studio backtest working

README-links.md

@@ -43,3 +43,11 @@ https://github.com/cgrand/xforms
 ;; ftp://ftp.nasdaqtrader.com/symboldirectory
 ;; ftp://nasdaqtrader.com/SymbolDirectory/nasdaqlisted.txt
 ;; ftp://nasdaqtrader.com/SymbolDirectory/otherlisted.txt
+
+
+
+model
+- calendar (add-calendar, set-calendar)
+- cells
+
+backtest / live interact with a model!!

deps.edn

@@ -59,7 +59,7 @@
                "./lib/helper/src"
                "./lib/import/src"
                "./lib/indicator/src"
-               "./lib/interact/src"
+               "./lib/studio/src"
                "./lib/live/src"
                "./lib/math/src"
                "./lib/quote/src"
@@ -81,7 +81,7 @@
                "./lib/helper/src"
                "./lib/import/src"
                "./lib/indicator/src"
-               "./lib/interact/src"
+               "./lib/studio/src"
                "./lib/live/src"
                "./lib/math/src"
                "./lib/quote/src"

lib/algo/deps.edn

@@ -3,7 +3,7 @@
  {org.clojure/clojure    {:mvn/version "1.11.3"}
   ta/db {:local/root "../db" :deps/manifest :deps} ; bar-db
   ta/calendar {:local/root "../calendar" :deps/manifest :deps}
-  ta/engine {:local/root "../engine" :deps/manifest :deps} ; engine (javelin) used by algo-env
+  ta/model {:local/root "../engine" :deps/manifest :deps} ; engine (javelin) used by algo-env
  }
  :aliases
  {:test {:extra-paths ["test"]

lib/algo/resources/quanta/notebook/algo_dummy.clj

@@ -1,7 +1,7 @@
 (ns quanta.notebook.algo-dummy
   (:require
    [ta.calendar.core :as cal]
-   [quanta.model.protocol :as eng]
+   [quanta.model.protocol :as mp]
    [ta.algo.env :as algo-env]
    [ta.algo.backtest :refer [backtest-algo run-backtest]]))
 
@@ -23,11 +23,11 @@ algo
 
 ;; 2. test algo calculation
 
-(def engine (algo-env/get-engine e))
+(def engine (algo-env/get-model e))
 
 engine
 
-(eng/set-calendar! engine {:calendar [:us :d] :time :evening})
+(mp/set-calendar! engine {:calendar [:us :d] :time :evening})
 
 algo
 @algo

lib/algo/src/ta/algo/backtest.clj

@@ -1,44 +1,15 @@
 (ns ta.algo.backtest
   (:require
-   [tick.core :as t]
-   [taoensso.timbre :refer [trace debug info warn error]]
-   [ta.calendar.core :as cal]
-   [ta.calendar.combined :refer [combined-event-seq]]
-   [quanta.model.protocol :as eng]
+   [quanta.model.backtest :refer [fire-backtest-events]]
    [ta.algo.env.protocol :as algo-env]
-   [ta.algo.env :as algo-env-impl]))
-
-(defn- dt->event-seq [calendars dt]
-  (let [prior-dates (map (fn [[calendar-kw interval-kw]]
-                           (cal/prior-close calendar-kw interval-kw dt))
-                         calendars)
-        ;prior-dates-sorted (sort prior-dates)
-        ]
-    (map (fn [cal dt]
-           {:calendar cal :time dt}) calendars prior-dates)))
-
-(defn- fire-calendar-events [engine window-or-dt]
-  (let [calendars (eng/active-calendars engine)
-        ; 3 modes to create an event-seq
-        ; a map represents a window
-        ; a date represents the last date for all calendars
-        ; no date represents the current time.
-        event-seq (if (map? window-or-dt) 
-                    (combined-event-seq calendars window-or-dt)
-                    (dt->event-seq calendars (or window-or-dt 
-                                              (-> (t/now)(t/in "UTC")))))
-        ]
-    (info "backtesting: " window-or-dt " ..")
-    ; fire calendar events
-    (doall (map #(eng/set-calendar! engine %) event-seq))
-    (info "backtesting window: " window-or-dt "finished!")))
+   [ta.algo.env :refer [create-env-javelin]]))
 
