working on risk update and cancel

AsyncAlgoTrading · Jul 2, 2019 · ef8a206 · ef8a206
1 parent bb9ffab
commit ef8a206
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Showing 4 changed files with 57 additions and 39 deletions.
diff --git a/aat/parser.py b/aat/parser.py
@@ -134,24 +134,33 @@ def _parse_currencies(currencies):
     return ret
 
 
+def _parse_exchanges(argv):
+    return [str_to_exchange(x) for x in argv['exchanges'].split() if x]
+
+
+def _parse_synthetic_config(config, argv):
+    new_config = SyntheticExchangeConfig()
+
+    new_config.exchange_types = config.exchange_options.exchange_types
+    new_config.trading_type = config.exchange_options.trading_type
+    new_config.currency_pairs = config.exchange_options.currency_pairs
+    new_config.instruments = config.exchange_options.instruments
+
+    if argv.get('direction'):
+        new_config.direction = argv.get('direction')
+    if argv.get('volatility'):
+        new_config.volatility = argv.get('volatility')
+    return new_config
+
+
 def _parse_options(argv, config: TradingEngineConfig) -> None:
     if argv.get('exchanges'):
-        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split() if x]
+        config.exchange_options.exchange_types = _parse_exchanges(argv)
         for exchange in config.exchange_options.exchange_types:
             if config.type == TradingType.LIVE and exchange == ExchangeType.SYNTHETIC:
                 raise ConfigException('Cannot run synthetic exchange in live mode!')
             elif exchange == ExchangeType.SYNTHETIC:
-                new_config = SyntheticExchangeConfig()
-                new_config.exchange_types = config.exchange_options.exchange_types
-                new_config.trading_type = config.exchange_options.trading_type
-                new_config.currency_pairs = config.exchange_options.currency_pairs
-                new_config.instruments = config.exchange_options.instruments
-
-                if argv.get('direction'):
-                    new_config.direction = argv.get('direction')
-                if argv.get('volatility'):
-                    new_config.volatility = argv.get('volatility')
-                config.exchange_options = new_config
+                config.exchange_options = _parse_synthetic_config(config, argv)
                 config.exchange_options.exchange_type = ExchangeType.COINBASE
     else:
         raise ConfigException('No exchange set!')
@@ -188,20 +197,10 @@ def _parse_backtest_options(argv, config) -> None:
     config.backtest_options = BacktestConfig()
 
     if argv.get('exchanges'):
-        config.exchange_options.exchange_types = [str_to_exchange(x) for x in argv['exchanges'].split() if x]
+        config.exchange_options.exchange_types = _parse_exchanges(argv)
         for exchange in config.exchange_options.exchange_types:
             if exchange == ExchangeType.SYNTHETIC:
-                new_config = SyntheticExchangeConfig()
-                new_config.exchange_types = config.exchange_options.exchange_types
-                new_config.trading_type = config.exchange_options.trading_type
-                new_config.currency_pairs = config.exchange_options.currency_pairs
-                new_config.instruments = config.exchange_options.instruments
-
-                if argv.get('direction'):
-                    new_config.direction = argv.get('direction')
-                if argv.get('volatility'):
-                    new_config.volatility = argv.get('volatility')
-                config.exchange_options = new_config
+                config.exchange_options = _parse_synthetic_config(config, argv)
                 config.exchange_options.exchange_type = ExchangeType.COINBASE
     else:
         raise ConfigException('No exchange set!')
@@ -254,6 +253,7 @@ def parse_command_line_config(argv: list) -> TradingEngineConfig:
 
 def set_all_trading_types(trading_type: TradingType,
                           config: TradingEngineConfig) -> None:
+    '''Set all trading types to match'''
     config.type = trading_type
     config.exchange_options.trading_type = trading_type
     config.risk_options.trading_type = trading_type

diff --git a/aat/query.py b/aat/query.py
@@ -46,7 +46,7 @@ def __init__(self,
         self._execution = execution
 
     def registerStrategy(self, strat: TradingStrategy):
-        self._strats.append(strat)  # add to tickables
+        self._strats.append(strat)
 
