tick-capture

Utilities for research on tradingo trading strategies

notebooks

exploratory analysis and modelling

tradingo-optimizer

parrallelized replay framework in the cloud

param_grid = {
  'shortTerm': range(0,100),
  'longTerm': range(1000,2000),
  'strategy': 'BreakOutStrategy'
}
with EcsCluster('replay_cluster') as cluster:
   gs = GridSearch(param_grid, 'short_long_term_search', cluster, '2021-09-21')
   gs.run()
   
   params = gs.best()
   replay = Replay(cluster, params)
   replay.run(start='2021-09-15', end='2021-09-25')

Historically contained python script for downloading data.

Reading a core file

(venv) [13:17:28] rory@intel-nuc:~/dev/tick-capture (feature/breakout_strategy *) 
$ docker run -it --rm -v /home/rory/.tradingo/data/replays/2022-01-06_breakout_1.1.0-9-g4f3b5c2_e927bebd954b00612a2db075bc4117b3/:/mnt/replays/core_dumped/ tradingo/replay:1.1.0-9-g4f3b5c2 /bin/bash -i
bash-5.1# ls -l /mnt/replays/core_dumped/
total 4803188
-rw-r--r--    1 root     root           312 Apr 17 09:56 common.json
drwxr-xr-x    2 root     root          4096 Apr 17 09:56 core
-rw-------    1 root     root     4881944576 Apr 17 09:57 core.0.11.1650189442.replayTradingo.24
drwxr-xr-x    2 root     root          4096 Apr 17 09:56 log
-rw-r--r--    1 root     root      29510263 Apr 17 09:57 moving_average_crossover_XBTUSD.csv
-rw-r--r--    1 root     root           147 Apr 17 09:56 replayTradingo.json
-rw-r--r--    1 root     root        207574 Apr 17 09:57 replay_executions_XBTUSD.json
-rw-r--r--    1 root     root       4341683 Apr 17 09:57 replay_orders_XBTUSD.json
-rw-r--r--    1 root     root       9290026 Apr 17 09:57 replay_positions_XBTUSD.json
bash-5.1# ls -l /mnt/replays/core_dumped/core.0.11.1650189442.replayTradingo.24 
-rw-------    1 root     root     4881944576 Apr 17 09:57 /mnt/replays/core_dumped/core.0.11.1650189442.replayTradingo.24
bash-5.1# gdb^Cmnt/replays/core_dumped/core.0.11.1650189442.replayTradingo.24 
bash-5.1# gdb
bash: gdb: command not found
bash-5.1# apk add gdb
fetch https://dl-cdn.alpinelinux.org/alpine/v3.14/main/x86_64/APKINDEX.tar.gz
fetch https://dl-cdn.alpinelinux.org/alpine/v3.14/community/x86_64/APKINDEX.tar.gz
(1/1) Installing gdb (10.2-r0)
Executing busybox-1.33.1-r6.trigger
OK: 392 MiB in 98 packages
bash-5.1# gdb /usr/
bin/          glibc-compat/ include/      lib/          local/        sbin/         share/        
bash-5.1# gdb /usr/local/bin/
aws                benchmarkTradingo  testTradingo       test_orderbook     tradingo           
aws_completer      replayTradingo     testTradingo-lr    tickRecorder       tradingo_replay    
bash-5.1# gdb /usr/local/bin/replayTradingo /mnt/replays/core_dumped/
common.json                             log/                                    replay_executions_XBTUSD.json           
core/                                   moving_average_crossover_XBTUSD.csv     replay_orders_XBTUSD.json               
core.0.11.1650189442.replayTradingo.24  replayTradingo.json                     replay_positions_XBTUSD.json            
bash-5.1# gdb /usr/local/bin/replayTradingo /mnt/replays/core_dumped/core.0.11.1650189442.replayTradingo.24 
GNU gdb (GDB) 10.2
Copyright (C) 2021 Free Software Foundation, Inc.
License GPLv3+: GNU GPL version 3 or later <http://gnu.org/licenses/gpl.html>
This is free software: you are free to change and redistribute it.
There is NO WARRANTY, to the extent permitted by law.
Type "show copying" and "show warranty" for details.
This GDB was configured as "x86_64-alpine-linux-musl".
Type "show configuration" for configuration details.
For bug reporting instructions, please see:
<https://www.gnu.org/software/gdb/bugs/>.
Find the GDB manual and other documentation resources online at:
    <http://www.gnu.org/software/gdb/documentation/>.

For help, type "help".
Type "apropos word" to search for commands related to "word"...
Reading symbols from /usr/local/bin/replayTradingo...
[New LWP 24]
[New LWP 25]
Core was generated by `replayTradingo --config /mnt/replays//2022-01-06_breakout_1.1.0-9-g4f3b5c2_e927'.
Program terminated with signal SIGSEGV, Segmentation fault.
#0  0x000055c467b27057 in TestMarketData::operator<<(std::shared_ptr<io::swagger::client::model::Order> const&) ()
[Current thread is 1 (LWP 24)]
(gdb) where
#0  0x000055c467b27057 in TestMarketData::operator<<(std::shared_ptr<io::swagger::client::model::Order> const&) ()
#1  0x000055c467b1b2ef in TestOrdersApi::order_cancel(boost::optional<std::__cxx11::basic_string<char, std::char_traits<char>, std::allocator<char> > >, boost::optional<std::__cxx11::basic_string<char, std::char_traits<char>, std::allocator<char> > >, boost::optional<std::__cxx11::basic_string<char, std::char_traits<char>, std::allocator<char> > >) ()
#2  0x000055c467ac2763 in Allocations<TestOrdersApi>::placeAllocations() ()
#3  0x000055c467ac6855 in Strategy<TestOrdersApi, TestPositionApi>::evaluate() ()
#4  0x000055c467b25275 in TestMarketData::operator<<(std::shared_ptr<io::swagger::client::model::Quote> const&) ()
#5  0x000055c467aaa110 in TestEnv::operator<<(std::shared_ptr<io::swagger::client::model::Quote> const&) ()
#6  0x000055c467ab1514 in TestEnv::playback(Series<io::swagger::client::model::Trade> const&, Series<io::swagger::client::model::Quote> const&, Series<io::swagger::client::model::Instrument> const&) ()
#7  0x000055c467a7a626 in main ()