marketreplay.py

import argparse
import numpy as np
import pandas as pd
import sys
import datetime as dt

from Kernel import Kernel
from util import util
from util.order import LimitOrder
from agent.ExchangeAgent import ExchangeAgent
from agent.examples.MarketReplayAgent import MarketReplayAgent

########################################################################################################################
############################################### GENERAL CONFIG #########################################################

parser = argparse.ArgumentParser(description='Detailed options for market replay config.')

parser.add_argument('-c',
                    '--config',
                    required=True,
                    help='Name of config file to execute')
parser.add_argument('-t',
                    '--ticker',
                    required=True,
                    help='Name of the stock/symbol')
parser.add_argument('-d',
                    '--date',
                    required=True,
                    help='Historical date')
parser.add_argument('-l',
                    '--log_dir',
                    default=None,
                    help='Log directory name (default: unix timestamp at program start)')
parser.add_argument('-s',
                    '--seed',
                    type=int,
                    default=None,
                    help='numpy.random.seed() for simulation')
parser.add_argument('-v',
                    '--verbose',
                    action='store_true',
                    help='Maximum verbosity!')
parser.add_argument('--config_help',
                    action='store_true',
                    help='Print argument options for this config file')

args, remaining_args = parser.parse_known_args()

if args.config_help:
    parser.print_help()
    sys.exit()

log_dir = args.log_dir  # Requested log directory.
seed = args.seed  # Random seed specification on the command line.
if not seed: seed = int(pd.Timestamp.now().timestamp() * 1000000) % (2 ** 32 - 1)
np.random.seed(seed)

util.silent_mode = not args.verbose
LimitOrder.silent_mode = not args.verbose

simulation_start_time = dt.datetime.now()
print("Simulation Start Time: {}".format(simulation_start_time))
print("Configuration seed: {}".format(seed))
print("Log Directory: {}".format(log_dir))
########################################################################################################################
############################################### AGENTS CONFIG ##########################################################

# Historical date to simulate.
historical_date = args.date
historical_date_pd = pd.to_datetime(historical_date)
symbol = args.ticker
print("Symbol: {}".format(symbol))
print("Date: {}\n".format(historical_date))

agent_count, agents, agent_types = 0, [], []

# 1) Exchange Agent
mkt_open = historical_date_pd + pd.to_timedelta('09:00:00')
mkt_close = historical_date_pd + pd.to_timedelta('16:00:00')

print("Market Open : {}".format(mkt_open))
print("Market Close: {}".format(mkt_close))

agents.extend([ExchangeAgent(id=0,
                             name="EXCHANGE_AGENT",
                             type="ExchangeAgent",
                             mkt_open=mkt_open,
                             mkt_close=mkt_close,
                             symbols=[symbol],
                             log_orders=True,
                             pipeline_delay=0,
                             computation_delay=0,
                             stream_history=10,
                             book_freq='all',
                             random_state=np.random.RandomState(seed=np.random.randint(low=0, high=2 ** 32,
                                                                                       dtype='uint64')))])
agent_types.extend("ExchangeAgent")
agent_count += 1

# 2) Market Replay Agent
file_name = f'DOW30/{symbol}/{symbol}.{historical_date}'
orders_file_path = f'/efs/data/{file_name}'

agents.extend([MarketReplayAgent(id=1,
                                 name="MARKET_REPLAY_AGENT",
                                 type='MarketReplayAgent',
                                 symbol=symbol,
                                 log_orders=False,
                                 date=historical_date_pd,
                                 start_time=mkt_open,
                                 end_time=mkt_close,
                                 orders_file_path=orders_file_path,
                                 processed_orders_folder_path='/efs/data/marketreplay/',
                                 starting_cash=0,
                                 random_state=np.random.RandomState(seed=np.random.randint(low=0, high=2 ** 32,
                                                                                           dtype='uint64')))])
agent_types.extend("MarketReplayAgent")
agent_count += 1

########################################################################################################################
########################################### KERNEL AND OTHER CONFIG ####################################################

kernel = Kernel("Market Replay Kernel", random_state=np.random.RandomState(seed=np.random.randint(low=0, high=2 ** 32,
                                                                                                  dtype='uint64')))

kernelStartTime = historical_date_pd
kernelStopTime = historical_date_pd + pd.to_timedelta('17:00:00')

defaultComputationDelay = 0
latency = np.zeros((agent_count, agent_count))
noise = [0.0]

kernel.runner(agents=agents,
              startTime=kernelStartTime,
              stopTime=kernelStopTime,
              agentLatency=latency,
              latencyNoise=noise,
              defaultComputationDelay=defaultComputationDelay,
              defaultLatency=0,
              oracle=None,
              log_dir=args.log_dir)

simulation_end_time = dt.datetime.now()
print("Simulation End Time: {}".format(simulation_end_time))
print("Time taken to run simulation: {}".format(simulation_end_time - simulation_start_time))