small changes to market replay code

readerwei · Jun 17, 2019 · ffd4f3d · ffd4f3d
1 parent 7c5b525
commit ffd4f3d
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Showing 3 changed files with 6 additions and 10 deletions.
diff --git a/agent/ExperimentalAgent.py b/agent/ExperimentalAgent.py
@@ -1,5 +1,3 @@
-import pandas as pd
-
 from agent.TradingAgent import TradingAgent
 
 
@@ -14,7 +12,6 @@ def __init__(self, id, name, symbol,
         self.quantity            = quantity
         self.is_buy_order        = is_buy_order
         self.limit_price         = limit_price
-        self.timestamp           = pd.Timestamp("2012-06-21 09:30:02")
 
     def kernelStarting(self, startTime):
         super().kernelStarting(startTime)

diff --git a/agent/MarketReplayAgent.py b/agent/MarketReplayAgent.py
@@ -25,17 +25,16 @@ def wakeup (self, currentTime):
     self.last_trade[self.symbol] = self.oracle.getDailyOpenPrice(self.symbol, self.mkt_open)
     if not self.mkt_open or not self.mkt_close:
       return
-    elif currentTime == self.oracle.orderbook_df.iloc[0].name:
-      order = self.oracle.trades_df.loc[self.oracle.trades_df.timestamp == currentTime]
+    order = self.oracle.trades_df.loc[self.oracle.trades_df.timestamp == currentTime]
+    wake_up_time = self.oracle.trades_df.loc[self.oracle.trades_df.timestamp > currentTime].iloc[0].timestamp
+    if currentTime == self.oracle.orderbook_df.iloc[0].name:
       self.placeMktOpenOrders(order, t=currentTime)
-      self.setWakeup(self.oracle.trades_df.loc[self.oracle.trades_df.timestamp > currentTime].iloc[0].timestamp)
     elif (currentTime > self.mkt_open) and (currentTime < self.mkt_close):
       try:
-        order = self.oracle.trades_df.loc[self.oracle.trades_df.timestamp == currentTime]
         self.placeOrder(currentTime, order)
-        self.setWakeup(self.oracle.trades_df.loc[self.oracle.trades_df.timestamp > currentTime].iloc[0].timestamp)
       except Exception as e:
         log_print(e)
+    self.setWakeup(wake_up_time)
 
 
   def receiveMessage (self, currentTime, msg):

diff --git a/config/marketreplay.py b/config/marketreplay.py
@@ -130,8 +130,8 @@
 # 7) Data Oracle
 oracle = OrderBookOracle(symbol='AAPL',
                          date='2012-06-21',
-                         orderbook_file_path='C:/_code/py/air/abides_open_source/abides/data/LOBSTER/AAPL_2012-06-21_34200000_57600000_orderbook_10.csv',
-                         message_file_path='C:/_code/py/air/abides_open_source/abides/data/LOBSTER/AAPL_2012-06-21_34200000_57600000_message_10.csv',
+                         orderbook_file_path='C:/_code/py/air/abides_open_source/abides/data/lob_data/AAPL_2012-06-21_34200000_57600000_orderbook_10.csv',
+                         message_file_path='C:/_code/py/air/abides_open_source/abides/data/lob_data/AAPL_2012-06-21_34200000_57600000_message_10.csv',
                          num_price_levels=10)
 
 kernel.runner(agents = agents, startTime = kernelStartTime,