-

trading_gateway/trading_gateway.py

@@ -0,0 +1,46 @@
+from abc import ABC, abstractmethod
+from typing import Generator
+
+import pandas as pd
+
+from internal_types.types import Quote
+
+
+class TradingGateway(ABC):
+
+  @abstractmethod
+  def next_quote(self) -> Generator[Quote, None, None]:
+    pass
+
+  @abstractmethod
+  def submit_order(self) -> None:
+    # todo: submit_order -> async submit_order with callback
+    pass
+
+
+class BacktestGateway(TradingGateway):
+
+  def __init__(self, csv: str, t0: str, t1: str):
+    # [t0, t1)
+    # t0 & t1: YYYY-mm-dd
+
+    # todo: download parquet from clickhouse and store locally
+
+    df = pd.read_csv(csv)
+    df['date_dt'] = pd.to_datetime(df['time'], unit='s')
+    df.rename(columns={'time': 'timestamp', 'Volume': 'volume'}, inplace=True)
+    self.df = df[(pd.Timestamp(t0) <= df['date_dt']) & (df['date_dt'] < pd.Timestamp(t1))]
+
+  def next_quote(self) -> Generator[Quote, None, None]:
+    for row in self.df.itertuples(index=False):
+      yield Quote(
+        timestamp=row.timestamp,  # type: ignore
+        open=row.open,  # type: ignore
+        high=row.high,  # type: ignore
+        low=row.low,  # type: ignore
+        close=row.close,  # type: ignore
+        volume=row.volume)  # type: ignore
+
+  def submit_order(self) -> None:
+    # todo: submit_order -> async submit_order with callback
+    pass