running prettier for cleanup
This commit is contained in:
parent
fe7733aeb5
commit
d85cd58acd
151 changed files with 29158 additions and 27966 deletions
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@ -1,370 +1,368 @@
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import { EventEmitter } from 'eventemitter3';
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import { getLogger } from '@stock-bot/logger';
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import { EventBus } from '@stock-bot/event-bus';
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import { DataFrame } from '@stock-bot/data-frame';
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// Core types
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export interface MarketData {
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symbol: string;
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timestamp: number;
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open: number;
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high: number;
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low: number;
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close: number;
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volume: number;
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[key: string]: any;
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}
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export interface TradingSignal {
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type: 'BUY' | 'SELL' | 'HOLD';
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symbol: string;
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timestamp: number;
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price: number;
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quantity: number;
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confidence: number;
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reason: string;
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metadata?: Record<string, any>;
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}
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export interface StrategyContext {
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symbol: string;
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timeframe: string;
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data: DataFrame;
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indicators: Record<string, any>;
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position?: Position;
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portfolio: PortfolioSummary;
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timestamp: number;
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}
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export interface Position {
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symbol: string;
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quantity: number;
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averagePrice: number;
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currentPrice: number;
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unrealizedPnL: number;
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side: 'LONG' | 'SHORT';
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}
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export interface PortfolioSummary {
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totalValue: number;
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cash: number;
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positions: Position[];
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totalPnL: number;
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dayPnL: number;
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}
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export interface StrategyConfig {
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id: string;
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name: string;
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description?: string;
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symbols: string[];
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timeframes: string[];
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parameters: Record<string, any>;
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riskLimits: RiskLimits;
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enabled: boolean;
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}
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export interface RiskLimits {
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maxPositionSize: number;
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maxDailyLoss: number;
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maxDrawdown: number;
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stopLoss?: number;
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takeProfit?: number;
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}
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// Abstract base strategy class
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export abstract class BaseStrategy extends EventEmitter {
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protected logger;
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protected eventBus: EventBus;
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protected config: StrategyConfig;
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protected isActive: boolean = false;
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constructor(config: StrategyConfig, eventBus: EventBus) {
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super();
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this.config = config;
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this.eventBus = eventBus;
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this.logger = getLogger(`strategy:${config.id}`);
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}
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// Abstract methods that must be implemented by concrete strategies
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abstract initialize(): Promise<void>;
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abstract onMarketData(context: StrategyContext): Promise<TradingSignal[]>;
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abstract onSignal(signal: TradingSignal): Promise<void>;
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abstract cleanup(): Promise<void>;
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// Optional lifecycle methods
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onStart?(): Promise<void>;
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onStop?(): Promise<void>;
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onError?(error: Error): Promise<void>;
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// Control methods
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async start(): Promise<void> {
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if (this.isActive) {
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this.logger.warn('Strategy already active');
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return;
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}
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try {
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await this.initialize();
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if (this.onStart) {
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await this.onStart();
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}
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this.isActive = true;
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this.logger.info('Strategy started', { strategyId: this.config.id });
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this.emit('started');
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} catch (error) {
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this.logger.error('Failed to start strategy', { error, strategyId: this.config.id });
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throw error;
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}
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}
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async stop(): Promise<void> {
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if (!this.isActive) {
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this.logger.warn('Strategy not active');
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return;
