feat(import): imported base code

.dockerignore

@@ -0,0 +1,11 @@
+# IDE
+.idea
+
+# Python
+**/venv
+**.egg-info
+**.pyc
+.coverage
+
+# github
+.github

.github/workflows/coverage-80.yml

@@ -0,0 +1,27 @@
+name: Coverage > 80%
+
+on:
+  push:
+  pull_request:
+
+
+jobs:
+  coverage:
+    runs-on: ubuntu-latest
+    steps:
+      - name: Obtaining the code
+        uses: actions/checkout@v1
+
+      - name: Build dev
+        run: make dev
+
+      - name: Check coverage
+        env:
+          MIN_COV: 80
+        run: |
+          cov=$(make coverage | grep ^TOTAL | sed -E 's/.* ([0-9]+)%$/\1/')
+          echo "Overall coverage: $cov%"
+          if (( $cov < $MIN_COV )); then
+              echo "FAIL - Minimum coverage $MIN_COV% not reached"
+              exit 1
+          fi

.gitignore

@@ -0,0 +1,8 @@
+# IDE
+.idea
+
+# Python
+venv
+**.egg-info
+**.pyc
+.coverage

CHANGELOG.md

@@ -0,0 +1,115 @@
+# Changelog
+
+All notable changes to this project will be documented in this file. See [standard-version](https://github.com/conventional-changelog/standard-version) for commit guidelines.
+
+## [1.1.0](https://github.com/QbitArtifacts/backtestex/compare/v1.0.0...v1.1.0) (2020-06-03)
+
+
+### Bug Fixes
+
+* **bitmex_backtest:** implemented compatibility with no funding feeder fixes [#66](https://github.com/QbitArtifacts/backtestex/issues/66) ([c60f3bf](https://github.com/QbitArtifacts/backtestex/commit/c60f3bf))
+* **bitmex_feeder:** added reconnect when websocket throws timeout ([6dedb78](https://github.com/QbitArtifacts/backtestex/commit/6dedb78))
+* **bitmex_testex:** update avg_order_price ([c4db4d0](https://github.com/QbitArtifacts/backtestex/commit/c4db4d0))
+* **bridge_exchange:** removed comments ([3b7ad25](https://github.com/QbitArtifacts/backtestex/commit/3b7ad25))
+* **dependencies:** added websocket dependency and updated the rest of ones ([f9d0d1a](https://github.com/QbitArtifacts/backtestex/commit/f9d0d1a))
+* **plot_server:** delete comments ([cf26b48](https://github.com/QbitArtifacts/backtestex/commit/cf26b48))
+* **plot_server:** minor renames ([de5eb21](https://github.com/QbitArtifacts/backtestex/commit/de5eb21))
+* **runner:** fixed bug with prod configuration ([6c3d1dc](https://github.com/QbitArtifacts/backtestex/commit/6c3d1dc))
+* **testex:** add symbol on Book events (ccxt compatibility) ([19d4c7f](https://github.com/QbitArtifacts/backtestex/commit/19d4c7f))
+* **testing:** checked market order against status filled instead of status closed ([5f297e4](https://github.com/QbitArtifacts/backtestex/commit/5f297e4))
+* dummy ([55e8abc](https://github.com/QbitArtifacts/backtestex/commit/55e8abc))
+* makefike ([5902788](https://github.com/QbitArtifacts/backtestex/commit/5902788))
+* separated build and coverage ([6822a96](https://github.com/QbitArtifacts/backtestex/commit/6822a96))
+* tests ([652310a](https://github.com/QbitArtifacts/backtestex/commit/652310a))
+* updated ci ([b94563a](https://github.com/QbitArtifacts/backtestex/commit/b94563a))
+* updated ci ([ab315ca](https://github.com/QbitArtifacts/backtestex/commit/ab315ca))
+* updated gh wf ([17b3567](https://github.com/QbitArtifacts/backtestex/commit/17b3567))
+* updated makefile ([0f62d36](https://github.com/QbitArtifacts/backtestex/commit/0f62d36))
