Move Portfolio down to Actor

nautechsystems · Dec 22, 2023 · f0370a7 · f0370a7
1 parent 4a638b0
commit f0370a7
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Showing 30 changed files with 181 additions and 25 deletions.
diff --git a/nautilus_trader/adapters/sandbox/execution.py b/nautilus_trader/adapters/sandbox/execution.py
@@ -50,6 +50,7 @@
 from nautilus_trader.model.objects import AccountBalance
 from nautilus_trader.model.objects import Currency
 from nautilus_trader.model.objects import Money
+from nautilus_trader.portfolio.base import PortfolioFacade
 
 
 class SandboxExecutionClient(LiveExecutionClient):
@@ -60,6 +61,8 @@ class SandboxExecutionClient(LiveExecutionClient):
     ----------
     loop : asyncio.AbstractEventLoop
         The event loop for the client.
+    portfolio : PortfolioFacade
+        The read-only portfolio for the client.
     msgbus : MessageBus
         The message bus for the client.
     cache : Cache
@@ -76,6 +79,7 @@ class SandboxExecutionClient(LiveExecutionClient):
     def __init__(
         self,
         loop: asyncio.AbstractEventLoop,
+        portfolio: PortfolioFacade,
         msgbus: MessageBus,
         cache: Cache,
         clock: LiveClock,
@@ -116,6 +120,7 @@ def __init__(
             leverages={},
             instruments=self.INSTRUMENTS,
             modules=[],
+            portfolio=portfolio,
             msgbus=self._msgbus,
             cache=cache,
             fill_model=FillModel(),

diff --git a/nautilus_trader/adapters/sandbox/factory.py b/nautilus_trader/adapters/sandbox/factory.py
@@ -22,6 +22,7 @@
 from nautilus_trader.common.component import MessageBus
 from nautilus_trader.common.logging import Logger
 from nautilus_trader.live.factories import LiveExecClientFactory
+from nautilus_trader.portfolio import PortfolioFacade
 
 
 class SandboxLiveExecClientFactory(LiveExecClientFactory):
@@ -34,6 +35,7 @@ def create(  # type: ignore
         loop: asyncio.AbstractEventLoop,
         name: str,
         config: SandboxExecutionClientConfig,
+        portfolio: PortfolioFacade,
         msgbus: MessageBus,
         cache: Cache,
         clock: LiveClock,
@@ -50,6 +52,8 @@ def create(  # type: ignore
             The client name.
         config : dict[str, object]
             The configuration for the client.
+        portfolio : PortfolioFacade
+            The read-only portfolio for the client.
         msgbus : MessageBus
             The message bus for the client.
         cache : Cache
@@ -67,6 +71,7 @@ def create(  # type: ignore
         exec_client = SandboxExecutionClient(
             loop=loop,
             clock=clock,
+            portfolio=portfolio,
             msgbus=msgbus,
             cache=cache,
             logger=logger,

diff --git a/nautilus_trader/backtest/engine.pyx b/nautilus_trader/backtest/engine.pyx
@@ -447,6 +447,7 @@ cdef class BacktestEngine:
             leverages=leverages or {},
             instruments=[],
             modules=modules,
+            portfolio=self.kernel.portfolio,
             msgbus=self.kernel.msgbus,
             cache=self.kernel.cache,
             fill_model=fill_model,

