momentum devandClaude Opus 4.8
c35224af94
- momentum watch: replace 'open positions' with TODAY'S trade history (FIFO round-trips from the broker orders snapshot: time/symbol/qty/entry/exit/P&L + open lots), resets each day. Headline day P&L is broker-accurate (equity - last_equity, now carried on AccountSummaryUpdatedEvent), shown in the header and the panel title. sync_orders limit 50->500 so the log captures the whole day across restarts. - SYMBOL_WEIGHTS: optional manual per-symbol priority nudge applied to the armed-trigger rank score (small; doesn't override gap/volume logic). Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
732 lines
31 KiB
Python
732 lines
31 KiB
Python
"""Live paper-trading orchestrator (Milestone 4 end-to-end).
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This is the piece that was missing: a single loop tying together
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1. ingest — latest 1-minute Alpaca IEX bars into research market.duckdb
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(plus a daily-bar backfill on startup so gap %% / RVOL work)
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2. watch — Watcher.tick over the ingested bars, emitting signal_ready
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3. sync — Alpaca paper account / positions / orders into the event DB
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4. execute — TradingExecutionService.tick: approval requests, and order
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submission (auto or via dashboard approval)
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5. dashboard — optional embedded API + UI at http://127.0.0.1:8010
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Usage
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-----
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python run_live_paper.py # continuous loop
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python run_live_paper.py --once # single pass, then exit
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python run_live_paper.py --symbols AAPL,SNDL --auto-approve
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python run_live_paper.py --no-dashboard
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Without ALPACA_API_KEY / ALPACA_SECRET_KEY the loop runs in dry mode:
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network steps are skipped with clear messages, but watcher + dashboard
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still work against whatever data already exists.
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"""
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from __future__ import annotations
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import argparse
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import json
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import os
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import sys
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import threading
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import time
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import uuid
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from datetime import datetime, timezone
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from dotenv import load_dotenv
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from alpaca_paper.client import AlpacaPaperClient
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from alpaca_paper.execution import AlpacaPaperExecutor
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from alpaca_paper.settings import AlpacaPaperSettings
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from alpaca_paper.sync import AlpacaPaperSync
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from api.main import DashboardState, serve_in_background
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from research.ingestion.market_data import (
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classify_session,
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discover_active_symbols,
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ingest_daily_history,
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ingest_live_minute_bars,
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)
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from research.ingestion.scheduler import Scheduler
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from research.ingestion.watcher_task import ResearchWatchlistProvider
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from research.ingestion.discovery import run_discovery, screen_universe
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from research.multi_schema import open_research_db
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from runtime.exit_manager import LiveExitManager
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from runtime.triggers import ArmedTriggerBook
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from runtime.watcher import Watcher, WatcherConfig
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from strategy.exits import ExitConfig
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from storage.event_schema import EventMode, ModuleTickEvent
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from storage.event_store import EventStore
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from trading_execution import ExecutionSettings, TradingExecutionService
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from trading_mode import TradingModeSettings
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# Fallback watchlist used ONLY if the sub-$20 screener is unavailable. Liquid
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# small-caps that usually sit in the $1-20 band — NOT mega-caps (which the
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# watcher's price band would just filter out, leaving nothing to trade).
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DEFAULT_SYMBOLS = [
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"SOFI", "GRAB", "NU", "AAL", "PLUG", "RIOT",
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"MARA", "SNDL", "ACHR", "NOK", "SOUN", "BBAI",
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]
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def _flag(name: str, default: str = "1") -> bool:
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return os.environ.get(name, default).strip().lower() in {"1", "true", "yes", "on"}
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def _now_session_date():
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session_date, _, _, _ = classify_session(datetime.now(timezone.utc))
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return session_date
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def _load_learned() -> dict:
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"""Nightly-tuned params from data/learned_params.json (empty if absent)."""
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path = os.path.join(os.environ.get("DATA_DIR", "./data"), "learned_params.json")
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try:
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with open(path) as fh:
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return json.load(fh)
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except Exception: # noqa: BLE001
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return {}
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def _db_target_desc() -> str:
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"""Human-readable Postgres target for the boot log (password masked)."""