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}
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try {
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if (this.onStop) {
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await this.onStop();
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}
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await this.cleanup();
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this.isActive = false;
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this.logger.info('Strategy stopped', { strategyId: this.config.id });
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this.emit('stopped');
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} catch (error) {
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this.logger.error('Failed to stop strategy', { error, strategyId: this.config.id });
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throw error;
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}
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}
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// Utility methods
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protected async emitSignal(signal: TradingSignal): Promise<void> {
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await this.eventBus.publish(this.config.id, signal);
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this.emit('signal', signal);
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this.logger.info('Signal generated', {
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signal: signal.type,
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symbol: signal.symbol,
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confidence: signal.confidence
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});
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}
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protected checkRiskLimits(signal: TradingSignal, context: StrategyContext): boolean {
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const limits = this.config.riskLimits;
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// Check position size limit
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if (signal.quantity > limits.maxPositionSize) {
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this.logger.warn('Signal exceeds max position size', {
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requested: signal.quantity,
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limit: limits.maxPositionSize
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});
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return false;
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}
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// Check daily loss limit
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if (context.portfolio.dayPnL <= -limits.maxDailyLoss) {
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this.logger.warn('Daily loss limit reached', {
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dayPnL: context.portfolio.dayPnL,
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limit: -limits.maxDailyLoss
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});
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return false;
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}
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return true;
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}
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// Getters
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get id(): string {
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return this.config.id;
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}
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get name(): string {
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return this.config.name;
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}
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get active(): boolean {
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return this.isActive;
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}
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get configuration(): StrategyConfig {
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return { ...this.config };
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}
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}
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// Strategy execution engine
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export class StrategyEngine extends EventEmitter {
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private strategies: Map<string, BaseStrategy> = new Map();
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private logger;
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private eventBus: EventBus;
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private isRunning: boolean = false;
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constructor(eventBus: EventBus) {
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super();
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this.eventBus = eventBus;
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this.logger = getLogger('strategy-engine');
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}
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async initialize(): Promise<void> {
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// Subscribe to market data events
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await this.eventBus.subscribe('market.data', this.handleMarketData.bind(this));
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await this.eventBus.subscribe('order.update', this.handleOrderUpdate.bind(this));
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await this.eventBus.subscribe('portfolio.update', this.handlePortfolioUpdate.bind(this));
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this.logger.info('Strategy engine initialized');
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}
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async registerStrategy(strategy: BaseStrategy): Promise<void> {
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if (this.strategies.has(strategy.id)) {
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throw new Error(`Strategy ${strategy.id} already registered`);
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}
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this.strategies.set(strategy.id, strategy);
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// Forward strategy events
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strategy.on('signal', (signal) => this.emit('signal', signal));
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strategy.on('error', (error) => this.emit('error', error));
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this.logger.info('Strategy registered', { strategyId: strategy.id });
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}
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async unregisterStrategy(strategyId: string): Promise<void> {
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const strategy = this.strategies.get(strategyId);
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if (!strategy) {
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throw new Error(`Strategy ${strategyId} not found`);
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}
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if (strategy.active) {
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await strategy.stop();
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}
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strategy.removeAllListeners();
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this.strategies.delete(strategyId);
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this.logger.info('Strategy unregistered', { strategyId });
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}
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async startStrategy(strategyId: string): Promise<void> {
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const strategy = this.strategies.get(strategyId);
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if (!strategy) {
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throw new Error(`Strategy ${strategyId} not found`);
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}
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await strategy.start();
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}
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async stopStrategy(strategyId: string): Promise<void> {
