Merge branch 'develop' of https://github.com/robcarver17/pysystemtrade …

…into develop

sysexecution/algos/algo_market.py

@@ -2,6 +2,7 @@
 Simplest possible execution method, one market order
 """
 from copy import copy
+import time
 from sysexecution.orders.named_order_objects import missing_order
 
 from sysexecution.algos.algo import Algo
@@ -86,6 +87,7 @@ def manage_live_trade(
             % str(broker_order_with_controls.order)
         )
         while trade_open:
+            time.sleep(0.001)
             log_message_required = broker_order_with_controls.message_required(
                 messaging_frequency_seconds=MESSAGING_FREQUENCY
             )

sysexecution/algos/algo_original_best.py

@@ -2,7 +2,7 @@
 This is the original 'best execution' algo I used in my legacy system
 """
 from typing import Union
-
+import time
 from syscore.exceptions import missingData, marketClosed
 from sysexecution.orders.named_order_objects import missing_order
 
@@ -111,7 +111,7 @@ def prepare_and_submit_trade(self) -> orderWithControls:
         try:
             okay_to_do_limit_trade = limit_trade_viable(
                 ticker_object=ticker_object,
-                data=data,
+                data_broker=self.data_broker,
                 order=cut_down_contract_order,
                 log=log,
             )
@@ -151,7 +151,6 @@ def manage_live_trade(
         log = broker_order_with_controls_and_order_id.order.log_with_attributes(
             data.log
         )
-        data_broker = dataBroker(data)
 
         trade_open = True
         is_aggressive = False
@@ -165,6 +164,7 @@ def manage_live_trade(
         )
 
         while trade_open:
+            time.sleep(0.001)
             if broker_order_with_controls_and_order_id.message_required(
                 messaging_frequency_seconds=MESSAGING_FREQUENCY
             ):
@@ -176,12 +176,13 @@ def manage_live_trade(
                 if is_aggressive:
                     ## aggressive keep limit price in line
                     set_aggressive_limit_price(
-                        data, broker_order_with_controls_and_order_id
+                        data_broker=self.data_broker,
+                        broker_order_with_controls=broker_order_with_controls_and_order_id,
                     )
                 else:
                     # passive limit trade
                     reason_to_switch = reason_to_switch_to_aggressive(
-                        data=data,
+                        data_broker=self.data_broker,
                         broker_order_with_controls=broker_order_with_controls_and_order_id,
                         log=log,
                     )
@@ -210,8 +211,10 @@ def manage_live_trade(
                 )
                 break
 
-            order_cancelled = data_broker.check_order_is_cancelled_given_control_object(
-                broker_order_with_controls_and_order_id
+            order_cancelled = (
+                self.data_broker.check_order_is_cancelled_given_control_object(
+                    broker_order_with_controls_and_order_id
+                )
             )
             if order_cancelled:
                 log.warning("Order has been cancelled: not by algo")
@@ -221,7 +224,10 @@ def manage_live_trade(
 
 
 def limit_trade_viable(
-    data: dataBlob, order: contractOrder, ticker_object: tickerObject, log: pst_logger
+    data_broker: dataBroker,
+    order: contractOrder,
+    ticker_object: tickerObject,
+    log: pst_logger,
 ) -> bool:
 
     # no point doing limit order if we've got imbalanced size issues, as we'd
@@ -235,7 +241,7 @@ def limit_trade_viable(
         return False
 
     # or if not enough time left
-    if is_market_about_to_close(data, order=order, log=log):
+    if is_market_about_to_close(data_broker=data_broker, order=order, log=log):
 
         log.debug(
             "Market about to close or stack handler nearly close - doing market order"
@@ -284,7 +290,9 @@ def file_log_report_limit_order(
 
 
 def reason_to_switch_to_aggressive(
-    data: dataBlob, broker_order_with_controls: orderWithControls, log: pst_logger
+    data_broker: dataBroker,
+    broker_order_with_controls: orderWithControls,
+    log: pst_logger,
 ) -> str:
     ticker_object = broker_order_with_controls.ticker
 