diff --git a/nautilus_trader/backtest/exchange.pyx b/nautilus_trader/backtest/exchange.pyx
@@ -58,6 +58,7 @@ from nautilus_trader.model.objects cimport AccountBalance
 from nautilus_trader.model.objects cimport Money
 from nautilus_trader.model.objects cimport Price
 from nautilus_trader.model.orders.base cimport Order
+from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 
 cdef class SimulatedExchange:
@@ -80,6 +81,8 @@ cdef class SimulatedExchange:
         The account default leverage (for margin accounts).
     leverages : dict[InstrumentId, Decimal]
         The instrument specific leverage configuration (for margin accounts).
+    portfolio : PortfolioFacade
+        The read-only portfolio for the exchange.
     msgbus : MessageBus
         The message bus for the exchange.
     cache : CacheFacade
@@ -139,6 +142,7 @@ cdef class SimulatedExchange:
         leverages not None: dict[InstrumentId, Decimal],
         list instruments not None,
         list modules not None,
+        PortfolioFacade portfolio not None,
         MessageBus msgbus not None,
         CacheFacade cache not None,
         TestClock clock not None,
@@ -204,6 +208,7 @@ cdef class SimulatedExchange:
             Condition.not_in(module, self.modules, "module", "modules")
             module.register_venue(self)
             module.register_base(
+                portfolio=portfolio,
                 msgbus=msgbus,
                 cache=cache,
                 clock=clock,

diff --git a/nautilus_trader/common/actor.pxd b/nautilus_trader/common/actor.pxd
@@ -48,6 +48,7 @@ from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.instruments.synthetic cimport SyntheticInstrument
+from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 
 cdef class Actor(Component):
@@ -60,6 +61,8 @@ cdef class Actor(Component):
     cdef dict _indicators_for_trades
     cdef dict _indicators_for_bars
 
+    cdef readonly PortfolioFacade portfolio
+    """The read-only portfolio for the actor.\n\n:returns: `PortfolioFacade`"""
     cdef readonly config
     """The actors configuration.\n\n:returns: `NautilusConfig`"""
     cdef readonly Clock clock
@@ -102,6 +105,7 @@ cdef class Actor(Component):
 
     cpdef void register_base(
         self,
+        PortfolioFacade portfolio,
         MessageBus msgbus,
         CacheFacade cache,
         Clock clock,

diff --git a/nautilus_trader/common/actor.pyx b/nautilus_trader/common/actor.pyx
@@ -77,6 +77,7 @@ from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instruments.base cimport Instrument
 from nautilus_trader.model.instruments.synthetic cimport SyntheticInstrument
+from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 
 cdef class Actor(Component):
@@ -546,6 +547,7 @@ cdef class Actor(Component):
 
     cpdef void register_base(
         self,
+        PortfolioFacade portfolio,
         MessageBus msgbus,
         CacheFacade cache,
         Clock clock,
@@ -556,6 +558,8 @@ cdef class Actor(Component):
 
         Parameters
         ----------
+        portfolio : PortfolioFacade
+            The read-only portfolio for the actor.
         msgbus : MessageBus
             The message bus for the actor.
         cache : CacheFacade
@@ -570,6 +574,7 @@ cdef class Actor(Component):
         System method (not intended to be called by user code).
 
         """
+        Condition.not_none(portfolio, "portfolio")
         Condition.not_none(msgbus, "msgbus")
         Condition.not_none(cache, "cache")
         Condition.not_none(clock, "clock")
@@ -580,6 +585,7 @@ cdef class Actor(Component):
         self._change_logger(logger)
         self._change_msgbus(msgbus)  # The trader ID is assigned here
 
+        self.portfolio = portfolio  # Assigned as PortfolioFacade
         self.msgbus = msgbus
         self.cache = cache
         self.clock = self._clock

diff --git a/nautilus_trader/execution/algorithm.pxd b/nautilus_trader/execution/algorithm.pxd
@@ -71,9 +71,6 @@ cdef class ExecAlgorithm(Actor):
     cdef dict _exec_spawn_ids
     cdef set _subscribed_strategies
 
-    cdef readonly PortfolioFacade portfolio
-    """The read-only portfolio for the strategy.\n\n:returns: `PortfolioFacade`"""
-
 # -- REGISTRATION ---------------------------------------------------------------------------------
 
     cpdef void register(

diff --git a/nautilus_trader/execution/algorithm.pyx b/nautilus_trader/execution/algorithm.pyx
@@ -184,14 +184,13 @@ cdef class ExecAlgorithm(Actor):
         Condition.not_none(logger, "logger")
 
         self.register_base(
+            portfolio=portfolio,
             msgbus=msgbus,
             cache=cache,
             clock=clock,
             logger=logger,
         )
 
