ch.algotrader.python

Class PythonStrategyService

java.lang.Object

ch.algotrader.service.StrategyService

ch.algotrader.python.PythonStrategyService

All Implemented Interfaces:

AccountEventListener, AggregatedOrderBookEventListener, BarEventListener, CashBalanceEventListener, FillEventListener, GenericEventListener, HealthStatusListener, LifecycleEventListener, LogEventListener, OrderBookEventListener, OrderCompletionEventListener, OrderEventListener, OrderRequestStatusEventListener, OrderStatusEventListener, PositionEventListener, QuoteEventListener, ReconciliationEventListener, RfqListener, SessionEventListener, TickEventListener, TradeEventListener, TransactionEventListener, PythonEsperSubscriber, SimulationResultsProducer

Direct Known Subclasses:

PythonStrategyServiceStub

public class PythonStrategyService
extends StrategyService
implements PythonEsperSubscriber

A Spring bean acting as an integration layer between Python based strategy implementation implemented by extending StrategyService class and AlgoTrader. It uses py4j framework to synchronously pass calls to a strategy running in Python and to receive Python calls. The strategy is a Python class extending StrategyService class. After instantiation, this bean waits in the onInit method until Python strategy connects. The bean is loaded only when pythonIntegration Spring profile is started, see class PythonIntegrationWiring. Services exposed by StrategyService are reimplemented using delegate classes with minor changes (entities changed to VOs) and some methods not included, e.g. PythonMarketDataService

Field Summary

Fields

Modifier and Type	Field and Description
protected boolean	exitPhaseAlreadyActivated
protected AlgoTraderToPythonInterface	pythonInterface

Constructor Summary

Constructors

Constructor and Description
PythonStrategyService(int javaPort, int pythonPort, GenericCacheFacade genericCacheFacade, ObjectMapper objectMapper, java.util.function.Consumer<ReferenceDataUpdateEventVO> markerEventConsumer)

Method Summary

Modifier and Type	Method and Description
void	connectToPythonStrategy()
AccountService	getAccountService()
CalendarService	getCalendarService()
CombinationService	getCombinationService()
Engine	getEngine()
EventDispatcher	getEventDispatcher()
FutureService	getFutureService()
GenericEventsService	getGenericEventsService()
HealthService	getHealthService()
HistoricalDataService	getHistoricalDataService()
LookupService	getLookupService()
MarketDataCacheService	getMarketDataCacheService()
MarketDataService	getMarketDataService()
MeasurementService	getMeasurementService()
OptionService	getOptionService()
OrderLookupService	getOrderLookupService()
OrderService	getOrderService()
PortfolioService	getPortfolioService()
PositionService	getPositionService()
PropertyService	getPropertyService()
PythonCalendarService	getPythonCalendarService()
PythonCombinationService	getPythonCombinationService()
PythonEventDispatcher	getPythonEventDispatcher()
PythonFutureService	getPythonFutureService()
PythonGenericEventsService	getPythonGenericEventsService()
PythonHealthService	getPythonHealthService()
PythonHistoricalDataService	getPythonHistoricalDataService()
PythonLookupService	getPythonLookupService()
PythonMarketDataCacheService	getPythonMarketDataCacheService()
PythonMarketDataService	getPythonMarketDataService()
PythonMeasurementService	getPythonMeasurementService()
PythonOptionService	getPythonOptionService()
PythonOrderLookupService	getPythonOrderLookupService()
PythonOrderService	getPythonOrderService()
PythonPortfolioService	getPythonPortfolioService()
PythonPropertyService	getPythonPropertyService()
PythonReferenceDataService	getPythonReferenceDataService()
PythonRfqService	getPythonRfqService()
PythonSupportedAdaptersService	getPythonSupportedAdaptersService()
RateLimitService	getRateLimitService()
ReferenceDataService	getReferenceDataService()
RfqService	getRfqService()
Strategy	getStrategy()
SubscriptionService	getSubscriptionService()
SupportedAdaptersService	getSupportedAdaptersService()
void	onAccountEvent(AccountEventVO accountEvent)
void	onAggregatedOrderBookEvent(AggregatedOrderBookVO orderBook)
void	onBar(BarVO bar)
void	onCashBalance(CashBalanceVO cashBalance)
void	onEsperSubscriberInvocation(java.lang.Object... args) To be used by strategy specific Esper statements to pass values to Python based strategy this way: @Subscriber(className='pythonStrategyService#onEsperSubscriberInvocation') Object or objects selected in the Esper statement are passed to on_generic_callback in Python StrategyService class.
protected void	onExit(LifecycleEventVO event)
void	onFill(FillVO fill)
void	onGenericEvent(GenericEventVO event)
void	onHealthStatusChanged(HealthStatusVO healthStatus)
protected void	onInit(LifecycleEventVO event)
void	onLogEvent(LogEventVO event)
void	onOrder(OrderVO order)
void	onOrderBook(OrderBookVO orderBook)
void	onOrderCompletion(OrderCompletionVO orderCompletion)
void	onOrderRequestStatus(OrderRequestStatusEventVO event)
void	onOrderStatus(OrderStatusVO orderStatus)
void	onPositionMutation(PositionMutationVO positionMutation)
protected void	onPrefeed(LifecycleEventVO event)
void	onQuote(QuoteVO quoteVO)
void	onReconciliationEvent(ReconciliationEventVO event)
void	onRfqQuote(QuoteVO quote)
protected void	onRunning(LifecycleEventVO event)
void	onSessionEvent(SessionEventVO event)
void	onStart(LifecycleEventVO event)
void	onTick(TickVO tick)
void	onTrade(TradeVO tradeVO)
void	onTransaction(TransactionVO transaction)
void	ping()
void	sendDisconnectingMessage()
void	setEngine(Engine engine)
void	setSubscribedEventHandlerMethods(java.util.Set<java.lang.String> subscribedCallbackMethods)