@@ -298,7 +306,7 @@ def reason_to_switch_to_aggressive(
         )
 
     market_about_to_close = is_market_about_to_close(
-        data=data, order=broker_order_with_controls, log=log
+        data_broker=data_broker, order=broker_order_with_controls, log=log
     )
     if market_about_to_close:
         return "Market is closing soon or stack handler will end soon"
@@ -325,11 +333,10 @@ def reason_to_switch_to_aggressive(
 
 
 def is_market_about_to_close(
-    data: dataBlob,
+    data_broker: dataBroker,
     order: Union[brokerOrder, contractOrder, orderWithControls],
     log: pst_logger,
 ) -> bool:
-    data_broker = dataBroker(data)
 
     try:
         short_of_time = data_broker.less_than_N_hours_of_trading_left_for_contract(
@@ -417,7 +424,7 @@ def _is_insufficient_size_on_our_preferred_side(
 
 
 def set_aggressive_limit_price(
-    data: dataBlob, broker_order_with_controls: orderWithControls
+    data_broker: dataBroker, broker_order_with_controls: orderWithControls
 ) -> orderWithControls:
     limit_trade = broker_order_with_controls.order.order_type == limit_order_type
     if not limit_trade:
@@ -431,7 +438,7 @@ def set_aggressive_limit_price(
         pass
     else:
         broker_order_with_controls = set_limit_price(
-            data, broker_order_with_controls, new_limit_price
+            data_broker, broker_order_with_controls, new_limit_price
         )
 
     return broker_order_with_controls

sysexecution/algos/common_functions.py

@@ -1,5 +1,5 @@
 # functions used by multiple algos
-
+import time
 from syscore.exceptions import orderCannotBeModified
 from sysdata.data_blob import dataBlob
 from sysproduction.data.broker import dataBroker
@@ -43,6 +43,7 @@ def cancel_order(
     timer = quickTimer(seconds=CANCEL_WAIT_TIME)
     not_cancelled = True
     while not_cancelled:
+        time.sleep(0.001)
         is_cancelled = data_broker.check_order_is_cancelled_given_control_object(
             broker_order_with_controls
         )
@@ -57,13 +58,12 @@ def cancel_order(
 
 
 def set_limit_price(
-    data: dataBlob,
+    data_broker: dataBroker,
     broker_order_with_controls: orderWithControls,
     new_limit_price: float,
 ):
 
-    log = broker_order_with_controls.order.log_with_attributes(data.log)
-    data_broker = dataBroker(data)
+    log = broker_order_with_controls.order.log_with_attributes(data_broker.data.log)
 
     try:
         broker_order_with_controls = (

sysexecution/stack_handler/spawn_children_from_instrument_orders.py

@@ -64,15 +64,18 @@ def spawn_children_from_instrument_order_id(self, instrument_order_id: int):
             self.data, instrument_order
         )
 
-        log = instrument_order.log_with_attributes(self.log)
-        log.debug("List of contract orders spawned %s" % str(list_of_contract_orders))
+        if len(list_of_contract_orders) > 0:
+            log = instrument_order.log_with_attributes(self.log)
+            log.debug(
+                "List of contract orders spawned %s" % str(list_of_contract_orders)
+            )
 
-        self.add_children_to_stack_and_child_id_to_parent(
-            self.instrument_stack,
-            self.contract_stack,
-            instrument_order,
-            list_of_contract_orders,
-        )
+            self.add_children_to_stack_and_child_id_to_parent(
+                self.instrument_stack,
+                self.contract_stack,
+                instrument_order,
+                list_of_contract_orders,
+            )
 
     def add_children_to_stack_and_child_id_to_parent(
         self,

sysproduction/data/broker.py

@@ -45,6 +45,10 @@
 
 
 class dataBroker(productionDataLayerGeneric):
+    def __init__(self, data: dataBlob = arg_not_supplied):
+        super().__init__(data)
+        self._diag_controls = diagControlProcess()
+
     def _add_required_classes_to_data(self, data) -> dataBlob:
 
         # Add a list of broker specific classes that will be aliased as self.data.broker_fx_prices,
@@ -90,6 +94,10 @@ def broker_fx_handling_data(self) -> brokerFxHandlingData:
     def broker_static_data(self) -> brokerStaticData:
         return self.data.broker_static
 
+    @property
+    def diag_controls(self) -> diagControlProcess:
+        return self._diag_controls
+
     ## Methods
 
     def get_list_of_contract_dates_for_instrument_code(
@@ -191,9 +199,8 @@ def less_than_N_hours_of_trading_left_for_contract(
         self, contract: futuresContract, N_hours: float = 1.0
     ) -> bool:
 
-        diag_controls = diagControlProcess()
         hours_left_before_process_finishes = (
-            diag_controls.how_long_in_hours_before_trading_process_finishes()
+            self.diag_controls.how_long_in_hours_before_trading_process_finishes()
         )
 
         if hours_left_before_process_finishes < N_hours: