Я пытаюсь реализовать имитацию рынка для алгоритмической торговли, и я нашел этот код на github https://github.com/DrAshBooth/PyLOB. Проблема в том, что я запускаю свой код для небольшого окна, например, 2 дня, всев порядке, и я получаю ожидаемые результаты.Но когда я увеличиваю окно до 20 дней и более, я получаю «RuntimeError: deque mutated во время итерации».Я проверил свой код, но я никогда не нашел ничего, что могло бы поменять deque во время моих пробежек.Ниже приведена часть кода, которая выдает ошибку:
self.tape = deque(maxlen=None)
.
.
.
def avg_volume_traded(self):
if self.tape != None and len(self.tape) > 0:
num = 0
total_volume = 0
for entry in self.tape:
total_volume = entry['qty'] + total_volume
num += 1
if num != 0 and total_volume != None:
return total_volume, num
else:
return None, None
Это фактическое сообщение об ошибке:
Exception in thread Thread-10986:
Traceback (most recent call last):
File "/home/hamid/anaconda3/lib/python3.6/threading.py", line 916, in _bootstrap_inner
self.run()
File "/home/hamid/anaconda3/lib/python3.6/threading.py", line 864, in run
self._target(*self._args, **self._kwargs)
File "exchange_envirnment.py", line 60, in _doit
self.func(self.args[0], self.args[1])
File "/home/hamid/dukto/src2/src_new/traders/market_maker_trader.py", line 46, in trade
self.type_three(lob_obj, reporter_obj)
File "/home/hamid/dukto/src2/src_new/traders/market_maker_trader.py", line 285, in type_three
max_volume = lob_obj.max_volume_traded()
File "/home/hamid/dukto/src2/src_new/PyLOB/orderbook.py", line 395, in max_volume_traded
for entry in self.tape:
RuntimeError: deque mutated during iteration
Это основная часть, которая использует многопоточность (классPeriodic и day_period):
class Periodic(object):
def __init__(self, object, compression_factor, args=[], kwargs={}):
self.compression_factor = compression_factor
self.object = object
self.func = object.trade
self.args = args
self.kwargs = kwargs
self.seppuku = Event()
def start(self):
self.seppuku.clear()
self.proc = Thread(target=self._doit)
self.proc.start()
def stop(self):
self.seppuku.set()
self.proc.join()
def _doit(self):
while True:
self.seppuku.wait(self.object.interval / self.compression_factor)
if self.seppuku.is_set():
break
self.func(self.args[0], self.args[1])
class day_period(object):
def __init__(self, object, compression_factor, args=[], kwargs={}):
self.period = (3600 * 4) / compression_factor
self.func = object.run
self.args = args
self.kwargs = kwargs
self.seppuku = Event()
def start(self):
self.seppuku.clear()
self.proc = Thread(target=self._doit)
self.proc.start()
def stop(self):
self.seppuku.set()
self.proc.join()
def _doit(self):
while True:
self.seppuku.wait(self.period)
if self.seppuku.is_set():
break
self.func(self.args)
class intra_day_traders_mng(object):
def __init__(self, simulation_config):
self.config = simulation_config
self.agents_list = []
self.agents_dict = {}
self.p_list = []
self.compression_factor = simulation_config['simulation_config']['compression_factor']
self.trader_creator()
self.first_time = True
self.day_of_simulation = simulation_config['simulation_config']['day_number']
def trader_creator(self):
for agent_name in self.config['agents']['intra_day']:
for config in self.config['agents']['intra_day'][agent_name]:
if agent_name == 'nonclassified_trader':
for k in range(config['n_traders']):
self.agents_list.append(NON_CLASSIFIED_TRADER_INTRADAY(config))
