Ocean (#49)

* ocean

.env.example

@@ -8,4 +8,10 @@ LOG_LEVEL=INFO
 WASM_FOLDER=wasm
 REGIME=default
 
-COPILOT_MODEL_PATH=
+COPILOT_MODEL_PATH=
+OCEAN_EMB_PATH=
+
+MASTER_ADDR=
+MASTER_PORT=
+WORLD_SIZE=1
+RANK=0

.python-version

@@ -0,0 +1 @@
+3.12

Makefile

@@ -25,13 +25,13 @@ build-timeseries:
 	cp $(TA_LIB_DIR)/target/wasm32-wasi/release/ffi.wasm $(WASM_DIR)/timeseries.wasm
 
 run:
-	pipenv run python3 quant.py
+	uv run python3 quant.py
 
 format:
 	cargo fmt --all --manifest-path=$(TA_LIB_PATH)
-	pipenv run black .
-	pipenv run ruff . --fix
+	uv run black .
+	uv run ruff check . --unsafe-fixes --fix
 
 update:
 	cargo update --manifest-path=$(TA_LIB_PATH)
-	pipenv update
+	uv sync

config.default.ini

@@ -3,7 +3,7 @@ buf_size = 50
 base_dir = tmp
 
 [bus]
-piority_groups = 8
+piority_groups = 13
 num_workers = 5
 
 [backtest]
@@ -56,4 +56,8 @@ n_threads = 7
 n_gpu_layers = 2
 n_batch = 256
 max_tokens = 66
-temperature = 0.52
+temperature = 0.52
+
+[ocean]
+top_k = 20
+emb_file = ''

copilot/_actor.py

@@ -87,9 +87,11 @@ def fit(self, X, y=None):
 
             new_centers = np.array(
                 [
-                    X[self.labels_ == j].mean(axis=0)
-                    if len(X[self.labels_ == j]) > 0
-                    else self.cluster_centers_[j]
+                    (
+                        X[self.labels_ == j].mean(axis=0)
+                        if len(X[self.labels_ == j]) > 0
+                        else self.cluster_centers_[j]
+                    )
                     for j in range(self.n_clusters)
                 ]
             )
@@ -182,7 +184,7 @@ async def _evaluate_signal(self, msg: EvaluateSignal) -> SignalRisk:
             else signal_trend_risk_prompt
         )
 
-        prompt = template.format(
+        template.format(
             side=side,
             strategy_type=strategy_type,
             entry=curr_bar.close,
@@ -195,12 +197,16 @@ async def _evaluate_signal(self, msg: EvaluateSignal) -> SignalRisk:
             cci=momentum.cci[-self.bars_n :],
             roc=momentum.sroc[-self.bars_n :],
             nvol=volume.nvol[-self.bars_n :],
-            support=trend.support[-self.bars_n :]
-            if side == PositionSide.SHORT
-            else trend.resistance[-self.bars_n :],
-            resistance=trend.resistance[-self.bars_n :]
-            if side == PositionSide.SHORT
-            else trend.support[-self.bars_n :],
+            support=(
+                trend.support[-self.bars_n :]
+                if side == PositionSide.SHORT
+                else trend.resistance[-self.bars_n :]
+            ),
+            resistance=(
+                trend.resistance[-self.bars_n :]
+                if side == PositionSide.SHORT
+                else trend.support[-self.bars_n :]
+            ),
             vwap=volume.vwap[-self.bars_n :],
             upper_bb=volatility.upb[-self.bars_n :],
             lower_bb=volatility.lwb[-self.bars_n :],

core/commands/broker.py

@@ -3,7 +3,7 @@
 from core.events._base import EventMeta
 from core.groups.command import CommandGroup
 from core.models.broker import MarginMode, PositionMode
-from core.models.entity.position import Position
+from core.models.exchange import ExchangeType
 from core.models.symbol import Symbol
 
 from ._base import Command
@@ -12,24 +12,15 @@
 @dataclass(frozen=True)
 class BrokerCommand(Command):
     meta: EventMeta = field(
-        default_factory=lambda: EventMeta(priority=1, group=CommandGroup.broker),
+        default_factory=lambda: EventMeta(priority=5, group=CommandGroup.broker),
         init=False,
     )
 
