Merge pull request #75 from AsyncAlgoTrading/pricehistory

working on price history #71, fixes #72

README.md

@@ -111,6 +111,9 @@ class Strategy(metaclass=ABCMeta):
     async def newOrder(self, order: Order):
         '''helper method, defers to buy/sell'''
 
+    async def cancelOrder(self, order: Order):
+        '''cancel an open order'''
+
     async def buy(self, order: Order):
         '''submit a buy order. Note that this is merely a request for an order, it provides no guarantees that the order will
         execute. At a later point, if your order executes, you will receive an alert via the `bought` method'''
@@ -128,6 +131,9 @@ class Strategy(metaclass=ABCMeta):
     def trades(self, instrument: Instrument = None, exchange: ExchangeType = None, side: Side = None):
         '''select all past trades'''
 
+    def accounts(self) -> List:
+        '''get accounts from source'''
+
     ################
     # Risk Methods #
     ################
@@ -137,6 +143,9 @@ class Strategy(metaclass=ABCMeta):
     def risk(self, position=None):
         '''Get risk metrics'''
 
+    def priceHistory(self, instrument: Instrument):
+        '''Get price history for an asset'''
+
     #################
     # Other Methods #
     #################
@@ -152,6 +161,9 @@ class Strategy(metaclass=ABCMeta):
 
