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Fix multithreading runtime #46

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Oct 26, 2023
Merged

Fix multithreading runtime #46

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161 changes: 83 additions & 78 deletions tests/staticweight_test_multi_strat.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,7 @@ use alator::broker::implement::multi::{ConcurrentBroker, ConcurrentBrokerBuilder
use alator::broker::{BrokerCost, Dividend, Quote};
use alator::simcontext::{SimContextMulti, SimContextMultiBuilder};
use alator::types::{CashValue, Frequency, PortfolioAllocation};
use tokio::runtime::Runtime;

fn build_data(clock: Clock) -> DefaultPriceSource {
let price_dist = Uniform::new(90.0, 100.0);
Expand All @@ -35,86 +36,90 @@ fn build_data(clock: Clock) -> DefaultPriceSource {
price_source
}

#[tokio::test]
async fn staticweight_integration_test() {
#[test]
fn staticweight_integration_test() -> Result<(), Box<dyn std::error::Error>> {
env_logger::init();
let initial_cash: CashValue = 100_000.0.into();
let length_in_days: i64 = 1000;
let start_date: i64 = 1609750800; //Date - 4/1/21 9:00:0000
let clock = ClockBuilder::with_length_in_days(start_date, length_in_days)
.with_frequency(&Frequency::Daily)
.build();

let data = build_data(clock.clone());

let mut first_weights: PortfolioAllocation = PortfolioAllocation::new();
first_weights.insert("ABC", 0.5);
first_weights.insert("BCD", 0.5);

let mut second_weights: PortfolioAllocation = PortfolioAllocation::new();
second_weights.insert("ABC", 0.3);
second_weights.insert("BCD", 0.7);

let mut third_weights: PortfolioAllocation = PortfolioAllocation::new();
third_weights.insert("ABC", 0.7);
third_weights.insert("BCD", 0.3);

let mut exchange = ConcurrentExchangeBuilder::new()
.with_price_source(data)
.with_clock(clock.clone())
.build();

let simbrkr_first: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
let rt = Runtime::new()?;
rt.block_on(async {
let initial_cash: CashValue = 100_000.0.into();
let length_in_days: i64 = 1000;
let start_date: i64 = 1609750800; //Date - 4/1/21 9:00:0000
let clock = ClockBuilder::with_length_in_days(start_date, length_in_days)
.with_frequency(&Frequency::Daily)
.build();

let data = build_data(clock.clone());

let mut first_weights: PortfolioAllocation = PortfolioAllocation::new();
first_weights.insert("ABC", 0.5);
first_weights.insert("BCD", 0.5);

let mut second_weights: PortfolioAllocation = PortfolioAllocation::new();
second_weights.insert("ABC", 0.3);
second_weights.insert("BCD", 0.7);

let mut third_weights: PortfolioAllocation = PortfolioAllocation::new();
third_weights.insert("ABC", 0.7);
third_weights.insert("BCD", 0.3);

let mut exchange = ConcurrentExchangeBuilder::new()
.with_price_source(data)
.with_clock(clock.clone())
.build();

let simbrkr_first: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
.await;

let strat_first = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_first)
.with_weights(first_weights)
.with_clock(clock.clone())
.default();

let simbrkr_second: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
.await;

let strat_second = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_second)
.with_weights(second_weights)
.with_clock(clock.clone())
.default();

let simbrkr_third: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
.await;

let strat_third = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_third)
.with_weights(third_weights)
.with_clock(clock.clone())
.default();

let mut sim: SimContextMulti<
Dividend,
Quote,
DefaultPriceSource,
AsyncStaticWeightStrategy<Dividend, DefaultCorporateEventsSource, Quote>,
> = SimContextMultiBuilder::new()
.with_clock(clock.clone())
.with_exchange(exchange)
.add_strategy(strat_first)
.add_strategy(strat_second)
.add_strategy(strat_third)
.init(&initial_cash)
.await;

let strat_first = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_first)
.with_weights(first_weights)
.with_clock(clock.clone())
.default();
sim.run().await;

let simbrkr_second: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
.await;

let strat_second = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_second)
.with_weights(second_weights)
.with_clock(clock.clone())
.default();

let simbrkr_third: ConcurrentBroker<Dividend, DefaultCorporateEventsSource, Quote> =
ConcurrentBrokerBuilder::new()
.with_trade_costs(vec![BrokerCost::Flat(1.0.into())])
.build(&mut exchange)
.await;

let strat_third = AsyncStaticWeightStrategyBuilder::new()
.with_brkr(simbrkr_third)
.with_weights(third_weights)
.with_clock(clock.clone())
.default();

let mut sim: SimContextMulti<
Dividend,
Quote,
DefaultPriceSource,
AsyncStaticWeightStrategy<Dividend, DefaultCorporateEventsSource, Quote>,
> = SimContextMultiBuilder::new()
.with_clock(clock.clone())
.with_exchange(exchange)
.add_strategy(strat_first)
.add_strategy(strat_second)
.add_strategy(strat_third)
.init(&initial_cash)
.await;

sim.run().await;

let _perf = sim.perf(Frequency::Daily);
let _perf = sim.perf(Frequency::Daily);
});
Ok(())
}
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