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url = os.environ.get("DATABASE_URL")
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if url:
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if "://" in url and "@" in url:
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scheme, rest = url.split("://", 1)
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creds, host = rest.split("@", 1)
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user = creds.split(":", 1)[0]
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return f"{scheme}://{user}:***@{host}"
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return url
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host = os.environ.get("PGHOST", "localhost")
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port = os.environ.get("PGPORT", "5432")
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db = os.environ.get("PGDATABASE", "momentum")
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user = os.environ.get("PGUSER", "")
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return f"postgresql://{user}@{host}:{port}/{db}"
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def parse_args(argv: list[str] | None = None) -> argparse.Namespace:
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parser = argparse.ArgumentParser(description="Momentum live paper-trading loop")
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parser.add_argument("--once", action="store_true", help="run one pass and exit")
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parser.add_argument(
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"--symbols",
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default=os.environ.get("WATCHER_SYMBOLS", ""),
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help="comma-separated symbols to watch (default: WATCHER_SYMBOLS env or built-ins)",
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)
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parser.add_argument(
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"--auto-approve",
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action="store_true",
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help="auto-approve and submit ready signals (otherwise approve from the dashboard)",
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)
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parser.add_argument(
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"--discover",
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action="store_true",
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help="also pull symbols from Alpaca's most-actives screener",
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)
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parser.add_argument("--no-dashboard", action="store_true", help="skip the embedded dashboard")
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return parser.parse_args(argv)
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def build_runtime(args: argparse.Namespace) -> dict:
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"""Wire up every component; safe without API keys."""
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load_dotenv()
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explicit_symbols = [s.strip().upper() for s in args.symbols.split(",") if s.strip()]
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alpaca_settings = AlpacaPaperSettings.from_env()
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has_keys = alpaca_settings.is_configured
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client = AlpacaPaperClient(alpaca_settings) if has_keys else None
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event_db = os.environ.get("WATCHER_EVENT_DB_PATH", "./data/momentum.duckdb")
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os.makedirs(os.path.dirname(event_db) or ".", exist_ok=True)
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store = EventStore(event_db)
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research_con = open_research_db("market")
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session_id = f"paper-{_now_session_date().isoformat()}-{uuid.uuid4().hex[:6]}"
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# Watchlist resolution. Explicit --symbols/WATCHER_SYMBOLS win; otherwise
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# discover the sub-$20 most-actives universe via the screener (the strategy
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# targets $1-20 small-caps, not the hardcoded mega-cap fallback). Falls back
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# to DEFAULT_SYMBOLS only if the screener is unavailable.
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price_min = float(os.environ.get("WATCHER_PRICE_MIN", "1"))
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price_max = float(os.environ.get("WATCHER_PRICE_MAX", "20"))
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discover_top = int(os.environ.get("DISCOVER_TOP", "20"))
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if explicit_symbols:
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symbols = explicit_symbols
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symbols_source = "explicit"
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elif client is not None and _flag("DISCOVER_ON_START", "1"):
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discovered = screen_universe(
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client, price_min=price_min, price_max=price_max, top=discover_top
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)
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symbols = discovered or list(DEFAULT_SYMBOLS)
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symbols_source = "screener" if discovered else "fallback"
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else:
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symbols = list(DEFAULT_SYMBOLS)
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symbols_source = "fallback"
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store.emit(
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ModuleTickEvent(
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timestamp=datetime.now(),
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mode=EventMode.PAPER,
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correlation_id=session_id,
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message=f"watchlist resolved via {symbols_source}: {len(symbols)} symbols",
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module="discovery",
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stage="boot",
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duration_ms=0.0,
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input_count=0,
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output_count=len(symbols),
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metrics={"source": symbols_source, "symbols": symbols},
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errors=(
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[]
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if symbols_source != "fallback"
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else [{"error": "screener returned 0 names at boot — using fallback "
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"watchlist; check Alpaca screener / data plan"}]
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),
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)
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)
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_learned = _load_learned()
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if _learned:
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print(f"[boot] learned params: ready_score={_learned.get('ready_score_pct')} "
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f"min_bars={_learned.get('min_bars')} setups={_learned.get('setups')} "
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f"(tuned {str(_learned.get('as_of', ''))[:10]} over {_learned.get('sessions')} "
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f"sessions; backtest pnl {_learned.get('pnl')}, entry@{_learned.get('entry_min')}min)")
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watcher = Watcher(
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store,
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ResearchWatchlistProvider(
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research_con,
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limit=int(os.environ.get("WATCHER_MAX_SYMBOLS", "25")),
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),
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WatcherConfig(
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session_id=session_id,
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mode=EventMode.PAPER,
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max_symbols=int(os.environ.get("WATCHER_MAX_SYMBOLS", "25")),
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# Defaults come from the nightly self-tuner (learned_params.json);
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# an explicit env var still wins.
