fixes #16

aat/config.py

@@ -1,47 +1,41 @@
-from .utils import config
+from traitlets import HasTraits, List, Instance, Float, Type, Tuple, Dict, Bool
 from .enums import TradingType, ExchangeType, PairType, InstrumentType
 from .structs import Instrument
 
 
-@config
-class ExchangeConfig:
-    exchange_types = [ExchangeType], []
-    trading_type = TradingType, TradingType.NONE
-    currency_pairs = [PairType], [PairType.BTCUSD]
-    instruments = [Instrument], [Instrument(type=InstrumentType.PAIR, underlying=PairType.BTCUSD)]
+class ExchangeConfig(HasTraits):
+    exchange_types = List(trait=Instance(ExchangeType), default_value=[])
+    trading_type = Instance(klass=TradingType, args=('NONE',), kwargs={})
+    currency_pairs = List(trait=Instance(PairType), default_value=[PairType.BTCUSD])
+    instruments = List(trait=Instance(Instrument), default_value=[Instrument(type=InstrumentType.PAIR, underlying=PairType.BTCUSD)])
 
 
-@config
-class BacktestConfig:
+class BacktestConfig(HasTraits):
     pass
 
 
-@config
-class RiskConfig:
-    max_drawdown = float, 100.0  # % Max strat drawdown before liquidation
-    max_risk = float, 100.0  # % Max to risk on any trade
-    total_funds = float, 0.0  # % Of total funds to use
-    trading_type = TradingType, TradingType.NONE
+class RiskConfig(HasTraits):
+    max_drawdown = Float(default_value=100.0)  # % Max strat drawdown before liquidation
+    max_risk = Float(default_value=100.0)  # % Max to risk on any trade
+    total_funds = Float(default_value=0.0)  # % Of total funds to use
+    trading_type = Instance(klass=TradingType, args=('NONE',), kwargs={})
 
 
-@config
-class ExecutionConfig:
-    trading_type = TradingType, TradingType.NONE
+class ExecutionConfig(HasTraits):
+    trading_type = Instance(klass=TradingType, args=('NONE',), kwargs={})
 
 
-@config
-class StrategyConfig:
-    clazz = type
-    args = tuple, ()
-    kwargs = dict, {}
+class StrategyConfig(HasTraits):
+    clazz = Type()
+    args = Tuple(default_value=())
+    kwargs = Dict(default_value={})
 
 
-@config
-class TradingEngineConfig:
-    type = TradingType, TradingType.NONE
-    print = bool, False
-    exchange_options = ExchangeConfig, ExchangeConfig()
-    backtest_options = BacktestConfig, BacktestConfig()
-    risk_options = RiskConfig, RiskConfig()
-    execution_options = ExecutionConfig, ExecutionConfig()
-    strategy_options = [StrategyConfig], []  # List of strategy options
+class TradingEngineConfig(HasTraits):
+    type = Instance(klass=TradingType, args=('NONE',), kwargs={})
+    print = Bool(default_value=False)
+    exchange_options = Instance(klass=ExchangeConfig, args=(), kwargs={})
+    backtest_options = Instance(klass=BacktestConfig, args=(), kwargs={})
+    risk_options = Instance(klass=RiskConfig, args=(), kwargs={})
+    execution_options = Instance(klass=ExecutionConfig, args=(), kwargs={})
+    strategy_options = List(trait=Instance(StrategyConfig), default_value=[])  # List of strategy options

aat/strategies/test_strat.py

@@ -53,7 +53,8 @@ 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)
             self.active = True
@@ -65,7 +66,8 @@ def onTrade(self, data: MarketData) -> bool:
                                    instrument=data.instrument,
                                    exchange=data.exchange,
                                    order_type=OrderType.MARKET,
-                                   price=data.price)
+                                   price=data.price,
+                                   time=data.time)
                 slog.info("requesting sell : %s", req)
                 self.requestSell(self.onSell, req)
                 self.active = False

aat/utils.py

@@ -51,58 +51,6 @@ def set(self, val):
     return property(get, set)
 
 
-def config(cls):
-    new_cls_dict = {}
-    vars = []
-    for k, v in cls.__dict__.items():
-        if isinstance(v, type):
-            # V is a type, no default value
-            v = create_pair(k, v)
-            vars.append(k)
-        elif isinstance(v, tuple) and \
-                isinstance(v[0], type) and \
-                isinstance(v[1], v[0]):
-            # v is a pair, (type, instance)
-            v = create_pair(k, v[0], v[1])
-            vars.append(k)
-        elif isinstance(v, list) and \
-                isinstance(v[0], type):
-            # v is a list [type]
-            v = create_pair(k, v[0], container=list)
-            vars.append(k)
-        elif isinstance(v, tuple) and \
-                isinstance(v[0], list) and \
-                isinstance(v[0][0], type) and \
-                isinstance(v[1], list):
-            # v is a pair,  ([type], [instance?])
-            if len(v[1]) > 0 and isinstance(v[1][0], v[0][0]):  # TODO check all
-                v = create_pair(k, v[0][0], v[1], container=list)
-                vars.append(k)
-            elif v[1] == []:
-                v = create_pair(k, v[0][0], v[1], container=list)
-                vars.append(k)
-            else:
-                raise Exception('Unexpected list instance: %s' % v[1][0])
-
-        new_cls_dict[k] = v
-    new_cls_dict['__init__'] = __init__config
-    new_cls_dict['__repr__'] = __repr__
-    new_cls_dict['_vars'] = vars
-    new_cls_dict['_excludes'] = []
-    return type(cls)(cls.__name__, cls.__bases__, new_cls_dict)
-
-
-def __init__config(self, **kwargs) -> None:
-    for k, v in kwargs.items():
-        if k not in self._vars:
-            raise Exception('Attribute not found! %s' % k)
-    for item in self._vars:
-        if item not in kwargs:
-            log.debug('WARNING %s unset!', item)
-        else:
-            setattr(self, item, kwargs.get(item))
-
-
 def __init__struct(self, **kwargs) -> None:
     for item in self._vars:
         if item not in kwargs:

requirements.txt

@@ -12,5 +12,6 @@ sphinx>=1.7.5
 six>=1.10.0
 requests>=2.13.0
 tornado>=5.1
+traitlets>=4.3.2
 ujson>=1.35
 websocket-client>=0.40.0