Merge pull request #110 from calumrussell/106-implement-cancel-modify

106 implement cancel modify
calumrussell · Nov 1, 2024 · 1bb95be · 1bb95be
2 parents 915c52c + 607f27a
commit 1bb95be
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Showing 6 changed files with 375 additions and 14 deletions.
diff --git a/rotala-client/src/client/uist_v2.rs b/rotala-client/src/client/uist_v2.rs
@@ -1,10 +1,11 @@
 use anyhow::{Error, Result};
 use reqwest;
-use rotala::exchange::uist_v2::Order;
+use rotala::exchange::uist_v2::{Order, OrderId};
 use rotala::input::athena::Athena;
 use rotala_http::http::uist_v2::{
-    AppState, BacktestId, Client, FetchDepthResponse, FetchQuotesResponse, InfoResponse,
-    InitResponse, InsertOrderRequest, NowResponse, TickResponse, UistV2Error,
+    AppState, BacktestId, CancelOrderRequest, Client, FetchDepthResponse, FetchQuotesResponse,
+    InfoResponse, InitResponse, InsertOrderRequest, ModifyOrderRequest, NowResponse, TickResponse,
+    UistV2Error,
 };
 use std::future::{self, Future};
 
@@ -37,6 +38,38 @@ impl Client for HttpClient {
             .await?)
     }
 
+    async fn modify_order(
+        &mut self,
+        order_id: OrderId,
+        quantity_change: f64,
+        backtest_id: BacktestId,
+    ) -> Result<()> {
+        let req = ModifyOrderRequest {
+            order_id,
+            quantity_change,
+        };
+        Ok(self
+            .client
+            .post(self.path.clone() + format!("/backtest/{backtest_id}/modify_order").as_str())
+            .json(&req)
+            .send()
+            .await?
+            .json::<()>()
+            .await?)
+    }
+
+    async fn cancel_order(&mut self, order_id: OrderId, backtest_id: BacktestId) -> Result<()> {
+        let req = CancelOrderRequest { order_id };
+        Ok(self
+            .client
+            .post(self.path.clone() + format!("/backtest/{backtest_id}/cancel_order").as_str())
+            .json(&req)
+            .send()
+            .await?
+            .json::<()>()
+            .await?)
+    }
+
     async fn fetch_quotes(&mut self, backtest_id: BacktestId) -> Result<FetchQuotesResponse> {
         Ok(self
             .client
@@ -113,6 +146,7 @@ impl Client for TestClient {
     fn tick(&mut self, backtest_id: BacktestId) -> impl Future<Output = Result<TickResponse>> {
         if let Some(resp) = self.state.tick(backtest_id) {
             future::ready(Ok(TickResponse {
+                modified_orders: resp.3,
                 inserted_orders: resp.2,
                 executed_trades: resp.1,
                 has_next: resp.0,
@@ -134,6 +168,34 @@ impl Client for TestClient {
         }
     }
 
+    fn modify_order(
+        &mut self,
+        order_id: OrderId,
+        quantity_change: f64,
+        backtest_id: BacktestId,
+    ) -> impl Future<Output = Result<()>> {
+        if let Some(()) = self
+            .state
+            .modify_order(order_id, quantity_change, backtest_id)
+        {
+            future::ready(Ok(()))
+        } else {
+            future::ready(Err(Error::new(UistV2Error::UnknownBacktest)))
+        }
+    }
+
+    fn cancel_order(
+        &mut self,
+        order_id: OrderId,
+        backtest_id: BacktestId,
+    ) -> impl Future<Output = Result<()>> {
+        if let Some(()) = self.state.cancel_order(order_id, backtest_id) {
+            future::ready(Ok(()))
+        } else {
+            future::ready(Err(Error::new(UistV2Error::UnknownBacktest)))
+        }
+    }
+
     fn fetch_quotes(
         &mut self,
         backtest_id: BacktestId,

diff --git a/rotala-http/src/bin/uist_server_v2.rs b/rotala-http/src/bin/uist_server_v2.rs
@@ -29,6 +29,8 @@ async fn main() -> std::io::Result<()> {
             .service(fetch_depth)
             .service(tick)
             .service(insert_order)
+            .service(modify_order)
+            .service(cancel_order)
     })
     .bind((address, port))?
     .run()

diff --git a/rotala-http/src/http/uist_v2.rs b/rotala-http/src/http/uist_v2.rs
@@ -5,10 +5,11 @@ use std::sync::Mutex;
 use anyhow::Result;
 use serde::{Deserialize, Serialize};
 
-use rotala::exchange::uist_v2::{InnerOrder, Order, Trade, UistV2};
+use rotala::exchange::uist_v2::{InnerOrder, ModifyResult, Order, OrderId, Trade, UistV2};
 use rotala::input::athena::{Athena, DateBBO, DateDepth};
 
 pub type BacktestId = u64;
+pub type TickResponseType = (bool, Vec<Trade>, Vec<InnerOrder>, Vec<ModifyResult>);
 
 pub struct BacktestState {
     pub id: BacktestId,
@@ -56,15 +57,18 @@ impl AppState {
         }
     }
 
-    pub fn tick(&mut self, backtest_id: BacktestId) -> Option<(bool, Vec<Trade>, Vec<InnerOrder>)> {
+    pub fn tick(&mut self, backtest_id: BacktestId) -> Option<TickResponseType> {
         if let Some(backtest) = self.backtests.get_mut(&backtest_id) {
             if let Some(dataset) = self.datasets.get(&backtest.dataset_name) {
                 let mut has_next = false;
+                //TODO: this has perf implications, not quite sure why memory is being created here
                 let mut executed_trades = Vec::new();
                 let mut inserted_orders = Vec::new();
+                let mut modified_orders = Vec::new();
 
                 if let Some(quotes) = dataset.get_quotes(&backtest.date) {
                     let mut res = backtest.exchange.tick(quotes, backtest.date);
+                    modified_orders.append(&mut res.2);
                     executed_trades.append(&mut res.0);
                     inserted_orders.append(&mut res.1);
                 }
@@ -75,7 +79,7 @@ impl AppState {
                     backtest.date = *dataset.get_date(new_pos).unwrap();
                 }
                 backtest.pos = new_pos;
-                return Some((has_next, executed_trades, inserted_orders));
+                return Some((has_next, executed_trades, inserted_orders, modified_orders));
             }
         }
         None
@@ -125,6 +129,27 @@ impl AppState {
         None
     }
 
+    pub fn modify_order(
+        &mut self,
+        order_id: OrderId,
+        quantity_change: f64,
+        backtest_id: BacktestId,
+    ) -> Option<()> {
+        if let Some(backtest) = self.backtests.get_mut(&backtest_id) {
+            backtest.exchange.modify_order(order_id, quantity_change);
+            return Some(());
+        }
+        None
+    }
+
+    pub fn cancel_order(&mut self, order_id: OrderId, backtest_id: BacktestId) -> Option<()> {
+        if let Some(backtest) = self.backtests.get_mut(&backtest_id) {
+            backtest.exchange.cancel_order(order_id);
+            return Some(());
+        }
+        None
+    }
+
     pub fn new_backtest(&mut self, dataset_name: &str) -> Option<BacktestId> {
         let new_id = self.last + 1;
 
@@ -154,13 +179,25 @@ pub struct TickResponse {
     pub has_next: bool,
     pub executed_trades: Vec<Trade>,
     pub inserted_orders: Vec<InnerOrder>,
+    pub modified_orders: Vec<ModifyResult>,
 }
 
 #[derive(Debug, Deserialize, Serialize)]
 pub struct InsertOrderRequest {
     pub order: Order,
 }
 
+#[derive(Debug, Deserialize, Serialize)]
+pub struct ModifyOrderRequest {
+    pub order_id: OrderId,
+    pub quantity_change: f64,
+}
+
+#[derive(Debug, Deserialize, Serialize)]
+pub struct CancelOrderRequest {
+    pub order_id: OrderId,
+}
+
 #[derive(Debug, Deserialize, Serialize)]
 pub struct FetchQuotesResponse {
     pub quotes: DateBBO,
@@ -221,6 +258,17 @@ pub trait Client {
         order: Order,
         backtest_id: BacktestId,
     ) -> impl Future<Output = Result<()>>;
+    fn modify_order(
+        &mut self,
+        order_id: OrderId,
+        quantity_change: f64,
+        backtest_id: BacktestId,
+    ) -> impl Future<Output = Result<()>>;
+    fn cancel_order(
+        &mut self,
+        order_id: OrderId,
+        backtest_id: BacktestId,
+    ) -> impl Future<Output = Result<()>>;
     fn fetch_quotes(
         &mut self,
         backtest_id: BacktestId,
@@ -240,8 +288,9 @@ pub mod server {
     use actix_web::{get, post, web};
 
