ExecutionLoop#

tradeexecutor.cli.loop.ExecutionLoop Python class in Trading Strategy framework.

class ExecutionLoop[source]#

Bases: object

Live or backtesting trade execution loop.

This is the main loop of any strategy execution.

  • Run scheduled tasks for different areas (trade cycle, position revaluation, stop loss triggers)

  • Call ExecutionModel to perform ticking through the strategy

  • Manage the persistent state of the strategy

__init__(*ignore, name, command_queue, execution_model, execution_context, sync_model, approval_model, pricing_model_factory, valuation_model_factory, store, client, strategy_factory, cycle_duration, stats_refresh_frequency, position_trigger_check_frequency, max_data_delay=None, reset=False, max_cycles=None, debug_dump_file=None, backtest_start=None, backtest_end=None, backtest_setup=None, backtest_candle_time_frame_override=None, backtest_stop_loss_time_frame_override=None, stop_loss_check_frequency=None, tick_offset=datetime.timedelta(0), trade_immediately=False, run_state=None, strategy_cycle_trigger=StrategyCycleTrigger.cycle_offset, routing_model=None, execution_test_hook=None, metadata=None, check_accounts=None, minimum_data_lookback_range=None)[source]#

See main.py for details.

Parameters:

Methods

__init__(*ignore, name, command_queue, ...)

See main.py for details.

check_position_triggers(ts, state, universe)

Run stop loss price checks.

init_execution_model()

Initialise the execution.

init_live_run_state(run_description)

Initialise run-state object.

init_simulation(universe_model, runner)

Set up running on a simulated blockchain.

init_state()

Initialize the state for this run.

is_backtest()

Are we doing a backtest execution.

is_live_trading_unit_test()

Are we attempting to test live trading functionality in unit tests.

refresh_live_run_state(state[, ...])

Update the in-process strategy context which we serve over the webhook.

run()

Start the execution.

run_and_setup_backtest()

run_backtest(state)

Backtest loop.

run_backtest_trigger_checks(start_ts, ...)

Generate stop loss price checks.

run_live(state)

Run live trading cycle.

run_with_state(state)

Start the execution.

set_backtest_start_and_end()

Set up backtesting start and end times.

setup()

Set up the main loop of trade executor.

tick(unrounded_timestamp, cycle_duration, ...)

Run one trade execution tick.

update_position_valuations(clock, state, ...)

Revalue positions and update statistics.

warm_up_backtest()

Load backtesting trading universe.

warm_up_live_trading()

Load live trading universe.

__init__(*ignore, name, command_queue, execution_model, execution_context, sync_model, approval_model, pricing_model_factory, valuation_model_factory, store, client, strategy_factory, cycle_duration, stats_refresh_frequency, position_trigger_check_frequency, max_data_delay=None, reset=False, max_cycles=None, debug_dump_file=None, backtest_start=None, backtest_end=None, backtest_setup=None, backtest_candle_time_frame_override=None, backtest_stop_loss_time_frame_override=None, stop_loss_check_frequency=None, tick_offset=datetime.timedelta(0), trade_immediately=False, run_state=None, strategy_cycle_trigger=StrategyCycleTrigger.cycle_offset, routing_model=None, execution_test_hook=None, metadata=None, check_accounts=None, minimum_data_lookback_range=None)[source]#

See main.py for details.

Parameters:
is_backtest()[source]#

Are we doing a backtest execution.

Return type:

bool

is_live_trading_unit_test()[source]#

Are we attempting to test live trading functionality in unit tests.

See test_cli_commands.py

Return type:

bool

init_state()[source]#

Initialize the state for this run.

  • If we are doing live trading, load the last saved state

  • In backtesting the state is always reset. We do not support resumes for crashed backetsting.

Return type:

State

init_execution_model()[source]#

Initialise the execution.

Perform preflight checks e.g. to see if our trading accounts look sane.

init_simulation(universe_model, runner)[source]#

Set up running on a simulated blockchain.

Used with tradeexecutor.testing.simulated_execution_loop to allow fine granularity manipulation of in-memory blockchain to simulate trigger conditions in testing.

Parameters:
init_live_run_state(run_description)[source]#

Initialise run-state object.

We do need to do these updates only once on the startup, as there run-state variables do not change over the process lifetime.

Parameters:

run_description (StrategyExecutionDescription) –

refresh_live_run_state(state, visualisation=False, universe=None)[source]#

Update the in-process strategy context which we serve over the webhook.

Note

There is still a gap between be able to serve the full run state and the webhook startup. This is because for the full run state, we need to have visualisations and we do not have those availble until we have loaded the trading universe data, which may take some time.

Parameters:
tick(unrounded_timestamp, cycle_duration, state, cycle, live, existing_universe=None, strategy_cycle_timestamp=None, extra_debug_data=None)[source]#

Run one trade execution tick.

Parameters:
  • unrounded_timestamp (datetime) – The approximately time when this ticket was triggered. Alawys after the tick timestamp. Will be rounded to the nearest cycle duration timestamps.

  • strategy_cycle_timestamp (Optional[datetime]) – Precalculated strategy cycle timestamp based on unrounded timestamp

  • state (State) – The current state of the strategy

  • cycle (int) – The number of this cycle

  • cycle_duration (CycleDuration) – Cycle duration for this cycle. Either from the strategy module, or a backtest override.

  • existing_universe (Optional[StrategyExecutionUniverse]) – If passed, use this universe instead of trying to download and filter new one. This is shortcut for backtesting where the universe does not change between cycles (as opposite to live trading new pairs pop in to the existince).

  • extra_debug_data (Optional[dict]) – Extra data to be passed to the debug dump used in unit testing.

  • live (bool) –

Return type:

StrategyExecutionUniverse

update_position_valuations(clock, state, universe, execution_mode)[source]#

Revalue positions and update statistics.

A new statistics entry is calculated for portfolio and all of its positions and added to the state.

Parameters:
check_position_triggers(ts, state, universe)[source]#

Run stop loss price checks.

Used for live stop loss check; backtesting uses optimised run_backtest_stop_loss_checks().

Parameters:
Return type:

List[TradeExecution]

param universe:

Trading universe containing price data for stoploss checks.

Returns:

List of generated trigger trades

Parameters:
Return type:

List[TradeExecution]

warm_up_backtest()[source]#

Load backtesting trading universe.

Display progress bars for data downloads.

warm_up_live_trading()[source]#

Load live trading universe.

Display progress bars for data downloads.

Return type:

TradingStrategyUniverse

run_backtest_trigger_checks(start_ts, end_ts, state, universe)[source]#

Generate stop loss price checks.

Backtests may use finer grade data for stop loss signals, to be more realistic with actual trading.

Here we use the finer grade data to check the stop losses on a given time period.

Parameters:
  • start_ts (datetime) – When to start testing (exclusive). We test for the next available timestamp.

  • end_ts (datetime) – When to stop testing (exclusive).

  • universe (TradingStrategyUniverse) – Trading universe containing price data for stoploss checks.

  • state (State) –

Returns:

Tuple (take profit, stop loss) count triggered

Return type:

Tuple[int, int]

run_backtest(state)[source]#

Backtest loop.

Parameters:

state (State) –

Return type:

dict

run_live(state)[source]#

Run live trading cycle.

Raises:

LiveSchedulingTaskFailed – If any of live trading concurrent tasks crashes with an exception

Parameters:

state (State) –

setup()[source]#

Set up the main loop of trade executor.

Main entry point to the loop.

  • Chooses between live and backtesting execution mode

  • Loads or creates the initial state

  • Sets up strategy runner

Returns:

Loaded execution state

Return type:

State

set_backtest_start_and_end()[source]#

Set up backtesting start and end times. If no start, end, or lookback info provided, will set automatically to the entire available data range.

run_with_state(state)[source]#

Start the execution.

Returns:

Debug state where each key is the cycle number

Raise:

Any exception thrown from this function should be considered as live execution error, not a start up error.

Parameters:

state (State) –

Return type:

dict

run()[source]#

Start the execution.

Note

Legacy entry point