Merge branch 'develop'

Author: rob

data/futures/csvconfig/spreadcosts.csv

@@ -39,7 +39,7 @@
 my_system = System([my_rules], data)
 print(my_system)
 
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac").tail(5))
 """
 Define a TradingRule
 """
@@ -59,7 +59,7 @@
 print(my_rules.trading_rules()["ewmac32"])
 
 my_system = System([my_rules], data)
-my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
+my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5)
 
 from sysdata.config.configdata import Config
 
@@ -69,25 +69,25 @@
 empty_rules = Rules()
 my_config.trading_rules = dict(ewmac8=ewmac_8, ewmac32=ewmac_32)
 my_system = System([empty_rules], data, my_config)
-my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5)
+my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5)
 
 from systems.forecast_scale_cap import ForecastScaleCap
 
 # we can estimate these ourselves
-my_config.instruments = ["US10", "EDOLLAR", "CORN", "SP500_micro"]
+my_config.instruments = ["US10", "SOFR", "CORN", "SP500_micro"]
 my_config.use_forecast_scale_estimates = True
 
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
 my_config.forecast_scalar_estimate["pool_instruments"] = False
-print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_forecast_scalar("SOFR", "ewmac32").tail(5))
 
 # or we can use the values from the book
 my_config.forecast_scalars = dict(ewmac8=5.3, ewmac32=2.65)
 my_config.use_forecast_scale_estimates = False
 fcs = ForecastScaleCap()
 my_system = System([fcs, my_rules], data, my_config)
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("SOFR", "ewmac32").tail(5))
 """
 combine some rules
 """
@@ -97,8 +97,8 @@
 # defaults
 combiner = ForecastCombine()
 my_system = System([fcs, my_rules, combiner], data, my_config)
-print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
-print(my_system.combForecast.get_forecast_diversification_multiplier("EDOLLAR").tail(5))
+print(my_system.combForecast.get_forecast_weights("SOFR").tail(5))
+print(my_system.combForecast.get_forecast_diversification_multiplier("SOFR").tail(5))
 
 # estimates:
 from systems.accounts.accounts_stage import Account
@@ -135,7 +135,7 @@
 my_system = System(
     [fcs, empty_rules, combiner, raw_data, position_size], data, my_config
 )  # no need for accounts if no estimation done
-my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5)
+my_system.combForecast.get_combined_forecast("SOFR").tail(5)
 
 # size positions
 
@@ -146,13 +146,13 @@
 
 my_system = System([fcs, my_rules, combiner, possizer, raw_data], data, my_config)
 
-print(my_system.positionSize.get_price_volatility("EDOLLAR").tail(5))
-print(my_system.positionSize.get_block_value("EDOLLAR").tail(5))
-print(my_system.positionSize.get_underlying_price("EDOLLAR"))
-print(my_system.positionSize.get_instrument_value_vol("EDOLLAR").tail(5))
-print(my_system.positionSize.get_volatility_scalar("EDOLLAR").tail(5))
+print(my_system.positionSize.get_price_volatility("SOFR").tail(5))
+print(my_system.positionSize.get_block_value("SOFR").tail(5))
+print(my_system.positionSize.get_underlying_price("SOFR"))
+print(my_system.positionSize.get_instrument_value_vol("SOFR").tail(5))
+print(my_system.positionSize.get_volatility_scalar("SOFR").tail(5))
 print(my_system.positionSize.get_vol_target_dict())
-print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
+print(my_system.positionSize.get_subsystem_position("SOFR").tail(5))
 
 # portfolio - estimated
 from systems.portfolio import Portfolios
@@ -178,14 +178,14 @@
 portfolio = Portfolios()
 my_config.use_instrument_weight_estimates = False
 my_config.use_instrument_div_mult_estimates = False
-my_config.instrument_weights = dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500=0.2)
+my_config.instrument_weights = dict(US10=0.1, SOFR=0.4, CORN=0.3, SP500=0.2)
 my_config.instrument_div_multiplier = 1.5
 
 my_system = System(
     [fcs, my_rules, combiner, possizer, portfolio, raw_data], data, my_config
 )
 
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))
 """
 Have we made some dosh?
 """
@@ -207,7 +207,7 @@
 my_config = Config(
     dict(
         trading_rules=dict(ewmac8=ewmac_8, ewmac32=ewmac_32),
-        instrument_weights=dict(US10=0.1, EDOLLAR=0.4, CORN=0.3, SP500_micro=0.2),
+        instrument_weights=dict(US10=0.1, SOFR=0.4, CORN=0.3, SP500_micro=0.2),
         instrument_div_multiplier=1.5,
         forecast_scalars=dict(ewmac8=5.3, ewmac32=2.65),
         forecast_weights=dict(ewmac8=0.5, ewmac32=0.5),
@@ -231,7 +231,7 @@
     data,
     my_config,
 )
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))
 """
 ... or to import one
 """
@@ -250,13 +250,13 @@
     data,
     my_config,
 )
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac32").tail(5))
-print(my_system.rules.get_raw_forecast("EDOLLAR", "ewmac8").tail(5))
-print(my_system.forecastScaleCap.get_capped_forecast("EDOLLAR", "ewmac32").tail(5))
-print(my_system.forecastScaleCap.get_forecast_scalar("EDOLLAR", "ewmac32"))
-print(my_system.combForecast.get_combined_forecast("EDOLLAR").tail(5))
-print(my_system.combForecast.get_forecast_weights("EDOLLAR").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac32").tail(5))
+print(my_system.rules.get_raw_forecast("SOFR", "ewmac8").tail(5))
+print(my_system.forecastScaleCap.get_capped_forecast("SOFR", "ewmac32").tail(5))
+print(my_system.forecastScaleCap.get_forecast_scalar("SOFR", "ewmac32"))
+print(my_system.combForecast.get_combined_forecast("SOFR").tail(5))
+print(my_system.combForecast.get_forecast_weights("SOFR").tail(5))
 