Methods inherited from class ch.algotrader.service.StrategyService

getCommonConfig, getJsonTemplate, getSimulationResults, getStrategyName, getWeight, onLifecycleEvent, setAccountService, setCalendarService, setCombinationService, setCommonConfig, setEventDispatcher, setFutureService, setGenericEventsService, setHealthService, setHistoricalDataService, setJsonTemplate, setLookupService, setMarketDataCacheService, setMarketDataService, setMeasurementService, setOptionService, setOrderLookupService, setOrderService, setPortfolioService, setPositionService, setPropertyService, setRateLimitService, setReferenceDataService, setRfqService, setStrategyName, setSubscriptionService, setSupportedAdaptersService, setWeight

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

pythonInterface

protected AlgoTraderToPythonInterface pythonInterface

exitPhaseAlreadyActivated

protected volatile boolean exitPhaseAlreadyActivated

Constructor Detail

PythonStrategyService

public PythonStrategyService(int javaPort,
                             int pythonPort,
                             GenericCacheFacade genericCacheFacade,
                             ObjectMapper objectMapper,
                             java.util.function.Consumer<ReferenceDataUpdateEventVO> markerEventConsumer)

Method Detail

ping

public void ping()

setSubscribedEventHandlerMethods

public void setSubscribedEventHandlerMethods(java.util.Set<java.lang.String> subscribedCallbackMethods)

sendDisconnectingMessage

public void sendDisconnectingMessage()

connectToPythonStrategy

public void connectToPythonStrategy()

onEsperSubscriberInvocation

public void onEsperSubscriberInvocation(java.lang.Object... args)

To be used by strategy specific Esper statements to pass values to Python based strategy this way: @Subscriber(className='pythonStrategyService#onEsperSubscriberInvocation') Object or objects selected in the Esper statement are passed to on_generic_callback in Python StrategyService class.

Specified by:

onEsperSubscriberInvocation in interface PythonEsperSubscriber

onInit

protected void onInit(LifecycleEventVO event)

Overrides:

onInit in class StrategyService

onPrefeed

protected void onPrefeed(LifecycleEventVO event)

Overrides:

onPrefeed in class StrategyService

onStart

public void onStart(LifecycleEventVO event)

Overrides:

onStart in class StrategyService

onExit

protected void onExit(LifecycleEventVO event)

Overrides:

onExit in class StrategyService

onRunning

protected void onRunning(LifecycleEventVO event)

Overrides:

onRunning in class StrategyService

onTick

public void onTick(TickVO tick)

Specified by:

onTick in interface TickEventListener

Overrides:

onTick in class StrategyService

onBar

public void onBar(BarVO bar)

Specified by:

onBar in interface BarEventListener

Overrides:

onBar in class StrategyService

onTrade

public void onTrade(TradeVO tradeVO)

Specified by:

onTrade in interface TradeEventListener

Overrides:

onTrade in class StrategyService

onQuote

public void onQuote(QuoteVO quoteVO)

Specified by:

onQuote in interface QuoteEventListener

Overrides:

onQuote in class StrategyService

onOrder

public void onOrder(OrderVO order)

Specified by:

onOrder in interface OrderEventListener

Overrides:

onOrder in class StrategyService

onOrderStatus

public void onOrderStatus(OrderStatusVO orderStatus)

Specified by:

onOrderStatus in interface OrderStatusEventListener

Overrides:

onOrderStatus in class StrategyService

onOrderCompletion

public void onOrderCompletion(OrderCompletionVO orderCompletion)

Specified by:

onOrderCompletion in interface OrderCompletionEventListener

Overrides:

onOrderCompletion in class StrategyService

onFill

public void onFill(FillVO fill)

Specified by:

onFill in interface FillEventListener

Overrides:

onFill in class StrategyService

onTransaction

public void onTransaction(TransactionVO transaction)

Specified by:

onTransaction in interface TransactionEventListener

Overrides:

onTransaction in class StrategyService

onPositionMutation

public void onPositionMutation(PositionMutationVO positionMutation)

Specified by:

onPositionMutation in interface PositionEventListener

Overrides:

onPositionMutation in class StrategyService

onSessionEvent

public void onSessionEvent(SessionEventVO event)

Specified by:

onSessionEvent in interface SessionEventListener

Overrides:

onSessionEvent in class StrategyService

onAccountEvent

public void onAccountEvent(AccountEventVO accountEvent)

Specified by:

onAccountEvent in interface AccountEventListener

Overrides:

onAccountEvent in class StrategyService

onCashBalance

public void onCashBalance(CashBalanceVO cashBalance)

Specified by:

onCashBalance in interface CashBalanceEventListener

Overrides:

onCashBalance in class StrategyService

onReconciliationEvent

public void onReconciliationEvent(ReconciliationEventVO event)

Specified by:

onReconciliationEvent in interface ReconciliationEventListener

Overrides:

onReconciliationEvent in class StrategyService

onOrderRequestStatus

public void onOrderRequestStatus(OrderRequestStatusEventVO event)

Specified by:

onOrderRequestStatus in interface OrderRequestStatusEventListener

Overrides:

onOrderRequestStatus in class StrategyService

onRfqQuote

public void onRfqQuote(QuoteVO quote)

Specified by:

onRfqQuote in interface RfqListener

Overrides:

onRfqQuote in class StrategyService

onOrderBook

public void onOrderBook(OrderBookVO orderBook)

Specified by:

onOrderBook in interface OrderBookEventListener

Overrides:

onOrderBook in class StrategyService

onAggregatedOrderBookEvent

public void onAggregatedOrderBookEvent(AggregatedOrderBookVO orderBook)

Specified by:

onAggregatedOrderBookEvent in interface AggregatedOrderBookEventListener

Overrides:

onAggregatedOrderBookEvent in class StrategyService

onGenericEvent

public void onGenericEvent(GenericEventVO event)

Specified by:

onGenericEvent in interface GenericEventListener

Overrides:

onGenericEvent in class StrategyService

onLogEvent

public void onLogEvent(LogEventVO event)

Specified by:

onLogEvent in interface LogEventListener

Overrides:

onLogEvent in class StrategyService

onHealthStatusChanged

public void onHealthStatusChanged(HealthStatusVO healthStatus)

Specified by:

onHealthStatusChanged in interface HealthStatusListener

Overrides:

onHealthStatusChanged in class StrategyService

getMarketDataService

public MarketDataService getMarketDataService()

Overrides:

getMarketDataService in class StrategyService

getOrderService

public OrderService getOrderService()

