Merge branch 'develop' of https://github.com/robcarver17/pysystemtrade …

…into develop

docs/backtesting.md

@@ -244,7 +244,6 @@ multipliers:
 ```python
 from systems.provided.futures_chapter15.estimatedsystem import futures_system
 system=futures_system()
-system.set_logging_level("on")
 system.portfolio.get_notional_position("EDOLLAR")
 ```
 
@@ -813,15 +812,15 @@ read about [system caching and pickling](#caching) before you reload them).
 ```python
 from systems.provided.futures_chapter15.basesystem import futures_system
 
-system = futures_system(log_level="on")
+system = futures_system()
 system.accounts.portfolio().sharpe() ## does a whole bunch of calculations that will be saved in the cache
 
 system.cache.pickle("private.this_system_name.system.pck") ## use any file extension you like
 
 ## In a new session
 from systems.provided.futures_chapter15.basesystem import futures_system
 
-system = futures_system(log_level="on")
+system = futures_system()
 system.cache.unpickle("private.this_system_name.system.pck")
 
 ## this will run much faster and reuse previous calculations
@@ -1030,7 +1029,7 @@ from sysdata.sim.db_futures_sim_data import dbFuturesSimData
 data = dbFuturesSimData()
 
 # using with a system
-system = futures_system(log_level="on")
+system = futures_system()
 print(system.accounts.portfolio().sharpe())
 ```
 
@@ -1644,8 +1643,8 @@ get_list_of_instruments_to_remove
 get_list_of_markets_with_trading_restrictions'
 ```
 
-`system.log` and `system.set_logging_level()` provides access to the system's
-log. See [logging](#logging) for more details.
+`system.log` provides access to the system's log. See [logging](#logging) for more 
+details.
 
 <a name="caching"> </a>
 
@@ -1737,7 +1736,7 @@ weights, will be excluded and won't be reloaded.
 ```python
 from systems.provided.futures_chapter15.basesystem import futures_system
 
-system = futures_system(log_level="on")
+system = futures_system()
 system.accounts.portfolio().sharpe() ## does a whole bunch of calculations that will be saved in the cache. A bit slow...
 
 system.cache.get_itemnames_for_stage("accounts") # includes 'portfolio'
@@ -1750,7 +1749,7 @@ system.cache.pickle("private.this_system_name.system.pck") ## Using the 'dot' me
 
 
 ## Now in a new session
-system = futures_system(log_level="on")
+system = futures_system()
 system.cache.get_items_with_data() ## check empty cache
 
 system.cache.unpickle("private.this_system_name.system.pck")
@@ -2077,7 +2076,7 @@ from systems.portfolio import Portfolios
 from systems.accounts.accounts_stage import Account
 
 
-def futures_system(data=None, config=None, trading_rules=None, log_level="on"):
+def futures_system(data=None, config=None, trading_rules=None):
     if data is None:
         data = csvFuturesSimData()
 
@@ -2091,8 +2090,6 @@ def futures_system(data=None, config=None, trading_rules=None, log_level="on"):
     system = System([Account(), Portfolios(), PositionSizing(), RawData(), ForecastCombine(),
                      ForecastScaleCap(), rules], data, config)
 
-    system.set_logging_level(log_level)
-
     return system
 ```
 

docs/data.md

@@ -1036,7 +1036,7 @@ Of course it's also possible to mix these two methods. Once you have the data it
 ```python
 from systems.provided.futures_chapter15.basesystem import futures_system
 from sysdata.sim.db_futures_sim_data import dbFuturesSimData
-system = futures_system(data = dbFuturesSimData(), log_level="on")
+system = futures_system(data = dbFuturesSimData())
 print(system.data.get_instrument_list())
 ```
 #### A note about multiple configuration files
@@ -1084,7 +1084,7 @@ class dbFuturesSimData2(genericBlobUsingFuturesSimData):
             self.get_instrument_list())
 
 
->>> system = futures_system(data = dbFuturesSimData2(), log_level="on")
+>>> system = futures_system(data = dbFuturesSimData2())
 >>> system.data.data.db_futures_multiple_prices
 
 simData connection for multiple futures prices, arctic production/futures_multiple_prices @ 127.0.0.1 

docs/introduction.md

@@ -466,9 +466,6 @@ my_config.use_forecast_div_mult_estimates = True
 combiner = ForecastCombine()
 my_system = System([my_account, fcs, my_rules, combiner, position_size, raw_data], data, my_config)
 
-## this is a bit slow, better to know what's going on
-my_system.set_logging_level("on")
-
 print(my_system.combForecast.get_forecast_weights("US10").tail(5))
 print(my_system.combForecast.get_forecast_diversification_multiplier("US10").tail(5))
 
@@ -558,8 +555,6 @@ my_config.instrument_weight_estimate=dict(method="shrinkage", date_method="in_sa
 my_system = System([my_account, fcs, my_rules, combiner, position_size, raw_data,
                     portfolio], data, my_config)
 
-my_system.set_logging_level("on")
-
 print(my_system.portfolio.get_instrument_weights())
 print(my_system.portfolio.get_instrument_diversification_multiplier())
 ```
@@ -733,7 +728,7 @@ You can also get a similar system where forecast scalars are estimated; as well
 
 ```python
 from systems.provided.futures_chapter15.estimatedsystem import futures_system
-system = futures_system(log_level="on")
+system = futures_system()
 system.portfolio.get_notional_position("EUROSTX").tail(5)
 ```
 
