More fine-grained modules to avoid dependency conflicts and allow sma…

…ller artefacts.
neurallayer · Aug 10, 2023 · e88a4b2 · e88a4b2
1 parent b259cdb
commit e88a4b2
Show file tree

Hide file tree

Showing 37 changed files with 254 additions and 119 deletions.
diff --git a/pom.xml b/pom.xml
@@ -55,8 +55,11 @@
         <module>roboquant</module>
         <module>roboquant-ta</module>
         <module>roboquant-jupyter</module>
-        <module>roboquant-extra</module>
-        <module>roboquant-crypto</module>
+        <module>roboquant-alphavantage</module>
+        <module>roboquant-alpaca</module>
+        <module>roboquant-polygon</module>
+        <module>roboquant-xchange</module>
+        <module>roboquant-binance</module>
         <module>roboquant-perf</module>
         <!-- module roboquant-ibkr is part of ibkr profile since it relies on a locally installed library -->
     </modules>

diff --git a/roboquant-alpaca/pom.xml b/roboquant-alpaca/pom.xml
@@ -0,0 +1,66 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<!--
+  ~ Copyright 2020-2023 Neural Layer
+  ~
+  ~ Licensed under the Apache License, Version 2.0 (the "License");
+  ~ you may not use this file except in compliance with the License.
+  ~ You may obtain a copy of the License at
+  ~
+  ~     https://www.apache.org/licenses/LICENSE-2.0
+  ~
+  ~ Unless required by applicable law or agreed to in writing, software
+  ~ distributed under the License is distributed on an "AS IS" BASIS,
+  ~ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+  ~ See the License for the specific language governing permissions and
+  ~ limitations under the License.
+  -->
+
+<project xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
+         xmlns="http://maven.apache.org/POM/4.0.0"
+         xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 https://maven.apache.org/xsd/maven-4.0.0.xsd">
+    <modelVersion>4.0.0</modelVersion>
+    <parent>
+        <artifactId>roboquant-parent</artifactId>
+        <groupId>org.roboquant</groupId>
+        <version>2.0.0-SNAPSHOT</version>
+    </parent>
+
+    <artifactId>roboquant-alpaca</artifactId>
+    <packaging>jar</packaging>
+    <name>roboquant alpaca</name>
+    <description>Alpaca broker and market data for roboquant</description>
+
+    <build>
+        <plugins>
+            <plugin>
+                <groupId>org.jetbrains.kotlin</groupId>
+                <artifactId>kotlin-maven-plugin</artifactId>
+            </plugin>
+        </plugins>
+    </build>
+
+    <dependencies>
+        <dependency>
+            <groupId>org.roboquant</groupId>
+            <artifactId>roboquant</artifactId>
+        </dependency>
+        <dependency>
+            <groupId>net.jacobpeterson</groupId>
+            <artifactId>alpaca-java</artifactId>
+            <version>9.1.4</version>
+        </dependency>
+
+        <!-- Fix issues -->
+        <dependency>
+            <groupId>com.google.code.gson</groupId>
+            <artifactId>gson</artifactId>
+            <version>2.10.1</version>
+        </dependency>
+        <dependency>
+            <groupId>commons-codec</groupId>
+            <artifactId>commons-codec</artifactId>
+            <version>1.15</version>
+        </dependency>
+    </dependencies>
+
+</project>
diff --git a/...ain/kotlin/org/roboquant/alpaca/Alpaca.kt → ...ain/kotlin/org/roboquant/alpaca/Alpaca.kt b/...ain/kotlin/org/roboquant/alpaca/Alpaca.kt → ...ain/kotlin/org/roboquant/alpaca/Alpaca.kt
diff --git a/...tlin/org/roboquant/alpaca/AlpacaBroker.kt → ...tlin/org/roboquant/alpaca/AlpacaBroker.kt b/...tlin/org/roboquant/alpaca/AlpacaBroker.kt → ...tlin/org/roboquant/alpaca/AlpacaBroker.kt
diff --git a/...rg/roboquant/alpaca/AlpacaHistoricFeed.kt → ...rg/roboquant/alpaca/AlpacaHistoricFeed.kt b/...rg/roboquant/alpaca/AlpacaHistoricFeed.kt → ...rg/roboquant/alpaca/AlpacaHistoricFeed.kt
diff --git a/...in/org/roboquant/alpaca/AlpacaLiveFeed.kt → ...in/org/roboquant/alpaca/AlpacaLiveFeed.kt b/...in/org/roboquant/alpaca/AlpacaLiveFeed.kt → ...in/org/roboquant/alpaca/AlpacaLiveFeed.kt
diff --git a/...rg/roboquant/alpaca/AlpacaBrokerTestIT.kt → ...rg/roboquant/alpaca/AlpacaBrokerTestIT.kt b/...rg/roboquant/alpaca/AlpacaBrokerTestIT.kt → ...rg/roboquant/alpaca/AlpacaBrokerTestIT.kt
diff --git a/...oquant/alpaca/AlpacaHistoricFeedTestIT.kt → ...oquant/alpaca/AlpacaHistoricFeedTestIT.kt b/...oquant/alpaca/AlpacaHistoricFeedTestIT.kt → ...oquant/alpaca/AlpacaHistoricFeedTestIT.kt
diff --git a/.../roboquant/alpaca/AlpacaLiveFeedTestIT.kt → .../roboquant/alpaca/AlpacaLiveFeedTestIT.kt b/.../roboquant/alpaca/AlpacaLiveFeedTestIT.kt → .../roboquant/alpaca/AlpacaLiveFeedTestIT.kt
diff --git a/...st/kotlin/org/roboquant/samples/alpaca.kt → ...st/kotlin/org/roboquant/samples/alpaca.kt b/...st/kotlin/org/roboquant/samples/alpaca.kt → ...st/kotlin/org/roboquant/samples/alpaca.kt
@@ -5,7 +5,7 @@
  * you may not use this file except in compliance with the License.
  * You may obtain a copy of the License at
  *
- *     https://www.apache.org/licenses/LICENSE-2.0
+ *      https://www.apache.org/licenses/LICENSE-2.0
  *
  * Unless required by applicable law or agreed to in writing, software
  * distributed under the License is distributed on an "AS IS" BASIS,

