bbstrader 0.1.3__tar.gz → 0.1.5__tar.gz

{bbstrader-0.1.3 → bbstrader-0.1.5}/PKG-INFO

@@ -1,12 +1,15 @@
 Metadata-Version: 2.1
 Name: bbstrader
-Version: 0.1.3
+Version: 0.1.5
 Summary: Simplified Investment & Trading Toolkit
 Home-page: https://github.com/bbalouki/bbstrader
+Download-URL: https://pypi.org/project/bbstrader/
 Author: Bertin Balouki SIMYELI
 Author-email: <bertin@bbstrader.com>
 Maintainer: Bertin Balouki SIMYELI
 License: The MIT License (MIT)
+Project-URL: Documentation, https://bbstrader.readthedocs.io/en/latest/
+Project-URL: Source Code, https://github.com/bbalouki/bbstrader
 Keywords: Finance,Toolkit,Financial,Analysis,Fundamental,Quantitative,Database,Equities,Currencies,Economics,ETFs,Funds,Indices,Moneymarkets,Commodities,Futures,CFDs,Derivatives,Trading,Investing,Portfolio,Optimization,Performance
 Classifier: Development Status :: 5 - Production/Stable
 Classifier: Intended Audience :: Developers

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader/metatrader/account.py

@@ -615,6 +615,38 @@ class Account(object):
         """
         self._show_info(self.get_tick_info, "tick", symbol=symbol)
 
+    def calculate_margin(self, 
+                         action: Literal['buy', 'sell'], 
+                         symbol: str, 
+                         lot: float, 
+                         price: float) -> float:
+        """
+        Calculate margin required for an order.
+
+        Args:
+            action (str): The trading action, either 'buy' or 'sell'.
+            symbol (str): The symbol of the financial instrument.
+            lot (float): The lot size of the order.
+            price (float): The price of the order.
+
+        Returns:
+            float: The margin required for the order.
+        
+        Raises:
+            MT5TerminalError: A specific exception based on the error code.
+        """
+        _action = {
+            'buy': mt5.ORDER_TYPE_BUY,
+            'sell': mt5.ORDER_TYPE_SELL
+        }
+        try:
+            margin = mt5.order_calc_margin(_action[action], symbol, lot, price)
+            if margin is None:
+                return None
+            return margin
+        except Exception as e:
+            raise_mt5_error(e)
+
     def check_order(self, 
                     request: Dict[str, Any]) -> OrderCheckResult:
         """

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader/metatrader/rates.py

@@ -191,6 +191,17 @@ class Rates(object):
     
     @property
     def get_returns(self):
+        """
+        Fractional change between the current and a prior element.
+
+        Computes the fractional change from the immediately previous row by default. 
+        This is useful in comparing the fraction of change in a time series of elements.
+
+        Note
+        ----
+        It calculates fractional change (also known as `per unit change or relative change`) 
+        and `not percentage change`. If you need the percentage change, multiply these values by 100.
+        """
         data = self.data.copy()
         data['Returns'] =  data['Adj Close'].pct_change()
         data = data.dropna()

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader/metatrader/risk.py

@@ -1,4 +1,5 @@
 import random
+import re
 import numpy as np
 from scipy.stats import norm
 from datetime import datetime
@@ -67,6 +68,8 @@ class RiskManagement(Account):
         max_trades: Optional[int] = None,
         std_stop: bool = False,
         pchange_sl: Optional[float] = None,
+        var_level: float = 0.95,
+        var_time_frame: TimeFrame = 'D1',
         account_leverage: bool = True,
         time_frame: TimeFrame = 'D1',
         start_time: str = "1:00",
@@ -91,6 +94,9 @@ class RiskManagement(Account):
                 On `historical volatility` of the trading instrument. Defaults to False.
             pchange_sl (float, optional): If set, the Stop loss is calculated based
                 On `percentage change` of the trading instrument.
+            var_level (float, optional): Confidence level for Value-at-Risk,e.g., 0.99 for 99% confidence interval.
+                The default is 0.95.
+            var_time_frame (str, optional): Time frame to use to calculate the VaR.
             account_leverage (bool, optional): If set to True the account leverage will be used
                 In risk management setting. Defaults to False.
             time_frame (str, optional): The time frame on which the program is working
@@ -118,7 +124,9 @@ class RiskManagement(Account):
         if be is not None and (not isinstance(be, int) or be <= 0):
             raise ValueError("be must be a positive integer number")
         if time_frame not in TIMEFRAMES:
-            raise ValueError("Unsupported time frame")
+            raise ValueError("Unsupported time frame {}".format(time_frame))
+        if var_time_frame not in TIMEFRAMES:
+            raise ValueError("Unsupported time frame {}".format(var_time_frame))
 
         self.symbol = symbol
         self.start_time = start_time
@@ -126,6 +134,8 @@ class RiskManagement(Account):
         self.max_trades = max_trades
         self.std = std_stop
         self.pchange = pchange_sl
+        self.var_level = var_level
+        self.var_tf = var_time_frame
         self.daily_dd = daily_risk
         self.max_risk = max_risk
         self.rr = rr
@@ -136,8 +146,21 @@ class RiskManagement(Account):
         self.account_leverage = account_leverage
         self.symbol_info = super().get_symbol_info(self.symbol)
 
-        self.TF = self.get_minutes(
-        ) if time_frame == 'D1' else TIMEFRAMES[time_frame]
+        self._tf = time_frame
+    
+    def _convert_time_frame(self, tf: str) -> int:
+        """Convert time frame to minutes"""
+        if tf == 'D1':
+            tf_int = self.get_minutes()
+        elif 'm' in tf:
+            tf_int = TIMEFRAMES[tf]
+        elif 'h' in tf:
+            tf_int = int(tf[0])*60
+        elif tf == 'W1':
+            tf_int = self.get_minutes() * 5
+        elif tf == 'MN1':
+            tf_int = self.get_minutes() * 22
+        return tf_int
 
     def risk_level(self) -> float:
         """
@@ -194,10 +217,11 @@ class RiskManagement(Account):
     def max_trade(self) -> int:
         """calculates the maximum number of trades allowed"""
         minutes = self.get_minutes()
+        tf_int = self._convert_time_frame(self._tf)
         if self.max_trades is not None:
             max_trades = self.max_trades
         else:
-            max_trades = round(minutes / self.TF)
+            max_trades = round(minutes / tf_int)
         return max(max_trades, 1)
 
     def get_minutes(self) -> int:
@@ -217,24 +241,22 @@ class RiskManagement(Account):
 
         return hours
 
-    def get_std_stop(self, tf: TimeFrame = 'D1', interval: int = 252):
+    def get_std_stop(self):
         """
         Calculate the standard deviation-based stop loss level 
         for a given financial instrument.
 
-        Args:
-            tf (str): Timeframe for data, default is 'D1' (Daily).
-            interval (int): Number of historical data points to consider 
-                for calculating standard deviation, default is 252.
-
         Returns:
         -   Standard deviation-based stop loss level, rounded to the nearest point. 
         -   0 if the calculated stop loss is less than or equal to 0.
         """
-        rate = Rates(self.symbol, tf, 0, interval)
-        data = rate.get_rates_from_pos()
-        returns = np.diff(data['Close'])
-        std = np.std(returns)
+        minutes = self.get_minutes()
+        tf_int = self._convert_time_frame(self._tf)
+        interval = round((minutes / tf_int)  * 252)
+
+        rate = Rates(self.symbol, self._tf, 0, interval)
+        returns = rate.get_returns*100
+        std = returns.std()
         point = self.get_symbol_info(self.symbol).point
         av_price = (self.symbol_info.bid + self.symbol_info.ask)/2
         price_interval = av_price * ((100-std))/100
@@ -271,26 +293,27 @@ class RiskManagement(Account):
             # Use std as default pchange
             return self.get_std_stop()
 
-    def calculate_var(self, tf: TimeFrame = 'D1', interval=252, c=0.95):
+    def calculate_var(self, tf: TimeFrame = 'D1', c=0.95):
         """
         Calculate Value at Risk (VaR) for a given portfolio.
 
         Args:
             tf (str): Time frame to use to calculate volatility.
-            interval (int): How many periods to use based on time frame.
             c (float): Confidence level for VaR calculation (default is 95%).
 
         Returns:
         -   VaR value
         """
+        minutes = self.get_minutes()
+        tf_int = self._convert_time_frame(tf)
+        interval = round((minutes / tf_int)  * 252)
+
         rate = Rates(self.symbol, tf, 0, interval)
-        prices = rate.get_rates_from_pos()
-        prices['return'] = prices['Close'].pct_change()
-        prices.dropna(inplace=True)
-        P = self.get_account_info().margin_free
-        mu = np.mean(prices['return'])
-        sigma = np.std(prices['return'])
-        var = self.var_cov_var(P, c, mu, sigma)
+        returns = rate.get_returns*100
+        p = self.get_account_info().margin_free
+        mu = returns.mean()
+        sigma = returns.std()
+        var = self.var_cov_var(p, c, mu, sigma)
         return var
 
     def var_cov_var(self, P: float, c: float, mu: float, sigma: float):
@@ -312,11 +335,15 @@ class RiskManagement(Account):
     def var_loss_value(self):
         """
         Calculate the stop-loss level based on VaR.
+
+        Notes:
+            The Var is Estimated using the Variance-Covariance method on the daily returns.
+            If you want to use the VaR for a different time frame .
         """
         P = self.get_account_info().margin_free
         trade_risk = self.get_trade_risk()
         loss_allowed = P * trade_risk
-        var = self.calculate_var()
+        var = self.calculate_var(c=self.var_level, tf=self.var_tf)
         return min(var, loss_allowed)
 
     def get_take_profit(self) -> int:
@@ -480,13 +507,8 @@ class RiskManagement(Account):
             if self.get_symbol_type(self.symbol) == 'IDX':
                 rates = self.get_currency_rates(self.symbol)
                 if rates['mc'] == rates['pc'] == 'JPY':
-                    if self.std:
-                        raise ValueError(
-                            f"""Please Set std=False or use pchange_sl=True
-                            or set sl=value or use the default method calculation for {self.symbol}
-                            Currency risk"""
-                        )
                     lot = lot * contract_size
+                    lot = self._check_lot(lot)
                     volume = round(lot * av_price * contract_size)
             if contract_size == 1:
                 volume = round(lot * av_price)

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader/metatrader/trade.py

@@ -555,7 +555,7 @@ class Trade(RiskManagement):
             check_result = self.check_order(request)
             result = self.send_order(request)
         except Exception as e:
-            print(f"{self.get_current_time()} -", end=' ')
+            print(f"{self.current_datetime()} -", end=' ')
             trade_retcode_message(
                 result.retcode, display=True, add_msg=f"{e}{addtionnal}")
         if result.retcode != Mt5.TRADE_RETCODE_DONE:
@@ -571,7 +571,7 @@ class Trade(RiskManagement):
                         check_result = self.check_order(request)
                         result = self.send_order(request)
                     except Exception as e:
-                        print(f"{self.get_current_time()} -", end=' ')
+                        print(f"{self.current_datetime()} -", end=' ')
                         trade_retcode_message(
                             result.retcode, display=True, add_msg=f"{e}{addtionnal}")
                     if result.retcode == Mt5.TRADE_RETCODE_DONE:
@@ -900,7 +900,7 @@ class Trade(RiskManagement):
             check_result = self.check_order(request)
             result = self.send_order(request)
         except Exception as e:
-            print(f"{self.get_current_time()} -", end=' ')
+            print(f"{self.current_datetime()} -", end=' ')
             trade_retcode_message(
                 result.retcode, display=True, add_msg=f"{e}{addtionnal}")
         if result.retcode != Mt5.TRADE_RETCODE_DONE:
@@ -917,7 +917,7 @@ class Trade(RiskManagement):
                         check_result = self.check_order(request)
                         result = self.send_order(request)
                     except Exception as e:
-                        print(f"{self.get_current_time()} -", end=' ')
+                        print(f"{self.current_datetime()} -", end=' ')
                         trade_retcode_message(
                             result.retcode, display=True, add_msg=f"{e}{addtionnal}")
                     if result.retcode == Mt5.TRADE_RETCODE_DONE:
@@ -1041,7 +1041,7 @@ class Trade(RiskManagement):
                         check_result = self.check_order(request)
                         result = self.send_order(request)
                     except Exception as e:
-                        print(f"{self.get_current_time()} -", end=' ')
+                        print(f"{self.current_datetime()} -", end=' ')
                         trade_retcode_message(
                             result.retcode, display=True, add_msg=f"{e}{addtionnal}")
                     if result.retcode != Mt5.TRADE_RETCODE_DONE:
@@ -1055,7 +1055,7 @@ class Trade(RiskManagement):
                                 check_result = self.check_order(request)
                                 result = self.send_order(request)
                             except Exception as e:
-                                print(f"{self.get_current_time()} -", end=' ')
+                                print(f"{self.current_datetime()} -", end=' ')
                                 trade_retcode_message(
                                     result.retcode, display=True, add_msg=f"{e}{addtionnal}")
                             if result.retcode == Mt5.TRADE_RETCODE_DONE:
@@ -1250,7 +1250,7 @@ class Trade(RiskManagement):
     def sleep_time(self, weekend=False):
         if weekend:
             # claculate number of minute from the friday and to monday start
-            friday_time = datetime.strptime(self.end, '%H:%M')
+            friday_time = datetime.strptime(self.current_time(), '%H:%M')
             monday_time = datetime.strptime(self.start, '%H:%M')
             intra_day_diff = (monday_time - friday_time).total_seconds() // 60
             inter_day_diff = 3 * 24 * 60
@@ -1259,14 +1259,18 @@ class Trade(RiskManagement):
         else:
             # claculate number of minute from the end to the start
             start = datetime.strptime(self.start, '%H:%M')
-            end = datetime.strptime(self.end, '%H:%M')
+            end =  datetime.strptime(self.current_time(), '%H:%M')
             minutes = (end - start).total_seconds() // 60
             sleep_time = (24*60) - minutes
             return sleep_time
 
-    def get_current_time(self):
+    def current_datetime(self):
         return datetime.now().strftime("%Y-%m-%d %H:%M:%S")
-
+    
+    def current_time(self, seconds=False):
+        if seconds:
+            return datetime.now().strftime("%H:%M:%S")
+        return datetime.now().strftime("%H:%M")
 
 def create_trade_instance(
         symbols: List[str],

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader/metatrader/utils.py

@@ -130,7 +130,7 @@ class TimeFrame(Enum):
     H3 = "3h"
     H4 = "4h"
     H6 = "6h"
-    H = "8h"
+    H8 = "8h"
     H12 = "12h"
     D1 = "D1"
     W1 = "W1"

{bbstrader-0.1.3 → bbstrader-0.1.5}/bbstrader.egg-info/PKG-INFO

@@ -1,12 +1,15 @@
 Metadata-Version: 2.1
 Name: bbstrader
-Version: 0.1.3
+Version: 0.1.5
 Summary: Simplified Investment & Trading Toolkit
 Home-page: https://github.com/bbalouki/bbstrader
+Download-URL: https://pypi.org/project/bbstrader/
 Author: Bertin Balouki SIMYELI
 Author-email: <bertin@bbstrader.com>
 Maintainer: Bertin Balouki SIMYELI
 License: The MIT License (MIT)
+Project-URL: Documentation, https://bbstrader.readthedocs.io/en/latest/
+Project-URL: Source Code, https://github.com/bbalouki/bbstrader
 Keywords: Finance,Toolkit,Financial,Analysis,Fundamental,Quantitative,Database,Equities,Currencies,Economics,ETFs,Funds,Indices,Moneymarkets,Commodities,Futures,CFDs,Derivatives,Trading,Investing,Portfolio,Optimization,Performance
 Classifier: Development Status :: 5 - Production/Stable
 Classifier: Intended Audience :: Developers

{bbstrader-0.1.3 → bbstrader-0.1.5}/setup.py

@@ -7,7 +7,7 @@ if sys.version_info < (3, 10):
 with open("README.md", encoding="utf-8") as fh:
     long_description = fh.read()
 
-VERSION = '0.1.3'
+VERSION = '0.1.05'
 DESCRIPTION = 'Simplified Investment & Trading Toolkit'
 
 KEYWORDS = [
@@ -44,6 +44,11 @@ setup(
     version=VERSION,
     author='Bertin Balouki SIMYELI',
     url='https://github.com/bbalouki/bbstrader',
+    download_url='https://pypi.org/project/bbstrader/',
+    project_urls={
+        "Documentation": "https://bbstrader.readthedocs.io/en/latest/",
+        "Source Code": "https://github.com/bbalouki/bbstrader",
+    },
     license='The MIT License (MIT)',
     author_email='<bertin@bbstrader.com>',
     maintainer='Bertin Balouki SIMYELI',