Merge pull request #134 from AsyncAlgoTrading/calendar

Trading day and misc other fixes

CONTRIBUTING.md

@@ -1 +1,68 @@
+# Contributing
+
+Thank you for your interest in contributing to aat!
+
+
+## Reporting bugs, feature requests, etc.
+
+To report bugs, request new features or similar, please open an issue on the Github
+repository.
+
+A good bug report includes:
+
+- Expected behavior
+- Actual behavior
+- Steps to reproduce (preferably as minimal as possible)
+
+## Minor changes, typos etc.
+
+Minor changes can be contributed by navigating to the relevant files on the Github repository,
+and clicking the "edit file" icon. By following the instructions on the page you should be able to
+create a pull-request proposing your changes. A repository maintainer will then review your changes,
+and either merge them, propose some modifications to your changes, or reject them (with a reason for
+the rejection).
+
+## Setting up a development environment
+
+If you want to help resolve an issue by making some changes that are larger than that covered by the above paragraph, it is recommended that you:
+
+- Fork the repository on Github
+- Clone your fork to your computer
+- Run the following commands inside the cloned repository:
+  - `pip install -e .[dev]` - This will install the Python package in development
+    mode.
+- Validate the install by running the tests:
+  - `py.test` - This command will run the Python tests.
+  - `flake8 aat/` - This command will run the Python linters.
+
+Once you have such a development setup, you should:
+
+- Make the changes you consider necessary
+- Run the tests to ensure that your changes does not break anything
+- Run the linters to ensure that your changes does not break anything
+- Run mypy if necessary to alert for problems with type annotations
+- If you add new code, preferably write one or more tests for checking that your code works as expected.
+- Commit your changes and publish the branch to your github repo.
+- Open a pull-request (PR) back to the main repo on Github.
+
+## Style
+### Docstrings
+Docstrings are [google format](https://sphinxcontrib-napoleon.readthedocs.io/en/latest/example_google.html).
+
+
+### Python
+Python code is formatted with [black](https://github.com/psf/black) and [flake8](https://github.com/PyCQA/flake8) and annotated for typings with [mypy](https://github.com/python/mypy).
+
+#### Misc
+- Public methods should be `camelCase`
+- Public attributes should be `camelCase`
+- Private methods should be `snake_case`
+- Private attributes should be `snake_case`
+- JSON import/export should be `snake_case`
+
+### JS
+JS Code is writted in `typescript` and formatted with `eslint` and `prettier`.
+
+### C++
+C++ Code is formateed with [cpplint](https://github.com/cpplint/cpplint) and [clang-format](https://clang.llvm.org/docs/ClangFormat.html).
 

README.md

@@ -583,12 +583,12 @@ We can run any number of strategies against any number of exchanges, including c
 | Synthetic | Yes | Yes | Simulation,Backtest  | Equity |
 | IEX | Yes | Fake | Live, Simulation, Sandbox, Backtest | Equity |
 | InteractiveBrokers | In Progress | Yes |  Live, Simulation, Sandbox | Equity, Option, Future, Commodities, Spreads, Pairs |
-| TD Ameritrade | In Progress | In Progress | Equity, Option |
-| Alpaca | In Progress | In Progress |   |
-| Coinbase | In Progress | In Progress |  |
-| Gemini | In Progress | In Progress |  |
-| Coinbase | In Progress | In Progress |  |
-| ccxt | In Progress | In Progress |  |
+| TD Ameritrade | In Progress | In Progress | In Progress | Equity, Option |
+| Alpaca | In Progress | In Progress | |  |
+| Coinbase | In Progress | In Progress | | |
+| Gemini | In Progress | In Progress | | |
+| Coinbase | In Progress | In Progress | | |
+| ccxt | In Progress | In Progress | | |
 
 # TODO below here are sections that still need to be documented
 

aat/common.py

@@ -6,6 +6,10 @@
 import pandas as pd  # type: ignore
 
 
+class AATException(Exception):
+    pass
+
+
 @functools.lru_cache()
 def _in_cpp() -> bool:
     _cpp = os.environ.get("AAT_USE_CPP", "").lower() in ("1", "on")

aat/core/__init__.py

@@ -1,26 +1,26 @@
-from .exchange import ExchangeType  # noqa: F401
+from .data import Data, Error, Event, Order, Trade
+from .exchange import ExchangeType
 
-# from .execution import OrderManager  # noqa: F401
-from .handler import EventHandler, PrintHandler  # noqa: F401
-from .instrument import Instrument  # noqa: F401
-from .data import Data, Error, Event, Order, Trade  # noqa: F401
-from .position import Account, Position, CashPosition  # noqa: F401
-from .order_book import OrderBook  # noqa: F401
+# from .execution import OrderManager
+from .handler import EventHandler, PrintHandler
+from .instrument import Instrument, TradingDay
+from .order_book import OrderBook
+from .position import Account, CashPosition, Position
 