 (defn backtest-algo
   "runs an algo with data powered by bar-db.
    returns the result of the strategy."
   [bar-db algo-spec window-or-dt]
-  (let [env (algo-env-impl/create-env-javelin bar-db)
-        strategy (algo-env/add-algo env algo-spec) 
-        engine (algo-env/get-engine env)]
-    (fire-calendar-events engine window-or-dt)
+  (let [env (create-env-javelin bar-db)
+        strategy (algo-env/add-algo env algo-spec)
+        model (algo-env/get-model env)]
+    (fire-backtest-events model window-or-dt)
     strategy))

lib/algo/src/ta/algo/env.clj

@@ -2,23 +2,23 @@
   (:require
    [taoensso.timbre :refer [trace debug info warn error]]
    [de.otto.nom.core :as nom]
-   [quanta.model.javelin :refer [create-engine-javelin]]
+   [quanta.model.javelin :refer [create-model-javelin]]
    [quanta.model.ops :as ops]
    [ta.algo.spec.ops :as spec-ops]
    [ta.algo.env.protocol :as algo-env]))
 
-(defrecord env [bar-db engine watcher]
+(defrecord env [bar-db model watcher]
   algo-env/algo-env
   ; cell
   (get-bar-db [this]
     (:bar-db this))
-  (get-engine [this]
-    (:engine this))
+  (get-model [this]
+    (:model this))
   (set-watcher [this w]
     (warn "setting watcher!")
     (reset! (:watcher this) w))
   (add-algo [this spec]
-    (let [e (algo-env/get-engine this)
+    (let [model (algo-env/get-model this)
           ops (spec-ops/spec->ops this spec)]
       (if (nom/anomaly? ops)
         ops
@@ -27,14 +27,14 @@
             (w spec)
             (warn "no watcher set - cannot trigger it!!"))
           (info "adding engine ops: " ops)
-          (ops/add-ops e ops)))))
+          (ops/add-ops model ops)))))
 
   (remove-algo [this spec]
     nil))
 
-(defn create-env [bar-db engine]
-  (env. bar-db engine (atom nil)))
+(defn create-env [bar-db model]
+  (env. bar-db model (atom nil)))
 
 (defn create-env-javelin [bar-db]
-  (create-env bar-db (create-engine-javelin)))
+  (create-env bar-db (create-model-javelin)))
 

lib/algo/src/ta/algo/env/protocol.clj

@@ -2,7 +2,7 @@
 
 (defprotocol algo-env
   (get-bar-db [this])
-  (get-engine [this])
+  (get-model [this])
   ; algo
   (set-watcher [this w])
   (add-algo [this spec])

lib/db/resources/quanta/notebook/bardb_performance_test.clj

@@ -14,7 +14,7 @@
    [ta.algo.env :as algo-env-impl]
    [ta.algo.env.protocol :as algo-env]
     ;[ta.algo.backtest :refer [run-backtest]]
-   [quanta.model.protocol :as eng]
+   [quanta.model.protocol :as mp]
    [ta.calendar.combined :refer [combined-event-seq]]))
 
 (defn- duckdb-start [db-filename]
@@ -161,11 +161,11 @@
            :algo 'notebook.playground.bardb.performance-test/secret})
 
 (defn run-backtest [env window]
-  (let [engine (algo-env/get-engine env)
-        cals (eng/active-calendars engine)
+  (let [engine (algo-env/get-model env)
+        cals (mp/active-calendars engine)
         event-seq (combined-event-seq window cals)]
     (info "backtesting window: " window " ..")
-    (doall (map #(eng/set-calendar! engine %) event-seq))
+    (doall (map #(mp/set-calendar! engine %) event-seq))
     (info "backtesting window: " window "finished!")
     :backtest-finished))
 
@@ -187,16 +187,16 @@
   (let [;bar-db  (modular.system/system bar-db-kw)
         env (algo-env-impl/create-env-javelin bar-db)
         strategy (algo-env/add-algo env algo-spec)
-        engine (algo-env/get-engine env)
-        calendars (eng/active-calendars engine)
+        engine (algo-env/get-model env)
+        calendars (mp/active-calendars engine)
         prior-dates (map (fn [[calendar-kw interval-kw]]
                            (cal/current-close calendar-kw interval-kw dt))
                          calendars)
         ;prior-dates-sorted (sort prior-dates)
         event-seq (map (fn [cal dt]
                          {:calendar cal :time dt}) calendars prior-dates)]
     (info "event-seq: " event-seq)
-    (doall (map #(eng/set-calendar! engine %) event-seq))
+    (doall (map #(mp/set-calendar! engine %) event-seq))
     strategy))
 
