more improved doc and minor bug fixes

.vscode/settings.json

@@ -25,11 +25,11 @@
         "test_*.py"
     ],
     "python.testing.pytestArgs": [
-        "--ignore=tests/integration",
+        "--ignore=tests/integration"
     ],
     "python.testing.pytestEnabled": false,
     "python.testing.unittestEnabled": true,
     "[python]": {
         "editor.defaultFormatter": "ms-python.black-formatter"
     }
-}
+}

roboquant/brokers/ibkrbroker.py

@@ -71,7 +71,7 @@ def openOrder(self, orderId: int, contract, order: IBKROrder, orderState):
         rq_order.id = str(orderId)
         self.orders[rq_order.id] = rq_order
 
-    def reqAccountSummary(self):
+    def request_account(self):
         buyingpower_tag = AccountSummaryTags.BuyingPower
         equity_tag = AccountSummaryTags.NetLiquidation
         with self.__account_end:
@@ -101,9 +101,9 @@ def orderStatus(
         mktCapPrice,
     ):
         logger.debug("order status orderId=%s status=%s", orderId, status)
-        id = str(orderId)
+        orderId = str(orderId)
         if id in self.orders:
-            order = self.orders[id]
+            order = self.orders[orderId]
             match status:
                 case "Submitted":
                     order.status = OrderStatus.ACTIVE
@@ -112,12 +112,12 @@ def orderStatus(
                 case "Filled":
                     order.status = OrderStatus.FILLED
         else:
-            logger.warn("recieved status for unknown order id=%s status=%s", orderId, status)
+            logger.warning("received status for unknown order id=%s status=%s", orderId, status)
 
 
 class IBKRBroker(Broker):
     """
-    Atttributes
+    Attributes
     ==========
     contract_mapping
         store how symbols map to IBKR contracts. If a symbol is not found, the symbol is assumed to represent a US stock
@@ -158,7 +158,7 @@ def sync(self, event: Event | None = None) -> Account:
 
             api.reqPositions()
             api.reqOpenOrders()
-            api.reqAccountSummary()
+            api.request_account()
 
             acc.positions = {k: v for k, v in api.positions.items() if not v.size.is_zero()}
             acc.orders = [order for order in api.orders.values()]
@@ -181,9 +181,9 @@ def place_orders(self, *orders: Order):
                 if order.id is None:
                     order.id = self.__api.get_next_order_id()
                     self.__api.orders[order.id] = order
-                ibkrorder = self._get_order(order)
+                ibkr_order = self._get_order(order)
                 contract = self.contract_mapping.get(order.symbol) or self._get_default_contract(order.symbol)
-                self.__api.placeOrder(int(order.id), contract, ibkrorder)
+                self.__api.placeOrder(int(order.id), contract, ibkr_order)
 
     def _get_default_contract(self, symbol: str) -> Contract:
         """If no contract can be found in the `contract_mapping` dict, this method is called to get a default IBKR contract

roboquant/brokers/simbroker.py

@@ -180,7 +180,7 @@ def sync(self, event: Event | None = None) -> Account:
         prices = event.price_items if event else {}
 
         if self.clean_up_orders:
-            self._orders = {id: state for id, state in self._orders.items() if not state.order.closed}
+            self._orders = {order_id: state for order_id, state in self._orders.items() if not state.order.closed}
 
         self._process_modify_order()
         self._process_create_orders(prices)

roboquant/feeds/candlefeed.py

@@ -37,20 +37,20 @@ def play(self, channel: EventChannel):
         src_channel = channel.copy()
         candles: dict[str, Candle] = {}
         play_background(self.feed, src_channel)
-        next = None
+        next_time = None
         while event := src_channel.get():
-            if not next:
-                next = event.time + self.freq
-            elif event.time >= next:
+            if not next_time:
+                next_time = event.time + self.freq
+            elif event.time >= next_time:
                 items = list(candles.values())
-                evt = Event(next, items)
+                evt = Event(next_time, items)
                 channel.put(evt)
                 candles = {}
-                next += self.freq
+                next_time += self.freq
 
             self.__aggr_trade2candle(event, candles)
 