     def subscribe(self, instrument=None):
         '''Subscribe to market data for the given instrument'''
+
+    def lookup(self, instrument):
+        '''lookup an instrument on the exchange'''
 ```
 
 ### Example Strategy

aat/core/engine/manager.py

@@ -217,6 +217,9 @@ def positions(self, instrument=None, exchange=None, side=None):
     def risk(self, position=None):
         return self._risk_mgr.risk(position=position)
 
+    def priceHistory(self, instrument=None):
+        return self._risk_mgr.priceHistory(instrument=instrument)
+
     # **********************
     # EventHandler methods *
     # **********************

aat/core/risk/calculations.py

@@ -26,6 +26,19 @@ def _getInstruments(self):
         return instruments
 
     def _getPrice(self):
+        portfolio = []
+        price_cols = []
+        for instrument, price_history in self.priceHistory().items():
+            #########
+            # Price #
+            #########
+            price_col = instrument.name
+            price_cols.append(price_col)
+            price_history.set_index('when', inplace=True)
+            portfolio.append(price_history)
+        return self._constructDf(portfolio)
+
+    def _getAssetPrice(self):
         portfolio = []
         price_cols = []
         for position in self.positions():
@@ -147,7 +160,7 @@ def collectStats(self):
         self._df_pnl = self._getPnl()
         self._df_pnl.fillna(0.0, inplace=True)
 
-        self._df_price = self._getPrice()
+        self._df_asset_price = self._getAssetPrice()
 
         self._df_total_pnl = self._df_pnl[[c for c in self._df_pnl if 'pnl:' in c]]
         self._df_total_pnl.columns = [c.replace('pnl:', '') for c in self._df_total_pnl.columns]
@@ -163,15 +176,29 @@ def collectStats(self):
 
     def plotPrice(self, ax=None, **plot_kwargs):
         self._df_price = self._getPrice()
-        self._df_price.plot(ax=ax, **plot_kwargs)
+
+        if not self._df_price.empty:
+            self._df_price.plot(ax=ax, **plot_kwargs)
+
+        if ax:
+            ax.set_ylabel('Price')
+
+    def plotAssetPrice(self, ax=None, **plot_kwargs):
+        self._df_asset_price = self._getAssetPrice()
+
+        if not self._df_asset_price.empty:
+            self._df_asset_price.plot(ax=ax, **plot_kwargs)
+
         if ax:
             ax.set_ylabel('Price')
 
     def plotPositions(self, ax=None, **plot_kwargs):
         self._df_size = self._getSize()
         self._df_size.columns = [c.replace('s:', '') for c in self._df_size.columns]
 
-        self._df_size.plot(kind='area', ax=ax, stacked=True, linewidth=0, **plot_kwargs)
+        if not self._df_size.empty:
+            self._df_size.plot(kind='area', ax=ax, stacked=True, linewidth=0, **plot_kwargs)
+
         if ax:
             ax.set_ylabel('Positions')
 
@@ -180,10 +207,12 @@ def plotNotional(self, ax=None, **plot_kwargs):
         df_position_notional.columns = [c.replace('s:', '') for c in self._df_size.columns]
 
         for col in df_position_notional.columns:
-            df_position_notional[col] = df_position_notional[col] * self._df_price[col]
+            df_position_notional[col] = df_position_notional[col] * self._df_asset_price[col]
+
+        if not df_position_notional.empty:
+            df_position_notional.fillna(method='ffill', inplace=True)
+            df_position_notional.plot(kind='area', ax=ax, stacked=True, linewidth=0, **plot_kwargs)
 
-        df_position_notional.fillna(method='ffill', inplace=True)
-        df_position_notional.plot(kind='area', ax=ax, stacked=True, linewidth=0, **plot_kwargs)
         if ax:
             ax.set_ylabel('Notional')
 
@@ -198,7 +227,10 @@ def plotPnl(self, ax=None, **plot_kwargs):
 
         self._df_total_pnl = self._df_pnl[[c for c in self._df_pnl if 'pnl:' in c]]
         self._df_total_pnl.columns = [c.replace('pnl:', '') for c in self._df_total_pnl.columns]
-        self._df_total_pnl.plot(ax=ax)
+
+        if not self._df_total_pnl.empty:
+            self._df_total_pnl.plot(ax=ax)
+
         if ax:
             ax.set_ylabel('PNL')
 
@@ -211,7 +243,10 @@ def plotUpDown(self, ax=None, **plot_kwargs):
         df2['neg'] = df2['alpha']
         df2['pos'][df2['pos'] <= 0] = np.nan
         df2['neg'][df2['neg'] > 0] = np.nan
-        df2.plot(ax=ax, y=['pos', 'neg'], kind='area', stacked=False, color=['green', 'red'], legend=False, linewidth=0, fontsize=5, rot=0, **plot_kwargs)
+
+        if not df2.empty:
+            df2.plot(ax=ax, y=['pos', 'neg'], kind='area', stacked=False, color=['green', 'red'], legend=False, linewidth=0, fontsize=5, rot=0, **plot_kwargs)
+
         if ax:
             ax.set_ylabel('Alpha')
 
@@ -225,19 +260,20 @@ def plotReturnHistograms(self, **plot_kwargs):
             # drop if exactly -100% (e.g. "sold")
             df_returns.append(self._df_notional[col].drop_duplicates().pct_change(1).fillna(0.0))
 
-        df_returns = pd.concat(df_returns, axis=1, sort=True)
-        df_returns.sort_index(inplace=True)
-        df_returns = df_returns.groupby(df_returns.index).last()
-        df_returns.drop_duplicates(inplace=True)
+        if df_returns:
+            df_returns = pd.concat(df_returns, axis=1, sort=True)
+            df_returns.sort_index(inplace=True)
+            df_returns = df_returns.groupby(df_returns.index).last()
+            df_returns.drop_duplicates(inplace=True)
 
-        fig2 = plt.figure(figsize=(9, 5))
