Optimized API

neurallayer · Apr 12, 2024 · 5386b68 · 5386b68
1 parent 902b7b2
commit 5386b68
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Showing 16 changed files with 25 additions and 114 deletions.
diff --git a/roboquant-alpaca/src/test/kotlin/org/roboquant/samples/AlpacaSamples.kt b/roboquant-alpaca/src/test/kotlin/org/roboquant/samples/AlpacaSamples.kt
@@ -73,7 +73,7 @@ internal class AlpacaSamples {
         val strategy = EMAStrategy(3, 5)
         val roboquant = Roboquant(strategy, broker = broker)
         val tf = Timeframe.next(60.minutes)
-        val account2 = roboquant.run(feed, tf)
+        val account2 = roboquant.run(feed, timeframe = tf)
         feed.close()
 
         println(account2.fullSummary())
@@ -91,7 +91,7 @@ internal class AlpacaSamples {
         val strategy = EMAStrategy.PERIODS_5_15
         val roboquant = Roboquant(strategy)
         val tf = Timeframe.next(10.minutes)
-        val account = roboquant.run(feed, tf)
+        val account = roboquant.run(feed, timeframe = tf)
         feed.close()
         println(account.summary())
     }

diff --git a/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt b/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt
@@ -97,14 +97,14 @@ internal class AvroSamples {
 
         // Walk forward
         feed.split(2.years).forEach {
-            roboquant.run(feed, it)
+            roboquant.run(feed, timeframe = it)
         }
 
         // Walk forward learning
         feed.split(2.years).map { it.splitTwoWay(0.2) }.forEach { (train, test) ->
-            roboquant.run(feed, train)
+            roboquant.run(feed, timeframe = train)
             roboquant.reset()
-            roboquant.run(feed, test)
+            roboquant.run(feed, timeframe = test)
         }
 
     }
@@ -130,7 +130,7 @@ internal class AvroSamples {
         val policy = MyPolicy().resolve(SignalResolution.NO_CONFLICTS)
 
         val roboquant = Roboquant(strategy, policy = policy)
-        roboquant.run(feed, Timeframe.past(5.years))
+        roboquant.run(feed, timeframe = Timeframe.past(5.years))
     }
 
     @Test

diff --git a/roboquant-binance/src/test/kotlin/org/roboquant/samples/BinanceSamples.kt b/roboquant-binance/src/test/kotlin/org/roboquant/samples/BinanceSamples.kt
@@ -66,7 +66,7 @@ internal class BinanceSamples {
 
         // We'll run the forward test for thirty minutes
         val tf = Timeframe.next(30.minutes)
-        rq.run(feed, tf)
+        rq.run(feed, timeframe = tf)
     }
 
     @Test
@@ -155,7 +155,7 @@ internal class BinanceSamples {
         repeat(3) {
             jobs.add {
                 val rq = Roboquant(EMAStrategy())
-                rq.run(feed, tf)
+                rq.run(feed, timeframe = tf)
             }
         }
 

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/BoxChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/BoxChart.kt
@@ -25,7 +25,6 @@ import org.icepear.echarts.components.coord.cartesian.ValueAxis
 import org.icepear.echarts.components.dataZoom.DataZoom
 import org.roboquant.common.TimeSeries
 import org.roboquant.common.clean
-import org.roboquant.common.flatten
 import java.math.MathContext
 import java.math.RoundingMode
 import java.time.temporal.ChronoUnit
@@ -51,18 +50,6 @@ class BoxChart(
     private val precision: Int = 8
 ) : Chart() {
 
-    /**
-     * Create box plot from multiple runs
-     */
-    constructor(
-        metricData: Map<String, TimeSeries>,
-        period: ChronoUnit = ChronoUnit.MONTHS,
-        lowPercentile: Double = 25.0,
-        midPercentile: Double = 50.0,
-        highPercentile: Double = 75.0,
-        precision: Int = 8
-    ) : this(metricData.flatten(true), period, lowPercentile, midPercentile, highPercentile, precision)
-
 
     private fun toSeriesData(): List<Pair<String, Any>> {
         val result = mutableListOf<Pair<String, Any>>()