-        self.portfolio = portfolio
-
         # Register endpoints
         self._msgbus.register(endpoint=f"{self.id}.execute", handler=self.execute)
 

diff --git a/nautilus_trader/execution/emulator.pyx b/nautilus_trader/execution/emulator.pyx
@@ -72,6 +72,7 @@ from nautilus_trader.model.objects cimport Quantity
 from nautilus_trader.model.orders.base cimport Order
 from nautilus_trader.model.orders.limit cimport LimitOrder
 from nautilus_trader.model.orders.market cimport MarketOrder
+from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 
 cdef set SUPPORTED_TRIGGERS = {TriggerType.DEFAULT, TriggerType.BID_ASK, TriggerType.LAST_TRADE}
@@ -83,8 +84,8 @@ cdef class OrderEmulator(Actor):
 
     Parameters
     ----------
-    trader_id : TraderId
-        The trader ID for the order emulator.
+    portfolio : PortfolioFacade
+        The read-only portfolio for the order emulator.
     msgbus : MessageBus
         The message bus for the order emulator.
     cache : Cache
@@ -100,7 +101,7 @@ cdef class OrderEmulator(Actor):
 
     def __init__(
         self,
-        TraderId trader_id not None,
+        PortfolioFacade portfolio,
         MessageBus msgbus not None,
         Cache cache not None,
         Clock clock not None,
@@ -113,6 +114,7 @@ cdef class OrderEmulator(Actor):
         super().__init__()
 
         self.register_base(
+            portfolio=portfolio,
             msgbus=msgbus,
             cache=cache,
             clock=clock,

diff --git a/nautilus_trader/system/kernel.py b/nautilus_trader/system/kernel.py
@@ -381,7 +381,7 @@ def __init__(  # noqa (too complex)
             self.exec_engine.load_cache()
 
         self._emulator = OrderEmulator(
-            trader_id=self._trader_id,
+            portfolio=self._portfolio,
             msgbus=self._msgbus,
             cache=self._cache,
             clock=self._clock,
@@ -419,8 +419,9 @@ def __init__(  # noqa (too complex)
                 trader=self._trader,
             )
             self._controller.register_base(
-                cache=self._cache,
+                portfolio=self._portfolio,
                 msgbus=self._msgbus,
+                cache=self._cache,
                 clock=self._clock,
                 logger=self._logger,
             )

diff --git a/nautilus_trader/trading/strategy.pxd b/nautilus_trader/trading/strategy.pxd
@@ -70,8 +70,6 @@ from nautilus_trader.portfolio.base cimport PortfolioFacade
 cdef class Strategy(Actor):
     cdef OrderManager _manager
 
-    cdef readonly PortfolioFacade portfolio
-    """The read-only portfolio for the strategy.\n\n:returns: `PortfolioFacade`"""
     cdef readonly OrderFactory order_factory
     """The order factory for the strategy.\n\n:returns: `OrderFactory`"""
     cdef readonly str order_id_tag

diff --git a/nautilus_trader/trading/strategy.pyx b/nautilus_trader/trading/strategy.pyx
@@ -104,6 +104,7 @@ from nautilus_trader.model.orders.base cimport Order
 from nautilus_trader.model.orders.list cimport OrderList
 from nautilus_trader.model.orders.market cimport MarketOrder
 from nautilus_trader.model.position cimport Position
+from nautilus_trader.portfolio.base cimport PortfolioFacade
 
 
 cdef class Strategy(Actor):
@@ -277,14 +278,13 @@ cdef class Strategy(Actor):
         Condition.not_none(logger, "logger")
 
         self.register_base(
+            portfolio=portfolio,
             msgbus=msgbus,
             cache=cache,
             clock=clock,
             logger=logger,
         )
 
-        self.portfolio = portfolio  # Assigned as PortfolioFacade
-
         self.order_factory = OrderFactory(
             trader_id=self.trader_id,
             strategy_id=self.id,

diff --git a/nautilus_trader/trading/trader.py b/nautilus_trader/trading/trader.py
@@ -319,6 +319,7 @@ def add_actor(self, actor: Actor) -> None:
 
         # Wire component into trader
         actor.register_base(
+            portfolio=self._portfolio,
             msgbus=self._msgbus,
             cache=self._cache,
             clock=clock,  # Clock per component

diff --git a/tests/integration_tests/adapters/sandbox/conftest.py b/tests/integration_tests/adapters/sandbox/conftest.py
@@ -32,6 +32,7 @@ def venue() -> Venue:
 def exec_client(
     instrument,
     event_loop,
+    portfolio,
     msgbus,
     cache,
     clock,
@@ -41,6 +42,7 @@ def exec_client(
     SandboxExecutionClient.INSTRUMENTS = [instrument]
     return SandboxExecutionClient(
         loop=event_loop,
+        portfolio=portfolio,
         msgbus=msgbus,
         cache=cache,
         clock=clock,

diff --git a/tests/integration_tests/infrastructure/test_cache_database.py b/tests/integration_tests/infrastructure/test_cache_database.py
@@ -487,6 +487,7 @@ async def test_update_actor(self):
         # Arrange
         actor = MockActor()
         actor.register_base(
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,
@@ -1018,6 +1019,7 @@ async def test_delete_actor(self):
         # Arrange, Act
         actor = MockActor()
         actor.register_base(
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,

diff --git a/tests/unit_tests/backtest/test_exchange.py b/tests/unit_tests/backtest/test_exchange.py
@@ -141,6 +141,7 @@ def setup(self) -> None:
             instruments=[USDJPY_SIM],
             modules=[],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,
@@ -2629,6 +2630,7 @@ def test_adjust_account_when_account_frozen_does_not_change_balance(self) -> Non
             instruments=[USDJPY_SIM],
             modules=[],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,
@@ -2938,6 +2940,7 @@ def reset(self):
             instruments=[USDJPY_SIM],
             modules=[self.module],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,

diff --git a/tests/unit_tests/backtest/test_exchange_bitmex.py b/tests/unit_tests/backtest/test_exchange_bitmex.py
@@ -105,6 +105,7 @@ def setup(self):
             starting_balances=[Money(20, BTC)],
             default_leverage=Decimal(50),
             leverages={},
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             instruments=[XBTUSD_BITMEX],

diff --git a/tests/unit_tests/backtest/test_exchange_bracket_if_touched_entries.py b/tests/unit_tests/backtest/test_exchange_bracket_if_touched_entries.py
@@ -103,7 +103,7 @@ def setup(self):
         )
 
         self.emulator = OrderEmulator(
-            trader_id=self.trader_id,
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,
@@ -121,6 +121,7 @@ def setup(self):
             instruments=[ETHUSDT_PERP_BINANCE],
             modules=[],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,

diff --git a/tests/unit_tests/backtest/test_exchange_contingencies.py b/tests/unit_tests/backtest/test_exchange_contingencies.py
@@ -109,6 +109,7 @@ def setup(self):
             instruments=[ETHUSDT_PERP_BINANCE],
             modules=[],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,

diff --git a/tests/unit_tests/backtest/test_exchange_l2_mbp.py b/tests/unit_tests/backtest/test_exchange_l2_mbp.py
@@ -115,6 +115,7 @@ def setup(self):
             instruments=[USDJPY_SIM],
             modules=[],
             fill_model=FillModel(),
+            portfolio=self.portfolio,
             msgbus=self.msgbus,
             cache=self.cache,
             clock=self.clock,