+* updated makefile ([a883924](https://github.com/QbitArtifacts/backtestex/commit/a883924))
+* updated reqs ([5ac7746](https://github.com/QbitArtifacts/backtestex/commit/5ac7746))
+* **bitmex_backtest:** fix liquidation price formula ([fad7e19](https://github.com/QbitArtifacts/backtestex/commit/fad7e19))
+* **bridge:** fixed sent information to plotter from bridge ([114adb7](https://github.com/QbitArtifacts/backtestex/commit/114adb7))
+* **feeder:** fixed bug when period starts and ends at the same month ([0b4afdb](https://github.com/QbitArtifacts/backtestex/commit/0b4afdb))
+* **funding:** renamed event funding_rate to funding ([379ff8a](https://github.com/QbitArtifacts/backtestex/commit/379ff8a))
+* **gitignore:** ignored python cache files (*.pyc) ([0b69c30](https://github.com/QbitArtifacts/backtestex/commit/0b69c30))
+* **PR:** fix for PR comments ([ecb3e37](https://github.com/QbitArtifacts/backtestex/commit/ecb3e37))
+* **testex:** execute market orders match in time ([152bc88](https://github.com/QbitArtifacts/backtestex/commit/152bc88))
+* **testex:** fixed tooltip info sent to plotter from testex ([1301d7e](https://github.com/QbitArtifacts/backtestex/commit/1301d7e))
+
+
+### Features
+
+* **bitmex_backtest:** implemented liquidation price ([9e579f6](https://github.com/QbitArtifacts/backtestex/commit/9e579f6))
+* **BitmexBacktest:** implemented founding fees ([f6ce2fe](https://github.com/QbitArtifacts/backtestex/commit/f6ce2fe))
+* **BitmexBacktest:** implemented markPrice fixes [#59](https://github.com/QbitArtifacts/backtestex/issues/59) ([d7419a9](https://github.com/QbitArtifacts/backtestex/commit/d7419a9))
+* **ci:** added test and code coverage execution and github actions ([ccc3f13](https://github.com/QbitArtifacts/backtestex/commit/ccc3f13))
+* **config:** added funding information to testex and bitmex_backtest ([d97dfe8](https://github.com/QbitArtifacts/backtestex/commit/d97dfe8))
+* **config:** implemented outlier filter and added default values for fees ([20ada36](https://github.com/QbitArtifacts/backtestex/commit/20ada36))
+* **founding_backtest_feeder:** implemented founding_backtest_feeder to send founding_rate events each time the founding_rate changes ([9bd0565](https://github.com/QbitArtifacts/backtestex/commit/9bd0565))
+* **index:** added 5 min zoom, select zoom from-to(days), manual zoom and resize on charts division ([4061cb6](https://github.com/QbitArtifacts/backtestex/commit/4061cb6))
+* **injector:** implemented default values ([1205e4c](https://github.com/QbitArtifacts/backtestex/commit/1205e4c)), closes [#51](https://github.com/QbitArtifacts/backtestex/issues/51)
+* **kraken_feeder:** create kraken feeder class ([02f0f2a](https://github.com/QbitArtifacts/backtestex/commit/02f0f2a))
+* **kraken_feeder:** filter orders by execution time (10 seg): ([95f158d](https://github.com/QbitArtifacts/backtestex/commit/95f158d))
+* **kraken_feeder:** implemented events: ([703eefc](https://github.com/QbitArtifacts/backtestex/commit/703eefc))
+* **kraken_feeder:** minor changes ([8745615](https://github.com/QbitArtifacts/backtestex/commit/8745615))
+* **live_balance:** implemented filtered live chart (Real time balance) closes [#68](https://github.com/QbitArtifacts/backtestex/issues/68) ([25f8410](https://github.com/QbitArtifacts/backtestex/commit/25f8410))
+* **live_plot:** run PlotServer in highstock_plotter.py on other process and added --live_plot option in CLI. fixes [#72](https://github.com/QbitArtifacts/backtestex/issues/72) ([1395f87](https://github.com/QbitArtifacts/backtestex/commit/1395f87))
+* **plot_server:** created PlotServer class ([6aa9c63](https://github.com/QbitArtifacts/backtestex/commit/6aa9c63))
+* **plot_server:** implementer websocket server to serve plot data to browser on real time ([cc6ca8b](https://github.com/QbitArtifacts/backtestex/commit/cc6ca8b))
+* **plotter:** fixed imports in plotly plotter ([e692a80](https://github.com/QbitArtifacts/backtestex/commit/e692a80))
+* **tests:** added balance and fees tests ([d14bca0](https://github.com/QbitArtifacts/backtestex/commit/d14bca0))
+* **tests:** implemented first tests on tradingkit ([d4dbf08](https://github.com/QbitArtifacts/backtestex/commit/d4dbf08))
+
+
+
+## 1.0.0 (2020-05-09)
+
+
+### Bug Fixes
+
+* **bitmex_feeder:** fixed order status, it must be lowercase ([e96f24b](https://github.com/QbitArtifacts/backtestex/commit/e96f24b))
+* **bridge:** implemented is_inverse method to see if market liquidations are inversed (liquidates in base asset instead of quote asset) ([89b5688](https://github.com/QbitArtifacts/backtestex/commit/89b5688))
+* **bridge:** removed error hidings in bridge exchange ([bf94db5](https://github.com/QbitArtifacts/backtestex/commit/bf94db5))
+* **ccxt:** fixed bad secret name ([99a8951](https://github.com/QbitArtifacts/backtestex/commit/99a8951))
+* **cli:** cli bugfix ([6b3bb63](https://github.com/QbitArtifacts/backtestex/commit/6b3bb63))
+* **env:** fixed bug with loading environment ([8e2d207](https://github.com/QbitArtifacts/backtestex/commit/8e2d207))
+* **fetcher:** fixed unchecked array access ([3f7e38f](https://github.com/QbitArtifacts/backtestex/commit/3f7e38f))
+* **martingale:** fixed more bugs ([f9a0b9d](https://github.com/QbitArtifacts/backtestex/commit/f9a0b9d))
+* **orders:** fixes [#9](https://github.com/QbitArtifacts/backtestex/issues/9) ([437d6ca](https://github.com/QbitArtifacts/backtestex/commit/437d6ca))
+* **plotter:** changed order date parsing mode to iso ([a24fa92](https://github.com/QbitArtifacts/backtestex/commit/a24fa92))
+* **plotter:** fixed automatic open browser when plot ([4bc4d7b](https://github.com/QbitArtifacts/backtestex/commit/4bc4d7b))
+* **refactor:** finished refactor for martingale and fixed bug in injector with cache ([8b560ff](https://github.com/QbitArtifacts/backtestex/commit/8b560ff))
+* **testex:** instant closed order when creating market orders ([524028d](https://github.com/QbitArtifacts/backtestex/commit/524028d)), closes [#45](https://github.com/QbitArtifacts/backtestex/issues/45)
+* **websocket:** added monkey patch to throw exceptions when happens ([2f365af](https://github.com/QbitArtifacts/backtestex/commit/2f365af))
+* changed feeder_listeners to feeder_adapters ([6717550](https://github.com/QbitArtifacts/backtestex/commit/6717550))
+
+
+### Features
+
+* **bridge:** added method to know which is the asset amount to create orders for an specific symbol ([cb32763](https://github.com/QbitArtifacts/backtestex/commit/cb32763))
+* **cli:** added log verbosity control to cli ([b8cd933](https://github.com/QbitArtifacts/backtestex/commit/b8cd933))
