bbstrader 0.1.6__py3-none-any.whl → 0.1.8__py3-none-any.whl

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Files changed (28) hide show
  1. bbstrader/__ini__.py +0 -1
  2. bbstrader/btengine/__init__.py +13 -9
  3. bbstrader/btengine/backtest.py +99 -702
  4. bbstrader/btengine/data.py +3 -1
  5. bbstrader/btengine/event.py +15 -9
  6. bbstrader/btengine/execution.py +66 -6
  7. bbstrader/btengine/performance.py +32 -20
  8. bbstrader/btengine/portfolio.py +33 -15
  9. bbstrader/btengine/strategy.py +1 -2
  10. bbstrader/metatrader/account.py +15 -8
  11. bbstrader/metatrader/rates.py +10 -6
  12. bbstrader/metatrader/risk.py +1 -2
  13. bbstrader/metatrader/trade.py +307 -239
  14. bbstrader/metatrader/utils.py +37 -29
  15. bbstrader/models/risk.py +39 -2
  16. bbstrader/trading/__init__.py +8 -1
  17. bbstrader/trading/execution.py +378 -932
  18. bbstrader/trading/strategies.py +840 -0
  19. bbstrader/tseries.py +613 -23
  20. {bbstrader-0.1.6.dist-info → bbstrader-0.1.8.dist-info}/METADATA +16 -7
  21. bbstrader-0.1.8.dist-info/RECORD +26 -0
  22. {bbstrader-0.1.6.dist-info → bbstrader-0.1.8.dist-info}/WHEEL +1 -1
  23. bbstrader/strategies.py +0 -681
  24. bbstrader/trading/run.py +0 -131
  25. bbstrader/trading/utils.py +0 -153
  26. bbstrader-0.1.6.dist-info/RECORD +0 -28
  27. {bbstrader-0.1.6.dist-info → bbstrader-0.1.8.dist-info}/LICENSE +0 -0
  28. {bbstrader-0.1.6.dist-info → bbstrader-0.1.8.dist-info}/top_level.txt +0 -0
bbstrader/trading/execution.py CHANGED
@@ -1,977 +1,423 @@
1
1
  import time
2
- import pandas as pd
3
- import numpy as np
4
2
  from datetime import datetime
5
- from bbstrader.metatrader.rates import Rates
6
3
  from bbstrader.metatrader.trade import Trade
7
- from bbstrader.trading.utils import tf_mapping
8
- from bbstrader.strategies import (
9
- ArimaGarchStrategy, SMAStrategy, KLFStrategy, OrnsteinUhlenbeck,
10
- )
11
- from bbstrader.models.risk import HMMRiskManager
12
- from bbstrader.metatrader.utils import config_logger
13
- from typing import Optional, Literal, List, Tuple
14
-
15
- logger = config_logger(log_file='trade.log', console_log=False)
16
-
17
- TRADING_DAYS = ['Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday']
18
- # ======== SMA TRADING ======================
19
- def sma_trading(
20
- trade: Trade,
21
- tf: Optional[str] = '1h',
22
- sma: Optional[int] = 35,
23
- lma: Optional[int] = 80,
24
- mm: Optional[bool] = True,
25
- max_t: Optional[int] = 1,
26
- iter_time: Optional[int |float] = 30,
27
- risk_manager: str = 'hmm',
28
- period: Literal['day', 'week', 'month'] = 'week',
29
- **kwargs
30
- ):
31
- """
32
- Executes a Simple Moving Average (SMA) trading strategy
33
- with optional risk management using Hidden Markov Models (HMM).
34
-
35
- Parameters
36
- ==========
37
- trade : Trade
38
- The Trade object that encapsulates trading operations like
39
- opening, closing positions, etc.
40
- tf : str, optional
41
- Time frame for the trading strategy, defaults to '1h' (1 hour).
42
- sma : int, optional
43
- Short Moving Average period, defaults to 35.
44
- lma : int, optional
45
- Long Moving Average period, defaults to 80.
46
- mm : bool, optional
47
- Money management flag to enable/disable money management, defaults to True.
48
- max_t : int, optional
49
- Maximum number of trades allowed, defaults to 1.
50
- iter_time : Union[int, float], optional
51
- Iteration time for the trading loop, defaults to 30 seconds.
52
- risk_manager : str
53
- Specifies the risk management strategy to use,
54
- 'hmm' for Hidden Markov Model.
55
- period : Literal['day', 'week', 'month'], optional
56
- Trading period to reset statistics and close positions,
57
- can be 'day', 'week', or 'month', defaults to 'week'.
58
- **kwargs
59
- Additional keyword arguments for the HMM risk manager.
60
-
61
- Returns
62
- =======
63
- None
64
-
65
- Notes
66
- =====
67
- This function integrates a trading strategy based on simple moving averages
68
- with an optional risk management layer using HMM.
69
- It periodically checks for trading signals and executes buy or sell orders
70
- based on the strategy signals and risk management conditions.
71
- The trading period (day, week, month) determines when to reset statistics
72
- and close all positions.
73
-
74
- This function includes an infinite loop with time delays designed
75
- to run continuously during market hours. Ensure proper exception handling
76
- and resource management when integrating into a live trading environment.
77
- """
78
-
79
- def check(buys: list, sells: list):
80
- if buys is not None or sells is not None:
81
- logger.info(f"Checking for Break even SYMBOL={trade.symbol}...")