-        if candles and self.send_remaining and next:
+        if candles and self.send_remaining and next_time:
             items = list(candles.values())
-            evt = Event(next, items)
+            evt = Event(next_time, items)
             channel.put(evt)

roboquant/feeds/csvfeed.py

@@ -31,7 +31,6 @@ def __init__(
         self.adj_close = adj_close
         self.endswith = endswith
         self.freq = frequency
-        logger = logging.getLogger(__name__)
 
         files = self._get_files(path)
         logger.info("located %s files in path %s", len(files), path)

roboquant/feeds/eventchannel.py

@@ -43,10 +43,10 @@ def put(self, event: Event):
             self.close()
 
     def get(self, timeout=None) -> Event | None:
-        """returns the next event or None if this channel is just closed
+        """Returns the next event or None if this channel is just closed
 
-        - timeout: the timeout in seconds to send a hearthbeat in case no other events were available, default is None.
-        A hearthbeat is an empty event.
+        - timeout: the timeout in seconds to send a heartbeat in case no other events were available, default is None.
+        A heartbeat is an empty event.
         """
         try:
             return self._queue.get(timeout=timeout)

roboquant/feeds/feedutil.py

@@ -65,7 +65,7 @@ def get_symbol_dataframe(feed: Feed, symbol: str, timeframe: Timeframe | None =
 
 def print_feed_items(feed: Feed, timeframe: Timeframe | None = None, timeout: float | None = None):
     """Print the items in a feed to the console.
-    This is mostly usefull for debugging purposes to see what events a feed generates
+    This is mostly useful for debugging purposes to see what events a feed generates
     """
 
     channel = EventChannel(timeframe)

roboquant/feeds/randomwalk.py

@@ -44,15 +44,15 @@ def __get_symbols(
         symbol_len,
     ):
         symbols = set()
-        ALPHABET = np.array(list(string.ascii_uppercase))
+        alphabet = np.array(list(string.ascii_uppercase))
         while len(symbols) < n_symbols:
-            symbol = "".join(rnd.choice(ALPHABET, size=symbol_len))
+            symbol = "".join(rnd.choice(alphabet, size=symbol_len))
             symbols.add(symbol)
         return symbols
 
     @staticmethod
-    def __price_path(rnd, n, scale, min, max):
+    def __price_path(rnd, n, scale, min_price, max_price):
         change = rnd.normal(loc=1.0, scale=scale, size=(n,))
-        change[0] = rnd.uniform(min, max)
+        change[0] = rnd.uniform(min_price, max_price)
         price = change.cumprod()
         return price

roboquant/feeds/tiingohistoricfeed.py

@@ -52,7 +52,7 @@ def retrieve_eod_stocks(
             logger.debug("eod stock url is %s", url)
             response = requests.get(url)
             if not response.ok:
-                logger.warn(f"error symbol={symbol} {response.reason}")
+                logger.warning(f"error symbol={symbol} {response.reason}")
                 continue
 
             rows = self.__get_csv_iter(response)
@@ -79,7 +79,7 @@ def retrieve_intraday_iex(self, *symbols: str, start_date="2023-01-01", end_date
             logger.debug("intraday iex is %s", url)
             response = requests.get(url)
             if not response.ok:
-                logger.warn(f"error symbol={symbol} {response.reason}")
+                logger.warning(f"error symbol={symbol} {response.reason}")
                 continue
 
             rows = self.__get_csv_iter(response)

roboquant/strategies/rnnstrategy.py

@@ -146,7 +146,7 @@ def fit(
         epochs: int = 10,
         batch_size: int = 32,
         validation_split: float = 0.2,
-        summaryWriter=None,
+        summary_writer=None,
     ):
         """
         Trains the model for a fixed number of epochs (dataset iterations).
@@ -155,7 +155,7 @@ def fit(
 
         self._fill_replay_buffer(feed, timeframe)
 
-        writer = summaryWriter
+        writer = summary_writer
 
         # make the data stationary
         x_data = self.pct_change(1)

roboquant/traders/flextrader.py

@@ -30,7 +30,7 @@ class FlexTrader(Trader):
     """Implementation of a Trader that has configurable rules to modify its behavior. This implementation will not
     generate orders if there is not a price in the event for the underlying symbol.
 
-    The configurable paramters include:
+    The configurable parameters include:
     - one_order_only: don't create new orders for a symbol if there is already an open orders for that same symbol
     - size_fractions: enable fractional order sizes (if size_fractions is larger than 0), default is 0
     - min_buying_power: the minimal buying power that should remain available (to avoid margin calls), default is 0.0