Merge pull request #7 from midassystems/add_rolls_on_futures

UPD: Updated mbn and midas_client.

midastrader/config.py

@@ -2,7 +2,7 @@
 from enum import Enum
 from typing import List
 from dataclasses import dataclass, field
-from mbn import Schema, Parameters as MbnParameters
+from mbn import Dataset, Schema, Parameters as MbnParameters, Stype
 
 from midastrader.utils import iso_to_unix
 from midastrader.structs import Symbol, SymbolFactory
@@ -128,6 +128,8 @@ class Parameters:
     strategy_name: str
     capital: int
     schema: Schema
+    dataset: Dataset
+    stype: Stype
     data_type: LiveDataType
     start: str
     end: str
@@ -238,5 +240,7 @@ def from_dict(cls, data: dict) -> "Parameters":
             end=data["end"],
             symbols=symbols,
             schema=data["schema"],
+            dataset=data["dataset"],
+            stype=data["stype"],
             risk_free_rate=data["risk_free_rate"],
         )

midastrader/data/adaptors/historical/data_client.py

@@ -105,6 +105,8 @@ def get_data(self, parameters: Parameters) -> bool:
                 parameters.start,
                 parameters.end,
                 parameters.schema,
+                parameters.dataset,
+                parameters.stype,
             )
             data = self.database_client.historical.get_records(params)
 

midastrader/data/adaptors/ib/client.py

@@ -252,6 +252,7 @@ def stream_quote_data(self, contract: Contract) -> None:
             bbo_obj = BboMsg(
                 instrument_id=instrument_id,
                 ts_event=0,
+                rollover_flag=0,
                 price=0,
                 size=0,
                 side=Side.NONE,

midastrader/data/adaptors/ib/wrapper.py

@@ -209,6 +209,7 @@ def realtimeBar(
         bar = OhlcvMsg(
             instrument_id=instrument_id,
             ts_event=int(time * 1e9),
+            rollover_flag=0,
             open=int(open_ * 1e9),
             high=int(high * 1e9),
             low=int(low * 1e9),

midastrader/structs/events/rollover_event.py

@@ -0,0 +1,33 @@
+from dataclasses import dataclass, field
+from midastrader.structs.events.base import SystemEvent
+
+
+@dataclass
+class RolloverEvent(SystemEvent):
+    """
+    Represents end of historical data stream.
+
+    An EOD event is triggered at the end of a trading day to initiate tasks such as
+    mark-to-market evaluations, portfolio reconciliation, and daily summary calculations.
+    This event captures the date for which the end-of-day processing applies.
+
+    Attributes:
+        timestamp (date): The date representing the end-of-day moment.
+        type (str): Event type, automatically set to 'END-OF-DAY'.
+    """
+
+    timestamp: int
+    instrument: int
+    old_price: float
+    new_price: float
+    type: str = field(init=False, default="END-STREAM")
+
+    def __str__(self) -> str:
+        """
+        Returns a human-readable string representation of the `EODEvent`.
+
+        Returns:
+            str: A formatted string showing the event type and timestamp.
+        """
+        string = f"\n{self.type} EVENT"
+        return string

tests/integration/strategy/config.toml

@@ -12,7 +12,8 @@ output_path = "tests/integration/backtest/output/"
 url = "http://192.53.120.167:8080" #"http://127.0.0.1:8080"
 key = "your_database_key"
 # data_file= "tests/integration/primer.bin" 
-data_file="tests/integration/test_ohlcv-1h.bin"
+# data_file="tests/integration/test_ohlcv-1h.bin"
+data_file= "tests/integration/test_HE.c.0_ZC.c.0_ohlcv-1h_2024-09-01_2024-12-31.bin"
 
 # [vendor.interactive_brokers]
 # tick_interval = 5 # only matters for tick data
@@ -42,6 +43,8 @@ tick_interval = 5 # only matters for tick data
 schema = "ohlcv-1h"
 start = "2024-09-01"
 end = "2024-12-10"
+stype= "continuous"
+dataset= "futures"
 test_start = ""
 test_end = "2024-12-11" #2024-05-04 00:00:00"
 missing_values_strategy = "drop"
@@ -53,7 +56,7 @@ type= "Future"
 instrument_id=43
 broker_ticker= "HE"
 data_ticker= "HE"
-midas_ticker="HE.n.0"
+midas_ticker="HE.c.0"
 security_type = "FUTURE"
 currency= "USD"
 exchange= "CME"
@@ -81,7 +84,7 @@ type= "Future"
 instrument_id=70
 broker_ticker= "ZC"
 data_ticker= "ZC"
-midas_ticker="ZC.n.0"
+midas_ticker="ZC.c.0"
 security_type= "FUTURE"
 currency= "USD"
 exchange= "CBOT"