82
- trade.break_even()
4
+ from bbstrader.trading.strategies import Strategy
5
+ from typing import Optional, Literal, List, Tuple, Dict
6
+ import MetaTrader5 as mt5
7
+ from bbstrader.metatrader.account import INIT_MSG
8
+ from bbstrader.metatrader.utils import raise_mt5_error
9
+
10
+
11
+ _TF_MAPPING = {
12
+ '1m': 1,
13
+ '3m': 3,
14
+ '5m': 5,
15
+ '10m': 10,
16
+ '15m': 15,
17
+ '30m': 30,
18
+ '1h': 60,
19
+ '2h': 120,
20
+ '4h': 240,
21
+ 'D1': 1440
22
+ }
23
+
24
+ TradingDays = [
25
+ 'monday',
26
+ 'tuesday',
27
+ 'wednesday',
28
+ 'thursday',
29
+ 'friday'
30
+ ]
31
+
32
+ def _check_mt5_connection():
33
+ try:
34
+ init = mt5.initialize()
35
+ if not init:
36
+ raise_mt5_error(INIT_MSG)
37
+ except Exception:
38
+ raise_mt5_error(INIT_MSG)
39
+
40
+ def _mt5_execution(
41
+ symbol_list, trades_instances, strategy_cls, /,
42
+ mm, trail, stop_trail, trail_after_points, be_plus_points,
43
+ time_frame, iter_time, period, period_end_action, trading_days,
44
+ comment, **kwargs):
45
+ symbols = symbol_list.copy()
46
+ STRATEGY = kwargs.get('strategy_name')
47
+ _max_trades = kwargs.get('max_trades')
48
+ logger = kwargs.get('logger')
49
+ max_trades = {symbol: _max_trades[symbol] for symbol in symbols}
50
+ if comment is None:
51
+ trade = trades_instances[symbols[0]]
52
+ comment = f"{trade.expert_name}@{trade.version}"
53
+
54
+ def check(buys: List, sells: List, symbol: str):
55
+ if not mm:
56
+ return
57
+ if buys is not None:
58
+ logger.info(
59
+ f"Checking for Break even, SYMBOL={symbol}...STRATEGY={STRATEGY}")
60
+ trades_instances[symbol].break_even(
61
+ mm=mm, trail=trail, stop_trail=stop_trail,
62
+ trail_after_points=trail_after_points, be_plus_points=be_plus_points)
63
+ if sells is not None:
64
+ logger.info(
65
+ f"Checking for Break even, SYMBOL={symbol}...STRATEGY={STRATEGY}")
66
+ trades_instances[symbol].break_even(
67
+ mm=mm, trail=trail, stop_trail=stop_trail,
68
+ trail_after_points=trail_after_points, be_plus_points=be_plus_points)
69
+ num_days = 0
70
+ time_intervals = 0
71
+ trade_time = _TF_MAPPING[time_frame]
83
72
 
84
- time_frame_mapping = tf_mapping()
85
- if tf == 'D1':
86
- trade_time = trade.get_minutes()
87
- else:
88
- trade_time = time_frame_mapping[tf]
73
+ long_market = {symbol: False for symbol in symbols}
74
+ short_market = {symbol: False for symbol in symbols}
89
75
 
90
- rate = Rates(trade.symbol, tf, 0)
91
- data = rate.get_rates_from_pos()
92
- strategy = SMAStrategy(short_window=sma, long_window=lma)
93
- hmm = HMMRiskManager(data=data, verbose=True,
94
- iterations=1000, **kwargs)
95
- time_intervals = 0
96
- long_market = False
97
- short_market = False
98
- num_days = 0
99
76
  logger.info(
100
- f'Running SMA Strategy on {trade.symbol} in {tf} Interval ...\n')
77
+ f'Running {STRATEGY} Strategy on {symbols} in {time_frame} Interval ...')
