updates

aat/data_source.py

@@ -1,5 +1,4 @@
 from abc import ABCMeta, abstractmethod
-from typing import Set
 from .callback import Callback
 from .structs import TradeRequest, TradeResponse
 from .enums import TickType

aat/strategies/data_capture.py

@@ -0,0 +1,45 @@
+from ..strategy import TradingStrategy
+from ..structs import MarketData, TradeResponse
+from ..logging import STRAT as slog, ERROR as elog
+
+
+class DataCaptureStrategy(TradingStrategy):
+    def __init__(self, filename) -> None:
+        super(DataCaptureStrategy, self).__init__()
+        self.filename = filename
+
+    def onBuy(self, res: TradeResponse) -> None:
+        slog.info(res)
+
+    def onSell(self, res: TradeResponse) -> None:
+        slog.info(res)
+
+    def onTrade(self, data: MarketData) -> bool:
+        slog.info(data)
+
+    def onError(self, e) -> None:
+        elog.critical(e, type(e))
+
+    def onExit(self) -> None:
+        self.cancelAll(lambda *args: True)
+
+    def onChange(self, data: MarketData) -> None:
+        slog.info(data)
+
+    def onFill(self, data: MarketData) -> None:
+        slog.info(data)
+
+    def onCancel(self, data: MarketData) -> None:
+        slog.info(data)
+
+    def onOpen(self, data: MarketData) -> None:
+        slog.info(data)
+
+    def slippage(self, resp: TradeResponse) -> TradeResponse:
+        return resp
+
+    def transactionCost(self, resp: TradeResponse) -> TradeResponse:
+        return resp
+
+    def onAnalyze(self, _) -> None:
+        pass