bug fixes for execution agents

bug fixes for execution agents

agent/FinancialAgent.py

@@ -10,9 +10,9 @@
 # exchanges to make this more useful later on.
 class FinancialAgent(Agent):
 
-  def __init__(self, id, name, type, random_state):
+  def __init__(self, id, name, type, random_state, log_to_file=True):
     # Base class init.
-    super().__init__(id, name, type, random_state)
+    super().__init__(id, name, type, random_state, log_to_file)
 
   # Used by any subclass to dollarize an int-cents price for printing.
   def dollarize (self, cents):

agent/NoiseAgent.py

@@ -8,10 +8,12 @@
 
 class NoiseAgent(TradingAgent):
 
-    def __init__(self, id, name, type, symbol='IBM', starting_cash=100000, log_orders=False, random_state=None, wakeup_time = None ):
+    def __init__(self, id, name, type, symbol='IBM', starting_cash=100000,
+                 log_orders=False, log_to_file=True, random_state=None, wakeup_time = None ):
 
         # Base class init.
-        super().__init__(id, name, type, starting_cash=starting_cash, log_orders=log_orders, random_state=random_state)
+        super().__init__(id, name, type, starting_cash=starting_cash, log_orders=log_orders,
+                         log_to_file=log_to_file, random_state=random_state)
 
         self.wakeup_time = wakeup_time,
 

agent/TradingAgent.py

@@ -15,9 +15,9 @@
 # implementing a strategy without too much bookkeeping.
 class TradingAgent(FinancialAgent):
 
-  def __init__(self, id, name, type, random_state=None, starting_cash=100000, log_orders=False):
+  def __init__(self, id, name, type, random_state=None, starting_cash=100000, log_orders=False, log_to_file=True):
     # Base class init.
-    super().__init__(id, name, type, random_state)
+    super().__init__(id, name, type, random_state, log_to_file)
 
     # We don't yet know when the exchange opens or closes.
     self.mkt_open = None

agent/ValueAgent.py

@@ -10,10 +10,11 @@ class ValueAgent(TradingAgent):
 
     def __init__(self, id, name, type, symbol='IBM', starting_cash=100000, sigma_n=10000,
                  r_bar=100000, kappa=0.05, sigma_s=100000,
-                 lambda_a=0.005, log_orders=False, random_state=None):
+                 lambda_a=0.005, log_orders=False, log_to_file=True, random_state=None):
 
         # Base class init.
-        super().__init__(id, name, type, starting_cash=starting_cash, log_orders=log_orders, random_state=random_state)
+        super().__init__(id, name, type, starting_cash=starting_cash,
+                         log_orders=log_orders, log_to_file=log_to_file, random_state=random_state)
 
         # Store important parameters particular to the ZI agent.
         self.symbol = symbol  # symbol to trade

agent/execution/ExecutionAgent.py

@@ -27,6 +27,8 @@ def __init__(self, id, name, type, symbol, starting_cash,
         self.trade = trade
         self.log_orders = log_orders
 
+        self.state = 'AWAITING_WAKEUP'
+
     def kernelStopping(self):
         super().kernelStopping()
         if self.trade:
@@ -79,17 +81,18 @@ def handleOrderAcceptance(self, currentTime, msg):
         log_print('[---- {} - {} ----]: ACCEPTED QUANTITY : {}'.format(self.name, currentTime, accepted_qty))
 
     def placeOrders(self, currentTime):
-        if currentTime == self.execution_time_horizon[-2]:
+        if currentTime.floor('1s') == self.execution_time_horizon[-2]:
             self.placeMarketOrder(symbol=self.symbol, quantity=self.rem_quantity, is_buy_order=self.direction == 'BUY')
-        elif currentTime in self.execution_time_horizon[:-2]:
+        elif currentTime.floor('1s') in self.execution_time_horizon[:-2]:
             bid, _, ask, _ = self.getKnownBidAsk(self.symbol)
 
-            if currentTime == self.start_time:
+            if currentTime.floor('1s') == self.start_time:
                 self.arrival_price = (bid + ask) / 2
                 log_print("[---- {}  - {} ----]: Arrival Mid Price {}".format(self.name, currentTime,
                                                                                self.arrival_price))
 
-            qty = self.schedule[pd.Interval(currentTime, currentTime+datetime.timedelta(minutes=1))]
+            qty = self.schedule[pd.Interval(currentTime.floor('1s'),
+                                            currentTime.floor('1s')+datetime.timedelta(minutes=1))]
             price = ask if self.direction == 'BUY' else bid
             self.placeLimitOrder(symbol=self.symbol, quantity=qty,
                                  is_buy_order=self.direction == 'BUY', limit_price=price)

agent/execution/VWAPExecutionAgent.py

@@ -43,7 +43,7 @@ def generate_schedule(self):
     def synthetic_volume_profile(date, freq):
         mkt_open = pd.to_datetime(date.date()) + pd.to_timedelta('09:30:00')
         mkt_close = pd.to_datetime(date.date()) + pd.to_timedelta('16:00:00')
-        day_range = pd.date_range(mkt_open, mkt_close, freq=f'{freq}s')
+        day_range = pd.date_range(mkt_open, mkt_close, freq=freq)
 
         vol_profile = {}
         for t, x in zip(day_range, range(int(-len(day_range) / 2), int(len(day_range) / 2), 1)):