78
+ strategy: Strategy = strategy_cls(
79
+ symbol_list=symbols, mode='live', **kwargs)
80
+
101
81
  while True:
102
- current_date = datetime.now()
103
- today = current_date.strftime("%A")
104
82
  try:
105
- buys = trade.get_current_buys()
106
- if buys is not None:
107
- logger.info(
108
- f"Current buy positions SYMBOL={trade.symbol}: {buys}, STRATEGY=SMA")
109
- sells = trade.get_current_sells()
110
- if sells is not None:
111
- logger.info(
112
- f"Current sell positions SYMBOL={trade.symbol}: {sells}, STRATEGY=SMA")
113
- long_market = buys is not None and len(buys) >= max_t
114
- short_market = sells is not None and len(sells) >= max_t
115
-
83
+ _check_mt5_connection()
84
+ current_date = datetime.now()
85
+ today = current_date.strftime("%A").lower()
116
86
  time.sleep(0.5)
117
- sig_rate = Rates(trade.symbol, tf, 0, lma)
118
- hmm_data = sig_rate.get_returns.values
119
- current_regime = hmm.which_trade_allowed(hmm_data)
120
- logger.info(f'CURRENT REGIME = {current_regime}, SYMBOL={trade.symbol}, STRATEGY=SMA')
121
- ma_data = sig_rate.get_close.values
122
- signal = strategy.calculate_signals(ma_data)
123
- logger.info(f"Calculating signal...SYMBOL={trade.symbol}, STRATEGY=SMA")
124
- comment = f"{trade.expert_name}@{trade.version}"
125
- if trade.trading_time() and today in TRADING_DAYS:
126
- if signal is not None:
127
- logger.info(f"SIGNAL = {signal}, SYMBOL={trade.symbol}, STRATEGY=SMA")
128
- if signal == "EXIT" and short_market:
129
- trade.close_positions(position_type='sell')
130
- short_market = False
131
- elif signal == "EXIT" and long_market:
132
- trade.close_positions(position_type='buy')
133
- long_market = False
134
-
135
- if current_regime == 'LONG':
136
- if signal == "LONG" and not long_market:
137
- if time_intervals % trade_time == 0 or buys is None:
138
- logger.info(f"Sending buy Order .... SYMBOL={trade.symbol}, STRATEGY=SMA")
87
+ buys = {
88
+ symbol: trades_instances[symbol].get_current_buys()
89
+ for symbol in symbols
90
+ }
91
+ sells = {
92
+ symbol: trades_instances[symbol].get_current_sells()
93
+ for symbol in symbols
94
+ }
95
+ for symbol in symbols:
96
+ if buys[symbol] is not None:
97
+ logger.info(
98
+ f"Current buy positions SYMBOL={symbol}: {buys[symbol]}, STRATEGY={STRATEGY}")
99
+ if sells[symbol] is not None:
100
+ logger.info(
101
+ f"Current sell positions SYMBOL={symbol}: {sells[symbol]}, STRATEGY={STRATEGY}")
102
+ long_market = {symbol: buys[symbol] is not None and len(
103
+ buys[symbol]) >= max_trades[symbol] for symbol in symbols}
104
+ short_market = {symbol: sells[symbol] is not None and len(
105
+ sells[symbol]) >= max_trades[symbol] for symbol in symbols}
106
+ except Exception as e:
107
+ logger.error(f"{e}, STRATEGY={STRATEGY}")
108
+ time.sleep(0.5)
109
+ for symbol in symbols:
110
+ try:
111
+ trade = trades_instances[symbol]
112
+ logger.info(
113
+ f"Calculating signal... SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
114
+ signal = strategy.calculate_signals()[symbol]
115
+ if trade.trading_time() and today in trading_days:
116
+ if signal is not None:
117
+ logger.info(
118
+ f"SIGNAL = {signal}, SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
119
+ if signal in ("EXIT", "EXIT_LONG") and long_market[symbol]:
120
+ trade.close_positions(position_type='buy')
121
+ elif signal in ("EXIT", "EXIT_SHORT") and short_market[symbol]:
122
+ trade.close_positions(position_type='sell')
123
+ elif signal == "LONG" and not long_market[symbol]:
124
+ if time_intervals % trade_time == 0 or buys[symbol] is None:
125
+ logger.info(
126
+ f"Sending buy Order ... SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
139
127
  trade.open_buy_position(mm=mm, comment=comment)
140
128
  else:
141
- check(buys, sells)
142
- elif signal == "LONG" and long_market:
143
- logger.info(f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
144
- check(buys, sells)
145
-
146
- elif current_regime == 'SHORT':
147
- if signal == "SHORT" and not short_market:
148
- if time_intervals % trade_time == 0 or sells is None:
149
- logger.info(f"Sending Sell Order .... SYMBOL={trade.symbol}, STRATEGY=SMA")
129
+ check(buys[symbol], sells[symbol], symbol)
130
+ elif signal == "LONG" and long_market[symbol]:
131
+ logger.info(
132
+ f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
133
+ check(buys[symbol], sells[symbol], symbol)
134
+
135
+ elif signal == "SHORT" and not short_market[symbol]:
136
+ if time_intervals % trade_time == 0 or sells[symbol] is None:
137
+ logger.info(
138
+ f"Sending sell Order ... SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
150
139
  trade.open_sell_position(
151
140
  mm=mm, comment=comment)
152
141
  else:
153
- check(buys, sells)
154
- elif signal == "SHORT" and short_market:
155
- logger.info(f"Sorry Risk not Allowed !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
156
- check(buys, sells)
157
- else:
158
- logger.info(f"There is no signal !! SYMBOL={trade.symbol}, STRATEGY=SMA")
159
- check(buys, sells)
160
- else:
161
- logger.info(f"Sorry It is Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
162
- check(buys, sells)
163
- except Exception as e:
164
- logger.error(f"{e}, SYMBOL={trade.symbol}, STRATEGY=SMA")
165
- time.sleep((60 * iter_time) - 1.5)
166
- if iter_time == 1:
167
- time_intervals += 1
168
- elif trade_time % iter_time == 0:
169
- time_intervals += iter_time
170
- else:
171
- raise ValueError(
172
- f"iter_time must be a multiple of the {tf} !!!"