tests/unit/config.toml

@@ -12,7 +12,7 @@ output_path = "output/"
 [vendor.historical]
 url = "http://127.0.0.1:8080"
 key = "your_database_key"
-data_file= "tests/unit/hogs_corn_ohlcv1h.bin" 
+data_file= "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
 
 [vendor.interactive_brokers]
 host="127.0.0.1"
@@ -41,6 +41,8 @@ tick_interval = 5 # only matters for tick data
 schema = "ohlcv-1h"
 start = "2024-01-01"
 end = "2024-01-31"
+stype= "continuous"
+dataset= "futures"
 missing_values_strategy = "drop"
 risk_free_rate = 0.04
 

tests/unit/core/performance/test_base.py

@@ -110,6 +110,8 @@ def setUp(self) -> None:
 
         # Parameters
         self.schema = "Ohlcv-1s"
+        self.stype = "continuous"
+        self.dataset = "futures"
         self.strategy_name = "Testing"
         self.capital = 1000000
         self.data_type = random.choice([LiveDataType.BAR, LiveDataType.TICK])
@@ -126,6 +128,8 @@ def setUp(self) -> None:
             data_type=self.data_type,
             start=self.start,
             end=self.end,
+            stype="continuous",
+            dataset="futures",
             # test_start=self.test_start,
             # test_end=self.test_end,
             risk_free_rate=0.9,

tests/unit/core/test_base_strategy.py

@@ -51,6 +51,7 @@ def setUp(self) -> None:
         self.bar = OhlcvMsg(
             instrument_id=1,
             ts_event=self.timestamp,
+            rollover_flag=0,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
             high=int(75.90 * 1e9),
@@ -85,6 +86,7 @@ def test_process(self):
         self.timestamp = 1707221160000000000
         self.bar = OhlcvMsg(
             instrument_id=1,
+            rollover_flag=0,
             ts_event=self.timestamp,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),

tests/unit/core/test_order_book.py

@@ -31,6 +31,7 @@ def setUp(self) -> None:
         self.timestamp = 1707221160000000000
         self.bar = OhlcvMsg(
             instrument_id=1,
+            rollover_flag=0,
             ts_event=self.timestamp,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
@@ -41,6 +42,7 @@ def setUp(self) -> None:
 
         self.bar2 = OhlcvMsg(
             instrument_id=1,
+            rollover_flag=0,
             ts_event=self.timestamp,
             open=int(90.90 * 1e9),
             close=int(9000.90 * 1e9),
@@ -51,6 +53,7 @@ def setUp(self) -> None:
 
         self.tick = BboMsg(
             instrument_id=2,
+            rollover_flag=0,
             ts_event=self.timestamp,
             price=int(12 * 1e9),
             size=12345,
@@ -193,6 +196,7 @@ def setUp(self) -> None:
         self.timestamp = 1707221160000000000
         self.bar = OhlcvMsg(
             instrument_id=1,
+            rollover_flag=0,
             ts_event=self.timestamp,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
@@ -204,6 +208,7 @@ def setUp(self) -> None:
         self.tick = BboMsg(
             instrument_id=2,
             ts_event=self.timestamp,
+            rollover_flag=0,
             price=int(12 * 1e9),
             size=12345,
             side=Side.NONE,

tests/unit/data/historical/test_data_client.py

@@ -3,7 +3,7 @@
 from time import sleep
 from datetime import datetime, time
 from unittest.mock import Mock, MagicMock
-from mbn import OhlcvMsg
+from mbn import Dataset, OhlcvMsg, Schema, Stype
 
 from midastrader.config import LiveDataType, Parameters, Mode
 from midastrader.structs.events import EODEvent
@@ -90,8 +90,9 @@ def setUp(self) -> None:
 
