bbstrader 0.0.1__py3-none-any.whl

bbstrader/trading/run.py

@@ -0,0 +1,131 @@
+import time
+import argparse
+from bbstrader.metatrader.trade import Trade
+from bbstrader.trading.execution import (
+    sma_trading, pair_trading, ou_trading, arch_trading)
+from bbstrader.trading.utils import (
+    add_sma_trading_arguments, add_pair_trading_arguments,
+    add_ou_trading_arguments, add_arch_trading_arguments,
+    init_trade)
+
+__all__ = [
+    "run_sma_trading",
+    "run_pair_trading",
+    "run_ou_trading",
+    "run_arch_trading",
+]
+def run_sma_trading():
+    # Create parser
+    parser = argparse.ArgumentParser(
+        description='Run SMA trading strategy.')
+
+    # Add arguments for sma_trading parameters
+    parser = add_sma_trading_arguments(parser)
+
+    # Parse arguments
+    args = parser.parse_args()
+
+    # Initialize Trade with command-line arguments
+    trade = init_trade(args)
+
+    # Call sma_trading with command-line arguments
+    sma_trading(
+        trade, 
+        tf=args.tf, 
+        sma=args.sma, 
+        lma=args.lma, 
+        mm=args.mm, 
+        max_t=args.mxt, 
+        iter_time=args.it, 
+        risk_manager=args.rm, 
+        period=args.period
+    )
+
+def run_pair_trading(pair=True, pchange_sl=3.0):
+    # Create parser
+    parser = argparse.ArgumentParser(
+        description='Run Pair trading strategy.')
+
+    # Add arguments for pair_trading parameters
+    parser = add_pair_trading_arguments(
+        parser, pair=pair, pchange_sl=pchange_sl)
+
+    # Parse arguments
+    args = parser.parse_args()
+    tickers = tuple(args.pair)
+
+    # Initialize Trade with command-line arguments
+    p0 = init_trade(args, symbol=tickers[0])
+    time.sleep(5)
+    p1 = init_trade(args, symbol=tickers[1])
+    # Call pair_trading with command-line arguments
+    pair_trading(
+        tickers,
+        p0,
+        p1,
+        args.tf,
+        ols=args.rmw,
+        max_t=args.mxt,
+        mm=args.mm,
+        iter_time=args.it,
+        risk_manager=args.rm,
+        rm_ticker=args.rmt,
+        rm_window=args.rmw,
+        period=args.period
+    )
+
+def run_ou_trading():
+    # Create parser
+    parser = argparse.ArgumentParser(
+        description='Run Ornstein-Uhlenbeck trading strategy.')
+
+    # Add arguments for ou_trading parameters
+    parser = add_ou_trading_arguments(parser)
+
+    # Parse arguments
+    args = parser.parse_args()
+
+    # Initialize Trade with command-line arguments
+    trade = init_trade(args)
+
+    # Call ou_trading with command-line arguments
+    ou_trading(
+        trade,
+        tf=args.tf,
+        n=args.n,
+        p=args.p,
+        max_t=args.mxt,
+        mm=args.mm,
+        iter_time=args.it,
+        ou_window=args.ouw,
+        rm_window=args.rmw,
+        risk_manager=args.rm,
+        period=args.period
+    )
+
+def run_arch_trading():
+    # Create parser
+    parser = argparse.ArgumentParser(
+        description='Run ARIMA + GARCH trading strategy.')
+
+    # Add arguments for arch_trading parameters
+    parser = add_arch_trading_arguments(parser)
+
+    # Parse arguments
+    args = parser.parse_args()
+
+    # Initialize Trade with command-line arguments
+    trade = init_trade(args)
+
+    # Call arch_trading with command-line arguments
+    arch_trading(
+        trade,
+        tf=args.tf,
+        max_t=args.mxt,
+        mm=args.mm,
+        k=args.k,
+        iter_time=args.it,
+        risk_manager=args.rm,
+        rm_window=args.rmw,
+        period=args.period
+    )

bbstrader/trading/utils.py

@@ -0,0 +1,153 @@
+from bbstrader.metatrader.trade import Trade
+
+def tf_mapping():
+    time_frame_mapping = {
+        '1m':  1,   
+        '3m':  3,    
+        '5m':  5,    
+        '10m': 10,   
+        '15m': 15,   
+        '30m': 30,   
+        '1h':  60,   
+        '2h':  120,  
+        '4h':  240,  
+        'D1':  1440
+    }
+    return time_frame_mapping
+
+
+def init_trade(args, symbol=None):
+    # Initializes and returns a Trade object
+    if symbol is not None:
+        trade_symbol = symbol
+    else : trade_symbol = args.symbol
+    trade = Trade(
+        expert_name=args.expert,
+        version=args.version,
+        expert_id=args.id,
+        symbol=trade_symbol,
+        max_risk=args.mr,
+        target=args.t,
+        daily_risk=args.dr,
+        max_trades=args.maxt,
+        account_leverage=args.acl,
+        time_frame=args.tfm,
+        start_time=args.start,
+        finishing_time=args.fint,
+        ending_time=args.endt,
+        std_stop=args.std,
+        pchange_sl=args.psl,
+        verbose=True,
+        sl=args.sl,
+        tp=args.tp,
+        be=args.be,
+        rr=args.rr
+    )
+    return trade
+
+def add_trade_arguments(parser, pair=False, pchange_sl=None, strategy=None):
+    # Add arguments for Trade parameters
+    parser.add_argument('--expert', type=str, default='bbstrader', help='Expert name')
+    parser.add_argument('--id', type=int, default=0, help='Expert ID')
+    parser.add_argument('--version', type=float, default=1.0, help='Version')
+    parser.add_argument('--symbol', type=str, default='#SPY', help='Symbol to trade')
+    parser.add_argument('--mr', type=float, default=5.0, help='Maximum risk')
+    parser.add_argument('--t', type=float, default=2.0, help='Target')
+    parser.add_argument(
+        '--dr', type=float, default=0.25, help='Daily risk')
+    parser.add_argument(
+        '--maxt', type=int, default=20, help='Maximum trades', nargs='?', const=None)
+    parser.add_argument('--acl', type=bool, default=True, help='Account leverage')
+    if strategy is not None:
+        if strategy == 'sma':
+            parser.add_argument('--tfm', type=str, default='1h', help='Time frame')
+        elif strategy == 'pair':
+            parser.add_argument('--tfm', type=str, default='D1', help='Time frame')
+        elif strategy == 'ou':
+            parser.add_argument('--tfm', type=str, default='1h', help='Time frame')
+        elif strategy == 'arch':
+            parser.add_argument('--tfm', type=str, default='D1', help='Time frame')
+    else: parser.add_argument('--tfm', type=str, required=True, help='Time frame')
+    parser.add_argument('--start', type=str, default='13:35', help='Start time')
+    parser.add_argument('--fint', type=str, default='19:50', help='Finishing time')
+    parser.add_argument('--endt', type=str, default='19:55', help='Ending time')
+    parser.add_argument('--std', type=bool, default=False, help='Standard Deviation stop')
+    parser.add_argument('--rr', type=float, default=3.0, help='Risk reward ratio')
+    if pair:
+        if pchange_sl is not None:
+            parser.add_argument(
+                '--psl', type=float, default=pchange_sl, help='Percentage change stop loss')
+        else: parser.add_argument(
+            '--psl', type=float, default=2.5, help='Percentage change stop loss')
+    else: parser.add_argument(
+        '--psl', type=float, default=None, help='Percentage change stop loss', nargs='?', const=None)
+    parser.add_argument('--sl', type=int, default=None, help='Stop loss', nargs='?', const=None)
+    parser.add_argument('--tp', type=int, default=None, help='Take profit', nargs='?', const=None)
+    parser.add_argument('--be', type=int, default=None, help='Break even', nargs='?', const=None)
+    return parser
+
+def add_common_trading_arguments(parser, strategy=None):
+    # Common trading arguments
+    if strategy is not None:
+        if strategy == 'sma':
+            parser.add_argument('--tf', type=str, default='1h', help='Time frame for trading')
+        elif strategy == 'pair':
+            parser.add_argument('--tf', type=str, default='D1', help='Time frame for trading')
+        elif strategy == 'ou':
+            parser.add_argument('--tf', type=str, default='1h', help='Time frame for trading')
+        elif strategy == 'arch':
+            parser.add_argument('--tf', type=str, default='D1', help='Time frame for trading')
+    else: parser.add_argument('--tf', type=str, required=True, help='Time frame for trading')
+    parser.add_argument('--mm', type=bool, default=True, help='Money management')
+    parser.add_argument('--mxt', type=int, default=1, help='Maximum trades')
+    parser.add_argument('--it', type=float,default=30, help='Iteration time')
+    parser.add_argument('--period', type=str, default='week', choices=['day', 'week', 'month'], help='Trading period')
+    return parser
+
+def add_sma_trading_arguments(parser):
+    # Add arguments for Trade parameters
+    parser = add_trade_arguments(parser, strategy='sma')
+    # Add common trading arguments
+    parser = add_common_trading_arguments(parser, strategy='sma')
+    # Add arguments for sma_trading parameters
+    parser.add_argument('--sma', type=int, default=35, help='Short moving average period')
+    parser.add_argument('--lma', type=int, default=80, help='Long moving average period')
+    parser.add_argument('--rm', type=str, default='hmm', help='Risk manager')
+    return parser
+
+def add_pair_trading_arguments(parser, pair=True, pchange_sl=2.5):
+    # Add arguments for Trade parameters
+    parser = add_trade_arguments(parser, pair=pair, pchange_sl=pchange_sl, strategy='pair')
+    # Add common trading arguments
+    parser = add_common_trading_arguments(parser, strategy='pair')
+    # Add arguments for pair_trading parameters
+    parser.add_argument(
+        '--pair', nargs=2, required=True, help='Pair of symbols for trading, e.g., --pair GOOG MSFT')
+    parser.add_argument('--rm', type=str, default=None, help='Risk manager', nargs='?', const=None)
+    parser.add_argument('--rmt', type=str, default=None, help='Risk manager ticker', nargs='?', const=None)
+    parser.add_argument('--rmw', type=int, default=None, help='Risk manager Window', nargs='?', const=None)
+    return parser
+
+def add_ou_trading_arguments(parser):
+    # Add arguments for Trade parameters
+    parser = add_trade_arguments(parser, strategy='ou')
+    # Add common trading arguments
+    parser = add_common_trading_arguments(parser, strategy='ou')
+    # Add arguments for ou_trading parameters
+    parser.add_argument('--p', type=int, default=20, help='Number of time steps')
+    parser.add_argument('--n', type=int, default=20, help='Number of simulations to perform')
+    parser.add_argument('--ouw', type=int, default=2000, help='OU window size parameters estimation')
+    parser.add_argument('--rmw', type=int, default=60, help='Risk manager Window', nargs='?', const=None)
+    parser.add_argument('--rm', type=str, default=None, help='Risk manager', nargs='?', const=None)
+    return parser
+
+def add_arch_trading_arguments(parser):
+    # Add arguments for Trade parameters
+    parser = add_trade_arguments(parser, strategy='arch')
+    # Add common trading arguments
+    parser = add_common_trading_arguments(parser, strategy='arch')
+    # Add arguments for ou_trading parameters
+    parser.add_argument('--k', type=int, default=500, help='Window used for prediction')
+    parser.add_argument('--rmw', type=int, default=60, help='Risk manager Window', nargs='?', const=None)
+    parser.add_argument('--rm', type=str, default=None, help='Risk manager', nargs='?', const=None)
+    return parser