diff options
Diffstat (limited to 'services/strategy-engine')
15 files changed, 68 insertions, 43 deletions
diff --git a/services/strategy-engine/src/strategy_engine/config.py b/services/strategy-engine/src/strategy_engine/config.py index 2864b09..e3a49c2 100644 --- a/services/strategy-engine/src/strategy_engine/config.py +++ b/services/strategy-engine/src/strategy_engine/config.py @@ -1,4 +1,5 @@ """Strategy Engine configuration.""" + from shared.config import Settings diff --git a/services/strategy-engine/src/strategy_engine/engine.py b/services/strategy-engine/src/strategy_engine/engine.py index 09dbf65..d401aee 100644 --- a/services/strategy-engine/src/strategy_engine/engine.py +++ b/services/strategy-engine/src/strategy_engine/engine.py @@ -1,4 +1,5 @@ """Strategy Engine: consumes candle events and publishes signals.""" + import logging from shared.broker import RedisBroker @@ -36,9 +37,7 @@ class StrategyEngine: try: signal = strategy.on_candle(candle) except Exception as exc: - logger.error( - "Strategy %s raised on candle: %s", strategy.name, exc - ) + logger.error("Strategy %s raised on candle: %s", strategy.name, exc) continue if signal is not None: diff --git a/services/strategy-engine/src/strategy_engine/main.py b/services/strategy-engine/src/strategy_engine/main.py index 2e3c4ac..53681d1 100644 --- a/services/strategy-engine/src/strategy_engine/main.py +++ b/services/strategy-engine/src/strategy_engine/main.py @@ -1,4 +1,5 @@ """Strategy Engine Service entry point.""" + import asyncio from pathlib import Path @@ -20,7 +21,9 @@ async def run() -> None: config = StrategyConfig() log = setup_logging("strategy-engine", config.log_level, config.log_format) metrics = ServiceMetrics("strategy_engine") - notifier = TelegramNotifier(bot_token=config.telegram_bot_token, chat_id=config.telegram_chat_id) + notifier = TelegramNotifier( + bot_token=config.telegram_bot_token, chat_id=config.telegram_chat_id + ) broker = RedisBroker(config.redis_url) @@ -53,7 +56,9 @@ async def run() -> None: while True: last_id = await engine.process_once(stream, last_id) - metrics.events_processed.labels(service="strategy-engine", event_type="candle").inc() + metrics.events_processed.labels( + service="strategy-engine", event_type="candle" + ).inc() except Exception as exc: log.error("fatal_error", error=str(exc)) await notifier.send_error(str(exc), "strategy-engine") diff --git a/services/strategy-engine/src/strategy_engine/plugin_loader.py b/services/strategy-engine/src/strategy_engine/plugin_loader.py index f99b670..62e4160 100644 --- a/services/strategy-engine/src/strategy_engine/plugin_loader.py +++ b/services/strategy-engine/src/strategy_engine/plugin_loader.py @@ -1,4 +1,5 @@ """Dynamic plugin loader for strategy modules.""" + import importlib.util import sys from pathlib import Path @@ -29,11 +30,7 @@ def load_strategies(strategies_dir: Path) -> list[BaseStrategy]: for attr_name in dir(module): obj = getattr(module, attr_name) - if ( - isinstance(obj, type) - and issubclass(obj, BaseStrategy) - and obj is not BaseStrategy - ): + if isinstance(obj, type) and issubclass(obj, BaseStrategy) and obj is not BaseStrategy: instance = obj() yaml_path = config_dir / f"{path.stem}.yaml" if yaml_path.exists(): diff --git a/services/strategy-engine/strategies/volume_profile_strategy.py b/services/strategy-engine/strategies/volume_profile_strategy.py index 684c33c..e9463bf 100644 --- a/services/strategy-engine/strategies/volume_profile_strategy.py +++ b/services/strategy-engine/strategies/volume_profile_strategy.py @@ -39,9 +39,8 @@ class VolumeProfileStrategy(BaseStrategy): if len(data) < self._lookback_period: return None - recent = data[-self._lookback_period:] + recent = data[-self._lookback_period :] prices = np.array([c[0] for c in recent]) - volumes = np.array([c[1] for c in recent]) min_price = prices.min() max_price = prices.max() diff --git a/services/strategy-engine/tests/conftest.py b/services/strategy-engine/tests/conftest.py index c9ef308..eb31b23 100644 --- a/services/strategy-engine/tests/conftest.py +++ b/services/strategy-engine/tests/conftest.py @@ -1,4 +1,5 @@ """Pytest configuration: ensure strategies/ is importable.""" + import sys from pathlib import Path diff --git a/services/strategy-engine/tests/test_bollinger_strategy.py b/services/strategy-engine/tests/test_bollinger_strategy.py index b3d17ac..348a9e0 100644 --- a/services/strategy-engine/tests/test_bollinger_strategy.py +++ b/services/strategy-engine/tests/test_bollinger_strategy.py @@ -1,8 +1,8 @@ """Tests for the Bollinger Bands strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.bollinger_strategy import BollingerStrategy diff --git a/services/strategy-engine/tests/test_ema_crossover_strategy.py b/services/strategy-engine/tests/test_ema_crossover_strategy.py index 5a40319..0cf767b 100644 --- a/services/strategy-engine/tests/test_ema_crossover_strategy.py +++ b/services/strategy-engine/tests/test_ema_crossover_strategy.py @@ -1,8 +1,8 @@ """Tests for the EMA Crossover strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.ema_crossover_strategy import EmaCrossoverStrategy diff --git a/services/strategy-engine/tests/test_engine.py b/services/strategy-engine/tests/test_engine.py index 33ad4dd..ac9a596 100644 --- a/services/strategy-engine/tests/test_engine.py +++ b/services/strategy-engine/tests/test_engine.py @@ -1,4 +1,5 @@ """Tests for the StrategyEngine.""" + from datetime import datetime, timezone from decimal import Decimal from unittest.mock import AsyncMock, MagicMock @@ -6,7 +7,7 @@ from unittest.mock import AsyncMock, MagicMock import pytest from shared.models import Candle, Signal, OrderSide -from shared.events import CandleEvent, SignalEvent +from shared.events import CandleEvent from strategy_engine.engine import StrategyEngine diff --git a/services/strategy-engine/tests/test_grid_strategy.py b/services/strategy-engine/tests/test_grid_strategy.py index d96ebba..79eb22a 100644 --- a/services/strategy-engine/tests/test_grid_strategy.py +++ b/services/strategy-engine/tests/test_grid_strategy.py @@ -1,8 +1,8 @@ """Tests for the Grid strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.grid_strategy import GridStrategy @@ -23,12 +23,14 @@ def make_candle(close: float) -> Candle: def _configured_strategy() -> GridStrategy: strategy = GridStrategy() - strategy.configure({ - "lower_price": 48000, - "upper_price": 52000, - "grid_count": 5, - "quantity": "0.01", - }) + strategy.configure( + { + "lower_price": 48000, + "upper_price": 52000, + "grid_count": 5, + "quantity": "0.01", + } + ) return strategy diff --git a/services/strategy-engine/tests/test_macd_strategy.py b/services/strategy-engine/tests/test_macd_strategy.py index e1ae2a3..9931b43 100644 --- a/services/strategy-engine/tests/test_macd_strategy.py +++ b/services/strategy-engine/tests/test_macd_strategy.py @@ -1,8 +1,8 @@ """Tests for the MACD strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.macd_strategy import MacdStrategy diff --git a/services/strategy-engine/tests/test_plugin_loader.py b/services/strategy-engine/tests/test_plugin_loader.py index 9496bab..5191fc3 100644 --- a/services/strategy-engine/tests/test_plugin_loader.py +++ b/services/strategy-engine/tests/test_plugin_loader.py @@ -1,7 +1,7 @@ """Tests for the plugin loader.""" + from pathlib import Path -import pytest from strategy_engine.plugin_loader import load_strategies diff --git a/services/strategy-engine/tests/test_rsi_strategy.py b/services/strategy-engine/tests/test_rsi_strategy.py index 90fface..2a2f4e7 100644 --- a/services/strategy-engine/tests/test_rsi_strategy.py +++ b/services/strategy-engine/tests/test_rsi_strategy.py @@ -1,8 +1,8 @@ """Tests for the RSI strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.rsi_strategy import RsiStrategy diff --git a/services/strategy-engine/tests/test_volume_profile_strategy.py b/services/strategy-engine/tests/test_volume_profile_strategy.py index be123b0..71f0eca 100644 --- a/services/strategy-engine/tests/test_volume_profile_strategy.py +++ b/services/strategy-engine/tests/test_volume_profile_strategy.py @@ -1,8 +1,8 @@ """Tests for the Volume Profile strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.volume_profile_strategy import VolumeProfileStrategy @@ -39,17 +39,27 @@ def test_volume_profile_no_signal_insufficient_data(): def test_volume_profile_buy_at_value_area_low(): """Concentrate volume around 95-105, price drops to 88, bounces back to 99.""" strategy = VolumeProfileStrategy() - strategy.configure({ - "lookback_period": 10, - "num_bins": 5, - "value_area_pct": 0.7, - "quantity": "0.01", - }) + strategy.configure( + { + "lookback_period": 10, + "num_bins": 5, + "value_area_pct": 0.7, + "quantity": "0.01", + } + ) # Build profile: 10 candles with volume concentrated around 95-105 profile_data = [ - (95, 50), (97, 50), (99, 100), (100, 100), (101, 100), - (103, 50), (105, 50), (100, 100), (99, 100), (101, 50), + (95, 50), + (97, 50), + (99, 100), + (100, 100), + (101, 100), + (103, 50), + (105, 50), + (100, 100), + (99, 100), + (101, 50), ] for price, vol in profile_data: strategy.on_candle(make_candle(price, vol)) @@ -67,17 +77,27 @@ def test_volume_profile_buy_at_value_area_low(): def test_volume_profile_sell_at_value_area_high(): """Concentrate volume around 95-105, price rises to 112, pulls back to 101.""" strategy = VolumeProfileStrategy() - strategy.configure({ - "lookback_period": 10, - "num_bins": 5, - "value_area_pct": 0.7, - "quantity": "0.01", - }) + strategy.configure( + { + "lookback_period": 10, + "num_bins": 5, + "value_area_pct": 0.7, + "quantity": "0.01", + } + ) # Build profile: 10 candles with volume concentrated around 95-105 profile_data = [ - (95, 50), (97, 50), (99, 100), (100, 100), (101, 100), - (103, 50), (105, 50), (100, 100), (99, 100), (101, 50), + (95, 50), + (97, 50), + (99, 100), + (100, 100), + (101, 100), + (103, 50), + (105, 50), + (100, 100), + (99, 100), + (101, 50), ] for price, vol in profile_data: strategy.on_candle(make_candle(price, vol)) diff --git a/services/strategy-engine/tests/test_vwap_strategy.py b/services/strategy-engine/tests/test_vwap_strategy.py index 37d35bc..5d76b04 100644 --- a/services/strategy-engine/tests/test_vwap_strategy.py +++ b/services/strategy-engine/tests/test_vwap_strategy.py @@ -1,8 +1,8 @@ """Tests for the VWAP strategy.""" + from datetime import datetime, timezone from decimal import Decimal -import pytest from shared.models import Candle, OrderSide from strategies.vwap_strategy import VwapStrategy |