Fixed grammer and typos in doc

README.adoc

@@ -103,6 +103,6 @@ Roboquant is distributed under the link:/LICENSE[Apache 2.0 License].
 Roboquant also comes with live trading and paper trading capabilities. Using this is at your own risk and there are NO guarantees about the correct functioning of the software.
 
 == Beta version
-Roboquant is still a pre-1.0 release and bugs are for sure to be expected. Also expect API's to change without any notice. So keep this in mind when using it.
+Roboquant is still a pre-1.0 release and bugs are for sure to be expected. Also expect APIs to change without any notice. So keep this in mind when using it.
 
 PR are more than welcome, see also the link:/docs/CONTRIBUTING.adoc[Contribution Guide] document. If you're missing some features, just open an issue on GitHub. See also the link:/docs/TODO.adoc[todo documentation] for already identified backlog items if you look for something to work on.

data/README.adoc

@@ -1,3 +1,3 @@
-Data in this directory and its sub directiries is used during unit testing.
+Data in this directory and its subdirectories is used during unit testing.
 
 NOTE: It is not meant for real back tests.

docs/CONTRIBUTING.adoc

@@ -17,8 +17,7 @@ Submit issues https://github.com/neurallayer/roboquant/issues[here].
 ** If the bug is in behavior, then explain what behavior you've expected and what you've got.
 * When submitting a feature request:
 ** Explain why you need the feature — what's your use-case, what's your domain.
-** Explaining the problem you face is more important than suggesting a solution.
- Report your problem even if you don't have any proposed solution.
+** Explaining the problem you face is more important than suggesting a solution. Report your problem even if you don't have any proposed solution.
 ** If there is an alternative way to do what you need, then show the code of the alternative.
 
 == Submitting PRs

docs/INSTALL.adoc

@@ -69,12 +69,12 @@ Roboquant uses Maven for the build process and assuming you already have this in
 mvn build
 ----
 
-The build and install is tested using JDK 17 runtime, however the generated libraries are targeted against JDK 11 in order to provide greater compatibilty for projects that still use older versions of the JDK.
+The build and install is tested using JDK 17 runtime, however the generated libraries are targeted against JDK 11 in order to provide greater compatibility for projects that still use older versions of the JDK.
 
-TIP: If you plan to make many changes and updates to the source code, checkout the https://github.com/apache/maven-mvnd[Maven Deamon] project that provides much faster builds.
+TIP: If you plan to make many changes and updates to the source code, checkout the https://github.com/apache/maven-mvnd[Maven Daemon] project that provides much faster builds.
 
 == Interactive Brokers
-Unfortuatly we are not allowed to redistribute the Interactive Brokers Java client, so you'll have to download the TwsApi.jar file yourself. You can download version `10.15` from here: https://interactivebrokers.github.io/# and within the downloaded archive file you'll find the required `TwsApi.jar`.
+Unfortunately we are not allowed to redistribute the Interactive Brokers Java client, so you'll have to download the TwsApi.jar file yourself. You can download version `10.15` from here: https://interactivebrokers.github.io/# and within the downloaded archive file you'll find the required `TwsApi.jar`.
 
 Then install the jar file in the local Maven repository on your machine using the following command:
 

docs/THIRDPARTY.adoc

@@ -14,5 +14,5 @@ Roboquant couldn't have been developed without the use of free and open source t
 * https://github.com/osiegmar/FastCSV[FastCSV]: an ultra-fast and easy to use CSV parser.
 
 == Other artefacts
-* Comfortaa font created by Johan Aakerlund. I really like how _roboquant_ looks like using Comfortaa font.
+* `Comfortaa` font created by Johan Aakerlund. I really like how _roboquant_ looks like using `Comfortaa` font.
 * Modified robot image from Free Vector Characters, as also seen on the README page and https://roboquant.org[roboquant.org] website.

docs/TODO.adoc

@@ -27,11 +27,11 @@ Version 0.8 is all about making sure that (back-)testing works, and the most com
 
 Ensure the API is stable and start including AI and Machine Learning support
 
-* [X] Stabalize the exposed API (perhaps also enable -Xexplicit-api=strict compiler flag)
+* [X] Stabilize the exposed API (perhaps also enable -Xexplicit-api=strict compiler flag)
 * [ ] Improve documentation, notebooks and examples based on the stable API
-* [ ] Include additional demo feeds for quick expirementation (some forex and crypto assets)
+* [ ] Include additional demo feeds for quick experimentation (some forex and crypto assets)
 * [ ] Add basic Machine Learning support (research required)
-* [ ] Add better hyper-parameter search and optimalization capabilities (research required)
+* [ ] Add better hyperparameter search and optimization capabilities (research required)
 
 == Version 1.0.x (end of 2022)
 
@@ -40,7 +40,7 @@ This version is all about adding better trading capabilities. Although there is
 * [ ] Better margin account simulation support
 * [ ] More metrics, especially around alpha and beta calculations
 * [ ] Add more advanced slippage- and fee-models
-* [ ] Add visualtizations for the tuning of strategies (research required)
+* [ ] Add visualizations for the tuning of strategies (research required)
 * [ ] Add support for distributed back-testing (research required)
 
 == Version 2 and later (2023 and beyond)

docs/run/README.adoc

@@ -3,7 +3,7 @@
 This directory contains various IntelliJ IDEA configuration files for testing roboquant.
 
 == With Coverage
-Run extended unit tests to improve code coverage. By default these extra unit tests are not enabled since they take too much extra time.
+Run extended unit tests to improve code coverage. By default, these extra unit tests are not enabled since they take too much extra time.
 The overall goal is to maintain a roboquant test coverage > 90%.
 
 == Performance with Flight recorder

roboquant-crypto/src/binance/BinanceBroker.kt

@@ -33,6 +33,7 @@ import org.roboquant.common.Currency
 import org.roboquant.common.Logging
 import org.roboquant.feeds.Event
 import org.roboquant.orders.*
+import java.time.Instant
 
 /**
  * Implementation of the broker interface for Binance exchange. This enables live trading of cryptocurrencies
@@ -56,7 +57,7 @@ class BinanceBroker(
 
 
     private val logger = Logging.getLogger(BinanceBroker::class)
-    private val placedOrders = mutableMapOf<Long, SingleOrder>()
+    private val placedOrders = mutableMapOf<Long, OrderState>()
     private var orderId = 0
     private val assetMap: Map<String, Asset>
 
@@ -81,7 +82,11 @@ class BinanceBroker(
         for (order in client.getOpenOrders(OrderRequest(""))) {
             val o = placedOrders[order.orderId]
             if (o !== null) {
-                // o.fill = order.executedQty.toDouble()
+                val orderState = when (order.status) {
+                    com.binance.api.client.domain.OrderStatus.FILLED -> o.copy(Instant.now(), OrderStatus.COMPLETED)
+                    else -> o
+                }
+                _account.openOrders[order.orderId.toInt()] = orderState
             } else {
                 logger.info("Received unknown order $order")
             }
@@ -111,11 +116,11 @@ class BinanceBroker(
 
                     is LimitOrder -> {
                         val newLimitOrder = trade(symbol, order)
-                        placedOrders[newLimitOrder.orderId] = order
+                        placedOrders[newLimitOrder.orderId] = OrderState(order)
                     }
                     is MarketOrder -> {
                         val newMarketOrder = trade(symbol, order)
-                        placedOrders[newMarketOrder.orderId] = order
+                        placedOrders[newMarketOrder.orderId] = OrderState(order)
                     }
                     else -> logger.warning {
                         "supports only cancellation, market and limit orders, received ${order::class} instead"

roboquant-crypto/src/xchange/XChangeBroker.kt

@@ -30,7 +30,7 @@ import org.knowm.xchange.dto.trade.LimitOrder as CryptoLimitOrder
 import org.knowm.xchange.dto.trade.MarketOrder as CryptoMarketOrder
 
 /**
- * Generic Crypto currency broker implementation for exchanges that are supported by the XChange package.
+ * Generic cryptocurrency broker implementation for exchanges that are supported by the XChange package.
  *
  * XChange is a Java library providing a streamlined API for interacting with 60+ Bitcoin and Altcoin exchanges
  * See also https://knowm.org/open-source/xchange/ for a complete overview of the supported exchanges.

roboquant-crypto/src/xchange/XChangeLiveFeed.kt

@@ -152,7 +152,7 @@ class XChangeLiveFeed(
 
 
     /**
-     * Get an asset based on a crypto-currency pair.
+     * Get an asset based on a cryptocurrency pair.
      *
      * @return
      */
@@ -161,7 +161,7 @@ class XChangeLiveFeed(
     }
 
     /**
-     * Get an asset based on a crypto-currency pair.
+     * Get an asset based on a cryptocurrency pair.
      *
      * @param currencyPair
      * @return

roboquant-crypto/src/xchange/XChangePollingLiveFeed.kt

@@ -102,7 +102,7 @@ class XChangePollingLiveFeed(
     override fun close() = jobs.cancelAll()
 
     /**
-     * Get an asset based on a crypto-currency pair.
+     * Get an asset based on a cryptocurrency pair.
      *
      * @return
      */

roboquant-extra/src/alpaca/AlpacaBroker.kt

@@ -127,7 +127,7 @@ class AlpacaBroker(
     }
 
     /**
-     * Load the open orders already linked to the account. This is only called once during initiatlization.
+     * Load the open orders already linked to the account. This is only called once during initialization.
      * Closed orders will be ignored.
      */
     private fun loadInitialOrders() {

roboquant-extra/src/alpaca/AlpacaConnection.kt

@@ -43,7 +43,7 @@ data class AlpacaConfig(
 ) {
 
     init {
-        require(accountType == AccountType.PAPER) { "Only Paper tradins supported, received $accountType"}
+        require(accountType == AccountType.PAPER) { "Only Paper trading supported, received $accountType"}
     }
 