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const strategy = this.strategies.get(strategyId);
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if (!strategy) {
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throw new Error(`Strategy ${strategyId} not found`);
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}
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await strategy.stop();
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}
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async startAll(): Promise<void> {
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if (this.isRunning) {
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this.logger.warn('Engine already running');
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return;
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}
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const startPromises = Array.from(this.strategies.values())
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.filter(strategy => strategy.configuration.enabled)
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.map(strategy => strategy.start());
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await Promise.all(startPromises);
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this.isRunning = true;
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this.logger.info('All strategies started');
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this.emit('started');
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}
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async stopAll(): Promise<void> {
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if (!this.isRunning) {
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this.logger.warn('Engine not running');
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return;
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}
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const stopPromises = Array.from(this.strategies.values())
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.filter(strategy => strategy.active)
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.map(strategy => strategy.stop());
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await Promise.all(stopPromises);
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this.isRunning = false;
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this.logger.info('All strategies stopped');
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this.emit('stopped');
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}
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private async handleMarketData(message: any): Promise<void> {
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const { symbol, ...data } = message.data;
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// Find strategies that trade this symbol
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const relevantStrategies = Array.from(this.strategies.values())
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.filter(strategy =>
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strategy.active &&
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strategy.configuration.symbols.includes(symbol)
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);
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for (const strategy of relevantStrategies) {
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try {
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// Create context for this strategy
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const context: StrategyContext = {
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symbol,
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timeframe: '1m', // TODO: Get from strategy config
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data: new DataFrame([data]), // TODO: Use historical data
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indicators: {},
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portfolio: {
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totalValue: 100000, // TODO: Get real portfolio data
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cash: 50000,
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positions: [],
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totalPnL: 0,
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dayPnL: 0
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},
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timestamp: data.timestamp
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};
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const signals = await strategy.onMarketData(context);
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for (const signal of signals) {
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await strategy.onSignal(signal);
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}
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} catch (error) {
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this.logger.error('Error processing market data for strategy', {
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error,
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strategyId: strategy.id,
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symbol
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});
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}
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}
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}
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private async handleOrderUpdate(message: any): Promise<void> {
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// Handle order updates - notify relevant strategies
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this.logger.debug('Order update received', { data: message.data });
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}
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private async handlePortfolioUpdate(message: any): Promise<void> {
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// Handle portfolio updates - notify relevant strategies
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this.logger.debug('Portfolio update received', { data: message.data });
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}
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getStrategy(strategyId: string): BaseStrategy | undefined {
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return this.strategies.get(strategyId);
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}
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getStrategies(): BaseStrategy[] {
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return Array.from(this.strategies.values());
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}
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getActiveStrategies(): BaseStrategy[] {
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return this.getStrategies().filter(strategy => strategy.active);
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}
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async shutdown(): Promise<void> {
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await this.stopAll();
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this.strategies.clear();
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this.removeAllListeners();
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this.logger.info('Strategy engine shutdown');
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}
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}
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import { EventEmitter } from 'eventemitter3';
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import { DataFrame } from '@stock-bot/data-frame';
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import { EventBus } from '@stock-bot/event-bus';
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import { getLogger } from '@stock-bot/logger';
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// Core types
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export interface MarketData {
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symbol: string;
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timestamp: number;
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open: number;
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high: number;
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low: number;
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close: number;
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volume: number;