+* **cli:** implemented cli ([fe9c94c](https://github.com/QbitArtifacts/backtestex/commit/fe9c94c)), closes [#16](https://github.com/QbitArtifacts/backtestex/issues/16)
+* **cli:** refactored feeders and fetchers ([a1269f0](https://github.com/QbitArtifacts/backtestex/commit/a1269f0))
+* **config:** allowed calls in config definition ([f08cb55](https://github.com/QbitArtifacts/backtestex/commit/f08cb55))
+* **config:** changed config to strategies and updated cli ([120efaa](https://github.com/QbitArtifacts/backtestex/commit/120efaa)), closes [#41](https://github.com/QbitArtifacts/backtestex/issues/41)
+* **config:** implemented adapters to allow adapte trades ([334fe96](https://github.com/QbitArtifacts/backtestex/commit/334fe96))
+* **config:** loading environment env files ([639d4aa](https://github.com/QbitArtifacts/backtestex/commit/639d4aa))
+* **dep.injection:** implemented injector to load from config.json easier ([d0b572b](https://github.com/QbitArtifacts/backtestex/commit/d0b572b))
+* **env:** fixes [#38](https://github.com/QbitArtifacts/backtestex/issues/38) ([b6f0821](https://github.com/QbitArtifacts/backtestex/commit/b6f0821))
+* **gitignore:** added var/cache to gitignore ([fc3cc24](https://github.com/QbitArtifacts/backtestex/commit/fc3cc24))
+* **importer:** added importer to cli and refactor ([4d32e3a](https://github.com/QbitArtifacts/backtestex/commit/4d32e3a))
+* **injector:** new config injector operative ([674058a](https://github.com/QbitArtifacts/backtestex/commit/674058a))
+* **installer:** implemented installer ([98204f3](https://github.com/QbitArtifacts/backtestex/commit/98204f3)), closes [#3](https://github.com/QbitArtifacts/backtestex/issues/3)
+* **logs:** added deep level to martingale strategy warnings ([cd93942](https://github.com/QbitArtifacts/backtestex/commit/cd93942))
+* **martingale:** fixed bugs in martingale with risk checks enabled ([f7bebc4](https://github.com/QbitArtifacts/backtestex/commit/f7bebc4))
+* **martingale:** refactored and improved martingale ([f9f2623](https://github.com/QbitArtifacts/backtestex/commit/f9f2623))
+* **martingale:** tunning parameters ([8ce66b3](https://github.com/QbitArtifacts/backtestex/commit/8ce66b3))
+* **plotter:** stopping server after 3 seconds of serve ([ee60016](https://github.com/QbitArtifacts/backtestex/commit/ee60016))
+* **plotting:** plotted equity ([9c7b119](https://github.com/QbitArtifacts/backtestex/commit/9c7b119))
+* **refactor:** added super-package btx ([8682a91](https://github.com/QbitArtifacts/backtestex/commit/8682a91))
+* **refactor:** another big refactor in cli and all package imports ([3d9a21a](https://github.com/QbitArtifacts/backtestex/commit/3d9a21a))
+* **refactor:** implemented auto test and refactored loaders ([0dd3240](https://github.com/QbitArtifacts/backtestex/commit/0dd3240))
+* (double martingale) changed logging to debug ([6af2fd4](https://github.com/QbitArtifacts/backtestex/commit/6af2fd4))
+* **refactor:** refactored plotters ([cbb6335](https://github.com/QbitArtifacts/backtestex/commit/cbb6335))
+* **refactor:** refactored plotters ([2f38acb](https://github.com/QbitArtifacts/backtestex/commit/2f38acb))
+* big refactor to allow strategies work with both backtest and real envs ([cae5a48](https://github.com/QbitArtifacts/backtestex/commit/cae5a48))

LICENSE

@@ -0,0 +1,21 @@
+MIT License
+
+Copyright (c) 2020 LogicTraders
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

Makefile

@@ -0,0 +1,22 @@
+
+all: build test coverage
+
+version:
+	docker run --rm -it -v $(PWD):/app detouched/standard-version
+build:
+	docker build . -f docker/prod/Dockerfile -t qbitartifacts/tradingkit
+
+run:
+	docker run -v $(PWD):/strategy qbitartifacts/tradingkit run /strategy
+
+dev:
+	docker build . -f docker/dev/Dockerfile -t qbitartifacts/tradingkit:dev
+
+shell: dev
+	docker run -it -v $(PWD):/tradingkit qbitartifacts/tradingkit:dev bash
+
+test: dev
+	docker run -v $(PWD):/tradingkit qbitartifacts/tradingkit:dev python3 -m unittest
+
+coverage: dev
+	docker run -v $(PWD):/tradingkit qbitartifacts/tradingkit:dev bash -c "coverage3 run --source=src -m unittest && coverage3 report"

README.md

@@ -0,0 +1,137 @@
+# TradingKit
+This file shows the basic usage for TradingKit, for more docs, please see the [Wiki](https://github.com/QbitArtifacts/tradingkit/wiki)
+
+![stable](https://img.shields.io/badge/stable-1.1.0-blue)
+![coverage](https://img.shields.io/badge/coverage-37%25-orange)
+[![Conventional Commits](https://img.shields.io/badge/Conventional%20Commits-1.0.0-yellow.svg)](https://conventionalcommits.org)
+
+## Requirements
+- python 3.7+
+- python virtual environment (venv)
+- pip
+
+## Installation
+the recommended (and unique supported way) to install TradingKit si via **pip**.
+
+### Instructions for unix
+```bash
+# clone repo
+git clone git@github.com:qbitartifacts/tradingkit.git
+cd tradingkit
+
+# create and activate virtual environment (venv)
+python -m venv venv
+source venv/bin/activate
+
+# install the package for development
+pip install -e .
+```
+
+### Instructions for windows
+```bash
+# TODO...
+```
+
+## Creating strategies
+In order to create new strategies you need **5 steps**
+### Create separate project
+Create new python3.7+ project, no need to do anymore in this step.
+
+### Install virtualenv and dependencies
+To do this step need to install previously TradingKit with the installation steps described above.
+```bash
+cd my_project
+python -m venv venv
+source venv/bin/activate
+pip install ccxt
+pip install -e ../tradingkit
+```
+
+### Creating strategy class
+create a class extending from `tradingkit.strategy.strategy.Strategy`
+```python
+# File my_project/my_strategy.py
+import logging
+import ccxt.Exchange
+
+from tradingkit.pubsub.event.trade import Trade
+from tradingkit.pubsub.event.book import Book
+from tradingkit.pubsub.event.order import Order
+from tradingkit.pubsub.core.event import Event
+from tradingkit.strategy.strategy import Strategy
+
+
+class MyStrategy(Strategy):
+
+    def __init__(self, exchange: Exchange, config):
+        super().__init__(exchange, config)
+        # do whatever initializations you need
+
+    def on_event(self, event: Event):
+        if isinstance(event, Trade):
+            logging.info("Order event happened!")
+            # do whatever you need with the exchange
+            self.exchange.create_order(...)
+        if isinstance(event, Book):
+            logging.info("Book event happened!")
+            # do whatever you need with the exchange
+            self.exchange.create_order(...)
+        if isinstance(event, Order):
+            logging.info("Order event happened!")
+            # do whatever you need with the exchange
+            self.exchange.create_order(...)
+```
+### Create main config file
+create `system/config.json` file
+```json
+{
+    "strategy": {
+        "class": "my_strategy.MyStrategy",
+        "arguments": ["@bridge", "@config"]
+    },
+    "config": {
+        "symbol": "%env(SYMBOL)%"
+    }
+}
+```
+create `.env` file to add some env vars
+```bash
+# File .env
+SYMBOL=BTC/EUR
+```
+
+
+### Configure dev environment
+create `system/config.dev.json` file
+```json
+{
+    "exchange": "@testex",
+    "feeder": "@backtest_feeder"
+}
+```
+
+### Configure live environment
+create `system/config.live.json` file
+```json
+{
+    "exchange": "@kraken",
+    "feeder": "@kraken_feeder"
+}
+```
+create `.env.live.local` file to add your bitmex credentials credentials
+```bash
+# File .env.live.local
+KRAKEN_KEY=xxxxxxxxxxxxxxxxxxx
+KRAKEN_SECRET=yyyyyyyyyyyyyyyyyyyy
+```
+
+
+### Run dev (backtest)
+```
+tk run -e dev -y 2020 -m 1 --plot
+```
+
+### Run live
+```
+tk run -e live --plot
+```

docker/dev/Dockerfile

@@ -0,0 +1,18 @@
+FROM debian:buster
+ENV DEBIAN_FRONTEND noninteractive
+RUN apt update && apt install -y \
+    python3 \
+    python3-pip \
+    python3-venv \
+    wget
+
+RUN wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz -O - | tar xz
+WORKDIR /ta-lib
+RUN ./configure --prefix=/usr && make && make install
+
+VOLUME  /venv
+
+WORKDIR /tradingkit
+
+ENTRYPOINT ["docker/dev/docker-entrypoint.sh"]
+CMD ["tk", "--help"]

docker/dev/docker-entrypoint.sh

@@ -0,0 +1,13 @@
+#!/usr/bin/env bash
+set -e
+
+if ! test -f /venv/bin/python;then
+    python3 -m venv /venv
+    source /venv/bin/activate
+    pip install -e .
+else
+    source /venv/bin/activate
+fi
+
+exec "$@"
+