 }

roboquant-extra/src/alpaca/AlpacaHistoricFeed.kt

@@ -51,7 +51,7 @@ class AlpacaHistoricFeed(
     }
 
     /**
-     * All available assets that can be retrieved. See [assets] for the assets that have already been retreived.
+     * All available assets that can be retrieved. See [assets] for the assets that have already been retrieved.
      */
     val availableAssets by lazy {
         AlpacaConnection.getAvailableAssets(alpacaAPI).values.toSortedSet()

roboquant-extra/src/alpaca/AlpacaLiveFeed.kt

@@ -80,7 +80,6 @@ class AlpacaLiveFeed(
 
     /**
      * Connect to ta market data provider and start listening. This can be the stocks or crypto market data feeds.
-     * 13 april 15:00 hendriks
      */
     fun connect(
         connection: MarketDataWebsocketInterface = alpacaAPI.stockMarketDataStreaming(),

roboquant-extra/src/alphavantage/AlphaVantageHistoricFeed.kt

@@ -72,7 +72,7 @@ class AlphaVantageHistoricFeed(
 
 
     /**
-     * Retrieve historic intra-day price data for the provided [assets]
+     * Retrieve historic intraday price data for the provided [assets]
      *
      */
     fun retrieveIntraday(vararg assets: Asset, interval: Interval = Interval.FIVE_MIN) {

roboquant-extra/src/oanda/OANDA.kt

@@ -40,17 +40,17 @@ object OANDA {
 
     /**
      * Create a [Roboquant] instance configured for back testing OANDA trading. Although trading Forex is just like any
-     * another asset class, there are some configuration paramters that are different from assets classes like stocks:
+     * another asset class, there are some configuration parameters that are different from assets classes like stocks:
      * - Being short is as common as being long
      * - The spread cost (for common currency pairs) is smaller than with most stocks
      * - Leverage is high
-     * - There are no fees or commisions
+     * - There are no fees or commissions
      */
     fun roboquant(strategy: Strategy, vararg metrics: Metric): Roboquant {
         // We allow shorting
         val policy = DefaultPolicy(shorting = true)
 
-        // No commisions or fees
+        // No commissions or fees
         val feeModel = NoFeeModel()
 
         // We use a lower spread model, since the default of 10 BIPS is too much for most Forex trading

roboquant-extra/src/oanda/OANDABroker.kt

@@ -34,7 +34,7 @@ import java.math.BigDecimal
 import java.time.Instant
 
 /**
- * Implementation of the [Broker] interface that can be used for paper- en live-trading using OANDA as your broker.
+ * Implementation of the [Broker] interface that can be used for paper- and live-trading using OANDA as your broker.
  */
 class OANDABroker(
     private val maxLeverage: Double = 30.0, // Used to calculate buying power
@@ -103,7 +103,7 @@ class OANDABroker(
 
     /**
      * First time when connecting, update the state of roboquant account with broker account. Only cash and positions
-     * are synced and it is assumed there are no open orders pending.
+     * are synced, and it is assumed there are no open orders pending.
      */
     private fun initAccount() {
         val acc = ctx.account.get(accountID).account
@@ -172,7 +172,7 @@ class OANDABroker(
     }
 
     /**
-     * For now only market- and limit-orders are supported, all other order types are rejected. Also orders will
+     * For now only market- and limit-orders are supported, all others are rejected. Also orders will
      * always TIF be submitted with FOK (FillOrKill) and ignore the requested TiF.
      */
     override fun place(orders: List<Order>, event: Event): Account {
@@ -214,7 +214,7 @@ class OANDABroker(
             _account.putOrder(state)
         }
 
-        // OONDA doesn't update positions quick enough and so they don't reflect trades just made.
+        // OANDA doesn't update positions quick enough, and so they don't reflect trades just made.
         // so for now we put a sleep in here :(
         Thread.sleep(1000)
         syncPortfolio()

roboquant-extra/src/oanda/OANDALiveFeed.kt

@@ -117,7 +117,7 @@ class OANDALiveFeed(
 
     /**
      * Subscribe to the order book data for the provided [assets]. Since this is a pulling solution, you can also
-     * specify the [delay] interval between two pulls, default being 5000 milliseconds (so 5 seocond data)
+     * specify the [delay] interval between two pulls, default being 5000 milliseconds (so 5 second data)
      */
     fun subscribeOrderBook(assets: Collection<Asset>, delay: Long = 5_000L) {
         logger.info { "Subscribing to ${assets.size} order books" }
@@ -155,7 +155,7 @@ class OANDALiveFeed(
                             }
                         )
                     }
-                    logger.fine("Got ${actions.size} orderbook actions")
+                    logger.fine("Got ${actions.size} order-book actions")
                     if (actions.isNotEmpty()) channel?.offer(Event(actions, now))
                     since = resp.time
                 }

roboquant-extra/test/samples/oanda.kt

@@ -36,7 +36,6 @@ import org.roboquant.policies.DefaultPolicy
 import org.roboquant.strategies.EMACrossover
 import java.util.logging.Level
 
-
 fun oanda() {
     val feed = OANDAHistoricFeed()
     feed.retrieveCandles("EUR_USD", "USD_JPY", "GBP_USD")
@@ -46,7 +45,6 @@ fun oanda() {
 
 }
 
-
 fun forexAvro() {
     val feed = AvroFeed("/Users/peter/data/avro/forex_march_2020.avro")
     Config.exchangeRates = OANDAExchangeRates()
@@ -59,13 +57,24 @@ fun forexAvro() {
 fun oandaLong() {
     val feed = OANDAHistoricFeed()
     val timeframe = Timeframe.parse("2020-03-01", "2020-04-01")
-    val symbols = listOf("EUR_USD", "USD_JPY", "GBP_USD", "AUD_USD", "USD_CAD", "USD_CHF", "EUR_GBP", "AUD_JPY", "NZD_USD", "GBP_JPY").toTypedArray()
+    val symbols = listOf(
+        "EUR_USD",
+        "USD_JPY",
+        "GBP_USD",
+        "AUD_USD",
+        "USD_CAD",
+        "USD_CHF",
+        "EUR_GBP",
+        "AUD_JPY",
+        "NZD_USD",
+        "GBP_JPY"
+    ).toTypedArray()
 
     // There is a limit on what we can download per API call, so we split it in individual days
     for (tf in timeframe.split(1.days)) {
         feed.retrieveCandles(*symbols, timeframe = tf)
         println(feed.timeline.size)
-        Thread.sleep(1000) // lets play nice and not overload things
+        Thread.sleep(1000) // let's play nice and not overload things
     }
     feed.assets.summary().log()
     println(feed.timeline.size)
@@ -76,7 +85,6 @@ fun oandaLong() {
 
 }
 
-
 fun oanda2() {
     Currency.increaseDigits(3)
     val feed = OANDAHistoricFeed()
@@ -88,7 +96,6 @@ fun oanda2() {
     roboquant.broker.account.fullSummary().print()
 }
 
-
 fun oandaLive() {
     val feed = OANDALiveFeed()
     feed.subscribeOrderBook("EUR_USD", "USD_JPY", "GBP_USD")
@@ -97,7 +104,6 @@ fun oandaLive() {
     println(actions.size)
 }
 
-
 fun oandaLive2() {
     val feed = OANDALiveFeed()
     feed.subscribePriceBar("EUR_USD", "USD_JPY", "GBP_USD", granularity = "S5", delay = 5_000L)
@@ -106,7 +112,6 @@ fun oandaLive2() {
     println(actions.size)
 }
 
-
 fun oandaPaperTrading() {
     Currency.increaseDigits(3) // We want to use extra digits when displaying amounts
     val broker = OANDABroker()
@@ -125,7 +130,6 @@ fun oandaPaperTrading() {
     roboquant.broker.account.fullSummary().print()
 }
 
-
 fun oandaClosePositions() {
     val broker = OANDABroker()
     Logging.setLevel(Level.FINE)
@@ -138,17 +142,13 @@ fun oandaClosePositions() {
     broker.account.fullSummary().print()
 }
 
-
-
 fun oandaLiveRecord() {
     val feed = OANDALiveFeed()
     feed.subscribeOrderBook("EUR_USD", "USD_JPY", "GBP_USD")
     val tf = Timeframe.next(5.minutes)
     AvroUtil.record(feed, "/Users/peter/tmp/oanda.avro", tf)
 }
 
-
-
 fun oandaBroker() {
     Config.exchangeRates = FixedExchangeRates(Currency.EUR, Currency.USD to 0.9, Currency.GBP to 1.2)
     val broker = OANDABroker()
@@ -166,7 +166,6 @@ fun oandaBroker() {
     broker.account.portfolio.summary().log()
 }
 
-
 fun oandaBroker3() {
     Logging.setLevel(Level.FINE, "OANDABroker")
     Currency.increaseDigits(3)
@@ -200,7 +199,6 @@ fun oandaBroker2(createOrder: Boolean = true) {
     }
 }
 
-
 fun main() {
     when ("OANDA_LIVE_FEED2") {
         "OANDA_BROKER" -> oandaBroker()