173
- f"(e.g; if time_frame is 15m, iter_time must be 1.5, 3, 3, 15 etc)"
174
- )
175
- if period.lower() == 'month':
176
- if trade.days_end() and today != 'Friday':
177
- sleep_time = trade.sleep_time()
178
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
179
- time.sleep(60 * sleep_time)
180
- num_days += 1
181
-
182
- elif trade.days_end() and today == 'Friday':
183
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
184
- sleep_time = trade.sleep_time(weekend=True)
185
- time.sleep(60 * sleep_time)
186
- num_days += 1
187
-
188
- elif (
189
- trade.days_end()
190
- and today == 'Friday'
191
- and num_days >= 20
192
- ):
193
- trade.close_positions(position_type='all', comment=comment)
194
- logger.info(f"End of the Month !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
195
- trade.statistics(save=True)
196
- break
197
-
198
- elif period.lower() == 'week':
199
- if trade.days_end() and today != 'Friday':
200
- sleep_time = trade.sleep_time()
201
- time.sleep(60 * sleep_time)
202
-
203
- elif trade.days_end() and today == 'Friday':
204
- trade.close_positions(position_type='all', comment=comment)
205
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
206
- trade.statistics(save=True)
207
- break
208
-
209
- elif period.lower() == 'day':
210
- if trade.days_end():
211
- trade.close_positions(position_type='all', comment=comment)
212
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=SMA")
213
- trade.statistics(save=True)
214
- break
215
-
216
-
217
- # ========= PAIR TRADING =====================
218
- def pair_trading(
219
- pair: List[str] | Tuple[str],
220
- p0: Trade,
221
- p1: Trade,
222
- tf: str,
223
- /,
224
- max_t: Optional[int] = 1,
225
- mm: Optional[bool] = True,
226
- iter_time: Optional[int | float] = 30,
227
- risk_manager: Optional[str] = None,
228
- rm_ticker: Optional[str] = None,
229
- rm_window: Optional[int] = None,
230
- period: Literal['day', 'week', 'month'] = 'month',
231
- **kwargs
232
- ):
233
- """
234
- Implements a pair trading strategy with optional risk management
235
- using Hidden Markov Models (HMM). This strategy trades pairs of assets
236
- based on their historical price relationship, seeking to capitalize on converging prices.
237
-
238
- :param pair (list[str] | tuple[str]): The trading pair represented as a list or tuple of symbols (e.g., ['AAPL', 'GOOG']).
239
- :param p0 (Trade): Trade object for the first asset in the pair.
240
- :param p1 (Trade): Trade object for the second asset in the pair.
241
- :param tf (str): Time frame for the trading strategy (e.g., '1h' for 1 hour).
242
- :param max_t (int, optional): Maximum number of trades allowed at any time for each asset in the pair, defaults to 1.
243
-
244
- :param mm (bool, optional): Money management flag to enable/disable money management, defaults to True.
245
- :param iter_time (int | float ,optional): Iteration time (in minutes) for the trading loop, defaults to 30.
246
- :param risk_manager: Specifies the risk management model to use default is None , Hidden Markov Model ('hmm) Can be use.
247
- :param rm_window: Window size for the risk model use for the prediction, defaults to None. Must be specified if `risk_manager` is not None.
248
-
249
- :param period (str, optional): Trading period to reset statistics and close positions, can be 'day', 'week', or 'month'.
250
- :param kwargs: Additional keyword arguments for HMM risk manager.
251
-
252
- This function continuously evaluates the defined pair for trading opportunities
253
- based on the strategy logic, taking into account the specified risk management
254
- approach if applicable. It aims to profit from the mean reversion behavior typically
255
- observed in closely related financial instruments.
256
-
257
- Note:
258
- This function includes an infinite loop with time delays designed to run continuously during market hours.
259
- Proper exception handling and resource management are crucial for live trading environments.
260
- """
261
- regime = False
262
- if risk_manager is not None:
263
- assert rm_ticker is not None
264
- assert rm_window is not None
265
- regime = True
266
-
267
- def p0_check(p0_positions):
268
- if p0_positions is not None:
269
- logger.info(f"Checking for breakeven on {pair[0]} positions...STRATEGY=KLF")
270
- p0.break_even()
271
-
272
- def p1_check(p1_positions):
273
- if p1_positions is not None:
274
- logger.info(f"Checking for breakeven on {pair[1]} positions...STRATEGY=KLF")
275
- p1.break_even()
276
-
277
- time_frame_mapping = tf_mapping()
278
- if tf == 'D1':
279
- trade_time = p0.get_minutes()
280
- else:
281
- trade_time = time_frame_mapping[tf]
282
-
283
- if regime:
284
- if risk_manager == 'hmm':
285