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min_bars=int(os.environ.get("WATCHER_MIN_BARS", str(_learned.get("min_bars", 10)))),
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ready_score_pct=float(os.environ.get(
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"WATCHER_READY_SCORE", str(_learned.get("ready_score_pct", 60.0)))),
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min_quality=float(os.environ.get("WATCHER_MIN_QUALITY", "0.30")),
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),
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)
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exec_settings = ExecutionSettings.from_env()
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if args.auto_approve:
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exec_settings.auto_approve = True
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executor = AlpacaPaperExecutor(store, client=client, session_id=session_id) if client else None
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# Live last-trade price source for entry invalidation — tick-by-tick, not
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# bar close. Pulls the most recent trade from Alpaca's data API on demand;
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# a tiny TTL cache collapses redundant lookups within a single guard pass.
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# On any failure it returns None so the price-break check is simply skipped
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# for that pass (the wall-clock timeout still protects the entry) rather
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# than silently falling back to a stale bar close.
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_price_cache: dict[str, tuple[float, float]] = {}
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_PRICE_TTL = 2.0
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def latest_price(symbol: str):
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if client is None:
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return None
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import time as _time
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cached = _price_cache.get(symbol)
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now = _time.monotonic()
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if cached and (now - cached[1]) < _PRICE_TTL:
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return cached[0]
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try:
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trades = client.get_latest_trades([symbol])
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trade = trades.get(symbol) or trades.get(symbol.upper())
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price = float(trade["p"]) if trade and trade.get("p") is not None else None
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except Exception:
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price = None
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if price is not None:
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_price_cache[symbol] = (price, now)
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return price
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execution = (
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TradingExecutionService(
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store,
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executor=executor,
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settings=exec_settings,
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trading_mode=TradingModeSettings.from_env(),
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session_id=session_id,
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price_provider=latest_price,
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)
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if executor
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else None
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)
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sync = AlpacaPaperSync(store, client=client, session_id=session_id) if client else None
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# Fast armed-trigger book: keep the N most-promising gappers ready with a
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# pre-computed opening-range trigger/stop so step_trigger can fire the
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# instant live price crosses (instead of waiting for a bar close + cadence).
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book = ArmedTriggerBook(
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max_armed=int(os.environ.get("TRIGGER_MAX_ARMED", "6")),
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gap_min=float(os.environ.get("TRIGGER_GAP_MIN", "3.0")),
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gap_max=float(os.environ.get("TRIGGER_GAP_MAX", "1e9")),
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rvol_min=float(os.environ.get("TRIGGER_RVOL_MIN", "2.0")),
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min_range_pct=float(os.environ.get("TRIGGER_MIN_RANGE_PCT", "0.004")),
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)
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return {
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"symbols": symbols,
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"symbols_source": symbols_source,
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"client": client,
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"has_keys": has_keys,
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"store": store,
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"research_con": research_con,
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"watcher": watcher,
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"execution": execution,
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"sync": sync,
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"book": book,
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"latest_price": latest_price,
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"session_id": session_id,
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"event_db": event_db,
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}
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def main(argv: list[str] | None = None) -> int:
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args = parse_args(argv)
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rt = build_runtime(args)
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symbols: list[str] = rt["symbols"]
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client = rt["client"]
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print(f"[boot] session={rt['session_id']} db={_db_target_desc()}")
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print(f"[boot] watching ({rt['symbols_source']}): {', '.join(symbols)}")
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if not rt["has_keys"]:
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print("[boot] no ALPACA_API_KEY/SECRET — dry mode: ingestion, sync and "
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"order submission are skipped; watcher runs on existing data")
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# dashboard
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server = None
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if not args.no_dashboard and _flag("DASHBOARD_ENABLED", "1"):
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host = os.environ.get("DASHBOARD_HOST", "127.0.0.1")
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port = int(os.environ.get("DASHBOARD_PORT", "8010"))
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def inject_symbol(symbol: str) -> None:
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# add to the watcher's provider so it's evaluated next tick, and
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# to the live symbol list so the next ingest pass pulls its bars
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provider = rt["watcher"].provider
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if hasattr(provider, "add_symbol"):
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provider.add_symbol(symbol)
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if symbol not in symbols:
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symbols.append(symbol)
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state = DashboardState(