-# from .portfolio import Portfolio, PortfolioManager  # noqa: F401
-# from .risk import RiskManager  # noqa: F401
-from .table import TableHandler  # noqa: F401
+# from .portfolio import Portfolio, PortfolioManager
+# from .risk import RiskManager
+from .table import TableHandler
 
 try:
-    from ..binding import (  # type: ignore # noqa: F401
-        InstrumentCpp,
+    from ..binding import (
+        AccountCpp,
         DataCpp,
         EventCpp,
+        InstrumentCpp,
+        OrderBookCpp,
         OrderCpp,
-        TradeCpp,
-        AccountCpp,
         PositionCpp,
-        OrderBookCpp,
+        TradeCpp,
     )
 except ImportError:
     pass

aat/core/data/cpp.py

@@ -1,13 +1,13 @@
 import logging
 from collections import deque
 from datetime import datetime
-from typing import Any, Optional, List, TYPE_CHECKING
+from typing import TYPE_CHECKING, Any, List, Optional
 
 from aat.common import _in_cpp
+from aat.config import EventType, OrderFlag, OrderType, Side
+
 from ..exchange import ExchangeType
 from ..instrument import Instrument
-from aat.config import OrderType, OrderFlag, EventType, Side
-
 
 if TYPE_CHECKING:
     from .order import Order
@@ -20,6 +20,7 @@
 
 except ImportError:
     logging.critical("Could not load C++ extension")
+    DataCpp, EventCpp, OrderCpp, TradeCpp = object, object, object, object
     _CPP = False
 
 

aat/core/data/order.py

@@ -1,10 +1,10 @@
 from datetime import datetime
-from typing import Mapping, Union, Type, Optional, Any, cast
+from typing import Any, Mapping, Optional, Type, Union, cast
 
-from .cpp import _CPP, _make_cpp_order
+from ...config import DataType, OrderFlag, OrderType, Side
 from ..exchange import ExchangeType
 from ..instrument import Instrument
-from ...config import DataType, OrderFlag, OrderType, Side
+from .cpp import _CPP, _make_cpp_order
 
 
 class Order(object):
@@ -52,7 +52,6 @@ def __init__(
             "id", 0
         )  # on construction, provide no ID until exchange assigns one
         self.__timestamp = kwargs.get("timestamp") or datetime.now()
-        print(self.__timestamp)
         self.__type = DataType.ORDER
 
         assert isinstance(instrument, Instrument)

aat/core/exchange/cpp.py

@@ -1,12 +1,13 @@
 from typing import Any
-from aat.common import _in_cpp
 
+from aat.common import _in_cpp
 
 try:
     from aat.binding import ExchangeTypeCpp  # type: ignore
 
     _CPP = _in_cpp()
 except ImportError:
+    ExchangeTypeCpp = object
     _CPP = False
 
 

aat/core/instrument/__init__.py

@@ -1 +1,2 @@
+from .calendar import TradingDay  # noqa: F401
 from .instrument import Instrument  # noqa: F401

aat/core/instrument/calendar.py

@@ -0,0 +1,72 @@
+from datetime import time
+from typing import Optional, Tuple, Union, cast
+
+from aat.common import AATException
+from pytz import UTC
+
+
+class TradingDay(object):
+    """Construct a representation of an instrument's trading day
+
+    Args:
+        open_times (Union[time, Tuple[time]]): time or tuple of times representing the time/s of market open. If missing tzinfo, will assume UTC.
+        close_times (Union[time, Tuple[time]]): time or tuple of times representing the time/s of market close.  If missing tzinfo, will assume UTC.
+    """
+
+    __slots__ = [
+        "_open_times",
+        "_close_times",
+    ]
+
+    def __init__(
+        self,
+        open_times: Union[time, Tuple[time, ...]] = None,
+        close_times: Union[time, Tuple[time, ...]] = None,
+    ):
+        if open_times and not isinstance(open_times, (tuple, time)):
+            # raise exception if wrong type
+            raise AATException(
+                "`open_times` must be time or tuple of times, got: {}".format(
+                    type(open_times)
+                )
+            )
+        elif isinstance(open_times, time):
+            # force tuple
+            open_times = cast(Tuple[time, ...], (open_times,))
+
+        if open_times:
+            # force tz
+            open_times = tuple(
+                tm if tm.tzinfo else time(tm.hour, tm.minute, tzinfo=UTC)
+                for tm in open_times
+            )
+
+        self._open_times: Optional[Tuple[time, ...]] = open_times
+
+        if close_times and not isinstance(close_times, (tuple, time)):
+            # raise exception if wrong type
+            raise AATException(
+                "`close_times` must be time or tuple of times, got: {}".format(
+                    type(close_times)
+                )
+            )
+        elif isinstance(close_times, time):
+            # force tuple
+            close_times = cast(Tuple[time, ...], (close_times,))
+
+        if close_times:
+            # force tz
+            close_times = tuple(
+                tm if tm.tzinfo else time(tm.hour, tm.minute, tzinfo=UTC)
+                for tm in close_times
+            )
+
+        self._close_times: Optional[Tuple[time, ...]] = close_times
+
+    @property
+    def open(self) -> Optional[Tuple[time, ...]]:
+        return self._open_times
+
+    @property
+    def close(self) -> Optional[Tuple[time, ...]]:
+        return self._close_times

aat/core/instrument/cpp.py

@@ -1,12 +1,13 @@
 from typing import Any
-from aat.common import _in_cpp
 
+from aat.common import _in_cpp
 
 try:
     from ...binding import InstrumentCpp  # type: ignore
 
     _CPP = _in_cpp()
 except ImportError:
+    InstrumentCpp = object
     _CPP = False