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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1 @@ | ||
| from .manager import StrategyManager # noqa: F401 |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,99 @@ | ||
| import sys | ||
| import traceback | ||
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| from typing import List | ||
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| from .order_entry import StrategyManagerOrderEntryMixin | ||
| from .risk import StrategyManagerRiskMixin | ||
| from .utils import StrategyManagerUtilsMixin | ||
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| from aat.core.handler import EventHandler | ||
| from aat.exchange import Exchange | ||
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| class StrategyManager(StrategyManagerOrderEntryMixin, StrategyManagerRiskMixin, StrategyManagerUtilsMixin, EventHandler): | ||
| def __init__(self, trading_engine, trading_type, exchanges: List[Exchange]): | ||
| '''The Manager sits between the strategies and the engine and manages state''' | ||
| # store trading engine | ||
| self._engine = trading_engine | ||
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| # store the exchanges | ||
| self._exchanges = exchanges | ||
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| # pull from trading engine class | ||
| self._risk_mgr = self._engine.risk_manager | ||
| self._order_mgr = self._engine.order_manager | ||
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| # install self for callbacks | ||
| self._risk_mgr._setManager(self) | ||
| self._order_mgr._setManager(self) | ||
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| # add exchanges for order manager | ||
| for exc in exchanges: | ||
| self._order_mgr.addExchange(exc) | ||
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| # initialize event subscriptions | ||
| self._data_subscriptions = {} # type: ignore | ||
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| # initialize order and trade tracking | ||
| self._strategy_open_orders = {} | ||
| self._strategy_past_orders = {} | ||
| self._strategy_trades = {} | ||
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| # internal use for synchronizing | ||
| self._alerted_events = {} | ||
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| # internal use for periodics | ||
| self._periodics = [] | ||
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| # ********************* # | ||
| # EventHandler methods * | ||
| # ********************** | ||
| async def onTrade(self, event): | ||
| await self._risk_mgr.onTrade(event) | ||
| await self._order_mgr.onTrade(event) | ||
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| async def onOpen(self, event): | ||
| await self._risk_mgr.onOpen(event) | ||
| await self._order_mgr.onOpen(event) | ||
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| async def onCancel(self, event): | ||
| await self._risk_mgr.onCancel(event) | ||
| await self._order_mgr.onCancel(event) | ||
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| async def onChange(self, event): | ||
| await self._risk_mgr.onChange(event) | ||
| await self._order_mgr.onChange(event) | ||
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| async def onFill(self, event): | ||
| await self._risk_mgr.onFill(event) | ||
| await self._order_mgr.onFill(event) | ||
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| async def onHalt(self, event): | ||
| await self._risk_mgr.onHalt(event) | ||
| await self._order_mgr.onHalt(event) | ||
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| async def onContinue(self, event): | ||
| await self._risk_mgr.onContinue(event) | ||
| await self._order_mgr.onContinue(event) | ||
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| async def onData(self, event): | ||
| # TODO | ||
| await self._risk_mgr.onData(event) | ||
| await self._order_mgr.onData(event) | ||
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| async def onError(self, event): | ||
| # TODO | ||
| print('\n\nA Fatal Error has occurred:') | ||
| traceback.print_exception(type(event.target.exception), event.target.exception, event.target.exception.__traceback__) | ||
| sys.exit(1) | ||
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| async def onExit(self, event): | ||
| # TODO | ||
| await self._risk_mgr.onExit(event) | ||
| await self._order_mgr.onExit(event) | ||
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| async def onStart(self, event): | ||
| # TODO | ||
| await self._risk_mgr.onStart(event) | ||
| await self._order_mgr.onStart(event) |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,22 @@ | ||
| from typing import Callable, Awaitable | ||
| from temporalcache.utils import should_expire # type: ignore | ||
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| class Periodic(object): | ||
| def __init__(self, loop, last_ts, function, second, minute, hour): | ||
| self._loop = loop | ||
| self._function: Callable[Awaitable[None]] = function | ||
| self._second = second | ||
| self._minute = minute | ||
| self._hour = hour | ||
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| self._last = last_ts | ||
| self._continue = True | ||
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| def stop(self) -> None: | ||
| self._continue = False | ||
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| async def execute(self, timestamp): | ||
| if should_expire(self._last, timestamp, self._second, self._minute, self._hour): | ||
| await self._function() | ||
| self._last = timestamp |
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