added info to order

.flake8

@@ -3,3 +3,4 @@ max-line-length = 127
 per-file-ignores =
     # imported but unused
     __init__.py: F401
+exclude =.git,__pycache__,docs,old,build,dist,.venv,.pytest_cache,.vscode,.github

bin/publish.sh

@@ -0,0 +1,18 @@
+source .venv/bin/activate
+
+# QA
+flake8 roboquant tests || exit 1
+pylint roboquant tests || exit 1
+python -m unittest discover -s tests/unit || exit 1
+
+# Build
+rm -rf dist
+python -m build || exit 1
+
+# Publish
+read -p "Publish (y/n)? " ANSWER
+if [ "$ANSWER" = "y" ]; then
+  twine upload dist/*; exit 0
+else
+  echo "Not published"; exit 1
+fi

pyproject.toml

@@ -1,9 +1,6 @@
 [tool.black]
 line-length = 127
 
-[tool.flake8]
-max-line-length = 127
-
 [tool.pytest.ini_options]
 minversion = "8.0"
 addopts = "-ra -q"
@@ -12,7 +9,7 @@ testpaths = [
 ]
 
 [tool.pyright]
-reportOptionalOperand = "off"
+reportOptionalOperand = "none"
 
 [tool.pylint.'MESSAGES CONTROL']
 max-line-length = 127

roboquant/brokers/simbroker.py

@@ -82,8 +82,8 @@ def _get_execution_price(self, order, item) -> float:
         correction = self.slippage if order.is_buy else -self.slippage
         return price * (1.0 + correction)
 
-    def _simulate_market(self, order: Order, item) -> _Trx | None:
-        """Simulate a market for the three order types"""
+    def _execute(self, order: Order, item) -> _Trx | None:
+        """Simulate a market execution for the three order types"""
 
         price = self._get_execution_price(order, item)
         fill = self._get_fill(order, price)
@@ -122,7 +122,7 @@ def _get_fill(self, order, price) -> Decimal:
 
     def __update_mkt_prices(self, price_items):
         """track the latest market prices for all open positions"""
-        for symbol in self._account.positions.keys():
+        for symbol in self._account.positions:
             if item := price_items.get(symbol):
                 self._prices[symbol] = item.price(self.price_type)
 
@@ -164,7 +164,7 @@ def _process_create_orders(self, prices):
             else:
                 if (item := prices.get(order.symbol)) is not None:
                     state.expires_at = state.expires_at or self._account.last_update + timedelta(days=90)
-                    trx = self._simulate_market(order, item)
+                    trx = self._execute(order, item)
                     if trx is not None:
                         self._update_account(trx)
                         order.fill += trx.size

roboquant/journals/journal.py

@@ -8,7 +8,10 @@
 
 class Journal(Protocol):
     """
-    A journal allows for the tracking and/or logging of one or more metrics during a run.
+    A journal enables the tracking and/or logging of one or more metrics during a run.
+
+    A journal can hold detailed records of all your trading activities in the financial markets.
+    It serves as a tool to track and analyze their performance, decisions, and outcomes over time
     """
 
     def track(self, event: Event, account: Account, signals: dict[str, Signal], orders: list[Order]):

roboquant/journals/tensorboardjournal.py

@@ -10,10 +10,9 @@ class TensorboardJournal(Journal):
 
     def __init__(self, writer, *metrics: Metric):
         """
-        Params:
-
-        - writer: a tensorboard writer instance (`tensorboard.summary.Writer`)
-        - metrics: the metrics that should be calculated and be added to the tensorboard writer
+        Parameters:
+            writer: a tensorboard writer instance (`tensorboard.summary.Writer`)
+            metrics: the metrics that should be calculated and be added to the tensorboard writer
         """
         self.__writer = writer
         self._step = 0

roboquant/order.py

@@ -2,6 +2,7 @@
 from dataclasses import dataclass
 from decimal import Decimal
 from enum import Flag, auto
+from typing import Any
 
 
 class OrderStatus(Flag):
@@ -36,7 +37,7 @@ def __repr__(self):
         return self.name
 
 
-@dataclass
+@dataclass(slots=True)
 class Order:
     """
     A trading order.
@@ -50,11 +51,13 @@ class Order:
     symbol: str
     size: Decimal
     limit: float | None
+    info: dict[str, Any]
+
     id: str | None
     status: OrderStatus
     fill: Decimal
 
-    def __init__(self, symbol: str, size: Decimal | str | int | float, limit: float | None = None):
+    def __init__(self, symbol: str, size: Decimal | str | int | float, limit: float | None = None, **kwargs):
         self.symbol = symbol
         self.size = Decimal(size)
         assert not self.size.is_zero(), "Cannot create a new order with size is zero"
@@ -63,6 +66,7 @@ def __init__(self, symbol: str, size: Decimal | str | int | float, limit: float
         self.id: str | None = None
         self.status: OrderStatus = OrderStatus.INITIAL
         self.fill = Decimal(0)
+        self.info = kwargs
 
     @property
     def open(self) -> bool:
@@ -99,15 +103,15 @@ def update(self, size: Decimal | str | int | float | None = None, limit: float |
 
         size = Decimal(size) if size is not None else None
         if size is not None:
-            assert not size.is_zero(), "size cannot be set to zero, use order.cancel() instead"
+            assert not size.is_zero(), "size cannot be set to zero, use order.cancel() to cancel an order"
 
         result = copy(self)
         result.size = size or result.size
         result.limit = limit or result.limit
         return result
 
     def __copy__(self):
-        result = Order(self.symbol, self.size, self.limit)
+        result = Order(self.symbol, self.size, self.limit, **self.info)
         result.id = self.id
         result.status = self.status
         result.fill = self.fill

tests/samples/close_positions_ibkr.py

@@ -8,17 +8,18 @@
     logging.basicConfig()
     logging.getLogger("roboquant").setLevel(level=logging.INFO)
 
-    ibkr = IBKRBroker()
+    ibkr = IBKRBroker.use_tws()
     account = ibkr.sync()
     print(account)
 
     orders = [Order(symbol, - pos.size) for symbol, pos in account.positions.items()]
 
     # close all but the first 10 positions
     ibkr.place_orders(orders[10:])
-    for _ in range(10):
+    for _ in range(20):
         sleep(1)
         account = ibkr.sync()
+        print()
         print(account)
 
     ibkr.disconnect()

tests/unit/test_order.py

@@ -22,6 +22,16 @@ def test_order_create(self):
         order = Order("AAPL", Decimal(100))
         self.assertEqual(Decimal(100), order.size)
 
+    def test_order_info(self):
+        order = Order("AAPL", 100, tif="ABC")
+        info = order.info
+        self.assertIn("tif", info)
+
+        order.id = "test"
+        update = order.update(size=50)
+        info = update.info
+        self.assertIn("tif", info)
+
     def test_order_update(self):
         order = Order("AAPL", 100)
         order.id = "update1"

tests/unit/test_torch.py

@@ -1,4 +1,3 @@
-import logging
 import unittest
 
 from torch import nn
@@ -27,8 +26,8 @@ def forward(self, inputs):
 class TestTorch(unittest.TestCase):
 
     def test_lstm_model(self):
-        logging.basicConfig()
-        logging.getLogger("roboquant.strategies").setLevel(level=logging.INFO)
+        # logging.basicConfig()
+        # logging.getLogger("roboquant.strategies").setLevel(level=logging.INFO)
         # Setup
         symbol = "AAPL"
         prediction = 10