Merge pull request #50 from AsyncAlgoTrading/perspective

Starting on Perspective integration

.bumpversion.cfg

@@ -1,5 +1,5 @@
 [bumpversion]
-current_version = (0, 0, 3, 'final', 0)
+current_version = (0, 1, 0, 'final', 0)
 commit = False
 tag = False
 parse = (?P<major>\d+)\,\ (?P<minor>\d+)\,\ (?P<patch>\d+)\,\ \'(?P<release>\S+)\'\,\ (?P<build>\d+)

.clang-format

@@ -0,0 +1,67 @@
+---
+Language:        Cpp
+# BasedOnStyle:  WebKit
+AccessModifierOffset: -1
+AlignAfterOpenBracket: false
+AlignConsecutiveAssignments: false
+# AlignConsecutiveMacros: true
+AlignEscapedNewlinesLeft: false
+AlignOperands:   false
+AlignTrailingComments: true
+AllowAllParametersOfDeclarationOnNextLine: true
+AllowShortBlocksOnASingleLine: false
+AllowShortCaseLabelsOnASingleLine: false
+AllowShortFunctionsOnASingleLine: All
+AllowShortIfStatementsOnASingleLine: false
+AllowShortLoopsOnASingleLine: false
+AlwaysBreakAfterDefinitionReturnType: true
+AlwaysBreakBeforeMultilineStrings: false
+AlwaysBreakTemplateDeclarations: true
+BinPackArguments: true
+BinPackParameters: true
+BreakBeforeBinaryOperators: All
+BreakBeforeBraces: Attach
+BreakBeforeTernaryOperators: true
+BreakConstructorInitializersBeforeComma: true
+ColumnLimit: 120
+ConstructorInitializerAllOnOneLineOrOnePerLine: false
+ConstructorInitializerIndentWidth: 2
+ContinuationIndentWidth: 2
+Cpp11BracedListStyle: true
+DerivePointerAlignment: false
+DisableFormat:   false
+ExperimentalAutoDetectBinPacking: false
+ForEachMacros:   [ foreach, Q_FOREACH, BOOST_FOREACH ]
+IndentCaseLabels: true
+IndentWidth:     2
+IndentWrappedFunctionNames: false
+KeepEmptyLinesAtTheStartOfBlocks: true
+MacroBlockBegin: ''
+MacroBlockEnd:   ''
+MaxEmptyLinesToKeep: 1
+NamespaceIndentation: Inner
+ObjCBlockIndentWidth: 2
+ObjCSpaceAfterProperty: true
+ObjCSpaceBeforeProtocolList: true
+PenaltyBreakBeforeFirstCallParameter: 19
+PenaltyBreakComment: 300
+PenaltyBreakFirstLessLess: 120
+PenaltyBreakString: 1000
+PenaltyExcessCharacter: 1000000
+PenaltyReturnTypeOnItsOwnLine: 60
+PointerAlignment: Left
+SpaceAfterCStyleCast: false
+SpaceBeforeAssignmentOperators: true
+SpaceBeforeParens: ControlStatements
+SpaceInEmptyParentheses: false
+SpacesBeforeTrailingComments: 2
+SpacesInAngles:  false
+SpacesInContainerLiterals: true
+SpacesInCStyleCastParentheses: false
+SpacesInParentheses: false
+SpacesInSquareBrackets: false
+Standard:        Cpp11
+TabWidth:        2
+UseTab:          Never
+SortIncludes:	 false
+...

.gitattributes

@@ -0,0 +1 @@
+docs/img/orderbook2.gif filter=lfs diff=lfs merge=lfs -text

.gitignore

@@ -59,7 +59,9 @@ target/
 horizon
 
 *.DS_Store
-dashboard_server/node_modules/
+js/node_modules/
+js/build/
+aat/ui/assets/static/
 notes.txt
 ref
 coinbase.sh
@@ -82,4 +84,10 @@ logo.png
 coverage
 experiments
 aat_test
-docs/api
+docs/api
+docs/index.md
+tornado_sqlalchemy_login
+aat.db
+python_junit.xml
+.mypy_cache
+.vscode

CMakeLists.txt

@@ -66,6 +66,11 @@ function (build_dep name cmake_file)
 
     include_directories(${CMAKE_BINARY_DIR}/${name}-src/extras/${name}/include)
     include_directories(${CMAKE_BINARY_DIR}/${name}-src/include)
+
+    if(${name} STREQUAL "date")
+        include_directories(${CMAKE_BINARY_DIR}/${name}-src/include/date)
+    endif()
+
     include_directories(${CMAKE_BINARY_DIR}/${name}-src)
 endfunction()
 ##############################
@@ -167,7 +172,6 @@ endif()
 #########################
 # PYTHON BINDINGS BUILD #
 #########################
-include_directories("${AAT_PYTHON_SRC}/perspective/include")
 if(MANYLINUX)
     # Manylinux docker images have no shared libraries
     # The instead use a statically built python.
@@ -188,6 +192,10 @@ include_directories( ${Python_INCLUDE_DIRS} )
 # already found from before
 find_package(Boost)
 
+build_dep("json" "${AAT_CMAKE_MODULE_PATH}/Json.txt.in")
+build_dep("json-pybind" "${AAT_CMAKE_MODULE_PATH}/Json_pybind.txt.in")
+build_dep("date" "${AAT_CMAKE_MODULE_PATH}/date.txt.in")
+
 if(MACOS)
     # on mac, use the vanilla pybind11 finder
     find_package(pybind11)
@@ -258,33 +266,46 @@ set(CMAKE_SHARED_LIBRARY_PREFIX "")
 
 include_directories("${CMAKE_SOURCE_DIR}/cpp/include")
 
+set(SOURCE_FILES
+${CMAKE_SOURCE_DIR}/cpp/src/config/enums.cpp
+${CMAKE_SOURCE_DIR}/cpp/src/config/parser.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/instrument/instrument.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/exchange/exchange.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/models/data.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/models/event.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/models/order.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/models/trade.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/order_book/price_level.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/order_book/collector.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/core/order_book/order_book.cpp
+    ${CMAKE_SOURCE_DIR}/cpp/src/python/binding.cpp
+)
+
 ########################
 # Python extra targets #
 ########################
-add_library(binding SHARED
-    ${CMAKE_SOURCE_DIR}/cpp/src/binding.cpp
-    ${HEADER_FILES})
+add_library(binding SHARED ${SOURCE_FILES})
 set_target_properties(binding PROPERTIES
          LIBRARY_OUTPUT_DIRECTORY ${CMAKE_LIBRARY_OUTPUT_DIRECTORY}/aat)
 target_link_libraries(binding ${PYTHON_LIBRARIES})
 
-add_library(_enums SHARED
-    ${CMAKE_SOURCE_DIR}/cpp/src/enums.cpp)
-set_target_properties(_enums PROPERTIES
-         LIBRARY_OUTPUT_DIRECTORY ${CMAKE_LIBRARY_OUTPUT_DIRECTORY}/aat)
+# add_library(_enums SHARED
+#     ${CMAKE_SOURCE_DIR}/cpp/src/enums.cpp)
+# set_target_properties(_enums PROPERTIES
+#          LIBRARY_OUTPUT_DIRECTORY ${CMAKE_LIBRARY_OUTPUT_DIRECTORY}/aat)
 # target_link_libraries(_enums binding)
-target_link_libraries(_enums ${PYTHON_LIBRARIES})
+# target_link_libraries(_enums ${PYTHON_LIBRARIES})
 
 ## Copy in place for testing
 add_custom_command(TARGET binding POST_BUILD COMMAND ${CMAKE_COMMAND} -E copy $<TARGET_FILE:binding> ${CMAKE_SOURCE_DIR}/aat/)
-add_custom_command(TARGET _enums POST_BUILD COMMAND ${CMAKE_COMMAND} -E copy $<TARGET_FILE:_enums> ${CMAKE_SOURCE_DIR}/aat/)
+# add_custom_command(TARGET _enums POST_BUILD COMMAND ${CMAKE_COMMAND} -E copy $<TARGET_FILE:_enums> ${CMAKE_SOURCE_DIR}/aat/)
 ########################
 
 if(CPP_BUILD_STRICT AND NOT WIN32)
     target_compile_options(binding PRIVATE -Wall -Werror)
     target_compile_options(binding PRIVATE $<$<CONFIG:DEBUG>:-fPIC -O0>)
-    target_compile_options(_enums PRIVATE -Wall -Werror)
-    target_compile_options(_enums PRIVATE $<$<CONFIG:DEBUG>:-fPIC -O0>)
+    # target_compile_options(_enums PRIVATE -Wall -Werror)
+    # target_compile_options(_enums PRIVATE $<$<CONFIG:DEBUG>:-fPIC -O0>)
 endif()
 