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rt["event_db"],
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execution_service=rt["execution"],
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execution_mode=TradingModeSettings.from_env().execution_mode,
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research_con=rt["research_con"],
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watch_inject=inject_symbol,
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)
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try:
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server, _ = serve_in_background(state, host, port)
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print(f"[boot] dashboard at http://{host}:{port}")
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except OSError as exc:
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print(f"[boot] dashboard disabled ({exc})")
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# startup: daily history backfill so gap%/RVOL have a baseline
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if client:
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if args.discover:
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discovered = discover_active_symbols(
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client,
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top=10,
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price_min=float(os.environ.get("WATCHER_PRICE_MIN", "1")),
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price_max=float(os.environ.get("WATCHER_PRICE_MAX", "20")),
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)
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if discovered:
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print(f"[boot] screener added: {', '.join(discovered)}")
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symbols = sorted(set(symbols) | set(discovered))
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else:
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print("[boot] screener unavailable — using static symbol list")
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daily = ingest_daily_history(rt["research_con"], client, symbols, days=30)
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print(f"[boot] daily backfill: {daily.daily_rows} rows"
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+ (f" (errors: {daily.errors})" if daily.errors else ""))
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lookback = int(os.environ.get("LIVE_BARS_LOOKBACK_MINUTES", "240"))
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refresh_lb = int(os.environ.get("LIVE_BARS_REFRESH_MINUTES", "20"))
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_ingest_first = {"v": True}
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def _first_pass_lookback() -> int:
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# The first ingest must cover the whole session-so-far so the
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# opening-range bars land in the DB (even on a mid-session restart);
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# after that we only pull the last few minutes — closed bars never
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# change, and re-fetching a 4-hour window for 80 symbols every minute
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# was the ~46s step that froze the loop.
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try:
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from zoneinfo import ZoneInfo
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now_et = datetime.now(ZoneInfo("America/New_York"))
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open_et = now_et.replace(hour=9, minute=30, second=0, microsecond=0)
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since_open = max(0.0, (now_et - open_et).total_seconds() / 60.0)
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except Exception: # noqa: BLE001
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since_open = 0.0
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return int(max(lookback, since_open + 15))
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def step_ingest():
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if not client:
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return "skipped (no keys)"
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if _ingest_first["v"]:
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lb = _first_pass_lookback()
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_ingest_first["v"] = False
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else:
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lb = refresh_lb
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res = ingest_live_minute_bars(rt["research_con"], client, symbols, lookback_minutes=lb)
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rt["store"].emit(
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ModuleTickEvent(
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timestamp=datetime.now(),
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mode=EventMode.PAPER,
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correlation_id=rt["session_id"],
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message=f"ingested {res.minute_rows} minute rows across {len(res.symbols)} symbols",
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module="ingestion",
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stage="completed",
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duration_ms=0.0,
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input_count=len(symbols),
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output_count=res.minute_rows,
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metrics={"per_symbol": res.per_symbol, "symbols_with_data": res.symbols},
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errors=[{"error": e} for e in res.errors],
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)
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)
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return f"{res.minute_rows} rows (lookback {lb}m)" + (f", errors={res.errors}" if res.errors else "")
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def step_watch():
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res = rt["watcher"].tick(_now_session_date())
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return (f"evaluated={res.evaluated} ready={res.ready} blocked={len(res.blocked)}"
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+ (f" errors={res.errors}" if res.errors else ""))
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def step_sync():
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if not rt["sync"]:
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return "skipped (no keys)"
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res = rt["sync"].sync_all()
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failed = [k for k, v in res.items() if v is None]
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return "ok" if not failed else f"DEGRADED ({', '.join(failed)})"
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def step_execute():
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if not rt["execution"]:
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return "skipped (no keys)"
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res = rt["execution"].tick()
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backed = len(res.get("backed_out") or [])
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line = (f"approvals_requested={res['approvals_requested']} "
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f"auto_executed={len(res['auto_executed'])}")
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if backed:
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syms = ", ".join(b["symbol"] for b in res["backed_out"])
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line += f" backed_out={backed} ({syms})"
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return line
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def step_guard():
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# Fast invalidation watch: re-check armed (unfilled) entries against the
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# live last-trade price and the wall-clock timeout. Runs far more often
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# than `execute` so a break of the entry trigger is caught tick-by-tick
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# instead of waiting for the next execute pass.
