Merge pull request #151 from AsyncAlgoTrading/exchanges

Exchanges and strategies cleanup

.github/workflows/build.yml

@@ -46,7 +46,7 @@ jobs:
 
     - name: Install dependencies
       run: |
-        python -m pip install --upgrade pip setuptools wheel twine numpy pyarrow>=1. cpplint
+        python -m pip install --upgrade pip setuptools wheel twine numpy pyarrow>=1. cpplint pyEX tqdm
         python -m pip install -e .[dev]
         cd js; yarn
 

.github/workflows/publish.yml

@@ -45,7 +45,7 @@ jobs:
 
     - name: Install dependencies
       run: |
-        python -m pip install --upgrade pip setuptools wheel twine numpy pyarrow>=1. cpplint
+        python -m pip install --upgrade pip setuptools wheel twine numpy pyarrow>=1. cpplint pyEX tqdm
         python -m pip install -e .[dev]
         cd js; yarn
 

Makefile

@@ -5,36 +5,6 @@ CONFIG=./config/synthetic.cfg
 run:    ## Clean and make target, run target
 	$(PYTHON) -m aat --config $(CONFIG)
 
-iex:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/iex.cfg
-
-iexintraday:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/iex_intraday.cfg
-
-iexpintraday:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./private_config/iex_intraday.cfg
-
-iexmomentum:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/iex_intraday_momentum.cfg
-
-iexpmomentum:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./private_config/iex_intraday_momentum.cfg
-
-iexlive:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/iex_live.cfg
-
-ib:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/ib.cfg
-
-ibpositions:    ## Clean and make target, run target
-	$(PYTHON) -m aat  --config ./config/ib_positions.cfg
-
-coinbase:    ## Clean and make target, run target
-	$(PYTHON) -m aat --config  ./config/coinbase.cfg
-
-coinbasesandbox:    ## Clean and make target, run target
-	$(PYTHON) -m aat --config  ./config/coinbase_sandbox.cfg
-
 runcpp:  build  ## Clean and make target, run target
 	AAT_USE_CPP=1 $(PYTHON) -m aat  --config $(CONFIG)
 
@@ -74,10 +44,18 @@ testpycpp: ## Make unit tests
 testjs:  ## Make js tests
 	cd js; yarn test
 
-testruns:  ## Run a few examples as a live end-to-end test
-	$(PYTHON) -m aat.strategy.sample.readonly
-	$(PYTHON) -m aat.strategy.sample.readonly_periodic
-	$(PYTHON) -m aat.strategy.sample.csv_received
+testruns:  testrunscsv testrunsiex ## Run a few examples as a live end-to-end test
+
+testrunscsv:
+	$(PYTHON) -m aat.strategy.sample.csv.readonly
+	$(PYTHON) -m aat.strategy.sample.csv.readonly_periodic
+	$(PYTHON) -m aat.strategy.sample.csv.received
+
+testrunsiex:
+	$(PYTHON) -m aat.strategy.sample.iex.readonly
+	TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.buy_and_hold
+	TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.momentum
+	TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.golden_death
 
 lint: lintpy lintjs lintcpp  ## run all linters
 

aat/__init__.py

@@ -1,3 +1,4 @@
+from .common import AATException  # noqa: F401
 from .config import *  # noqa: F401, F403
 from .core import (  # noqa: F401
     EventHandler,

aat/config/parser.py

@@ -66,7 +66,11 @@ def getStrategies(strategies: List) -> List:
             args = strategy[1:]
         else:
             mod, clazz = strategy.split(":")
-            args = []
+            if "," in clazz:
+                clazz, temp_args = clazz.split(",", maxsplit=1)
+                args = temp_args.split(",")
+            else:
+                args = []
         mod = importlib.import_module(mod)
         clazz = getattr(mod, clazz)
         strategy_instances.append(clazz(*args))

aat/core/order_book/order_book/lite.py

@@ -1,4 +1,4 @@
-from typing import Callable, List, Mapping, Optional
+from typing import Any, List, Mapping, Optional
 
 from aat.core import Order, Instrument
 from aat.config import Side, OrderType
@@ -17,29 +17,29 @@ class OrderBookLite(OrderBook):
     Args:
         instrument (Instrument): the instrument for the book
         exchange_name (str): name of the exchange
-        callback (Function): callback on events
     """
 
     def __init__(
         self,
         instrument: Instrument,
         exchange_name: str = "",
-        callback: Optional[Callable] = None,
+        *args: Any,
+        **kwargs: Any,
     ):
         super().__init__(
-            instrument=instrument, exchange_name=exchange_name, callback=callback
+            instrument=instrument,
+            exchange_name=exchange_name,
         )
 
     @staticmethod
     def fromPriceLevels(
         instrument: Instrument,
         exchange_name: str = "",
-        callback: Optional[Callable] = None,
         price_levels: Optional[Mapping[Side, List[PriceLevelRO]]] = None,
     ) -> "OrderBookLite":
         """construct order book from price levels"""
         price_levels = price_levels or {}
-        obl = OrderBookLite(instrument, exchange_name, callback)
+        obl = OrderBookLite(instrument, exchange_name)
 
