tensortrade 1.0.0b0__py3-none-any.whl → 1.0.4__py3-none-any.whl

tensortrade/oms/exchanges/exchange.py

@@ -1,164 +1,176 @@
-# Copyright 2019 The TensorTrade Authors.
-#
-# Licensed under the Apache License, Version 2.0 (the "License");
-# you may not use this file except in compliance with the License.
-# You may obtain a copy of the License at
-#
-#     http://www.apache.org/licenses/LICENSE-2.0
-#
-# Unless required by applicable law or agreed to in writing, software
-# distributed under the License is distributed on an "AS IS" BASIS,
-# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-# See the License for the specific language governing permissions and
-# limitations under the License.
-
-
-from typing import Callable
-from decimal import Decimal
-
-from tensortrade.core import Component, TimedIdentifiable
-from tensortrade.oms.instruments import TradingPair
-
-
-class ExchangeOptions:
-    """An options class to specify the settings of an exchange.
-
-    Parameters
-    ----------
-    commission : float, default 0.003
-        The percentage of the order size taken by the exchange.
-    min_trade_size : float, default 1e-6
-        The minimum trade size an order can have.
-    max_trade_size : float, default 1e6
-        The maximum trade size an order can have.
-    min_trade_price : float, default 1e-8
-        The minimum price an exchange can have.
-    max_trade_price : float, default 1e8
-        The maximum price an exchange can have.
-    is_live : bool, default False
-        Whether live orders should be submitted to the exchange.
-    """
-
-    def __init__(self,
-                 commission: float = 0.003,
-                 min_trade_size: float = 1e-6,
-                 max_trade_size: float = 1e6,
-                 min_trade_price: float = 1e-8,
-                 max_trade_price: float = 1e8,
-                 is_live: bool = False):
-        self.commission = commission
-        self.min_trade_size = min_trade_size
-        self.max_trade_size = max_trade_size
-        self.min_trade_price = min_trade_price
-        self.max_trade_price = max_trade_price
-        self.is_live = is_live
-
-
-class Exchange(Component, TimedIdentifiable):
-    """An abstract exchange for use within a trading environment.
-
-    Parameters
-    ----------
-    name : str
-        The name of the exchange.
-    service : `Union[Callable, str]`
-        The service to be used for filling orders.
-    options : `ExchangeOptions`
-        The options used to specify the setting of the exchange.
-    """
-
-    registered_name = "exchanges"
-
-    def __init__(self,
-                 name: str,
-                 service: Callable,
-                 options: ExchangeOptions = None):
-        super().__init__()
-        self.name = name
-        self._service = service
-        self.options = options if options else ExchangeOptions()
-        self._price_streams = {}
-
-    def __call__(self, *streams) -> "Exchange":
-        """Sets up the price streams used to generate the prices.
-
-        Parameters
-        ----------
-        *streams
-            The positional arguments each being a price stream.
-
-        Returns
-        -------
-        `Exchange`
-            The exchange the price streams were passed in for.
-        """
-        for s in streams:
-            pair = "".join([c if c.isalnum() else "/" for c in s.name])
-            self._price_streams[pair] = s.rename(self.name + ":/" + s.name)
-        return self
-
-    def streams(self) -> "List[Stream[float]]":
-        """Gets the price streams for the exchange.
-
-        Returns
-        -------
-        `List[Stream[float]]`
-            The price streams for the exchange.
-        """
-        return list(self._price_streams.values())
-
-    def quote_price(self, trading_pair: "TradingPair") -> "Decimal":
-        """The quote price of a trading pair on the exchange, denoted in the
-        core instrument.
-
-        Parameters
-        ----------
-        trading_pair : `TradingPair`
-            The trading pair to get the quote price for.
-
-        Returns
-        -------
-        `Decimal`
-            The quote price of the specified trading pair, denoted in the core instrument.
-        """
-        price = Decimal(self._price_streams[str(trading_pair)].value)
-        price = price.quantize(Decimal(10)**-trading_pair.base.precision)
-        return price
-
-    def is_pair_tradable(self, trading_pair: 'TradingPair') -> bool:
-        """Whether or not the specified trading pair is tradable on this
-        exchange.
-
-        Parameters
-        ----------
-        trading_pair : `TradingPair`
-            The trading pair to test the tradability of.
-
-        Returns
-        -------
-        bool
-            Whether or not the pair is tradable.
-        """
-        return str(trading_pair) in self._price_streams.keys()
-
-    def execute_order(self, order: 'Order', portfolio: 'Portfolio') -> None:
-        """Execute an order on the exchange.
-
-        Parameters
-        ----------
-        order: `Order`
-            The order to execute.
-        portfolio : `Portfolio`
-            The portfolio to use.
-        """
-        trade = self._service(
-            order=order,
-            base_wallet=portfolio.get_wallet(self.id, order.pair.base),
-            quote_wallet=portfolio.get_wallet(self.id, order.pair.quote),
-            current_price=self.quote_price(order.pair),
-            options=self.options,
-            clock=self.clock
-        )
-
-        if trade:
-            order.fill(trade)
+# Copyright 2019 The TensorTrade Authors.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+
+from typing import Callable
+from decimal import Decimal
+
+from tensortrade.core import Component, TimedIdentifiable
+from tensortrade.oms.instruments import TradingPair
+
+
+class ExchangeOptions:
+    """An options class to specify the settings of an exchange.
+
+    Parameters
+    ----------
+    commission : float, default 0.003
+        The percentage of the order size taken by the exchange.
+    min_trade_size : float, default 1e-6
+        The minimum trade size an order can have.
+    max_trade_size : float, default 1e6
+        The maximum trade size an order can have.
+    min_trade_price : float, default 1e-8
+        The minimum price an exchange can have.
+    max_trade_price : float, default 1e8
+        The maximum price an exchange can have.
+    is_live : bool, default False
+        Whether live orders should be submitted to the exchange.
+    """
+
+    def __init__(self,
+                 commission: float = 0.003,
+                 min_trade_size: float = 1e-6,
+                 max_trade_size: float = 1e6,
+                 min_trade_price: float = 1e-8,
+                 max_trade_price: float = 1e8,
+                 is_live: bool = False):
+        self.commission = commission
+        self.min_trade_size = min_trade_size
+        self.max_trade_size = max_trade_size
+        self.min_trade_price = min_trade_price
+        self.max_trade_price = max_trade_price
+        self.is_live = is_live
+
+
+class Exchange(Component, TimedIdentifiable):
+    """An abstract exchange for use within a trading environment.
+
+    Parameters
+    ----------
+    name : str
+        The name of the exchange.
+    service : `Union[Callable, str]`
+        The service to be used for filling orders.
+    options : `ExchangeOptions`
+        The options used to specify the setting of the exchange.
+    """
+
+    registered_name = "exchanges"
+
+    def __init__(self,
+                 name: str,
+                 service: Callable,
+                 options: ExchangeOptions = None):
+        super().__init__()
+        self.name = name
+        self._service = service
+        self.options = options if options else ExchangeOptions()
+        self._price_streams = {}
+
+    def __call__(self, *streams) -> "Exchange":
+        """Sets up the price streams used to generate the prices.
+
+        Parameters
+        ----------
+        *streams
+            The positional arguments each being a price stream.
+
+        Returns
+        -------
+        `Exchange`
+            The exchange the price streams were passed in for.
+        """
+        for s in streams:
+            # Standardize stream naming convention
+            pair = "".join([c if c.isalnum() else "/" for c in s.name])
+            # Use consistent naming: exchange_name:/base-quote
+            stream_name = f"{self.name}:/{s.name}"
+            self._price_streams[pair] = s.rename(stream_name)
+        return self
+
+    def streams(self) -> "List[Stream[float]]":
+        """Gets the price streams for the exchange.
+
+        Returns
+        -------
+        `List[Stream[float]]`
+            The price streams for the exchange.
+        """
+        return list(self._price_streams.values())
+
+    def quote_price(self, trading_pair: "TradingPair") -> "Decimal":
+        """The quote price of a trading pair on the exchange, denoted in the
+        core instrument.
+
+        Parameters
+        ----------
+        trading_pair : `TradingPair`
+            The trading pair to get the quote price for.
+
+        Returns
+        -------
+        `Decimal`
+            The quote price of the specified trading pair, denoted in the core instrument.
+        """
+        price = Decimal(self._price_streams[str(trading_pair)].value)
+        if price == 0:
+            raise ValueError("Price of trading pair {} is 0. Please check your input data to make sure there always is "
+                             "a valid (nonzero) price.".format(trading_pair))
+
+        price = price.quantize(Decimal(10) ** -trading_pair.base.precision)
+        if price == 0:
+            raise ValueError("Price quantized in base currency precision ({}) would amount to 0 {}. "
+                             "Please consider defining a custom instrument with a higher precision."
+                             .format(trading_pair.base.precision, trading_pair.base))
+
+        return price
+
+    def is_pair_tradable(self, trading_pair: 'TradingPair') -> bool:
+        """Whether or not the specified trading pair is tradable on this
+        exchange.
+
+        Parameters
+        ----------
+        trading_pair : `TradingPair`
+            The trading pair to test the tradability of.
+
+        Returns
+        -------
+        bool
+            Whether or not the pair is tradable.
+        """
+        return str(trading_pair) in self._price_streams.keys()
+
+    def execute_order(self, order: 'Order', portfolio: 'Portfolio') -> None:
+        """Execute an order on the exchange.
+
+        Parameters
+        ----------
+        order: `Order`
+            The order to execute.
+        portfolio : `Portfolio`
+            The portfolio to use.
+        """
+        trade = self._service(
+            order=order,
+            base_wallet=portfolio.get_wallet(self.id, order.pair.base),
+            quote_wallet=portfolio.get_wallet(self.id, order.pair.quote),
+            current_price=self.quote_price(order.pair),
+            options=self.options,
+            clock=self.clock
+        )
+
+        if trade:
+            order.fill(trade)