 
 @dataclass(frozen=True)
-class UpdateSettings(BrokerCommand):
+class UpdateSymbolSettings(BrokerCommand):
+    exchange: ExchangeType
     symbol: Symbol
     leverage: int
     position_mode: PositionMode
     margin_mode: MarginMode
-
-
-@dataclass(frozen=True)
-class OpenPosition(BrokerCommand):
-    position: Position
-
-
-@dataclass(frozen=True)
-class ClosePosition(BrokerCommand):
-    position: Position

core/commands/position.py

@@ -0,0 +1,25 @@
+from dataclasses import dataclass, field
+
+from core.events._base import EventMeta
+from core.groups.command import CommandGroup
+from core.models.entity.position import Position
+
+from ._base import Command
+
+
+@dataclass(frozen=True)
+class PositionCommand(Command):
+    meta: EventMeta = field(
+        default_factory=lambda: EventMeta(priority=1, group=CommandGroup.position),
+        init=False,
+    )
+
+
+@dataclass(frozen=True)
+class OpenPosition(PositionCommand):
+    position: Position
+
+
+@dataclass(frozen=True)
+class ClosePosition(PositionCommand):
+    position: Position

core/groups/command.py

@@ -6,6 +6,7 @@ class CommandGroup(Enum):
     broker = auto()
     portfolio = auto()
     market = auto()
+    position = auto()
 
     def __str__(self):
         return self.name

core/mixins/_event_handler.py

@@ -1,3 +1,4 @@
+import asyncio
 from typing import Any, Callable, Dict, Type
 
 
@@ -10,6 +11,11 @@ def register_handler(self, event_type: Type[Any], handler: Callable):
 
     async def handle_event(self, event: Any) -> Any:
         handler = self._handlers.get(type(event))
+
         if handler:
-            return await handler(event)
+            if asyncio.iscoroutinefunction(handler):
+                return await handler(event)
+            else:
+                return await asyncio.to_thread(handler, event)
+
         return None

core/models/cap.py

@@ -0,0 +1,7 @@
+from enum import Enum, auto
+
+
+class CapType(Enum):
+    A = auto()
+    B = auto()
+    C = auto()

core/models/entity/position.py

@@ -359,7 +359,7 @@ def target_filter(target, tp):
         dist = abs(curr_price - entry_price)
 
         trl_ratio = trl_dist / entry_price
-        exit_ratio = exit_dist / entry_price
+        exit_dist / entry_price
         dist_ratio = dist / entry_price
         is_exit = session_risk == SessionRiskType.EXIT
 

core/models/entity/position_risk.py

@@ -87,11 +87,13 @@ def smooth_savgol(*arrays: np.ndarray) -> List[np.ndarray]:
 
 def smooth_spline(*arrays: np.ndarray, s: float = 1.0, k: int = 3) -> List[np.ndarray]:
     return [
-        UnivariateSpline(np.arange(len(array)), array, s=s, k=min(k, len(array) - 1))(
-            np.arange(len(array))
+        (
+            UnivariateSpline(
+                np.arange(len(array)), array, s=s, k=min(k, len(array) - 1)
+            )(np.arange(len(array)))
+            if len(array) > k
+            else array
         )
-        if len(array) > k
-        else array
         for array in arrays
     ]
 

core/queries/broker.py

@@ -1,34 +1,29 @@
 from dataclasses import dataclass, field
-from typing import List
+from typing import List, Optional
 
 from core.events._base import EventMeta
 from core.groups.query import QueryGroup
-from core.models.entity.position import Position
+from core.models.cap import CapType
+from core.models.exchange import ExchangeType
 from core.models.symbol import Symbol
 
 from ._base import Query
 
 
 @dataclass(frozen=True)
 class GetSymbols(Query[List[Symbol]]):
+    exchange: ExchangeType
+    cap: Optional[CapType] = None
     meta: EventMeta = field(
         default_factory=lambda: EventMeta(priority=3, group=QueryGroup.broker),
         init=False,
     )
 