diff --git a/roboquant-extra/pom.xml → roboquant-alphavantage/pom.xml b/roboquant-extra/pom.xml → roboquant-alphavantage/pom.xml
@@ -25,7 +25,7 @@
         <version>2.0.0-SNAPSHOT</version>
     </parent>
 
-    <artifactId>roboquant-extra</artifactId>
+    <artifactId>roboquant-alphavantage</artifactId>
     <packaging>jar</packaging>
     <name>roboquant extra</name>
     <description>3rd party integration with brokers and market data providers for roboquant</description>
@@ -49,16 +49,6 @@
             <artifactId>alphavantage-java</artifactId>
             <version>1.6.2</version>
         </dependency>
-        <dependency>
-            <groupId>net.jacobpeterson</groupId>
-            <artifactId>alpaca-java</artifactId>
-            <version>9.1.4</version>
-        </dependency>
-        <dependency>
-            <groupId>com.github.polygon-io</groupId>
-            <artifactId>client-jvm</artifactId>
-            <version>4.2.1</version>
-        </dependency>
 
         <!-- Fix issues -->
         <dependency>

diff --git a/.../alphavantage/AlphaVantageHistoricFeed.kt → .../alphavantage/AlphaVantageHistoricFeed.kt b/.../alphavantage/AlphaVantageHistoricFeed.kt → .../alphavantage/AlphaVantageHistoricFeed.kt
@@ -20,7 +20,6 @@ import com.crazzyghost.alphavantage.AlphaVantage
 import com.crazzyghost.alphavantage.Config
 import com.crazzyghost.alphavantage.parameters.OutputSize
 import com.crazzyghost.alphavantage.timeseries.response.TimeSeriesResponse
-import org.roboquant.alpaca.AlpacaHistoricFeed
 import org.roboquant.common.*
 import org.roboquant.feeds.HistoricPriceFeed
 import org.roboquant.feeds.PriceBar
@@ -64,7 +63,7 @@ class AlphaVantageHistoricFeed(
 ) : HistoricPriceFeed() {
 
     private val subscriptions = mutableMapOf<String, Asset>()
-    private val logger = Logging.getLogger(AlpacaHistoricFeed::class)
+    private val logger = Logging.getLogger(AlphaVantageHistoricFeed::class)
     private val config = AlphaVantageConfig()
 
