Merge pull request #107 from nautechsystems/develop

Develop

.github/workflows/test-tag-publish.yml

@@ -19,6 +19,8 @@ jobs:
 
     steps:
       - uses: actions/checkout@v2
+        with:
+          fetch-depth: 2
 
       # Python setup
       - name: Set up Python environment

.readthedocs.yaml

@@ -1,6 +1,8 @@
-name: nautilus_trader
-type: sphinx
-base: docs/source
+version: 2
+
+sphinx:
+  configuration: docs/source/conf.py
+
 python:
   version: 3.8
   install:

README.md

@@ -7,6 +7,7 @@
 [![codacy-quality](https://api.codacy.com/project/badge/Grade/a1d3ccf7bccb4483b091975681a5cb23)](https://app.codacy.com/gh/nautechsystems/nautilus_trader?utm_source=github.com&utm_medium=referral&utm_content=nautechsystems/nautilus_trader&utm_campaign=Badge_Grade_Dashboard)
 ![build](https://github.com/nautechsystems/nautilus_trader/workflows/build/badge.svg)
 [![Documentation Status](https://readthedocs.org/projects/nautilus-trader/badge/?version=latest)](https://nautilus-trader.readthedocs.io/en/latest/?badge=latest)
+[![codecov](https://codecov.io/gh/nautechsystems/nautilus_trader/branch/master/graph/badge.svg?token=DXO9QQI40H)](https://codecov.io/gh/nautechsystems/nautilus_trader)
 ![pypi-pythons](https://img.shields.io/pypi/pyversions/nautilus_trader)
 ![pypi-version](https://img.shields.io/pypi/v/nautilus_trader)
 [![Downloads](https://pepy.tech/badge/nautilus-trader)](https://pepy.tech/project/nautilus-trader)
@@ -39,7 +40,7 @@ is written mostly in Python with optional additional C-inspired syntax.
 
 ## Documentation
 
-The documentation for the latest version of the package is available on _readthedocs_.
+The documentation for the latest version of the package is available at _readthedocs_.
 
 > https://nautilus-trader.readthedocs.io
 

build.py

@@ -56,7 +56,7 @@
 
 
 def _build_extensions() -> List[Extension]:
-    """Build Extensions to feed into cythonize()."""
+    # Build Extensions to feed into cythonize()
     # Profiling requires special macro directives
     if PROFILING_MODE or ANNOTATION_MODE:
         define_macros = [("CYTHON_TRACE", "1")]
@@ -77,7 +77,7 @@ def _build_extensions() -> List[Extension]:
 
 
 def _build_distribution(extensions: List[Extension]) -> Distribution:
-    """Build a Distribution using cythonize()."""
+    # Build a Distribution using cythonize()
     # Determine the build output directory
     if PROFILING_MODE:
         # For subsequent annotation, the c source needs to be in
@@ -105,7 +105,7 @@ def _build_distribution(extensions: List[Extension]) -> Distribution:
 
 
 def _copy_build_dir_to_project(cmd: build_ext) -> None:
-    """Copy built extensions back to the project tree."""
+    # Copy built extensions back to the project tree
     for output in cmd.get_outputs():
         relative_extension = os.path.relpath(output, cmd.build_lib)
         if not os.path.exists(output):
@@ -120,7 +120,7 @@ def _copy_build_dir_to_project(cmd: build_ext) -> None:
 
 
 def build(setup_kwargs):
-    # Construct the extensions and distribution
+    """Construct the extensions and distribution."""  # noqa
     extensions = _build_extensions()
     distribution = _build_distribution(extensions)
 

docs/source/conf.py

@@ -12,14 +12,8 @@
 #
 
 import os
-import sys
-
 import sphinx_rtd_theme
 
-
-sys.path.insert(0, os.path.abspath("../.."))
-
-
 # -- Project information -----------------------------------------------------
 
 project = "NautilusTrader"

docs/source/index.rst

@@ -13,8 +13,8 @@ to be universal, with any REST/FIX/WebSockets API able to be integrated via modu
 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
------------------
+Why NautilusTrader?
+-------------------
 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
@@ -29,7 +29,7 @@ platform was designed from the ground up to hold its own in terms of 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 be offered suitable for professional quantitative traders and hedge funds.
+can be offered, suitable for professional quantitative traders and hedge funds.
 