@@ -744,7 +739,7 @@ system.cache.pickle("private.this_system_name.pck") ## use any file extension yo
 
 ## In a new session
 from systems.provided.futures_chapter15.estimatedsystem import futures_system
-system = futures_system(log_level="on")
+system = futures_system()
 system.cache.unpickle("private.this_system_name.pck")
 system.accounts.portfolio().sharpe() ## this will run much faster and reuse previous calculations
 ```

examples/introduction/prebakedsystems.py

@@ -1,6 +1,6 @@
 from systems.provided.example.simplesystem import simplesystem
 
-my_system = simplesystem(log_level="on")
+my_system = simplesystem()
 print(my_system)
 print(my_system.portfolio.get_notional_position("EDOLLAR").tail(5))
 
@@ -22,7 +22,7 @@
 from systems.provided.futures_chapter15.basesystem import futures_system
 from matplotlib.pyplot import show
 
-system = futures_system(log_level="on")
+system = futures_system()
 print(system.accounts.portfolio().sharpe())
 system.accounts.portfolio().curve().plot()
 show()
@@ -32,14 +32,14 @@
 
 from systems.provided.futures_chapter15.estimatedsystem import futures_system
 
-system = futures_system(log_level="on")
+system = futures_system()
 print(system.accounts.portfolio().sharpe())
 system.accounts.portfolio().curve().plot()
 system.cache.pickle("private.this_system_name.pck")
 show()
 
 del system  # just to make sure
-system = futures_system(log_level="on")
+system = futures_system()
 system.cache.unpickle("private.this_system_name.pck")
 # this will run much faster and reuse previous calculations
 system.accounts.portfolio().sharpe()

examples/introduction/simplesystem.py

@@ -119,9 +119,6 @@
     [my_account, fcs, my_rules, combiner, raw_data, position_size], data, my_config
 )
 
-# this is a bit slow, better to know what's going on
-my_system.set_logging_level("on")
-
 print(my_system.combForecast.get_forecast_weights("US10").tail(5))
 print(my_system.combForecast.get_forecast_diversification_multiplier("US10").tail(5))
 
@@ -169,8 +166,6 @@
     my_config,
 )
 
-my_system.set_logging_level("on")
-
 print(my_system.portfolio.get_instrument_weights().tail(5))
 print(my_system.portfolio.get_instrument_diversification_multiplier().tail(5))
 

examples/production/example_of_custom_run_system.py

@@ -41,8 +41,6 @@ def production_carry_trend_dynamic_system(
     base_currency: str = arg_not_supplied,
 ) -> System:
 
-    log_level = "on"
-
     sim_data = get_sim_data_object_for_production(data)
     config = Config(config_filename)
 
@@ -56,8 +54,6 @@ def production_carry_trend_dynamic_system(
     system = futures_system(data=sim_data, config=config)
     system._log = log
 
-    system.set_logging_level(log_level)
-
     return system
 
 
@@ -96,6 +92,5 @@ def futures_system(data, config):
         data,
         config,
     )
-    system.set_logging_level("on")
 
     return system

sysbrokers/IB/client/ib_orders_client.py

@@ -1,3 +1,4 @@
+from ib_insync import TagValue
 from ib_insync.order import (
     MarketOrder as ibMarketOrder,
     LimitOrder as ibLimitOrder,
@@ -25,6 +26,7 @@
     snap_mkt_type,
     snap_mid_type,
     snap_prim_type,
+    adaptive_mkt_type,
 )
 
 from sysobjects.contracts import futuresContract
@@ -170,6 +172,13 @@ def _build_ib_order(
                 totalQuantity=ib_qty,
                 auxPrice=0.0,
             )
+        elif order_type is adaptive_mkt_type:
+            # Uses a black-box algo w/ stated aim of balancing execution speed & price
+            # See https://investors.interactivebrokers.com/en/index.php?f=19091
+            ib_order = ibMarketOrder(ib_BS_str, ib_qty)
+            ib_order.algoStrategy = "Adaptive"
+            # Patient is usually pretty fast. Alternatives are Normal and Urgent
+            ib_order.algoParams = [TagValue("adaptivePriority", "Patient")]
         else:
             self.log.critical("Order type %s not recognised!" % order_type)
             return missing_order

sysdata/data_blob.py

@@ -262,7 +262,6 @@ def close(self):
             self.db_ib_broker_client_id.release_clientid(self.ib_conn.client_id())
 
         # No need to explicitly close Mongo connections; handled by Python garbage collection
-        self.log.close_log_file()
 
     @property
     def ib_conn(self) -> connectionIB:
@@ -331,7 +330,6 @@ def log(self):
         log = getattr(self, "_log", arg_not_supplied)
         if log is arg_not_supplied:
             log = get_logger(self.log_name)
-            log.set_logging_level("on")
             self._log = log
 
         return log

sysexecution/algos/algo_adaptive.py

@@ -0,0 +1,13 @@
+from sysexecution.algos.algo_market import algoMarket