tensortrade/oms/instruments/__init__.py

@@ -1,5 +1,5 @@
-from .exchange_pair import ExchangePair
-from .instrument import *
-from .quantity import Quantity
-from .trading_pair import TradingPair
-
+from .exchange_pair import ExchangePair
+from .instrument import *
+from .quantity import Quantity
+from .trading_pair import TradingPair
+

tensortrade/oms/instruments/exchange_pair.py

@@ -1,44 +1,44 @@
-
-from decimal import Decimal
-
-
-class ExchangePair:
-    """A pair of financial instruments to be traded on a specific exchange.
-
-    Parameters
-    ----------
-    exchange : `Exchange`
-        An exchange that contains the `pair` for trading.
-    pair : `TradingPair`
-        A trading pair available on the `exchange`.
-    """
-
-    def __init__(self, exchange: "Exchange", pair: "TradingPair"):
-        self.exchange = exchange
-        self.pair = pair
-
-    @property
-    def price(self) -> "Decimal":
-        """The quoted price of the trading pair. (`Decimal`, read-only)"""
-        return self.exchange.quote_price(self.pair)
-
-    @property
-    def inverse_price(self) -> "Decimal":
-        """The inverse price of the trading pair. (`Decimal, read-only)"""
-        quantization = Decimal(10) ** -self.pair.quote.precision
-        return Decimal(self.price ** Decimal(-1)).quantize(quantization)
-
-    def __hash__(self):
-        return hash(str(self))
-
-    def __eq__(self, other):
-        if isinstance(other, ExchangePair):
-            if str(self) == str(other):
-                return True
-        return False
-
-    def __str__(self):
-        return "{}:{}".format(self.exchange.name, self.pair)
-
-    def __repr__(self):
-        return str(self)
+
+from decimal import Decimal
+
+
+class ExchangePair:
+    """A pair of financial instruments to be traded on a specific exchange.
+
+    Parameters
+    ----------
+    exchange : `Exchange`
+        An exchange that contains the `pair` for trading.
+    pair : `TradingPair`
+        A trading pair available on the `exchange`.
+    """
+
+    def __init__(self, exchange: "Exchange", pair: "TradingPair"):
+        self.exchange = exchange
+        self.pair = pair
+
+    @property
+    def price(self) -> "Decimal":
+        """The quoted price of the trading pair. (`Decimal`, read-only)"""
+        return self.exchange.quote_price(self.pair)
+
+    @property
+    def inverse_price(self) -> "Decimal":
+        """The inverse price of the trading pair. (`Decimal, read-only)"""
+        quantization = Decimal(10) ** -self.pair.quote.precision
+        return Decimal(self.price ** Decimal(-1)).quantize(quantization)
+
+    def __hash__(self):
+        return hash(str(self))
+
+    def __eq__(self, other):
+        if isinstance(other, ExchangePair):
+            if str(self) == str(other):
+                return True
+        return False
+
+    def __str__(self):
+        return "{}:{}".format(self.exchange.name, self.pair)
+
+    def __repr__(self):
+        return str(self)