From 956ce648b866515c67a320ca47c35074932ae44a Mon Sep 17 00:00:00 2001 From: TP Date: Thu, 8 Sep 2022 16:06:16 -0400 Subject: [PATCH] migrating to rust --- .bumpversion.cfg | 16 + .github/workflows/build.yml | 83 +- .gitignore | 41 +- Makefile | 110 +-- README.md | 50 +- ...umStrategy-0.portfolio.active_by_inst.json | 1 - ...mStrategy-0.portfolio.active_by_strat.json | 1 - .../MomentumStrategy-0.portfolio.prices.json | 1 - .../MomentumStrategy-0.portfolio.trades.json | 1 - .clang-format => old/.clang-format | 0 old/.github/workflows/build.yml | 87 ++ CONTRIBUTING.md => old/CONTRIBUTING.md | 0 GETTING_STARTED.md => old/GETTING_STARTED.md | 0 MANIFEST.in => old/MANIFEST.in | 0 old/Makefile | 108 +++ old/README.md | 61 ++ {aat => old/aat}/__init__.py | 0 {aat => old/aat}/__main__.py | 0 old/aat/_version.py | 21 + {aat => old/aat}/common.py | 0 {aat => old/aat}/config/__init__.py | 0 {aat => old/aat}/config/enums.py | 0 {aat => old/aat}/config/parser.py | 0 {aat => old/aat}/core/__init__.py | 0 {aat => old/aat}/core/data/__init__.py | 0 {aat => old/aat}/core/data/cpp.py | 0 {aat => old/aat}/core/data/data.py | 0 {aat => old/aat}/core/data/error.py | 0 {aat => old/aat}/core/data/event.py | 0 {aat => old/aat}/core/data/order.py | 0 {aat => old/aat}/core/data/trade.py | 0 {aat => old/aat}/core/exchange/__init__.py | 0 {aat => old/aat}/core/exchange/cpp.py | 0 {aat => old/aat}/core/exchange/db.py | 0 {aat => old/aat}/core/exchange/exchange.py | 0 {aat => old/aat}/core/handler/__init__.py | 0 {aat => old/aat}/core/handler/handler.py | 0 {aat => old/aat}/core/handler/print.py | 0 {aat => old/aat}/core/instrument/__init__.py | 0 {aat => old/aat}/core/instrument/calendar.py | 0 {aat => old/aat}/core/instrument/cpp.py | 0 {aat => old/aat}/core/instrument/db.py | 0 .../aat}/core/instrument/instrument.py | 0 {aat => old/aat}/core/order_book/__init__.py | 0 {aat => old/aat}/core/order_book/base.py | 0 .../core/order_book/collector/__init__.py | 0 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.../cpp/src/core/order_book/order_book.cpp | 0 .../cpp/src/core/order_book/price_level.cpp | 0 .../aat}/cpp/src/core/position/account.cpp | 0 .../aat}/cpp/src/core/position/cash.cpp | 0 .../aat}/cpp/src/core/position/position.cpp | 0 {aat => old/aat}/cpp/src/python/binding.cpp | 0 {aat => old/aat}/cpp/third/date/chrono_io.h | 0 {aat => old/aat}/cpp/third/date/date.h | 0 {aat => old/aat}/cpp/third/date/ios.h | 0 {aat => old/aat}/cpp/third/date/islamic.h | 0 {aat => old/aat}/cpp/third/date/iso_week.h | 0 {aat => old/aat}/cpp/third/date/julian.h | 0 {aat => old/aat}/cpp/third/date/ptz.h | 0 {aat => old/aat}/cpp/third/date/solar_hijri.h | 0 {aat => old/aat}/cpp/third/date/tz.h | 0 {aat => old/aat}/cpp/third/date/tz_private.h | 0 .../nlohmann_json/nlohmann/adl_serializer.hpp | 0 .../nlohmann/detail/conversions/from_json.hpp | 0 .../nlohmann/detail/conversions/to_chars.hpp | 0 .../nlohmann/detail/conversions/to_json.hpp | 0 .../nlohmann/detail/exceptions.hpp | 0 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| 0 .../nlohmann/detail/output/serializer.hpp | 0 .../nlohmann_json/nlohmann/detail/value_t.hpp | 0 .../cpp/third/nlohmann_json/nlohmann/json.hpp | 0 .../third/nlohmann_json/nlohmann/json_fwd.hpp | 0 .../nlohmann/thirdparty/hedley/hedley.hpp | 0 .../thirdparty/hedley/hedley_undef.hpp | 0 .../aat}/cpp/third/pybind11/pybind11/attr.h | 0 .../cpp/third/pybind11/pybind11/buffer_info.h | 0 .../aat}/cpp/third/pybind11/pybind11/cast.h | 0 .../aat}/cpp/third/pybind11/pybind11/chrono.h | 0 .../aat}/cpp/third/pybind11/pybind11/common.h | 0 .../cpp/third/pybind11/pybind11/complex.h | 0 .../third/pybind11/pybind11/detail/class.h | 0 .../third/pybind11/pybind11/detail/common.h | 0 .../third/pybind11/pybind11/detail/descr.h | 0 .../cpp/third/pybind11/pybind11/detail/init.h | 0 .../pybind11/pybind11/detail/internals.h | 0 .../third/pybind11/pybind11/detail/typeid.h | 0 .../aat}/cpp/third/pybind11/pybind11/eigen.h | 0 .../aat}/cpp/third/pybind11/pybind11/embed.h | 0 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old/docs}/Makefile | 0 {docs => old/docs}/api.md | 