diff --git a/.bumpversion.cfg b/.bumpversion.cfg new file mode 100644 index 00000000..26b8bf7a --- /dev/null +++ b/.bumpversion.cfg @@ -0,0 +1,16 @@ +[bumpversion] +current_version = 0.1.0 +commit = True +tag = False + +[bumpversion:file:python/aat/aat/__init__.py] +search = __version__ = "{current_version}" +replace = __version__ = "{new_version}" + +[bumpversion:file:python/aat/setup.py] +search = version = "{current_version}" +replace = version = "{new_version}" + +# [bumpversion:file:js/package.json] +# search = "version": "{current_version}" +# replace = "version": "{new_version}" diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml index 79201c0f..7ec31eb5 100644 --- a/.github/workflows/build.yml +++ b/.github/workflows/build.yml @@ -4,6 +4,12 @@ on: push: branches: - main + - jb/rust + tags: + - v* + paths-ignore: + - LICENSE + - README.md pull_request: concurrency: @@ -16,7 +22,8 @@ jobs: strategy: matrix: - os: [ubuntu-latest, macos-latest, windows-latest] + # os: [ubuntu-latest, macos-latest, windows-latest] + os: [ubuntu-latest] python-version: [3.9] node-version: [14.x] event-name: [push] @@ -24,64 +31,61 @@ jobs: steps: - uses: actions/checkout@v3 + - name: Set up Rust + uses: actions-rs/toolchain@v1 + with: + profile: minimal + toolchain: nightly + components: clippy + override: true + - name: Set up Python ${{ matrix.python-version }} uses: actions/setup-python@v4 with: python-version: ${{ matrix.python-version }} + # cache: "pip" + # cache-dependency-path: 'python/aat/pyproject.toml' - - name: Install system dependencies - run: | - sudo apt-get install libboost-dev - wget https://github.com/pybind/pybind11/archive/v2.5.0.tar.gz && tar xfz v2.5.0.tar.gz && cd pybind11-2.5.0 && mkdir build && cd build && cmake .. -DPYBIND11_TEST=OFF && sudo make -j4 install - if: ${{ matrix.os == 'ubuntu-latest' }} - - - name: Install system dependencies - run: | - brew install boost cmake pybind11 - if: ${{ matrix.os == 'macos-latest' }} + # - name: Use Node.js ${{ matrix.node-version }} + # uses: actions/setup-node@v3 + # with: + # node-version: ${{ matrix.node-version }} + # cache: 'yarn' + # cache-dependency-path: js/yarn.lock - - name: Install dependencies - run: | - python -m pip install -U cpplint numpy pip pyarrow pyEX setuptools tqdm twine wheel - python -m pip install -e .[dev] + # - name: Install yarn + # run: npm install -g yarn - - name: Lint Python - run: | - make lintpy + # - uses: actions-rs/cargo@v1 + # with: + # command: check - - name: Lint C++ - run: | - make lintcpp - - - name: Type Annotate + - name: Install dependencies run: | - make annotate + make develop - - name: Test + - name: Build run: | - make tests - if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} + make build - - name: Test C++ + - name: Lint run: | - make testpycpp - if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} + make lint - - name: Live tests + - name: Checks run: | - make testruns + make checks if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} - - name: Twine check + - name: Test run: | - make dist + make tests-ci-gha + if: ${{ matrix.os == 'ubuntu-latest' }} - name: Upload test results - uses: actions/upload-artifact@v3 + uses: EnricoMi/publish-unit-test-result-action@v1 with: - name: pytest-results-${{ matrix.os }}-${{ matrix.python-version }} - path: python_junit.xml - if: ${{ always() }} - - - name: Upload coverage - uses: codecov/codecov-action@v3 + check_name: Test Results + github_token: ${{ secrets.GITHUB_TOKEN }} + files: rust/results.xml + if: ${{ matrix.os == 'ubuntu-latest' }} diff --git a/.gitignore b/.gitignore index 1637c448..a295a11a 100644 --- a/.gitignore +++ b/.gitignore @@ -35,13 +35,19 @@ pip-delete-this-directory.txt # Unit test / coverage reports htmlcov/ .tox/ +coverage .coverage .coverage.* .cache nosetests.xml coverage.xml +coverage.info *,cover cover +results.xml +python_junit.xml +.mypy_cache +venv/ # Translations *.mo @@ -52,6 +58,8 @@ cover # Sphinx documentation docs/_build/ +docs/api +docs/index.md # PyBuilder target/ @@ -59,40 +67,28 @@ target/ *_keys horizon +# Mac files *.DS_Store + +# JS Files js/node_modules/ js/build/ aat/ui/assets/static/ -notes.txt -ref +node_modules + +# Keys coinbase.sh coinbase_sandbox.sh keys -old +# Notebooks .ipynb_checkpoints -*.pkl notebooks/BTC_* + +# IDE .idea +.vscode +# Other custom_strategies -node_modules -package-lock.json -yarn.lock -logo.ai -logo.png -coverage -experiments -aat_test -docs/api -docs/index.md -tornado_sqlalchemy_login -aat.db -python_junit.xml -.mypy_cache -.vscode -private_config -_aat_BACKTEST* - -venv/ diff --git a/Makefile b/Makefile index d1722205..6374da46 100644 --- a/Makefile +++ b/Makefile @@ -1,108 +1,33 @@ -PYTHON=python -CONFIG=./config/synthetic.cfg - - -run: ## Clean and make target, run target - $(PYTHON) -m aat --config $(CONFIG) - -runcpp: build ## Clean and make target, run target - AAT_USE_CPP=1 $(PYTHON) -m aat --config $(CONFIG) - -rundebug: debug ## Clean and make debug target, run target - $(PYTHON) -m aat --config $(CONFIG) - -stratres: ## View strategy results offline - $(PYTHON) -m aat.strategy.calculations - -buildextf: ## build the package extensions - $(PYTHON) setup.py build_ext -j8 --inplace -f - -buildext: ## build the package extensions - $(PYTHON) setup.py build_ext -j8 --inplace - -build: buildext ## build the package - $(PYTHON) setup.py build - -debug: ## build debug build of the package - DEBUG=1 $(PYTHON) setup.py build - -install: ## install the package - $(PYTHON) -m pip install . - -tests: build testpy ## Make unit tests - -testpy: ## Make unit tests - $(PYTHON) -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch - -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 - -testrunscsv: - $(PYTHON) -m aat.strategy.sample.csv.readonly - $(PYTHON) -m aat.strategy.sample.csv.readonly_periodic - $(PYTHON) -m aat.strategy.sample.csv.received - -testrunsiex: - $(PYTHON) -m aat.strategy.sample.iex.readonly - TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.buy_and_hold - TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.momentum - TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.golden_death - -lint: lintpy lintcpp ## run all linters - -lintpy: ## run python linter - $(PYTHON) -m flake8 aat setup.py - -lintcpp: ## run cpp linter - cpplint --linelength=120 --recursive aat/cpp/{src,include} - -fix: fixpy fixcpp ## run all fixers - -fixpy: ## run autopep8 fix - $(PYTHON) -m black aat/ setup.py +.DEFAULT_GOAL := help +.PHONY: develop build lint checks tests tests-ci-gha -fixcpp: ## run clang-format - clang-format -i -style=file `find ./aat/cpp/{src,include} -name "*.*pp"` +develop-rust: + make -C rust develop -annotate: ## MyPy type annotation check - $(PYTHON) -m mypy aat +develop: develop-rust ## Setup project for development -type_ignore: ## Count type ignores - grep -rin "type: ignore" ./aat | wc -l +build-rust: + make -C rust build -type_ignore_list: ## List all type ignores - grep -rin "type: ignore" ./aat +build: build-rust ## Build the project -docs: ## Build the sphinx docs - make -C docs html - open ./docs/_build/html/index.html +lint-rust: + make -C rust lint -dist: ## create dists - rm -rf dist build - python setup.py sdist bdist_wheel - python -m twine check dist/* +lint: lint-rust ## Run project linters -publish: dist ## dist to pypi and npm - python -m twine upload dist/* --skip-existing +checks-rust: + make -C rust checks -clean: ## clean the repository - find . -name "__pycache__" | xargs rm -rf - find . -name "*.pyc" | xargs rm -rf - rm -rf .coverage coverage cover htmlcov logs build dist *.egg-info coverage.xml .mypy_cache - find . -name "*.so" | xargs rm -rf - make -C ./docs clean - rm -rf _aat_BACKTEST_* +checks: checks-rust ## Run any other checks -# Thanks to Francoise at marmelab.com for this -.DEFAULT_GOAL := help -help: - @grep -E '^[a-zA-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | sort | awk 'BEGIN {FS = ":.*?## "}; {printf "\033[36m%-30s\033[0m %s\n", $$1, $$2}' +tests-rust: + make -C rust tests -print-%: - @echo '$*=$($*)' +tests: tests-rust ## Run the tests -.PHONY: run buildext build install tests lint fix docs dist clean help fixcpp +tests-ci-gha-rust: + make -C rust tests-ci-gha +tests-ci-gha: tests-ci-gha-rust + diff --git a/README.md b/README.md index 70947a17..f1cf6420 100644 --- a/README.md +++ b/README.md @@ -1,4 +1,3 @@ - [![Build Status](https://github.com/AsyncAlgoTrading/aat/workflows/Build%20Status/badge.svg?branch=main)](https://github.com/AsyncAlgoTrading/aat/actions?query=workflow%3A%22Build+Status%22) @@ -7,55 +6,8 @@ [![PyPI](https://img.shields.io/pypi/v/aat.svg)](https://pypi.python.org/pypi/aat) [![Docs](https://img.shields.io/readthedocs/aat.svg)](http://aat.readthedocs.io/en/latest/) -`aat` is an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in C++. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. +`aat` is an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in rust. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. Like [Zipline](https://github.com/quantopian/zipline) and [Lean](https://github.com/QuantConnect/Lean), `aat` exposes a single strategy class which is utilized for both live trading and backtesting. The strategy class is simple enough to write and test algorithms quickly, but extensible enough to allow for complex slippage and transaction cost modeling, as well as mid- and post- trade analysis. `aat` is in active use for live algorithmic trading on equities, commodity futures contracts, and commodity futures spreads by undisclosed funds. - -## Overview -A complete overview of the core components of `aat` is provided in the [GETTING_STARTED](GETTING_STARTED.md) file. - -### Internals -`aat`'s engine is composed of 4 major parts. - -- trading engine -- risk management engine -- execution engine -- backtest engine - - -#### Trading Engine -The trading engine initializes all exchanges and strategies, then martials data, trade requests, and trade responses between the strategy, risk, execution, and exchange objects, while keeping track of high-level statistics on the system - -#### Risk Management Engine -The risk management engine enforces trading limits, making sure that stategies are limited to certain risk profiles. It can modify or remove trade requests prior to execution depending on user preferences and outstanding positions and orders. - -#### Execution engine -The execution engine is a simple passthrough to the underlying exchanges. It provides a unified interface for creating various types of orders. - -#### Backtest engine -The backtest engine provides the ability to run the same stragegy offline against historical data. - -### Core Components -`aat` has a variety of core classes and data structures, the most important of which are the `Strategy` and `Exchange` classes. - -#### Trading Strategy -The core element of `aat` is the trading strategy interface. It includes both data processing and order management functionality. Users subclass this class in order to implement their strategies. Methods of the form `onNoun` are used to handle market data events, while methods of the form `onVerb` are used to handle order entry events. There are also a variety of order management and data subscription methods available. - -The only method that is required to be implemented is the `onTrade` method. The full specification of a strategy is given in [GETTING_STARTED](GETTING_STARTED.md). - - -#### Other Components -`aat` also provides a complete limit-order book implementation, including flags like `fill-or-kill` and `all-or-nothing`, which is used to power the synthetic testing exchange. - - -## Support / Contributors -Thanks to the following organizations for providing code or financial support. - - - -Nemoulous - -## License -This software is licensed under the Apache 2.0 license. See the [LICENSE](LICENSE) file for details. diff --git a/aat/tests/strategy/_aat_BACKTEST_test/MomentumStrategy-0.portfolio.active_by_inst.json b/aat/tests/strategy/_aat_BACKTEST_test/MomentumStrategy-0.portfolio.active_by_inst.json deleted file mode 100644 index 53287705..00000000 --- a/aat/tests/strategy/_aat_BACKTEST_test/MomentumStrategy-0.portfolio.active_by_inst.json +++ /dev/null @@ -1 +0,0 @@ -{"{\"name\": \"SPXL\", \"type\": \"EQUITY\", \"exchanges\": [{\"name\": \"iex\"}], \"brokerExchange\": \"PSE\", \"brokerId\": null, \"currency\": {\"name\": \"USD\", \"type\": \"CURRENCY\", \"exchanges\": [], \"brokerExchange\": null, \"brokerId\": null, \"currency\": \"\", \"underlying\": \"\", \"leg1\": \"\", \"leg2\": \"\", \"leg1_side\": \"\", \"leg2_side\": \"\", \"expiration\": \"\", \"price_increment\": \"\", \"unit_value\": \"\", \"option_type\": \"\"}, \"underlying\": \"\", \"leg1\": \"\", \"leg2\": \"\", \"leg1_side\": \"\", \"leg2_side\": \"\", \"expiration\": \"\", \"price_increment\": \"\", \"unit_value\": \"\", \"option_type\": \"\"}": [{"timestamp": 1600076940.0, "instrument": {"name": "SPXL", "type": "EQUITY", "exchanges": [{"name": "iex"}], "brokerExchange": "PSE", "brokerId": null, "currency": {"name": "USD", "type": "CURRENCY", "exchanges": [], "brokerExchange": null, "brokerId": null, "currency": "", "underlying": "", "leg1": "", "leg2": "", "leg1_side": "", "leg2_side": "", "expiration": "", "price_increment": "", "unit_value": "", "option_type": ""}, "underlying": "", "leg1": "", "leg2": "", "leg1_side": "", "leg2_side": "", "expiration": "", "price_increment": "", "unit_value": "", "option_type": ""}, "exchange": {"name": "iex"}, "size": 0.0, "size_history": [[184.0, 1600076940.0], [0.0, 1600077960.0], [178.0, 1600255440.0], [0.0, 1600257780.0], [177.0, 1600267140.0], [0.0, 1600267440.0], [192.0, 1600335420.0], [0.0, 1600335780.0], [191.0, 1600336260.0], [0.0, 1600336320.0], [188.0, 1600337460.0], [0.0, 1600338180.0], [187.0, 1600339560.0], [0.0, 1600340580.0]], "notional": 9963.6, "notional_history": [[9963.6, 1600076940.0], [9980.16, 1600091760.0], [9982.0, 1600091880.0], [10039.96, 1600092360.0], [10039.96, 1600077960.0], [9937.74, 1600270020.0], [9930.619999999999, 1600270980.0], [9913.710000000001, 1600272180.0], [9913.710000000001, 1600257780.0], [9942.09, 1600281600.0], [9943.86, 1600281660.0], [9906.69, 1600281840.0], [9906.69, 1600267440.0], [9972.48, 1600349940.0], [9941.76, 1600350180.0], [9941.76, 1600335780.0], [10021.77, 1600350720.0], [10021.77, 1600336320.0], [9964.0, 1600351920.0], [9944.26, 1600351980.0], [9932.039999999999, 1600352100.0], [9928.28, 1600352280.0], [9930.16, 1600352340.0], [9895.004, 1600352580.0], [9895.004, 1600338180.0], [9963.36, 1600354200.0], [9983.93, 1600354980.0], [9983.93, 1600340580.0]], "price": 53.28, "price_history": [[54.15, 1600076940.0], [55.878, 1600255440.0], [56.21, 1600267140.0], [51.985, 1600335420.0], [52.295, 1600336260.0], [53.125, 1600337460.0], [53.28, 1600339560.0]], "investment": 9963.36, "investment_history": [[9963.6, 1600076940.0], [9946.284, 1600255440.0], [9949.17, 1600267140.0], [9981.12, 1600335420.0], [9988.345, 1600336260.0], [9987.5, 1600337460.0], [9963.36, 1600339560.0]], "instrumentPrice": 51.026, "instrumentPrice_history": [[54.15, 1600076940.0], [54.24, 1600091760.0], [54.25, 1600091880.0], [54.565, 1600092360.0], [54.565, 1600077960.0], [54.715, 1600093020.0], [54.737, 1600093260.0], [54.77, 1600093620.0], [54.675, 1600093860.0], [54.64, 1600094100.0], [54.54, 1600095360.0], [54.61, 1600095600.0], [54.49, 1600096740.0], [54.65, 1600097340.0], [54.71, 1600099920.0], [54.58, 1600101960.0], [54.39, 1600102440.0], [54.499, 1600102620.0], [54.36, 1600103160.0], [54.0, 1600103940.0], [54.16, 1600104480.0], [54.18, 1600104600.0], [53.895, 1600104720.0], [54.0, 1600104840.0], [54.26, 1600105980.0], [54.26, 1600106700.0], [54.28, 1600107960.0], [54.09, 1600108920.0], [54.27, 1600109520.0], [54.33, 1600109580.0], 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github.run_id }} + cancel-in-progress: true + +jobs: + build: + runs-on: ${{ matrix.os }} + + strategy: + matrix: + os: [ubuntu-latest, macos-latest, windows-latest] + python-version: [3.9] + node-version: [14.x] + event-name: [push] + + steps: + - uses: actions/checkout@v3 + + - name: Set up Python ${{ matrix.python-version }} + uses: actions/setup-python@v4 + with: + python-version: ${{ matrix.python-version }} + + - name: Install system dependencies + run: | + sudo apt-get install libboost-dev + wget https://github.com/pybind/pybind11/archive/v2.5.0.tar.gz && tar xfz v2.5.0.tar.gz && cd pybind11-2.5.0 && mkdir build && cd build && cmake .. -DPYBIND11_TEST=OFF && sudo make -j4 install + if: ${{ matrix.os == 'ubuntu-latest' }} + + - name: Install system dependencies + run: | + brew install boost cmake pybind11 + if: ${{ matrix.os == 'macos-latest' }} + + - name: Install dependencies + run: | + python -m pip install -U cpplint numpy pip pyarrow pyEX setuptools tqdm twine wheel + python -m pip install -e .[dev] + + - name: Lint Python + run: | + make lintpy + + - name: Lint C++ + run: | + make lintcpp + + - name: Type Annotate + run: | + make annotate + + - name: Test + run: | + make tests + if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} + + - name: Test C++ + run: | + make testpycpp + if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} + + - name: Live tests + run: | + make testruns + if: ${{ github.event_name == matrix.event-name || matrix.os == 'ubuntu-latest' }} + + - name: Twine check + run: | + make dist + + - name: Upload test results + uses: actions/upload-artifact@v3 + with: + name: pytest-results-${{ matrix.os }}-${{ matrix.python-version }} + path: python_junit.xml + if: ${{ always() }} + + - name: Upload coverage + uses: codecov/codecov-action@v3 diff --git a/CONTRIBUTING.md b/old/CONTRIBUTING.md similarity index 100% rename from CONTRIBUTING.md rename to old/CONTRIBUTING.md diff --git a/GETTING_STARTED.md b/old/GETTING_STARTED.md similarity index 100% rename from GETTING_STARTED.md rename to old/GETTING_STARTED.md diff --git a/MANIFEST.in b/old/MANIFEST.in similarity index 100% rename from MANIFEST.in rename to old/MANIFEST.in diff --git a/old/Makefile b/old/Makefile new file mode 100644 index 00000000..d1722205 --- /dev/null +++ b/old/Makefile @@ -0,0 +1,108 @@ +PYTHON=python +CONFIG=./config/synthetic.cfg + + +run: ## Clean and make target, run target + $(PYTHON) -m aat --config $(CONFIG) + +runcpp: build ## Clean and make target, run target + AAT_USE_CPP=1 $(PYTHON) -m aat --config $(CONFIG) + +rundebug: debug ## Clean and make debug target, run target + $(PYTHON) -m aat --config $(CONFIG) + +stratres: ## View strategy results offline + $(PYTHON) -m aat.strategy.calculations + +buildextf: ## build the package extensions + $(PYTHON) setup.py build_ext -j8 --inplace -f + +buildext: ## build the package extensions + $(PYTHON) setup.py build_ext -j8 --inplace + +build: buildext ## build the package + $(PYTHON) setup.py build + +debug: ## build debug build of the package + DEBUG=1 $(PYTHON) setup.py build + +install: ## install the package + $(PYTHON) -m pip install . + +tests: build testpy ## Make unit tests + +testpy: ## Make unit tests + $(PYTHON) -m pytest -vvv ./aat/tests --cov=aat --junitxml=python_junit.xml --cov-report=xml --cov-branch + +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 + +testrunscsv: + $(PYTHON) -m aat.strategy.sample.csv.readonly + $(PYTHON) -m aat.strategy.sample.csv.readonly_periodic + $(PYTHON) -m aat.strategy.sample.csv.received + +testrunsiex: + $(PYTHON) -m aat.strategy.sample.iex.readonly + TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.buy_and_hold + TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.momentum + TESTING=1 $(PYTHON) -m aat.strategy.sample.iex.golden_death + +lint: lintpy lintcpp ## run all linters + +lintpy: ## run python linter + $(PYTHON) -m flake8 aat setup.py + +lintcpp: ## run cpp linter + cpplint --linelength=120 --recursive aat/cpp/{src,include} + +fix: fixpy fixcpp ## run all fixers + +fixpy: ## run autopep8 fix + $(PYTHON) -m black aat/ setup.py + +fixcpp: ## run clang-format + clang-format -i -style=file `find ./aat/cpp/{src,include} -name "*.*pp"` + +annotate: ## MyPy type annotation check + $(PYTHON) -m mypy aat + +type_ignore: ## Count type ignores + grep -rin "type: ignore" ./aat | wc -l + +type_ignore_list: ## List all type ignores + grep -rin "type: ignore" ./aat + +docs: ## Build the sphinx docs + make -C docs html + open ./docs/_build/html/index.html + +dist: ## create dists + rm -rf dist build + python setup.py sdist bdist_wheel + python -m twine check dist/* + +publish: dist ## dist to pypi and npm + python -m twine upload dist/* --skip-existing + +clean: ## clean the repository + find . -name "__pycache__" | xargs rm -rf + find . -name "*.pyc" | xargs rm -rf + rm -rf .coverage coverage cover htmlcov logs build dist *.egg-info coverage.xml .mypy_cache + find . -name "*.so" | xargs rm -rf + make -C ./docs clean + rm -rf _aat_BACKTEST_* + +# Thanks to Francoise at marmelab.com for this +.DEFAULT_GOAL := help +help: + @grep -E '^[a-zA-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | sort | awk 'BEGIN {FS = ":.*?## "}; {printf "\033[36m%-30s\033[0m %s\n", $$1, $$2}' + +print-%: + @echo '$*=$($*)' + +.PHONY: run buildext build install tests lint fix docs dist clean help fixcpp + diff --git a/old/README.md b/old/README.md new file mode 100644 index 00000000..70947a17 --- /dev/null +++ b/old/README.md @@ -0,0 +1,61 @@ + + + +[![Build Status](https://github.com/AsyncAlgoTrading/aat/workflows/Build%20Status/badge.svg?branch=main)](https://github.com/AsyncAlgoTrading/aat/actions?query=workflow%3A%22Build+Status%22) +[![Coverage](https://codecov.io/gh/AsyncAlgoTrading/aat/branch/main/graph/badge.svg)](https://codecov.io/gh/AsyncAlgoTrading/aat) +[![License](https://img.shields.io/github/license/timkpaine/aat.svg)](https://pypi.python.org/pypi/aat) +[![PyPI](https://img.shields.io/pypi/v/aat.svg)](https://pypi.python.org/pypi/aat) +[![Docs](https://img.shields.io/readthedocs/aat.svg)](http://aat.readthedocs.io/en/latest/) + +`aat` is an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in C++. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. + +Like [Zipline](https://github.com/quantopian/zipline) and [Lean](https://github.com/QuantConnect/Lean), `aat` exposes a single strategy class which is utilized for both live trading and backtesting. The strategy class is simple enough to write and test algorithms quickly, but extensible enough to allow for complex slippage and transaction cost modeling, as well as mid- and post- trade analysis. + +`aat` is in active use for live algorithmic trading on equities, commodity futures contracts, and commodity futures spreads by undisclosed funds. + +## Overview +A complete overview of the core components of `aat` is provided in the [GETTING_STARTED](GETTING_STARTED.md) file. + +### Internals +`aat`'s engine is composed of 4 major parts. + +- trading engine +- risk management engine +- execution engine +- backtest engine + + +#### Trading Engine +The trading engine initializes all exchanges and strategies, then martials data, trade requests, and trade responses between the strategy, risk, execution, and exchange objects, while keeping track of high-level statistics on the system + +#### Risk Management Engine +The risk management engine enforces trading limits, making sure that stategies are limited to certain risk profiles. It can modify or remove trade requests prior to execution depending on user preferences and outstanding positions and orders. + +#### Execution engine +The execution engine is a simple passthrough to the underlying exchanges. It provides a unified interface for creating various types of orders. + +#### Backtest engine +The backtest engine provides the ability to run the same stragegy offline against historical data. + +### Core Components +`aat` has a variety of core classes and data structures, the most important of which are the `Strategy` and `Exchange` classes. + +#### Trading Strategy +The core element of `aat` is the trading strategy interface. It includes both data processing and order management functionality. Users subclass this class in order to implement their strategies. Methods of the form `onNoun` are used to handle market data events, while methods of the form `onVerb` are used to handle order entry events. There are also a variety of order management and data subscription methods available. + +The only method that is required to be implemented is the `onTrade` method. The full specification of a strategy is given in [GETTING_STARTED](GETTING_STARTED.md). + + +#### Other Components +`aat` also provides a complete limit-order book implementation, including flags like `fill-or-kill` and `all-or-nothing`, which is used to power the synthetic testing exchange. + + +## Support / Contributors +Thanks to the following organizations for providing code or financial support. + + + +Nemoulous + +## License +This software is licensed under the Apache 2.0 license. See the [LICENSE](LICENSE) file for details. diff --git a/aat/__init__.py b/old/aat/__init__.py similarity index 100% rename from aat/__init__.py rename to old/aat/__init__.py diff --git a/aat/__main__.py b/old/aat/__main__.py similarity index 100% rename from aat/__main__.py rename to old/aat/__main__.py diff --git a/old/aat/_version.py b/old/aat/_version.py new file mode 100644 index 00000000..9e9fcd38 --- /dev/null +++ b/old/aat/_version.py @@ -0,0 +1,21 @@ +from collections import namedtuple + +VersionInfo = namedtuple( + "VersionInfo", ["major", "minor", "micro", "releaselevel", "serial"] +) + +# DO NOT EDIT THIS DIRECTLY! It is managed by bumpversion +version_info = VersionInfo(0, 1, 0, "final", 0) + +_specifier_ = {"alpha": "a", "beta": "b", "candidate": "rc", "final": ""} + +__version__ = "{}.{}.{}{}".format( + version_info.major, + version_info.minor, + version_info.micro, + ( + "" + if version_info.releaselevel == "final" + else _specifier_[version_info.releaselevel] + "." + str(version_info.serial) + ), +) diff --git a/aat/common.py b/old/aat/common.py similarity index 100% rename from aat/common.py rename to old/aat/common.py diff --git a/aat/config/__init__.py b/old/aat/config/__init__.py similarity index 100% rename from aat/config/__init__.py rename to old/aat/config/__init__.py diff --git a/aat/config/enums.py b/old/aat/config/enums.py similarity index 100% rename from aat/config/enums.py rename to old/aat/config/enums.py diff --git a/aat/config/parser.py b/old/aat/config/parser.py similarity index 100% rename from aat/config/parser.py rename to old/aat/config/parser.py diff --git a/aat/core/__init__.py b/old/aat/core/__init__.py similarity index 100% rename from aat/core/__init__.py rename to old/aat/core/__init__.py diff --git a/aat/core/data/__init__.py b/old/aat/core/data/__init__.py similarity index 100% rename from aat/core/data/__init__.py rename to old/aat/core/data/__init__.py diff --git a/aat/core/data/cpp.py b/old/aat/core/data/cpp.py similarity index 100% rename from aat/core/data/cpp.py rename to old/aat/core/data/cpp.py diff --git a/aat/core/data/data.py b/old/aat/core/data/data.py similarity index 100% rename from aat/core/data/data.py rename to old/aat/core/data/data.py diff --git a/aat/core/data/error.py b/old/aat/core/data/error.py similarity index 100% rename from aat/core/data/error.py rename to old/aat/core/data/error.py diff --git a/aat/core/data/event.py b/old/aat/core/data/event.py similarity index 100% rename from aat/core/data/event.py rename to old/aat/core/data/event.py diff --git a/aat/core/data/order.py b/old/aat/core/data/order.py similarity index 100% rename from aat/core/data/order.py rename to old/aat/core/data/order.py diff --git a/aat/core/data/trade.py b/old/aat/core/data/trade.py similarity index 100% rename from aat/core/data/trade.py rename to old/aat/core/data/trade.py diff --git a/aat/core/exchange/__init__.py b/old/aat/core/exchange/__init__.py similarity index 100% rename from aat/core/exchange/__init__.py rename to old/aat/core/exchange/__init__.py diff --git a/aat/core/exchange/cpp.py b/old/aat/core/exchange/cpp.py similarity index 100% rename from aat/core/exchange/cpp.py rename to old/aat/core/exchange/cpp.py diff --git a/aat/core/exchange/db.py b/old/aat/core/exchange/db.py similarity index 100% rename from aat/core/exchange/db.py rename to old/aat/core/exchange/db.py diff --git a/aat/core/exchange/exchange.py b/old/aat/core/exchange/exchange.py similarity index 100% rename from aat/core/exchange/exchange.py rename to old/aat/core/exchange/exchange.py diff --git a/aat/core/handler/__init__.py 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rename to old/aat/core/order_book/collector/__init__.py diff --git a/aat/core/order_book/collector/collector.py b/old/aat/core/order_book/collector/collector.py similarity index 100% rename from aat/core/order_book/collector/collector.py rename to old/aat/core/order_book/collector/collector.py diff --git a/aat/core/order_book/cpp.py b/old/aat/core/order_book/cpp.py similarity index 100% rename from aat/core/order_book/cpp.py rename to old/aat/core/order_book/cpp.py diff --git a/aat/core/order_book/order_book/__init__.py b/old/aat/core/order_book/order_book/__init__.py similarity index 100% rename from aat/core/order_book/order_book/__init__.py rename to old/aat/core/order_book/order_book/__init__.py diff --git a/aat/core/order_book/order_book/accessors.py b/old/aat/core/order_book/order_book/accessors.py similarity index 100% rename from aat/core/order_book/order_book/accessors.py rename to old/aat/core/order_book/order_book/accessors.py diff --git 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aat/cpp/include/aat/core/data/order.hpp rename to old/aat/cpp/include/aat/core/data/order.hpp diff --git a/aat/cpp/include/aat/core/data/trade.hpp b/old/aat/cpp/include/aat/core/data/trade.hpp similarity index 100% rename from aat/cpp/include/aat/core/data/trade.hpp rename to old/aat/cpp/include/aat/core/data/trade.hpp diff --git a/aat/cpp/include/aat/core/exchange/exchange.hpp b/old/aat/cpp/include/aat/core/exchange/exchange.hpp similarity index 100% rename from aat/cpp/include/aat/core/exchange/exchange.hpp rename to old/aat/cpp/include/aat/core/exchange/exchange.hpp diff --git a/aat/cpp/include/aat/core/instrument/instrument.hpp b/old/aat/cpp/include/aat/core/instrument/instrument.hpp similarity index 100% rename from aat/cpp/include/aat/core/instrument/instrument.hpp rename to old/aat/cpp/include/aat/core/instrument/instrument.hpp diff --git a/aat/cpp/include/aat/core/order_book/collector.hpp b/old/aat/cpp/include/aat/core/order_book/collector.hpp similarity index 100% rename from aat/cpp/include/aat/core/order_book/collector.hpp rename to old/aat/cpp/include/aat/core/order_book/collector.hpp diff --git a/aat/cpp/include/aat/core/order_book/order_book.hpp b/old/aat/cpp/include/aat/core/order_book/order_book.hpp similarity index 100% rename from aat/cpp/include/aat/core/order_book/order_book.hpp rename to old/aat/cpp/include/aat/core/order_book/order_book.hpp diff --git a/aat/cpp/include/aat/core/order_book/price_level.hpp b/old/aat/cpp/include/aat/core/order_book/price_level.hpp similarity index 100% rename from aat/cpp/include/aat/core/order_book/price_level.hpp rename to old/aat/cpp/include/aat/core/order_book/price_level.hpp diff --git a/aat/cpp/include/aat/core/position/account.hpp b/old/aat/cpp/include/aat/core/position/account.hpp similarity index 100% rename from aat/cpp/include/aat/core/position/account.hpp rename to old/aat/cpp/include/aat/core/position/account.hpp diff --git a/aat/cpp/include/aat/core/position/cash.hpp b/old/aat/cpp/include/aat/core/position/cash.hpp similarity index 100% rename from aat/cpp/include/aat/core/position/cash.hpp rename to old/aat/cpp/include/aat/core/position/cash.hpp diff --git a/aat/cpp/include/aat/core/position/position.hpp b/old/aat/cpp/include/aat/core/position/position.hpp similarity index 100% rename from aat/cpp/include/aat/core/position/position.hpp rename to old/aat/cpp/include/aat/core/position/position.hpp diff --git a/aat/cpp/include/aat/python/binding.hpp b/old/aat/cpp/include/aat/python/binding.hpp similarity index 100% rename from aat/cpp/include/aat/python/binding.hpp rename to old/aat/cpp/include/aat/python/binding.hpp diff --git a/aat/cpp/src/config/enums.cpp b/old/aat/cpp/src/config/enums.cpp similarity index 100% rename from aat/cpp/src/config/enums.cpp rename to old/aat/cpp/src/config/enums.cpp diff --git a/aat/cpp/src/config/parser.cpp b/old/aat/cpp/src/config/parser.cpp similarity index 100% rename from aat/cpp/src/config/parser.cpp rename to old/aat/cpp/src/config/parser.cpp diff --git a/aat/cpp/src/core/data/data.cpp b/old/aat/cpp/src/core/data/data.cpp similarity index 100% rename from aat/cpp/src/core/data/data.cpp rename to old/aat/cpp/src/core/data/data.cpp diff --git a/aat/cpp/src/core/data/event.cpp b/old/aat/cpp/src/core/data/event.cpp similarity index 100% rename from aat/cpp/src/core/data/event.cpp rename to old/aat/cpp/src/core/data/event.cpp diff --git a/aat/cpp/src/core/data/order.cpp b/old/aat/cpp/src/core/data/order.cpp similarity index 100% rename from aat/cpp/src/core/data/order.cpp rename to old/aat/cpp/src/core/data/order.cpp diff --git a/aat/cpp/src/core/data/trade.cpp b/old/aat/cpp/src/core/data/trade.cpp similarity index 100% rename from aat/cpp/src/core/data/trade.cpp rename to old/aat/cpp/src/core/data/trade.cpp diff --git a/aat/cpp/src/core/exchange/exchange.cpp b/old/aat/cpp/src/core/exchange/exchange.cpp similarity index 100% rename from aat/cpp/src/core/exchange/exchange.cpp rename to old/aat/cpp/src/core/exchange/exchange.cpp diff --git a/aat/cpp/src/core/instrument/instrument.cpp b/old/aat/cpp/src/core/instrument/instrument.cpp similarity index 100% rename from aat/cpp/src/core/instrument/instrument.cpp rename to old/aat/cpp/src/core/instrument/instrument.cpp diff --git a/aat/cpp/src/core/order_book/collector.cpp b/old/aat/cpp/src/core/order_book/collector.cpp similarity index 100% rename from aat/cpp/src/core/order_book/collector.cpp rename to old/aat/cpp/src/core/order_book/collector.cpp diff --git a/aat/cpp/src/core/order_book/order_book.cpp b/old/aat/cpp/src/core/order_book/order_book.cpp similarity index 100% rename from aat/cpp/src/core/order_book/order_book.cpp rename to old/aat/cpp/src/core/order_book/order_book.cpp diff --git a/aat/cpp/src/core/order_book/price_level.cpp b/old/aat/cpp/src/core/order_book/price_level.cpp similarity index 100% rename from aat/cpp/src/core/order_book/price_level.cpp rename to old/aat/cpp/src/core/order_book/price_level.cpp diff --git a/aat/cpp/src/core/position/account.cpp b/old/aat/cpp/src/core/position/account.cpp similarity index 100% rename from aat/cpp/src/core/position/account.cpp rename to old/aat/cpp/src/core/position/account.cpp diff --git a/aat/cpp/src/core/position/cash.cpp b/old/aat/cpp/src/core/position/cash.cpp similarity index 100% rename from aat/cpp/src/core/position/cash.cpp rename to old/aat/cpp/src/core/position/cash.cpp diff --git a/aat/cpp/src/core/position/position.cpp b/old/aat/cpp/src/core/position/position.cpp similarity index 100% rename from aat/cpp/src/core/position/position.cpp rename to old/aat/cpp/src/core/position/position.cpp diff --git a/aat/cpp/src/python/binding.cpp b/old/aat/cpp/src/python/binding.cpp similarity index 100% rename from aat/cpp/src/python/binding.cpp rename to old/aat/cpp/src/python/binding.cpp diff --git a/aat/cpp/third/date/chrono_io.h b/old/aat/cpp/third/date/chrono_io.h similarity index 100% rename from aat/cpp/third/date/chrono_io.h rename to old/aat/cpp/third/date/chrono_io.h diff --git a/aat/cpp/third/date/date.h b/old/aat/cpp/third/date/date.h similarity index 100% rename from aat/cpp/third/date/date.h rename to old/aat/cpp/third/date/date.h diff --git a/aat/cpp/third/date/ios.h b/old/aat/cpp/third/date/ios.h similarity index 100% rename from aat/cpp/third/date/ios.h rename to old/aat/cpp/third/date/ios.h diff --git a/aat/cpp/third/date/islamic.h b/old/aat/cpp/third/date/islamic.h similarity index 100% rename from aat/cpp/third/date/islamic.h rename to old/aat/cpp/third/date/islamic.h diff --git a/aat/cpp/third/date/iso_week.h b/old/aat/cpp/third/date/iso_week.h similarity index 100% rename from aat/cpp/third/date/iso_week.h rename to old/aat/cpp/third/date/iso_week.h diff --git a/aat/cpp/third/date/julian.h b/old/aat/cpp/third/date/julian.h similarity index 100% rename from aat/cpp/third/date/julian.h rename to old/aat/cpp/third/date/julian.h diff --git a/aat/cpp/third/date/ptz.h b/old/aat/cpp/third/date/ptz.h similarity index 100% rename from aat/cpp/third/date/ptz.h rename to old/aat/cpp/third/date/ptz.h diff --git a/aat/cpp/third/date/solar_hijri.h b/old/aat/cpp/third/date/solar_hijri.h similarity index 100% rename from aat/cpp/third/date/solar_hijri.h rename to old/aat/cpp/third/date/solar_hijri.h diff --git a/aat/cpp/third/date/tz.h b/old/aat/cpp/third/date/tz.h similarity index 100% rename from aat/cpp/third/date/tz.h rename to old/aat/cpp/third/date/tz.h diff --git a/aat/cpp/third/date/tz_private.h b/old/aat/cpp/third/date/tz_private.h similarity index 100% rename from aat/cpp/third/date/tz_private.h rename to old/aat/cpp/third/date/tz_private.h diff --git a/aat/cpp/third/nlohmann_json/nlohmann/adl_serializer.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/adl_serializer.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/adl_serializer.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/adl_serializer.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/from_json.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/from_json.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/from_json.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/from_json.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_chars.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_chars.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_chars.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_chars.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_json.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_json.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_json.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/conversions/to_json.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/exceptions.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/exceptions.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/exceptions.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/exceptions.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/binary_reader.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/binary_reader.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/binary_reader.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/binary_reader.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/input_adapters.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/input_adapters.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/input_adapters.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/input_adapters.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/json_sax.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/json_sax.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/json_sax.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/json_sax.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/lexer.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/lexer.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/lexer.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/lexer.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/parser.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/parser.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/parser.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/parser.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/input/position_t.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/position_t.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/input/position_t.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/input/position_t.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/internal_iterator.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/internal_iterator.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/internal_iterator.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/internal_iterator.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iter_impl.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iter_impl.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iter_impl.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iter_impl.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iteration_proxy.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iteration_proxy.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iteration_proxy.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iteration_proxy.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iterator_traits.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iterator_traits.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iterator_traits.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/iterator_traits.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/json_reverse_iterator.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/json_reverse_iterator.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/json_reverse_iterator.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/json_reverse_iterator.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/primitive_iterator.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/primitive_iterator.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/primitive_iterator.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/iterators/primitive_iterator.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/json_pointer.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/json_pointer.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/json_pointer.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/json_pointer.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/json_ref.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/json_ref.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/json_ref.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/json_ref.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_scope.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_scope.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/macro_scope.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_scope.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_unscope.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_unscope.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/macro_unscope.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/macro_unscope.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/cpp_future.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/cpp_future.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/meta/cpp_future.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/cpp_future.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/detected.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/detected.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/meta/detected.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/detected.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/is_sax.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/is_sax.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/meta/is_sax.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/is_sax.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/type_traits.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/type_traits.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/meta/type_traits.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/type_traits.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/void_t.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/void_t.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/meta/void_t.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/meta/void_t.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/output/binary_writer.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/binary_writer.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/output/binary_writer.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/binary_writer.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/output/output_adapters.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/output_adapters.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/output/output_adapters.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/output_adapters.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/output/serializer.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/serializer.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/output/serializer.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/output/serializer.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/detail/value_t.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/detail/value_t.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/detail/value_t.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/detail/value_t.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/json.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/json.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/json.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/json.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/json_fwd.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/json_fwd.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/json_fwd.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/json_fwd.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley.hpp similarity index 100% rename from aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley.hpp rename to old/aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley.hpp diff --git a/aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley_undef.hpp b/old/aat/cpp/third/nlohmann_json/nlohmann/thirdparty/hedley/hedley_undef.hpp similarity index 100% rename from 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at end of file diff --git a/python/aat/Makefile b/python/aat/Makefile new file mode 100644 index 00000000..5e881736 --- /dev/null +++ b/python/aat/Makefile @@ -0,0 +1,21 @@ +PYTHON=python +CONFIG=./config/synthetic.cfg + +.DEFAULT_GOAL := help +.PHONY: build develop clean help + +build: ## build the library + maturin build + +develop: ## build the library for development + pip install --no-deps -e .[develop] + +clean: ## clean the project + git clean -fdx + +# Thanks to Francoise at marmelab.com for this +help: + @grep -E '^[a-zA-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | sort | awk 'BEGIN {FS = ":.*?## "}; {printf "\033[36m%-30s\033[0m %s\n", $$1, $$2}' + +print-%: + @echo '$*=$($*)' diff --git a/python/aat/README.md b/python/aat/README.md new file mode 120000 index 00000000..fe840054 --- /dev/null +++ b/python/aat/README.md @@ -0,0 +1 @@ +../../README.md \ No newline at end of file diff --git a/python/aat/aat/__init__.py b/python/aat/aat/__init__.py new file mode 100644 index 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+serde_json = "1" +# tokio = { version = "1", features = ["full"] } diff --git a/rust/Makefile b/rust/Makefile new file mode 100644 index 00000000..0095ac8a --- /dev/null +++ b/rust/Makefile @@ -0,0 +1,65 @@ +.DEFAULT_GOAL := help +.PHONY: dev build lint fix check tests tests-ci-run tests-ci-gha tests-ci-jenkins develop test format checks help + +dev: ## Install required dev dependencies + rustup component add rustfmt + rustup component add clippy + cargo install cargo2junit + cargo install grcov + rustup component add llvm-tools-preview + +build: ## Build release + cargo build --release --all-features \ + -p aat \ + -p aat-core \ + -p aat-orderbook + +lint: ## Run Clippy for linting, rustfmt for autoformat checks + cargo clippy --all-features \ + -p aat \ + -p aat-core \ + -p aat-orderbook + cargo fmt --all -- --check + +fix: ## Fix code with rustfmt + cargo fmt --all \ + -p aat \ + -p aat-core \ + -p aat-orderbook + +check: + cargo check --all-features \ + -p aat \ + -p aat-core \ + -p aat-orderbook + +tests: ## Run the tests + cargo test -- --show-output + # cargo test -- -Z unstable-options --format json | cargo2junit > results.xml + +tests-ci-run: $(eval SHELL:=/bin/bash) + { \ + export CARGO_INCREMENTAL=0;\ + export RUSTDOCFLAGS="-Cpanic=abort";\ + export RUSTFLAGS="-Zprofile -Ccodegen-units=1 -Copt-level=0 -Clink-dead-code -Coverflow-checks=off -Zpanic_abort_tests -Cpanic=abort";\ + cargo test -- -Z unstable-options --format json | cargo2junit > results.xml;\ + } + +tests-ci-gha: tests-ci-run + grcov . --llvm -s . -t lcov --branch --ignore-not-existing -o ./coverage.info;\ + +tests-ci-jenkins: tests-ci-run + grcov . --llvm -s . -t cobertura --branch --ignore-not-existing -o ./coverage.xml;\ + +# aliases +develop: dev +test: tests +format: fix +checks: check + +# Thanks to Francoise at marmelab.com for this +help: + @grep -E '^[a-zA-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | sort | awk 'BEGIN {FS = ":.*?## "}; {printf "\033[36m%-30s\033[0m %s\n", $$1, $$2}' + 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publish +publish = false + +[lib] +name = "aat_core" +path = "src/lib.rs" +crate-type = ["rlib"] + +[dependencies] +chrono.workspace = true +num.workspace = true +serde.workspace = true +serde_json.workspace = true + +[profile.release] +panic = 'abort' +lto = true diff --git a/rust/aat-core/LICENSE b/rust/aat-core/LICENSE new file mode 100644 index 00000000..261eeb9e --- /dev/null +++ b/rust/aat-core/LICENSE @@ -0,0 +1,201 @@ + Apache License + Version 2.0, January 2004 + http://www.apache.org/licenses/ + + TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION + + 1. 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We also recommend that a + file or class name and description of purpose be included on the + same "printed page" as the copyright notice for easier + identification within third-party archives. + + Copyright [yyyy] [name of copyright owner] + + Licensed under the Apache License, Version 2.0 (the "License"); + you may not use this file except in compliance with the License. + You may obtain a copy of the License at + + http://www.apache.org/licenses/LICENSE-2.0 + + Unless required by applicable law or agreed to in writing, software + distributed under the License is distributed on an "AS IS" BASIS, + WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + See the License for the specific language governing permissions and + limitations under the License. diff --git a/rust/aat-core/Makefile b/rust/aat-core/Makefile new file mode 120000 index 00000000..2b3ecd73 --- /dev/null +++ b/rust/aat-core/Makefile @@ -0,0 +1 @@ +../aat/Makefile \ No newline at end of file diff --git a/rust/aat-core/README.md b/rust/aat-core/README.md new file mode 100644 index 00000000..f1cf6420 --- /dev/null +++ b/rust/aat-core/README.md @@ -0,0 +1,13 @@ + + +[![Build Status](https://github.com/AsyncAlgoTrading/aat/workflows/Build%20Status/badge.svg?branch=main)](https://github.com/AsyncAlgoTrading/aat/actions?query=workflow%3A%22Build+Status%22) +[![Coverage](https://codecov.io/gh/AsyncAlgoTrading/aat/branch/main/graph/badge.svg)](https://codecov.io/gh/AsyncAlgoTrading/aat) +[![License](https://img.shields.io/github/license/timkpaine/aat.svg)](https://pypi.python.org/pypi/aat) +[![PyPI](https://img.shields.io/pypi/v/aat.svg)](https://pypi.python.org/pypi/aat) +[![Docs](https://img.shields.io/readthedocs/aat.svg)](http://aat.readthedocs.io/en/latest/) + +`aat` is an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in rust. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. + +Like [Zipline](https://github.com/quantopian/zipline) and [Lean](https://github.com/QuantConnect/Lean), `aat` exposes a single strategy class which is utilized for both live trading and backtesting. The strategy class is simple enough to write and test algorithms quickly, but extensible enough to allow for complex slippage and transaction cost modeling, as well as mid- and post- trade analysis. + +`aat` is in active use for live algorithmic trading on equities, commodity futures contracts, and commodity futures spreads by undisclosed funds. diff --git a/rust/aat-core/src/common/float.rs b/rust/aat-core/src/common/float.rs new file mode 100644 index 00000000..bfe95930 --- /dev/null +++ b/rust/aat-core/src/common/float.rs @@ -0,0 +1,150 @@ +use num::cast; +use serde::{Deserialize, Serialize}; +use std::cmp::Ordering; +use std::fmt::{Display, Formatter, Result}; +use std::iter::Sum; +use std::ops::{Add, AddAssign, Sub}; + +#[allow(clippy::derive_hash_xor_eq)] +#[derive(Clone, Copy, Debug, Default, Hash, PartialOrd, Serialize, Deserialize)] +pub struct FloatAsLong { + value: i64, +} + +impl PartialEq for FloatAsLong { + #[inline] + fn eq(&self, other: &Self) -> bool { + self.value == other.value + } +} + +impl Eq for FloatAsLong {} + +impl Sum for FloatAsLong { + #[inline] + fn sum(iter: I) -> Self + where + I: Iterator, + { + iter.fold(Self { value: 0 }, |a, b| Self { + value: a.value + b.value, + }) + } +} + +impl Sub for FloatAsLong { + type Output = FloatAsLong; + + #[inline] + fn sub(self, rhs: FloatAsLong) -> FloatAsLong { + FloatAsLong { + value: self.value - rhs.value, + } + } +} + +#[allow(clippy::derive_ord_xor_partial_ord)] +impl Ord for FloatAsLong { + #[inline] + fn cmp(&self, other: &Self) -> Ordering { + self.value.cmp(&other.value) + } +} + +impl Add for FloatAsLong { + type Output = FloatAsLong; + + #[inline] + fn add(self, rhs: Self) -> Self { + Self { + value: self.value + rhs.value, + } + } +} + +impl AddAssign for FloatAsLong { + #[inline] + fn add_assign(&mut self, other: Self) { + *self = Self { + value: self.value + other.value, + }; + } +} + +impl Display for FloatAsLong { + fn fmt(&self, f: &mut Formatter<'_>) -> Result { + write!(f, "{}", self.to_float()) + } +} + +impl FloatAsLong { + pub const ZERO: FloatAsLong = FloatAsLong { value: 0 }; + pub const INFINITY: FloatAsLong = FloatAsLong { value: i64::MAX }; + + pub fn to_float(&self) -> f64 { + cast::(self.value).unwrap() / cast::(FLOAT_MULTIPLIER).unwrap() + } + + pub fn from_int(val: i64) -> FloatAsLong { + FloatAsLong { + value: val * FLOAT_MULTIPLIER, + } + } + + pub fn from_float(val: f64) -> FloatAsLong { + FloatAsLong { + value: cast::(val * cast::(FLOAT_MULTIPLIER).unwrap()).unwrap(), + } + } +} + +// NOTE: use signed for negative prices +pub type Float = FloatAsLong; + +// i64 isL -9223372036854775808 to 9223372036854775807 +// so we'll do -9223372036854.775808 to 9223372036854.775807 +pub const FLOAT_MULTIPLIER: i64 = 1000000; + +/**********************************/ +#[cfg(test)] +mod float_tests { + use super::*; + + #[test] + fn test_eq_from_int() { + let f1 = Float::from_int(5); + let f2 = Float::from_int(5); + assert_eq!(f1, f2); + } + + #[test] + fn test_eq_from_float() { + let f1 = Float::from_float(1.23456); + let f2 = Float::from_float(1.23456); + assert_eq!(f1, f2); + } + + #[test] + fn test_add() { + let f1 = Float::from_float(1.2); + let f2 = Float::from_float(3.4); + let f3 = Float::from_float(4.6); + assert_eq!(f1 + f2, f3); + } + + #[test] + fn test_cmp() { + let f1 = Float::from_float(1.2); + let f2 = Float::from_float(3.4); + assert_eq!(f1 < f2, true); + assert_eq!(f2 > f1, true); + } + + #[test] + fn test_assign() { + let mut f1 = Float::from_float(1.2); + let f2 = Float::from_float(4.6); + f1 += Float::from_float(3.4); + assert_eq!(f1, f2); + } +} diff --git a/rust/aat-core/src/common/mod.rs b/rust/aat-core/src/common/mod.rs new file mode 100644 index 00000000..ebef537d --- /dev/null +++ b/rust/aat-core/src/common/mod.rs @@ -0,0 +1,7 @@ +mod float; +pub use float::*; + +pub type Id = i64; + +// pls +pub type Optional = Option; diff --git a/rust/aat-core/src/core/data/account.rs b/rust/aat-core/src/core/data/account.rs new file mode 100644 index 00000000..d130ca47 --- /dev/null +++ b/rust/aat-core/src/core/data/account.rs @@ -0,0 +1,45 @@ +use crate::common::{Float, Id, Optional}; + +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Default, Serialize, Deserialize)] +pub struct Account { + id: Id, + instrument_id: Id, + balance: Float, +} + +impl PartialEq for Account { + fn eq(&self, other: &Self) -> bool { + self.get_id() == other.get_id() + } +} + +impl Eq for Account {} + +impl Account { + // TODO expose all base + pub fn new(id: Id, instrument_id: Id, balance: Optional) -> Account { + Account { + id, + instrument_id, + balance: balance.unwrap_or(Float::from_float(0.0)), + } + } + + pub fn get_id(&self) -> Id { + self.id + } + + pub fn get_instrument_id(&self) -> Id { + self.instrument_id + } + + pub fn get_balance(&self) -> Float { + self.balance + } + + pub fn set_balance(&mut self, balance: Float) { + self.balance = balance; + } +} diff --git a/rust/aat-core/src/core/data/base.rs b/rust/aat-core/src/core/data/base.rs new file mode 100644 index 00000000..4d6dc2df --- /dev/null +++ b/rust/aat-core/src/core/data/base.rs @@ -0,0 +1,95 @@ +use super::exchange::ExchangeType; + +use crate::common::{Id, Optional}; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Default, Serialize, Deserialize)] +pub struct BaseData { + id: Id, + timestamp: DateTime, + instrument_id: Id, + exchange: ExchangeType, +} + +impl BaseData { + // TODO expose all + pub fn new( + id: Id, + timestamp: Optional>, + instrument_id: Optional, + exchange: Optional, + ) -> BaseData { + BaseData { + id, + timestamp: timestamp.unwrap_or(Utc::now()), + instrument_id: instrument_id.unwrap_or(0), + exchange: exchange.unwrap_or(ExchangeType {}), + } + } +} + +pub trait EventTarget { + fn get_id(&self) -> Id; +} + +pub trait HasBaseData { + fn get_base(&self) -> &BaseData; +} + +pub trait BaseDataGetters { + fn get_timestamp(&self) -> DateTime; + fn get_instrument_id(&self) -> Id; + fn get_exchange(&self) -> ExchangeType; +} + +impl EventTarget for T { + fn get_id(&self) -> Id { + self.get_base().id + } +} + +impl BaseDataGetters for T { + fn get_timestamp(&self) -> DateTime { + self.get_base().timestamp + } + + fn get_instrument_id(&self) -> Id { + self.get_base().instrument_id + } + + fn get_exchange(&self) -> ExchangeType { + self.get_base().exchange + } +} + +impl PartialEq for BaseData { + fn eq(&self, other: &Self) -> bool { + self.id == other.id + } +} + +impl Eq for BaseData {} + +/**********************************/ +#[cfg(test)] +use std::default::default; + +#[cfg(test)] +mod base_data_tests { + use super::*; + + #[test] + fn test_eq() { + let d1 = BaseData { id: 1, ..default() }; + + let d2 = BaseData { id: 1, ..default() }; + + let d3 = BaseData { id: 2, ..default() }; + + assert_eq!(d1, d2); + assert_eq!((d1 == d3), false); + assert_eq!