 (defn- exists-db? [path]

lib/live/deps.edn

@@ -6,7 +6,7 @@
   org.pinkgorilla/modular {:mvn/version "0.2.56"}
   io.github.clojure-quant/fix-engine {:git/sha "d25efeefd2db73dee622e826ae86248f74f38273"}
   ta/calendar {:local/root "../calendar" :deps/manifest :deps}
-  ta/engine {:local/root "../engine" :deps/manifest :deps}
+  ta/model {:local/root "../engine" :deps/manifest :deps}
   ta/db {:local/root "../db" :deps/manifest :deps}}
  :aliases
  {:test {:extra-paths ["test"]

lib/live/src/ta/live/tickerplant.clj

@@ -2,8 +2,8 @@
   (:require
    [taoensso.timbre :refer [trace debug info warn error]]
    [manifold.stream :as s]
-   [ta.quote.quote-manager :as qm]
    [ta.calendar.generator :as ct]
+   [ta.quote.quote-manager :as qm]
    [quanta.model.protocol :as engine]
    [ta.algo.env.protocol :as algo-env]
    [ta.live.bar-generator :as bg]
@@ -13,7 +13,7 @@
 (defn start-tickerplant [{:keys [algo-env quote-manager]}]
   (assert quote-manager "tickerplant needs :quote-manager")
   (assert algo-env "tickerplant needs :algo-env")
-  (let [eng (algo-env/get-engine algo-env)
+  (let [eng (algo-env/get-model algo-env)
         quote-stream (qm/get-quote-stream quote-manager)
         t (ct/create-live-calendar-time-generator)
         b (bg/create-bar-generator quote-stream (algo-env/get-bar-db algo-env))

lib/model/deps.edn

@@ -1,7 +1,7 @@
 {:paths ["src" "resources"]
- :deps
- {org.clojure/clojure    {:mvn/version "1.11.3"}
-  hoplon/javelin {:mvn/version "3.9.3"}}
+ :deps {org.clojure/clojure    {:mvn/version "1.11.3"}
+        hoplon/javelin {:mvn/version "3.9.3"}
+        ta/calendar {:local/root "../calendar" :deps/manifest :deps}}
  :aliases
  {:test {:extra-paths ["test"]
          :extra-deps {io.github.cognitect-labs/test-runner {:git/url "https://github.com/cognitect-labs/test-runner.git"

lib/model/resources/quanta/notebook/engine_calendar.clj → lib/model/resources/quanta/notebook/model_calendar.clj

@@ -1,9 +1,9 @@
-(ns quanta.notebook.engine-calendar
+(ns quanta.notebook.model-calendar
   (:require
    [quanta.model.javelin.calendar :as ecal]
    [quanta.model.javelin :as je]))
 
-(def env (je/create-engine-javelin))
+(def env (je/create-model-javelin))
 
 env
 

lib/model/resources/quanta/notebook/engine_direct.clj → lib/model/resources/quanta/notebook/model_direct.clj

@@ -1,9 +1,9 @@
-(ns quanta.notebook.engine-direct
+(ns quanta.notebook.model-direct
   (:require
-   [quanta.model.javelin :refer [create-engine-javelin]]
+   [quanta.model.javelin :refer [create-model-javelin]]
    [quanta.model.protocol :as p]))
 
-(def e (create-engine-javelin))
+(def e (create-model-javelin))
 
 (def c (p/value-cell e 15))
 @c

lib/model/resources/quanta/notebook/engine_javelin.clj → lib/model/resources/quanta/notebook/model_javelin.clj

@@ -1,4 +1,4 @@
-(ns quanta.notebook.engine-javelin
+(ns quanta.notebook.model-javelin
   (:require
    [de.otto.nom.core :as nom]
    [javelin.core-clj :refer [cell cell=]]))

lib/model/resources/quanta/notebook/engine_ops.clj → lib/model/resources/quanta/notebook/model_ops.clj

