made signals a list

.github/workflows/python-package.yml

@@ -19,9 +19,9 @@ jobs:
         python-version: ["3.10", "3.11"]
 
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Set up Python ${{ matrix.python-version }}
-      uses: actions/setup-python@v3
+      uses: actions/setup-python@v5
       with:
         python-version: ${{ matrix.python-version }}
     - name: Install dependencies

bin/local_install.sh

@@ -0,0 +1,18 @@
+
+[[ ! -f "LICENSE" ]] && echo "run the script from the project root directory like this: ./bin/publish.sh" && exit 1
+
+source .venv/bin/activate
+
+rm -rf ./runs
+
+# QA
+flake8 roboquant tests || exit 1
+pylint roboquant tests || exit 1
+python -m unittest discover -s tests/unit || exit 1
+
+# Build
+rm -rf dist
+python -m build || exit 1
+
+# Install
+pip install .

roboquant/__init__.py

@@ -11,5 +11,5 @@
 from .event import Event, PriceItem, Bar, Trade, Quote
 from .order import Order, OrderStatus
 from .run import run
-from .signal import SignalType, Signal, BUY, SELL
+from .signal import SignalType, Signal
 from .timeframe import Timeframe

roboquant/brokers/alpacabroker.py

@@ -1,6 +1,5 @@
 import logging
 import time
-from datetime import datetime, timezone, timedelta
 from decimal import Decimal
 from alpaca.trading.client import TradingClient
 from alpaca.trading.enums import OrderSide, TimeInForce
@@ -13,16 +12,17 @@
 from roboquant.account import Account, Position
 from roboquant.config import Config
 from roboquant.event import Event
-from roboquant.brokers.broker import Broker
+from roboquant.brokers.broker import LiveBroker
 from roboquant.order import Order, OrderStatus
 
 
 logger = logging.getLogger(__name__)
 
 
-class AlpacaBroker(Broker):
+class AlpacaBroker(LiveBroker):
 
     def __init__(self, api_key=None, secret_key=None) -> None:
+        super().__init__()
         self.__account = Account()
         config = Config()
         api_key = api_key or config.get("alpaca.public.key")
@@ -59,13 +59,7 @@ def _sync_positions(self):
             self.__account.positions[p.symbol] = new_pos
 
     def sync(self, event: Event | None = None) -> Account:
-        now = datetime.now(timezone.utc)
-
-        if event:
-            # Let make sure we don't use IBKRBroker by mistake during a back-test.
-            if now - event.time > timedelta(minutes=30):
-                logger.critical("received event from the past, now=%s event-time=%s", now, event.time)
-                raise ValueError(f"received event too far in the past now={now} event-time={event.time}")
+        now = self.guard(event)
 
         client = self.__client
         acc: TradeAccount = client.get_account()  # type: ignore
@@ -122,8 +116,17 @@ def _get_replace_request(self, order: Order):
     broker = AlpacaBroker()
     account = broker.sync()
     print(account)
+
     tsla_order = Order("TSLA", 10)
     broker.place_orders([tsla_order])
     time.sleep(5)
     account = broker.sync()
     print(account)
+
+    tesla_size = account.get_position_size("TSLA")
+    if tesla_size:
+        tsla_order = Order("TSLA", -tesla_size)
+        broker.place_orders([tsla_order])
+        time.sleep(5)
+        account = broker.sync()
+        print(account)

roboquant/brokers/broker.py

@@ -60,11 +60,14 @@ def __init__(self) -> None:
         super().__init__()
         self.max_delay = timedelta(minutes=30)
 
-    def guard(self, event: Event | None = None):
-        if not event:
-            return
+    def guard(self, event: Event | None = None) -> datetime:
 
         now = datetime.now(timezone.utc)
 
+        if not event:
+            return now
+
         if now - event.time > self.max_delay:
             raise ValueError(f"received event too far in the past now={now} event-time={event.time}")
+
+        return now

roboquant/brokers/ibkr.py

@@ -1,7 +1,7 @@
 import logging
 import threading
 import time
-from datetime import datetime, timezone, timedelta
+from datetime import datetime, timedelta
 from decimal import Decimal
 
 from ibapi import VERSION
@@ -14,7 +14,7 @@
 from roboquant.account import Account, Position
 from roboquant.event import Event
 from roboquant.order import Order, OrderStatus
-from roboquant.brokers.broker import Broker, _update_positions
+from roboquant.brokers.broker import LiveBroker, _update_positions
 
 assert VERSION["major"] == 10 and VERSION["minor"] == 19, "Wrong version of the IBAPI found"
 
@@ -116,7 +116,7 @@ def orderStatus(
             logger.warning("received status for unknown order id=%s status=%s", orderId, status)
 