Overrides:

getOrderService in class StrategyService

getOrderLookupService

public OrderLookupService getOrderLookupService()

Overrides:

getOrderLookupService in class StrategyService

getPortfolioService

public PortfolioService getPortfolioService()

Overrides:

getPortfolioService in class StrategyService

getLookupService

public LookupService getLookupService()

Overrides:

getLookupService in class StrategyService

getReferenceDataService

public ReferenceDataService getReferenceDataService()

Overrides:

getReferenceDataService in class StrategyService

getCalendarService

public CalendarService getCalendarService()

Overrides:

getCalendarService in class StrategyService

getOptionService

public OptionService getOptionService()

Overrides:

getOptionService in class StrategyService

getPropertyService

public PropertyService getPropertyService()

Overrides:

getPropertyService in class StrategyService

getCombinationService

public CombinationService getCombinationService()

Overrides:

getCombinationService in class StrategyService

getFutureService

public FutureService getFutureService()

Overrides:

getFutureService in class StrategyService

getMarketDataCacheService

public MarketDataCacheService getMarketDataCacheService()

Overrides:

getMarketDataCacheService in class StrategyService

getMeasurementService

public MeasurementService getMeasurementService()

Overrides:

getMeasurementService in class StrategyService

getHistoricalDataService

public HistoricalDataService getHistoricalDataService()

Overrides:

getHistoricalDataService in class StrategyService

getRfqService

public RfqService getRfqService()

Overrides:

getRfqService in class StrategyService

getEventDispatcher

public EventDispatcher getEventDispatcher()

Overrides:

getEventDispatcher in class StrategyService

getGenericEventsService

public GenericEventsService getGenericEventsService()

Overrides:

getGenericEventsService in class StrategyService

getSupportedAdaptersService

public SupportedAdaptersService getSupportedAdaptersService()

Overrides:

getSupportedAdaptersService in class StrategyService

getHealthService

public HealthService getHealthService()

Overrides:

getHealthService in class StrategyService

getStrategy

public Strategy getStrategy()

Overrides:

getStrategy in class StrategyService

getPythonMarketDataService

public PythonMarketDataService getPythonMarketDataService()

getPythonOrderLookupService

public PythonOrderLookupService getPythonOrderLookupService()

getPythonOrderService

public PythonOrderService getPythonOrderService()

getPythonPortfolioService

public PythonPortfolioService getPythonPortfolioService()

getPythonLookupService

public PythonLookupService getPythonLookupService()

getPythonSupportedAdaptersService

public PythonSupportedAdaptersService getPythonSupportedAdaptersService()

getPythonReferenceDataService

public PythonReferenceDataService getPythonReferenceDataService()

getPythonCalendarService

public PythonCalendarService getPythonCalendarService()

getPythonOptionService

public PythonOptionService getPythonOptionService()

getPythonPropertyService

public PythonPropertyService getPythonPropertyService()

getPythonCombinationService

public PythonCombinationService getPythonCombinationService()

getPythonFutureService

public PythonFutureService getPythonFutureService()

getPythonMarketDataCacheService

public PythonMarketDataCacheService getPythonMarketDataCacheService()

getPythonMeasurementService

public PythonMeasurementService getPythonMeasurementService()

getPythonHistoricalDataService

public PythonHistoricalDataService getPythonHistoricalDataService()

getPythonRfqService

public PythonRfqService getPythonRfqService()

getPythonEventDispatcher

public PythonEventDispatcher getPythonEventDispatcher()

getPythonGenericEventsService

public PythonGenericEventsService getPythonGenericEventsService()

getPythonHealthService

public PythonHealthService getPythonHealthService()

setEngine

public void setEngine(Engine engine)

Overrides:

setEngine in class StrategyService

getEngine

public Engine getEngine()

Overrides:

getEngine in class StrategyService

getAccountService

public AccountService getAccountService()

Overrides:

getAccountService in class StrategyService

getPositionService

public PositionService getPositionService()

Overrides:

getPositionService in class StrategyService

getSubscriptionService

public SubscriptionService getSubscriptionService()

Overrides:

getSubscriptionService in class StrategyService

getRateLimitService

public RateLimitService getRateLimitService()

Overrides:

getRateLimitService in class StrategyService