Merge pull request #102 from nautechsystems/develop

Develop
nautechsystems · Oct 29, 2020 · b9c6a09 · b9c6a09
2 parents 313f78a + 4ff3f15
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diff --git a/docs/source/adapters/binance.rst → docs/source/adapter_reference/binance.rst b/docs/source/adapters/binance.rst → docs/source/adapter_reference/binance.rst
diff --git a/docs/source/adapters/bitmex.rst → docs/source/adapter_reference/bitmex.rst b/docs/source/adapters/bitmex.rst → docs/source/adapter_reference/bitmex.rst
diff --git a/docs/source/adapters/ccxt.rst → docs/source/adapter_reference/ccxt.rst b/docs/source/adapters/ccxt.rst → docs/source/adapter_reference/ccxt.rst
diff --git a/docs/source/adapters/tda.rst → docs/source/adapter_reference/tda.rst b/docs/source/adapters/tda.rst → docs/source/adapter_reference/tda.rst
diff --git a/docs/source/api/analysis.rst → docs/source/api_reference/analysis.rst b/docs/source/api/analysis.rst → docs/source/api_reference/analysis.rst
diff --git a/docs/source/api/backtest.rst → docs/source/api_reference/backtest.rst b/docs/source/api/backtest.rst → docs/source/api_reference/backtest.rst
diff --git a/docs/source/api/common.rst → docs/source/api_reference/common.rst b/docs/source/api/common.rst → docs/source/api_reference/common.rst
diff --git a/docs/source/api/core.rst → docs/source/api_reference/core.rst b/docs/source/api/core.rst → docs/source/api_reference/core.rst
@@ -73,16 +73,6 @@ Message
    :undoc-members:
    :member-order: bysource
 
-Types
------
-
-.. automodule:: nautilus_trader.core.types
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :undoc-members:
-   :member-order: bysource
-
 UUID
 ----
 

diff --git a/docs/source/api/data.rst → docs/source/api_reference/data.rst b/docs/source/api/data.rst → docs/source/api_reference/data.rst
diff --git a/docs/source/api/execution.rst → docs/source/api_reference/execution.rst b/docs/source/api/execution.rst → docs/source/api_reference/execution.rst
diff --git a/docs/source/api/indicators.rst → docs/source/api_reference/indicators.rst b/docs/source/api/indicators.rst → docs/source/api_reference/indicators.rst
diff --git a/docs/source/api/model.rst → docs/source/api_reference/model.rst b/docs/source/api/model.rst → docs/source/api_reference/model.rst
diff --git a/docs/source/api/postgres.rst → docs/source/api_reference/postgres.rst b/docs/source/api/postgres.rst → docs/source/api_reference/postgres.rst
diff --git a/docs/source/api/redis.rst → docs/source/api_reference/redis.rst b/docs/source/api/redis.rst → docs/source/api_reference/redis.rst
diff --git a/docs/source/api/serialization.rst → docs/source/api_reference/serialization.rst b/docs/source/api/serialization.rst → docs/source/api_reference/serialization.rst
diff --git a/docs/source/api/trading.rst → docs/source/api_reference/trading.rst b/docs/source/api/trading.rst → docs/source/api_reference/trading.rst
diff --git a/docs/source/development/coding_standards.rst → ...urce/developer_guide/coding_standards.rst b/docs/source/development/coding_standards.rst → ...urce/developer_guide/coding_standards.rst
diff --git a/docs/source/development/environment.rst → docs/source/developer_guide/environment.rst b/docs/source/development/environment.rst → docs/source/developer_guide/environment.rst
diff --git a/docs/source/development/overview.rst → docs/source/developer_guide/overview.rst b/docs/source/development/overview.rst → docs/source/developer_guide/overview.rst
diff --git a/docs/source/development/testing.rst → docs/source/developer_guide/testing.rst b/docs/source/development/testing.rst → docs/source/developer_guide/testing.rst
@@ -4,4 +4,4 @@ Testing
 - Philosophy
 - Unit Tests
 - Integration Tests
-- Acceptance Tests
+- Acceptance Tests
diff --git a/docs/source/guides/framework.rst b/docs/source/guides/framework.rst
diff --git a/docs/source/index.rst b/docs/source/index.rst
@@ -1,18 +1,20 @@
 NautilusTrader Documentation
 ============================
 
-***UNDER CONSTRUCTION***
-
 Introduction
 ------------
 Welcome to the documentation for `NautilusTrader`, an open-source, high-performance,
 production-grade trading platform. It is hoped that this project gains wide
 adoption within the trading community, assisting with safe, reliable and efficient
-trading operations - utilizing the latest advanced technologies. The platform aims
+trading operations.
+
+The platform aims
 to be universal, with any REST/FIX/WebSockets API able to be integrated via modular adapters.
 Thus the platform can handle high-frequency trading operations for any asset classes
 including FX, Equities, Futures, CFDs or Crypto - across multiple venues simultaneously.
 
+Value Proposition
+-----------------
 One of the key value propositions of `NautilusTrader` is that it addresses the
 challenge of keeping the backtest environment consistent with the production
 live trading environment. Normally research and backtesting may be conducted in
@@ -24,11 +26,10 @@ more suitable for large enterprise systems.
 