 
-class IBKRBroker(Broker):
+class IBKRBroker(LiveBroker):
     """
     Attributes
     ==========
@@ -137,6 +137,7 @@ class IBKRBroker(Broker):
     """
 
     def __init__(self, host="127.0.0.1", port=4002, client_id=123) -> None:
+        super().__init__()
         self.__account = Account()
         self.contract_mapping: dict[str, Contract] = {}
         api = _IBApi()
@@ -170,15 +171,7 @@ def _should_sync(self, now: datetime):
 
     def sync(self, event: Event | None = None) -> Account:
         """Sync with the IBKR account"""
-
-        logger.debug("start sync")
-        now = datetime.now(timezone.utc)
-
-        if event:
-            # Let make sure we don't use IBKRBroker by mistake during a back-test.
-            if now - event.time > timedelta(minutes=30):
-                logger.critical("received event from the past, now=%s event-time=%s", now, event.time)
-                raise ValueError(f"received event too far in the past now={now} event-time={event.time}")
+        now = self.guard(event)
 
         api = self.__api
         acc = self.__account
@@ -196,7 +189,6 @@ def sync(self, event: Event | None = None) -> Account:
             acc.cash = api.get_cash()
 
         _update_positions(acc, event)
-        logger.debug("end sync")
         return acc
 
     def place_orders(self, orders):

roboquant/journals/journal.py

@@ -14,7 +14,7 @@ class Journal(Protocol):
     It serves as a tool to track and analyze their performance, decisions, and outcomes over time
     """
 
-    def track(self, event: Event, account: Account, signals: dict[str, Signal], orders: list[Order]):
+    def track(self, event: Event, account: Account, signals: list[Signal], orders: list[Order]):
         """invoked at each step of a run that provides the journal with the opportunity to
         track and log various metrics."""
         ...

roboquant/ml/envs.py

@@ -28,7 +28,7 @@ def __init__(self, symbols: list[str]):
         self.symbols = symbols
 
     def get_signals(self, action, _):
-        return {symbol: Signal(rating) for symbol, rating in zip(self.symbols, action)}
+        return [Signal(symbol, float(rating)) for symbol, rating in zip(self.symbols, action)]
 
     def get_action_space(self):
         return spaces.Box(-1.0, 1.0, shape=(len(self.symbols),), dtype=np.float32)
@@ -137,7 +137,7 @@ def reset(self, *, seed=None, options=None):
             self.event = self.channel.get()
             assert self.event is not None, "feed empty during warmup"
             self.account = self.broker.sync(self.event)
-            self.trader.create_orders({}, self.event, self.account)
+            self.trader.create_orders([], self.event, self.account)
             observation = self.get_observation(self.event)
             self.get_reward(self.event, self.account)
             if not np.any(np.isnan(observation)):

roboquant/ml/strategies.py

@@ -10,7 +10,7 @@
 from roboquant.ml.envs import Action2Signals, StrategyEnv, TraderEnv
 from roboquant.ml.features import Feature, NormalizeFeature
 from roboquant.order import Order
-from roboquant.signal import BUY, SELL, Signal
+from roboquant.signal import Signal
 from roboquant.strategies.strategy import Strategy
 from roboquant.traders.trader import Trader
 
@@ -30,7 +30,7 @@ def __init__(self, obs_feature: Feature, action_2_signals: Action2Signals, polic
     def from_env(cls, env: StrategyEnv, policy):
         return cls(env.obs_feature, env.action_2_signals, policy)
 
-    def create_signals(self, event) -> dict[str, Signal]:
+    def create_signals(self, event):
         obs = self.obs_feature.calc(event, None)
         if np.any(np.isnan(obs)):
             return {}
@@ -81,17 +81,17 @@ def __init__(self, input_feature: Feature, label_feature: Feature, history: int,
         self._hist = deque(maxlen=history)
         self._dtype = dtype
 
-    def create_signals(self, event: Event) -> dict[str, Signal]:
+    def create_signals(self, event: Event):
         h = self._hist
         row = self.input_feature.calc(event, None)
         h.append(row)
         if len(h) == h.maxlen:
             x = np.asarray(h, dtype=self._dtype)
             return self.predict(x)
-        return {}
+        return []
 
     @abstractmethod
-    def predict(self, x: NDArray) -> dict[str, Signal]: ...
+    def predict(self, x: NDArray) -> list[Signal]: ...
 
     def _get_xy(self, feed, timeframe=None, warmup=0) -> tuple[NDArray, NDArray]:
         channel = feed.play_background(timeframe)
@@ -153,7 +153,7 @@ def __init__(
         self.symbol = symbol
         self.prediction_results = []
 
-    def predict(self, x) -> dict[str, Signal]:
+    def predict(self, x):
         x = torch.asarray(x)
         x = torch.unsqueeze(x, dim=0)  # add the batch dimension
 
