take into account what instruments are available on what exchanges, s…

…upport query instruments for a given exchange
AsyncAlgoTrading · Jun 2, 2019 · f54ecd0 · f54ecd0
1 parent 322e0c0
commit f54ecd0
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Showing 3 changed files with 18 additions and 7 deletions.
diff --git a/aat/query.py b/aat/query.py
@@ -1,5 +1,7 @@
-from typing import List
+import operator
 from concurrent.futures import ThreadPoolExecutor
+from functools import reduce
+from typing import List
 from .enums import TickType, Side, ExchangeType, CurrencyType, PairType  # noqa: F401
 from .exceptions import QueryException
 from .structs import Instrument, MarketData, TradeRequest, TradeResponse
@@ -27,8 +29,11 @@ def __init__(self,
         self._trade_reqs_by_instrument = {}
         self._trade_resps_by_instrument = {}
 
-    def query_instruments(self) -> List[PairType]:
-        return self._instruments
+    def query_instruments(self, exchange=None) -> List[PairType]:
+        if exchange:
+            return self._instruments[exchange]
+        else:
+            return reduce(operator.concat, self._instruments.values())
 
     def query_exchanges(self) -> List[ExchangeType]:
         return self._exchanges

diff --git a/aat/trading.py b/aat/trading.py
@@ -51,7 +51,9 @@ def __init__(self, options: TradingEngineConfig, ui_handlers: list, ui_settings:
         # instantiate query engine
         self._qy = QueryEngine(exchanges=self._exchanges,
                                pairs=options.exchange_options.currency_pairs,
-                               instruments=options.exchange_options.instruments)
+                               instruments={name:
+                                            list(set(options.exchange_options.instruments).intersection(
+                                                ex.markets())) for name, ex in self._exchanges.items()})
 
         # register query hooks
         if self._live or self._simulation or self._sandbox:

diff --git a/aat/ui/handlers/instruments.py b/aat/ui/handlers/instruments.py
@@ -1,4 +1,5 @@
 import tornado.gen
+from ...enums import ExchangeType
 from .base import HTTPHandler
 from tornado.concurrent import run_on_executor
 from perspective import PerspectiveHTTPMixin
@@ -14,12 +15,15 @@ def initialize(self, trading_engine, **psp_kwargs):
         self.psp_kwargs = psp_kwargs
 
     @run_on_executor
-    def get_data(self, **psp_kwargs):
-        msgs = [x.to_dict(True, True) for x in self.te.query().query_instruments()]
+    def get_data(self, exchange, **psp_kwargs):
+        if exchange:
+            exchange = ExchangeType(exchange)
+        msgs = [x.to_dict(True, True) for x in self.te.query().query_instruments(exchange)]
         super(InstrumentsHandler, self).loadData(data=msgs, **psp_kwargs)
         return super(InstrumentsHandler, self).getData()
 
     @tornado.gen.coroutine
     def get(self):
-        dat = yield self.get_data(**self.psp_kwargs)
+        exchange = self.get_argument('exchange', '')
+        dat = yield self.get_data(exchange, **self.psp_kwargs)
         self.write(dat)