Cleanup

robocom-zero.cabal

@@ -23,7 +23,6 @@ library
                      , ATrade.RoboCom.Utils
                      , ATrade.Quotes
                      , ATrade.Quotes.Finam
-                     , ATrade.Quotes.HAP
                      , ATrade.Quotes.QHP
                      , ATrade.Quotes.QTIS
                      , ATrade.Driver.Real

src/ATrade/Driver/Backtest.hs

@@ -39,7 +39,6 @@ import           Data.HashMap.Strict      (lookup)
 import           Data.List                (partition)
 import           Data.List.Split          (splitOn)
 import qualified Data.Map.Strict          as M
-import           Data.Semigroup           ((<>))
 import           Data.Sequence            (Seq (..), (<|), (|>))
 import qualified Data.Sequence            as Seq
 import           Data.STRef               (newSTRef, readSTRef, writeSTRef)

src/ATrade/Driver/Real.hs

@@ -33,7 +33,6 @@ import Control.Exception.Safe
 import Control.Lens hiding (Context, (.=))
 import qualified Data.ByteString as BS
 import qualified Data.ByteString.Lazy as BL
-import qualified Data.List as L
 import qualified Data.Map as M
 import qualified Data.Text as T
 import Data.Text.Encoding
@@ -53,9 +52,7 @@ import ATrade.Driver.Real.QuoteSourceThread
 import ATrade.Driver.Types (Strategy(..), StrategyInstanceParams(..), InitializationCallback)
 import ATrade.RoboCom.Types (BarSeries(..), Ticker(..), Timeframe(..))
 import ATrade.Exceptions
-import ATrade.Quotes.Finam as QF
 import ATrade.Quotes.QHP as QQ
-import ATrade.Quotes.HAP as QH
 import System.ZMQ4 hiding (Event(..))
 import GHC.Generics
 
@@ -264,19 +261,6 @@ robotMain dataDownloadDelta defaultState initCallback callback = do
 
   debugM "main" "Starting strategy driver"
   withContext (\ctx -> do
-    infoM "main" "Loading history"
-    -- Load tickers data and create BarAggregator from them
-{-
-    historyBars <-
-      if 
-        | (strategyHistoryProviderType . strategyInstanceParams) strategy == "finam" -> 
-            M.fromList <$> mapM (loadTickerFromFinam (downloadDelta strategy)) (tickers . strategyInstanceParams $ strategy)
-        | (strategyHistoryProviderType . strategyInstanceParams) strategy == "hap" ->
-            M.fromList <$> mapM (loadTickerFromHAP ctx ((strategyHistoryProvider . strategyInstanceParams) strategy) (downloadDelta strategy)) (tickers . strategyInstanceParams $ strategy)
-        | otherwise ->
-            M.fromList <$> mapM (loadTickerFromQHP ctx ((strategyHistoryProvider . strategyInstanceParams) strategy) (downloadDelta strategy)) (tickers . strategyInstanceParams $ strategy)
-
--}
     agg <- newIORef $ mkAggregatorFromBars M.empty [(hmsToDiffTime 3 50 0, hmsToDiffTime 21 10 0)]
     now <- getCurrentTime >>= newIORef
 
@@ -297,9 +281,9 @@ robotMain dataDownloadDelta defaultState initCallback callback = do
     tickFilter :: Tick -> Bool
     tickFilter tick =
       let classCode = T.takeWhile (/= '#') (security tick) in
-          if
+          if classCode == "SPBFUT" || classCode == "SPBOPT"
-             | classCode == "SPBFUT" || classCode == "SPBOPT" -> any (inInterval . utctDayTime . timestamp $ tick) fortsIntervals
+            then any (inInterval . utctDayTime . timestamp $ tick) fortsIntervals
-             | otherwise -> any (inInterval . utctDayTime . timestamp $ tick) secIntervals
+            else any (inInterval . utctDayTime . timestamp $ tick) secIntervals
 
     fortsIntervals = [(fromHMS 4 0 0, fromHMS 11 0 0), (fromHMS 11 5 0, fromHMS 15 45 0), (fromHMS 16 0 0, fromHMS 20 50 0)]
     secIntervals = [(fromHMS 6 50 0, fromHMS 15 51 0)]

src/ATrade/Quotes/HAP.hs

@@ -1,117 +0,0 @@
-{-# LANGUAGE OverloadedStrings #-}
-
-module ATrade.Quotes.HAP (
-  getQuotes,
-  Period(..),
-  RequestParams(..)
-  ) where
-
-import           ATrade.Types
-import           Data.Aeson
-import           Data.Binary.Get
-import qualified Data.ByteString.Lazy  as BL
-import qualified Data.Text             as T
-import           Data.Time.Clock
-import           Data.Time.Clock.POSIX
-import           System.Log.Logger
-import           System.ZMQ4
-
-data Period =
-  Period1Min  |
-  Period5Min  |
-  Period15Min |
-  Period30Min |
-  PeriodHour  |
-  PeriodDay   |
-  PeriodWeek  |
-  PeriodMonth
-  deriving (Eq)
-
-instance Show Period where
-  show Period1Min  = "M1"
-  show Period5Min  = "M5"
-  show Period15Min = "M15"
-  show Period30Min = "M30"
-  show PeriodHour  = "H1"
-  show PeriodDay   = "D"
-  show PeriodWeek  = "W"
-  show PeriodMonth = "MN"
-
-data RequestParams =
-  RequestParams
-    {
-    endpoint  :: T.Text,
-    ticker    :: T.Text,
-    startDate :: UTCTime,
-    endDate   :: UTCTime,
-    period    :: Period
-    } deriving (Show, Eq)
-
-instance ToJSON RequestParams where
-  toJSON p = object [ "ticker" .= ticker p,
-    "from" .= startDate p,
-    "to" .=  endDate p,
-    "timeframe" .= show (period p) ]
-
-getQuotes :: Context -> RequestParams -> IO [Bar]
-getQuotes ctx params =
-  withSocket ctx Req $ \sock -> do
-    debugM "HAP" $ "Connecting to ep: " ++ show (endpoint params)
-    connect sock $ (T.unpack . endpoint) params
-    send sock [] (BL.toStrict $ encode params { period = Period1Min})
-    response <- receiveMulti sock
-    case response of
-      [header, rest] -> if header == "OK"
-                          then return $ reverse $ resampleBars (period params) $ parseBars (ticker params) $ BL.fromStrict rest
-                          else return []
-      _ -> return []
-  where
-    resampleBars p (firstBar:rest) = resampleBars' (periodToSec p) rest firstBar []
-    resampleBars _ [] = []
-
-    resampleBars' p (bar:bars) currentBar resampled = if barNumber p currentBar == barNumber p bar
-      then resampleBars' p bars (aggregate currentBar bar) resampled
-      else resampleBars' p bars bar (currentBar : resampled)
-    resampleBars' _ [] _ _ = []
-
-    periodToSec Period1Min  = 60
-    periodToSec Period5Min  = 60 * 5
-    periodToSec Period15Min = 60 * 15
-    periodToSec Period30Min = 60 * 30
-    periodToSec PeriodHour  = 60 * 60
-    periodToSec PeriodDay   = 60 * 60 * 24
-    periodToSec PeriodWeek  = 86400 * 7
-    periodToSec PeriodMonth = 86400 * 7 * 4 -- TODO: incorrect, but what can I do?
-
-    barNumber sec bar = truncate (utcTimeToPOSIXSeconds (barTimestamp bar)) `div` sec
-
-    aggregate currentBar newBar = currentBar {
-      barHigh = max (barHigh currentBar) (barHigh newBar),
-      barLow = min (barLow currentBar) (barLow newBar),
-      barClose = barClose newBar,
-      barTimestamp = barTimestamp newBar
-    }
-
-parseBars :: TickerId -> BL.ByteString -> [Bar]
-parseBars tickerId input =
-  case runGetOrFail parseBar input of
-    Left _               -> []
-    Right (rest, _, bar) -> bar : parseBars tickerId rest
-  where
-    parseBar = do
-      rawTimestamp <- realToFrac <$> getWord64le
-      baropen <- getDoublele
-      barhigh <- getDoublele
-      barlow <- getDoublele
-      barclose <- getDoublele
-      barvolume <- getWord64le
-      return Bar
-        {
-          barSecurity = tickerId,
-          barTimestamp = posixSecondsToUTCTime rawTimestamp,
-          barOpen = fromDouble baropen,
-          barHigh = fromDouble barhigh,
-          barLow = fromDouble barlow,
-          barClose = fromDouble barclose,
-          barVolume = toInteger barvolume
-        }