     def query_instruments(self, exchange=None) -> List[PairType]:
         if exchange:

diff --git a/aat/risk.py b/aat/risk.py
@@ -42,20 +42,10 @@ def _constructResp(self,
                             risk_check=status,
                             risk_reason=reason,
                             )
-
-        if status == TradeResult.FILLED:  # FIXME
-            self.outstanding += abs(vol * price) * (1 if side == Side.BUY else -1)
-
-            self.max_running_outstanding = max(self.max_running_outstanding,
-                                               self.outstanding)
-            self.max_running_outstanding_incr.append(
-                self.max_running_outstanding)
-
-            # TODO self.max_running_risk =
-            # TODO self.max_running_drawdown =
         return resp
 
     def request(self, req: TradeRequest) -> TradeRequest:
+        # update risk as soon as order will go out
         log.info('Requesting %f @ %f', req.volume, req.price)
         total = req.volume * req.price
         total = total * -1 if req.side == Side.SELL else total
@@ -110,8 +100,23 @@ def requestSell(self, req: TradeRequest):
 
     def update(self, resp: TradeResponse):
         '''update risk after execution'''
-        log.critical('NOT IMPLEMENTED')
+        log.critical('risk not fully implemented')
+        if resp.status == TradeResult.FILLED:
+            # FIXME
+            self.outstanding += abs(resp.volume * resp.price) * (1 if resp.side == Side.BUY else -1)
+
+            # FIXME
+            # self.max_running_outstanding = max(self.max_running_outstanding,
+            #                                    self.outstanding)
+            # self.max_running_outstanding_incr.append(
+            #     self.max_running_outstanding)
+
+            # TODO self.max_running_risk =
+            # TODO self.max_running_drawdown =
+        elif resp.status == TradeResult.REJECTED:
+            self.outstanding -= abs(resp.volume * resp.price) * (1 if resp.side == Side.BUY else -1)
 
     def cancel(self, resp: TradeResponse):
         '''update risk after cancelling order'''
-        log.critical('NOT IMPLEMENTED')
+        log.critical('risk not fully implemented')
+        self.outstanding -= abs(resp.volume * resp.price) * (1 if resp.side == Side.BUY else -1)
diff --git a/aat/tests/test_risk.py b/aat/tests/test_risk.py
@@ -83,4 +83,17 @@ def test_request2(self):
         # assert resp.risk_check == False
 
     def test_update(self):
-        self.risk.update(None)
+        from ..structs import TradeRequest, TradeResponse, Instrument
+        from ..enums import Side, PairType, OrderType, ExchangeType, TradeResult
+        req = TradeRequest(side=Side.SELL, instrument=Instrument(underlying=PairType.BTCUSD), order_type=OrderType.MARKET, volume=50.0, price=1.0, exchange=ExchangeType.COINBASE, time=datetime.now())
+        resp = TradeResponse(side=Side.SELL, instrument=Instrument(underlying=PairType.BTCUSD), request=req, order_id='1', volume=50.0, price=1.0, exchange=ExchangeType.COINBASE, time=datetime.now(), status=TradeResult.FILLED)
+        self.risk.update(resp)
+        assert self.risk.outstanding == -50
+
+    def test_cancel(self):
+        from ..structs import TradeRequest, TradeResponse, Instrument
+        from ..enums import Side, PairType, OrderType, ExchangeType, TradeResult
+        req = TradeRequest(side=Side.SELL, instrument=Instrument(underlying=PairType.BTCUSD), order_type=OrderType.MARKET, volume=50.0, price=1.0, exchange=ExchangeType.COINBASE, time=datetime.now())
+        resp = TradeResponse(side=Side.SELL, instrument=Instrument(underlying=PairType.BTCUSD), request=req, order_id='1', volume=50.0, price=1.0, exchange=ExchangeType.COINBASE, time=datetime.now(), status=TradeResult.FILLED)
+        self.risk.cancel(resp)
+        assert self.risk.outstanding == 50