Source code for tradeexecutor.cli.commands.check_universe

"""check-universe command"""

import datetime
import logging
import secrets
from pathlib import Path
from typing import Optional

import pandas as pd

from tradingstrategy.chain import ChainId
from .app import app
from .shared_options import unit_testing
from ..bootstrap import prepare_executor_id, prepare_cache, create_web3_config, create_client, create_execution_and_sync_model
from ..log import setup_logging
from ...analysis.pair import display_strategy_universe
from ...strategy.approval import UncheckedApprovalModel
from ...strategy.bootstrap import import_strategy_file, make_factory_from_strategy_mod
from ...strategy.cycle import CycleDuration, snap_to_previous_tick
from ...strategy.description import StrategyExecutionDescription
from ...strategy.execution_context import console_command_execution_context, ExecutionContext, ExecutionMode
from ...strategy.execution_model import AssetManagementMode
from ...strategy.pandas_trader.indicator import calculate_and_load_indicators_inline, MemoryIndicatorStorage
from ...strategy.run_state import RunState
from ...strategy.strategy_module import StrategyModuleInformation, read_strategy_module
from ...strategy.trading_strategy_universe import TradingStrategyUniverseModel
from ...utils.cpu import get_safe_max_workers_count
from . import shared_options
from ...utils.timer import timed_task


[docs]@app.command() def check_universe( id: str = shared_options.id, strategy_file: Path = shared_options.strategy_file, trading_strategy_api_key: str = shared_options.trading_strategy_api_key, cache_path: Optional[Path] = shared_options.cache_path, max_data_delay_minutes: int = shared_options.max_data_delay_minutes, log_level: str = shared_options.log_level, max_workers: int | None = shared_options.max_workers, json_rpc_binance: Optional[str] = shared_options.json_rpc_binance, json_rpc_polygon: Optional[str] = shared_options.json_rpc_polygon, json_rpc_avalanche: Optional[str] = shared_options.json_rpc_avalanche, json_rpc_ethereum: Optional[str] = shared_options.json_rpc_ethereum, json_rpc_base: Optional[str] = shared_options.json_rpc_base, json_rpc_arbitrum: Optional[str] = shared_options.json_rpc_arbitrum, json_rpc_anvil: Optional[str] = shared_options.json_rpc_anvil, private_key: str = shared_options.private_key, asset_management_mode: AssetManagementMode = shared_options.asset_management_mode, vault_address: Optional[str] = shared_options.vault_address, vault_adapter_address: Optional[str] = shared_options.vault_adapter_address, vault_payment_forwarder_address: Optional[str] = shared_options.vault_payment_forwarder, ): """Checks that the trading universe is healthy. Check that create_trading_universe() and create_indicators() functions in the strategy module work, and will display all available trading pairs. """ global logger id = prepare_executor_id(id, strategy_file) logger = setup_logging(log_level) if log_level != "disabled": assert logger.level <= logging.INFO, "Log level must be at least INFO to get output from this command" logger.info("Loading strategy file %s", strategy_file) mod: StrategyModuleInformation = read_strategy_module(strategy_file) cache_path = prepare_cache(id, cache_path) execution_context = ExecutionContext( mode=ExecutionMode.preflight_check, timed_task_context_manager=timed_task, engine_version=mod.trading_strategy_engine_version, ) web3config = create_web3_config( json_rpc_binance=json_rpc_binance, json_rpc_polygon=json_rpc_polygon, json_rpc_avalanche=json_rpc_avalanche, json_rpc_ethereum=json_rpc_ethereum, json_rpc_base=json_rpc_base, json_rpc_anvil=json_rpc_anvil, json_rpc_arbitrum=json_rpc_arbitrum, unit_testing=unit_testing, ) if not web3config.has_any_connection(): # Only revelvant if create_trading_universe() uses web3 connection web3config.default_chain_id = mod.chain_id or ChainId.ethereum else: web3config.choose_single_chain() # create_trading_universe() which needs to access Lagoon if asset_management_mode is None: asset_management_mode = AssetManagementMode.hot_wallet # create_trading_universe() which needs to access Lagoon if private_key is None: private_key = "0x" + secrets.token_hex(32) if web3config.has_any_connection(): execution_model, sync_model, valuation_model_factory, pricing_model_factory = create_execution_and_sync_model( asset_management_mode=asset_management_mode, private_key=private_key, web3config=web3config, min_gas_balance=0, max_slippage=99, vault_address=vault_address, vault_adapter_address=vault_adapter_address, vault_payment_forwarder_address=vault_payment_forwarder_address, routing_hint=mod.trade_routing, confirmation_block_count=0, # Not used confirmation_timeout=datetime.timedelta(seconds=60), # Not used ) else: execution_model = sync_model = valuation_model_factory = pricing_model_factory = None client, routing_model = create_client( mod=mod, web3config=web3config, trading_strategy_api_key=trading_strategy_api_key, cache_path=cache_path, clear_caches=False, asset_management_mode=asset_management_mode, test_evm_uniswap_v2_factory=None, # Not used test_evm_uniswap_v2_router=None, # Not used test_evm_uniswap_v2_init_code_hash=None, # Not used ) assert client is not None, "You need to give details for TradingStrategy.ai client" # Set up the strategy engine factory = make_factory_from_strategy_mod(mod) run_description: StrategyExecutionDescription = factory( execution_model=execution_model, execution_context=execution_context, timed_task_context_manager=execution_context.timed_task_context_manager, sync_model=sync_model, valuation_model_factory=valuation_model_factory, pricing_model_factory=pricing_model_factory, approval_model=UncheckedApprovalModel(), client=client, routing_model=routing_model, # None unless test EVM run_state=RunState(), ) universe_options = mod.get_universe_options() # We construct the trading universe to know what's our reserve asset universe_model: TradingStrategyUniverseModel = run_description.universe_model ts = datetime.datetime.utcnow() universe = universe_model.construct_universe( ts, ExecutionMode.preflight_check, universe_options, strategy_parameters=mod.parameters, execution_model=execution_model, ) if max_data_delay_minutes: max_data_delay = datetime.timedelta(minutes=max_data_delay_minutes) logger.info(f"Maximum price feed delay is {max_data_delay}") else: logger.info(f"Maximum price feed delay is not set") max_data_delay = None latest_candle_at = universe_model.check_data_age(ts, universe, max_data_delay) ago = datetime.datetime.utcnow() - latest_candle_at logger.info("Latest OHCLV candle is at: %s, %s ago", latest_candle_at, ago) with pd.option_context('display.max_rows', None, 'display.max_columns', None, 'display.width', 140): universe_df = display_strategy_universe(universe) # universe_df = pd.DataFrame(universe.get_universe_data()) logger.info("Universe is:\n%s", str(universe_df)) # Disable excessive logging for the following section logging.getLogger("tradeexecutor.strategy.pandas_trader.indicator").setLevel(logging.WARNING) # Poke create_indicators() if the strategy module defines one create_indicators = run_description.runner.create_indicators if create_indicators: parameters = run_description.runner.parameters cycle_duration: CycleDuration = parameters["cycle_duration"] clock = datetime.datetime.utcnow() strategy_cycle_timestamp = snap_to_previous_tick( clock, cycle_duration, ) logger.info("Checking create_indicators(), using strategy cycle timestamp %s", strategy_cycle_timestamp) calculate_and_load_indicators_inline( create_indicators=create_indicators, strategy_universe=universe, parameters=parameters, execution_context=execution_context, storage=MemoryIndicatorStorage(universe.get_cache_key()), strategy_cycle_timestamp=strategy_cycle_timestamp, max_workers=max_workers or get_safe_max_workers_count, ) else: logger.info("Strategy module lacks create_indicators()") logger.info("All ok")