- rate = Rates(rm_ticker, tf, 0)
286
- data = rate.get_rates_from_pos()
287
- hmm = HMMRiskManager(data=data, verbose=True, iterations=5000, **kwargs)
288
-
289
- time_intervals = 0
290
- long_market = False
291
- short_market = False
292
- num_days = 0
293
- logger.info(
294
- f'Running KLF Strategy on {pair[0]} and {pair[1]} in {tf} Interval ...\n')
295
- while True:
296
- current_date = datetime.now()
297
- today = current_date.strftime("%A")
298
- try:
299
- # Data Retrieval
300
- p0_ = Rates(pair[0], tf, 0, 10)
301
- p1_ = Rates(pair[1], tf, 0, 10)
302
-
303
- p0_data = p0_.get_close
304
- p1_data = p1_.get_close
305
- prices = np.array(
306
- [p0_data.values[-1], p1_data.values[-1]]
307
- )
308
- strategy = KLFStrategy(pair)
309
- if regime:
310
- if risk_manager == 'hmm':
311
- hmm_data = Rates(rm_ticker, tf, 0, rm_window)
312
- returns = hmm_data.get_returns.values
313
- current_regime = hmm.which_trade_allowed(returns)
314
- logger.info(f'CURRENT REGIME ={current_regime}, STRATEGY=KLF')
315
- else:
316
- current_regime = None
317
-
318
- p0_positions = p0.get_current_open_positions()
319
- time.sleep(0.5)
320
- p1_positions = p1.get_current_open_positions()
321
- time.sleep(0.5)
322
- p1_buys = p1.get_current_buys()
323
- p0_buys = p0.get_current_buys()
324
- time.sleep(0.5)
325
- if p1_buys is not None:
326
- logger.info(f"Current buy positions on {pair[1]}: {p1_buys}, STRATEGY=KLF")
327
- if p0_buys is not None:
328
- logger.info(f"Current buy positions on {pair[0]}: {p0_buys}, STRATEGY=KLF")
329
- time.sleep(0.5)
330
- p1_sells = p1.get_current_sells()
331
- p0_sells = p0.get_current_sells()
332
- time.sleep(0.5)
333
- if p1_sells is not None:
334
- logger.info(f"Current sell positions on {pair[1]}: {p1_sells}, STRATEGY=KLF")
335
- if p0_sells is not None:
336
- logger.info(f"Current sell positions on {pair[0]}: {p0_sells}, STRATEGY=KLF")
337
-
338
- p1_long_market = p1_buys is not None and len(p1_buys) >= max_t
339
- p0_long_market = p0_buys is not None and len(p0_buys) >= max_t
340
- p1_short_market = p1_sells is not None and len(p1_sells) >= max_t
341
- p0_short_market = p0_sells is not None and len(p0_sells) >= max_t
342
-
343
- logger.info(f"Calculating Signals SYMBOL={pair}...STRATEGY=KLF")
344
- signals = strategy.calculate_signals(prices)
345
- comment = f"{p0.expert_name}@{p0.version}"
346
-
347
- if signals is not None:
348
- logger.info(f'SIGNALS = {signals}, STRATEGY=KLF')
349
- if p0.trading_time() and today in TRADING_DAYS:
350
- p1_signal = signals[pair[1]]
351
- p0_signal = signals[pair[0]]
352
- if p1_signal == "EXIT" and p0_signal == "EXIT":
353
- if p1_positions is not None:
354
- logger.info(f"Exiting Positions On [{pair[1]}], STRATEGY=KLF")
355
- p1.close_positions(position_type='all', comment=comment)
356
- p1_long_market = False
357
- p1_short_market = False
358
- if p0_positions is not None:
359
- logger.info(f"Exiting Positions On [{pair[0]}], STRATEGY=KLF")
360
- p0.close_positions(position_type='all', comment=comment)
361
- p1_long_market = False
362
- p1_short_market = False
363
- if current_regime is not None:
364
- if (
365
- p1_signal == "LONG"
366
- and p0_signal == "SHORT"
367
- and current_regime == 'LONG'
368
- ):
369
- if not p1_long_market:
370
- if time_intervals % trade_time == 0 or p1_buys is None:
371
- logger.info(f"Going LONG on [{pair[1]}], STRATEGY=KLF")
372
- p1.open_buy_position(
373
- mm=mm, comment=comment)
374
- else:
375
- p1_check(p1_positions)
376
- else:
377
- logger.info(f"Sorry Risk Not allowed on [{pair[1]}], STRATEGY=KLF")
378
- p1_check(p1_positions)
379
-
380
- if not p0_short_market:
381
- if time_intervals % trade_time == 0 or p0_sells is None:
382
- logger.info(f"Going SHORT on [{pair[0]}]")
383
- p0.open_sell_position(
384
- mm=mm, comment=comment)
385
- else:
386
- p0_check(p0_positions)
387
- else:
388
- logger.info(
389
- f"Sorry Risk Not allowed on [{pair[0]}], STRATEGY=KLF")
390
- p0_check(p0_positions)
391
- elif (
392
- p1_signal == "SHORT"
393
- and p0_signal == "LONG"
394
- and current_regime == 'SHORT'
395
- ):
396
- if not p1_short_market:
397
- if time_intervals % trade_time == 0 or p1_sells is None:
398
- logger.info(f"Going SHORT on [{pair[1]}], STRATEGY=KLF")
399
- p1.open_sell_position(
400
- mm=mm, comment=comment)
401
- else:
402
- p1_check(p1_positions)
403
- else:
404
- logger.info(f"Sorry Risk Not allowed on [{pair[1]}], STRATEGY=KLF")
405
- p1_check(p1_positions)
406
-
407
- if not p0_long_market:
408
- if time_intervals % trade_time == 0 or p0_buys is None:
409
- logger.info(f"Going LONG on [{pair[0]}], STRATEGY=KLF")
410
- p0.open_buy_position(
411
- mm=mm, comment=comment)
412
- else:
413
- p0_check(p0_positions)
414
- else:
415
- logger.info(
416
- f"Sorry Risk Not allowed on [{pair[0]}], STRATEGY=KLF")
417
- p0_check(p0_positions)
142
+ check(buys[symbol], sells[symbol], symbol)
143
+ elif signal == "SHORT" and short_market[symbol]:
144
+ logger.info(
145
+ f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
146
+ check(buys[symbol], sells[symbol], symbol)
418
147
  else:
419
- if (
420
- p1_signal == "LONG"
421
- and p0_signal == "SHORT"
422
- ):
423
- if not p1_long_market:
424
- if time_intervals % trade_time == 0 or p1_buys is None:
425
- logger.info(f"Going LONG on [{pair[1]}], STRATEGY=KLF")
426
- p1.open_buy_position(
427
- mm=mm, comment=comment)
428
- else:
429
- p1_check(p1_positions)
430
- else:
431
- logger.info(f"Sorry Risk Not allowed on [{pair[1]}], STRATEGY=KLF")
432
- p1_check(p1_positions)
433
-
434
- if not p0_short_market:
435
- if time_intervals % trade_time == 0 or p0_sells is None:
436
- logger.info(f"Going SHORT on [{pair[0]}], STRATEGY=KLF")
437
- p0.open_sell_position(
438
- mm=mm, comment=comment)
439
- else:
440
- p0_check(p0_positions)
441
- else:
442
- logger.info(
443
- f"Sorry Risk Not allowed on [{pair[0]}], STRATEGY=KLF")
444
- p0_check(p0_positions)
445
- elif (
446
- p1_signal == "SHORT"
447
- and p0_signal == "LONG"
448
- ):
449
- if not p1_short_market:
450
- if time_intervals % trade_time == 0 or p1_sells is None:
451
- logger.info(f"Going SHORT on [{pair[1]}], STRATEGY=KLF")
452
- p1.open_sell_position(
453
- mm=mm, comment=comment)
454
- else:
455
- p1_check(p1_positions)
456
- else:
457
- logger.info(f"Sorry Risk Not allowed on [{pair[1]}], STRATEGY=KLF")
458
- p1_check(p1_positions)
459
-
460
- if not p0_long_market:
461
- if time_intervals % trade_time == 0 or p0_buys is None:
462
- logger.info(f"Going LONG on [{pair[0]}], STRATEGY=KLF")
463
- p0.open_buy_position(
464
- mm=mm, comment=comment)
465
- else:
466
- p0_check(p0_positions)
467
- else:
468
- logger.info(
469
- f"Sorry Risk Not allowed on [{pair[0]}], STRATEGY=KLF")
470
- p0_check(p0_positions)
148
+ logger.info(
149
+ f"There is no signal !! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
150
+ check(buys[symbol], sells[symbol], symbol)
471
151
  else:
472
152
  logger.info(
473
- f"It is Not trading time !!! STRATEGY=KLF, SYMBOLS={pair}")
474
- p0_check(p0_positions)
475
- p1_check(p1_positions)
476
- else:
477
- logger.info(
478
- f"There is no signal !!! STRATEGY=KLF, SYMBOLS={pair}")
479
-
480
- p0_check(p0_positions)
481
- p1_check(p1_positions)
153
+ f"Sorry It is Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
154
+ check(buys[symbol], sells[symbol], symbol)
482
155
 
483
- except Exception as e:
484
- logger.error(f"{e}, STRATEGY=KLF, SYMBOLS={pair}")
485
-
486
- time.sleep((60 * iter_time) - 2.5)
156
+ except Exception as e:
157
+ logger.error(f"{e}, SYMBOL={symbol}, STRATEGY={STRATEGY}")
487
158
 
159
+ time.sleep((60 * iter_time) - 1.0)
488
160
  if iter_time == 1:
489
161
  time_intervals += 1
490
162
  elif trade_time % iter_time == 0:
491
163
  time_intervals += iter_time
492
164
  else:
493
165
  raise ValueError(
494
- f"iter_time must be a multiple of the {tf} !!!"
166
+ f"iter_time must be a multiple of the {time_frame} !!!"
495
167
  f"(e.g; if time_frame is 15m, iter_time must be 1.5, 3, 3, 15 etc)"
496
168
  )
497
-
498
- if period.lower() == 'month':
499
- if p0.days_end() and today != 'Friday':
500
- logger.info(
501
- f"End of the Day !!! STRATEGY=KLF, SYMBOLS={pair}")
502
-
503
- sleep_time = p0.sleep_time()
504
- time.sleep(60 * sleep_time)
505
- num_days += 1
506
-
507
- elif p0.days_end() and today == 'Friday':
508
- logger.info(
509
- f"End of the Week !!! STRATEGY=KLF, SYMBOLS={pair}")
510
- sleep_time = p0.sleep_time(weekend=True)
511
- time.sleep(60 * sleep_time)
512
- num_days += 1
513
-
514
- elif (
515
- p0.days_end()
516
- and today == 'Friday'
517
- and num_days >= 20
518
- ):
519
- p0.close_positions(position_type='all', comment=comment)
520
- p1.close_positions(position_type='all', comment=comment)
521
- logger.info(
522
- f"End of the Month !!! STRATEGY=KLF, SYMBOLS={pair}")
523
- p0.statistics(save=True)
524
- p1.statistics(save=True)
525
- break
169
+ print()
170
+ if period.lower() == 'day':
171
+ for symbol in symbols:
172
+ trade = trades_instances[symbol]
173
+ if trade.days_end():
174
+ trade.close_positions(position_type='all', comment=comment)
175
+ logger.info(
176
+ f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
177
+ trade.statistics(save=True)
178
+ if trades_instances[symbols[-1]].days_end():
179
+ if period_end_action == 'break':
180
+ break
181
+ elif period_end_action == 'sleep':
182
+ sleep_time = trades_instances[symbols[-1]].sleep_time()
183
+ logger.info(f"Sleeping for {sleep_time} minutes ...")
184
+ time.sleep(60 * sleep_time)
185
+ logger.info("STARTING NEW TRADING SESSION ...\n")
526
186
 
527
187
  elif period.lower() == 'week':
528
- if p0.days_end() and today != 'Friday':
529
- sleep_time = p0.sleep_time()
530
- time.sleep(60 * sleep_time)
531
-
532
- elif p0.days_end() and today == 'Friday':
533
- p0.close_positions(position_type='all', comment=comment)
534
- p1.close_positions(position_type='all', comment=comment)
535
- logger.info(
536
- f"End of the Week !!! STRATEGY=KLF, SYMBOLS={pair}")
537
- p0.statistics(save=True)
538
- p1.statistics(save=True)
539
- break
540
-
541
- elif period.lower() == 'day':
542
- if p0.days_end():
543
- p0.close_positions(position_type='all', comment=comment)
544
- p1.close_positions(position_type='all', comment=comment)
545
- logger.info(
546
- f"End of the Day !!! STRATEGY=KLF, SYMBOLS={pair}")
547
- p0.statistics(save=True)
548
- p1.statistics(save=True)
549
- break
550
-
551
-
552
- # ========= ORNSTEIN UHLENBECK TRADING ========
553
- def ou_trading(
554
- trade: Trade,
555
- tf: Optional[str] = '1h',
556
- p: Optional[int] = 20,
557
- n: Optional[int] = 20,
558
- ou_window: Optional[int] = 2000,
559
- max_t: Optional[int] = 1,
560
- mm: Optional[bool] = True,
561
- iter_time: Optional[int | float] = 30,
562
- risk_manager: Optional[str] = None,
563
- rm_window: Optional[int] = None,
564
- period: Literal['day', 'week', 'month'] = 'month',
565
- **kwargs
566
- ):
567
- """
568
- Executes the Ornstein-Uhlenbeck (OU) trading strategy,
569
- incorporating various risk management and trading frequency adjustments.
570
-
571
- :param trade: A `Trade` instance, containing methods and attributes for executing trades.
572
- :param tf: Time frame for the trading strategy, default is '1h'.
573
- :param mm: Boolean indicating if money management is enabled, default is True.
574
- :param max_t: Maximum number of trades allowed at any given time, default is 1.
575
- :param p: Period length for calculating returns, default is 20.
576
- :param n: Window size for the Ornstein-Uhlenbeck strategy calculation, default is 20.
577
- :param iter_time: Iteration time for the trading loop, can be an integer or float.
578
- :param ou_window: Lookback period for the OU strategy, defaults to 2000.
579
- :param risk_manager: Specifies the risk management model to use
580
- default is None , Hidden Markov Model ('hmm) Can be use.
581
- :param rm_window: Window size for the risk model use for the prediction, defaults to None.
582
- Must be specified if `risk_manager` is not None.
583
- :param period: Defines the trading period as 'month', 'week', or 'day'
584
- affecting how and when positions are closed.
585
- :param kwargs: Additional keyword arguments for risk management models or other customizations.
586
-
587
- This function manages trading based on the OU strategy, adjusting for risk and time-based criteria.
588
- It includes handling of trading sessions, buy/sell signal generation, risk management through the HMM model, and period-based
589
- trading evaluation.
590
- """
591
- regime = False
592
- if risk_manager is not None:
593
- if risk_manager.lower() == 'hmm':
594
- assert rm_window is not None
595
- regime = True
596
-
597
- rate = Rates(trade.symbol, tf, 0)
598
- data = rate.get_rates_from_pos()
599
- def check(buys: list, sells: list):
600
- if buys is not None or sells is not None:
601
- logger.info(f"Checking for Break even on {trade.symbol}... STRATEGY=OU")
602
- trade.break_even()
603
-
604
- time_frame_mapping = tf_mapping()
605
- if tf == 'D1':
606
- trade_time = trade.get_minutes()
607
- else:
608
- trade_time = time_frame_mapping[tf]
609
-
610
- if regime:
611
- if risk_manager == 'hmm':
612
- hmm = HMMRiskManager(data=data, verbose=True, **kwargs)
613
- strategy = OrnsteinUhlenbeck(data['Close'].values[-ou_window:], timeframe=tf)
614
-
615
- time_intervals = 0
616
- long_market = False
617
- short_market = False
618
- num_days = 0
619
- logger.info(f'Running OU Strategy on {trade.symbol} in {tf} Interval ...\n')
620
- while True:
621
- current_date = datetime.now()
622
- today = current_date.strftime("%A")
623
- try:
624
- buys = trade.get_current_buys()
625
- if buys is not None:
626
- logger.info(f"Current buy positions on {trade.symbol}: {buys}, STRATEGY=OU")
627
- sells = trade.get_current_sells()
628
- if sells is not None:
629
- logger.info(f"Current sell positions on {trade.symbol}: {sells}, STRATEGY=OU")
630
- long_market = buys is not None and len(buys) >= max_t
631
- short_market = sells is not None and len(sells) >= max_t
632
-
633
- time.sleep(0.5)
634
- if regime:
635
- if risk_manager == 'hmm':
636
- hmm_returns = Rates(trade.symbol, tf, 0, rm_window)
637
- hmm_returns_val = hmm_returns.get_returns.values
638
- current_regime = hmm.which_trade_allowed(hmm_returns_val)
188