 

Makefile

@@ -1,59 +1,77 @@
-CONFIG=./config/backtest_multi.cfg
-EXCHANGE=gdax
+CONFIG=./config/synthetic.cfg
 
 
-runconfig: build ## Clean and make target, run target
-	python3 -m aat --config=$(CONFIG)
+run:  build  ## Clean and make target, run target
+	python3 -m aat $(CONFIG)
 
-run:  clean build  ## Clean and make target, run target
-	python3 -m aat --live --verbose=$(VERBOSE) --exchange=$(EXCHANGE)
+runcpp:  build  ## Clean and make target, run target
+	AAT_USE_CPP=1 python3 -m aat $(CONFIG)
 
-sandbox: build  ## Clean and make target, run target
-	python3 -m aat --sandbox --verbose=$(VERBOSE) -exchange=$(EXCHANGE)
-
-backtest_config: ## Clean and make target, run backtest
-	python3 -m aat --config=./config/backtest_gemini.cfg
-
-backtest: ## Clean and make target, run backtest
-	python3 -m aat --backtest --verbose=$(VERBOSE) --exchange=$(EXCHANGE)
-
-backtest_inline:  ## Clean and make target, run backtest, plot in terminal
-	bash -c "export MPLBACKEND=\"module://itermplot\";	export ITERMPLOT=\"rv\"; python3 -m aat backtest $(VERBOSE) $(EXCHANGE)"
+rundebug:  debug  ## Clean and make debug target, run target
+	python3 -m aat $(CONFIG)
 
 buildext: ## build the package extensions
 	python3 setup.py build_ext
 
 build: ## build the package
 	python3 setup.py build
 
+debug: ## build debug build of the package
+	DEBUG=1 python3 setup.py build
+
+js:  ## build the js assets
+	cd js; yarn build
+
 install: ## install the package
-	pip3 install .
+	python3 -m pip install .
+
+tests: build testpy  ## Make unit tests
+
+testpy: ## Make unit tests
+	python3 -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch
 
-tests: ## Clean and Make unit tests
-	python3 -m pytest -v ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch
+testpycpp: ## Make unit tests
+	# AAT_USE_CPP=1 python3 -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch --capture=no
+	AAT_USE_CPP=1 python3 -m pytest -s ./aat/tests
 
-test_verbose: ## run the tests with full output
-	@ python3 -m pytest -vv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch
+testjs:  ## Make js tests
+	cd js; yarn test
 
-lint: ## run linter
-	python3 -m flake8 aat 
+lint: lintpy lintjs lintcpp  ## run all linters
 
-fix:  ## run autopep8/tslint fix
-	python3 -m autopep8 --in-place -r -a -a aat/
+lintpy: ## run python linter
+	python3 -m flake8 aat setup.py
+
+lintjs: ## run js linter
+	cd js; yarn lint
+
+lintcpp: ## run cpp linter
+	cpplint --linelength=120 --recursive cpp/
+
+fix: fixpy fixjs fixcpp  ## run all fixers
+
+fixpy:  ## run autopep8 fix
+	python3 -m autopep8 --in-place -r -a -a aat/ setup.py
+
+fixcpp:  ## run clang-format
+	clang-format -i -style=file `find ./cpp -name "*.*pp"`
+
+fixjs:  ## run clang-format
+	cd js; yarn fix
 
 annotate: ## MyPy type annotation check
-	mypy -s aat 
+	python3 -m mypy aat
 
 annotate_l: ## MyPy type annotation check - count only
-	mypy -s aat | wc -l 
+	python3 -m mypy -s aat | wc -l 
 
 docs:  ## Build the sphinx docs
 	make -C docs html
+	open ./docs/_build/html/index.html
 
 dist:  ## dist to pypi
 	rm -rf dist build
-	python3 setup.py sdist
-	python3 setup.py bdist_wheel
+	python3 setup.py sdist bdist_wheel
 	twine check dist/* && twine upload dist/*
 
 clean: ## clean the repository
@@ -71,4 +89,5 @@ help:
 print-%:
 	@echo '$*=$($*)'
 
-.PHONY: clean run runconfig sandbox backtest backtest_config test tests test_verbose help install docs data dist js build buildext boost
+.PHONY: run buildext build js install tests lint fix docs dist clean help fixcpp
+