 
 @dataclass(frozen=True)
-class GetSymbol(Query[Symbol]):
+class GetSimularSymbols(Query[List[Symbol]]):
     symbol: Symbol
-    meta: EventMeta = field(
-        default_factory=lambda: EventMeta(priority=3, group=QueryGroup.broker),
-        init=False,
-    )
-
-
-@dataclass(frozen=True)
-class HasPosition(Query[bool]):
-    position: Position
+    exchange: ExchangeType
     meta: EventMeta = field(
         default_factory=lambda: EventMeta(priority=3, group=QueryGroup.broker),
         init=False,

core/queries/position.py

@@ -24,3 +24,12 @@ class GetClosePosition(Query[Order]):
         default_factory=lambda: EventMeta(priority=1, group=QueryGroup.broker),
         init=False,
     )
+
+
+@dataclass(frozen=True)
+class HasPosition(Query[bool]):
+    position: Position
+    meta: EventMeta = field(
+        default_factory=lambda: EventMeta(priority=3, group=QueryGroup.broker),
+        init=False,
+    )

exchange/_bybit.py

@@ -245,9 +245,11 @@ def fetch_position(self, symbol: Symbol, side: PositionSide):
 
         if position and position["entryPrice"] is not None:
             return {
-                "position_side": PositionSide.LONG
-                if position["side"] == "long"
-                else PositionSide.SHORT,
+                "position_side": (
+                    PositionSide.LONG
+                    if position["side"] == "long"
+                    else PositionSide.SHORT
+                ),
                 "entry_price": float(position.get("entryPrice", 0)),
                 "position_size": float(position.get("contracts", 0)),
                 "open_fee": -float(position.get("info", {}).get("curRealisedPnl", 0)),
@@ -269,8 +271,8 @@ def fetch_ohlcv(
         symbol: Symbol,
         timeframe: Timeframe,
         in_sample: Lookback,
-        out_sample: Lookback | None,
-        batch_size: int,
+        out_sample: Lookback | None = None,
+        batch_size: int = 512,
     ):
         in_sample = TIMEFRAMES_TO_LOOKBACK[(in_sample, timeframe)]
         out_sample = (

exchange/_exchange_factory.py

@@ -1,8 +1,11 @@
+from functools import lru_cache
+
 from core.interfaces.abstract_exchange import AbstractExchange
 from core.interfaces.abstract_exhange_factory import AbstractExchangeFactory
 from core.interfaces.abstract_secret_service import AbstractSecretService
 from core.models.exchange import ExchangeType
-from exchange._bybit import Bybit
+
+from ._bybit import Bybit
 
 
 class ExchangeFactory(AbstractExchangeFactory):
@@ -12,6 +15,7 @@ def __init__(self, secret: AbstractSecretService):
         super().__init__()
         self.secret = secret
 
+    @lru_cache(maxsize=None)
     def create(self, type: ExchangeType) -> AbstractExchange:
         if type not in self._exchange_type:
             raise ValueError(f"Unknown Exchange: {type}")

executor/_market_actor.py

@@ -2,7 +2,7 @@
 from typing import Union
 
 from core.actors import StrategyActor
-from core.commands.broker import ClosePosition, OpenPosition
+from core.commands.position import ClosePosition, OpenPosition
 from core.events.position import (
     BrokerPositionClosed,
     BrokerPositionOpened,
@@ -12,8 +12,7 @@
 from core.mixins import EventHandlerMixin
 from core.models.symbol import Symbol
 from core.models.timeframe import Timeframe
-from core.queries.broker import HasPosition
-from core.queries.position import GetClosePosition, GetOpenPosition
+from core.queries.position import GetClosePosition, GetOpenPosition, HasPosition
 
 logger = logging.getLogger(__name__)
 

infrastructure/config.py

@@ -34,9 +34,9 @@ def load(self, config_path: str) -> None:
                             self._config[current_section][key] = array_values
                         else:
                             try:
-                                self._config[current_section][
-                                    key
-                                ] = self._parse_single_value(value)
+                                self._config[current_section][key] = (
+                                    self._parse_single_value(value)
+                                )
                             except ValueError:
                                 array_values = value.split(",")