                       reason=RiskReason.NONE)
 
         elif self.outstanding < max:
             # room for some volume
             volume = (max - self.outstanding) / req.price
             rlog.info('Risk check passed for partial order: %s' % req)
-            return self._constructResp(req.side, req.instrument, req.order_type, volume, req.price, True, RiskReason.PARTIAL)
+            return self._constructResp(side=req.side,
+                                       exchange=req.exchange,
+                                       instrument=req.instrument,
+                                       order_type=req.order_type,
+                                       vol=volume,
+                                       price=req.price,
+                                       status=True,
+                                       reason=RiskReason.PARTIAL)
 
         # no room for volume
         rlog.info('Risk check failed for order: %s' % req)
-        return self._constructResp(req.side, req.instrument, req.order_type, req.volume, req.price, False, RiskReason.FULL)
+        return self._constructResp(side=req.side,
+                                   exchange=req.exchange,
+                                   instrument=req.instrument,
+                                   order_type=req.order_type,
+                                   vol=volume,
+                                   price=req.price,
+                                   status=False,
+                                   reason=RiskReason.FULL)
 
     def requestBuy(self, req: TradeRequest):
         '''precheck for risk compliance'''

aat/strategies/test_strat.py

@@ -52,6 +52,7 @@ def onTrade(self, data: MarketData) -> bool:
                                volume=1.0,
                                instrument=data.instrument,
                                order_type=OrderType.MARKET,
+                               exchange=data.exchange,
                                price=data.price)
             slog.info("requesting buy : %s", req)
             self.requestBuy(self.onBuy, req)
@@ -62,6 +63,7 @@ def onTrade(self, data: MarketData) -> bool:
                 req = TradeRequest(side=Side.SELL,
                                    volume=self.bought_qty,
                                    instrument=data.instrument,
+                                   exchange=data.exchange,
                                    order_type=OrderType.MARKET,
                                    price=data.price)
                 slog.info("requesting sell : %s", req)

aat/structs.py

@@ -123,6 +123,7 @@ def __lt__(self, other):
 @struct
 class TradeRequest:
     side = Side
+    exchange = ExchangeType
 
     volume = float
     price = float
@@ -141,6 +142,7 @@ class TradeRequest:
 class TradeResponse:
     request = TradeRequest
     side = Side
+    exchange = ExchangeType
 
     volume = float
     price = float

aat/trading.py

@@ -182,6 +182,7 @@ def _request(self,
             log.info('Trading not allowed')
             resp = TradeResponse(request=req,
                                  side=req.side,
+                                 exchange=req.exchange,
                                  volume=0.0,
                                  price=0.0,
                                  instrument=req.instrument,
@@ -211,6 +212,7 @@ def _request(self,
                         log.info('Trade rejected')
                         resp = TradeResponse(request=resp,
                                              side=resp.side,
+                                             exchange=req.exchange,
                                              volume=0.0,
                                              price=0.0,
                                              instrument=req.instrument,
@@ -227,6 +229,7 @@ def _request(self,
                     # backtesting or simulation
                     resp = TradeResponse(request=req,
                                          side=req.side,
+                                         exchange=req.exchange,
                                          volume=req.volume,
                                          price=req.price,
                                          instrument=req.instrument,
@@ -249,6 +252,7 @@ def _request(self,
             else:
                 log.info('Risk check failed')
                 resp = TradeResponse(request=resp,
+                                     exchange=req.exchange,
                                      side=resp.side,
                                      volume=0.0,
                                      price=0.0,
@@ -259,7 +263,11 @@ def _request(self,
         callback_failure(resp) if callback_failure and not resp.success else callback(resp)
 
     def requestBuy(self, callback: Callable, req: TradeRequest, callback_failure=None, strat=None):
-        self._request(Side.BUY, callback, req, callback_failure, strat)
+        self._request(side=Side.BUY,
+                      callback=callback,
+                      req=req,
+                      callback_failure=callback_failure,
+                      strat=strat)
 
     def requestSell(self, callback: Callable, req: TradeRequest, callback_failure=None, strat=None):
         self._request(Side.SELL, callback, req, callback_failure, strat)

aat/ui/handlers/accounts.py

@@ -7,7 +7,7 @@
 class AccountsHandler(PerspectiveHTTPMixin, HTTPHandler):
     '''Server Handler
     Extends:
-        tornado.web.RequestHandler
+        HTTPHandler
     '''
     def initialize(self, trading_engine, **psp_kwargs):
         self.te = trading_engine

aat/ui/handlers/exchanges.py

@@ -0,0 +1,25 @@
+import tornado.gen
+from .base import HTTPHandler
+from tornado.concurrent import run_on_executor
+from perspective import PerspectiveHTTPMixin
+
+
+class ExchangesHandler(PerspectiveHTTPMixin, HTTPHandler):
+    '''Server Handler
+    Extends:
+        HTTPHandler
+    '''
+    def initialize(self, trading_engine, **psp_kwargs):
+        self.te = trading_engine
+        self.psp_kwargs = psp_kwargs
+
+    @run_on_executor
+    def get_data(self, **psp_kwargs):
+        msgs = [{'name': x.value} for x in self.te.query().query_exchanges()]
+        super(ExchangesHandler, self).loadData(data=msgs, **psp_kwargs)
+        return super(ExchangesHandler, self).getData()
+
+    @tornado.gen.coroutine
+    def get(self):
+        dat = yield self.get_data(**self.psp_kwargs)
+        self.write(dat)

aat/ui/handlers/instruments.py

@@ -7,9 +7,9 @@
 class InstrumentsHandler(PerspectiveHTTPMixin, HTTPHandler):
     '''Server Handler
     Extends:
-        tornado.web.RequestHandler
+        HTTPHandler
     '''
-    def initialize(self, trading_engine, psp_kwargs):
+    def initialize(self, trading_engine, **psp_kwargs):
         self.te = trading_engine
         self.psp_kwargs = psp_kwargs
 

aat/ui/handlers/strategies.py

@@ -7,7 +7,7 @@
 class StrategiesHandler(PerspectiveHTTPMixin, HTTPHandler):
     '''Server Handler
     Extends:
-        tornado.web.RequestHandler
+        HTTPHandler
     '''
     def initialize(self, trading_engine, **psp_kwargs):
         self.te = trading_engine

aat/ui/handlers/trades.py

@@ -9,7 +9,7 @@
 class TradesHandler(PerspectiveHTTPMixin, HTTPHandler):
     '''Server Handler
     Extends:
-        tornado.web.RequestHandler
+        HTTPHandler
     '''
     def initialize(self, trading_engine, psp_kwargs):
         self.te = trading_engine

aat/ui/server.py

@@ -4,6 +4,7 @@
 import tornado.ioloop
 import tornado.web
 from .handlers.accounts import AccountsHandler
+from .handlers.exchanges import ExchangesHandler
 from .handlers.instruments import InstrumentsHandler
 from .handlers.strategies import StrategiesHandler
 from .handlers.trades import TradesHandler
@@ -40,8 +41,8 @@ def __init__(self,
         super(ServerApplication, self).__init__(
           extra_handlers + [
             (r"/api/json/v1/accounts", AccountsHandler, {'trading_engine': trading_engine}),
-            (r"/api/json/v1/instruments", InstrumentsHandler, {'trading_engine': trading_engine,
-                                                               'psp_kwargs': {'view': 'hypergrid'}}),
+            (r"/api/json/v1/exchanges", ExchangesHandler, {'trading_engine': trading_engine}),
+            (r"/api/json/v1/instruments", InstrumentsHandler, {'trading_engine': trading_engine}),
             (r"/api/json/v1/strategies", StrategiesHandler, {'trading_engine': trading_engine,
                                                              'psp_kwargs': {'view': 'hypergrid'}}),
             (r"/api/json/v1/trades", TradesHandler, {'trading_engine': trading_engine,