Fixed bug and moved to 3.0 release preparation

neurallayer · May 5, 2024 · 3e98997 · 3e98997
1 parent f45a428
commit 3e98997
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Showing 25 changed files with 85 additions and 27 deletions.
diff --git a/docs/run/perf.main.kts b/docs/run/perf.main.kts
@@ -14,6 +14,6 @@
  * limitations under the License.
  */
 
-@file:DependsOn("org.roboquant:roboquant-perf:2.3.0-SNAPSHOT")
+@file:DependsOn("org.roboquant:roboquant-perf:3.0.0-SNAPSHOT")
 
 org.roboquant.perf.main()
diff --git a/pom.xml b/pom.xml
@@ -22,7 +22,7 @@
 
     <artifactId>roboquant-parent</artifactId>
     <groupId>org.roboquant</groupId>
-    <version>2.3.0-SNAPSHOT</version>
+    <version>3.0.0-SNAPSHOT</version>
     <packaging>pom</packaging>
     <name>roboquant parent</name>
     <description>Algorithmic trading platform written in Kotlin</description>

diff --git a/roboquant-alpaca/pom.xml b/roboquant-alpaca/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-alpaca</artifactId>

diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaBroker.kt
@@ -141,7 +141,7 @@ class AlpacaBroker(
      * Closed orders will be ignored all together.
      */
     private fun loadExistingOrders() {
-        val openOrders = alpacaAPI.trader().orders().getAllOrders("OPEN", null, null, null, null, false, "", "")
+        val openOrders = alpacaAPI.trader().orders().getAllOrders(null, 500, null, null, null, false, "", "")
         for (order in openOrders) {
             logger.debug { "received open $order" }
             val rqOrder = toOrder(order)

diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaHistoricFeed.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpacaHistoricFeed.kt
@@ -131,7 +131,7 @@ class AlpacaHistoricFeed(
     fun retrieveStockPriceBars(
         symbols: String,
         timeframe: Timeframe,
-        frequency: String = "1D"
+        frequency: String = "1Day"
     ) {
         val (start, end) = toOffset(timeframe)
 

diff --git a/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt b/roboquant-alpaca/src/main/kotlin/org/roboquant/alpaca/AlpaceOrderPlacer.kt
@@ -18,6 +18,7 @@ package org.roboquant.alpaca
 
 import net.jacobpeterson.alpaca.AlpacaAPI
 import net.jacobpeterson.alpaca.openapi.trader.model.OrderSide
+import net.jacobpeterson.alpaca.openapi.trader.model.OrderType
 import net.jacobpeterson.alpaca.openapi.trader.model.PostOrderRequest
 import org.roboquant.common.AssetType
 import org.roboquant.common.UnsupportedException
@@ -71,9 +72,19 @@ internal class AlpaceOrderPlacer(private val alpacaAPI: AlpacaAPI, private val e
             .timeInForce(tif)
             .extendedHours(extendedHours)
 
-        if (order is LimitOrder) {
-            result.limitPrice(order.limit.toString())
-        }
+       when (order) {
+
+           is LimitOrder -> {
+               result.type(OrderType.LIMIT)
+               result.limitPrice(order.limit.toString())
+           }
+
+           is MarketOrder -> result.type(OrderType.MARKET)
+
+           else -> throw UnsupportedException("unsupported ordertype $order")
+
+       }
+
         return result
     }
 

diff --git a/roboquant-alpaca/src/test/kotlin/org/roboquant/samples/AlpacaSamples.kt b/roboquant-alpaca/src/test/kotlin/org/roboquant/samples/AlpacaSamples.kt
@@ -111,7 +111,24 @@ internal class AlpacaSamples {
         val events = feed.toList()
 
         with(events) {
-            println("events=$size start=${first().time} last=${last().time}")
+            println("events=$size start=${first().time} last=${last().time} symbols=${feed.assets.symbols.toList()}")
+        }
+
+    }
+
+    @Test
+    @Ignore
+    internal fun alpacaHistoricFeed3() {
+
+        val feed = AlpacaHistoricFeed()
+
+        // We get minute data
+        val tf = Timeframe.parse("2024-01-04", "2024-01-05")
+        feed.retrieveStockPriceBars("AAPL", timeframe = tf, "1Min")
+        val events = feed.toList()
+
+        with(events) {
+            println("events=$size start=${first().time} last=${last().time} symbols=${feed.assets.symbols.toList()}")
         }
 