-        grid = plt.GridSpec(2, len(df_returns.columns), figure=fig2, wspace=0.4, hspace=0.3)
-        axes2 = []
-        for _ in range(len(df_returns.columns)):
-            axes2.append(plt.subplot(grid[0, _]))
+            fig2 = plt.figure(figsize=(9, 5))
+            grid = plt.GridSpec(2, len(df_returns.columns), figure=fig2, wspace=0.4, hspace=0.3)
+            axes2 = []
+            for _ in range(len(df_returns.columns)):
+                axes2.append(plt.subplot(grid[0, _]))
 
-        for i, col in enumerate(df_returns.columns):
-            df_returns.hist(column=col, ax=axes2[i], grid=False)
+            for i, col in enumerate(df_returns.columns):
+                df_returns.hist(column=col, ax=axes2[i], grid=False)
 
     def plotStdDev(self, ax, **plot_kwargs):
         self._df_notional = self._getNotional()
@@ -276,6 +312,7 @@ def performanceCharts(self):
 
             # Plot prices
             self.plotPrice(ax=axes[0])
+            # self.plotAssetPrice(ax=axes[1])
 
             # Plot Positions
             self.plotPositions(ax=axes[1])

aat/core/risk/risk.py

@@ -1,10 +1,18 @@
+import pandas as pd  # type: ignore
 from aat.config import Side
 from aat.core import Event, Order, Trade, Instrument, ExchangeType, Position
 
 
 class RiskManager(object):
     def __init__(self):
+        # Track prices over time
+        self._prices = {}
+        self._trades = {}
+
+        # Track active (open) orders
         self._active_orders = []
+
+        # Track active positions
         self._active_positions = {}
 
     def _setManager(self, manager):
@@ -69,7 +77,13 @@ def newPosition(self, trade: Trade):
     def positions(self, instrument: Instrument = None, exchange: ExchangeType = None, side: Side = None):
         return list(self._active_positions.values())
 
+    def priceHistory(self, instrument: Instrument = None):
+        if instrument:
+            return pd.DataFrame(self._prices[instrument], columns=[instrument.name, 'when'])
+        return {i: pd.DataFrame(self._prices[i], columns=[i.name, 'when']) for i in self._prices}
+
     def risk(self, position=None):
+        # TODO
         return "risk"
 
     # *********************
@@ -92,6 +106,13 @@ async def onTrade(self, event: Event):
             pos.pnl = (pos.pnl, trade.timestamp)
             pos.instrumentPrice = (trade.price, trade.timestamp)
 
+        if trade.instrument not in self._prices:
+            self._prices[trade.instrument] = [(trade.price, trade.timestamp)]
+            self._trades[trade.instrument] = [trade]
+        else:
+            self._prices[trade.instrument].append((trade.price, trade.timestamp))
+            self._trades[trade.instrument].append(trade)
+
     async def onCancel(self, event):
         # TODO
         pass

aat/exchange/public/iex.py

@@ -75,7 +75,7 @@ async def instruments(self):
         instruments = []
         symbols = self._client.symbols()
         for record in symbols:
-            if not record['isEnabled'] or not record['type']:
+            if not record['isEnabled'] or not record['type'] or record['type'] == 'temp':
                 continue
             symbol = record['symbol']
             brokerExchange = record['exchange']

aat/strategy/__init__.py

@@ -8,6 +8,9 @@ class Strategy(EventHandler, CalculationsMixin):
     def __init__(self, *args, **kwargs):
         super().__init__(*args, **kwargs)
 
+    def __repr__(self):
+        return self.__class__.__name__
+
     #########################
     # Event Handler Methods #
     #########################
@@ -203,7 +206,6 @@ def positions(self, instrument: Instrument = None, exchange: ExchangeType = None
         Returns:
             list (Position): list of positions
         '''
-        # TODO move me to manager
         return self._manager.positions(instrument=instrument, exchange=exchange, side=side)
 
     def risk(self, position=None):
@@ -214,12 +216,22 @@ def risk(self, position=None):
         Returns:
             dict: metrics
         '''
-        # TODO move me to manager
         return self._manager.risk(position=position)
 
+    def priceHistory(self, instrument: Instrument = None):
+        '''Get price history for asset
+
+        Args:
+            instrument (Instrument): get price history for instrument
+        Returns:
+            DataFrame: price history
+        '''
+        return self._manager.priceHistory(instrument=instrument)
+
     #################
     # Other Methods #
     #################
+
     def now(self):
         '''Return the current datetime. Useful to avoid code changes between
         live trading and backtesting. Defaults to `datetime.now`'''

aat/strategy/sample/golden_death.py

@@ -4,7 +4,7 @@
 
 
 class GoldenDeathStrategy(Strategy):
-    def __init__(self, symbol, long_ma=15, short_ma=5, *args, **kwargs):
+    def __init__(self, symbol, long_ma=30, short_ma=5, *args, **kwargs):
         super(GoldenDeathStrategy, self).__init__(*args, **kwargs)
 
         # Long moving average size
@@ -119,4 +119,5 @@ async def onRejected(self, event: Event):
 
     async def onExit(self, event: Event):
         print('Finishing...')
+
         self.performanceCharts()

config/iex_intraday.cfg

@@ -4,7 +4,7 @@ trading_type=backtest
 
 [exchange]
 exchanges=
-    aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1d,20200807
+    aat.exchange.public.iex:IEX,Tpk_ecc89ddf30a611e9958142010a80043c,True,1d,20200810
 
 [strategy]
 strategies =