         # create one order per price level
         for level in price_levels[Side.SELL]:
@@ -79,7 +79,7 @@ def fromOrderBook(ob: OrderBook) -> "OrderBookLite":
 
     def clone(self) -> "OrderBookLite":
         """clone an order book. useful when you want to do experiments on an orderbook without destroying it"""
-        obl = OrderBookLite(self.instrument, self.exchange.name, self.callback)
+        obl = OrderBookLite(self.instrument, self.exchange.name)
 
         # create one order per price level
         for level in self._sell_levels:

aat/engine/dispatch/manager.py

@@ -95,7 +95,7 @@ def portfolioManager(self) -> PortfolioManager:
     def strategies(self) -> List["Strategy"]:
         return self._engine.strategies
 
-    def exchanges(self) -> List[Exchange]:
+    def exchangeinstances(self) -> List[Exchange]:
         return self._engine.exchanges
 
     # ********************* #
@@ -161,7 +161,7 @@ async def onStart(self, event: Event) -> None:
         self._portfolio_mgr.updateStrategies(self.strategies())
 
         # Initialize positions
-        for exchange in self.exchanges():
+        for exchange in self.exchangeinstances():
             if self._load_accounts:
                 acc = await exchange.accounts()
                 self._portfolio_mgr.updateAccount(acc)

aat/engine/dispatch/portfolio/portfolio.py

@@ -64,8 +64,16 @@ def updateAccount(self, positions: List[Position]) -> None:
             print("Position:\n{}".format(position))
 
             try:
-                choice = int(
-                    input("Select a strategy to attribute to:\n{}\n...".format(options))
+                choice = (
+                    int(
+                        input(
+                            "Select a strategy to attribute to:\n{}\n...".format(
+                                options
+                            )
+                        )
+                    )
+                    if len(options) > 1
+                    else 0
                 )
             except KeyboardInterrupt:
                 raise

aat/engine/dispatch/utils.py

@@ -1,11 +1,11 @@
 import asyncio
 from datetime import datetime
-from typing import Any, List, Callable, Union, Optional, TYPE_CHECKING
+from typing import Any, Callable, List, Optional, Union, TYPE_CHECKING
 
-from aat.config import ExitRoutine
-from aat.core import Instrument, ExchangeType, Event, Order, Trade
+from aat import AATException
+from aat.config import ExitRoutine, InstrumentType, TradingType
+from aat.core import Instrument, ExchangeType, Event, Order, Trade, OrderBook
 from aat.exchange import Exchange
-from aat.config import InstrumentType, TradingType
 
 from .periodic import Periodic
 
@@ -41,15 +41,26 @@ def instruments(
         """Return list of all available instruments"""
         return Instrument._instrumentdb.instruments(type=type, exchange=exchange)
 
-    async def subscribe(
-        self, instrument: Instrument = None, strategy: "Strategy" = None
-    ) -> None:
+    def exchanges(self, type: InstrumentType = None) -> List[ExchangeType]:
+        """Return list of all available exchanges"""
+        if type:
+            raise NotImplementedError()
+        return [exc.exchange() for exc in self._exchanges]
+
+    async def subscribe(self, instrument: Instrument, strategy: "Strategy") -> None:
         """Subscribe to market data for the given instrument"""
         if strategy not in self._data_subscriptions:
             self._data_subscriptions[strategy] = []
 
         self._data_subscriptions[strategy].append(instrument)
 
+        if instrument.exchange not in self.exchanges():
+            raise AATException(
+                "Exchange not installed: {} (Installed are [{}]".format(
+                    instrument.exchange, self.exchanges()
+                )
+            )
+
         for exc in self._exchanges:
             if instrument and instrument.exchange == exc.exchange():
                 await exc.subscribe(instrument)
@@ -83,6 +94,17 @@ async def lookup(
         # None implement
         raise NotImplementedError()
 
+    async def book(self, instrument: Instrument) -> Optional[OrderBook]:
+        """Return list of all available instruments that match the instrument given"""
+        if instrument.exchange not in self.exchanges():
+            raise AATException("")
+
+        for exchange_inst in self._exchanges:
+            if instrument.exchange == exchange_inst.exchange():
+                return await exchange_inst.book(instrument)
+
+        return None
+
     def _make_async(self, function: Callable) -> Callable:
         async def _wrapper() -> Any:
             return await self.loop().run_in_executor(

aat/engine/engine.py

@@ -161,6 +161,7 @@ def __init__(self, **config: dict) -> None:
         self.strategies = getStrategies(
             config.get("strategy", {}).get("strategies", [])
         )
+
         for strategy in self.strategies:
             self.log.critical("Installing strategy: {}".format(strategy))
             self.registerHandler(strategy)

aat/exchange/base/market_data.py

@@ -1,7 +1,7 @@
 from abc import ABCMeta
-from typing import List, AsyncIterator
+from typing import AsyncIterator, List, Optional
 
-from aat import Instrument, Event
+from aat import Instrument, Event, OrderBook
 
 
 class _MarketData(metaclass=ABCMeta):
@@ -17,3 +17,6 @@ async def subscribe(self, instrument: Instrument) -> None:
 
     async def tick(self) -> AsyncIterator[Event]:
         """return data from exchange"""
+
+    async def book(self, instrument: Instrument) -> Optional[OrderBook]:
+        """return order book"""