time.sleep(.1)
for agent_name in self.config['agents']['daily']:
for config in self.config['agents']['daily'][agent_name]:
if agent_name == 'nonclassified_trader':
for k in range(config['n_traders']):
self.agents_list.append(NON_CLASSIFIED_TRADER_DAILY(config))
time.sleep(0.1)
if agent_name == "market_maker_trader":
for k in range(config['n_traders']):
self.agents_list.append(MARKET_MAKER_TRADER_DAILY(config))
time.sleep(0.1)
for agent in self.agents_list:
self.agents_dict.update({agent.id: agent})
for agent in self.agents_list:
agent.set_trader_dict(self.agents_dict)
def random_initial(self):
agents_random_list = random.choices(self.agents_list, k=len(self.agents_list))
return agents_random_list
def run(self, args):
lob = args[0]
reporter_obj = args[1]
# when the trader running for first time
if self.first_time == True:
lob.time_obj.reset()
agents_random_list = self.random_initial()
for agent in agents_random_list:
self.p_list.append(Periodic(agent, self.compression_factor, args=(lob,reporter_obj)))
self.p_list[-1].start()
time.sleep(.1)
self.first_time = False
else:
for proc in self.p_list:
proc.stop()
for agent in self.agents_list:
agent.reset_trader(lob)
time_series = lob.ohcl()
if len(time_series) == self.day_of_simulation :
out = {'out':time_series}
with open('output.json', 'w') as outfile:
json.dump(out, outfile)
reporter_obj.save_as_csv()
trade_summary = lob.trade_summary()
with open('trade_report.csv', 'w') as csvFile:
writer = csv.writer(csvFile)
writer.writerows(trade_summary)
csvFile.close()
sys.exit()
print("***********************************************************************************")
print("day is:",lob.time_obj.day)
lob.time_obj.reset()
for proc in self.p_list:
proc.start()
time.sleep(.1)
if __name__ == '__main__':
with open('config.json', 'r') as f:
simulation_config = json.load(f)
intra_day_mng_obj = intra_day_traders_mng(simulation_config)
reporter_obj = REPORTER()
# for synchronization of time
time_obj = TIME_MANAGE(compression_factor=simulation_config['simulation_config']['compression_factor'])
lob = OrderBook(time_obj, tick_size=simulation_config['simulation_config']['tickSize'])
day_period(intra_day_mng_obj, simulation_config['simulation_config']['compression_factor'], args=(lob,reporter_obj)).start()
И, наконец, «Книга заказов», которая определяет «self.tape» в следующем коде:
class OrderBook():
def __init__(self, time_obj, tick_size=0.0001):
self.tape = deque(maxlen=None) # Index [0] is most recent trade
self.bids = OrderTree()
self.asks = OrderTree()
self.lastTick = None
self.lastTimestamp = 0
self.tickSize = tick_size
self.time = 0
self.nextQuoteID = 0
self.time_series = []
self.time_obj = time_obj
def clipPrice(self, price):
return round(price, int(math.log10(1 / self.tickSize)))
def updateTime(self):
self.time = int(self.time_obj.now()['time'])
def processOrder(self, quote, fromData, verbose):
orderType = quote['type']
orderInBook = None
if fromData:
self.time = quote['timestamp']
else:
self.updateTime()
quote['timestamp'] = self.time
if quote['qty'] <= 0:
sys.exit('processLimitOrder() given order of qty <= 0')
if not fromData: self.nextQuoteID += 1
if orderType == 'market':
trades = self.processMarketOrder(quote, verbose)
elif orderType == 'limit':
quote['price'] = self.clipPrice(quote['price'])
trades, orderInBook = self.processLimitOrder(quote, fromData, verbose)
else:
sys.exit("processOrder() given neither 'market' nor 'limit'")
return trades, orderInBook
def processOrderList(self, side, orderlist,
qtyStillToTrade, quote, verbose):
trades = []
qtyToTrade = qtyStillToTrade
while len(orderlist) > 0 and qtyToTrade > 0:
headOrder = orderlist.getHeadOrder()
tradedPrice = headOrder.price
counterparty = headOrder.tid
if qtyToTrade < headOrder.qty:
tradedQty = qtyToTrade
newBookQty = headOrder.qty - qtyToTrade
headOrder.updateQty(newBookQty, headOrder.timestamp)
qtyToTrade = 0
elif qtyToTrade == headOrder.qty:
tradedQty = qtyToTrade
if side == 'bid':
self.bids.removeOrderById(headOrder.idNum)
else:
self.asks.removeOrderById(headOrder.idNum)
qtyToTrade = 0
else:
tradedQty = headOrder.qty
if side == 'bid':
self.bids.removeOrderById(headOrder.idNum)
else:
self.asks.removeOrderById(headOrder.idNum)
qtyToTrade -= tradedQty
if verbose: print('>>> TRADE \nt=%d $%f n=%d p1=%d p2=%d' %
(self.time, tradedPrice, tradedQty,
counterparty, quote['tid']))
transactionRecord = {'timestamp': self.time,
'price': tradedPrice,
'qty': tradedQty,
'time': self.time,
'day': self.time_obj.now()['day']}
if side == 'bid':
transactionRecord['party1'] = [counterparty,
'bid',
headOrder.idNum]
transactionRecord['party2'] = [quote['tid'],
'ask',
None]
else:
transactionRecord['party1'] = [counterparty,
'ask',
headOrder.idNum]
transactionRecord['party2'] = [quote['tid'],
'bid',
None]
self.tape.append(transactionRecord)
trades.append(transactionRecord)
return qtyToTrade, trades
def processMarketOrder(self, quote, verbose):
trades = []
qtyToTrade = quote['qty']
side = quote['side']
if side == 'bid':
while qtyToTrade > 0 and self.asks:
bestPriceAsks = self.asks.minPriceList()
qtyToTrade, newTrades = self.processOrderList('ask',
bestPriceAsks,
qtyToTrade,
quote, verbose)
trades += newTrades
elif side == 'ask':
while qtyToTrade > 0 and self.bids:
bestPriceBids = self.bids.maxPriceList()
qtyToTrade, newTrades = self.processOrderList('bid',
bestPriceBids,
qtyToTrade,
quote, verbose)
trades += newTrades
else:
sys.exit('processMarketOrder() received neither "bid" nor "ask"')
return trades
def processLimitOrder(self, quote, fromData, verbose):
orderInBook = None
trades = []
qtyToTrade = quote['qty']
side = quote['side']
price = quote['price']
if side == 'bid':
while (self.asks and
price >= self.asks.minPrice() and
qtyToTrade > 0):
bestPriceAsks = self.asks.minPriceList()
qtyToTrade, newTrades = self.processOrderList('ask',
bestPriceAsks,
qtyToTrade,
quote, verbose)
trades += newTrades
if qtyToTrade > 0:
if not fromData:
quote['idNum'] = self.nextQuoteID
quote['qty'] = qtyToTrade
self.bids.insertOrder(quote)
orderInBook = quote
elif side == 'ask':
while (self.bids and
price <= self.bids.maxPrice() and
qtyToTrade > 0):
bestPriceBids = self.bids.maxPriceList()
qtyToTrade, newTrades = self.processOrderList('bid',
bestPriceBids,
qtyToTrade,
quote, verbose)
trades += newTrades
if qtyToTrade > 0:
if not fromData:
quote['idNum'] = self.nextQuoteID
quote['qty'] = qtyToTrade
self.asks.insertOrder(quote)
orderInBook = quote
else:
sys.exit('processLimitOrder() given neither bid nor ask')
return trades, orderInBook
def avg_volume_traded(self):
if self.tape != None and len(self.tape) > 0:
num = 0
total_volume = 0
for entry in self.tape:
total_volume = entry['qty'] + total_volume
num += 1
if num != 0 and total_volume != None:
return total_volume, num
else:
return None, None