@@ -1,10 +1,10 @@
-(ns quanta.notebook.engine-ops
+(ns quanta.notebook.model-ops
   (:require
-   [quanta.model.javelin :refer [create-engine-javelin]]
+   [quanta.model.javelin :refer [create-model-javelin]]
    [quanta.model.ops :refer [add-ops]]
    [quanta.model.protocol :as p]))
 
-(def e (create-engine-javelin))
+(def e (create-model-javelin))
 
 (defn time-as-map [t] {:time t})
 

lib/model/src/quanta/model/backtest.clj

@@ -0,0 +1,33 @@
+(ns quanta.model.backtest
+   (:require
+    [tick.core :as t]
+    [taoensso.timbre :refer [trace debug info warn error]]
+    [ta.calendar.core :as cal]
+    [ta.calendar.combined :refer [combined-event-seq]]
+    [quanta.model.protocol :as mp]))
+
+
+(defn- dt->event-seq [calendars dt]
+  (let [prior-dates (map (fn [[calendar-kw interval-kw]]
+                           (cal/prior-close calendar-kw interval-kw dt))
+                         calendars)
+        ;prior-dates-sorted (sort prior-dates)
+        ]
+    (info "date event seq: " prior-dates)
+    (map (fn [cal dt]
+           {:calendar cal :time dt}) calendars prior-dates)))
+
+(defn fire-backtest-events [model window-or-dt]
+  (let [calendars (mp/active-calendars model)
+        ; 3 modes to create an event-seq
+        ; a map represents a window
+        ; a date represents the last date for all calendars
+        ; no date represents the current time.
+        event-seq (if (map? window-or-dt)
+                    (combined-event-seq calendars window-or-dt)
+                    (dt->event-seq calendars (or window-or-dt
+                                                 (-> (t/now) (t/in "UTC")))))]
+    (info "backtesting: " window-or-dt " ..")
+    ; fire calendar events
+    (doall (map #(mp/set-calendar! model %) event-seq))
+    (info "backtesting window: " window-or-dt "finished!")))

lib/model/src/quanta/model/javelin.clj

@@ -1,12 +1,12 @@
 (ns quanta.model.javelin
   (:require
    [modular.system]
-   [quanta.model.protocol :refer [eng]]
+   [quanta.model.protocol :refer [model]]
    [quanta.model.javelin.cell :as j-cell]
    [quanta.model.javelin.calendar :as j-cal]))
 
-(defrecord engine-javelin [calendars]
-  eng
+(defrecord model-javelin [calendars]
+  model
   ; cell
   (calendar-cell [this time-fn calendar]
     (j-cell/calendar-cell this time-fn calendar))
@@ -26,6 +26,6 @@
   (active-calendars [this]
     (j-cal/active-calendars this)))
 
-(defn create-engine-javelin []
+(defn create-model-javelin []
   (let [calendars (atom {})]
-    (engine-javelin. calendars)))
+    (model-javelin. calendars)))

lib/model/src/quanta/model/javelin/calendar.clj

@@ -4,20 +4,20 @@
    [de.otto.nom.core :as nom]
    [javelin.core-clj :refer [cell]]))
 
-(defn create-calendar [env calendar]
+(defn create-calendar [this calendar]
   (assert (vector? calendar) "calendar needs to be [:market :interval]")
   (info "creating calendar: " calendar)
   (let [c (cell (nom/fail ::calendar {:calendar :not-initialized}))]
-    (swap! (:calendars env) assoc calendar c)
+    (swap! (:calendars this) assoc calendar c)
     c))
 
-(defn get-calendar [env calendar]
-  (or (get @(:calendars env) calendar)
-      (create-calendar env calendar)))
+(defn get-calendar [this calendar]
+  (or (get @(:calendars this) calendar)
+      (create-calendar this calendar)))
 
-(defn set-calendar! [env {:keys [calendar time]}]
+(defn set-calendar! [this {:keys [calendar time]}]
   (info "set-calendar! cal: " calendar " time: " time)
-  (let [c (get-calendar env calendar)]
+  (let [c (get-calendar this calendar)]
       ; we need to set time by calendar to env!!!!!
     (reset! c time)))