     }
@@ -120,7 +137,7 @@ internal class AlpacaSamples {
     @Ignore
     internal fun singleOrder() {
         val broker = AlpacaBroker {
-            extendedHours = true
+            extendedHours = false
         }
         val order = MarketOrder(Asset("IBM"), Size.ONE)
         broker.place(listOf(order))

diff --git a/roboquant-alphavantage/pom.xml b/roboquant-alphavantage/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-alphavantage</artifactId>

diff --git a/roboquant-avro/pom.xml b/roboquant-avro/pom.xml
@@ -23,7 +23,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-avro</artifactId>

diff --git a/roboquant-binance/pom.xml b/roboquant-binance/pom.xml
@@ -23,7 +23,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-binance</artifactId>

diff --git a/roboquant-charts/pom.xml b/roboquant-charts/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-charts</artifactId>

diff --git a/roboquant-ibkr/pom.xml b/roboquant-ibkr/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-ibkr</artifactId>

diff --git a/roboquant-jupyter/pom.xml b/roboquant-jupyter/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-jupyter</artifactId>

diff --git a/roboquant-ml/pom.xml b/roboquant-ml/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-ml</artifactId>

diff --git a/roboquant-perf/pom.xml b/roboquant-perf/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-perf</artifactId>

diff --git a/roboquant-polygon/pom.xml b/roboquant-polygon/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-polygon</artifactId>

diff --git a/roboquant-questdb/pom.xml b/roboquant-questdb/pom.xml
@@ -23,7 +23,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-questdb</artifactId>
@@ -55,7 +55,7 @@
         <dependency>
             <groupId>org.roboquant</groupId>
             <artifactId>roboquant</artifactId>
-            <version>2.3.0-SNAPSHOT</version>
+            <version>3.0.0-SNAPSHOT</version>
             <type>test-jar</type>
             <scope>test</scope>
         </dependency>

diff --git a/roboquant-server/pom.xml b/roboquant-server/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-server</artifactId>

diff --git a/roboquant-ssr/pom.xml b/roboquant-ssr/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-ssr</artifactId>

diff --git a/roboquant-ta/pom.xml b/roboquant-ta/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-ta</artifactId>

diff --git a/roboquant-tiingo/pom.xml b/roboquant-tiingo/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-tiingo</artifactId>

diff --git a/roboquant-xchange/pom.xml b/roboquant-xchange/pom.xml
@@ -23,7 +23,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant-xchange</artifactId>

diff --git a/roboquant/pom.xml b/roboquant/pom.xml
@@ -22,7 +22,7 @@
     <parent>
         <artifactId>roboquant-parent</artifactId>
         <groupId>org.roboquant</groupId>
-        <version>2.3.0-SNAPSHOT</version>
+        <version>3.0.0-SNAPSHOT</version>
     </parent>
 
     <artifactId>roboquant</artifactId>

diff --git a/roboquant/src/main/kotlin/org/roboquant/journals/MultiRunJournal.kt b/roboquant/src/main/kotlin/org/roboquant/journals/MultiRunJournal.kt
@@ -20,6 +20,8 @@ class MultiRunJournal(private val fn: (String) -> MetricsJournal) {
         return journals.getValue(run)
     }
 
+    fun getRuns() = journals.keys.toList()
+
     fun getMetric(name: String) : Map<String, TimeSeries> {
         return journals.mapValues { it.value.getMetric(name) }
     }

diff --git a/roboquant/src/test/kotlin/org/roboquant/journals/MultiRunJournalTest.kt b/roboquant/src/test/kotlin/org/roboquant/journals/MultiRunJournalTest.kt
@@ -0,0 +1,28 @@
+package org.roboquant.journals
+
+import org.roboquant.common.years
+import org.roboquant.run
+import org.roboquant.feeds.random.RandomWalkFeed
+import org.roboquant.metrics.AccountMetric
+import org.roboquant.strategies.EMAStrategy
+import kotlin.test.Test
+import kotlin.test.assertEquals
+
+
+internal class MultiRunJournalTest {
+
+    @Test
+    fun basic() {
+        val feed = RandomWalkFeed.lastYears(5)
+        val mrj = MultiRunJournal {
+            MetricsJournal(AccountMetric())
+        }
+        val tfs = feed.timeframe.split(1.years)
+        for (tf in tfs) {
+            run(feed, EMAStrategy(), mrj.getJournal(tf.toString()), timeframe=tf)
+        }
+
+        assertEquals(tfs.size, mrj.getRuns().size)
+
+    }
+}