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if not rt["execution"]:
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return None
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backed = rt["execution"].expire_stale_entries()
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if not backed:
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return None
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return "backed_out " + ", ".join(
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f"{b['symbol']} ({b['reason']})" for b in backed
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)
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def step_discover():
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if not client:
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return "skipped (no keys)"
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res = run_discovery(
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rt["store"], rt["research_con"], client, _now_session_date(),
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mode=EventMode.PAPER, correlation_id=rt["session_id"],
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price_min=float(os.environ.get("WATCHER_PRICE_MIN", "1")),
|
|
price_max=float(os.environ.get("WATCHER_PRICE_MAX", "20")),
|
|
top=int(os.environ.get("DISCOVER_TOP", "20")),
|
|
)
|
|
# fold newly-screened names into the live watchlist so the next ingest
|
|
# pulls their bars and the watcher evaluates them
|
|
added = [s for s in res.universe if s not in symbols]
|
|
symbols.extend(added)
|
|
# Keep the watchlist BOUNDED so it rotates toward current movers instead
|
|
# of growing all session. (Ingestion is now batched so an over-cap list
|
|
# no longer 400s, but an unbounded list is still wasteful and stale.)
|
|
max_uni = int(os.environ.get("WATCHER_MAX_UNIVERSE", "80"))
|
|
if len(symbols) > max_uni:
|
|
del symbols[: len(symbols) - max_uni]
|
|
return (f"universe={len(res.universe)} gappers={len(res.gappers)}"
|
|
+ (f" +{len(added)} new" if added else ""))
|
|
|
|
# --- fast armed-trigger path -------------------------------------------
|
|
book = rt["book"]
|
|
price_min_v = float(os.environ.get("WATCHER_PRICE_MIN", "1"))
|
|
price_max_v = float(os.environ.get("WATCHER_PRICE_MAX", "20"))
|
|
orb_bars_v = int(os.environ.get("ORB_BARS", "5"))
|
|
stop_cushion_v = float(os.environ.get("TRIGGER_STOP_CUSHION", "0.005"))
|
|
|
|
def step_arm():
|
|
"""Rank the most-promising gappers and pre-compute each one's opening-
|
|
range breakout trigger/stop, so step_trigger can fire on a live cross."""
|
|
from research import query as rq
|
|
from research.ingestion.discovery import recent_news_map
|
|
from research.ingestion.signals import scan_gappers
|
|
from strategy.evaluation.structure import opening_range
|
|
|
|
session_date = _now_session_date()
|
|
# fresh catalysts (the discover step ingests the feeds; we just read them)
|
|
news_map = recent_news_map(
|
|
rt["research_con"], lookback_hours=int(os.environ.get("NEWS_LOOKBACK_HOURS", "8")))
|
|
news_boost = float(os.environ.get("NEWS_RANK_BOOST", "2.0"))
