diff options
Diffstat (limited to 'services/order-executor')
5 files changed, 30 insertions, 39 deletions
diff --git a/services/order-executor/src/order_executor/executor.py b/services/order-executor/src/order_executor/executor.py index a71e762..fd502cd 100644 --- a/services/order-executor/src/order_executor/executor.py +++ b/services/order-executor/src/order_executor/executor.py @@ -1,18 +1,18 @@ """Order execution logic.""" -import structlog -from datetime import datetime, timezone +from datetime import UTC, datetime from decimal import Decimal -from typing import Any, Optional +from typing import Any + +import structlog +from order_executor.risk_manager import RiskManager from shared.broker import RedisBroker from shared.db import Database from shared.events import OrderEvent from shared.models import Order, OrderStatus, OrderType, Signal from shared.notifier import TelegramNotifier -from order_executor.risk_manager import RiskManager - logger = structlog.get_logger() @@ -35,7 +35,7 @@ class OrderExecutor: self.notifier = notifier self.dry_run = dry_run - async def execute(self, signal: Signal) -> Optional[Order]: + async def execute(self, signal: Signal) -> Order | None: """Run risk checks and place an order for the given signal.""" # Fetch buying power from Alpaca balance = await self.exchange.get_buying_power() @@ -71,7 +71,7 @@ class OrderExecutor: if self.dry_run: order.status = OrderStatus.FILLED - order.filled_at = datetime.now(timezone.utc) + order.filled_at = datetime.now(UTC) logger.info( "order_filled_dry_run", side=str(order.side), @@ -87,7 +87,7 @@ class OrderExecutor: type="market", ) order.status = OrderStatus.FILLED - order.filled_at = datetime.now(timezone.utc) + order.filled_at = datetime.now(UTC) logger.info( "order_filled", side=str(order.side), diff --git a/services/order-executor/src/order_executor/main.py b/services/order-executor/src/order_executor/main.py index d9e2373..99f88e1 100644 --- a/services/order-executor/src/order_executor/main.py +++ b/services/order-executor/src/order_executor/main.py @@ -5,6 +5,9 @@ from decimal import Decimal import aiohttp +from order_executor.config import ExecutorConfig +from order_executor.executor import OrderExecutor +from order_executor.risk_manager import RiskManager from shared.alpaca import AlpacaClient from shared.broker import RedisBroker from shared.db import Database @@ -15,10 +18,6 @@ from shared.metrics import ServiceMetrics from shared.notifier import TelegramNotifier from shared.shutdown import GracefulShutdown -from order_executor.config import ExecutorConfig -from order_executor.executor import OrderExecutor -from order_executor.risk_manager import RiskManager - # Health check port: base + 2 HEALTH_PORT_OFFSET = 2 @@ -100,12 +99,7 @@ async def run() -> None: if event.type == EventType.SIGNAL: await executor.execute(event.data) await broker.ack(stream, GROUP, msg_id) - except ( - aiohttp.ClientError, - ConnectionError, - TimeoutError, - asyncio.TimeoutError, - ) as exc: + except (aiohttp.ClientError, ConnectionError, TimeoutError) as exc: log.warning("pending_network_error", error=str(exc), msg_id=msg_id) except (ValueError, KeyError, TypeError) as exc: log.warning("pending_parse_error", error=str(exc), msg_id=msg_id) @@ -126,12 +120,7 @@ async def run() -> None: service="order-executor", event_type="signal" ).inc() await broker.ack(stream, GROUP, msg_id) - except ( - aiohttp.ClientError, - ConnectionError, - TimeoutError, - asyncio.TimeoutError, - ) as exc: + except (aiohttp.ClientError, ConnectionError, TimeoutError) as exc: log.warning("process_network_error", error=str(exc)) metrics.errors_total.labels( service="order-executor", error_type="network" diff --git a/services/order-executor/src/order_executor/risk_manager.py b/services/order-executor/src/order_executor/risk_manager.py index 5a05746..811a862 100644 --- a/services/order-executor/src/order_executor/risk_manager.py +++ b/services/order-executor/src/order_executor/risk_manager.py @@ -1,12 +1,12 @@ """Risk management for order execution.""" +import math +from collections import deque from dataclasses import dataclass -from datetime import datetime, timezone, timedelta +from datetime import UTC, datetime, timedelta from decimal import Decimal -from collections import deque -import math -from shared.models import Signal, OrderSide, Position +from shared.models import OrderSide, Position, Signal @dataclass @@ -123,15 +123,13 @@ class RiskManager: else: self._consecutive_losses += 1 if self._consecutive_losses >= self._max_consecutive_losses: - self._paused_until = datetime.now(timezone.utc) + timedelta( - minutes=self._loss_pause_minutes - ) + self._paused_until = datetime.now(UTC) + timedelta(minutes=self._loss_pause_minutes) def is_paused(self) -> bool: """Check if trading is paused due to consecutive losses.""" if self._paused_until is None: return False - if datetime.now(timezone.utc) >= self._paused_until: + if datetime.now(UTC) >= self._paused_until: self._paused_until = None self._consecutive_losses = 0 return False @@ -233,9 +231,9 @@ class RiskManager: mean_a = sum(returns_a) / len(returns_a) mean_b = sum(returns_b) / len(returns_b) - cov = sum((a - mean_a) * (b - mean_b) for a, b in zip(returns_a, returns_b)) / len( - returns_a - ) + cov = sum( + (a - mean_a) * (b - mean_b) for a, b in zip(returns_a, returns_b, strict=True) + ) / len(returns_a) std_a = math.sqrt(sum((a - mean_a) ** 2 for a in returns_a) / len(returns_a)) std_b = math.sqrt(sum((b - mean_b) ** 2 for b in returns_b) / len(returns_b)) @@ -280,7 +278,11 @@ class RiskManager: min_len = min(len(r) for r in all_returns) portfolio_returns = [] for i in range(min_len): - pr = sum(w * r[-(min_len - i)] for w, r in zip(weights, all_returns) if len(r) > i) + pr = sum( + w * r[-(min_len - i)] + for w, r in zip(weights, all_returns, strict=False) + if len(r) > i + ) portfolio_returns.append(pr) if not portfolio_returns: diff --git a/services/order-executor/tests/test_executor.py b/services/order-executor/tests/test_executor.py index dd823d7..cda6b72 100644 --- a/services/order-executor/tests/test_executor.py +++ b/services/order-executor/tests/test_executor.py @@ -4,11 +4,11 @@ from decimal import Decimal from unittest.mock import AsyncMock, MagicMock import pytest - -from shared.models import OrderSide, OrderStatus, Signal from order_executor.executor import OrderExecutor from order_executor.risk_manager import RiskCheckResult, RiskManager +from shared.models import OrderSide, OrderStatus, Signal + def make_signal(side: OrderSide = OrderSide.BUY, price: str = "100", quantity: str = "1") -> Signal: return Signal( diff --git a/services/order-executor/tests/test_risk_manager.py b/services/order-executor/tests/test_risk_manager.py index 3d5175b..66e769c 100644 --- a/services/order-executor/tests/test_risk_manager.py +++ b/services/order-executor/tests/test_risk_manager.py @@ -2,9 +2,9 @@ from decimal import Decimal +from order_executor.risk_manager import RiskManager from shared.models import OrderSide, Position, Signal -from order_executor.risk_manager import RiskManager def make_signal(side: OrderSide, price: str, quantity: str, symbol: str = "AAPL") -> Signal: |