Refactor option greeks feature

examples/backtest/databento_option_greeks.py

@@ -20,6 +20,7 @@
 # Note: Use the python extension jupytext to be able to open this python file in jupyter as a notebook
 
 # %%
+# from nautilus_trader.model.data import DataType
 from nautilus_trader.adapters.databento.data_utils import data_path
 from nautilus_trader.adapters.databento.data_utils import databento_data
 from nautilus_trader.adapters.databento.data_utils import load_catalog
@@ -44,10 +45,8 @@
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Price
 from nautilus_trader.model.objects import Quantity
-from nautilus_trader.risk.greeks import GreeksCalculator
-from nautilus_trader.risk.greeks import GreeksCalculatorConfig
-from nautilus_trader.risk.greeks import InterestRateProvider
-from nautilus_trader.risk.greeks import InterestRateProviderConfig
+from nautilus_trader.persistence.loaders import InterestRateProvider
+from nautilus_trader.persistence.loaders import InterestRateProviderConfig
 from nautilus_trader.trading.strategy import Strategy
 
 
@@ -125,35 +124,38 @@ def on_start(self):
         bar_type = BarType.from_str(f"{self.config.future_id}-1-MINUTE-LAST-EXTERNAL")
         self.subscribe_bars(bar_type)
 
+        if self.config.load_greeks:
+            self.greeks.subscribe_greeks("ES")
+            # self.subscribe_data(DataType(GreeksData, metadata={"instrument_id": "ES*"}))
+
     def init_portfolio(self):
         self.submit_market_order(instrument_id=self.config.option_id, quantity=-10)
         self.submit_market_order(instrument_id=self.config.option_id2, quantity=10)
         self.submit_market_order(instrument_id=self.config.future_id, quantity=1)
 
         self.start_orders_done = True
 
+    # def on_data(self, data):
+    #     self.user_log(data)
+
     def on_bar(self, bar):
-        self.user_log(f"bar ts_init = {unix_nanos_to_iso8601(bar.ts_init)}")
+        self.user_log(
+            f"bar ts_init = {unix_nanos_to_iso8601(bar.ts_init)}, bar close = {bar.close}",
+        )
 
         if not self.start_orders_done:
             self.user_log("Initializing the portfolio with some trades")
             self.init_portfolio()
             return
 
-        if self.config.load_greeks:
-            # when greeks are loaded from a catalog a small delay is needed so all greeks are updated
-            # note that loading greeks is not required, it's actually faster to just compute them every time
-            self.clock.set_time_alert(
-                "display greeks",
-                self.clock.utc_now().replace(microsecond=100),
-                self.display_greeks,
-                override=True,
-            )
-        else:
-            self.display_greeks()
+        self.display_greeks()
 
     def display_greeks(self, alert=None):
-        portfolio_greeks = self.portfolio_greeks()
+        portfolio_greeks = self.greeks.portfolio_greeks(
+            use_cached_greeks=self.config.load_greeks,
+            publish_greeks=(not self.config.load_greeks),
+            vol_shock=0.0,
+        )
         self.user_log(f"{portfolio_greeks=}")
 
     def submit_market_order(self, instrument_id, quantity):
@@ -185,17 +187,10 @@ def user_log(self, msg):
 # %%
 # BacktestEngineConfig
 
-# for saving and loading custom data greeks, use False, True then True, False below
-load_greeks, stream_data = False, False
+# for saving and loading custom data greeks, use True, False then False, True below
+stream_data, load_greeks = False, True
 
 actors = [
-    ImportableActorConfig(
-        actor_path=GreeksCalculator.fully_qualified_name(),
-        config_path=GreeksCalculatorConfig.fully_qualified_name(),
-        config={
-            "load_greeks": load_greeks,
-        },
-    ),
     ImportableActorConfig(
         actor_path=InterestRateProvider.fully_qualified_name(),
         config_path=InterestRateProviderConfig.fully_qualified_name(),
@@ -259,14 +254,16 @@ def user_log(self, msg):
 ]
 
 if load_greeks:
-    data.append(
+    # Important note: when prepending custom data to usual market data, it will reach actors/strategies earlier
+    data = [
         BacktestDataConfig(
             data_cls=GreeksData.fully_qualified_name(),
             catalog_path=catalog.path,
             client_id="GreeksDataProvider",
             metadata={"instrument_id": "ES"},
         ),
-    )
+        *data,
+    ]
 
 venues = [
     BacktestVenueConfig(

nautilus_trader/cache/base.pxd

@@ -168,3 +168,10 @@ cdef class CacheFacade:
 
     cpdef StrategyId strategy_id_for_order(self, ClientOrderId client_order_id)
     cpdef StrategyId strategy_id_for_position(self, PositionId position_id)
+
+# -- GREEKS QUERIES ---------------------------------------------------------------------------
+
+    cpdef void add_greeks(self, object greeks)
+    cpdef void add_interest_rate_curve(self, object interest_rate_curve)
+    cpdef object greeks(self, InstrumentId instrument_id)
+    cpdef object interest_rate_curve(self, str currency)

nautilus_trader/cache/base.pyx

@@ -13,6 +13,9 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
+from nautilus_trader.model.greeks import GreeksData
+from nautilus_trader.model.greeks import InterestRateCurveData
+
 from nautilus_trader.core.rust.model cimport PriceType
 from nautilus_trader.model.data cimport Bar
 from nautilus_trader.model.data cimport BarType
@@ -406,3 +409,21 @@ cdef class CacheFacade:
     cpdef StrategyId strategy_id_for_position(self, PositionId position_id):
         """Abstract method (implement in subclass)."""
         raise NotImplementedError("method `strategy_id_for_position` must be implemented in the subclass")  # pragma: no cover
+
+# -- STRATEGY QUERIES -----------------------------------------------------------------------------
+
+    cpdef void add_greeks(self, object greeks):
+        """Abstract method (implement in subclass)."""
+        raise NotImplementedError("method `add_greeks` must be implemented in the subclass")  # pragma: no cover
+
+    cpdef void add_interest_rate_curve(self, object interest_rate_curve):
+        """Abstract method (implement in subclass)."""
+        raise NotImplementedError("method `add_interest_rate_curve` must be implemented in the subclass")  # pragma: no cover
+
+    cpdef object greeks(self, InstrumentId instrument_id):
+        """Abstract method (implement in subclass)."""
+        raise NotImplementedError("method `greeks` must be implemented in the subclass")  # pragma: no cover
+
+    cpdef object interest_rate_curve(self, str currency):
+        """Abstract method (implement in subclass)."""
+        raise NotImplementedError("method `interest_rate_curve` must be implemented in the subclass")  # pragma: no cover

nautilus_trader/cache/cache.pxd

@@ -23,12 +23,9 @@ from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.cache.facade cimport CacheDatabaseFacade
 from nautilus_trader.common.actor cimport Actor
 from nautilus_trader.common.component cimport Logger
-from nautilus_trader.core.rust.model cimport AggregationSource
 from nautilus_trader.core.rust.model cimport OmsType
 from nautilus_trader.core.rust.model cimport OrderSide
 from nautilus_trader.core.rust.model cimport PositionSide
-from nautilus_trader.execution.messages cimport SubmitOrder
-from nautilus_trader.execution.messages cimport SubmitOrderList
 from nautilus_trader.model.book cimport OrderBook
 from nautilus_trader.model.data cimport Bar
 from nautilus_trader.model.data cimport BarType
@@ -38,7 +35,6 @@ from nautilus_trader.model.identifiers cimport AccountId
 from nautilus_trader.model.identifiers cimport ClientId
 from nautilus_trader.model.identifiers cimport ClientOrderId
 from nautilus_trader.model.identifiers cimport InstrumentId
-from nautilus_trader.model.identifiers cimport OrderListId
 from nautilus_trader.model.identifiers cimport PositionId
 from nautilus_trader.model.identifiers cimport StrategyId
 from nautilus_trader.model.identifiers cimport Venue
@@ -47,7 +43,6 @@ from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.instruments.synthetic cimport SyntheticInstrument
 from nautilus_trader.model.objects cimport Currency
 from nautilus_trader.model.objects cimport Money
-from nautilus_trader.model.objects cimport Quantity
 from nautilus_trader.model.orders.base cimport Order
 from nautilus_trader.model.orders.list cimport OrderList
 from nautilus_trader.model.position cimport Position
@@ -75,6 +70,8 @@ cdef class Cache(CacheFacade):
     cdef dict _order_lists
     cdef dict _positions
     cdef dict _position_snapshots
+    cdef dict _greeks
+    cdef dict _interest_rate_curves
 