|
|
# optional MANUAL per-symbol priority nudge (SYMBOL_WEIGHTS=ABCD:1.2,XYZ:1.1)
|
|
# — a small boost to names you want watched; keep modest so it doesn't
|
|
# override the gap/volume logic.
|
|
weights: dict[str, float] = {}
|
|
for part in os.environ.get("SYMBOL_WEIGHTS", "").split(","):
|
|
if ":" in part:
|
|
s, w = part.split(":", 1)
|
|
try:
|
|
weights[s.strip().upper()] = float(w)
|
|
except ValueError:
|
|
pass
|
|
candidates: list[dict] = []
|
|
# rank ALL session symbols by gap*rvol (thresholds applied later, per
|
|
# trigger, so the board still shows the field pre-gap)
|
|
gappers = scan_gappers(
|
|
rt["research_con"], session_date,
|
|
min_gap_pct=0.0, min_relative_volume=0.0,
|
|
price_min=price_min_v, price_max=price_max_v,
|
|
limit=max(12, book.max_armed + 6),
|
|
)
|
|
for g in gappers:
|
|
bars = rq.query_minute_bars(rt["research_con"], g.symbol, session_date)
|
|
hi, lo, complete = opening_range(bars, orb_bars=orb_bars_v)
|
|
stop = lo * (1.0 - stop_cushion_v) if lo else None
|
|
catalyst = news_map.get(g.symbol, "")
|
|
candidates.append({
|
|
"symbol": g.symbol,
|
|
"gap_pct": g.gap_pct,
|
|
"rvol": g.relative_volume,
|
|
"trigger": hi,
|
|
"stop": stop,
|
|
"range_pct": ((hi - lo) / hi) if (hi and lo and hi > 0) else 0.0,
|
|
"cum_volume": g.cumulative_volume,
|
|
"catalyst": catalyst,
|
|
# a fresh catalyst is WHY a small-cap runs — boost it up the rank;
|
|
# times an optional manual per-symbol weight (default 1.0)
|
|
"_score": (g.gap_pct * max(g.relative_volume, 0.1)
|
|
* (news_boost if catalyst else 1.0)
|
|
* weights.get(g.symbol, 1.0)),
|
|
"complete": complete,
|
|
})
|
|
# pre-open / before any gappers form: surface the queued watchlist so the
|
|
# board shows what we're about to watch instead of looking blank
|
|
if not candidates:
|
|
for s in symbols[: book.max_armed]:
|
|
candidates.append({"symbol": s, "gap_pct": 0.0, "rvol": 0.0,
|
|
"trigger": None, "stop": None,
|
|
"range_pct": 0.0, "complete": False})
|
|
# catalyst-backed gappers float to the top of the armed set
|
|
candidates.sort(key=lambda c: c.get("_score", 0.0), reverse=True)
|
|
book.arm(candidates)
|
|
armed = sum(1 for t in book.triggers.values() if t.state == "armed")
|
|
n_news = sum(1 for c in candidates if c.get("catalyst"))
|
|
return f"tracking={len(book.triggers)} armed={armed}" + (f" news={n_news}" if n_news else "")
|
|
|
|
# The trigger runs on its OWN thread, not the scheduler, so a slow ingest
|
|
# can never freeze breakout detection. It only touches the (thread-safe)
|
|
# book, execution service, and event store — never research_con.
|
|
trigger_interval = float(os.environ.get("TRIGGER_INTERVAL_SECONDS", "4"))
|
|
stop_event = threading.Event()
|
|
|
|
def _batch_prices(syms):
|
|
"""One batched last-trade call for all armed names (8 syms ≈ 1 sym cost)."""
|
|
if client is None or not syms:
|
|
return {}
|
|
try:
|
|
trades = client.get_latest_trades(list(syms))
|
|
except Exception: # noqa: BLE001
|
|
return {}
|
|
out = {}
|
|
for s in syms:
|
|
tr = trades.get(s) or trades.get(s.upper())
|
|
if tr and tr.get("p") is not None:
|
|
try:
|
|
out[s] = float(tr["p"])
|
|
except (TypeError, ValueError):
|
|
pass
|
|
return out
|
|
|
|
def _trigger_pass():
|
|
snap = book.snapshot()
|
|
syms = [r["symbol"] for r in snap]
|
|
if not syms:
|
|
return
|
|
for s, px in _batch_prices(syms).items():
|
|
book.update_price(s, px)
|
|
fired: list[str] = []
|
|
if rt["execution"] is not None:
|
|
try:
|
|
book.mark_filled(rt["execution"]._held_symbols())
|
|
except Exception: # noqa: BLE001
|
|
pass
|
|
for t in book.fires():
|
|
res = rt["execution"].submit_breakout_now(
|
|
t.symbol, t.trigger, t.stop, last_price=t.price,
|
|
cum_volume=t.cum_volume,
|
|
)
|
|
if res.get("ok"):
|
|
book.mark_fired(t.symbol)
|
|
fired.append(t.symbol)
|
|
snap = book.snapshot()
|
|
armed_n = sum(1 for r in snap if r["state"] == "armed")
|
|
rt["store"].emit(
|
|
ModuleTickEvent(
|
|
timestamp=datetime.now(), mode=EventMode.PAPER,
|
|
correlation_id=rt["session_id"],
|
|
message=f"triggers armed={armed_n} fired={len(fired)}",
|
|
module="triggers", stage="snapshot", duration_ms=0.0,
|
|
input_count=len(syms), output_count=len(fired),
|
|
metrics={"triggers": snap, "armed": armed_n}, errors=[],
|
|
)
|
|
)
|
|
if fired:
|
|
print(f"[{datetime.now():%H:%M:%S}] TRIGGER FIRED {', '.join(fired)}", flush=True)
|
|
|
|
def trigger_loop():
|
|
while not stop_event.wait(trigger_interval):
|
|
try:
|
|
_trigger_pass()
|
|
except Exception as exc: # noqa: BLE001
|
|
print(f"[trigger] error: {exc}", flush=True)
|
|
|
|
# --- live exit management (breakeven / trail / scale / first-red) -------
|
|
exit_cfg = ExitConfig.from_env()
|
|
|
|
def _rth_bars(sym):
|
|
from research import query as rq
|
|
b = rq.query_minute_bars(rt["research_con"], sym, _now_session_date())
|
|
if b is not None and len(b) and "is_regular_hours" in b.columns:
|
|
b = b[b["is_regular_hours"] == True].reset_index(drop=True) # noqa: E712
|
|
return b
|
|
|
|
exit_mgr = (
|
|
LiveExitManager(client, rt["store"], _rth_bars, cfg=exit_cfg,
|
|
session_id=rt["session_id"])
|
|
if client else None
|
|
)
|
|
print(f"[boot] exit management: {exit_cfg.describe()}")
|
|
|
|
def step_manage_exits():
|
|
if exit_mgr is None:
|
|
return None
|
|
acts = exit_mgr.manage()
|
|
return ", ".join(acts) if acts else None
|
|
|
|
# --- end-of-day auto-flatten (a day-trading book shouldn't gap overnight) --
|
|
eod_enabled = _flag("TRADING_EOD_FLATTEN_ENABLED", "1")
|
|
try:
|
|
eod_h, eod_m = (int(x) for x in
|
|
os.environ.get("TRADING_EOD_FLATTEN_TIME", "15:55").split(":"))
|
|
except Exception: # noqa: BLE001
|
|
eod_h, eod_m = 15, 55
|
|
_eod_done = {"v": False}
|
|
|
|
def step_eod_flatten():
|
|
if not eod_enabled or _eod_done["v"] or rt["execution"] is None:
|
|
return None
|
|
try:
|
|
from zoneinfo import ZoneInfo
|
|
now_et = datetime.now(ZoneInfo("America/New_York"))
|
|
except Exception: # noqa: BLE001
|
|
return None
|
|
cur = (now_et.hour, now_et.minute)
|
|
# only inside [flatten_time, 16:00): after the close a market order just
|
|
# queues uselessly, so don't fire then (e.g. on a post-close restart)
|
|
if now_et.weekday() >= 5 or not ((eod_h, eod_m) <= cur < (16, 0)):
|
|
return None
|
|
res = rt["execution"].close_session("eod_flatten")
|
|
_eod_done["v"] = True
|
|
closed = ", ".join(res["closed_positions"]) or "none"
|
|
return (f"EOD FLATTEN closed [{closed}]"
|
|
+ (f" errors={res['errors']}" if res["errors"] else ""))
|
|
|
|
scheduler = Scheduler()
|
|
scheduler.add("discover", step_discover,
|
|
float(os.environ.get("DISCOVER_INTERVAL_SECONDS", "300")),
|
|
enabled=_flag("DISCOVER_ENABLED", "1"))
|
|
scheduler.add("ingest", step_ingest, float(os.environ.get("LIVE_BARS_INTERVAL_SECONDS", "60")),
|
|
enabled=_flag("LIVE_BARS_ENABLED", "1"))
|
|
scheduler.add("watch", step_watch, float(os.environ.get("WATCHER_INTERVAL_SECONDS", "30")),
|
|
enabled=_flag("WATCHER_ENABLED", "1"))
|
|
scheduler.add("arm", step_arm, float(os.environ.get("TRIGGER_ARM_INTERVAL_SECONDS", "20")),
|
|
enabled=_flag("TRIGGER_ENABLED", "1"))
|
|
scheduler.add("sync", step_sync, float(os.environ.get("ALPACA_PAPER_SYNC_INTERVAL_SECONDS", "60")),
|
|
enabled=_flag("ALPACA_PAPER_SYNC_ENABLED", "1"))
|
|
scheduler.add("execute", step_execute, float(os.environ.get("TRADING_EXECUTION_INTERVAL_SECONDS", "30")),
|
|
enabled=_flag("TRADING_EXECUTION_ENABLED", "1"))
|
|
scheduler.add("guard", step_guard, float(os.environ.get("TRADING_ENTRY_GUARD_INTERVAL_SECONDS", "5")),
|
|
enabled=_flag("TRADING_EXECUTION_ENABLED", "1"))
|
|
scheduler.add("exits", step_manage_exits, float(os.environ.get("TRADING_EXIT_MANAGE_INTERVAL_SECONDS", "12")),
|
|
enabled=_flag("TRADING_EXECUTION_ENABLED", "1"))
|
|
scheduler.add("eod", step_eod_flatten, float(os.environ.get("TRADING_EOD_INTERVAL_SECONDS", "30")),
|
|
enabled=_flag("TRADING_EXECUTION_ENABLED", "1"))
|
|
|
|
def run_pass():
|
|
# force every task due, in pipeline order
|
|
for task in scheduler.tasks:
|
|
task.last_run = -10**9
|
|
results = {}
|
|
for name in ("discover", "ingest", "watch", "arm", "sync", "execute", "exits", "eod"):
|
|
for task in scheduler.tasks:
|
|
if task.name == name and task.enabled:
|
|
results.update(scheduler_run_one(task))
|
|
stamp = datetime.now().strftime("%H:%M:%S")
|
|
line = " | ".join(f"{k}: {v}" for k, v in results.items())
|
|
print(f"[{stamp}] {line}")
|
|
|
|
def scheduler_run_one(task):
|
|
task.last_run = time.monotonic()
|
|
task.run_count += 1
|
|
try:
|
|
out = task.func()
|
|
task.last_error = None
|
|
return {task.name: out}
|
|
except Exception as exc: # noqa: BLE001
|
|
task.error_count += 1
|
|
task.last_error = str(exc)
|
|
return {task.name: f"ERROR {exc}"}
|
|
|
|
if args.once:
|
|
run_pass()
|
|
if server:
|
|
server.shutdown()
|
|
return 0
|
|
|
|
print("[boot] entering live loop (Ctrl-C to stop)")
|
|
# start the fast trigger on its own thread so slow ingest can't freeze it
|
|
trigger_thread = None
|
|
if _flag("TRIGGER_ENABLED", "1") and client is not None:
|
|
trigger_thread = threading.Thread(target=trigger_loop, name="trigger", daemon=True)
|
|
trigger_thread.start()
|
|
print(f"[boot] fast trigger thread started (every {trigger_interval:.0f}s)")
|
|
try:
|
|
# one immediate full pass, then interval-driven
|
|
run_pass()
|
|
while True:
|
|
results = scheduler.run_pending()
|
|
if results:
|
|
stamp = datetime.now().strftime("%H:%M:%S")
|
|
line = " | ".join(
|
|
f"{k}: {v if not isinstance(v, Exception) else f'ERROR {v}'}"
|
|
for k, v in results.items()
|
|
)
|
|
print(f"[{stamp}] {line}")
|
|
time.sleep(1.0)
|
|
except KeyboardInterrupt:
|
|
print("\n[stop] shutting down")
|
|
finally:
|
|
stop_event.set()
|
|
if trigger_thread is not None:
|
|
trigger_thread.join(timeout=5)
|
|
if server:
|
|
server.shutdown()
|
|
rt["store"].close()
|
|
rt["research_con"].close()
|
|
return 0
|
|
|
|
|
|
if __name__ == "__main__":
|
|
sys.exit(main())
|