-print(my_system.positionSize.get_subsystem_position("EDOLLAR").tail(5))
+print(my_system.positionSize.get_subsystem_position("SOFR").tail(5))
 
-print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
+print(my_system.portfolio.get_notional_position("SOFR").tail(5))

examples/introduction/simplesystem.py

@@ -11,7 +11,7 @@
     IBInstrumentIdentity,
 )
 
-from syscore.constants import arg_not_supplied
+from syscore.constants import arg_not_supplied, missing_contract
 from syscore.cache import Cache
 from syscore.exceptions import missingContract
 
@@ -103,7 +103,7 @@ def log(self):
         return self._log
 
     def error_handler(
-        self, reqid: int, error_code: int, error_string: str, contract: ibContract
+        self, reqid: int, error_code: int, error_string: str, ib_contract: ibContract
     ):
         """
         Error handler called from server
@@ -116,32 +116,22 @@ def error_handler(
         :return: success
         """
 
-        msg = "Reqid %d: %d %s" % (reqid, error_code, error_string)
-
-        log_to_use = self._get_log_for_contract(contract)
+        msg = "Reqid %d: %d %s for %s" % (
+            reqid,
+            error_code,
+            error_string,
+            str(ib_contract),
+        )
 
         iserror = error_code in IB_IS_ERROR
         if iserror:
             # Serious requires some action
             myerror_type = IB_ERROR_TYPES.get(error_code, "generic")
-            self.broker_error(msg=msg, myerror_type=myerror_type, log=log_to_use)
+            self.broker_error(msg=msg, myerror_type=myerror_type, log=self.log)
 
         else:
             # just a general message
-            self.broker_message(msg=msg, log=log_to_use)
-
-    def _get_log_for_contract(self, contract: ibContract) -> pst_logger:
-        if contract is None:
-            log_to_use = self.log.setup()
-        else:
-            ib_expiry_str = contract.lastTradeDateOrContractMonth
-            instrument_code = self.get_instrument_code_from_broker_contract_object(
-                contract
-            )
-            futures_contract = futuresContract(instrument_code, ib_expiry_str)
-            log_to_use = futures_contract.specific_log(self.log)
-
-        return log_to_use
+            self.broker_message(msg=msg, log=self.log)
 
     def broker_error(self, msg, log, myerror_type):
         log.warn(msg)
@@ -205,6 +195,7 @@ def broker_identity_for_contract(
             ib_code=str(contract_details.contract.symbol),
             ib_multiplier=float(contract_details.contract.multiplier),
             ib_exchange=str(contract_details.contract.exchange),
+            ib_valid_exchange=str(contract_details.validExchanges),
         )
 
     def get_contract_details(
@@ -214,7 +205,6 @@ def get_contract_details(
         allow_multiple_contracts: bool = False,
     ) -> Union[ibContractDetails, List[ibContractDetails]]:
 
-        """CACHING HERE CAUSES TOO MANY ERRORS SO DON'T USE IT"""
         contract_details = self._get_contract_details(
             ib_contract_pattern, allow_expired=allow_expired
         )
@@ -226,7 +216,9 @@ def get_contract_details(
             return contract_details
 
         elif len(contract_details) > 1:
-            self.log.critical("Multiple contracts and only expected one")
+            self.log.critical(
+                "Multiple contracts and only expected one - returning the first"
+            )
 
         return contract_details[0]
 

sysbrokers/IB/client/ib_client.py

@@ -1,6 +1,7 @@
 from copy import copy
 from ib_insync import Contract
 
+from syscore.constants import missing_contract
 from syscore.cache import Cache
 from syscore.exceptions import missingData, missingContract
 from sysbrokers.IB.client.ib_client import ibClient

sysbrokers/IB/client/ib_contracts_client.py

@@ -7,6 +7,7 @@
     ibInstrumentConfigData,
 )
 from syscore.constants import missing_file, missing_instrument, arg_not_supplied
+from syscore.exceptions import missingData
 from syscore.fileutils import resolve_path_and_filename_for_package
 from syscore.genutils import return_another_value_if_nan
 from syslogdiag.log_to_screen import logtoscreen
@@ -104,6 +105,7 @@ class IBInstrumentIdentity:
     ib_code: str
     ib_multiplier: float
     ib_exchange: str
+    ib_valid_exchange: str
 
 
 def get_instrument_code_from_broker_instrument_identity(
@@ -115,20 +117,35 @@ def get_instrument_code_from_broker_instrument_identity(
     ib_code = ib_instrument_identity.ib_code
     ib_multiplier = ib_instrument_identity.ib_multiplier
     ib_exchange = ib_instrument_identity.ib_exchange
+    ib_valid_exchange = ib_instrument_identity.ib_valid_exchange
+
+    config_rows = _get_relevant_config_rows_from_broker_instrument_identity_fields(
+        config=config,
+        ib_code=ib_code,
+        ib_multiplier=ib_multiplier,
+        ib_exchange=ib_exchange,
+    )
 
-    config_rows = config[
-        (config.IBSymbol == ib_code)
-        & (config.IBMultiplier == ib_multiplier)
-        & (config.IBExchange == ib_exchange)
-    ]
     if len(config_rows) == 0:
-        msg = "Broker symbol %s (%s, %f) not found in configuration file!" % (
-            ib_code,
-            ib_exchange,
-            ib_multiplier,
-        )
-        log.critical(msg)
-        raise Exception(msg)
+        ## try something else
+        ## might have a weird exchange, but the exchange we want is in validExchanges
+        try:
+            config_rows = _get_relevant_config_rows_from_broker_instrument_identity_using_multiple_valid_exchanges(
+                config=config, ib_instrument_identity=ib_instrument_identity
+            )
+
+        except:
+            msg = (
+                "Broker symbol %s (exchange:%s, valid_exchange:%s multiplier:%f) not found in configuration file!"
+                % (
+                    ib_code,
+                    ib_exchange,
+                    ib_valid_exchange,
+                    ib_multiplier,
+                )
+            )
+            log.critical(msg)
+            raise Exception(msg)
 
     if len(config_rows) > 1:
 
@@ -142,6 +159,44 @@ def get_instrument_code_from_broker_instrument_identity(
     return config_rows.iloc[0].Instrument
 
 
+def _get_relevant_config_rows_from_broker_instrument_identity_using_multiple_valid_exchanges(
+    config: IBconfig, ib_instrument_identity: IBInstrumentIdentity
+) -> pd.Series:
+
+    ib_code = ib_instrument_identity.ib_code
+    ib_multiplier = ib_instrument_identity.ib_multiplier
+    ib_valid_exchange = ib_instrument_identity.ib_valid_exchange
+
+    valid_exchanges = ib_valid_exchange.split(",")
+
+    for ib_exchange in valid_exchanges:
+        config_rows = _get_relevant_config_rows_from_broker_instrument_identity_fields(
+            config=config,
+            ib_code=ib_code,
+            ib_multiplier=ib_multiplier,
+            ib_exchange=ib_exchange,
+        )
+
+        if len(config_rows) == 1:
+            ## we have a match!
+            return config_rows
+
+    raise missingData
+
+
+def _get_relevant_config_rows_from_broker_instrument_identity_fields(
+    config: IBconfig, ib_code: str, ib_multiplier: float, ib_exchange: str
+) -> pd.Series:
+
+    config_rows = config[
+        (config.IBSymbol == ib_code)
+        & (config.IBMultiplier == ib_multiplier)
+        & (config.IBExchange == ib_exchange)
+    ]
+
+    return config_rows
+
+
 def get_instrument_list_from_ib_config(
     config: IBconfig, log: pst_logger = logtoscreen("")
 ):

sysbrokers/IB/config/ib_instrument_config.py

@@ -13,6 +13,8 @@
 from sysbrokers.IB.client.ib_client import ibClient
 from sysbrokers.broker_instrument_data import brokerFuturesInstrumentData
 
+from syscore.constants import missing_contract
+from syscore.exceptions import missingContract
 from sysdata.data_blob import dataBlob
 
 from syslogdiag.log_to_screen import logtoscreen
@@ -34,11 +36,17 @@ def __repr__(self):
     def get_instrument_code_from_broker_contract_object(
         self, broker_contract_object: ibContract
     ) -> str:
-
-        return self.ib_client.get_instrument_code_from_broker_contract_object(
-            broker_contract_object
+        instrument_code = (
+            self.ib_client.get_instrument_code_from_broker_contract_object(
+                broker_contract_object
+            )
         )
 
+        if instrument_code is missing_contract:
+            raise missingContract
+
+        return instrument_code
+
     def _get_instrument_data_without_checking(self, instrument_code: str):
         return self.get_futures_instrument_object_with_IB_data(instrument_code)
 

sysbrokers/IB/ib_instruments_data.py

@@ -12,6 +12,7 @@ def __repr__(self):
 missing_instrument = named_object("missing instrument")
 missing_file = named_object("missing file")
 missing_data = named_object("missing data")
+missing_contract = named_object("missing contract")
 market_closed = named_object("market closed")
 fill_exceeds_trade = named_object("fill too big for trade")
 arg_not_supplied = named_object("arg not supplied")