     cdef dict _index_venue_account
     cdef dict _index_venue_orders
@@ -165,6 +162,7 @@ cdef class Cache(CacheFacade):
     cpdef void add_order_list(self, OrderList order_list)
     cpdef void add_position_id(self, PositionId position_id, Venue venue, ClientOrderId client_order_id, StrategyId strategy_id)
     cpdef void add_position(self, Position position, OmsType oms_type)
+
     cpdef void snapshot_position(self, Position position)
     cpdef void snapshot_position_state(self, Position position, uint64_t ts_snapshot, Money unrealized_pnl=*, bint open_only=*)
     cpdef void snapshot_order_state(self, Order order)

nautilus_trader/cache/cache.pyx

@@ -41,7 +41,6 @@ from nautilus_trader.core.rust.model cimport OrderSide
 from nautilus_trader.core.rust.model cimport PositionSide
 from nautilus_trader.core.rust.model cimport PriceType
 from nautilus_trader.core.rust.model cimport TriggerType
-from nautilus_trader.execution.messages cimport SubmitOrder
 from nautilus_trader.model.data cimport Bar
 from nautilus_trader.model.data cimport BarAggregation
 from nautilus_trader.model.data cimport BarSpecification
@@ -126,6 +125,8 @@ cdef class Cache(CacheFacade):
         self._order_lists: dict[OrderListId, OrderList] = {}
         self._positions: dict[PositionId, Position] = {}
         self._position_snapshots: dict[PositionId, list[bytes]] = {}
+        self._greeks: dict[InstrumentId, object] = {}
+        self._interest_rate_curves: dict[str, object] = {}
 
         # Cache index
         self._index_venue_account: dict[Venue, AccountId] = {}
@@ -1688,6 +1689,18 @@ cdef class Cache(CacheFacade):
         # Update database
         self._database.add_position(position)
 
+    cpdef void add_greeks(self, object greeks):
+        self._greeks[greeks.instrument_id] = greeks
+
+    cpdef void add_interest_rate_curve(self, object interest_rate_curve):
+        self._interest_rate_curves[interest_rate_curve.currency] = interest_rate_curve
+
+    cpdef object greeks(self, InstrumentId instrument_id):
+        return self._greeks.get(instrument_id)
+
+    cpdef object interest_rate_curve(self, str currency):
+        return self._interest_rate_curves.get(currency)
+
     cpdef void snapshot_position(self, Position position):
         """
         Snapshot the given position in its current state.

nautilus_trader/common/actor.pxd

@@ -13,13 +13,9 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
-from typing import Callable
-
 from cpython.datetime cimport datetime
 from libc.stdint cimport uint64_t
 
-from nautilus_trader.risk.greeks import GreeksData
-
 from nautilus_trader.cache.base cimport CacheFacade
 from nautilus_trader.common.component cimport Clock
 from nautilus_trader.common.component cimport Component
@@ -47,6 +43,7 @@ from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.instruments.synthetic cimport SyntheticInstrument
 from nautilus_trader.portfolio.base cimport PortfolioFacade
+from nautilus_trader.risk.greeks cimport GreeksCalculator
 
 
 cdef class Actor(Component):
@@ -56,7 +53,6 @@ cdef class Actor(Component):
     cdef set[type] _warning_events
     cdef dict[UUID4, object] _pending_requests
     cdef set[type] _pyo3_conversion_types
-    cdef dict[InstrumentId, list[GreeksData]] _future_greeks
     cdef dict[str, type] _signal_classes
     cdef list[Indicator] _indicators
     cdef dict[InstrumentId, list[Indicator]] _indicators_for_quotes
@@ -75,6 +71,8 @@ cdef class Actor(Component):
     """The message bus for the actor (if registered).\n\n:returns: `MessageBus` or ``None``"""
     cdef readonly CacheFacade cache
     """The read-only cache for the actor.\n\n:returns: `CacheFacade`"""
+    cdef readonly GreeksCalculator greeks
+    """The read-only greeks calculator for the actor.\n\n:returns: `GreeksCalculator`"""
 
     cpdef bint indicators_initialized(self)