     init {

diff --git a/...vantage/AlphaVantageHistoricFeedTestIT.kt → ...vantage/AlphaVantageHistoricFeedTestIT.kt b/...vantage/AlphaVantageHistoricFeedTestIT.kt → ...vantage/AlphaVantageHistoricFeedTestIT.kt
diff --git a/roboquant-binance/pom.xml b/roboquant-binance/pom.xml
@@ -0,0 +1,55 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<!--
+  ~ Copyright 2020-2023 Neural Layer
+  ~
+  ~ Licensed under the Apache License, Version 2.0 (the "License");
+  ~ you may not use this file except in compliance with the License.
+  ~ You may obtain a copy of the License at
+  ~
+  ~     https://www.apache.org/licenses/LICENSE-2.0
+  ~
+  ~ Unless required by applicable law or agreed to in writing, software
+  ~ distributed under the License is distributed on an "AS IS" BASIS,
+  ~ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+  ~ See the License for the specific language governing permissions and
+  ~ limitations under the License.
+  -->
+
+<project xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
+         xmlns="http://maven.apache.org/POM/4.0.0"
+         xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 https://maven.apache.org/xsd/maven-4.0.0.xsd">
+    <modelVersion>4.0.0</modelVersion>
+
+    <parent>
+        <artifactId>roboquant-parent</artifactId>
+        <groupId>org.roboquant</groupId>
+        <version>2.0.0-SNAPSHOT</version>
+    </parent>
+
+    <artifactId>roboquant-binance</artifactId>
+    <packaging>jar</packaging>
+    <name>roboquant binance</name>
+    <description>Binance support for roboquant algorithmic trading platform</description>
+
+    <build>
+        <plugins>
+            <plugin>
+                <groupId>org.jetbrains.kotlin</groupId>
+                <artifactId>kotlin-maven-plugin</artifactId>
+            </plugin>
+        </plugins>
+    </build>
+
+    <dependencies>
+        <dependency>
+            <artifactId>roboquant</artifactId>
+            <groupId>org.roboquant</groupId>
+        </dependency>
+        <dependency>
+            <groupId>org.roboquant</groupId>
+            <artifactId>binance-api-client</artifactId>
+            <version>1.0.5</version>
+        </dependency>
+    </dependencies>
+
+</project>
diff --git a/...n/kotlin/org/roboquant/binance/Binance.kt → ...n/kotlin/org/roboquant/binance/Binance.kt b/...n/kotlin/org/roboquant/binance/Binance.kt → ...n/kotlin/org/roboquant/binance/Binance.kt
diff --git a/...in/org/roboquant/binance/BinanceBroker.kt → ...in/org/roboquant/binance/BinanceBroker.kt b/...in/org/roboquant/binance/BinanceBroker.kt → ...in/org/roboquant/binance/BinanceBroker.kt
diff --git a/.../roboquant/binance/BinanceHistoricFeed.kt → .../roboquant/binance/BinanceHistoricFeed.kt b/.../roboquant/binance/BinanceHistoricFeed.kt → .../roboquant/binance/BinanceHistoricFeed.kt
diff --git a/.../org/roboquant/binance/BinanceLiveFeed.kt → .../org/roboquant/binance/BinanceLiveFeed.kt b/.../org/roboquant/binance/BinanceLiveFeed.kt → .../org/roboquant/binance/BinanceLiveFeed.kt
diff --git a/.../roboquant/binance/BinanceBrokerTestIT.kt → .../roboquant/binance/BinanceBrokerTestIT.kt b/.../roboquant/binance/BinanceBrokerTestIT.kt → .../roboquant/binance/BinanceBrokerTestIT.kt
diff --git a/...uant/binance/BinanceHistoricFeedTestIT.kt → ...uant/binance/BinanceHistoricFeedTestIT.kt b/...uant/binance/BinanceHistoricFeedTestIT.kt → ...uant/binance/BinanceHistoricFeedTestIT.kt
diff --git a/...oboquant/binance/BinanceLiveFeedTestIT.kt → ...oboquant/binance/BinanceLiveFeedTestIT.kt b/...oboquant/binance/BinanceLiveFeedTestIT.kt → ...oboquant/binance/BinanceLiveFeedTestIT.kt
diff --git a/...test/kotlin/org/roboquant/samples/main.kt → ...test/kotlin/org/roboquant/samples/main.kt b/...test/kotlin/org/roboquant/samples/main.kt → ...test/kotlin/org/roboquant/samples/main.kt
@@ -18,8 +18,7 @@
 
 package org.roboquant.samples
 
-import org.knowm.xchange.ExchangeFactory
-import org.knowm.xchange.bitstamp.BitstampExchange
+
 import org.roboquant.Roboquant
 import org.roboquant.binance.BinanceHistoricFeed
 import org.roboquant.binance.BinanceLiveFeed
@@ -38,7 +37,6 @@ import org.roboquant.metrics.AccountMetric
 import org.roboquant.metrics.ScorecardMetric
 import org.roboquant.policies.FlexPolicy
 import org.roboquant.strategies.EMAStrategy
-import org.roboquant.xchange.XChangePollingLiveFeed
 import kotlin.test.assertEquals
 