@@ -168,9 +168,9 @@ def predict(self, x) -> dict[str, Signal]:
 
             self.prediction_results.append(p)
             if p >= self.buy_pct:
-                return {self.symbol: BUY}
+                return [Signal.buy(self.symbol)]
             if p <= self.sell_pct:
-                return {self.symbol: SELL}
+                return [Signal.sell(self.symbol)]
 
         return {}
 

roboquant/run.py

@@ -42,7 +42,7 @@ def run(
 
     while event := channel.get(heartbeat_timeout):
         account = broker.sync(event)
-        signals = strategy.create_signals(event) if strategy else {}
+        signals = strategy.create_signals(event) if strategy else []
         orders = trader.create_orders(signals, event, account)
         broker.place_orders(orders)
         if journal:

roboquant/signal.py

@@ -15,8 +15,10 @@ def __str__(self):
 
 @dataclass(slots=True, frozen=True)
 class Signal:
-    """Signal that a strategy can create.
-    It contains both a rating between -1.0 and 1.0 and the type of signal.
+    """Signal that a strategy can create.It contains both a rating and the type of signal.
+
+    A rating is a float normally between -1.0 and 1.0, where -1.0 is a strong sell and 1.0 is a strong buy.
+    But in cases it can exceed these values. It is up to the used trader to handle these values
 
     Examples:
     ```
@@ -25,19 +27,19 @@ class Signal:
     Signal("XYZ", 0.5, SignalType.ENTRY)
     ```
     """
-
+    symbol: str
     rating: float
     type: SignalType = SignalType.ENTRY_EXIT
 
     @staticmethod
-    def buy(signal_type=SignalType.ENTRY_EXIT):
+    def buy(symbol, signal_type=SignalType.ENTRY_EXIT):
         """Create a BUY signal with a rating of 1.0"""
-        return Signal(1.0, signal_type)
+        return Signal(symbol, 1.0, signal_type)
 
     @staticmethod
-    def sell(signal_type=SignalType.ENTRY_EXIT):
+    def sell(symbol, signal_type=SignalType.ENTRY_EXIT):
         """Create a SELL signal with a rating of -1.0"""
-        return Signal(-1.0, signal_type)
+        return Signal(symbol, -1.0, signal_type)
 
     @property
     def is_buy(self):
@@ -54,10 +56,3 @@ def is_entry(self):
     @property
     def is_exit(self):
         return SignalType.EXIT in self.type
-
-
-BUY = Signal.buy(SignalType.ENTRY_EXIT)
-"""BUY signal with a rating of 1.0 and valid for both entry and exit signals"""
-
-SELL = Signal.sell(SignalType.ENTRY_EXIT)
-"""SELL signal with a rating of -1.0 and valid for both entry and exit signals"""

roboquant/strategies/barstrategy.py

@@ -19,8 +19,8 @@ def __init__(self, size: int) -> None:
         self._data: dict[str, OHLCVBuffer] = {}
         self.size = size
 
-    def create_signals(self, event) -> dict[str, Signal]:
-        signals = {}
+    def create_signals(self, event):
+        signals = []
         for item in event.items:
             if isinstance(item, Bar):
                 symbol = item.symbol
@@ -31,7 +31,7 @@ def create_signals(self, event) -> dict[str, Signal]:
                 if ohlcv.is_full():
                     signal = self._create_signal(symbol, ohlcv)
                     if signal is not None:
-                        signals[symbol] = signal
+                        signals.append(signal)
         return signals
 
     @abstractmethod

roboquant/strategies/emacrossover.py

@@ -1,5 +1,5 @@
 from roboquant.event import Event
-from roboquant.signal import Signal, BUY, SELL
+from roboquant.signal import Signal
 from roboquant.strategies.strategy import Strategy
 
 
@@ -14,8 +14,8 @@ def __init__(self, fast_period=13, slow_period=26, smoothing=2.0, price_type="DE
         self.price_type = price_type
         self.min_steps = max(fast_period, slow_period)
 
-    def create_signals(self, event: Event) -> dict[str, Signal]:
-        signals: dict[str, Signal] = {}
+    def create_signals(self, event: Event):
+        signals = []
         for symbol, price in event.get_prices(self.price_type).items():
 
             if symbol not in self._history:
@@ -28,7 +28,8 @@ def create_signals(self, event: Event) -> dict[str, Signal]:
                 if step > self.min_steps:
                     new_rating = calculator.is_above()
                     if old_rating != new_rating:
-                        signals[symbol] = BUY if new_rating else SELL
+                        signal = Signal.buy(symbol) if new_rating else Signal.sell(symbol)
+                        signals.append(signal)
 
         return signals