migrating to rust

Author: theocean154

.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}"

.github/workflows/build.yml

@@ -4,6 +4,11 @@ on:
   push:
     branches:
       - main
+    tags:
+      - v*
+    paths-ignore:
+      - LICENSE
+      - README.md
   pull_request:
 
 concurrency:
@@ -24,64 +29,61 @@ 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: 'setup.py'
 
-    - 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: 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: Lint Python
-      run: |
-        make lintpy
+    - name: Install yarn
+      run: npm install -g yarn
 
-    - name: Lint C++
-      run: |
-        make lintcpp
+    - uses: actions-rs/cargo@v1
+      with:
+        command: check
 
-    - 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: results.xml
+      if: ${{ matrix.os == 'ubuntu-latest' }}

.gitignore

@@ -35,13 +35,18 @@ pip-delete-this-directory.txt
 # Unit test / coverage reports
 htmlcov/
 .tox/
+coverage
 .coverage
 .coverage.*
 .cache
 nosetests.xml
 coverage.xml
 *,cover
 cover
+results.xml
+python_junit.xml
+.mypy_cache
+venv/
 
 # Translations
 *.mo
@@ -52,47 +57,37 @@ cover
 
 # Sphinx documentation
 docs/_build/
+docs/api
+docs/index.md
 
 # PyBuilder
 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/

Makefile

@@ -1,108 +1,14 @@
-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/*
+.DEFAULT_GOAL := help
+.PHONY: develop build lint checks tests tests-ci-gha
 
-publish: dist  ## dist to pypi and npm
-	python -m twine upload dist/* --skip-existing
+develop:  ## Setup project for development
 
-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_*
+build:  ## Build the project
 
-# 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}'
+lint:  ## Run project linters
 
-print-%:
-	@echo '$*=$($*)'
+checks:  ## Run any other checks
 
-.PHONY: run buildext build install tests lint fix docs dist clean help fixcpp
+tests:  ## Run the tests
 
+tests-ci-gha:

README.md

@@ -1,4 +1,3 @@
-
 <img src="https://raw.githubusercontent.com/AsyncAlgoTrading/aat/main/docs/img/icon.png" width="200px"></img>
 
 [![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.
-
-<a href="https://nemoulous.com"><img src="https://raw.githubusercontent.com/asyncalgotrading/aat/main/docs/img/nem.png" width="50"></a>
-
-<a href="https://nemoulous.com">Nemoulous</a>
-
-## License
-This software is licensed under the Apache 2.0 license. See the [LICENSE](LICENSE) file for details.