Merge pull request #158 from AsyncAlgoTrading/ibfix

Fix some race conditions, revamp ib processing

.github/workflows/build.yml

@@ -17,7 +17,7 @@ jobs:
 
     strategy:
       matrix:
-        os: [ubuntu-latest, macos-latest, windows-latest]
+        os: [ubuntu-latest, macos-latest]
         python-version: [3.9]
         node-version: [14.x]
         event-name: [push]

MANIFEST.in

@@ -10,6 +10,7 @@ include Makefile
 include aat/*.so
 include aat/*.dll
 include aat/*.dylib
+include *.csv
 
 graft aat/tests
 

Makefile

@@ -38,7 +38,14 @@ testpycpp: ## Make unit tests
 	# AAT_USE_CPP=1 $(PYTHON) -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch --capture=no
 	AAT_USE_CPP=1 $(PYTHON) -m pytest -vs ./aat/tests
 
-testruns:  testrunscsv testrunsiex ## Run a few examples as a live end-to-end test
+testjs:  ## Make js tests
+	cd js; yarn test
+
+testruns:  testrunscsv testrunsiex testrunsother ## Run a few examples as a live end-to-end test
+
+testrunsother:
+	$(PYTHON) -m aat.exchange.test.harness
+	$(PYTHON) -m aat.tests.exchange.test_ib_race
 
 testrunscsv:
 	$(PYTHON) -m aat.strategy.sample.csv.readonly

aat/config/parser.py

@@ -3,8 +3,9 @@
 import itertools
 import os
 import os.path
+import pytz
 from configparser import ConfigParser
-from typing import Any, Dict, List, Union, TYPE_CHECKING
+from typing import Optional, Any, Dict, List, Union, TYPE_CHECKING
 
 if TYPE_CHECKING:
     from aat.config import TradingType
@@ -43,6 +44,7 @@ def _args_to_dict(args: Any) -> dict:
     ret["general"]["trading_type"] = args.trading_type
     ret["general"]["load_accounts"] = args.load_accounts
     ret["general"]["api"] = args.api
+    ret["general"]["timezone"] = args.timezone
     ret["exchange"] = {
         "exchanges": list(
             _.split(",") for _ in itertools.chain.from_iterable(args.exchanges)
@@ -98,7 +100,7 @@ def getExchanges(
     return exchange_instances
 
 
-def parseConfig(argv: list = None) -> dict:
+def parseConfig(argv: Optional[list] = None) -> dict:
     from aat import TradingType
 
     parser = argparse.ArgumentParser()
@@ -113,6 +115,10 @@ def parseConfig(argv: list = None) -> dict:
         "--api", action="store_true", help="Enable HTTP server", default=False
     )
 
+    parser.add_argument(
+        "--timezone", help="Timezone override", default="", choices=pytz.all_timezones
+    )
+
     parser.add_argument(
         "--load_accounts",
         action="store_true",

aat/core/data/cpp.py

@@ -50,8 +50,8 @@ def _make_cpp_order(
     order_type: OrderType = OrderType.MARKET,
     flag: OrderFlag = OrderFlag.NONE,
     stop_target: Optional["Order"] = None,
-    id: str = None,
-    timestamp: datetime = None,
+    id: Optional[str] = None,
+    timestamp: Optional[datetime] = None,
 ) -> OrderCpp:
     """helper method to ensure all arguments are setup"""
     return OrderCpp(
@@ -72,7 +72,7 @@ def _make_cpp_order(
 def _make_cpp_trade(
     id: str,
     timestamp: datetime,
-    maker_orders: List["Order"] = None,
+    maker_orders: Optional[List["Order"]] = None,
     taker_order: Optional["Order"] = None,
 ) -> TradeCpp:
     """helper method to ensure all arguments are setup"""

aat/core/data/error.py

@@ -36,6 +36,11 @@ def __init__(
     def timestamp(self) -> int:
         return self.__timestamp
 
+    @timestamp.setter
+    def timestamp(self, timestamp: datetime) -> None:
+        assert isinstance(timestamp, datetime)
+        self.__timestamp = timestamp
+
     @property
     def type(self) -> DataType:
         return self.__type

aat/core/data/order.py

@@ -200,6 +200,12 @@ def __repr__(self) -> str:
 
     def __eq__(self, other: object) -> bool:
         assert isinstance(other, Order)
+
+        # id takes precedence
+        if self.id and self.id == other.id:
+            return True
+
+        # else compare all fields
         return (
             self.id == other.id
             and self.instrument == other.instrument

aat/core/data/trade.py

@@ -61,10 +61,6 @@ def __init__(
     # ******** #
     # Readonly #
     # ******** #
-    @property
-    def timestamp(self) -> datetime:
-        return self.taker_order.timestamp
-
     @property
     def type(self) -> DataType:
         return self.__type
@@ -108,6 +104,15 @@ def id(self, id: str) -> None:
         assert isinstance(id, (str, int))
         self.__id = str(id)
 
+    @property
+    def timestamp(self) -> datetime:
+        return self.taker_order.timestamp
+
+    @timestamp.setter
+    def timestamp(self, timestamp: datetime) -> None:
+        assert isinstance(timestamp, datetime)
+        self.taker_order.timestamp = timestamp
+
     @property
     def maker_orders(self) -> List[Order]:
         # no setter

aat/core/exchange/db.py

@@ -1,4 +1,4 @@
-from typing import Dict, TYPE_CHECKING
+from typing import Optional, Dict, TYPE_CHECKING
 from ...config import InstrumentType
 
 if TYPE_CHECKING:
@@ -27,7 +27,9 @@ def instruments(
     ) -> None:
         raise NotImplementedError()
 
-    def get(self, name: str = "", instrument: "Instrument" = None) -> "ExchangeType":
+    def get(
+        self, name: str = "", instrument: Optional["Instrument"] = None
+    ) -> "ExchangeType":
         if name:
             return self._name_map[name]
         raise NotImplementedError()

aat/core/instrument/calendar.py

@@ -20,8 +20,8 @@ class TradingDay(object):
 
     def __init__(
         self,
-        open_times: Union[time, Tuple[time, ...]] = None,
-        close_times: Union[time, Tuple[time, ...]] = None,
+        open_times: Optional[Union[time, Tuple[time, ...]]] = None,
+        close_times: Optional[Union[time, Tuple[time, ...]]] = None,
     ):
         if open_times and not isinstance(open_times, (tuple, time)):
             # raise exception if wrong type

aat/core/instrument/cpp.py

@@ -1,4 +1,4 @@
-from typing import Any
+from typing import Any, List
 
 from aat.common import _in_cpp
 
@@ -12,4 +12,9 @@
 
 
 def _make_cpp_instrument(*args: Any, **kwargs: Any) -> InstrumentCpp:
-    return InstrumentCpp(*args, **kwargs)
+    if kwargs:
+        full_args: List[Any] = list(args)
+        full_args.append(kwargs.get("name"))
+        full_args.append(kwargs.get("type"))
+        args = tuple(full_args)
+    return InstrumentCpp(*args)

aat/core/instrument/instrument.py

@@ -303,7 +303,9 @@ def exchanges(self) -> List[ExchangeType]:
     def exchange(self) -> ExchangeType:
         return self.__exchange
 
-    def tradingLines(self, exchange: ExchangeType = None) -> List["Instrument"]:
+    def tradingLines(
+        self, exchange: Optional[ExchangeType] = None
+    ) -> List["Instrument"]:
         """Returns other exchanges that the same instrument trades on
 
         Returns:
@@ -312,7 +314,9 @@ def tradingLines(self, exchange: ExchangeType = None) -> List["Instrument"]:
         return self._instrumentdb.instruments(self.name, self.type, exchange)
 
     def synthetics(
-        self, type: InstrumentType = None, exchange: ExchangeType = None
+        self,
+        type: Optional[InstrumentType] = None,
+        exchange: Optional[ExchangeType] = None,
     ) -> List["Instrument"]:
         """Returns other instruments with the same name
 

aat/core/order_book/base.py

@@ -36,7 +36,7 @@ def spread(self) -> float:
         pass
 
     @abstractmethod
-    def level(self, level: int = 0, price: float = None) -> Tuple:
+    def level(self, level: int = 0, price: Optional[float] = None) -> Tuple:
         pass
 
     @abstractmethod

aat/core/order_book/order_book/order_book.py

@@ -73,7 +73,6 @@ def __init__(
         exchange_name: Union[ExchangeType, str] = "",
         callback: Optional[Callable] = None,
     ) -> None:
-
         self._instrument = instrument
         self._exchange_name: ExchangeType = (
             exchange_name
@@ -164,7 +163,7 @@ def spread(self) -> float:
         tob: Dict[Side, PriceLevelRO] = self.topOfBook()
         return tob[Side.SELL].price - tob[Side.BUY].price
 
-    def level(self, level: int = 0, price: float = None) -> Tuple:
+    def level(self, level: int = 0, price: Optional[float] = None) -> Tuple:
         """return book level
 
         Args:

aat/core/order_book/price_level/ro.py

@@ -1,5 +1,5 @@
 from collections import deque
-from typing import Deque, Dict, List, Union
+from typing import Optional, Deque, Dict, List, Union
 from aat.core import Order
 
 
@@ -18,7 +18,7 @@ def __init__(
         price: float,
         volume: float,
         number_of_orders: int = 0,
-        _orders: Deque[Order] = None,
+        _orders: Optional[Deque[Order]] = None,
     ):
         self._price = price
         self._volume = volume

aat/cpp/include/aat/core/data/data.hpp

@@ -30,7 +30,7 @@ namespace core {
       , instrument(instrument)
       , exchange(exchange)
       , data(data) {}
-
+    virtual ~Data() {}
     bool operator==(const Data& other);
     virtual str_t toString() const;
     virtual json toJson() const;

aat/cpp/include/aat/core/data/order.hpp

@@ -18,6 +18,9 @@ namespace core {
     Order(str_t id, timestamp_t timestamp, double volume, double price, Side side, Instrument& instrument,
       ExchangeType& exchange = NullExchange, double notional = 0.0, OrderType order_type = OrderType::MARKET,
       OrderFlag flag = OrderFlag::NONE, std::shared_ptr<Order> stop_target = nullptr);
+    virtual ~Order() {}
+
+    virtual bool operator==(Order& other) const;
 
     bool finished() const;
     void finish();

aat/cpp/include/aat/core/data/trade.hpp

@@ -32,6 +32,7 @@ namespace core {
       // enforce that stop target match stop type
       // assert(maker_orders.size() > 0);  // not necessarily
     }
+    virtual ~Trade() {}
 
     double
     slippage() const {

aat/cpp/include/aat/core/exchange/exchange.hpp

@@ -20,6 +20,8 @@ namespace core {
     explicit ExchangeType(str_t name)
       : name(name) {}
 
+    virtual ~ExchangeType() {}
+
     str_t toString() const;
     virtual json toJson() const;
 

aat/cpp/include/aat/core/instrument/instrument.hpp

@@ -21,6 +21,7 @@ namespace core {
       : name(name)
       , type(InstrumentType::EQUITY) {}
 
+    virtual ~Instrument() {}
     bool operator==(const Instrument& other) const;
     str_t toString() const;
     virtual json toJson() const;

aat/cpp/include/aat/python/binding.hpp

@@ -70,8 +70,18 @@ PYBIND11_MODULE(binding, m) {
     .export_values();
 
   py::enum_<InstrumentType>(m, "InstrumentTypeCpp", py::arithmetic())
-    .value("CURRENCY", InstrumentType::CURRENCY)
+    .value("OTHER", InstrumentType::OTHER)
     .value("EQUITY", InstrumentType::EQUITY)
+    .value("BOND", InstrumentType::BOND)
+    .value("OPTION", InstrumentType::OPTION)
+    .value("FUTURE", InstrumentType::FUTURE)
+    .value("PAIR", InstrumentType::PAIR)
+    .value("SPREAD", InstrumentType::SPREAD)
+    .value("FUTURESOPTION", InstrumentType::FUTURESOPTION)
+    .value("MUTUALFUND", InstrumentType::MUTUALFUND)
+    .value("COMMODITY", InstrumentType::COMMODITY)
+    .value("CURRENCY", InstrumentType::CURRENCY)
+    .value("INDEX", InstrumentType::INDEX)
     .export_values();
 
   py::enum_<OrderType>(m, "OrderTypeCpp", py::arithmetic())
@@ -198,6 +208,7 @@ PYBIND11_MODULE(binding, m) {
       py::arg("exchange").none(false), py::arg("notional").none(false), py::arg("order_type").none(false),
       py::arg("flag").none(false), py::arg("stop_target").none(true))
     .def("__repr__", &Order::toString)
+    .def("__eq__", &Order::operator==)
     .def("finished", &Order::finished)
     .def("finish", &Order::finish)
     .def("json", &Order::toJson)

aat/cpp/src/core/data/order.cpp

@@ -36,6 +36,11 @@ namespace core {
     }
   }
 
+  bool
+  Order::operator==(Order& other) const {
+    return this->id == other.id;
+  }
+
   bool
   Order::finished() const {
     return (volume == filled) || force_done;

aat/cpp/src/core/order_book/order_book.cpp

@@ -475,8 +475,6 @@ namespace core {
     // show top 5 levels, then group next 5, 10, 20, etc
     // sells first
     std::vector<std::shared_ptr<PriceLevel>> sells_to_print;
-    auto count = 5;
-    auto orig = 5;
 
     for (std::uint64_t i = 0; i < sell_levels.size(); ++i) {
       if (i < 5) {
@@ -494,8 +492,7 @@ namespace core {
     // show top 5 levels, then group next 5, 10, 20, etc
     // buys second
     std::vector<std::shared_ptr<PriceLevel>> buys_to_print;
-    count = 5;
-    orig = 5;
+
     int i = 0;
 
     for (auto iter = buy_levels.end() - 1; iter > buy_levels.begin(); --iter) {

aat/cpp/src/core/position/cash.cpp

@@ -7,10 +7,10 @@ namespace aat {
 namespace core {
 
   CashPosition::CashPosition(double notional, timestamp_t timestamp, Instrument& instrument, ExchangeType& exchange)
-    : instrument(instrument)
+    : timestamp(timestamp)
+    , instrument(instrument)
     , exchange(exchange)
-    , notional(notional)
-    , timestamp(timestamp) {
+    , notional(notional) {
     notional_history.push_back(notional);
     notional_timestamps.push_back(timestamp);
   }

aat/cpp/src/core/position/position.cpp

@@ -8,11 +8,11 @@ namespace core {
 
   Position::Position(double size, double price, timestamp_t timestamp, Instrument& instrument, ExchangeType& exchange,
     std::vector<std::shared_ptr<Trade>>& trades)
-    : instrument(instrument)
+    : timestamp(timestamp)
+    , instrument(instrument)
     , exchange(exchange)
     , size(size)
     , price(price)
-    , timestamp(timestamp)
     , investment(size * price)
     , notional(size * price)
     , instrumentPrice(price)