+from sysexecution.orders.broker_orders import brokerOrderType, adaptive_mkt_type
+
+
+class algoAdaptiveMkt(algoMarket):
+
+    # Adaptive market orders should eventually execute, but might take a while
+    # This allows re-using the market order trade management logic, but without timing out
+    ORDER_TIME_OUT = float("inf")
+
+    @property
+    def order_type_to_use(self) -> brokerOrderType:
+        return adaptive_mkt_type

sysexecution/algos/algo_market.py

@@ -14,9 +14,6 @@
 from sysexecution.order_stacks.broker_order_stack import orderWithControls
 from sysexecution.orders.broker_orders import market_order_type, brokerOrderType
 
-SIZE_LIMIT = 1
-ORDER_TIME_OUT = 600
-
 
 class algoMarket(Algo):
     """
@@ -25,6 +22,9 @@ class algoMarket(Algo):
 
     """
 
+    SIZE_LIMIT = 1
+    ORDER_TIME_OUT = 600
+
     def submit_trade(self) -> orderWithControls:
         broker_order_with_controls = self.prepare_and_submit_trade()
         if broker_order_with_controls is missing_order:
@@ -52,7 +52,7 @@ def prepare_and_submit_trade(self):
             cut_down_contract_order = copy(contract_order)
         else:
             cut_down_contract_order = contract_order.reduce_trade_size_proportionally_so_smallest_leg_is_max_size(
-                SIZE_LIMIT
+                self.SIZE_LIMIT
             )
 
         if cut_down_contract_order.trade != contract_order.trade:
@@ -94,7 +94,8 @@ def manage_live_trade(
 
             is_order_completed = broker_order_with_controls.completed()
             is_order_timeout = (
-                broker_order_with_controls.seconds_since_submission() > ORDER_TIME_OUT
+                broker_order_with_controls.seconds_since_submission()
+                > self.ORDER_TIME_OUT
             )
             is_order_cancelled = (
                 data_broker.check_order_is_cancelled_given_control_object(

sysexecution/orders/broker_orders.py

@@ -32,7 +32,15 @@
 
 class brokerOrderType(orderType):
     def allowed_types(self):
-        return ["market", "limit", "balance_trade", "snap_mkt", "snap_mid", "snap_prim"]
+        return [
+            "market",
+            "limit",
+            "balance_trade",
+            "snap_mkt",
+            "snap_mid",
+            "snap_prim",
+            "adaptive_mkt",
+        ]
 
 
 market_order_type = brokerOrderType("market")
@@ -45,6 +53,7 @@ def allowed_types(self):
 snap_mkt_type = brokerOrderType("snap_mkt")
 snap_mid_type = brokerOrderType("snap_mid")
 snap_prim_type = brokerOrderType("snap_prim")
+adaptive_mkt_type = brokerOrderType("adaptive_mkt")
 
 
 class brokerOrder(Order):

syslogging/adapter.py

@@ -12,10 +12,7 @@ class DynamicAttributeLogger(logging.LoggerAdapter):
     # TODO data_blob.update_log
     # TODO data.update_log(contract_object.specific_log(data.log))
     # TODO data_blob._get_specific_logger
-    # TODO self.log.close_log_file()
     # TODO log_with_attributes
-    # TODO log_level = "on"
-    # TODO system.set_logging_level(log_level)
 
     """
 
@@ -102,27 +99,6 @@ def setup_empty_except_keep_type(self):
             attributes = {}
         return DynamicAttributeLogger(logging.getLogger(self.name), attributes)
 
-    def set_logging_level(self, new_log_level):
-        warnings.warn(
-            "The 'set_logging_level' function is deprecated;"
-            "use setLoggingLevel() instead. Or, better still, set log level in config",
-            DeprecationWarning,
-            2,
-        )
-        if new_log_level == "on":
-            self.logger.setLevel(logging.DEBUG)
-        elif new_log_level == "off":
-            self.logger.setLevel(logging.NOTSET)
-        else:
-            self.logger.setLevel(new_log_level)
-
-    def close_log_file(self):
-        warnings.warn(
-            "The 'close_log_file' function is deprecated, and does nothing anyway",
-            DeprecationWarning,
-            2,
-        )
-
     def _check_attributes(self, attributes: dict):
         if attributes:
             bad_attributes = get_list_of_disallowed_attributes(attributes)

syslogging/tests/logging_tests.py

@@ -94,12 +94,6 @@ def test_label_bad(self):
         with pytest.raises(Exception):
             logger.label(stage="left", foo="bar")
 
-    def test_set_logging_level(self):
-        logger = get_logger("Set_Level")
-        assert logger.getEffectiveLevel() == logging.DEBUG
-        logger.set_logging_level(logging.INFO)
-        assert logger.getEffectiveLevel() == 20
-
     def test_setup_empty_with(self):
         setup_with = get_logger("Setup_With", {"type": "foo", "stage": "one"})
         assert setup_with.extra["type"] == "foo"