 Why Python?
 -----------

examples/strategies/ema_cross_cython.pyx

@@ -129,7 +129,7 @@ cdef class EMACross(TradingStrategy):
         self.log.info(f"Received {bar_type} Bar({bar})")
 
         # Check if indicators ready
-        if not self.indicators_initialized:
+        if not self.indicators_initialized():
             self.log.info(f"Waiting for indicators to warm up "
                           f"[{self.data.bar_count(self.bar_type)}]...")
             return  # Wait for indicators to warm up...

examples/strategies/ema_cross_simple.py

@@ -121,7 +121,7 @@ def on_bar(self, bar_type: BarType, bar: Bar):
         self.log.info(f"Received {bar_type} Bar({bar})")
 
         # Check if indicators ready
-        if not self.indicators_initialized:
+        if not self.indicators_initialized():
             self.log.info(f"Waiting for indicators to warm up "
                           f"[{self.data.bar_count(self.bar_type)}]...")
             return  # Wait for indicators to warm up...

nautilus_trader/backtest/engine.pyx

@@ -54,8 +54,6 @@ from nautilus_trader.trading.portfolio cimport Portfolio
 from nautilus_trader.trading.strategy cimport TradingStrategy
 
 
-# noinspection: Object has warned attribute
-# noinspection PyUnresolvedReferences
 cdef class BacktestEngine:
     """
     Provides a backtest engine to run a portfolio of strategies inside a Trader
@@ -329,7 +327,7 @@ cdef class BacktestEngine:
         # Run the backtest
         self.log.info(f"Running backtest...")
 
-        for strategy in self.trader.strategies:
+        for strategy in self.trader.strategies():
             strategy.clock.set_time(start)
 
         self.trader.start()
@@ -355,7 +353,7 @@ cdef class BacktestEngine:
         cdef TradingStrategy strategy
         cdef TimeEventHandler event_handler
         cdef list time_events = []  # type: [TimeEventHandler]
-        for strategy in self.trader.strategies:
+        for strategy in self.trader.strategies():
             # noinspection: Object has warned attribute
             # noinspection PyUnresolvedReferences
             time_events += sorted(strategy.clock.advance_time(timestamp))

nautilus_trader/common/factories.pyx

@@ -88,6 +88,18 @@ cdef class OrderFactory:
             initial_count=initial_count,
         )
 
+    @property
+    def count(self):
+        """
+        The count of identifiers generated.
+
+        Returns
+        -------
+        int
+
+        """
+        return self._id_generator.count
+
     cpdef void set_count(self, int count) except *:
         """
         System Method: Set the internal order identifier generator count to the

nautilus_trader/common/generators.pxd

@@ -25,7 +25,9 @@ cdef class IdentifierGenerator:
     cdef str _prefix
     cdef IdTag _id_tag_trader
     cdef IdTag _id_tag_strategy
-    cdef int _count
+
+    cdef readonly int count
+    """The count of identifiers generated.\n\n:returns: `int`"""
 
     cpdef void set_count(self, int count) except *
     cpdef void reset(self) except *

nautilus_trader/common/generators.pyx

@@ -13,6 +13,7 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
+from datetime import datetime
 from cpython.datetime cimport datetime
 
 from nautilus_trader.common.clock cimport Clock
@@ -67,7 +68,7 @@ cdef class IdentifierGenerator:
         self._prefix = prefix
         self._id_tag_trader = id_tag_trader
         self._id_tag_strategy = id_tag_strategy
-        self._count = initial_count
+        self.count = initial_count
 
     cpdef void set_count(self, int count) except *:
         """
@@ -79,15 +80,15 @@ cdef class IdentifierGenerator:
             The count to set.
 
         """
-        self._count = count
+        self.count = count
 
     cpdef void reset(self) except *:
         """
         Reset the identifier generator.
 
         All stateful values are reset to their initial value.
         """
-        self._count = 0
+        self.count = 0
 
     cdef str _generate(self):
         """
@@ -98,13 +99,13 @@ cdef class IdentifierGenerator:
         str
 
         """
-        self._count += 1
+        self.count += 1
 
         return (f"{self._prefix}-"
                 f"{self._get_datetime_tag()}-"
                 f"{self._id_tag_trader.value}-"
                 f"{self._id_tag_strategy.value}-"
-                f"{self._count}")
+                f"{self.count}")
 
     cdef str _get_datetime_tag(self):
         """
@@ -116,8 +117,6 @@ cdef class IdentifierGenerator:
 
         """
         cdef datetime utc_now = self._clock.utc_now()
-        # noinspection: CPython datetime attributes
-        # noinspection PyUnresolvedReferences
         return (f"{utc_now.year}"
                 f"{utc_now.month:02d}"
                 f"{utc_now.day:02d}"
@@ -177,8 +176,6 @@ cdef class OrderIdGenerator(IdentifierGenerator):
         return ClientOrderId(self._generate())
 
 
-# noinspection: Object has warned attribute
-# noinspection PyUnresolvedReferences
 cdef class PositionIdGenerator:
     """
     Provides a generator for unique PositionId(s).

nautilus_trader/data/aggregation.pyx

@@ -490,9 +490,8 @@ cdef class TimeBarAggregator(BarAggregator):
                 return
 
             bar = self._builder.build(event.timestamp)
+            self._handle_bar(bar)
         except ValueError as ex:
             # Bar was somehow malformed
             self._log.exception(ex)
             return
-
-        self._handle_bar(bar)

nautilus_trader/data/engine.pyx

@@ -17,10 +17,9 @@
 The `DataEngine` is the central component of the entire data stack for the platform.
 