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[key: string]: any;
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}
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export interface TradingSignal {
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type: 'BUY' | 'SELL' | 'HOLD';
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symbol: string;
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timestamp: number;
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price: number;
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quantity: number;
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confidence: number;
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reason: string;
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metadata?: Record<string, any>;
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}
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export interface StrategyContext {
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symbol: string;
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timeframe: string;
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data: DataFrame;
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indicators: Record<string, any>;
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position?: Position;
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portfolio: PortfolioSummary;
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timestamp: number;
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}
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export interface Position {
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symbol: string;
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quantity: number;
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averagePrice: number;
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currentPrice: number;
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unrealizedPnL: number;
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side: 'LONG' | 'SHORT';
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}
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export interface PortfolioSummary {
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totalValue: number;
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cash: number;
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positions: Position[];
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totalPnL: number;
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dayPnL: number;
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}
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export interface StrategyConfig {
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id: string;
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name: string;
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description?: string;
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symbols: string[];
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timeframes: string[];
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parameters: Record<string, any>;
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riskLimits: RiskLimits;
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enabled: boolean;
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}
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export interface RiskLimits {
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maxPositionSize: number;
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maxDailyLoss: number;
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maxDrawdown: number;
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stopLoss?: number;
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takeProfit?: number;
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}
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// Abstract base strategy class
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export abstract class BaseStrategy extends EventEmitter {
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protected logger;
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protected eventBus: EventBus;
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protected config: StrategyConfig;
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protected isActive: boolean = false;
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constructor(config: StrategyConfig, eventBus: EventBus) {
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super();
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this.config = config;
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this.eventBus = eventBus;
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this.logger = getLogger(`strategy:${config.id}`);
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}
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// Abstract methods that must be implemented by concrete strategies
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abstract initialize(): Promise<void>;
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abstract onMarketData(context: StrategyContext): Promise<TradingSignal[]>;
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abstract onSignal(signal: TradingSignal): Promise<void>;
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abstract cleanup(): Promise<void>;
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// Optional lifecycle methods
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onStart?(): Promise<void>;
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onStop?(): Promise<void>;
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onError?(error: Error): Promise<void>;
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// Control methods
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async start(): Promise<void> {
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if (this.isActive) {
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this.logger.warn('Strategy already active');
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return;
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}
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try {
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await this.initialize();
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if (this.onStart) {
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await this.onStart();
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}
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this.isActive = true;
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this.logger.info('Strategy started', { strategyId: this.config.id });
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this.emit('started');
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} catch (error) {
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this.logger.error('Failed to start strategy', { error, strategyId: this.config.id });
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throw error;
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}
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}
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async stop(): Promise<void> {
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if (!this.isActive) {
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this.logger.warn('Strategy not active');
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return;
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}
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try {
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if (this.onStop) {
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await this.onStop();
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}
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await this.cleanup();
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this.isActive = false;
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this.logger.info('Strategy stopped', { strategyId: this.config.id });
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this.emit('stopped');
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} catch (error) {
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this.logger.error('Failed to stop strategy', { error, strategyId: this.config.id });
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throw error;
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}
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}
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// Utility methods
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protected async emitSignal(signal: TradingSignal): Promise<void> {
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await this.eventBus.publish(this.config.id, signal);
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this.emit('signal', signal);
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this.logger.info('Signal generated', {
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signal: signal.type,
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symbol: signal.symbol,
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confidence: signal.confidence,
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});
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}
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protected checkRiskLimits(signal: TradingSignal, context: StrategyContext): boolean {
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const limits = this.config.riskLimits;
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// Check position size limit
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if (signal.quantity > limits.maxPositionSize) {
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this.logger.warn('Signal exceeds max position size', {
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requested: signal.quantity,
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limit: limits.maxPositionSize,
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});
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return false;
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}
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// Check daily loss limit
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if (context.portfolio.dayPnL <= -limits.maxDailyLoss) {
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this.logger.warn('Daily loss limit reached', {
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dayPnL: context.portfolio.dayPnL,
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limit: -limits.maxDailyLoss,
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});
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return false;
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}
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return true;
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}
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// Getters
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get id(): string {
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return this.config.id;
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}
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||||
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get name(): string {
|
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return this.config.name;
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}
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get active(): boolean {
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||||
return this.isActive;
|
||||
}
|
||||
|
||||
get configuration(): StrategyConfig {
|
||||
return { ...this.config };
|
||||
}
|
||||
}
|
||||
|
||||
// Strategy execution engine
|
||||
export class StrategyEngine extends EventEmitter {
|
||||
private strategies: Map<string, BaseStrategy> = new Map();
|
||||
private logger;
|
||||
private eventBus: EventBus;
|
||||
private isRunning: boolean = false;
|
||||
|
||||
constructor(eventBus: EventBus) {
|
||||
super();
|
||||
this.eventBus = eventBus;
|
||||
this.logger = getLogger('strategy-engine');
|
||||
}
|
||||
|
||||
async initialize(): Promise<void> {
|
||||
// Subscribe to market data events
|
||||
await this.eventBus.subscribe('market.data', this.handleMarketData.bind(this));
|
||||
await this.eventBus.subscribe('order.update', this.handleOrderUpdate.bind(this));
|
||||
await this.eventBus.subscribe('portfolio.update', this.handlePortfolioUpdate.bind(this));
|
||||
|
||||
this.logger.info('Strategy engine initialized');
|
||||
}
|
||||
|
||||
async registerStrategy(strategy: BaseStrategy): Promise<void> {
|
||||
if (this.strategies.has(strategy.id)) {
|
||||
throw new Error(`Strategy ${strategy.id} already registered`);
|
||||
}
|
||||
|
||||
this.strategies.set(strategy.id, strategy);
|
||||
|
||||
// Forward strategy events
|
||||
strategy.on('signal', signal => this.emit('signal', signal));
|
||||
strategy.on('error', error => this.emit('error', error));
|
||||
|
||||
this.logger.info('Strategy registered', { strategyId: strategy.id });
|
||||
}
|
||||
|
||||
async unregisterStrategy(strategyId: string): Promise<void> {
|
||||
const strategy = this.strategies.get(strategyId);
|
||||
if (!strategy) {
|
||||
throw new Error(`Strategy ${strategyId} not found`);
|
||||
}
|
||||
|
||||
if (strategy.active) {
|
||||
await strategy.stop();
|
||||
}
|
||||
|
||||
strategy.removeAllListeners();
|
||||
this.strategies.delete(strategyId);
|
||||
|
||||
this.logger.info('Strategy unregistered', { strategyId });
|
||||
}
|
||||
|
||||
async startStrategy(strategyId: string): Promise<void> {
|
||||
const strategy = this.strategies.get(strategyId);
|
||||
if (!strategy) {
|
||||
throw new Error(`Strategy ${strategyId} not found`);
|
||||
}
|
||||
|
||||
await strategy.start();
|
||||
}
|
||||
|
||||
async stopStrategy(strategyId: string): Promise<void> {
|
||||
const strategy = this.strategies.get(strategyId);
|
||||
if (!strategy) {
|
||||
throw new Error(`Strategy ${strategyId} not found`);
|
||||
}
|
||||
|
||||
await strategy.stop();
|
||||
}
|
||||
|
||||
async startAll(): Promise<void> {
|
||||
if (this.isRunning) {
|
||||
this.logger.warn('Engine already running');
|
||||
return;
|
||||
}
|
||||
|
||||
const startPromises = Array.from(this.strategies.values())
|
||||
.filter(strategy => strategy.configuration.enabled)
|
||||
.map(strategy => strategy.start());
|
||||
|
||||
await Promise.all(startPromises);
|
||||
this.isRunning = true;
|
||||
this.logger.info('All strategies started');
|
||||
this.emit('started');
|
||||
}
|
||||
|
||||
async stopAll(): Promise<void> {
|
||||
if (!this.isRunning) {
|
||||
this.logger.warn('Engine not running');
|
||||
return;
|
||||
}
|
||||
|
||||
const stopPromises = Array.from(this.strategies.values())
|
||||
.filter(strategy => strategy.active)
|
||||
.map(strategy => strategy.stop());
|
||||
|
||||
await Promise.all(stopPromises);
|
||||
this.isRunning = false;
|
||||
this.logger.info('All strategies stopped');
|
||||
this.emit('stopped');
|
||||
}
|
||||
|
||||
private async handleMarketData(message: any): Promise<void> {
|
||||
const { symbol, ...data } = message.data;
|
||||
|
||||
// Find strategies that trade this symbol
|
||||
const relevantStrategies = Array.from(this.strategies.values()).filter(
|
||||
strategy => strategy.active && strategy.configuration.symbols.includes(symbol)
|
||||
);
|
||||
|
||||
for (const strategy of relevantStrategies) {
|
||||
try {
|
||||
// Create context for this strategy
|
||||
const context: StrategyContext = {
|
||||
symbol,
|
||||
timeframe: '1m', // TODO: Get from strategy config
|
||||
data: new DataFrame([data]), // TODO: Use historical data
|
||||
indicators: {},
|
||||
portfolio: {
|
||||
totalValue: 100000, // TODO: Get real portfolio data
|
||||
cash: 50000,
|
||||
positions: [],
|
||||
totalPnL: 0,
|
||||
dayPnL: 0,
|
||||
},
|
||||
timestamp: data.timestamp,
|
||||
};
|
||||
|
||||
const signals = await strategy.onMarketData(context);
|
||||
|
||||
for (const signal of signals) {
|
||||
await strategy.onSignal(signal);
|
||||
}
|
||||
} catch (error) {
|
||||
this.logger.error('Error processing market data for strategy', {
|
||||
error,
|
||||
strategyId: strategy.id,
|
||||
symbol,
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private async handleOrderUpdate(message: any): Promise<void> {
|
||||
// Handle order updates - notify relevant strategies
|
||||
this.logger.debug('Order update received', { data: message.data });
|
||||
}
|
||||
|
||||
private async handlePortfolioUpdate(message: any): Promise<void> {
|
||||
// Handle portfolio updates - notify relevant strategies
|
||||
this.logger.debug('Portfolio update received', { data: message.data });
|
||||
}
|
||||
|
||||
getStrategy(strategyId: string): BaseStrategy | undefined {
|
||||
return this.strategies.get(strategyId);
|
||||
}
|
||||
|
||||
getStrategies(): BaseStrategy[] {
|
||||
return Array.from(this.strategies.values());
|
||||
}
|
||||
|
||||
getActiveStrategies(): BaseStrategy[] {
|
||||
return this.getStrategies().filter(strategy => strategy.active);
|
||||
}
|
||||
|
||||
async shutdown(): Promise<void> {
|
||||
await this.stopAll();
|
||||
this.strategies.clear();
|
||||
this.removeAllListeners();
|
||||
this.logger.info('Strategy engine shutdown');
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue