Changed Event constructor order

neurallayer · Mar 7, 2024 · d763d6d · d763d6d
1 parent 9001da9
commit d763d6d
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Showing 44 changed files with 84 additions and 111 deletions.
diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaLiveFeed.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaLiveFeed.kt
@@ -231,7 +231,7 @@ class AlpacaLiveFeed(
                 if (action != null) {
                     val now = Instant.now()
                     logger.trace { "received action=$action time=$now" }
-                    val event = Event(listOf(action), now)
+                    val event = Event(now, listOf(action))
                     send(event)
                 }
             } else if (msg is ErrorMessage) {

diff --git a/roboquant-avro/src/main/kotlin/org/roboquant/avro/AvroFeed.kt b/roboquant-avro/src/main/kotlin/org/roboquant/avro/AvroFeed.kt
@@ -142,7 +142,7 @@ class AvroFeed(private val path: Path, useCache: Boolean = false) : AssetFeed {
                 if (now < timeframe) continue
 
                 if (now != last) {
-                    channel.sendNotEmpty(Event(actions, last))
+                    channel.sendNotEmpty(Event(last, actions))
                     last = now
                     actions = ArrayList<PriceItem>(actions.size)
                 }
@@ -152,7 +152,7 @@ class AvroFeed(private val path: Path, useCache: Boolean = false) : AssetFeed {
                 val action = recToPriceAction(rec, serializer)
                 actions.add(action)
             }
-            channel.sendNotEmpty(Event(actions, last))
+            channel.sendNotEmpty(Event(last, actions))
         }
     }
 

diff --git a/roboquant-avro/src/test/kotlin/org/roboquant/TestData.kt b/roboquant-avro/src/test/kotlin/org/roboquant/TestData.kt
@@ -21,7 +21,6 @@ import org.roboquant.common.days
 import org.roboquant.common.plus
 import org.roboquant.feeds.Event
 import org.roboquant.feeds.HistoricFeed
-import org.roboquant.feeds.PriceBar
 import org.roboquant.feeds.TradePrice
 import org.roboquant.feeds.random.RandomWalkFeed
 import org.roboquant.feeds.util.HistoricTestFeed
@@ -40,20 +39,16 @@ internal object TestData {
 
     private fun priceAction(asset: Asset = usStock()) = TradePrice(asset, 10.0)
 
-    private fun priceBar(asset: Asset = usStock()) = PriceBar(asset, 10.0, 11.0, 9.0, 10.0, 1000.0)
-
     private fun time(): Instant = Instant.parse("2020-01-03T12:00:00Z")
 
-    fun event(time: Instant = time()) = Event(listOf(priceAction()), time)
-
-    fun event2(time: Instant = time()) = Event(listOf(priceBar()), time)
+    fun event(time: Instant = time()) = Event(time, listOf(priceAction()))
 
     fun events(n: Int = 100, asset: Asset = usStock()): List<Event> {
         val start = time()
         val result = mutableListOf<Event>()
         repeat(n) {
             val action = TradePrice(asset, it + 100.0)
-            val event = Event(listOf(action), start + it.days)
+            val event = Event(start + it.days, listOf(action))
             result.add(event)
         }
         return result

diff --git a/roboquant-avro/src/test/kotlin/org/roboquant/avro/AvroFeedTest.kt b/roboquant-avro/src/test/kotlin/org/roboquant/avro/AvroFeedTest.kt
@@ -142,10 +142,10 @@ internal class AvroFeedTest {
         )
         val feed = MyFeed(sortedSetOf(asset))
         val now = Instant.now()
-        feed.events.add(Event(listOf(p1), now + 1.millis))
-        feed.events.add(Event(listOf(p2), now + 2.millis))
-        feed.events.add(Event(listOf(p3), now + 3.millis))
-        feed.events.add(Event(listOf(p4), now + 4.millis))
+        feed.events.add(Event(now + 1.millis, listOf(p1)))
+        feed.events.add(Event(now + 2.millis, listOf(p2)))
+        feed.events.add(Event(now + 3.millis, listOf(p3)))
+        feed.events.add(Event(now + 4.millis, listOf(p4)))
 
         assertDoesNotThrow {
             AvroFeed.record(feed, fileName)
@@ -169,7 +169,7 @@ internal class AvroFeedTest {
         val asset = Asset("DUMMY")
         val p1 = MyPrice(asset, 100.0)
         val feed = MyFeed(sortedSetOf(asset))
-        feed.events.add(Event(listOf(p1), Instant.now()))
+        feed.events.add(Event(Instant.now(), listOf(p1)))
 
         assertThrows<UnsupportedException> {
             AvroFeed.record(feed, fileName)

diff --git a/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt b/roboquant-avro/src/test/kotlin/org/roboquant/samples/AvroSamples.kt
@@ -91,23 +91,6 @@ internal class AvroSamples {
         println(account.openOrders.summary())
     }
 
-    @Test
-    @Ignore
-    internal fun multiRun() {
-        val feed = AvroFeed.sp500()
-        val logger = LastEntryLogger()
-
-        for (fast in 10..20..2) {
-            for (slow in fast * 2..fast * 4..4) {
-                val strategy = EMAStrategy(fast, slow)
-                val roboquant = Roboquant(strategy, AccountMetric(), logger = logger)
-                roboquant.run(feed, name = "run $fast-$slow")
-            }
-        }
-        val maxEntry = logger.getMetric("account.equity").flatten().max()
-        println(maxEntry)
-    }
-
     @Test
     @Ignore
     internal fun walkForwardParallel() = runBlocking {

diff --git a/roboquant-binance/src/main/kotlin/org/roboquant/binance/BinanceLiveFeed.kt b/roboquant-binance/src/main/kotlin/org/roboquant/binance/BinanceLiveFeed.kt
@@ -131,7 +131,7 @@ class BinanceLiveFeed(
             )
 
             val now = if (useMachineTime) Instant.now() else Instant.ofEpochMilli(resp.eventTime)
-            val event = Event(listOf(action), now)
+            val event = Event(now, listOf(action))
             send(event)
         } else {
             logger.warn { "Received TickerEvent for unsubscribed symbol ${resp.symbol}" }
@@ -157,7 +157,7 @@ class BinanceLiveFeed(
                 timeSpan
             )
             val now = if (useMachineTime) Instant.now() else Instant.ofEpochMilli(resp.closeTime)
-            val event = Event(listOf(action), now)
+            val event = Event(now, listOf(action))
             send(event)
         } else {
             logger.warn { "Received CandlestickEvent for unsubscribed symbol ${resp.symbol}" }

diff --git a/roboquant-ibkr/src/main/kotlin/org/roboquant/ibkr/IBKRLiveFeed.kt b/roboquant-ibkr/src/main/kotlin/org/roboquant/ibkr/IBKRLiveFeed.kt
@@ -117,7 +117,7 @@ class IBKRLiveFeed(configure: IBKRConfig.() -> Unit = {}) : LiveFeed() {
                 val v = volume?.value()?.toDouble() ?: Double.NaN
                 val action = PriceBar(subscription.asset, open, high, low, close, v, subscription.interval.seconds)
                 val now = Instant.ofEpochSecond(time) // IBKR uses second-resolution
-                val event = Event(listOf(action), now)
+                val event = Event(now, listOf(action))
                 logger.trace { "send event=$event" }
                 send(event)
             }

diff --git a/roboquant-perf/src/main/kotlin/org/roboquant/perf/Performance.kt b/roboquant-perf/src/main/kotlin/org/roboquant/perf/Performance.kt
@@ -82,7 +82,7 @@ private class FastFeed(nAssets: Int, val events: Int) : Feed {
 
     override suspend fun play(channel: EventChannel) {
         repeat(events) {
-            channel.send(Event(actions, start + it.millis))
+            channel.send(Event(start + it.millis, actions))
         }
     }
 

diff --git a/roboquant-polygon/src/main/kotlin/org/roboquant/polygon/PolygonFundamentalsFeed.kt b/roboquant-polygon/src/main/kotlin/org/roboquant/polygon/PolygonFundamentalsFeed.kt
@@ -153,7 +153,7 @@ class PolygonFundamentalsFeed(
      */
     override suspend fun play(channel: EventChannel) {
         events.forEach {
-            val event = Event(it.value, it.key)
+            val event = Event(it.key, it.value)
             channel.send(event)
         }
     }

diff --git a/roboquant-polygon/src/main/kotlin/org/roboquant/polygon/PolygonLiveFeed.kt b/roboquant-polygon/src/main/kotlin/org/roboquant/polygon/PolygonLiveFeed.kt
@@ -134,15 +134,15 @@ class PolygonLiveFeed(
                     message.lowPrice!!, message.closePrice!!, message.volume ?: Double.NaN,
                     timeSpan
                 )
-                send(Event(listOf(action), getTime(message.endTimestampMillis)))
+                send(Event(getTime(message.endTimestampMillis), listOf(action)))
             }
 
             is PolygonWebSocketMessage.StocksMessage.Trade -> {
                 val asset = getSubscribedAsset(message.ticker!!)
                 val price = message.price
                 if (price != null) {
                     val action = TradePrice(asset, price, message.size ?: Double.NaN)
-                    send(Event(listOf(action), getTime(message.timestampMillis)))
+                    send(Event(getTime(message.timestampMillis), listOf(action)))
                 }
             }
 
@@ -158,7 +158,7 @@ class PolygonLiveFeed(
                         bidPrice,
                         message.bidSize ?: Double.NaN,
                     )
-                    send(Event(listOf(action), getTime(message.timestampMillis)))
+                    send(Event(getTime(message.timestampMillis), listOf(action)))
                 }
             }
 

diff --git a/roboquant-questdb/src/main/kotlin/org/roboquant/questdb/QuestDBFeed.kt b/roboquant-questdb/src/main/kotlin/org/roboquant/questdb/QuestDBFeed.kt
@@ -112,7 +112,7 @@ class QuestDBFeed(private val tableName: String, dbPath: Path = Config.home / "q
 
                 val time = record.getTimestamp(1)
                 if (time != last) {
-                    channel.sendNotEmpty(Event(actions, ofEpochMicro(last)))
+                    channel.sendNotEmpty(Event(ofEpochMicro(last), actions))
                     last = time
                     actions = mutableListOf()
                 }
@@ -122,7 +122,7 @@ class QuestDBFeed(private val tableName: String, dbPath: Path = Config.home / "q
                 val price = handler.getPriceAction(asset, record)
                 actions.add(price)
             }
-            channel.sendNotEmpty(Event(actions, ofEpochMicro(last)))
+            channel.sendNotEmpty(Event(ofEpochMicro(last), actions))
         }
     }
 

diff --git a/roboquant-questdb/src/test/kotlin/org/roboquant/questdb/QuestDBFeedTestIT.kt b/roboquant-questdb/src/test/kotlin/org/roboquant/questdb/QuestDBFeedTestIT.kt
@@ -87,7 +87,7 @@ internal class QuestDBFeedTestIT {
                 val now = Instant.now()
                 repeat(100) {
                     val action = PriceQuote(asset, 100.0, 10000.0, 100.0, 10000.0)
-                    val event = Event(listOf(action), now + it.millis)
+                    val event = Event(now + it.millis, listOf(action))
                     channel.send(event)
                 }
             }
@@ -118,7 +118,7 @@ internal class QuestDBFeedTestIT {
                 val now = Instant.now()
                 repeat(100) {
                     val action = TradePrice(asset, 100.0, 10000.0)
-                    val event = Event(listOf(action), now + it.millis)
+                    val event = Event(now + it.millis, listOf(action))
                     channel.send(event)
                 }
             }

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/AtrPolicyTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/AtrPolicyTest.kt
@@ -54,7 +54,7 @@ internal class AtrPolicyTest {
         repeat(12) {
             val p = 5.0
             val priceBar = PriceBar(asset, p + it, p + it, p + it, p + it)
-            val event = Event(listOf(priceBar), now + it.millis)
+            val event = Event(now + it.millis, listOf(priceBar))
             val o = policy.act(signals, account, event)
             orders.addAll(o)
         }

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/PriceBarSeriesTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/PriceBarSeriesTest.kt
@@ -101,7 +101,7 @@ internal class PriceBarSeriesTest {
         var priceBarSerie = pbs.getValue(asset)
         assertFalse(priceBarSerie.isFull())
 
-        val event = Event(listOf(pb), Instant.now())
+        val event = Event(Instant.now(), listOf(pb))
         repeat(5) {
             pbs.addAll(event)
         }

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibMetricTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibMetricTest.kt
@@ -50,14 +50,14 @@ internal class TaLibMetricTest {
             Amount(Currency.USD, 0.0)
         )
 
-        val results = metric.calculate(account, Event(emptyList(), Instant.now()))
+        val results = metric.calculate(account, Event(Instant.now(), emptyList()))
         assertTrue(results.isEmpty())
 
         val feed = HistoricTestFeed(100 until 111, priceBar = true)
         val events = feed.filter<PriceBar>()
         var mResult = emptyMap<String, Double>()
         for (event in events) {
-            mResult = metric.calculate(account, Event(listOf(event.second), event.first))
+            mResult = metric.calculate(account, Event(event.first, listOf(event.second)))
         }
         assertTrue(mResult.isNotEmpty())
         assertEquals(feed.assets.size, mResult.size)

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibStrategyTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibStrategyTest.kt
@@ -136,7 +136,7 @@ internal class TaLibStrategyTest {
         val result = mutableMapOf<Instant, List<Signal>>()
         var now = Instant.now()
         for (event in events) {
-            val signals = s.generate(Event(listOf(event.second), event.first))
+            val signals = s.generate(Event(event.first, listOf(event.second)))
             result[now] = signals
             now += 1.seconds
         }

diff --git a/roboquant-tiingo/src/main/kotlin/org/roboquant/tiingo/TiingoLiveFeed.kt b/roboquant-tiingo/src/main/kotlin/org/roboquant/tiingo/TiingoLiveFeed.kt
@@ -164,7 +164,7 @@ class TiingoLiveFeed private constructor(
 
     @Synchronized
     internal fun deliver(action: PriceItem, time: Instant) {
-        val event = Event(listOf(action), time)
+        val event = Event(time, listOf(action))
         send(event)
     }
 

diff --git a/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangeLiveFeed.kt b/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangeLiveFeed.kt
@@ -184,7 +184,7 @@ class XChangeLiveFeed(
         logger.trace { "$trade event for $asset" }
         val item = TradePrice(asset, trade.price.toDouble(), trade.originalAmount.toDouble())
         val now = if (useMachineTime) Instant.now() else trade.timestamp.toInstant()
-        val event = Event(listOf(item), now)
+        val event = Event(now, listOf(item))
         send(event)
     }
 
@@ -204,7 +204,7 @@ class XChangeLiveFeed(
         }
         val item = OrderBook(asset, asks, bids)
         val now = if (useMachineTime) Instant.now() else orderBook.timeStamp.toInstant()
-        val event = Event(listOf(item), now)
+        val event = Event(now, listOf(item))
         send(event)
     }
 
@@ -224,7 +224,7 @@ class XChangeLiveFeed(
             ticker.bidSize.toDouble()
         )
         val now = if (useMachineTime) Instant.now() else ticker.timestamp.toInstant()
-        val event = Event(listOf(item), now)
+        val event = Event(now, listOf(item))
         send(event)
     }
 

diff --git a/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangePollingLiveFeed.kt b/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangePollingLiveFeed.kt
@@ -92,7 +92,7 @@ class XChangePollingLiveFeed(
                         val asset = assetMap.getValue(symbol)
                         val item = TradePrice(asset, trade.price.toDouble(), trade.originalAmount.toDouble())
                         val now = trade.timestamp.toInstant()
-                        val event = Event(listOf(item), now)
+                        val event = Event(now, listOf(item))
                         send(event)
                     }
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt b/roboquant/src/main/kotlin/org/roboquant/Roboquant.kt
@@ -225,7 +225,7 @@ data class Roboquant(
         val changeOrders = change.map { MarketOrder(it.key, it.value) }
         val orders = cancelOrders + changeOrders
         val actions = account.positions.map { TradePrice(it.asset, it.mktPrice) }
-        val event = Event(actions, eventTime)
+        val event = Event(eventTime, actions)
         broker.place(orders)
         val newAccount = broker.sync(event)
         val metricResult = getMetrics(newAccount, event)

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/TimeSpan.kt b/roboquant/src/main/kotlin/org/roboquant/common/TimeSpan.kt
@@ -30,7 +30,7 @@ typealias TradingPeriod = TimeSpan
  * TimeSpan is an immutable class that unifies the JVM classes Duration and Period and allows to use them
  * more easily in your code. It can store time-spans as small as nanoseconds.
  *
- * It is loosely modelled after the time duration, as described in ISO 8601.
+ * It is modelled after the time duration, as described in ISO 8601.
  */
 class TimeSpan internal constructor(internal val period: Period, internal val duration: Duration) {
 

diff --git a/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt b/roboquant/src/main/kotlin/org/roboquant/common/extensions.kt
@@ -84,10 +84,6 @@ fun Collection<String>.summary(header: String = "values"): Summary {
  */
 operator fun <T> List<T>.get(range: IntRange): List<T> = subList(max(0, range.first), min(this.size, range.last + 1))
 
-/**
- * Extension function to allow *numpy* like indexing for lists, for example someList[0..10..2]
- */
-operator fun IntRange.rangeTo(i: Int): IntProgression = IntProgression.fromClosedRange(first, last, i)
 
 /**
  * Add an element to a mutable collection, but only if it is not null

diff --git a/roboquant/src/main/kotlin/org/roboquant/feeds/AggregatorFeed.kt b/roboquant/src/main/kotlin/org/roboquant/feeds/AggregatorFeed.kt
@@ -86,7 +86,7 @@ class AggregatorFeed(
                 if (expiration == null) {
                     expiration = time.expirationTime()
                 } else if (time >= expiration) {
-                    val newEvent = Event(history.values.toList(), expiration)
+                    val newEvent = Event(expiration, history.values.toList())
                     channel.sendNotEmpty(newEvent)
                     history.clear()
                     do {
@@ -113,7 +113,7 @@ class AggregatorFeed(
 
             // Send remaining
             if (remaining && expiration != null) {
-                val newEvent = Event(history.values.toList(), expiration)
+                val newEvent = Event(expiration, history.values.toList())
                 channel.sendNotEmpty(newEvent)
             }
             if (job.isActive) job.cancel()

diff --git a/roboquant/src/main/kotlin/org/roboquant/feeds/AggregatorLiveFeed.kt b/roboquant/src/main/kotlin/org/roboquant/feeds/AggregatorLiveFeed.kt
@@ -75,7 +75,7 @@ class AggregatorLiveFeed(
 
     private suspend fun send(channel: EventChannel, time: Instant, history: MutableMap<Asset, PriceBar>) {
         val newEvent = synchronized(history) {
-            val newEvent = Event(history.values.toList(), time)
+            val newEvent = Event(time, history.values.toList())
             history.clear()
             newEvent
         }

diff --git a/roboquant/src/main/kotlin/org/roboquant/feeds/Event.kt b/roboquant/src/main/kotlin/org/roboquant/feeds/Event.kt
@@ -26,7 +26,7 @@ import java.time.Instant
  * @property items the list of actions that are part of this event
  * @property time the time that the actions in this event became available
  */
-class Event(val items: List<Item>, val time: Instant) : Comparable<Event> {
+class Event(val time: Instant, val items: List<Item>) : Comparable<Event> {
 
     /**
      * Convenience property for accessing the price actions in this event. The result is cached so that accessing
@@ -49,7 +49,7 @@ class Event(val items: List<Item>, val time: Instant) : Comparable<Event> {
         /**
          * Return an event without any [items] with as default [time] the current system time.
          */
-        fun empty(time: Instant = Instant.now()): Event = Event(emptyList(), time)
+        fun empty(time: Instant = Instant.now()): Event = Event(time, emptyList())
 
     }