WIP: Visibility for develop<->master changeset

.behaverc

@@ -0,0 +1,3 @@
+[behave]
+format=plain
+paths=test/scenarios

.flake8

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+[flake8]
+max-line-length = 120
+exclude=test/*

.github/workflows/pythonapp.yml

@@ -1,29 +1,32 @@
 # This workflow will install Python dependencies, run tests and lint with a single version of Python
 # For more information see: https://help.github.com/actions/language-and-framework-guides/using-python-with-github-actions
 
-name: Runner
+name: AlgoRunner
 
 on:
   push:
-    branches: [ master ]
+    branches: [ master, develop ]
   pull_request:
     branches: [ master ]
 
 jobs:
-  build:
+  ci:
+    strategy:
+      fail-fast: true
+      matrix:
+        python-version: [3.9] # Py3 only, and latest release UP.
     runs-on: ubuntu-latest
     steps:
     - uses: actions/checkout@v2
-    - name: Set up Python 3.8
-      uses: actions/setup-python@v1
+    - uses: actions/setup-python@v1
+      with:
+        python-version: ${{ matrix.python-version }}
+    - uses: abatilo/actions-poetry@v2.0.0
       with:
-        python-version: 3.8
+        poetry-version: 1.1.7
     - name: Install dependencies
       run: |
         make deps
-    - name: Run linter
-      run: |
-        make lint
-    - name: Run tests
+    - name: Run linting and tests
       run: |
-        make test
+        make ci

.gitignore

@@ -1,3 +1,5 @@
 .idea/
+.todo
 __pycache__/
-bot.ini
+bot.ini
+plain.output

DEVELOPMENT.md

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+

Dockerfile

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+FROM python:3.9-slim
+
+RUN apt-get update && apt-get install build-essential -y
+
+WORKDIR /algorunner
+COPY poetry.lock pyproject.toml Makefile setup.sh /algorunner/
+
+RUN make env-check
+
+# @todo --no-dev --no-ansi
+RUN poetry config virtualenvs.create false && make deps 
+
+COPY . /code
+ENTRYPOINT [ "make", "local" ]
+
+# @todo - secondary layer with development dependencies removed

LICENSE.txt

@@ -0,0 +1,7 @@
+Copyright 2021 [@FergusInLondon <fergus@fergus.london>]
+
+Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

Makefile

@@ -1,14 +1,39 @@
-.PHONY: deps test
+.PHONY: help env-check build lint deps test ci run todo docs
 
-lint:
-	flake8 ./lib --count --select=E9,F63,F7,F82 --show-source --statistics
-	flake8 ./lib --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
+help:           	## Show this help.
+	@fgrep -h "##" $(MAKEFILE_LIST) | fgrep -v fgrep | sed -e 's/\\$$//' | sed -e 's/##//'
 
-deps:
-	pip install pandas
-	pip install python-binance
-	pip install flake8
+env-check:			## Check that the current environment is capable of running AlgoRunner.
+	@sh setup.sh
 
-test:
-	python -m test.account
-	python -m test.runner
+build:				## Build docker image, tagged "algorunner:<commit>" and "algorunner:latest"
+	docker build -t algorunner:latest -t algorunner:`git rev-parse --short HEAD` .
+
+fix:				## Attempt to fix linting issues with `black`
+	poetry run black algorunner
+
+lint:				## Run code quality checks
+	poetry run black --check algorunner
+	poetry run flake8
+
+deps: env-check			## Install all required dependencies (including for development)
+	poetry install --no-interaction
+
+test:				## Run all tests - including both unit tests and BDD scenarios
+	poetry run pytest
+	poetry run behave
+
+ci: lint test			## Run both linting and testing
+	@echo "finished running CI tasks"
+
+run:				## Run AlgoRunner
+	poetry run python run.py
+
+docs:				## Generate API documentation using "pdoc"
+	poetry run pdoc -o ./docs algorunner
+	rm docs/index.html
+	mv docs/algorunner.html docs/index.html
+
+todo:				## Scan the codebase for items tagged with "@todo"
+	@grep -r "@todo" --exclude=\*.pyc algorunner
+	@echo "\nTotal items marked '@todo': `grep --exclude=\*.pyc -r '@todo' . | wc -l | xargs`."

README.md

@@ -1,57 +1,113 @@
-# Runner ![Runner](https://github.com/FergusInLondon/Runner/workflows/Runner/badge.svg)
+#  AlgoRunner
 
-A massive WIP that may or may not be worth an actual README at this point in time. It has no tests, and the account functionality is still being baked in.
+A lightweight service for running algorithmic trading strategies against cryptocurrency exchanges. Currently under heavy development and defining the exchange interactions, as well moving towards support for multiple exchanges.
 
-Currently it does invoke a strategy and provides it with real-time streamed data from Binance though.
+All development is done against the `develop` branch, although at this time that's likely the branch you actually want to browse.
 
-### Note
-This is *vaguely* related to my form of Enigma Catalyst, as (a) I really want to brush up on my Python, and (b) Binance seems like the best exchange to implement streaming trades on - so I'd like to get used to interacting with them.
+| Branch  | Status                                                       |
+| ------- | ------------------------------------------------------------ |
+| Master  | ![Unit Tests & Build](https://github.com/FergusInLondon/Runner/actions/workflows/pythonapp.yml/badge.svg)![CodeQL](https://github.com/FergusInLondon/Runner/actions/workflows/codeql-analysis.yml/badge.svg)[![Code style: black](https://img.shields.io/badge/code%20style-black-000000.svg)](https://github.com/psf/black) |
+| Develop | ![Unit Tests & Build](https://github.com/FergusInLondon/Runner/actions/workflows/pythonapp.yml/badge.svg?branch=develop)![CodeQL](https://github.com/FergusInLondon/Runner/actions/workflows/codeql-analysis.yml/badge.svg?branch=develop)[![Code style: black](https://img.shields.io/badge/code%20style-black-000000.svg)](https://github.com/psf/black) |
 
-## Example
+### Living Design Doc
 
-Check `example.py` for a runnable version of this strategy:
+...
+
+## Defining a strategy
+
+To define a strategy to execute you simply need to define a `Strategy` class and place it in the `./strategies` folder where it can be loaded. A strategy **must** inherit from `BaseStrategy` and **must** implement two methods: `process` and `authorise`.
 
 ```python
-class ExampleStrategy(object):
-    """
-        A simple example strategy that computes the average price change over
-        the previous 5 2000ms updates. 
-    """
+import pandas as pd
+
+from algorunner.abstract import BaseStrategy
+from algorunner.abstract.base_strategy import (
+    AccountState, TransactionRequest, AuthorisationDecision
+)
+
 
-    def start(self, control):
-        self.series = pd.DataFrame()
-        self.control = control
+class Example(BaseStrategy):
+    def __init__(self):
+        self.series = pd.DataFrame
+        super().__init__()
 
-    def process(self, kline):
-        self.series = self.series.append(kline)
+    def process(self, tick: pd.DataFrame):
+      	"""process accepts a DataFrame containing the latest tick data."""
+        self.series = self.series.append(tick)
 
         if self.series.shape[0] > 5:
-            print("Average price change over past 5 windows: ", pd.to_numeric(self.series[-5:]["PriceChange"]).mean())
+            recent_window = pd.to_numeric(self.series[-5:]["PriceChange"])
+            print("Average price change over past 5 windows: ", recent_window.mean())
+
+    def authorise(self, state: AccountState, trx: TransactionRequest) -> AuthorisationDecision:
+      	"""authorise is used to perform any risk calculations and position sizing."""
+        pass
 ```
 
-When executed via the runner, this will calculate the average price change over the past 5 2000ms updates, and display it to the user.
+From the `BaseStrategy` class you can interact with the market via calling `self.open_position(symbol: str)` and `self.close_position(symbol: str)` - this will subsequently be passed through to the `authorise(...)` call which will determine whether that interaction is allowed, whether it fits in with the users defined approach to risk, and what size the that position should be. Under the hood this is all handles via events.
+
+For information on the classes used - i.e. `AuthorisationDecision`, `TransactionRequest`, and `AccountState` - please see the [API documentation](https://fergusinlondon.github.io/Runner/).
+
+## Required Configuration
+
+Configuration can be done via: a `.ini` file, environment variables, or a combination of both.
 
 ```
-python example.py
-Average price change over past 5 windows:  26.694
-Average price change over past 5 windows:  26.356
-Average price change over past 5 windows:  26.444
-Average price change over past 5 windows:  26.246000000000002
-Average price change over past 5 windows:  26.272000000000002
-Average price change over past 5 windows:  26.706
-Average price change over past 5 windows:  27.142000000000003
-Average price change over past 5 windows:  27.182
-Average price change over past 5 windows:  27.562
-Average price change over past 5 windows:  28.002
-Average price change over past 5 windows:  28.246000000000002
-Average price change over past 5 windows:  28.49
-Average price change over past 5 windows:  28.754
+[credentials]
+exchange = binance             # Identifier of the target exchange.
+api_key = binanceAPIKey        # API Key for the exchange
+api_secret = binanceAPISecret  # API Secret for the exchange
+
+[strategy]
+name = Example     # Strategy to execute
+symbol = BTCUSDT   # Symbol to execute the strategy against
+```
+
+By default AlgoRunner will try and read a file named `bot.ini`, but this can be overridden by the `--config` flag:
+
 ```
+$ python run.py --config [config .ini file]
+```
+
+Alternatively, configuration can also be done via: a `.ini` file, environment variables, or a combination of both. 
+
+| `.ini` variable        | environment variable  | CLI flag         |
+| ---------------------- | --------------------- | ---------------- |
+| credentials.exchange   | ALGORUNNER_EXCHANGE   | --exchange       |
+| credentials.api_key    | ALGORUNNER_API_KEY    | --api-key        |
+| credentials.api_secret | ALGORUNNER_API_SECRET | --api-secret     |
+| strategy.name          | -                     | -s / --strategy  |
+| strategy.symbol        | -                     | --trading-symbol |
+
+**It's advisable not to pass any exchange details - i.e. `credentials.*`  variables - via either the configuration file or the CLI!**
+
+## Executing AlgoRunner
+
+There are to methods to run AlgoRunner: the recommended way is via Docker.
+
+### Using Docker
+
+To build a Docker Image simply run `make docker` from the root of this repository; this will create an image with the tags `algorunner:<commit-hash>` and `algorunner:latest`, before running the image. **There are no pre-built Docker Images available.**
+
+```
+$ make docker # that's genuinely it, I promise.
+```
+
+### Running Locally
+
+To run the service locally it's also relatively trivial:
+
+```
+$ make deps  # this will install all dependencies
+$ make local # this will run the service in the environment provided by poetry
+```
+
+Note: you **must** have `poetry` - a python dependency manager - installed on your system to run AlgoRunner. If you don't then the `deps` target of the Makefile will *attempt* to install it on your behalf.
 