((d2 == d3), false); + } +} diff --git a/rust/aat-core/src/core/data/data.rs b/rust/aat-core/src/core/data/data.rs new file mode 100644 index 00000000..7bcf2f21 --- /dev/null +++ b/rust/aat-core/src/core/data/data.rs @@ -0,0 +1,63 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Id, Optional}; +use crate::core::ExchangeType; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; +use serde_json::Value; + +#[derive(Clone, Debug, Default, Serialize, Deserialize)] +pub struct Data { + base: BaseData, + pub data: Optional, +} + +impl HasBaseData for Data { + fn get_base(&self) -> &BaseData { + &self.base + } +} + +impl PartialEq for Data { + fn eq(&self, other: &Self) -> bool { + self.get_id() == other.get_id() + } +} + +impl Eq for Data {} + +impl Data { + // TODO expose all base + pub fn new( + id: Id, + timestamp: Optional>, + instrument_id: Optional, + exchange: Optional, + data: Optional, + ) -> Data { + Data { + base: BaseData::new(id, timestamp, instrument_id, exchange), + data, + } + } +} + +/**********************************/ +#[cfg(test)] +use serde_json::json; + +#[cfg(test)] +mod data_tests { + use super::*; + + #[test] + fn test_eq() { + let d1 = Data::new(1, None, None, None, Some(json!(null))); + let d2 = Data::new(1, None, None, None, Some(json!(null))); + let d3 = Data::new(2, None, None, None, Some(json!(null))); + assert_eq!(d1, d2); + assert_ne!(d1, d3); + assert_ne!(d2, d3); + } +} diff --git a/rust/aat-core/src/core/data/event.rs b/rust/aat-core/src/core/data/event.rs new file mode 100644 index 00000000..e73b1a62 --- /dev/null +++ b/rust/aat-core/src/core/data/event.rs @@ -0,0 +1,46 @@ +// NOTE: see note below +use crate::common::Id; +use crate::core::{Data, Order, Trade}; +use crate::core::{EventTarget, EventType}; + +use serde::{Deserialize, Serialize}; + +#[derive(Clone, Debug, Serialize, Deserialize)] +pub enum EventData { + Data(Data), + Order(Order), + Trade(Trade), +} + +impl EventData { + pub fn get_id(&self) -> Id { + match self { + EventData::Data(d) => d.get_id(), + EventData::Order(o) => o.get_id(), + EventData::Trade(t) => t.get_id(), + } + } +} + +// #[derive(Debug, Serialize, Deserialize)] +#[derive(Clone, Debug)] +pub struct Event { + pub event_type: EventType, + pub target: EventData, +} + +impl PartialEq for Event { + fn eq(&self, other: &Self) -> bool { + self.target().get_id() == other.target().get_id() + } +} + +impl Event { + pub fn event_type(self) -> EventType { + self.event_type + } + + pub fn target(&self) -> &EventData { + &self.target + } +} diff --git a/rust/aat-core/src/core/data/exchange.rs b/rust/aat-core/src/core/data/exchange.rs new file mode 100644 index 00000000..62d124ee --- /dev/null +++ b/rust/aat-core/src/core/data/exchange.rs @@ -0,0 +1,38 @@ +use crate::common::Id; + +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct ExchangeType {} + +impl Default for ExchangeType { + fn default() -> Self { + // TODO + ExchangeType {} + } +} + +impl ExchangeType { + pub fn new(_id: Id) -> ExchangeType { + ExchangeType {} + } +} + +// explicit ExchangeType(str_t name) +// : name(name) {} + +// str_t toString() const; +// virtual json toJson() const; + +// bool +// operator==(const ExchangeType& other) const { +// return name == other.name; +// } +// explicit operator bool() const { return name != ""; } +// str_t name; +// }; + +// static ExchangeType NullExchange = ExchangeType(""); + +// } // namespace core +// } // namespace aat diff --git a/rust/aat-core/src/core/data/mod.rs b/rust/aat-core/src/core/data/mod.rs new file mode 100644 index 00000000..402b3872 --- /dev/null +++ b/rust/aat-core/src/core/data/mod.rs @@ -0,0 +1,17 @@ +#[allow(clippy::module_inception)] +mod data; + +mod account; +mod base; +mod event; +mod exchange; +mod order; +mod trade; + +pub use account::*; +pub use base::*; +pub use data::*; +pub use event::*; +pub use exchange::*; +pub use order::*; +pub use trade::*; diff --git a/rust/aat-core/src/core/data/order.rs b/rust/aat-core/src/core/data/order.rs new file mode 100644 index 00000000..6b2efcf4 --- /dev/null +++ b/rust/aat-core/src/core/data/order.rs @@ -0,0 +1,370 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, OrderFlag, OrderType, Side}; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; +use std::fmt; + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct Order { + base: BaseData, + + volume: Float, + price: Float, + notional: Float, + + side: Side, + order_type: OrderType, + order_flag: OrderFlag, + + participant_id: Optional, + exchange_id: Optional, + received_timestamp: Optional>, + update_timestamp: Optional>, + dispatch_timestamp: Optional>, + + conditional_target_id: Optional, + + // internal + filled: Float, + force_done: bool, +} + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct OrderArgs { + id: Id, + timestamp: DateTime, + instrument_id: Id, + exchange: ExchangeType, + + volume: Optional, + price: Optional, + notional: Optional, + + side: Side, + order_type: OrderType, + order_flag: OrderFlag, + + participant_id: Optional, + exchange_id: Optional, + received_timestamp: Optional>, + update_timestamp: Optional>, + dispatch_timestamp: Optional>, + + conditional_target_id: Optional, +} + +impl Default for OrderArgs { + fn default() -> Self { + Self { + id: 0, + timestamp: Utc::now(), + instrument_id: 0, + exchange: ExchangeType {}, + volume: None, + price: None, + notional: None, + side: Side::BUY, + order_type: OrderType::LIMIT, + order_flag: OrderFlag::NONE, + participant_id: None, + exchange_id: None, + received_timestamp: None, + update_timestamp: None, + dispatch_timestamp: None, + conditional_target_id: None, + } + } +} + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct LimitOrderArgs { + volume: Float, + price: Float, + side: Side, + order_flag: OrderFlag, +} + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct MarketOrderArgs { + volume: Float, + notional: Float, + side: Side, +} + +impl HasBaseData for Order { + fn get_base(&self) -> &BaseData { + &self.base + } +} + +impl PartialEq for Order { + fn eq(&self, other: &Self) -> bool { + self.get_id() == other.get_id() + } +} + +impl Order { + pub fn new( + id: Id, + timestamp: Optional>, + instrument_id: Optional, + exchange: Optional, + volume: Float, + price: Optional, + notional: Optional, + side: Side, + order_type: OrderType, + order_flag: Optional, + participant_id: Optional, + exchange_id: Optional, + received_timestamp: Optional>, + update_timestamp: Optional>, + dispatch_timestamp: Optional>, + conditional_target_id: Optional, + ) -> Order { + // Checks + + match order_type { + OrderType::MARKET => { + // Market order should not have price, + match price { + Some(_) => { + panic!("No price on market orders") + } + None => {} + } + + // Market orders can't be immediate or cancel + match order_flag { + None => {} + Some(o) => match o { + OrderFlag::ALL_OR_NONE | OrderFlag::FILL_OR_KILL => {} + OrderFlag::IMMEDIATE_OR_CANCEL => { + panic!("Market orders are IOC by default") + } + _ => {} + }, + } + } + OrderType::LIMIT => { + // limit order should have price + match price { + Some(_) => {} + None => { + panic!("Must set price for market orders"); + } + } + } + _ => {} + } + + Order { + base: BaseData::new(id, timestamp, instrument_id, exchange), + volume, + price: price.unwrap_or(Float::from_float(0.0)), + notional: notional.unwrap_or(Float::from_float(0.0)), + side, + order_type, + order_flag: order_flag.unwrap_or(OrderFlag::NONE), + participant_id, + exchange_id, + received_timestamp, + update_timestamp, + dispatch_timestamp, + conditional_target_id, + filled: Float::from_float(0.0), + force_done: false, + } + } + + pub fn new_limit( + id: Id, + instrument_id: Id, + exchange: ExchangeType, + args: LimitOrderArgs, + ) -> Order { + Order::new( + id, + Some(Utc::now()), + Some(instrument_id), + Some(exchange), + args.volume, + Some(args.price), + None, + args.side, + OrderType::LIMIT, + Some(args.order_flag), + None, + None, + None, + None, + None, + None, + ) + } + + pub fn new_market( + id: Id, + instrument_id: Id, + exchange: ExchangeType, + args: MarketOrderArgs, + ) -> Order { + Order::new( + id, + Some(Utc::now()), + Some(instrument_id), + Some(exchange), + args.volume, + None, + Some(args.notional), + args.side, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ) + } + + /* Getters */ + pub fn get_volume(&self) -> Float { + self.volume + } + + pub fn set_volume(&mut self, volume: Float) { + self.volume = volume + } + + pub fn get_price(&self) -> Float { + self.price + } + + pub fn set_price(&mut self, price: Float) { + self.price = price; + } + + pub fn get_notional(&self) -> Float { + self.notional + } + + pub fn get_side(&self) -> Side { + self.side + } + + pub fn get_order_type(&self) -> OrderType { + self.order_type + } + + pub fn get_order_flag(&self) -> OrderFlag { + self.order_flag + } + + pub fn get_filled(&self) -> Float { + self.filled + } + + pub fn set_filled(&mut self, value: Float) { + self.filled = value; + } + + /* Other */ + pub fn get_volume_left(&self) -> Float { + self.volume - self.filled + } + + pub fn finished() -> bool { + // TODO + false + } + pub fn finish() {} +} + +impl fmt::Display for Order { + fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result { + write!(f, "O({}@{})", self.get_volume_left(), self.get_price()) + } +} + +/**********************************/ +#[cfg(test)] +mod order_tests { + use super::*; + + #[test] + fn test_eq() { + let o1 = Order::new( + 1, + None, + None, + None, + Float::from_int(10), // volume + None, // price + // Some(Float::from_int(10)), // price + None, // Notional + Side::BUY, + OrderType::MARKET, + None, + None, + None, + None, + None, + None, + None, + ); + + let o2 = Order::new( + 1, + None, + None, + None, + Float::from_int(20), // volume + None, // price + // Some(Float::from_int(10)), // price + None, // Notional + Side::BUY, + OrderType::MARKET, + None, + None, + None, + None, + None, + None, + None, + ); + + assert_eq!(o1, o2); + } + + #[test] + fn test_fill_volume() { + let mut o1 = Order::new( + 1, + None, + None, + None, + Float::from_int(10), // volume + None, // price + // Some(Float::from_int(10)), // price + None, // Notional + Side::BUY, + OrderType::MARKET, + None, + None, + None, + None, + None, + None, + None, + ); + + o1.set_filled(Float::from_int(5)); + + assert_eq!(o1.get_volume_left(), Float::from_int(5)); + } +} diff --git a/rust/aat-core/src/core/data/trade.rs b/rust/aat-core/src/core/data/trade.rs new file mode 100644 index 00000000..45303902 --- /dev/null +++ b/rust/aat-core/src/core/data/trade.rs @@ -0,0 +1,88 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Float, Id, Optional}; +use crate::core::ExchangeType; + +use chrono::prelude::*; + +use serde::{Deserialize, Serialize}; +use std::collections::VecDeque; + +#[derive(Clone, Debug, Serialize, Deserialize)] +pub struct Trade { + base: BaseData, + + exchange_id: Optional, + exchange_timestamp: Optional>, + + volume: Float, + price: Float, + + maker_orders: VecDeque, + taker_order: Id, + + // internal + my_order: Optional, + slippage: Optional, + transaction_cost: Optional, +} + +impl HasBaseData for Trade { + fn get_base(&self) -> &BaseData { + &self.base + } +} + +impl PartialEq for Trade { + fn eq(&self, other: &Self) -> bool { + self.get_id() == other.get_id() + } +} + +impl Trade { + // TODO expose all base + pub fn new( + id: Id, + timestamp: Optional>, + instrument_id: Optional, + exchange: Optional, + exchange_id: Optional, + exchange_timestamp: Optional>, + volume: Float, + price: Float, + maker_orders: VecDeque, + taker_order: Id, + ) -> Trade { + Trade { + base: BaseData::new(id, timestamp, instrument_id, exchange), + exchange_id, + exchange_timestamp, + volume, + price, + maker_orders, + taker_order, + my_order: None, // TODO + slippage: Some(Float::from_float(0.0)), // TODO + transaction_cost: Some(Float::from_float(0.0)), // TODO + } + } + + /* Getters */ + pub fn get_exchange_id(&self) -> Optional { + self.exchange_id + } + + pub fn get_exchange_timestamp(&self) -> Optional> { + self.exchange_timestamp + } + + pub fn get_volume(&self) -> Float { + self.volume + } + + pub fn get_price(&self) -> Float { + self.price + } + + /* Other */ +} diff --git a/rust/aat-core/src/core/enums.rs b/rust/aat-core/src/core/enums.rs new file mode 100644 index 00000000..98062c49 --- /dev/null +++ b/rust/aat-core/src/core/enums.rs @@ -0,0 +1,129 @@ +use serde::{Deserialize, Serialize}; + +macro_rules! all_enum_derivs{ + ( + $vis:vis enum $enum_name:ident { + $( + $field_vis:vis $field_name:ident + ),*$(,)+ + } + ) => { + #[allow(non_camel_case_types)] + #[derive(Copy, Clone, Debug, Serialize, Deserialize, PartialEq)] + pub enum $enum_name{ + $($field_name,)* + } + } +} + +all_enum_derivs! { + pub enum TradingType { + LIVE, + SIMULATION, + SANDBOX, + BACKTEST, + } +} + +all_enum_derivs! { + pub enum Side { + BUY, + SELL, + } +} + +all_enum_derivs! { + pub enum OptionType { + CALL, + PUT, + } +} + +all_enum_derivs! { + pub enum EventType { + // Heartbeat events + HEARTBEAT, + + // Trade events + TRADE, + + // Order events + OPEN, + CANCEL, + CHANGE, + FILL, + + // Other data events + DATA, + + // System events + HALT, + CONTINUE, + + // Engine events + ERROR, + START, + EXIT, + + // Order Events + BOUGHT, + SOLD, + RECEIVED, + REJECTED, + CANCELED, + } +} + +all_enum_derivs! { + pub enum InstrumentType { + OTHER, + EQUITY, + BOND, + OPTION, + FUTURE, + SPREAD, + FUTURESOPTION, + PERPETUALFUTURE, + MUTUALFUND, + COMMODITY, + CURRENCY, + PAIR, + INDEX, + } +} + +impl Default for InstrumentType { + fn default() -> Self { + InstrumentType::EQUITY + } +} + +all_enum_derivs! { + pub enum OrderType { + LIMIT, + MARKET, + STOP, + } +} + +all_enum_derivs! { + pub enum OrderFlag { + NONE, + FILL_OR_KILL, + ALL_OR_NONE, + IMMEDIATE_OR_CANCEL, + } +} + +impl Default for OrderFlag { + fn default() -> Self { + OrderFlag::NONE + } +} + +all_enum_derivs! { + pub enum ExitRoutine { + NONE, + CLOSE_ALL, + } +} diff --git a/rust/aat-core/src/core/instrument/base.rs b/rust/aat-core/src/core/instrument/base.rs new file mode 100644 index 00000000..65e59dd7 --- /dev/null +++ b/rust/aat-core/src/core/instrument/base.rs @@ -0,0 +1,238 @@ +use crate::common::{Id, Optional}; +use crate::core::{ExchangeType, InstrumentType, OptionType, Side}; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; + +#[derive(Clone, Debug, Default, Serialize, Deserialize)] +pub struct InstrumentBaseData { + id: Id, + exchange: ExchangeType, + instrument_type: InstrumentType, +} + +#[derive(Clone, Debug, Serialize, Deserialize)] +pub struct InstrumentExtraData { + currency: Optional, + underlying: Optional, + + // trading_day: TradingDay, + broker_exchange: Optional, + broker_id: Optional, + + price_increment: Optional, + unit_value: Optional, +} + +#[derive(Clone, Debug, Serialize, Deserialize)] +pub struct InstrumentLegData { + leg1: Optional, + leg2: Optional, + leg1_side: Optional, + leg2_side: Optional, +} + +#[derive(Clone, Debug, Serialize, Deserialize)] +pub struct InstrumentDerivativeData { + expiration: Optional>, + contract_month: Optional, + option_type: Optional, +} + +#[derive(Clone, Debug, Default, Serialize, Deserialize)] +pub struct InstrumentData { + // TODO enum out with the supported real types + base: InstrumentBaseData, + extra: InstrumentExtraData, + legs: InstrumentLegData, + derivative: InstrumentDerivativeData, +} + +pub trait Instrument { + fn get_id(&self) -> Id; + fn get_type(&self) -> InstrumentType; + fn get_instrument_type(&self) -> InstrumentType; + fn get_exchange(&self) -> ExchangeType; +} + +pub trait InstrumentExtra { + fn get_currency(&self) -> Optional; + fn get_underlying(&self) -> Optional; + // trading_day: TradingDay, + fn get_broker_exchange(&self) -> Optional; + fn get_broker_id(&self) -> Optional; + fn get_price_increment(&self) -> Optional; + fn get_unit_value(&self) -> Optional; +} + +pub trait InstrumentLeg { + fn get_leg1(&self) -> Optional; + fn get_leg2(&self) -> Optional; + fn get_leg1_side(&self) -> Optional; + fn get_leg2_side(&self) -> Optional; +} + +pub trait InstrumentDerivative { + fn get_expiration(&self) -> Optional>; + fn get_contract_month(&self) -> Optional; + fn get_option_type(&self) -> Optional; +} + +pub trait HasInstrumentBaseData { + fn get_base(&self) -> &InstrumentBaseData; +} + +pub trait HasInstrumentExtraData { + fn get_extra(&self) -> &InstrumentExtraData; +} + +pub trait HasInstrumentLegData { + fn get_legs(&self) -> &InstrumentLegData; +} + +pub trait HasInstrumentDerivativeData { + fn get_derivative(&self) -> &InstrumentDerivativeData; +} + +impl Instrument for T { + fn get_id(&self) -> Id { + self.get_base().id + } + + fn get_type(&self) -> InstrumentType { + self.get_base().instrument_type + } + + fn get_instrument_type(&self) -> InstrumentType { + self.get_type() + } + + fn get_exchange(&self) -> ExchangeType { + self.get_base().exchange + } +} + +impl InstrumentExtra for T { + fn get_currency(&self) -> Optional { + self.get_extra().currency + } + + fn get_underlying(&self) -> Optional { + self.get_extra().underlying + } + + fn get_broker_exchange(&self) -> Optional { + self.get_extra().broker_exchange + } + + fn get_broker_id(&self) -> Optional { + self.get_extra().broker_id.clone() + // let extra = self.get_extra(); + // match &extra.broker_id { + // Some(s) => Some(*s.clne), + // _ => None, + + // } + } + + fn get_price_increment(&self) -> Optional { + self.get_extra().price_increment + } + + fn get_unit_value(&self) -> Optional { + self.get_extra().unit_value + } +} + +impl InstrumentLeg for T { + fn get_leg1(&self) -> Optional { + self.get_legs().leg1 + } + + fn get_leg2(&self) -> Optional { + self.get_legs().leg2 + } + + fn get_leg1_side(&self) -> Optional { + self.get_legs().leg1_side + } + + fn get_leg2_side(&self) -> Optional { + self.get_legs().leg2_side + } +} + +impl InstrumentDerivative for T { + fn get_expiration(&self) -> Optional> { + self.get_derivative().expiration + } + + fn get_contract_month(&self) -> Optional { + self.get_derivative().contract_month + } + + fn get_option_type(&self) -> Optional { + self.get_derivative().option_type + } +} + +impl PartialEq for InstrumentBaseData { + fn eq(&self, other: &Self) -> bool { + self.id == other.id + } +} + +impl Eq for InstrumentBaseData {} + +impl Default for InstrumentExtraData { + fn default() -> Self { + Self { + currency: None, + underlying: None, + broker_exchange: None, + broker_id: None, + price_increment: None, + unit_value: None, + } + } +} + +impl Default for InstrumentLegData { + fn default() -> Self { + Self { + leg1: None, + leg2: None, + leg1_side: None, + leg2_side: None, + } + } +} + +impl Default for InstrumentDerivativeData { + fn default() -> Self { + Self { + contract_month: None, + expiration: None, + option_type: None, + } + } +} + +/**********************************/ +#[cfg(test)] +use std::default::default; + +#[cfg(test)] +mod base_instrument_data_tests { + use super::*; + + #[test] + fn test_eq() { + let d1 = InstrumentBaseData { id: 1, ..default() }; + let d2 = InstrumentBaseData { id: 1, ..default() }; + let d3 = InstrumentBaseData { id: 2, ..default() }; + assert_eq!(d1, d2); + assert_eq!((d1 == d3), false); + assert_eq!((d2 == d3), false); + } +} diff --git a/rust/aat-core/src/core/instrument/bond.rs b/rust/aat-core/src/core/instrument/bond.rs new file mode 100644 index 00000000..4564cb7f --- /dev/null +++ b/rust/aat-core/src/core/instrument/bond.rs @@ -0,0 +1,38 @@ +use super::{ + HasInstrumentBaseData, HasInstrumentDerivativeData, HasInstrumentExtraData, + HasInstrumentLegData, InstrumentBaseData, InstrumentDerivativeData, InstrumentExtraData, + InstrumentLegData, +}; +use serde::{Deserialize, Serialize}; + +#[derive(Clone, Debug, Default, Serialize, Deserialize)] +struct Bond { + base: InstrumentBaseData, + extra: InstrumentExtraData, + legs: InstrumentLegData, + derivative: InstrumentDerivativeData, +} + +impl HasInstrumentBaseData for Bond { + fn get_base(&self) -> &InstrumentBaseData { + &self.base + } +} + +impl HasInstrumentExtraData for Bond { + fn get_extra(&self) -> &InstrumentExtraData { + &self.extra + } +} + +impl HasInstrumentLegData for Bond { + fn get_legs(&self) -> &InstrumentLegData { + &self.legs + } +} + +impl HasInstrumentDerivativeData for Bond { + fn get_derivative(&self) -> &InstrumentDerivativeData { + &self.derivative + } +} diff --git a/rust/aat-core/src/core/instrument/commodity.rs b/rust/aat-core/src/core/instrument/commodity.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/currency.rs b/rust/aat-core/src/core/instrument/currency.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/equity.rs b/rust/aat-core/src/core/instrument/equity.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/future.rs b/rust/aat-core/src/core/instrument/future.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/futuresoption.rs b/rust/aat-core/src/core/instrument/futuresoption.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/index.rs b/rust/aat-core/src/core/instrument/index.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/mod.rs b/rust/aat-core/src/core/instrument/mod.rs new file mode 100644 index 00000000..a645b13f --- /dev/null +++ b/rust/aat-core/src/core/instrument/mod.rs @@ -0,0 +1,5 @@ +mod base; +mod bond; + +pub use base::*; +pub use bond::*; diff --git a/rust/aat-core/src/core/instrument/mutualfund.rs b/rust/aat-core/src/core/instrument/mutualfund.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/option.rs b/rust/aat-core/src/core/instrument/option.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/pair.rs b/rust/aat-core/src/core/instrument/pair.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/perpetualfuture.rs b/rust/aat-core/src/core/instrument/perpetualfuture.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/instrument/spread.rs b/rust/aat-core/src/core/instrument/spread.rs new file mode 100644 index 00000000..e69de29b diff --git a/rust/aat-core/src/core/mod.rs b/rust/aat-core/src/core/mod.rs new file mode 100644 index 00000000..2bb81100 --- /dev/null +++ b/rust/aat-core/src/core/mod.rs @@ -0,0 +1,9 @@ +mod data; +mod enums; +mod instrument; +mod registry; + +pub use data::*; +pub use enums::*; +pub use instrument::*; +pub use registry::*; diff --git a/rust/aat-core/src/core/registry/account.rs b/rust/aat-core/src/core/registry/account.rs new file mode 100644 index 00000000..aa1d7394 --- /dev/null +++ b/rust/aat-core/src/core/registry/account.rs @@ -0,0 +1,53 @@ +use super::{Registry, Tracker}; +use crate::common::{Float, Id}; +use crate::core::Account; + +use std::sync::{Arc, Mutex}; + +#[derive(Clone, Debug)] +pub struct AccountRegistry { + tracker: Arc>>, +} + +impl AccountRegistry { + pub fn new() -> Self { + AccountRegistry { + tracker: Arc::new(Mutex::new(Tracker::new())), + } + } + + pub fn create(&self, balance: Float, instrument_id: Id) -> Account { + let id = (*self.tracker.lock().unwrap()).next(); + let account = Account::new(id, instrument_id, Some(balance)); + *self.tracker.lock().unwrap().create(account) + } + + pub fn set_balance(&self, account_id: Id, balance: Float) { + let account = self.get(account_id); + + // Clone the old account into a new account + let mut replacement_account = account; + + // update the volume + replacement_account.set_balance(balance); + + // replace it in the Registry + self.replace(account_id, replacement_account); + } +} + +impl Registry for AccountRegistry { + type Item = Account; + + fn get(&self, id: Id) -> Self::Item { + *self.tracker.lock().unwrap().get(id) + } + + fn remove(&self, id: Id) -> Self::Item { + self.tracker.lock().unwrap().remove(id) + } + + fn replace(&self, id: Id, item: Self::Item) { + self.tracker.lock().unwrap().replace(id, item) + } +} diff --git a/rust/aat-core/src/core/registry/base.rs b/rust/aat-core/src/core/registry/base.rs new file mode 100644 index 00000000..e8a5446d --- /dev/null +++ b/rust/aat-core/src/core/registry/base.rs @@ -0,0 +1,49 @@ +use crate::common::Id; +use std::collections::HashMap; + +#[derive(Clone, Debug)] +pub struct Tracker { + next_id: Id, + map: HashMap, +} + +impl Tracker { + pub fn new() -> Self { + Tracker { + // NOTE: id `0` is used as invalid + next_id: 1, + map: HashMap::new(), + } + } + + pub fn next(&self) -> Id { + self.next_id + } + + pub fn create(&mut self, item: T) -> &mut T { + let id = self.next_id; + self.map.insert(id, item); + self.next_id += 1; + return self.map.get_mut(&id).unwrap(); + } + + pub fn get(&mut self, id: Id) -> &T { + return self.map.get(&id).unwrap(); + } + + pub fn remove(&mut self, id: Id) -> T { + return self.map.remove(&id).unwrap(); + } + + pub fn replace(&mut self, id: Id, item: T) { + self.map.insert(id, item); + } +} + +pub trait Registry { + type Item; + fn get(&self, id: Id) -> Self::Item; + fn remove(&self, id: Id) -> Self::Item; + fn replace(&self, id: Id, item: Self::Item); + // fn create(&mut self) -> &mut Self::Item; +} diff --git a/rust/aat-core/src/core/registry/instrument.rs b/rust/aat-core/src/core/registry/instrument.rs new file mode 100644 index 00000000..114ba587 --- /dev/null +++ b/rust/aat-core/src/core/registry/instrument.rs @@ -0,0 +1,41 @@ +use super::{Registry, Tracker}; +use crate::core::{HasInstrumentBaseData, Instrument}; +use crate::Id; + +use std::sync::{Arc, Mutex}; + +#[derive(Clone, Debug)] +pub struct InstrumentRegistry { + tracker: Arc>>, +} + +impl InstrumentRegistry { + pub fn new() -> Self { + InstrumentRegistry { + tracker: Arc::new(Mutex::new(Tracker::new())), + } + } + + // TODO + // pub fn create(&self) -> T { + // let id = (*self.tracker.lock().unwrap()).next(); + // let instrument = Instrument::new(id); + // *self.tracker.lock().unwrap().create(instrument) + // } +} + +impl Registry for InstrumentRegistry { + type Item = T; + + fn get(&self, id: Id) -> Self::Item { + *self.tracker.lock().unwrap().get(id) + } + + fn remove(&self, id: Id) -> Self::Item { + self.tracker.lock().unwrap().remove(id) + } + + fn replace(&self, id: Id, item: Self::Item) { + self.tracker.lock().unwrap().replace(id, item) + } +} diff --git a/rust/aat-core/src/core/registry/mod.rs b/rust/aat-core/src/core/registry/mod.rs new file mode 100644 index 00000000..132e49bb --- /dev/null +++ b/rust/aat-core/src/core/registry/mod.rs @@ -0,0 +1,9 @@ +mod account; +mod base; +mod instrument; +mod order; + +pub use account::*; +pub use base::*; +pub use instrument::*; +pub use order::*; diff --git a/rust/aat-core/src/core/registry/order.rs b/rust/aat-core/src/core/registry/order.rs new file mode 100644 index 00000000..dca2eac5 --- /dev/null +++ b/rust/aat-core/src/core/registry/order.rs @@ -0,0 +1,156 @@ +use super::{Registry, Tracker}; +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, Order, OrderFlag, OrderType, Side}; + +use chrono::prelude::*; +use std::sync::{Arc, Mutex}; + +#[derive(Clone, Debug)] +pub struct OrderRegistry { + tracker: Arc>>, +} + +impl OrderRegistry { + pub fn new() -> Self { + OrderRegistry { + tracker: Arc::new(Mutex::new(Tracker::new())), + } + } + + pub fn create( + &self, + timestamp: Optional>, + instrument_id: Optional, + exchange: Optional, + volume: Float, + price: Optional, + notional: Optional, + side: Side, + order_type: OrderType, + order_flag: Optional, + participant_id: Optional, + exchange_id: Optional, + received_timestamp: Optional>, + update_timestamp: Optional>, + dispatch_timestamp: Optional>, + conditional_target_id: Optional, + ) -> Order { + let id = (*self.tracker.lock().unwrap()).next(); + let order = Order::new( + id, + timestamp, + instrument_id, + exchange, + volume, + price, + notional, + side, + order_type, + order_flag, + participant_id, + exchange_id, + received_timestamp, + update_timestamp, + dispatch_timestamp, + conditional_target_id, + ); + *self.tracker.lock().unwrap().create(order) + } + + pub fn new_limit( + &self, + instrument_id: Id, + exchange: ExchangeType, + volume: Float, + price: Float, + side: Side, + order_flag: Optional, + ) -> Order { + let id = (*self.tracker.lock().unwrap()).next(); + let order = Order::new( + id, + Some(Utc::now()), + Some(instrument_id), + Some(exchange), + volume, + Some(price), + None, + side, + OrderType::LIMIT, + order_flag, + None, + None, + None, + None, + None, + None, + ); + *self.tracker.lock().unwrap().create(order) + } + + pub fn new_market( + &self, + instrument_id: Id, + exchange: ExchangeType, + volume: Float, + notional: Float, + side: Side, + ) -> Order { + let id = (*self.tracker.lock().unwrap()).next(); + let order = Order::new( + id, + Some(Utc::now()), + Some(instrument_id), + Some(exchange), + volume, + None, + Some(notional), + side, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + *self.tracker.lock().unwrap().create(order) + } + + pub fn set_filled(&self, order_id: Id, to_add_to_fill: Float) { + let order = self.get(order_id); + let filled = order.get_filled(); + let volume = order.get_volume(); + + // Clone the old order into a new order + let mut replacement_order = order; + + // update the volume + replacement_order.set_filled(filled + to_add_to_fill); + + // assertion + if replacement_order.get_filled() > volume { + panic!("Filled > volume, corruption occured!"); + } + + // replace it in the Registry + self.replace(order_id, replacement_order); + } +} + +impl Registry for OrderRegistry { + type Item = Order; + + fn get(&self, id: Id) -> Self::Item { + *self.tracker.lock().unwrap().get(id) + } + + fn remove(&self, id: Id) -> Self::Item { + self.tracker.lock().unwrap().remove(id) + } + + fn replace(&self, id: Id, item: Self::Item) { + self.tracker.lock().unwrap().replace(id, item) + } +} diff --git a/rust/aat-core/src/lib.rs b/rust/aat-core/src/lib.rs new file mode 100644 index 00000000..614452ff --- /dev/null +++ b/rust/aat-core/src/lib.rs @@ -0,0 +1,13 @@ +#![feature(default_free_fn)] +#![feature(map_first_last)] + +pub mod common; +pub mod core; +pub use ::core::*; +pub use common::*; + +// use common::*; +// use core::*; +pub fn sum_as_string(a: usize, b: usize) -> usize { + a + b +} diff --git a/rust/aat-orderbook/Cargo.lock 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"aat_orderbook" +path = "src/lib.rs" +crate-type = ["rlib"] + +[dependencies] +aat-core = { path = "../aat-core", version = "*" } +chrono.workspace = true +num.workspace = true +serde.workspace = true +serde_json.workspace = true + +[dev-dependencies] +rand = "0.8" + +[profile.release] +panic = 'abort' +lto = true diff --git a/rust/aat-orderbook/LICENSE b/rust/aat-orderbook/LICENSE new file mode 100644 index 00000000..261eeb9e --- /dev/null +++ b/rust/aat-orderbook/LICENSE @@ -0,0 +1,201 @@ + Apache License + Version 2.0, January 2004 + http://www.apache.org/licenses/ + + TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION + + 1. 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It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. + +Like [Zipline](https://github.com/quantopian/zipline) and [Lean](https://github.com/QuantConnect/Lean), `aat` exposes a single strategy class which is utilized for both live trading and backtesting. The strategy class is simple enough to write and test algorithms quickly, but extensible enough to allow for complex slippage and transaction cost modeling, as well as mid- and post- trade analysis. + +`aat` is in active use for live algorithmic trading on equities, commodity futures contracts, and commodity futures spreads by undisclosed funds. diff --git a/rust/aat-orderbook/src/lib.rs b/rust/aat-orderbook/src/lib.rs new file mode 100644 index 00000000..f5450af9 --- /dev/null +++ b/rust/aat-orderbook/src/lib.rs @@ -0,0 +1,8 @@ +// #![feature(default_free_fn)] +// #![feature(map_first_last)] + +mod order_book; +pub use order_book::*; + +#[cfg(test)] +mod tests; diff --git a/rust/aat-orderbook/src/order_book.rs b/rust/aat-orderbook/src/order_book.rs new file mode 100644 index 00000000..0d71d2c7 --- /dev/null +++ b/rust/aat-orderbook/src/order_book.rs @@ -0,0 +1,527 @@ +use aat_core::common::{Float, Id, Optional}; +use aat_core::core::{ + BaseDataGetters, Event, EventData, EventType, ExchangeType, OrderFlag, OrderRegistry, + OrderType, Registry, Side, Trade, +}; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; +use std::collections::{HashMap, HashSet, VecDeque}; +use std::fmt::{Display, Formatter, Result}; + +pub struct LimitOrderBook<'a> { + // static data + instrument_id: Id, + exchange: ExchangeType, + order_flags: HashSet, + + order_registry: &'a OrderRegistry, + + // Top to bottom + // e.g. [5, ..., 1] + buys: VecDeque, + + // Bottom to top + // e.g. [6, ..., 10] + sells: VecDeque, + + levels: HashMap>, +} + +pub struct TopOfBook { + pub bid: PriceLevelView, + pub ask: PriceLevelView, +} + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct PriceLevelView { + pub price: Float, + pub volume: Float, + pub count: usize, +} + +impl Display for PriceLevelView { + fn fmt(&self, f: &mut Formatter<'_>) -> Result { + write!(f, "({}, {}, {})", self.price, self.volume, self.count) + } +} + +impl PriceLevelView { + pub fn new(price: Float, volume: Float, count: usize) -> Self { + PriceLevelView { + price, + volume, + count, + } + } +} + +pub trait OrderBook<'a> { + type Item; + fn new( + instrument_id: Id, + exchange: ExchangeType, + order_flags: Optional>, + order_registry: &'a OrderRegistry, + ) -> Self::Item; + + fn get_instrument(&self) -> Id; + fn get_instrument_id(&self) -> Id; + fn get_exchange(&self) -> ExchangeType; + fn get_order_flags(&self) -> HashSet; + + fn get_level(&self, level: usize) -> (PriceLevelView, PriceLevelView); + + fn add(&mut self, order_id: Id) -> VecDeque; + // fn add_order(&mut self, order: &mut Order) -> VecDeque; + + fn modify(&mut self, order_id: Id, volume: Float) -> VecDeque; + // fn modify_order(&mut self, order: &mut Order) -> VecDeque; + + fn replace(&mut self, existing_order_id: Id, replacement_order_id: Id) -> VecDeque; + // fn replace_order(&mut self, existing_order: &mut Order, replacement_order_id: &mut Order) -> VecDeque; + + fn cancel(&mut self, order_id: Id) -> VecDeque; + // fn cancel_order(&mut self, order: &mut Order) -> VecDeque; +} + +impl<'a> OrderBook<'a> for LimitOrderBook<'a> { + type Item = LimitOrderBook<'a>; + + fn new( + instrument_id: Id, + exchange: ExchangeType, + order_flags: Optional>, + order_registry: &'a OrderRegistry, + ) -> LimitOrderBook<'a> { + LimitOrderBook { + instrument_id, + exchange, + order_flags: order_flags.unwrap_or_default(), + order_registry, + buys: VecDeque::new(), + sells: VecDeque::new(), + levels: HashMap::new(), + } + } + + fn get_instrument(&self) -> Id { + self.instrument_id + } + + fn get_instrument_id(&self) -> Id { + self.instrument_id + } + + fn get_exchange(&self) -> ExchangeType { + self.exchange + } + + fn get_order_flags(&self) -> HashSet { + self.order_flags.clone() + } + + fn add(&mut self, order_id: Id) -> VecDeque { + let mut events = VecDeque::new(); + events.extend(self.add_internal(order_id).iter().cloned()); + events + } + + fn modify(&mut self, order_id: Id, volume: Float) -> VecDeque { + // Note: you cannot modify price, only volume + let mut events = VecDeque::new(); + let existing_order = self.order_registry.get(order_id); + let price = existing_order.get_price(); + + // TODO do here? + // if existing_order.get_price() != replacement_order.get_price() { + // // nothing to do, not allowed + // return events; + // } + + // Clone the old order into a new order + let mut replacement_order = existing_order; + + // update the volume + replacement_order.set_volume(volume); + + // replace it in the Registry + self.order_registry.replace(order_id, replacement_order); + + // update the volume of the price level + let price_level = self.levels.get_mut(&price).unwrap(); + price_level.push_back(order_id); // TODO opt: push a tuple with volume? + + // Create the change event + events.push_back(Event { + event_type: EventType::CHANGE, + target: EventData::Order(replacement_order), + }); + + // Return the events + events + } + + fn replace(&mut self, existing_order_id: Id, replacement_order_id: Id) -> VecDeque { + let mut events = VecDeque::new(); + + // Cancel and replace + events.extend(self.cancel(existing_order_id).iter().cloned()); + events.extend(self.add(replacement_order_id).iter().cloned()); + + // Return the events + events + } + + fn cancel(&mut self, order_id: Id) -> VecDeque { + let mut events = VecDeque::new(); + let order = self.order_registry.get(order_id); + let price = order.get_price(); + + // Remove from price level + let price_level = self.levels.get_mut(&price).unwrap(); + price_level.retain(|&id| id != order_id); + + if price_level.is_empty() { + // remove level from vec + match order.get_side() { + Side::BUY => self.buys.retain(|&f| f != price), + Side::SELL => self.sells.retain(|&f| f != price), + } + } + + // Construct event + events.push_back(Event { + event_type: EventType::CANCEL, + target: EventData::Order(order), + }); + + // And return teh events + events + } + + fn get_level(&self, level: usize) -> (PriceLevelView, PriceLevelView) { + let buy_price = self.buys.get(level); + let sell_price = self.sells.get(level); + + ( + match buy_price { + None => PriceLevelView::new(Float::ZERO, Float::ZERO, 0), + Some(&bp) => { + PriceLevelView::new(bp, self.volume_at_level(bp), self.count_at_level(bp)) + } + }, + match sell_price { + None => PriceLevelView::new(Float::ZERO, Float::ZERO, 0), + Some(&sp) => { + PriceLevelView::new(sp, self.volume_at_level(sp), self.count_at_level(sp)) + } + }, + ) + } +} + +impl LimitOrderBook<'_> { + fn volume_at_level(&self, level: Float) -> Float { + self.levels + .get(&level) + .unwrap() + .iter() + .map(|&order_id| self.order_registry.get(order_id).get_volume_left()) + .sum() + } + + fn count_at_level(&self, level: Float) -> usize { + self.levels[&level].len() + } + + fn add_internal(&mut self, taker_order_id: Id) -> VecDeque { + let mut events: VecDeque = VecDeque::new(); + + // For any cross, some orders will be: + // - filled completely + // - resting orders + // - taker order itself + // - partially filled + // - last resting order touched by taker order + // - taker order itself after exhausting available liquidity + // - cancelled + // - resting order (if fill-or-kill) + // - taker order itself (if fill-or-kill) + // - new + // - conditional orders + let mut filled: VecDeque<(Id, Float)> = VecDeque::new(); + let mut partial: VecDeque<(Id, Float, Float)> = VecDeque::new(); + // let mut new: VecDeque = VecDeque::new(); + + // TODO only used when flags and conditional orders are enabled + // let mut _cancelled: VecDeque = VecDeque::new(); + + let order = self.order_registry.get(taker_order_id); + let price: Float = order.get_price(); + let side: Side = order.get_side(); + + let order_type: OrderType = order.get_order_type(); + let order_flag: OrderFlag = order.get_order_flag(); + + let mut filled_so_far_in_txn = Float::from_int(0); + let volume_left_to_fill = order.get_volume_left(); + + // whether or not to apply the changes + // of the given order, or reverse them + let mut undo = false; + + loop { + if filled_so_far_in_txn == volume_left_to_fill { + // done filling, taker was filled completely + break; + } + + let top_of_buys = *self.buys.get(0).unwrap_or(&Float::ZERO); + let bottom_of_sells = *self.sells.get(0).unwrap_or(&Float::INFINITY); + + let side_of_book_to_cross: &mut VecDeque = match side { + Side::BUY => &mut self.sells, + Side::SELL => &mut self.buys, + }; + + let crossing = match side { + Side::BUY => price >= bottom_of_sells && side_of_book_to_cross.len() > 0, + Side::SELL => price <= top_of_buys && side_of_book_to_cross.len() > 0, + }; + + if crossing { + // cross + let price_level_price = side_of_book_to_cross[0]; + let orders_at_price_level = self.levels.get_mut(&price_level_price).unwrap(); + + // Grab the first order in line + let maker_order_id = orders_at_price_level.pop_front().unwrap(); + let maker_order = self.order_registry.get(maker_order_id); + let maker_order_volume = maker_order.get_volume_left(); + + let available_liquidity = maker_order_volume; + let remaining_to_fill = volume_left_to_fill - filled_so_far_in_txn; + + assert!(remaining_to_fill >= Float::from_int(0)); + + match maker_order.get_order_flag() { + OrderFlag::NONE => { + if available_liquidity > remaining_to_fill { + // add the modify to the partial vec + partial.push_back(( + maker_order_id, + maker_order_volume - remaining_to_fill, + price_level_price, + )); + + // add volume to running + filled_so_far_in_txn += remaining_to_fill; + } else { + // modify the maker order + filled.push_back((maker_order_id, available_liquidity)); + + // add volume to running + filled_so_far_in_txn += available_liquidity; + } + } + _ => { + // TODO cancel and move on if FOK + panic!("Not implemented yet"); + } + } + + // remove price level if empty now + if orders_at_price_level.is_empty() { + // clear level + side_of_book_to_cross.pop_front(); + continue; + } + } else { + // stop looping + break; + } + } + + // after any crossing, handle the after effects + if filled_so_far_in_txn < volume_left_to_fill { + // TODO if fill or kill, cancel whole txn + match order_type { + OrderType::LIMIT => { + match order_flag { + OrderFlag::NONE => { + // update order filled amount + self.order_registry + .set_filled(taker_order_id, filled_so_far_in_txn); + + // emplace + match side { + Side::BUY => { + match self.buys.binary_search_by(|e| e.cmp(&price).reverse()) { + Ok(_pos) => { + self.levels + .get_mut(&price) + .unwrap() + .push_back(taker_order_id); + } + Err(pos) => { + self.buys.insert(pos, price); + self.levels.insert(price, VecDeque::new()); + self.levels + .get_mut(&price) + .unwrap() + .push_back(taker_order_id); + } + } + } + Side::SELL => match self.sells.binary_search(&price) { + Ok(_pos) => { + self.levels + .get_mut(&price) + .unwrap() + .push_back(taker_order_id); + } + Err(pos) => { + self.sells.insert(pos, price); + self.levels.insert(price, VecDeque::new()); + self.levels + .get_mut(&price) + .unwrap() + .push_back(taker_order_id); + } + }, + } + } + _ => { + panic!("Not implemented"); + } + } + } + OrderType::MARKET => match order_flag { + OrderFlag::IMMEDIATE_OR_CANCEL => { + // flag not supported + panic!("Not implemented;"); + } + OrderFlag::ALL_OR_NONE | OrderFlag::FILL_OR_KILL => { + // undo the action + undo = true; + } + _ => { + // nothing else to do + } + }, + _ => { + panic!("Not implemented"); + } + } + } + + // sanity check + if partial.len() > 1 { + println!("{partial:?}"); + panic!("Partial should only be length 1"); + } + + if undo { + panic!("not implemented yet"); + } else { + if filled_so_far_in_txn > Float::from_int(0) { + let mut maker_orders: VecDeque = VecDeque::new(); + // Handle the fills + filled.iter().for_each(|&(order_id, to_add_to_fill)| { + maker_orders.push_back(order_id); + self.order_registry.set_filled(order_id, to_add_to_fill) + }); + partial + .iter() + .for_each(|&(order_id, to_add_to_fill, price_level_price)| { + maker_orders.push_back(order_id); + + self.order_registry.set_filled(order_id, to_add_to_fill); + + // readd to level + let orders_at_price_level = + self.levels.get_mut(&price_level_price).unwrap(); + orders_at_price_level.push_front(order_id); + + let side_of_book_to_cross: &mut VecDeque = match side { + Side::BUY => &mut self.sells, + Side::SELL => &mut self.buys, + }; + + if orders_at_price_level.len() == 1 { + side_of_book_to_cross.push_front(price_level_price); + } + }); + + let trade = Trade::new( + 0, // TODO + Some(Utc::now()), + Some(order.get_instrument_id()), + Some(order.get_exchange()), + None, + None, + filled_so_far_in_txn, + Float::from_float(0.0), // TODO calc avg price + maker_orders, + taker_order_id, + ); + + // trade events + events.push_back(Event { + event_type: EventType::TRADE, + target: EventData::Trade(trade), + }); + } + + // TODO + // new.iter() + // .for_each(|&order_id| events.extend(self.add_internal(order_id))); + } + + // return the events generated + events + } +} + +impl Display for LimitOrderBook<'_> { + fn fmt(&self, f: &mut Formatter<'_>) -> Result { + let mut ret = "".to_string(); + ret += "OrderBook {\n"; + + self.sells.iter().rev().for_each(|level| { + let price = level.to_float().to_string(); + let volume = self.volume_at_level(*level).to_float(); + let volume_str = volume.to_string(); + let count = self.count_at_level(*level); + + if volume > 0.0 { + ret += "\t\t"; + ret += &price; + ret += "\t"; + ret += &volume_str; + ret += "\t"; + ret += &count.to_string(); + ret += "\n"; + } + }); + ret += "====================================\n"; + self.buys.iter().for_each(|level| { + let price = level.to_float().to_string(); + let volume = self.volume_at_level(*level).to_float(); + let volume_str = volume.to_string(); + let count = self.count_at_level(*level); + if volume > 0.0 { + ret += "\t"; + ret += &volume_str; + ret += "\t"; + ret += &price; + ret += "\t\t"; + ret += &count.to_string(); + ret += "\n"; + } + }); + ret += "}"; + write!(f, "{}", ret) + } +} diff --git a/rust/aat-orderbook/src/tests/basic.rs b/rust/aat-orderbook/src/tests/basic.rs new file mode 100644 index 00000000..255f32be --- /dev/null +++ b/rust/aat-orderbook/src/tests/basic.rs @@ -0,0 +1,188 @@ +use super::common::check_top_ob_book; +use crate::{LimitOrderBook, OrderBook}; + +use aat_core::common::{Float, Id}; +use aat_core::core::*; + +use rand::Rng; + +#[cfg(test)] +mod order_book_simple_tests { + use super::*; + + static INST: Id = 0; + static EXCH: ExchangeType = ExchangeType {}; + + #[test] + fn test_new() { + let om = OrderRegistry::new(); + let ob = LimitOrderBook::new(INST, EXCH, None, &om); + check_top_ob_book(&ob, 0, 0.0, 0.0, 0, 0.0, 0.0, 0); + } + + #[test] + fn test_basics() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + let o1 = om.create( + None, + None, + None, + Float::from_int(10), // volume + Some(Float::from_int(10)), // price + None, // Notional + Side::BUY, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + + let o2 = om.create( + None, + None, + None, + Float::from_int(10), // volume + Some(Float::from_int(20)), // price + None, // Notional + Side::SELL, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + + ob.add(o1.get_id()); + ob.add(o2.get_id()); + + println!("{ob}"); + check_top_ob_book(&ob, 0, 10.0, 10.0, 1, 20.0, 10.0, 1); + } + + #[test] + fn test_add() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + let o1 = om.create( + None, + None, + None, + Float::from_int(10), // volume + Some(Float::from_int(10)), // price + None, // Notional + Side::BUY, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + + let o2 = om.create( + None, + None, + None, + Float::from_int(10), // volume + Some(Float::from_int(20)), // price + None, // Notional + Side::BUY, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + + let o3 = om.create( + None, + None, + None, + Float::from_int(10), // volume + Some(Float::from_int(20)), // price + None, // Notional + Side::BUY, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + + ob.add(o1.get_id()); + println!("{ob}"); + + check_top_ob_book(&ob, 0, 10.0, 10.0, 1, 0.0, 0.0, 0); + + ob.add(o2.get_id()); + println!("{ob}"); + + check_top_ob_book(&ob, 0, 20.0, 10.0, 1, 0.0, 0.0, 0); + + check_top_ob_book(&ob, 1, 10.0, 10.0, 1, 0.0, 0.0, 0); + + ob.add(o3.get_id()); + println!("{ob}"); + + check_top_ob_book(&ob, 0, 20.0, 20.0, 2, 0.0, 0.0, 0); + } + + #[test] + fn test_print() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + let mut rng = rand::thread_rng(); + + for x in 1..20 { + let side = if x > 10 { Side::SELL } else { Side::BUY }; + let price = Float::from_float((x as f64 / 2.0).ceil()); + let volume = Float::from_int(rng.gen_range(10..100)); + + om.create( + None, + None, + None, + volume, + Some(price), + None, // Notional + side, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + ob.add(x); + } + println!("{ob}"); + + let (bid, ask) = ob.get_level(0); + assert_eq!(bid.price.to_float(), 5.0); + assert_eq!(bid.volume.to_float() < 200.0, true); + assert_eq!(bid.count, 2); + assert_eq!(ask.price.to_float(), 6.0); + assert_eq!(ask.volume.to_float() < 200.0, true); + assert_eq!(ask.count, 2); + } +} diff --git a/rust/aat-orderbook/src/tests/behavior.rs b/rust/aat-orderbook/src/tests/behavior.rs new file mode 100644 index 00000000..c76e5475 --- /dev/null +++ b/rust/aat-orderbook/src/tests/behavior.rs @@ -0,0 +1,262 @@ +use super::common::check_top_ob_book; +use crate::{LimitOrderBook, OrderBook}; + +use aat_core::common::{Float, Id}; +use aat_core::core::*; + +#[cfg(test)] +mod order_book_behavior_tests { + use super::*; + + static SEP: &'static str = "***********************************************************"; + static INST: Id = 0; + static EXCH: ExchangeType = ExchangeType {}; + + fn build_basic_order_book(om: &OrderRegistry, ob: &mut LimitOrderBook) { + // buy 10@10 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(10), + Side::BUY, + None, + ); + ob.add(1); + + // buy 10@9 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(9), + Side::BUY, + None, + ); + ob.add(2); + + // buy 10@8 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(8), + Side::BUY, + None, + ); + ob.add(3); + + // sell 10@11 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(11), + Side::SELL, + None, + ); + ob.add(4); + + // sell 10@12 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(12), + Side::SELL, + None, + ); + ob.add(5); + + // sell 10@13 + om.new_limit( + INST, + EXCH, + Float::from_int(10), + Float::from_int(13), + Side::SELL, + None, + ); + ob.add(6); + } + + #[test] + fn test_simple_cross_buy() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(5), + Float::from_int(10), + Side::SELL, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 10.0, 5.0, 1, 11.0, 10.0, 1); + + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(5), + Float::from_int(10), + Side::SELL, + None, + ); + ob.add(8); + + println!("{SEP}\nPOST2\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 9.0, 10.0, 1, 11.0, 10.0, 1); + } + + #[test] + fn test_simple_cross_sell() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(5), + Float::from_int(11), + Side::BUY, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 10.0, 10.0, 1, 11.0, 5.0, 1); + + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(5), + Float::from_int(11), + Side::BUY, + None, + ); + ob.add(8); + + println!("{SEP}\nPOST2\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 10.0, 10.0, 1, 12.0, 10.0, 1); + } + + #[test] + fn test_simple_clear_buy() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(15), + Float::from_int(10), + Side::SELL, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 9.0, 10.0, 1, 10.0, 5.0, 1); + } + + #[test] + fn test_simple_clear_sell() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(15), + Float::from_int(12), + Side::BUY, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 10.0, 10.0, 1, 12.0, 5.0, 1); + } + + #[test] + fn test_simple_exhaust_buy() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(50), + Float::from_int(5), + Side::SELL, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 0.0, 0.0, 0, 5.0, 20.0, 1); + } + + #[test] + fn test_simple_exhaust_sell() { + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(INST, EXCH, None, &om); + + build_basic_order_book(&om, &mut ob); + println!("{SEP}\nPRE\n{ob}\n{SEP}"); + + // CROSS + // sell 5@10 + om.new_limit( + INST, + EXCH, + Float::from_int(50), + Float::from_int(15), + Side::BUY, + None, + ); + ob.add(7); + + println!("{SEP}\nPOST\n{ob}\n{SEP}"); + + check_top_ob_book(&ob, 0, 15.0, 20.0, 1, 0.0, 0.0, 0); + } +} diff --git a/rust/aat-orderbook/src/tests/common.rs b/rust/aat-orderbook/src/tests/common.rs new file mode 100644 index 00000000..cf620397 --- /dev/null +++ b/rust/aat-orderbook/src/tests/common.rs @@ -0,0 +1,21 @@ +use crate::{LimitOrderBook, OrderBook}; + +pub fn check_top_ob_book( + ob: &LimitOrderBook, + level: usize, + bid_price: f64, + bid_volume: f64, + bid_count: usize, + ask_price: f64, + ask_volume: f64, + ask_count: usize, +) { + let (bid, ask) = ob.get_level(level); + println!("Bid: {}\nAsk: {}", bid, ask); + assert_eq!(bid.price.to_float(), bid_price); + assert_eq!(bid.volume.to_float(), bid_volume); + assert_eq!(bid.count, bid_count); + assert_eq!(ask.price.to_float(), ask_price); + assert_eq!(ask.volume.to_float(), ask_volume); + assert_eq!(ask.count, ask_count); +} diff --git a/rust/aat-orderbook/src/tests/mod.rs b/rust/aat-orderbook/src/tests/mod.rs new file mode 100644 index 00000000..d34145ac --- /dev/null +++ b/rust/aat-orderbook/src/tests/mod.rs @@ -0,0 +1,11 @@ +#[cfg(test)] +mod basic; + +#[cfg(test)] +mod behavior; + +#[cfg(test)] +mod common; + +#[cfg(test)] +mod stress; diff --git a/rust/aat-orderbook/src/tests/stress.rs b/rust/aat-orderbook/src/tests/stress.rs new file mode 100644 index 00000000..fcb94efe --- /dev/null +++ b/rust/aat-orderbook/src/tests/stress.rs @@ -0,0 +1,55 @@ +use crate::{LimitOrderBook, OrderBook}; + +use aat_core::common::Float; +use aat_core::core::*; + +use rand::Rng; +use std::time::{Duration, Instant}; + +#[cfg(test)] +mod order_book_simple_tests { + use super::*; + + #[test] + fn test_stress() { + let count: u32 = 100_000; + let om = OrderRegistry::new(); + let mut ob = LimitOrderBook::new(0, ExchangeType {}, None, &om); + let mut rng = rand::thread_rng(); + + let now = Instant::now(); + for x in 1..count { + let side = if x % 2 == 0 { Side::SELL } else { Side::BUY }; + let price = Float::from_int(rng.gen_range(10..100)); + let volume = Float::from_int(rng.gen_range(10..100)); + + om.create( + None, + None, + None, + volume, + Some(price), + None, // Notional + side, + OrderType::LIMIT, + None, + None, + None, + None, + None, + None, + None, + ); + ob.add(x.into()); + } + + let elapsed = now.elapsed(); + println!("Elapsed: {:.2?}", elapsed); + let time = elapsed.as_secs() as f64 + elapsed.subsec_nanos() as f64 / 1_000_000_000.0; + println!("OPS: {:.2?}", count as f64 / time); + println!("SPO: {:.2?}", elapsed / count); + assert!(elapsed < Duration::new(1, 300_000_000)); + + // println!("{ob}"); + } +} diff --git a/rust/aat/Cargo.toml b/rust/aat/Cargo.toml new file mode 100644 index 00000000..911ddded --- /dev/null +++ b/rust/aat/Cargo.toml @@ -0,0 +1,18 @@ +[package] +name = "aat" +version = "0.1.0" +authors = ["timkpaine "] +edition = "2021" +license = "Apache-2.0" +readme = "../README.md" +repository = "https://github.com/asyncalgotrading/aat" +description = "Async algorithmic trading library" + +[lib] +name = "aat" +path = "src/lib.rs" +crate-type = ["rlib"] + +[dependencies] +aat-core = { version = "0.1.0", path = "../aat-core", optional = false } +aat-orderbook = { version = "0.1.0", path = "../aat-orderbook", optional = false } diff --git a/rust/aat/LICENSE b/rust/aat/LICENSE new file mode 100644 index 00000000..261eeb9e --- /dev/null +++ b/rust/aat/LICENSE @@ -0,0 +1,201 @@ + Apache License + Version 2.0, January 2004 + http://www.apache.org/licenses/ + + TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION + + 1. 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We also recommend that a + file or class name and description of purpose be included on the + same "printed page" as the copyright notice for easier + identification within third-party archives. + + Copyright [yyyy] [name of copyright owner] + + Licensed under the Apache License, Version 2.0 (the "License"); + you may not use this file except in compliance with the License. + You may obtain a copy of the License at + + http://www.apache.org/licenses/LICENSE-2.0 + + Unless required by applicable law or agreed to in writing, software + distributed under the License is distributed on an "AS IS" BASIS, + WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. + See the License for the specific language governing permissions and + limitations under the License. diff --git a/rust/aat/Makefile b/rust/aat/Makefile new file mode 100644 index 00000000..8888c784 --- /dev/null +++ b/rust/aat/Makefile @@ -0,0 +1,55 @@ +.DEFAULT_GOAL := help +.PHONY: dev build lint fix check tests tests-ci-run tests-ci-gha tests-ci-jenkins test format checks help + +dev: ## Install required dev dependencies + rustup component add rustfmt + rustup component add clippy + cargo install cargo2junit + cargo install grcov + rustup component add llvm-tools-preview + +build: ## Build release + cargo build --release --all-features + +build-dev: ## Build dev + cargo build --all-features + +lint: ## Run Clippy for linting, rustfmt for autoformat checks + cargo clippy --all-features + cargo fmt --all -- --check + +fix: ## Fix code with rustfmt + cargo fmt --all + +check: ## Check the code with cargo check + cargo check --all-features + +tests: ## Run the tests + cargo test -- --show-output + # cargo test -- -Z unstable-options --format json | cargo2junit > results.xml + +tests-ci-run: $(eval SHELL:=/bin/bash) + { \ + export CARGO_INCREMENTAL=0;\ + export RUSTDOCFLAGS="-Cpanic=abort";\ + export RUSTFLAGS="-Zprofile -Ccodegen-units=1 -Copt-level=0 -Clink-dead-code -Coverflow-checks=off -Zpanic_abort_tests -Cpanic=abort";\ + cargo test -- -Z unstable-options --format json | cargo2junit > results.xml;\ + } + + +tests-ci-gha: tests-ci-run + grcov . --llvm -s . -t lcov --branch --ignore-not-existing -o ./coverage.info;\ + +tests-ci-jenkins: tests-ci-run + grcov . --llvm -s . -t cobertura --branch --ignore-not-existing -o ./coverage.xml;\ + +# aliases +test: tests +format: fix + +# Thanks to Francoise at marmelab.com for this +help: + @grep -E '^[a-zA-Z_-]+:.*?## .*$$' $(MAKEFILE_LIST) | sort | awk 'BEGIN {FS = ":.*?## "}; {printf "\033[36m%-30s\033[0m %s\n", $$1, $$2}' + +print-%: + @echo '$*=$($*)' diff --git a/rust/aat/README.md b/rust/aat/README.md new file mode 100644 index 00000000..f1cf6420 --- /dev/null +++ b/rust/aat/README.md @@ -0,0 +1,13 @@ + + +[![Build Status](https://github.com/AsyncAlgoTrading/aat/workflows/Build%20Status/badge.svg?branch=main)](https://github.com/AsyncAlgoTrading/aat/actions?query=workflow%3A%22Build+Status%22) +[![Coverage](https://codecov.io/gh/AsyncAlgoTrading/aat/branch/main/graph/badge.svg)](https://codecov.io/gh/AsyncAlgoTrading/aat) +[![License](https://img.shields.io/github/license/timkpaine/aat.svg)](https://pypi.python.org/pypi/aat) +[![PyPI](https://img.shields.io/pypi/v/aat.svg)](https://pypi.python.org/pypi/aat) +[![Docs](https://img.shields.io/readthedocs/aat.svg)](http://aat.readthedocs.io/en/latest/) + +`aat` is an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in rust. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges, fully integrated backtesting support, slippage and transaction cost modeling, and robust reporting and risk mitigation through manual and programatic algorithm controls. + +Like [Zipline](https://github.com/quantopian/zipline) and [Lean](https://github.com/QuantConnect/Lean), `aat` exposes a single strategy class which is utilized for both live trading and backtesting. The strategy class is simple enough to write and test algorithms quickly, but extensible enough to allow for complex slippage and transaction cost modeling, as well as mid- and post- trade analysis. + +`aat` is in active use for live algorithmic trading on equities, commodity futures contracts, and commodity futures spreads by undisclosed funds. diff --git a/rust/aat/src/lib.rs b/rust/aat/src/lib.rs new file mode 100644 index 00000000..d6c0df7a --- /dev/null +++ b/rust/aat/src/lib.rs @@ -0,0 +1,2 @@ +pub use aat_core::*; +pub use aat_orderbook::*;