     use super::{
-        BacktestId, FetchDepthResponse, FetchQuotesResponse, InfoResponse, InitResponse,
-        InsertOrderRequest, NowResponse, TickResponse, UistState, UistV2Error,
+        BacktestId, CancelOrderRequest, FetchDepthResponse, FetchQuotesResponse, InfoResponse,
+        InitResponse, InsertOrderRequest, ModifyOrderRequest, NowResponse, TickResponse, UistState,
+        UistV2Error,
     };
 
     #[get("/backtest/{backtest_id}/tick")]
@@ -254,6 +303,7 @@ pub mod server {
 
         if let Some(result) = uist.tick(backtest_id) {
             Ok(web::Json(TickResponse {
+                modified_orders: result.3,
                 inserted_orders: result.2,
                 executed_trades: result.1,
                 has_next: result.0,
@@ -278,6 +328,40 @@ pub mod server {
         }
     }
 
+    #[post("/backtest/{backtest_id}/modify_order")]
+    pub async fn modify_order(
+        app: web::Data<UistState>,
+        path: web::Path<(BacktestId,)>,
+        modify_order: web::Json<ModifyOrderRequest>,
+    ) -> Result<web::Json<()>, UistV2Error> {
+        let mut uist = app.lock().unwrap();
+        let (backtest_id,) = path.into_inner();
+        if let Some(()) = uist.modify_order(
+            modify_order.order_id,
+            modify_order.quantity_change,
+            backtest_id,
+        ) {
+            Ok(web::Json(()))
+        } else {
+            Err(UistV2Error::UnknownBacktest)
+        }
+    }
+
+    #[post("/backtest/{backtest_id}/cancel_order")]
+    pub async fn cancel_order(
+        app: web::Data<UistState>,
+        path: web::Path<(BacktestId,)>,
+        cancel_order: web::Json<CancelOrderRequest>,
+    ) -> Result<web::Json<()>, UistV2Error> {
+        let mut uist = app.lock().unwrap();
+        let (backtest_id,) = path.into_inner();
+        if let Some(()) = uist.cancel_order(cancel_order.order_id, backtest_id) {
+            Ok(web::Json(()))
+        } else {
+            Err(UistV2Error::UnknownBacktest)
+        }
+    }
+
     #[get("/backtest/{backtest_id}/fetch_quotes")]
     pub async fn fetch_quotes(
         app: web::Data<UistState>,
@@ -402,6 +486,8 @@ mod tests {
                 .service(fetch_depth)
                 .service(tick)
                 .service(insert_order)
+                .service(modify_order)
+                .service(cancel_order)
                 .service(now),
         )
         .await;

diff --git a/rotala-python/src/http.py b/rotala-python/src/http.py
@@ -33,6 +33,30 @@ def insert_order(self, order):
         )
         return r.json()
 
+    def modify_order(self, order_id, quantity_change):
+        if self.backtest_id is None:
+            raise ValueError("Called before init")
+
+        val = f'{{"order_id": {order_id}, "quantity_change": {quantity_change}'
+        r = requests.post(
+            f"{self.base_url}/backtest/{self.backtest_id}/modify_order",
+            data=val,
+            headers={"Content-type": "application/json"},
+        )
+        return r.json()
+
+    def cancel_order(self, order_id):
+        if self.backtest_id is None:
+            raise ValueError("Called before init")
+
+        val = f'{{"order_id": {order_id}'
+        r = requests.post(
+            f"{self.base_url}/backtest/{self.backtest_id}/cancel_order",
+            data=val,
+            headers={"Content-type": "application/json"},
+        )
+        return r.json()
+
     def fetch_quotes(self):
         if self.backtest_id is None:
             raise ValueError("Called before init")

diff --git a/rotala/Cargo.toml b/rotala/Cargo.toml
@@ -19,6 +19,7 @@ csv = "1.1.6"
 serde = { version = "1.0.193", features = ["derive"] }
 serde_json = "1.0.108"
 tokio = { version = "1.35.1", features = ["full"] }
+anyhow = "1.0.91"
 
 [dev-dependencies]
 criterion = { version = "0.5.1", features = ["async_tokio"] }