 Its primary responsibility is to orchestrate interactions between the individual
-`DataClient` instances, and the rest of the platform. This is could include
-ongoing subscriptions to specific data types, for particular endpoints. As well as
-hydrating a `DataCache` layer which presents a read-only facade for its clients
-to consume cached data through.
+`DataClient` instances, and the rest of the platform. This includes consumers
+subscribing to specific data types, as well as hydrating a `DataCache` layer
+which presents a read-only facade for consumers.
 
 Alternative implementations can be written on top which just need to override
 the engines `execute` and `process` methods.
@@ -140,7 +139,7 @@ cdef class DataEngine:
         list[Venue]
 
         """
-        return list(self._clients.keys())
+        return sorted(list(self._clients.keys()))
 
     @property
     def subscribed_quote_ticks(self):
@@ -152,7 +151,7 @@ cdef class DataEngine:
         list[Symbol]
 
         """
-        return list(self._quote_tick_handlers.keys())
+        return sorted(list(self._quote_tick_handlers.keys()))
 
     @property
     def subscribed_trade_ticks(self):
@@ -164,7 +163,7 @@ cdef class DataEngine:
         list[Symbol]
 
         """
-        return list(self._trade_tick_handlers.keys())
+        return sorted(list(self._trade_tick_handlers.keys()))
 
     @property
     def subscribed_bars(self):
@@ -176,7 +175,7 @@ cdef class DataEngine:
         list[BarType]
 
         """
-        return list(self._bar_handlers.keys())
+        return sorted(list(self._bar_handlers.keys()))
 
     @property
     def subscribed_instruments(self):
@@ -188,7 +187,7 @@ cdef class DataEngine:
         list[Symbol]
 
         """
-        return list(self._instrument_handlers.keys())
+        return sorted(list(self._instrument_handlers.keys()))
 
 # --REGISTRATION -----------------------------------------------------------------------------------
 

nautilus_trader/execution/engine.pyx

@@ -145,7 +145,7 @@ cdef class ExecutionEngine:
         set[StrategyId]
 
         """
-        return list(self._clients.keys())
+        return sorted(list(self._clients.keys()))
 
     @property
     def registered_strategies(self):
@@ -157,7 +157,7 @@ cdef class ExecutionEngine:
         list[StrategyId]
 
         """
-        return list(self._strategies.keys())
+        return sorted(list(self._strategies.keys()))
 
 # -- REGISTRATION ----------------------------------------------------------------------------------
 
@@ -776,7 +776,7 @@ cdef class ExecutionEngine:
         cdef list positions = self.cache.positions()
 
         # Count positions per symbol
-        cdef dict counts = {}  # type: {Symbol: int}
+        cdef dict counts = {}  # type: dict[Symbol, int]
         cdef Position position
         for position in positions:
             if position.symbol not in counts:

nautilus_trader/model/identifiers.pxd

@@ -66,7 +66,7 @@ cdef class StrategyId(Identifier):
     @staticmethod
     cdef StrategyId null_c()
     cdef inline bint is_null(self) except *
-    cdef inline bint not_null(self)  except *
+    cdef inline bint not_null(self) except *
 
     @staticmethod
     cdef StrategyId from_string_c(str value)
@@ -111,7 +111,7 @@ cdef class PositionId(Identifier):
     @staticmethod
     cdef PositionId null_c()
     cdef inline bint is_null(self) except *
-    cdef inline bint not_null(self)  except *
+    cdef inline bint not_null(self) except *
 
 
 cdef class ExecutionId(Identifier):

nautilus_trader/trading/filters.pxd

@@ -30,10 +30,14 @@ cdef class ForexSessionFilter:
 
 
 cdef class NewsEvent:
-    cdef datetime _timestamp
-    cdef object _impact
-    cdef str _name
-    cdef str _currency
+    cdef readonly datetime timestamp
+    """The news events timestamp.\n\n:returns: `datetime`"""
+    cdef readonly object impact
+    """The expected news impact.\n\n:returns: `object`"""
+    cdef readonly str name
+    """The descriptive name of the news event.\n\n:returns: `str`"""
+    cdef readonly str currency
+    """The currency affected by the news event.\n\n:returns: `str`"""
 
 
 cdef class EconomicNewsEventFilter: