Simplified account interface 2

neurallayer · Jul 10, 2024 · d64e517 · d64e517
1 parent 61244d3
commit d64e517
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Showing 32 changed files with 21 additions and 834 deletions.
diff --git a/pom.xml b/pom.xml
@@ -59,7 +59,6 @@
         <module>roboquant-jupyter</module>
         <module>roboquant-alpaca</module>
         <module>roboquant-polygon</module>
-        <module>roboquant-xchange</module>
         <module>roboquant-server</module>
         <module>roboquant-questdb</module>
         <module>roboquant-ssr</module>

diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt
@@ -54,7 +54,6 @@ class AlpacaBroker(
 
 
     private val alpacaAPI: AlpacaAPI
-    // private val handledTrades = mutableSetOf<String>()
     private val logger = Logging.getLogger(AlpacaBroker::class)
     private val orderPlacer: AlpaceOrderPlacer
 
@@ -222,39 +221,6 @@ class AlpacaBroker(
         return Position(asset, size, pos.avgEntryPrice.toDouble(), pos.currentPrice.toDouble())
     }
 
-    /**
-     * Sync the trades from the Alpaca account with the roboquant internal account
-
-    private fun syncTrades() {
-        val now = ZonedDateTime.now()
-        val accountActivities = alpacaAPI.accountActivities().get(
-            now, null, null, SortDirection.ASCENDING, 100, "", ActivityType.FILL
-        )
-        logger.debug { "Found ${accountActivities.size} FILL account activities" }
-        for (activity in accountActivities.filterIsInstance<TradeActivity>()) {
-            // Only add trades we know the order id of, ignore the rest
-            logger.debug { "Found trade $activity" }
-            val order = orderPlacer.findByAlapacaId(activity.orderId)
-            if (order == null) {
-                logger.warn { "Couldn't find order for trade=$activity" }
-                continue
-            }
-            if (order is Order && activity.id !in handledTrades) {
-                val trade = Trade(
-                    activity.transactionTime.toInstant(),
-                    order.asset,
-                    Size(activity.quantity.toBigDecimal()),
-                    activity.price.toDouble(),
-                    0.0,
-                    Double.NaN,
-                    order.id
-                )
-                _account.addTrade(trade)
-                handledTrades.add(activity.id)
-            }
-        }
-    }
-     */
 
     /**
      * @see Broker.sync
@@ -267,7 +233,6 @@ class AlpacaBroker(
         syncAccount()
         syncPositions()
         syncOrders()
-        // syncTrades()
         return _account.toAccount()
     }
 

diff --git a/roboquant-avro/pom.xml b/roboquant-avro/pom.xml
@@ -71,7 +71,7 @@
         <dependency>
             <groupId>com.fasterxml.jackson.core</groupId>
             <artifactId>jackson-core</artifactId>
-            <version>2.17.0</version>
+            <version>2.17.2</version>
         </dependency>
     </dependencies>
     <repositories>

diff --git a/roboquant-charts/pom.xml b/roboquant-charts/pom.xml
@@ -47,7 +47,7 @@
         <dependency>
             <groupId>com.google.code.gson</groupId>
             <artifactId>gson</artifactId>
-            <version>2.10.1</version>
+            <version>2.11.0</version>
         </dependency>
         <dependency>
             <groupId>org.icepear.echarts</groupId>

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/PriceBarChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/PriceBarChart.kt
@@ -39,7 +39,7 @@ import org.icepear.echarts.components.visualMap.PiecewiseVisualMap
 import org.icepear.echarts.components.visualMap.VisualPiece
 import org.icepear.echarts.origin.coord.cartesian.AxisOption
 import org.icepear.echarts.origin.util.SeriesOption
-import org.roboquant.brokers.Trade
+import org.roboquant.brokers.sim.Trade
 import org.roboquant.common.Asset
 import org.roboquant.common.Timeframe
 import org.roboquant.common.getBySymbol

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/PriceChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/PriceChart.kt
@@ -27,7 +27,7 @@ import org.icepear.echarts.components.legend.Legend
 import org.icepear.echarts.components.marker.MarkPoint
 import org.icepear.echarts.components.series.ItemStyle
 import org.icepear.echarts.components.series.LineStyle
-import org.roboquant.brokers.Trade
+import org.roboquant.brokers.sim.Trade
 import org.roboquant.common.*
 import org.roboquant.feeds.AssetFeed
 import org.roboquant.feeds.Feed

diff --git a/roboquant-charts/src/main/kotlin/org/roboquant/charts/TradeChart.kt b/roboquant-charts/src/main/kotlin/org/roboquant/charts/TradeChart.kt
@@ -26,7 +26,7 @@ import org.icepear.echarts.components.coord.cartesian.ValueAxis
 import org.icepear.echarts.components.dataZoom.DataZoom
 import org.icepear.echarts.components.toolbox.ToolboxDataZoomFeature
 import org.icepear.echarts.components.tooltip.Tooltip
-import org.roboquant.brokers.Trade
+import org.roboquant.brokers.sim.Trade
 import org.roboquant.common.Asset
 import org.roboquant.common.Currency
 import org.roboquant.common.UnsupportedException

diff --git a/.../roboquant/charts/InstructionChartTest.kt → ...in/org/roboquant/charts/OrderChartTest.kt b/.../roboquant/charts/InstructionChartTest.kt → ...in/org/roboquant/charts/OrderChartTest.kt
diff --git a/roboquant-charts/src/test/kotlin/org/roboquant/charts/TradeChartTest.kt b/roboquant-charts/src/test/kotlin/org/roboquant/charts/TradeChartTest.kt
@@ -16,7 +16,7 @@
 
 package org.roboquant.charts
 
-import org.roboquant.brokers.Trade
+import org.roboquant.brokers.sim.Trade
 import kotlin.test.Test
 import kotlin.test.assertTrue
 

diff --git a/roboquant-ibkr/src/main/kotlin/org/roboquant/ibkr/IBKRBroker.kt b/roboquant-ibkr/src/main/kotlin/org/roboquant/ibkr/IBKRBroker.kt
@@ -64,9 +64,6 @@ class IBKRBroker(
 
     private val logger = Logging.getLogger(IBKRBroker::class)
 
-    // Track IB Trades and Feed ids with roboquant trades
-    private val tradeMap = mutableMapOf<String, Trade>()
-
     init {
         config.configure()
         require(config.account.isBlank() || config.account.startsWith('D')) { "only paper trading is supported" }

diff --git a/roboquant-perf/src/main/kotlin/org/roboquant/perf/Performance.kt b/roboquant-perf/src/main/kotlin/org/roboquant/perf/Performance.kt
@@ -124,7 +124,7 @@ private object Performance {
             trades = 0
             repeat(backTests) {
                 val broker = SimBroker()
-                val account = run(feed, getStrategy(SKIP), broker = broker)
+                run(feed, getStrategy(SKIP), broker = broker)
                 trades += broker.trades.size
             }
 

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/Ta4JSignalStrategyTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/Ta4JSignalStrategyTest.kt
@@ -26,7 +26,6 @@ import org.ta4j.core.rules.CrossedUpIndicatorRule
 import org.ta4j.core.rules.StopGainRule
 import org.ta4j.core.rules.StopLossRule
 import kotlin.test.Test
-import kotlin.test.assertTrue
 
 internal class Ta4JSignalStrategyTest {
 

diff --git a/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibSignalStrategyTest.kt b/roboquant-ta/src/test/kotlin/org/roboquant/ta/TaLibSignalStrategyTest.kt
@@ -19,14 +19,12 @@ package org.roboquant.ta
 import com.tictactec.ta.lib.Compatibility
 import org.junit.jupiter.api.assertDoesNotThrow
 import org.junit.jupiter.api.assertThrows
-import org.roboquant.run
 import org.roboquant.common.Asset
 import org.roboquant.common.plus
 import org.roboquant.common.seconds
 import org.roboquant.feeds.Event
 import org.roboquant.feeds.PriceBar
 import org.roboquant.feeds.filter
-import org.roboquant.feeds.random.RandomWalk
 import org.roboquant.feeds.util.HistoricTestFeed
 import org.roboquant.strategies.Signal
 import org.roboquant.strategies.SignalStrategy

diff --git a/roboquant-xchange/pom.xml b/roboquant-xchange/pom.xml
diff --git a/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangeBroker.kt b/roboquant-xchange/src/main/kotlin/org/roboquant/xchange/XChangeBroker.kt