         # Dataclient instance
         self.bus = MessageBus()
-
-        kwargs = {"data_file": "tests/unit/hogs_corn_ohlcv1h.bin"}
+        kwargs = {
+            "data_file": "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
+        }
         self.adaptor = HistoricalAdaptor(
             self.symbols_map,
             self.bus,
@@ -104,15 +105,19 @@ def test_get_data_file(self):
         params = Parameters(
             strategy_name="Testing",
             capital=10000000,
-            schema="Ohlcv-1d",
+            schema=Schema.OHLCV1_D,
+            dataset=Dataset.FUTURES,
+            stype=Stype.CONTINUOUS,
             data_type=LiveDataType.BAR,
             start="2024-10-01",
             end="2024-10-05",
             risk_free_rate=0.9,
             symbols=self.symbols,
         )
 
-        kwargs = {"data_file": "tests/unit/hogs_corn_ohlcv1h.bin"}
+        kwargs = {
+            "data_file": "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
+        }
         adaptor = HistoricalAdaptor(self.symbols_map, self.bus, **kwargs)
 
         # Test
@@ -127,7 +132,9 @@ def test_get_data_database(self):
         params = Parameters(
             strategy_name="Testing",
             capital=10000000,
-            schema="Ohlcv-1d",
+            schema=Schema.OHLCV1_D,
+            dataset=Dataset.FUTURES,
+            stype=Stype.CONTINUOUS,
             data_type=LiveDataType.BAR,
             start="2024-10-01",
             end="2024-10-05",
@@ -161,6 +168,7 @@ def test_check_eod(self):
         bar = OhlcvMsg(
             instrument_id=1,
             ts_event=1727916834000000000,
+            rollover_flag=0,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
             high=int(75.90 * 1e9),
@@ -185,6 +193,7 @@ def test_check_eod_not(self):
         bar = OhlcvMsg(
             instrument_id=1,
             ts_event=1727888034000000000,
+            rollover_flag=0,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
             high=int(75.90 * 1e9),
@@ -210,6 +219,7 @@ def test_data_stream(self):
         record = OhlcvMsg(
             instrument_id=1,
             ts_event=1707221160000000000,
+            rollover_flag=0,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
             high=int(75.90 * 1e9),

tests/unit/data/ib/test_data_wrapper.py

@@ -103,6 +103,7 @@ def test_tickPrice(self):
         bbo_obj = BboMsg(
             instrument_id=1,
             ts_event=0,
+            rollover_flag=0,
             price=0,
             size=0,
             side=Side.NONE,
@@ -152,6 +153,7 @@ def test_tickSize(self):
         bbo_obj = BboMsg(
             instrument_id=1,
             ts_event=0,
+            rollover_flag=0,
             price=0,
             size=0,
             side=Side.NONE,
@@ -199,6 +201,7 @@ def test_tickString(self):
         bbo_obj = BboMsg(
             instrument_id=1,
             ts_event=0,
+            rollover_flag=0,
             price=0,
             size=0,
             side=Side.NONE,
@@ -233,6 +236,7 @@ def test_push_market_event(self):
         bbo_obj = BboMsg(
             instrument_id=1,
             ts_event=0,
+            rollover_flag=0,
             price=0,
             size=0,
             side=Side.NONE,

tests/unit/execution/dummy/test_dummy_broker.py

@@ -247,6 +247,7 @@ def test_update_account(self):
             return_value=OhlcvMsg(
                 instrument_id=1,
                 ts_event=1777700000000000,
+                rollover_flag=0,
                 open=int(80.90 * 1e9),
                 close=int(90 * 1e9),
                 high=int(75.90 * 1e9),
@@ -442,6 +443,7 @@ def test_liquidate_positions(self):
             return_value=OhlcvMsg(
                 instrument_id=1,
                 ts_event=1777700000000000,
+                rollover_flag=0,
                 open=int(80.90 * 1e9),
                 close=int(90 * 1e9),
                 high=int(75.90 * 1e9),

tests/unit/structs/events/test_market_event.py

@@ -12,6 +12,7 @@ def setUp(self) -> None:
         self.bar = OhlcvMsg(
             instrument_id=1,
             ts_event=self.timestamp,
+            rollover_flag=0,
             open=int(80.90 * 1e9),
             close=int(9000.90 * 1e9),
             high=int(75.90 * 1e9),
@@ -21,6 +22,7 @@ def setUp(self) -> None:
         self.tick = BboMsg(
             instrument_id=1,
             ts_event=self.timestamp,
+            rollover_flag=0,
             price=int(12 * 1e9),
             size=12345,
             side=Side.NONE,