0 {docs => old/docs}/conf.py | 0 {docs => old/docs}/doxygen.conf | 0 {docs => old/docs}/img/icon.png | Bin {docs => old/docs}/img/nem.png | Bin {docs => old/docs}/img/orderbook.gif | Bin {docs => old/docs}/img/orderbook2.gif | 0 {docs => old/docs}/img/rethist.png | Bin {docs => old/docs}/img/tearsheet.png | Bin {docs => old/docs}/make.bat | 0 setup.cfg => old/setup.cfg | 0 setup.py => old/setup.py | 0 pyproject.toml | 3 - python/aat/Cargo.lock | 820 ++++++++++++++++++ python/aat/Cargo.toml | 23 + python/aat/LICENSE | 1 + python/aat/Makefile | 21 + python/aat/README.md | 1 + python/aat/aat/__init__.py | 0 python/aat/pyproject.toml | 28 + python/aat/src/lib.rs | 17 + rust/aat/Cargo.lock | 417 +++++++++ rust/aat/Cargo.toml | 27 + rust/aat/LICENSE | 1 + rust/aat/Makefile | 53 ++ rust/aat/README.md | 1 + rust/aat/src/common/float.rs | 150 ++++ rust/aat/src/common/mod.rs | 7 + rust/aat/src/core/data/account.rs | 43 + rust/aat/src/core/data/base.rs | 95 ++ rust/aat/src/core/data/data.rs | 63 ++ rust/aat/src/core/data/event.rs | 46 + rust/aat/src/core/data/mod.rs | 15 + rust/aat/src/core/data/order.rs | 308 +++++++ rust/aat/src/core/data/trade.rs | 88 ++ rust/aat/src/core/enums.rs | 117 +++ rust/aat/src/core/exchange/mod.rs | 30 + rust/aat/src/core/instrument/mod.rs | 29 + rust/aat/src/core/manager/base.rs | 49 ++ rust/aat/src/core/manager/mod.rs | 5 + rust/aat/src/core/manager/order.rs | 95 ++ rust/aat/src/core/mod.rs | 13 + rust/aat/src/core/order_book/mod.rs | 4 + rust/aat/src/core/order_book/order_book.rs | 684 +++++++++++++++ rust/aat/src/lib.rs | 13 + 306 files changed, 3627 insertions(+), 221 deletions(-) create mode 100644 .bumpversion.cfg delete mode 100644 aat/tests/strategy/_aat_BACKTEST_test/MomentumStrategy-0.portfolio.active_by_inst.json delete mode 100644 aat/tests/strategy/_aat_BACKTEST_test/MomentumStrategy-0.portfolio.active_by_strat.json delete mode 100644 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rename {aat => old/aat}/exchange/synthetic/server.py (100%) rename {aat => old/aat}/exchange/test/__init__.py (100%) rename {aat => old/aat}/exchange/test/harness.py (100%) rename {aat => old/aat}/strategy/__init__.py (100%) rename {aat => old/aat}/strategy/calculations.py (100%) rename {aat => old/aat}/strategy/portfolio.py (100%) rename {aat => old/aat}/strategy/risk.py (100%) rename {aat => old/aat}/strategy/sample/__init__.py (100%) rename {aat => old/aat}/strategy/sample/coinbase/__init__.py (100%) rename {aat => old/aat}/strategy/sample/coinbase/buy_and_hold.py (100%) rename {aat => old/aat}/strategy/sample/coinbase/readonly.py (100%) rename {aat => old/aat}/strategy/sample/csv/__init__.py (100%) rename {aat => old/aat}/strategy/sample/csv/data/aapl.csv (100%) rename {aat => old/aat}/strategy/sample/csv/readonly.py (100%) rename {aat => old/aat}/strategy/sample/csv/readonly_periodic.py (100%) rename {aat => old/aat}/strategy/sample/csv/received.py (100%) rename {aat => 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rename {docs => old/docs}/img/orderbook2.gif (100%) rename {docs => old/docs}/img/rethist.png (100%) rename {docs => old/docs}/img/tearsheet.png (100%) rename {docs => old/docs}/make.bat (100%) rename setup.cfg => old/setup.cfg (100%) rename setup.py => old/setup.py (100%) delete mode 100644 pyproject.toml create mode 100644 python/aat/Cargo.lock create mode 100644 python/aat/Cargo.toml create mode 120000 python/aat/LICENSE create mode 100644 python/aat/Makefile create mode 120000 python/aat/README.md create mode 100644 python/aat/aat/__init__.py create mode 100644 python/aat/pyproject.toml create mode 100644 python/aat/src/lib.rs create mode 100644 rust/aat/Cargo.lock create mode 100644 rust/aat/Cargo.toml create mode 120000 rust/aat/LICENSE create mode 100644 rust/aat/Makefile create mode 120000 rust/aat/README.md create mode 100644 rust/aat/src/common/float.rs create mode 100644 rust/aat/src/common/mod.rs create mode 100644 rust/aat/src/core/data/account.rs create mode 100644 rust/aat/src/core/data/base.rs create mode 100644 rust/aat/src/core/data/data.rs create mode 100644 rust/aat/src/core/data/event.rs create mode 100644 rust/aat/src/core/data/mod.rs create mode 100644 rust/aat/src/core/data/order.rs create mode 100644 rust/aat/src/core/data/trade.rs create mode 100644 rust/aat/src/core/enums.rs create mode 100644 rust/aat/src/core/exchange/mod.rs create mode 100644 rust/aat/src/core/instrument/mod.rs create mode 100644 rust/aat/src/core/manager/base.rs create mode 100644 rust/aat/src/core/manager/mod.rs create mode 100644 rust/aat/src/core/manager/order.rs create mode 100644 rust/aat/src/core/mod.rs create mode 100644 rust/aat/src/core/order_book/mod.rs create mode 100644 rust/aat/src/core/order_book/order_book.rs create mode 100644 rust/aat/src/lib.rs 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..898d6d18 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: @@ -24,64 +30,61 @@ 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' }} diff --git a/.gitignore b/.gitignore index 1637c448..0b528754 100644 --- a/.gitignore +++ b/.gitignore @@ -35,6 +35,7 @@ pip-delete-this-directory.txt # Unit test / coverage reports htmlcov/ .tox/ +coverage .coverage .coverage.* .cache @@ -42,6 +43,10 @@ nosetests.xml coverage.xml *,cover cover +results.xml +python_junit.xml +.mypy_cache +venv/ # Translations *.mo @@ -52,6 +57,8 @@ cover # Sphinx documentation docs/_build/ +docs/api +docs/index.md # PyBuilder target/ @@ -59,40 +66,28 @@ 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..f183fd71 100644 --- a/Makefile +++ b/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: 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, 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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 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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 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+[profile.release] +panic = 'abort' +lto = true + +[package.metadata.maturin] +# python-source = "python" diff --git a/python/aat/LICENSE b/python/aat/LICENSE new file mode 120000 index 00000000..30cff740 --- /dev/null +++ b/python/aat/LICENSE @@ -0,0 +1 @@ +../../LICENSE \ No newline at end of file diff --git a/python/aat/Makefile b/python/aat/Makefile new file mode 100644 index 00000000..ddb5336a --- /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 -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 00000000..e69de29b diff --git a/python/aat/pyproject.toml b/python/aat/pyproject.toml new file mode 100644 index 00000000..d629396a --- /dev/null +++ b/python/aat/pyproject.toml @@ -0,0 +1,28 @@ +[build-system] +requires = ["maturin>=0.13,<0.14"] +build-backend = "maturin" + +[project] +name = "aat" +authors = [{name = "Tim Paine"}] +description="Algorithmic Trading Library" +readme = "README.md" +version = "0.1.0" +requires-python = ">=3.7" +dependencies = [ + "pyarrow" +] +classifiers = [ + "Programming Language :: Rust", + "Programming Language :: Python :: Implementation :: CPython", + "Programming Language :: Python :: Implementation :: PyPy", +] + +[project.license] +file = "LICENSE" + +[project.optional-dependencies] 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a/rust/aat/Cargo.toml b/rust/aat/Cargo.toml new file mode 100644 index 00000000..680a8a21 --- /dev/null +++ b/rust/aat/Cargo.toml @@ -0,0 +1,27 @@ +[package] +name = "aat" +version = "0.1.0" +edition = "2021" + +# TODO publish +publish = false + +[lib] +name = "aat" +path = "src/lib.rs" +crate-type = ["rlib"] + +[dependencies] +chrono = { version = "0.4", features = ["serde"] } +num = "0.4" +ordered-float = "3.0" +serde = { version = "1.0", features = ["derive"] } +serde_json = "1" +# tokio = { version = "1", features = ["full"] } + +[dev-dependencies] +rand = "0.8" + +[profile.release] +panic = 'abort' +lto = true diff --git a/rust/aat/LICENSE b/rust/aat/LICENSE new file mode 120000 index 00000000..30cff740 --- /dev/null +++ b/rust/aat/LICENSE @@ -0,0 +1 @@ +../../LICENSE \ No newline at end of file diff --git a/rust/aat/Makefile b/rust/aat/Makefile new file mode 100644 index 00000000..29c4bf12 --- /dev/null +++ b/rust/aat/Makefile @@ -0,0 +1,53 @@ +.DEFAULT_GOAL := help +.PHONY: dev build build-dev lint fix tests tests-ci test format 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 + +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 120000 index 00000000..fe840054 --- /dev/null +++ b/rust/aat/README.md @@ -0,0 +1 @@ +../../README.md \ No newline at end of file diff --git a/rust/aat/src/common/float.rs b/rust/aat/src/common/float.rs new file mode 100644 index 00000000..bfe95930 --- /dev/null +++ b/rust/aat/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/src/common/mod.rs b/rust/aat/src/common/mod.rs new file mode 100644 index 00000000..ebef537d --- /dev/null +++ b/rust/aat/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/src/core/data/account.rs b/rust/aat/src/core/data/account.rs new file mode 100644 index 00000000..b85ff13d --- /dev/null +++ b/rust/aat/src/core/data/account.rs @@ -0,0 +1,43 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, Instrument}; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; + +#[derive(Clone, Debug, Default, Serialize, Deserialize)] +pub struct Account { + base: BaseData, + balance: Float, +} + +impl HasBaseData for Account { + fn get_base(&self) -> &BaseData { + &self.base + } +} + +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, + timestamp: Optional>, + instrument: Optional, + exchange: Optional, + balance: Optional, + ) -> Account { + Account { + base: BaseData::new(id, timestamp, instrument, exchange), + balance: balance.unwrap_or(Float::from_float(0.0)), + } + } +} diff --git a/rust/aat/src/core/data/base.rs b/rust/aat/src/core/data/base.rs new file mode 100644 index 00000000..402fab08 --- /dev/null +++ b/rust/aat/src/core/data/base.rs @@ -0,0 +1,95 @@ +use crate::common::{Id, Optional}; +use crate::core::exchange::ExchangeType; +use crate::core::instrument::Instrument; + +use chrono::prelude::*; +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Default, Serialize, Deserialize)] +pub struct BaseData { + id: Id, + timestamp: DateTime, + instrument: Instrument, + exchange: ExchangeType, +} + +impl BaseData { + // TODO expose all + pub fn new( + id: Id, + timestamp: Optional>, + instrument: Optional, + exchange: Optional, + ) -> BaseData { + BaseData { + id, + timestamp: timestamp.unwrap_or(Utc::now()), + instrument: instrument.unwrap_or(Instrument {}), + 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(&self) -> Instrument; + 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(&self) -> Instrument { + self.get_base().instrument + } + + 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/src/core/data/data.rs b/rust/aat/src/core/data/data.rs new file mode 100644 index 00000000..0581eda3 --- /dev/null +++ b/rust/aat/src/core/data/data.rs @@ -0,0 +1,63 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Id, Optional}; +use crate::core::{ExchangeType, Instrument}; + +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: Optional, + exchange: Optional, + data: Optional, + ) -> Data { + Data { + base: BaseData::new(id, timestamp, instrument, 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/src/core/data/event.rs b/rust/aat/src/core/data/event.rs new file mode 100644 index 00000000..e73b1a62 --- /dev/null +++ b/rust/aat/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/src/core/data/mod.rs b/rust/aat/src/core/data/mod.rs new file mode 100644 index 00000000..6f74534c --- /dev/null +++ b/rust/aat/src/core/data/mod.rs @@ -0,0 +1,15 @@ +#[allow(clippy::module_inception)] +mod data; + +mod account; +mod base; +mod event; +mod order; +mod trade; + +pub use account::*; +pub use base::*; +pub use data::*; +pub use event::*; +pub use order::*; +pub use trade::*; diff --git a/rust/aat/src/core/data/order.rs b/rust/aat/src/core/data/order.rs new file mode 100644 index 00000000..e9e1caed --- /dev/null +++ b/rust/aat/src/core/data/order.rs @@ -0,0 +1,308 @@ +use super::{BaseData, EventTarget, HasBaseData}; + +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, Instrument, 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: Id, + + // internal + filled: Float, + force_done: bool, +} + +#[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, + order_flag: OrderFlag, +} + +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: 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 { + match order_type { + OrderType::MARKET => match price { + Some(_) => { + panic!("No price on market orders") + } + None => {} + }, + OrderType::LIMIT => match price { + Some(_) => {} + None => { + panic!("Must set price for market orders"); + } + }, + _ => {} + } + Order { + base: BaseData::new(id, timestamp, instrument, 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: conditional_target_id.unwrap_or(0), + filled: Float::from_float(0.0), + force_done: false, + } + } + + pub fn new_limit( + id: Id, + instrument: Instrument, + exchange: ExchangeType, + volume: Float, + price: Float, + side: Side, + order_flag: Optional, + ) -> Order { + Order::new( + id, + Some(Utc::now()), + Some(instrument), + Some(exchange), + volume, + Some(price), + None, + side, + OrderType::LIMIT, + order_flag, + None, + None, + None, + None, + None, + None, + ) + } + + pub fn new_market( + id: Id, + instrument: Instrument, + exchange: ExchangeType, + volume: Float, + notional: Float, + side: Side, + ) -> Order { + Order::new( + id, + Some(Utc::now()), + Some(instrument), + Some(exchange), + volume, + None, + Some(notional), + 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(), 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/src/core/data/trade.rs b/rust/aat/src/core/data/trade.rs new file mode 100644 index 00000000..7f774da5 --- /dev/null +++ b/rust/aat/src/core/data/trade.rs @@ -0,0 +1,88 @@ +use super::{BaseData, EventTarget, HasBaseData, Order}; + +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, Instrument}; + +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: Order, + + // 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: Optional, + exchange: Optional, + exchange_id: Optional, + exchange_timestamp: Optional>, + volume: Float, + price: Float, + maker_orders: VecDeque, + taker_order: Order, + ) -> Trade { + Trade { + base: BaseData::new(id, timestamp, instrument, 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/src/core/enums.rs b/rust/aat/src/core/enums.rs new file mode 100644 index 00000000..e866b290 --- /dev/null +++ b/rust/aat/src/core/enums.rs @@ -0,0 +1,117 @@ +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, + } +} + +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, + } +} + +all_enum_derivs! { + pub enum ExitRoutine { + NONE, + CLOSE_ALL, + } +} diff --git a/rust/aat/src/core/exchange/mod.rs b/rust/aat/src/core/exchange/mod.rs new file mode 100644 index 00000000..8fd568dc --- /dev/null +++ b/rust/aat/src/core/exchange/mod.rs @@ -0,0 +1,30 @@ +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct ExchangeType {} + +impl Default for ExchangeType { + fn default() -> Self { + // TODO + 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/src/core/instrument/mod.rs b/rust/aat/src/core/instrument/mod.rs new file mode 100644 index 00000000..dec7da13 --- /dev/null +++ b/rust/aat/src/core/instrument/mod.rs @@ -0,0 +1,29 @@ +use serde::{Deserialize, Serialize}; + +#[derive(Copy, Clone, Debug, Serialize, Deserialize)] +pub struct Instrument {} + +impl Default for Instrument { + fn default() -> Self { + // TODO + Instrument {} + } +} + +// str +// Instrument(const str_t& name, InstrumentType type, ExchangeType exchange = NullExchange) +// : name(name) +// , type(type) {} + +// explicit Instrument(const str_t& name) +// : name(name) +// , type(InstrumentType::EQUITY) {} + +// bool operator==(const Instrument& other) const; +// str_t toString() const; +// virtual json toJson() const; + +// str_t name; +// InstrumentType type; +// std::vector exchanges; +// }; diff --git a/rust/aat/src/core/manager/base.rs b/rust/aat/src/core/manager/base.rs new file mode 100644 index 00000000..33838f6b --- /dev/null +++ b/rust/aat/src/core/manager/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 Manager { + 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/src/core/manager/mod.rs b/rust/aat/src/core/manager/mod.rs new file mode 100644 index 00000000..d6ae6f2a --- /dev/null +++ b/rust/aat/src/core/manager/mod.rs @@ -0,0 +1,5 @@ +mod base; +mod order; + +pub use base::*; +pub use order::*; diff --git a/rust/aat/src/core/manager/order.rs b/rust/aat/src/core/manager/order.rs new file mode 100644 index 00000000..1f5c39cc --- /dev/null +++ b/rust/aat/src/core/manager/order.rs @@ -0,0 +1,95 @@ +use super::{Manager, Tracker}; +use crate::common::{Float, Id, Optional}; +use crate::core::{ExchangeType, Instrument, Order, OrderFlag, OrderType, Side}; + +use chrono::prelude::*; +use std::sync::{Arc, Mutex}; + +#[derive(Clone, Debug)] +pub struct OrderManager { + tracker: Arc>>, +} + +impl OrderManager { + pub fn new() -> Self { + OrderManager { + tracker: Arc::new(Mutex::new(Tracker::new())), + } + } + + pub fn create( + &self, + timestamp: Optional>, + instrument: 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, + 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 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 manager + self.replace(order_id, replacement_order); + } +} + +impl Manager for OrderManager { + 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/src/core/mod.rs b/rust/aat/src/core/mod.rs new file mode 100644 index 00000000..2f7a34a7 --- /dev/null +++ b/rust/aat/src/core/mod.rs @@ -0,0 +1,13 @@ +mod data; +mod enums; +mod exchange; +mod instrument; +mod manager; +mod order_book; + +pub use data::*; +pub use enums::*; +pub use exchange::*; +pub use instrument::*; +pub use manager::*; +pub use order_book::*; diff --git a/rust/aat/src/core/order_book/mod.rs b/rust/aat/src/core/order_book/mod.rs new file mode 100644 index 00000000..5929cf1a --- /dev/null +++ b/rust/aat/src/core/order_book/mod.rs @@ -0,0 +1,4 @@ +#[allow(clippy::module_inception)] +mod order_book; + +pub use order_book::*; diff --git a/rust/aat/src/core/order_book/order_book.rs b/rust/aat/src/core/order_book/order_book.rs new file mode 100644 index 00000000..9bc6aa85 --- /dev/null +++ b/rust/aat/src/core/order_book/order_book.rs @@ -0,0 +1,684 @@ +use crate::common::{Float, Id, Optional}; +use crate::core::{ + Event, EventData, EventType, ExchangeType, Instrument, Manager, OrderFlag, OrderManager, + OrderType, Side, +}; + +use serde::{Deserialize, Serialize}; +use std::cmp::max; +use std::collections::{HashMap, HashSet, VecDeque}; +use std::fmt::{Display, Formatter, Result}; + +pub struct LimitOrderBook<'a> { + // static data + instrument: Instrument, + exchange: ExchangeType, + order_flags: HashSet, + + order_manager: &'a OrderManager, + + // 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: Instrument, + exchange: ExchangeType, + order_flags: Optional>, + order_manager: &'a OrderManager, + ) -> Self::Item; + + fn get_instrument(&self) -> Instrument; + 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: Instrument, + exchange: ExchangeType, + order_flags: Optional>, + order_manager: &'a OrderManager, + ) -> LimitOrderBook<'a> { + LimitOrderBook { + instrument, + exchange, + order_flags: order_flags.unwrap_or_default(), + order_manager, + buys: VecDeque::new(), + sells: VecDeque::new(), + levels: HashMap::new(), + } + } + + fn get_instrument(&self) -> Instrument { + self.instrument + } + + 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_manager.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 manager + self.order_manager.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_manager.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) { + // NOTE: little trickiness here to avoid subtracting on an unsigned number + let buy_price = self.buys.get(max(self.buys.len(), level + 1) - level - 1); + + 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_manager.get(order_id).get_volume()) + .sum() + } + + fn count_at_level(&self, level: Float) -> usize { + self.levels[&level].len() + } + + fn add_internal(&mut self, order_id: Id) -> VecDeque { + let mut events = VecDeque::new(); + let order = self.order_manager.get(order_id); + let price = order.get_price(); + let side = order.get_side(); + + let top_of_buys = *self.buys.get(0).unwrap_or(&Float::ZERO); + let bottom_of_sells = *self.sells.get(0).unwrap_or(&Float::INFINITY); + + match side { + Side::BUY => { + if price >= bottom_of_sells { + // If price >= bottom of sells, cross + // TODO + events.extend(self.cross(order_id).iter().cloned()); + } else { + // else place + // + // TODO: cancel if IOC order + // TODO: use binary_search_by for the fact that + // buys are in reverse order + match self.buys.binary_search(&price) { + Ok(_pos) => { + self.levels.get_mut(&price).unwrap().push_back(order_id); + } + Err(pos) => { + self.buys.insert(pos, price); + self.levels.insert(price, VecDeque::new()); + self.levels.get_mut(&price).unwrap().push_back(order_id); + } + } + } + } + Side::SELL => { + if price <= top_of_buys { + // If price <= top of buys, cross + // TODO + events.extend(self.cross(order_id).iter().cloned()); + } else { + // else place + // + // TODO: cancel if IOC order + match self.sells.binary_search(&price) { + Ok(_pos) => { + self.levels.get_mut(&price).unwrap().push_back(order_id); + } + Err(pos) => { + self.sells.insert(pos, price); + self.levels.insert(price, VecDeque::new()); + self.levels.get_mut(&price).unwrap().push_back(order_id); + } + } + } + } + } + events + } + + fn cross(&mut self, taker_order_id: Id) -> VecDeque { + let mut events = VecDeque::new(); + let order = self.order_manager.get(taker_order_id); + let _price = order.get_price(); + let volume_to_fill = order.get_volume_left(); + let side = order.get_side(); + let order_type = order.get_order_type(); + let _order_flag = order.get_order_flag(); + + // 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)> = 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 mut filled_so_far_in_txn = Float::from_int(0); + let mut current_price_level_index = 0; + + let side_of_book_to_cross: &VecDeque = match side { + Side::BUY => &mut self.sells, + Side::SELL => &mut self.buys, + }; + + let put_on_book_after = match order_type { + OrderType::MARKET => false, + OrderType::LIMIT => true, + _ => { + panic!("Not implemented yet"); + } + }; + + while filled_so_far_in_txn < volume_to_fill { + if side_of_book_to_cross.len() <= current_price_level_index { + // TODO exhausted all possible piquidity + return events; + } + + let price_level_price = side_of_book_to_cross[current_price_level_index]; + let orders_at_price_level = self.levels.get_mut(&price_level_price).unwrap(); + + // exhausted this price level, go on to next + if orders_at_price_level.is_empty() { + current_price_level_index += 1; + continue; + } + + // Grab the first order in line + let maker_order_id = orders_at_price_level.pop_front().unwrap(); + let maker_order = self.order_manager.get(maker_order_id); + let maker_order_volume = maker_order.get_volume_left(); + + if filled_so_far_in_txn + maker_order_volume > volume_to_fill { + let partial_fill_amount_on_maker_order = volume_to_fill - filled_so_far_in_txn; + + // partial fill of maker order + match maker_order.get_order_flag() { + OrderFlag::NONE => { + // handle the partial fill + + // modify the taker order filled + filled.push_back((taker_order_id, partial_fill_amount_on_maker_order)); + + // add the modify to the partial vec + partial.push_back(( + maker_order_id, + maker_order_volume - partial_fill_amount_on_maker_order, + )); + + // add volume to running + filled_so_far_in_txn += partial_fill_amount_on_maker_order; + + // TODO below + // generate the trade event + } + _ => { + // TODO cancel and move on if FOK + panic!("Not implemented yet"); + } + } + } else { + // complete fill of maker order + let fill_amount_on_maker_order = maker_order_volume; + + // TODO handle secondaries + + // handle the total fill + + // modify the taker order filled + partial.push_back((taker_order_id, fill_amount_on_maker_order)); + + // modify the maker order + filled.push_back((maker_order_id, fill_amount_on_maker_order)); + + // if taker order is limit, put it on the book + if put_on_book_after { + new.push_back(taker_order_id); + } + + // add the modify to the partial vec + // add volume to running + filled_so_far_in_txn += fill_amount_on_maker_order; + + // TODO below + // generate the trade event + } + } + + // Handle the fills + filled.iter().for_each(|&(order_id, to_add_to_fill)| { + self.order_manager.set_filled(order_id, to_add_to_fill) + }); + partial.iter().for_each(|&(order_id, to_add_to_fill)| { + self.order_manager.set_filled(order_id, to_add_to_fill) + }); + + new.iter() + .for_each(|&order_id| events.extend(self.add_internal(order_id))); + + 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().to_string(); + let count = self.count_at_level(*level); + ret += "\t\t"; + ret += &price; + ret += "\t"; + ret += &volume; + ret += "\t"; + ret += &count.to_string(); + ret += "\n"; + }); + ret += "====================================\n"; + self.buys.iter().rev().for_each(|level| { + let price = level.to_float().to_string(); + let volume = self.volume_at_level(*level).to_float().to_string(); + let count = self.count_at_level(*level); + ret += "\t"; + ret += &volume; + ret += "\t"; + ret += &price; + ret += "\t\t"; + ret += &count.to_string(); + ret += "\n"; + }); + ret += "}"; + write!(f, "{}", ret) + } +} + +/**********************************/ +#[cfg(test)] +use crate::core::EventTarget; + +#[cfg(test)] +use rand::Rng; + +#[cfg(test)] +mod order_book_tests { + use super::*; + + #[test] + fn test_new() { + let om = OrderManager::new(); + let ob = LimitOrderBook::new(Instrument {}, ExchangeType {}, None, &om); + + let (bid, ask) = ob.get_level(0); + assert_eq!(bid.price.to_float(), 0.0); + assert_eq!(bid.volume.to_float(), 0.0); + assert_eq!(bid.count, 0); + assert_eq!(ask.price.to_float(), 0.0); + assert_eq!(ask.volume.to_float(), 0.0); + assert_eq!(ask.count, 0); + } + + #[test] + fn test_basics() { + let om = OrderManager::new(); + let mut ob = LimitOrderBook::new(Instrument {}, ExchangeType {}, 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}"); + + let (bid, ask) = ob.get_level(0); + println!("{}, {}", bid, ask); + + assert_eq!(bid.price.to_float(), 10.0); + assert_eq!(bid.volume.to_float(), 10.0); + assert_eq!(bid.count, 1); + assert_eq!(ask.price.to_float(), 20.0); + assert_eq!(ask.volume.to_float(), 10.0); + assert_eq!(ask.count, 1); + } + + #[test] + fn test_add() { + let om = OrderManager::new(); + let mut ob = LimitOrderBook::new(Instrument {}, ExchangeType {}, 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}"); + + let (bid, ask) = ob.get_level(0); + assert_eq!(bid.price.to_float(), 10.0); + assert_eq!(bid.volume.to_float(), 10.0); + assert_eq!(bid.count, 1); + assert_eq!(ask.price.to_float(), 0.0); + assert_eq!(ask.volume.to_float(), 0.0); + assert_eq!(ask.count, 0); + + ob.add(o2.get_id()); + println!("{ob}"); + + let (bid, ask) = ob.get_level(0); + assert_eq!(bid.price.to_float(), 20.0); + assert_eq!(bid.volume.to_float(), 10.0); + assert_eq!(bid.count, 1); + assert_eq!(ask.price.to_float(), 0.0); + assert_eq!(ask.volume.to_float(), 0.0); + assert_eq!(ask.count, 0); + let (bid, ask) = ob.get_level(1); + assert_eq!(bid.price.to_float(), 10.0); + assert_eq!(bid.volume.to_float(), 10.0); + assert_eq!(bid.count, 1); + assert_eq!(ask.price.to_float(), 0.0); + assert_eq!(ask.volume.to_float(), 0.0); + assert_eq!(ask.count, 0); + + ob.add(o3.get_id()); + println!("{ob}"); + + let (bid, ask) = ob.get_level(0); + assert_eq!(bid.price.to_float(), 20.0); + assert_eq!(bid.volume.to_float(), 20.0); + assert_eq!(bid.count, 2); + assert_eq!(ask.price.to_float(), 0.0); + assert_eq!(ask.volume.to_float(), 0.0); + assert_eq!(ask.count, 0); + } + + #[test] + fn test_print() { + let om = OrderManager::new(); + let mut ob = LimitOrderBook::new(Instrument {}, ExchangeType {}, None, &om); + let mut rng = rand::thread_rng(); + + for x in 1..99 { + let side = if x > 50 { 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(), 25.0); + assert_eq!(bid.volume.to_float() < 200.0, true); + assert_eq!(bid.count, 2); + assert_eq!(ask.price.to_float(), 26.0); + assert_eq!(ask.volume.to_float() < 200.0, true); + assert_eq!(ask.count, 2); + } +} diff --git a/rust/aat/src/lib.rs b/rust/aat/src/lib.rs new file mode 100644 index 00000000..614452ff --- /dev/null +++ b/rust/aat/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 +}