 The value of `NautilusTrader` here is that this re-implementation step is circumvented, as the
 platform was designed from the ground up to hold its own in terms of performance
-and enterprise grade quality. Python has simply caught right up on performance
+and quality. Python has simply caught up in performance
 (via Cython offering C level speed) and general tooling, making it a suitable language for implementing
 a large system such as this. The benefit here being that a Python native environment
-can now be offered to professional quantitative traders and hedge funds, to meet
-their rigorous standards.
+can be offered suitable for professional quantitative traders and hedge funds.
 
 Why Python?
 -----------
@@ -39,35 +40,11 @@ Not only that, Python has become the `de facto lingua franca` of data science,
 machine learning, and artificial intelligence.
 
 The language out of the box is not without its drawbacks however, especially in the context of implementing
-a large system such as that offered with the `NautilusTrader` package. Cython has addressed some of these issues, offering all the advantages
+large systems. Cython has addressed some of these issues, offering all the advantages
 of a statically typed language, embedded into Pythons rich ecosystem of software
 libraries and developer/user communities.
 
-Architectural Overview
-----------------------
-The package offers a framework comprising of an extensive assortment of modular
-components, which can be arranged into a complete trading platform and system.
-
-The platform is structured around a simple ports and adapters style
-architecture, allowing pluggable implementations of key components with a
-feature rich yet straight forward API. `Domain Driven Design` (DDD) and message passing
-have been central philosophies in the design.
 
-From a high level
-view - a `Trader` can host any number of infinitely customizable
-`TradingStrategy`s. A central `Portfolio` has access to `Account`s which can all be queried. A common
-`DataEngine` and `ExecutionEngine` then allow asynchronous ingest of any data
-and trade events, with the core componentry common to both backtesting and live
-implementations.
-
-Currently a performant `Redis` execution database maintains
-state persistence (swapped out for an in-memory only implementation for backtesting).
-It should be noted that the flexibility of the framework even allows the live trading
-`Redis` database to be plugged into the backtest engine. Interestingly there is
-only a 4x performance overhead which speaks to the raw speed of `Redis` and the
-platform itself.
-
-To be continued (WIP)...
 
 
 Index
@@ -88,61 +65,52 @@ Index
 .. toctree::
     :glob:
     :maxdepth: 2
-    :caption: Guides
+    :caption: User Guide
     :hidden:
 
-    guides/writing_strategies
-    guides/writing_indicators
-    guides/backtesting
-    guides/deploying_live
-    guides/framework
+    user_guide/writing_strategies
+    user_guide/writing_indicators
+    user_guide/backtesting
+    user_guide/deploying_live
+    user_guide/framework
 
 .. toctree::
     :glob:
     :maxdepth: 2
     :caption: API Reference
     :hidden:
 
-    api/analysis
-    api/backtest
-    api/common
-    api/core
-    api/data
-    api/execution
-    api/indicators
-    api/model
-    api/postgres
-    api/redis
-    api/serialization
-    api/trading
-
-.. toctree::
-    :glob:
-    :maxdepth: 2
-    :caption: Adapters
-    :hidden:
-
-    adapters/binance
-    adapters/bitmex
-    adapters/ccxt
-    adapters/tda
+    api_reference/analysis
+    api_reference/backtest
+    api_reference/common
+    api_reference/core
+    api_reference/data
+    api_reference/execution
+    api_reference/indicators
+    api_reference/model
+    api_reference/postgres
+    api_reference/redis
+    api_reference/serialization
+    api_reference/trading
 
 .. toctree::
     :glob:
     :maxdepth: 2
-    :caption: Development
+    :caption: Adapter Reference
     :hidden:
 
-    development/overview
-    development/environment
-    development/coding_standards
-    development/testing
+    adapter_reference/binance
+    adapter_reference/bitmex
+    adapter_reference/ccxt
+    adapter_reference/tda
 
 .. toctree::
     :glob:
     :maxdepth: 2
-    :caption: Resources
+    :caption: Developer Guide
     :hidden:
 
-    resources/research
-    resources/further_reading
+    developer_guide/overview
+    developer_guide/environment
+    developer_guide/coding_standards
+    developer_guide/testing
diff --git a/docs/source/resources/further_reading.rst b/docs/source/resources/further_reading.rst
diff --git a/docs/source/resources/research.rst b/docs/source/resources/research.rst
diff --git a/docs/source/guides/backtesting.rst → docs/source/user_guide/backtesting.rst b/docs/source/guides/backtesting.rst → docs/source/user_guide/backtesting.rst
diff --git a/docs/source/guides/deploying_live.rst → docs/source/user_guide/deploying_live.rst b/docs/source/guides/deploying_live.rst → docs/source/user_guide/deploying_live.rst
@@ -1,8 +1,6 @@
 Deploying Live
 ==============
 
-*** This documentation is currently a work in progress ***
-
 Encryption
 ----------
 

diff --git a/docs/source/user_guide/framework.rst b/docs/source/user_guide/framework.rst
@@ -0,0 +1,26 @@
+Framework
+=========
+
+Architectural Overview
+----------------------
+The package offers a framework comprising of an extensive assortment of modular
+components, which can be arranged into a complete trading platform and system.
+
+The platform is structured around a simple ports and adapters style
+architecture, allowing pluggable implementations of key components with a
+feature rich yet straight forward API. `Domain Driven Design` (DDD) and message passing
+have been central philosophies in the design.
+
+From a high level
+view - a `Trader` can host any number of infinitely customizable
+`TradingStrategy`s. A central `Portfolio` has access to `Account`s which can all be queried. A common
+`DataEngine` and `ExecutionEngine` then allow asynchronous ingest of any data
+and trade events, with the core componentry common to both backtesting and live
+implementations.
+
+Currently a performant `Redis` execution database maintains
+state persistence (swapped out for an in-memory only implementation for backtesting).
+It should be noted that the flexibility of the framework even allows the live trading
+`Redis` database to be plugged into the backtest engine. Interestingly there is
+only a 4x performance overhead which speaks to the raw speed of `Redis` and the
+platform itself.
diff --git a/docs/source/guides/writing_indicators.rst → .../source/user_guide/writing_indicators.rst b/docs/source/guides/writing_indicators.rst → .../source/user_guide/writing_indicators.rst
diff --git a/docs/source/guides/writing_strategies.rst → .../source/user_guide/writing_strategies.rst b/docs/source/guides/writing_strategies.rst → .../source/user_guide/writing_strategies.rst
diff --git a/nautilus_trader/__init__.py b/nautilus_trader/__init__.py
@@ -25,7 +25,7 @@
 # Semantic Versioning (https://semver.org/)
 _MAJOR_VERSION = 1
 _MINOR_VERSION = 83
-_PATCH_VERSION = 8
+_PATCH_VERSION = 9
 _PRE_RELEASE = ''
 
 __version__ = '.'.join([

diff --git a/nautilus_trader/analysis/performance.pyx b/nautilus_trader/analysis/performance.pyx
@@ -139,7 +139,9 @@ cdef class PerformanceAnalyzer:
 
     cpdef void reset(self) except *:
         """
-        Reset the analyzer by returning all stateful values to their initial value.
+        Reset the analyzer.
+
+        All stateful values are reset to their initial value.
         """
         self._account_starting_balance = None
         self._account_balance = None

diff --git a/nautilus_trader/backtest/data.pyx b/nautilus_trader/backtest/data.pyx
@@ -353,7 +353,9 @@ cdef class BacktestDataClient(DataClient):
 
     cpdef void reset(self) except *:
         """
-        Reset the client to its initial state.
+        Reset the data client.
+
+        All stateful values are reset to their initial value.
         """
         self._log.debug(f"Resetting...")
 

diff --git a/nautilus_trader/backtest/engine.pyx b/nautilus_trader/backtest/engine.pyx
@@ -395,6 +395,7 @@ cdef class BacktestEngine:
         """
         Reset the backtest engine.
 
+        All stateful values are reset to their initial value.
         """
         self.log.debug(f"Resetting...")
 

diff --git a/nautilus_trader/backtest/exchange.pyx b/nautilus_trader/backtest/exchange.pyx
@@ -205,7 +205,9 @@ cdef class SimulatedExchange:
 
     cpdef void reset(self) except *:
         """
-        Return the market to its initial state.
+        Reset the simulated exchange.
+
+        All stateful values are reset to their initial value.
         """
         self._log.debug(f"Resetting...")
 

diff --git a/nautilus_trader/backtest/execution.pyx b/nautilus_trader/backtest/execution.pyx
@@ -76,7 +76,9 @@ cdef class BacktestExecClient(ExecutionClient):
 
     cpdef void reset(self) except *:
         """
-        Return the client to its initial state preserving tick data.
+        Return the client.
+
+        All stateful values are reset to their initial value.
         """
         self._log.debug(f"Resetting...")
 

diff --git a/nautilus_trader/common/factories.pyx b/nautilus_trader/common/factories.pyx
@@ -139,7 +139,9 @@ exchange/broker        strategy_id : StrategyId
 
     cpdef void reset(self) except *:
         """
-        Reset the order factory by clearing all stateful values.
+        Reset the order factory.
+
+        All stateful values are reset to their initial value.
         """
         self._id_generator.reset()
 

diff --git a/nautilus_trader/common/generators.pyx b/nautilus_trader/common/generators.pyx
@@ -95,8 +95,9 @@ cdef class IdentifierGenerator:
 
     cpdef void reset(self) except *:
         """
-        Reset the identifier generator by setting all stateful values to their
-        default value.
+        Reset the identifier generator.
+
+        All stateful values are reset to their initial value.
         """
         self._count = 0
 
@@ -206,8 +207,9 @@ cdef class PositionIdGenerator:
 
     cpdef void reset(self) except *:
         """
-        Reset the identifier generator by setting all stateful values to their
-        default value.
+        Reset the identifier generator.
+
+        All stateful values are reset to their initial value.
         """
         self._counts = {}
 

diff --git a/nautilus_trader/core/types.pxd b/nautilus_trader/core/types.pxd