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/CalendarChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/CalendarChart.kt
@@ -21,11 +21,9 @@ import org.icepear.echarts.charts.heatmap.HeatmapSeries
 import org.icepear.echarts.components.title.Title
 import org.icepear.echarts.components.tooltip.Tooltip
 import org.roboquant.common.TimeSeries
-import org.roboquant.common.flatten
 import org.roboquant.common.round
 import java.math.BigDecimal
 import java.time.ZoneId
-import java.time.ZoneOffset
 import java.time.format.DateTimeFormatter
 import kotlin.collections.*
 
@@ -43,12 +41,6 @@ class CalendarChart(
     private val zoneId: ZoneId = ZoneId.of("UTC")
 ) : Chart() {
 
-    /**
-     * Create a calendar chart from multiple runs. The data will be flattened before plotted.
-     */
-    constructor(metricsData: Map<String, TimeSeries>, fractionDigits: Int = 2, zoneId: ZoneId = ZoneOffset.UTC) :
-            this(metricsData.flatten(true), fractionDigits, zoneId)
-
     private val timeFormatter = DateTimeFormatter.ofPattern("yyyy-MM-dd").withZone(zoneId)
     private val metricsData = timeSeries.filter { it.value.isFinite() }
 

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/TimeSeriesChart.kt
@@ -24,7 +24,6 @@ import org.icepear.echarts.components.coord.cartesian.ValueAxis
 import org.icepear.echarts.components.dataZoom.DataZoom
 import org.icepear.echarts.components.series.LineStyle
 import org.roboquant.common.TimeSeries
-import org.roboquant.common.flatten
 import java.math.BigDecimal
 import java.math.RoundingMode
 
@@ -48,45 +47,6 @@ class TimeSeriesChart(
     constructor(timeSeries: TimeSeries, useTime: Boolean = true, fractionDigits: Int = 2) :
             this(mapOf("" to timeSeries), useTime, fractionDigits)
 
-    /**
-     * @suppress
-     */
-    companion object {
-
-        /**
-         * Return a chart based on multiple runs. Because each run starts fresh, not the absolute values, but the
-         * returns are used to flatten runs to a single timeline.
-         *
-         * Optionally, a Monte Carlo simulation can be run on the returns to get an impression how the data would look
-         * like if the returns had occurred in a different order.
-         *
-         * ```
-         * val data = roboquant.logger.getMetric("account.equity")
-         * TimeSeriesChart.walkForward(data, monteCarlo = 100)
-         * ```
-         */
-        fun walkForward(
-            metricsData: Map<String, TimeSeries>,
-            fractionDigits: Int = 2,
-            monteCarlo: Int = 0,
-        ): TimeSeriesChart {
-            require(monteCarlo >= 0)
-            require(fractionDigits >= 0)
-
-            val d = metricsData.mapValues { it.value.returns() }.flatten()
-            var data = d.runningFold(100.0)
-            if (monteCarlo == 0) return TimeSeriesChart(mapOf("" to data))
-
-            val result = mutableMapOf("original" to data)
-            repeat(monteCarlo) {
-                data = d.shuffle().runningFold(100.0)
-                result["mc-$it"] = data
-            }
-            return TimeSeriesChart(result)
-
-        }
-
-    }
 
     /**
      * Identify common suffix (same run), so they can be removed from the series name

diff --git a/roboquant-charts/src/test/kotlin/org/roboquant/charts/BoxChartTest.kt b/roboquant-charts/src/test/kotlin/org/roboquant/charts/BoxChartTest.kt
@@ -16,16 +16,14 @@
 
 package org.roboquant.charts
 
-import org.roboquant.loggers.MemoryLogger
 import kotlin.test.Test
 import kotlin.test.assertTrue
 
 internal class BoxChartTest {
 
     @Test
     fun test() {
-        val logger = MemoryLogger()
-        val data = logger.getMetric("test")
+        val data = TestData.data
         val chart = BoxChart(data)
         assertTrue(chart.renderJson().isNotBlank())
     }

diff --git a/roboquant-charts/src/test/kotlin/org/roboquant/charts/TestData.kt b/roboquant-charts/src/test/kotlin/org/roboquant/charts/TestData.kt
@@ -67,13 +67,9 @@ object TestData {
 
     val data by lazy {
         val feed = HistoricTestFeed(50..150)
-        var journal = MetricsJournal(AccountMetric())
+        val journal = MetricsJournal(AccountMetric())
         org.roboquant.run(feed, EMAStrategy(), journal)
-        val run1 = journal.getMetric("account.equity")
-        journal = MetricsJournal(AccountMetric())
-        org.roboquant.run(feed, EMAStrategy(), journal)
-        val run2 = journal.getMetric("account.equity")
-        mapOf("run1" to run1, "run2" to run2)
+        journal.getMetric("account.equity")
     }
 
     private fun loadFile(name: String): String {

diff --git a/roboquant-charts/src/test/kotlin/org/roboquant/charts/TimeSeriesChartTest.kt b/roboquant-charts/src/test/kotlin/org/roboquant/charts/TimeSeriesChartTest.kt
@@ -26,7 +26,7 @@ internal class TimeSeriesChartTest {
     @Test
     fun single() {
         val data = TestData.data
-        val chart = TimeSeriesChart(data.values.first())
+        val chart = TimeSeriesChart(data)
 
         assertDoesNotThrow {
             chart.renderJson()
@@ -35,29 +35,7 @@ internal class TimeSeriesChartTest {
         assertTrue(chart.renderJson().isNotBlank())
     }
 
-    @Test
-    fun predefined() {
-        val data = TestData.data
-        val chart = TimeSeriesChart.walkForward(data)
-
-        assertDoesNotThrow {
-            chart.renderJson()
-        }
-
-        assertTrue(chart.renderJson().isNotBlank())
-    }
 
-    @Test
-    fun predefined2() {
-        val data = TestData.data
-        val chart = TimeSeriesChart.walkForward(data)
-
-        assertDoesNotThrow {
-            chart.renderJson()
-        }
-
-        assertTrue(chart.renderJson().isNotBlank())
-    }
 
 
 }
diff --git a/roboquant-ibkr/src/test/kotlin/org/roboquant/samples/IBKRSamples.kt b/roboquant-ibkr/src/test/kotlin/org/roboquant/samples/IBKRSamples.kt
@@ -128,7 +128,7 @@ internal class IBKRSamples {
             policy = policy,
             broker = broker,
         )
-        rq.run(feed, Timeframe.next(2.hours))
+        rq.run(feed, timeframe = Timeframe.next(2.hours))
 
         feed.disconnect()
         broker.disconnect()

diff --git a/roboquant-ml/src/test/kotlin/org/roboquant/samples/MLSamples.kt b/roboquant-ml/src/test/kotlin/org/roboquant/samples/MLSamples.kt
@@ -85,9 +85,9 @@ internal class MLSamples {
         }
         val rq = Roboquant(strategy, policy = policy, broker = broker)
         val (train, valid) = feed.timeframe.splitTwoWay(9.months)
-        rq.run(feed, train)
+        rq.run(feed, timeframe = train)
         rq.broker.reset()
-        val account = rq.run(feed, valid)
+        val account = rq.run(feed, timeframe = valid)
         println(account.summary())
         val trades = account.trades
         println(trades.filter { !it.pnlValue.iszero }.joinToString("\n") {

diff --git a/roboquant-tiingo/src/test/kotlin/org/roboquant/samples/TiingoSamples.kt b/roboquant-tiingo/src/test/kotlin/org/roboquant/samples/TiingoSamples.kt
@@ -39,7 +39,7 @@ internal class TiingoSamples {
         val feed = TiingoLiveFeed.iex()
         feed.subscribe("AAPL", "TSLA")
         val rq = Roboquant(EMAStrategy())
-        val account = rq.run(feed, Timeframe.next(10.minutes))
+        val account = rq.run(feed, timeframe = Timeframe.next(10.minutes))
         println(account.fullSummary())
     }
 
@@ -60,7 +60,7 @@ internal class TiingoSamples {
         val feed = TiingoLiveFeed.fx()
         feed.subscribe("EURUSD")
         val rq = Roboquant(EMAStrategy())
-        val account = rq.run(feed, Timeframe.next(1.minutes))
+        val account = rq.run(feed, timeframe = Timeframe.next(1.minutes))
         println(account.fullSummary())
     }
 
@@ -73,7 +73,7 @@ internal class TiingoSamples {
 
         feed.subscribe("BNBFDUSD")
         val rq = Roboquant(EMAStrategy())
-        val account = rq.run(feed, Timeframe.next(1.minutes))
+        val account = rq.run(feed, timeframe = Timeframe.next(1.minutes))
         println(account.fullSummary())
     }
 

diff --git a/roboquant-tiingo/src/test/kotlin/org/roboquant/tiingo/TiingoLiveFeedTestIT.kt b/roboquant-tiingo/src/test/kotlin/org/roboquant/tiingo/TiingoLiveFeedTestIT.kt
@@ -42,7 +42,7 @@ internal class TiingoLiveFeedTestIT {
         val feed = TiingoLiveFeed.fx()
         feed.subscribe("EURUSD")
         val rq = Roboquant(EMAStrategy())
-        rq.run(feed, Timeframe.next(1.minutes))
+        rq.run(feed, timeframe = Timeframe.next(1.minutes))
     }
 
     @Test
@@ -53,7 +53,7 @@ internal class TiingoLiveFeedTestIT {
         Config.registerAsset("BNBFDUSD", asset)
         feed.subscribe("BNBFDUSD")
         val rq = Roboquant(EMAStrategy())
-        rq.run(feed, Timeframe.next(1.minutes))
+        rq.run(feed, timeframe = Timeframe.next(1.minutes))
     }
 
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt b/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt
@@ -81,13 +81,13 @@ data class Roboquant(
      */
     fun run(
         feed: Feed,
-        timeframe: Timeframe = feed.timeframe,
         journal: Journal? = null,
+        timeframe: Timeframe = feed.timeframe,
         channel: EventChannel = EventChannel(timeframe, 10),
         heartbeatTimeout: Long = -1,
         showProgressBar: Boolean = false
     ): Account = runBlocking {
-        return@runBlocking runAsync(feed, timeframe, journal, channel, heartbeatTimeout, showProgressBar)
+        return@runBlocking runAsync(feed, journal, timeframe, channel, heartbeatTimeout, showProgressBar)
     }
 
     /**
@@ -99,8 +99,8 @@ data class Roboquant(
      */
     suspend fun runAsync(
         feed: Feed,
-        timeframe: Timeframe = feed.timeframe,
         journal: Journal? = null,
+        timeframe: Timeframe = feed.timeframe,
         channel: EventChannel = EventChannel(timeframe, 10),
         heartbeatTimeout: Long = -1,
         showProgressBar: Boolean = false

diff --git a/roboquant/src/test/kotlin/org/roboquant/RoboquantTest.kt b/roboquant/src/test/kotlin/org/roboquant/RoboquantTest.kt
@@ -57,7 +57,7 @@ internal class RoboquantTest {
         val broker = SimBroker(initial)
         val logger = MemoryLogger()
         val roboquant = Roboquant(strategy, broker = broker)
-        roboquant.run(feed, Timeframe.INFINITE)
+        roboquant.run(feed, timeframe = Timeframe.INFINITE)
         roboquant.broker.reset()
         assertTrue(logger.history.isEmpty())
         val account = broker.sync()

diff --git a/roboquant/src/test/kotlin/org/roboquant/feeds/AggregatorFeedTest.kt b/roboquant/src/test/kotlin/org/roboquant/feeds/AggregatorFeedTest.kt
@@ -116,7 +116,7 @@ internal class AggregatorFeedTest {
         aggFeed.timeframe.split(3.months).forEach {
             jobs.add {
                 val rq = Roboquant(EMAStrategy())
-                rq.runAsync(aggFeed, it)
+                rq.runAsync(aggFeed, timeframe = it)
             }
         }
     }