TradingStrategyUniverseModel#

tradeexecutor.strategy.trading_strategy_universe.TradingStrategyUniverseModel class.

class TradingStrategyUniverseModel[source]#

Bases: UniverseModel

A universe constructor that builds the trading universe data using Trading Strategy client.

On a live exeuction, trade universe is reconstructor for the every tick, by refreshing the trading data from the server.

__init__(client, timed_task_context_manager)[source]#

Parameters

Methods

`__init__`(client, timed_task_context_manager)
`check_data_age`(ts, universe, ...)	Check if our data is up-to-date and we do not have issues with feeds.
`construct_universe`(ts, live)	On each strategy tick, refresh/recreate the trading universe for the strategy.
`create_from_dataset`(dataset, chains, ...[, ...])	Create an trading universe from dataset with zero filtering for the data.
`load_data`(time_frame, mode[, ...])	Loads the server-side data using the client.
`log_universe`(universe)	Log the state of the current universe.]
`preload_universe`()	Triggered before backtesting execution.

__init__(client, timed_task_context_manager)[source]#

Parameters

log_universe(universe)[source]#

Log the state of the current universe.]

load_data(time_frame, mode, backtest_stop_loss_time_frame=None)[source]#

Loads the server-side data using the client.

Parameters

client – Client instance. Note that this cannot be stable across ticks, as e.g. API keys can change. Client is recreated for every tick.
mode (ExecutionMode) – Live trading or vacktesting
backtest_stop_loss_time_frame (Optional[TimeBucket]) – Load more granular data for backtesting stop loss
time_frame (TimeBucket) –

Returns

None if not dataset for the strategy required

Return type

Dataset

check_data_age(ts, universe, best_before_duration)[source]#

Check if our data is up-to-date and we do not have issues with feeds.

Ensure we do not try to execute live trades with stale data.

Raises

DataTooOld – in the case data is too old to execute.

Parameters

static create_from_dataset(dataset, chains, reserve_assets, pairs_index=True)[source]#

Create an trading universe from dataset with zero filtering for the data.

Parameters

abstract construct_universe(ts, live)[source]#

On each strategy tick, refresh/recreate the trading universe for the strategy.

This is called in mainloop before the strategy tick. It needs to download any data updates since the last tick.

Parameters

Return type

TradingStrategyUniverse