trim code

AsyncAlgoTrading · Jul 2, 2019 · bb9ffab · bb9ffab
1 parent 835495e
commit bb9ffab
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Showing 6 changed files with 29 additions and 70 deletions.
diff --git a/aat/exchanges/coinbase.py b/aat/exchanges/coinbase.py
@@ -4,7 +4,7 @@
 from ..enums import PairType, TickType, TickType_from_string
 from ..exchange import Exchange
 from ..structs import MarketData, Instrument
-from ..utils import parse_date, str_to_currency_pair_type, str_to_side, str_to_order_type
+from ..utils import parse_date, str_to_side, str_to_order_type
 
 
 class CoinbaseExchange(Exchange):
@@ -44,7 +44,7 @@ def tickToData(self, jsn: dict) -> MarketData:
             volume = float(jsn.get('size', 'nan'))
         price = float(jsn.get('price', 'nan'))
 
-        currency_pair = str_to_currency_pair_type(jsn.get('product_id')) if typ != TickType.ERROR else PairType.NONE
+        currency_pair = PairType.from_string(jsn.get('product_id')) if typ != TickType.ERROR else PairType.NONE
 
         instrument = Instrument(underlying=currency_pair)
 

diff --git a/aat/exchanges/gemini.py b/aat/exchanges/gemini.py
@@ -12,7 +12,7 @@
 from ..exchange import Exchange
 from ..logging import log
 from ..structs import MarketData, Instrument
-from ..utils import str_to_side, str_to_currency_pair_type
+from ..utils import str_to_side
 
 
 class GeminiExchange(Exchange):
@@ -143,7 +143,7 @@ def tickToData(self, jsn: dict) -> MarketData:
         if 'symbol' not in jsn:
             return
 
-        currency_pair = str_to_currency_pair_type(jsn.get('symbol'))
+        currency_pair = PairType.from_string(jsn.get('symbol'))
         instrument = Instrument(underlying=currency_pair)
 
         ret = MarketData(order_id=order_id,

diff --git a/aat/order_entry.py b/aat/order_entry.py
@@ -3,12 +3,12 @@
 from functools import lru_cache
 from typing import List
 from .data_source import RestAPIDataSource
-from .enums import PairType, TradingType, CurrencyType, ExchangeType, ExchangeType_to_string
+from .enums import PairType, TradingType, CurrencyType, ExchangeType, ExchangeType_to_string, TradeResult
 from .exceptions import AATException
 from .structs import TradeRequest, TradeResponse, Account, Instrument
-from .utils import (get_keys_from_environment, str_to_currency_type, str_to_side,
+from .utils import (get_keys_from_environment, str_to_side,
                     exchange_type_to_ccxt_client, tradereq_to_ccxt_order,
-                    str_to_trade_result, parse_date, findpath)
+                    parse_date, findpath)
 # from .utils import elog as log
 
 
@@ -45,7 +45,7 @@ def accounts(self):
             else:
                 currency = jsn['currency']
 
-            currency = str_to_currency_type(currency)
+            currency = CurrencyType(currency)
             if 'balance' in jsn:
                 balance = float(jsn['balance'])
             elif 'amount' in jsn:
@@ -142,14 +142,15 @@ def _extract_fields(self, order, exchange):
             original = float(order.get('info', {}).get('original_amount', 0.0))
             is_cancelled = order.get('info', {}).get('is_cancelled', False)
             if is_cancelled:
-                status = 'REJECTED'
-
+                status = TradeResult.REJECTED
             if filled == original or remaining <= 0:
-                status = 'FILLED'
+                status = TradeResult.FILLED
             elif remaining < original and remaining > 0:
-                status = 'PARTIAL'
+                status = TradeResult.PARTIAL
             elif remaining == original:
-                status = 'PENDING'
+                status = TradeResult.PENDING
+        elif status in ('OPEN',):
+            status = TradeResult.PENDING
         return side, filled, price, datetime, status, cost, remaining
 
     def buy(self, req: TradeRequest) -> TradeResponse:
@@ -164,7 +165,7 @@ def buy(self, req: TradeRequest) -> TradeResponse:
                              price=float(price),
                              instrument=req.instrument,
                              time=parse_date(datetime),
-                             status=str_to_trade_result(status),
+                             status=status,
                              order_id=order['id'],
                              slippage=float(price) - req.price,
                              transaction_cost=cost,
@@ -183,7 +184,7 @@ def sell(self, req: TradeRequest) -> TradeResponse:
                              price=float(price),
                              instrument=req.instrument,
                              time=parse_date(datetime),
-                             status=str_to_trade_result(status),
+                             status=status,
                              order_id=order['id'],
                              slippage=float(price) - req.price,
                              transaction_cost=cost,

diff --git a/aat/parser.py b/aat/parser.py
@@ -3,10 +3,10 @@
 from configparser import ConfigParser
 from pydoc import locate
 from .config import TradingEngineConfig, BacktestConfig, StrategyConfig, SyntheticExchangeConfig
-from .enums import TradingType, InstrumentType, ExchangeType
+from .enums import TradingType, InstrumentType, ExchangeType, PairType
 from .exceptions import ConfigException
 from .structs import Instrument
-from .utils import str_to_exchange, set_verbose, str_to_currency_pair_type
+from .utils import str_to_exchange, set_verbose
 from .logging import log
 
 
@@ -130,7 +130,7 @@ def _parse_currencies(currencies):
     splits = [x.strip().upper().replace('-', '') for x in currencies.split(',')]
     ret = []
     for s in splits:
-        ret.append(str_to_currency_pair_type(s))
+        ret.append(PairType.from_string(s))
     return ret
 
 

diff --git a/aat/tests/test_utils.py b/aat/tests/test_utils.py
@@ -39,15 +39,6 @@ def test_get_keys_from_environment(self):
         assert(two == 'test')
         assert(three == 'test')
 
-    def test_str_to_currency_type(self):
-        from ..utils import str_to_currency_type
-        from ..enums import CurrencyType
-        assert(str_to_currency_type('BTC') == CurrencyType.BTC)
-        assert(str_to_currency_type('ETH') == CurrencyType.ETH)
-        assert(str_to_currency_type('LTC') == CurrencyType.LTC)
-        assert(str_to_currency_type('USD') == CurrencyType.USD)
-        assert(str_to_currency_type('ZRX') == CurrencyType.ZRX)
-
     def test_str_to_side(self):
         from ..utils import str_to_side
         from ..enums import Side
@@ -70,22 +61,6 @@ def test_str_to_exchange(self):
         assert(str_to_exchange('kraken') == ExchangeType.KRAKEN)
         assert(str_to_exchange('poloniex') == ExchangeType.POLONIEX)
 
-    def test_str_to_currency_pair_type(self):
-        from ..utils import str_to_currency_pair_type
-        from ..enums import PairType, CurrencyType
-
-        for c1, v1 in CurrencyType.__members__.items():
-            for c2, v2 in CurrencyType.__members__.items():
-                if c1 == c2 or \
-                   c1 == 'USD' or \
-                   c2 == 'USD' or \
-                   c1 == 'NONE' or \
-                   c2 == 'NONE':
-                    continue
-                assert str_to_currency_pair_type(c1 + '/' + c2) == PairType.from_string(c1 + '/' + c2)
-                assert str_to_currency_pair_type(c1 + '-' + c2) == PairType.from_string(c1, c2)
-                assert str_to_currency_pair_type(c1 + c2) == PairType.from_string(c1, c2)
-
     def test_trade_req_to_params(self):
         from ..utils import trade_req_to_params
         from ..structs import TradeRequest, Instrument, ExchangeType

diff --git a/aat/utils.py b/aat/utils.py
@@ -54,31 +54,23 @@ def ex_type_to_ex(ex: ExchangeType):
 
 @lru_cache(None)
 def get_keys_from_environment(prefix: str) -> tuple:
+    '''get exchange keys from environment variables
+
+    Args:
+        prefix (str): exchange name e.g. COINBASE
+    Returns
+        key (str): private key
+        secret (str): private secret
+        passphrase (str): optional passphrase
+    '''
+
     prefix = prefix.upper()
     key = os.environ[prefix + '_API_KEY']
     secret = os.environ[prefix + '_API_SECRET']
     passphrase = os.environ[prefix + '_API_PASS']
     return key, secret, passphrase
 
 
-@lru_cache(None)
-def str_to_currency_type(s: str) -> CurrencyType:
-    s = s.upper()
-    if s not in CurrencyType.members():
-        raise AATException(f'CurrencyType not recognized {s}')
-    return CurrencyType(s)
-
-
-@lru_cache(None)
-def str_to_currency_pair_type(s: str) -> PairType:
-    return PairType.from_string(s)
-
-
-@lru_cache(None)
-def str_currency_to_currency_pair_type(s: str, base: str = 'USD') -> PairType:
-    return PairType.from_string(s, base)
-
-
 @lru_cache(None)
 def str_to_side(s: str) -> Side:
     s = s.upper()
@@ -99,14 +91,6 @@ def str_to_order_type(s: str) -> OrderType:
     return OrderType.NONE
 
 
-@lru_cache(None)
-def str_to_trade_result(s: str) -> TradeResult:
-    s = s.upper()
-    if s in ('OPEN',):
-        s = 'PENDING'
-    return TradeResult(s)
-
-
 @lru_cache(None)
 def str_to_exchange(exchange: str) -> ExchangeType:
     if exchange.upper() not in ExchangeTypes:
@@ -132,7 +116,6 @@ def trade_req_to_params(req) -> dict:
 
     if ret['type'] == 'limit':
         ret['price'] = req.price
-
     return ret