----
+## Development
 
-## August 2021 Update: AlgoRunner V2.0
+For details on development please see `DEVELOPMENT.md`, and for details on the automated test suite please see `test/TESTING.md`.
 
-A preview of this release is available in the [`develop`](https://github.com/FergusInLondon/Runner/tree/develop) branch; and progress tracking is available via the [Version 2 Project Board](https://github.com/FergusInLondon/Runner/projects/1).
+## License
 
-This version aims to introduce a new design to allow easier exchange API interactions, concurrent processing of market orders, user definable algorithms *and* risk calculations, and improved dependency management.
+This software is licensed by the terms outlined in the [*The MIT License*](https://opensource.org/licenses/MIT). For the full and entire text of this license please see `LICENSE.txt`.

algorunner/__init__.py

@@ -0,0 +1,21 @@
+"""
+    .. include:: pdoc.md
+"""
+
+from algorunner.strategy.base import BaseStrategy
+from algorunner.adapters.base import Adapter
+from algorunner.hooks import (
+    Hook, InvalidHookHandler, hook, clear_handlers
+)
+from algorunner.monitoring import Timer
+
+__docformat__ = "restructuredtext"
+__all__ = [
+    'BaseStrategy',
+    'Adapter',
+    'Hook',
+    'InvalidHookHandler',
+    'hook',
+    'clear_handlers',
+    'Timer',
+]

algorunner/adapters/__init__.py

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+"""
+
+Verification of the functionality of an Adapter should be done in a similar fashion to the
+Gherkin specification for the binance adapter.
+"""
+
+from algorunner.adapters.messages import *  # noqa: F401, F403
+from algorunner.adapters.base import (  # noqa: F401
+    Adapter,
+    factory,
+)

algorunner/adapters/_backtest.py

@@ -0,0 +1,50 @@
+from csv import reader
+from threading import Thread
+from typing import Callable, List
+
+from algorunner.adapters.base import Adapter, register_adapter
+from algorunner.adapters.messages import (
+    Credentials,
+    TransactionRequest,
+)
+
+
+def transform_csv(row: List[str]) -> any:
+    pass
+
+
+@register_adapter
+class BacktestAdapter(Adapter):
+
+    identifier = "backtest"
+
+    def connect(self, creds: Credentials):
+        # We abuse the Credentials object here: and use the given parameters
+        # to determine filenames.
+        self.datafile = creds.exchange
+        self.outfile = creds.key
+
+    def monitor_user(self):
+        # We wont provide user updates in backtest mode. This may be cause
+        # some functionality problems though (i.e. when `authorise()` relies
+        # upon account status).
+        pass
+
+    def run(self, symbol: str, process: Callable):
+        #
+        #
+        #
+        def process_file():
+            with open(self.datafile, "r") as csv:
+                for row in reader(csv):
+                    process(transform_csv(row))
+
+        self.thread = Thread(target=process_file, daemon=True)
+        self.thread.start()
+
+    def execute(self, trx: TransactionRequest) -> bool:
+        pass
+
+    def disconnect(self):
+        if self.thread.is_alive():
+            self.thread.join()