 fun recordBinanceFeed() {
@@ -136,28 +134,12 @@ fun binanceBackTest() {
 }
 
 
-fun xchangeFeed() {
-    val exchange = ExchangeFactory.INSTANCE.createExchange(BitstampExchange::class.java)
-    val feed = XChangePollingLiveFeed(exchange)
-    println(feed.availableAssets.summary())
-
-    feed.subscribeTrade("BTC_USD", pollingDelayMillis = 30_000)
-    println("Subscribed")
-    assertEquals("BTC_USD", feed.assets.first().symbol)
-
-    /// Run it for 2 minutes
-    val timeframe = Timeframe.next(2.minutes)
-    val result = feed.filter<PriceAction>(timeframe = timeframe)
-    feed.close()
-    assertEquals(AssetType.CRYPTO, result.first().second.asset.type)
-}
 
 suspend fun main() {
 
     when ("WEB") {
         "RECORD" -> recordBinanceFeed()
         "USE" -> useBinanceFeed()
-        "XCHANGE" -> xchangeFeed()
         "LIVE" -> binanceLiveFeed()
         "HISTORIC" -> binanceBackTest()
         "FORWARD" -> binanceForwardTest()

diff --git a/roboquant-extra/src/test/kotlin/org/roboquant/samples/main.kt b/roboquant-extra/src/test/kotlin/org/roboquant/samples/main.kt
diff --git a/roboquant-polygon/pom.xml b/roboquant-polygon/pom.xml
@@ -0,0 +1,54 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<!--
+  ~ Copyright 2020-2023 Neural Layer
+  ~
+  ~ Licensed under the Apache License, Version 2.0 (the "License");
+  ~ you may not use this file except in compliance with the License.
+  ~ You may obtain a copy of the License at
+  ~
+  ~     https://www.apache.org/licenses/LICENSE-2.0
+  ~
+  ~ Unless required by applicable law or agreed to in writing, software
+  ~ distributed under the License is distributed on an "AS IS" BASIS,
+  ~ WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+  ~ See the License for the specific language governing permissions and
+  ~ limitations under the License.
+  -->
+
+<project xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance"
+         xmlns="http://maven.apache.org/POM/4.0.0"
+         xsi:schemaLocation="http://maven.apache.org/POM/4.0.0 https://maven.apache.org/xsd/maven-4.0.0.xsd">
+    <modelVersion>4.0.0</modelVersion>
+    <parent>
+        <artifactId>roboquant-parent</artifactId>
+        <groupId>org.roboquant</groupId>
+        <version>2.0.0-SNAPSHOT</version>
+    </parent>
+
+    <artifactId>roboquant-polygon</artifactId>
+    <packaging>jar</packaging>
+    <name>roboquant polygon</name>
+    <description>Polygon data provider for roboquant</description>
+
+    <build>
+        <plugins>
+            <plugin>
+                <groupId>org.jetbrains.kotlin</groupId>
+                <artifactId>kotlin-maven-plugin</artifactId>
+            </plugin>
+        </plugins>
+    </build>
+
+    <dependencies>
+        <dependency>
+            <groupId>org.roboquant</groupId>
+            <artifactId>roboquant</artifactId>
+        </dependency>
+        <dependency>
+            <groupId>com.github.polygon-io</groupId>
+            <artifactId>client-jvm</artifactId>
+            <version>4.2.1</version>
+        </dependency>
+    </dependencies>
+
+</project>
diff --git a/...n/kotlin/org/roboquant/polygon/Polygon.kt → ...n/kotlin/org/roboquant/polygon/Polygon.kt b/...n/kotlin/org/roboquant/polygon/Polygon.kt → ...n/kotlin/org/roboquant/polygon/Polygon.kt
diff --git a/...oquant/polygon/PolygonFundamentalsFeed.kt → ...oquant/polygon/PolygonFundamentalsFeed.kt b/...oquant/polygon/PolygonFundamentalsFeed.kt → ...oquant/polygon/PolygonFundamentalsFeed.kt
diff --git a/.../roboquant/polygon/PolygonHistoricFeed.kt → .../roboquant/polygon/PolygonHistoricFeed.kt b/.../roboquant/polygon/PolygonHistoricFeed.kt → .../roboquant/polygon/PolygonHistoricFeed.kt
diff --git a/.../org/roboquant/polygon/PolygonLiveFeed.kt → .../org/roboquant/polygon/PolygonLiveFeed.kt b/.../org/roboquant/polygon/PolygonLiveFeed.kt → .../org/roboquant/polygon/PolygonLiveFeed.kt