+ for symbol in symbols:
189
+ trade = trades_instances[symbol]
190
+ if trade.days_end() and today != 'friday':
639
191
  logger.info(
640
- f'CURRENT REGIME = {current_regime}, SYMBOL={trade.symbol}, STRATEGY=OU')
641
- else:
642
- current_regime = None
643
- logger.info(f"Calculating signal... SYMBOL={trade.symbol}, STRATEGY=OU")
644
- ou_returns = Rates(trade.symbol, tf, 0, p)
645
- returns_val = ou_returns.get_returns.values
646
- signal = strategy.calculate_signals(returns_val, p=p, n=n)
647
- comment = f"{trade.expert_name}@{trade.version}"
648
- if trade.trading_time() and today in TRADING_DAYS:
649
- if signal is not None:
650
- logger.info(f"SIGNAL = {signal}, SYMBOL={trade.symbol}, STRATEGY=OU")
651
- if signal == "LONG" and short_market:
652
- trade.close_positions(position_type='sell')
653
- short_market = False
654
- elif signal == "SHORT" and long_market:
655
- trade.close_positions(position_type='buy')
656
- long_market = False
657
- if current_regime is not None:
658
- if current_regime == 'LONG':
659
- if signal == "LONG" and not long_market:
660
- if time_intervals % trade_time == 0 or buys is None:
661
- logger.info(f"Sending buy Order .... SYMBOL={trade.symbol}, STRATEGY=OU")
662
- trade.open_buy_position(
663
- mm=mm, comment=comment)
664
- else:
665
- check(buys, sells)
666
-
667
- elif signal == "LONG" and long_market:
668
- logger.info(f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY=OU")
669
- check(buys, sells)
192
+ f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
670
193
 
671
- elif current_regime == 'SHORT':
672
- if signal == "SHORT" and not short_market:
673
- if time_intervals % trade_time == 0 or sells is None:
674
- logger.info(f"Sending Sell Order .... SYMBOL={trade.symbol}, STRATEGY=OU")
675
- trade.open_sell_position(
676
- mm=mm, comment=comment)
677
- else:
678
- check(buys, sells)
679
- elif signal == "SHORT" and short_market:
680
- logger.info(f"Sorry Risk not Allowed !!! SYMBOL={trade.symbol}, STRATEGY=OU")
681
- check(buys, sells)
682
- else:
683
- if signal == "LONG" and not long_market:
684
- if time_intervals % trade_time == 0 or buys is None:
685
- logger.info(f"Sending buy Order .... SYMBOL={trade.symbol}, STRATEGY=OU")
686
- trade.open_buy_position(mm=mm, comment=comment)
687
- else:
688
- check(buys, sells)
689
-
690
- elif signal == "LONG" and long_market:
691
- logger.info(f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY=OU")
692
- check(buys, sells)
693
-
694
- if signal == "SHORT" and not short_market:
695
- if time_intervals % trade_time == 0 or sells is None:
696
- logger.info(f"Sending Sell Order .... SYMBOL={trade.symbol}, STRATEGY=OU")
697
- trade.open_sell_position(
698
- mm=mm, comment=comment)
699
- else:
700
- check(buys, sells)
701
- elif signal == "SHORT" and short_market:
702
- logger.info(f"Sorry Risk not Allowed !!! SYMBOL={trade.symbol}, STRATEGY=OU")
703
- check(buys, sells)
704
- else:
705
- logger.info(f"There is no signal !!! SYMBOL={trade.symbol}, STRATEGY=OU")
706
- check(buys, sells)
707
- else:
708
- logger.info(f"Sorry It is Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY=OU")
709
- check(buys, sells)
710
- except Exception as e:
711
- print(f"{e}, SYMBOL={trade.symbol}, STRATEGY=OU")
712
- time.sleep((60 * iter_time) - 1.5)
713
- if iter_time == 1:
714
- time_intervals += 1
715
- elif trade_time % iter_time == 0:
716
- time_intervals += iter_time
717
- else:
718
- raise ValueError(
719
- f"iter_time must be a multiple of the {tf} !!!"
720
- f"(e.g; if time_frame is 15m, iter_time must be 1.5, 3, 3, 15 etc)"
721
- )
722
-
723
- if period.lower() == 'month':
724
- if trade.days_end() and today != 'Friday':
725
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=OU")
726
- sleep_time = trade.sleep_time()
194
+ elif trade.days_end() and today == 'friday':
195
+ trade.close_positions(position_type='all', comment=comment)
196
+ logger.info(
197
+ f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
198
+ trade.statistics(save=True)
199
+ if trades_instances[symbols[-1]].days_end() and today != 'friday':
200
+ sleep_time = trades_instances[symbols[-1]].sleep_time()
201
+ logger.info(f"Sleeping for {sleep_time} minutes ...")
727
202
  time.sleep(60 * sleep_time)
728
- num_days += 1
203
+ logger.info("STARTING NEW TRADING SESSION ...\n")
204
+ elif trades_instances[symbols[-1]].days_end() and today == 'friday':
205
+ if period_end_action == 'break':
206
+ break
207
+ elif period_end_action == 'sleep':
208
+ sleep_time = trades_instances[symbols[-1]].sleep_time(weekend=True)
209
+ logger.info(f"Sleeping for {sleep_time} minutes ...")
210
+ time.sleep(60 * sleep_time)
211
+ logger.info("STARTING NEW TRADING SESSION ...\n")
212
+
213
+ elif period.lower() == 'month':
214
+ for symbol in symbols:
215
+ trade = trades_instances[symbol]
216
+ if trade.days_end() and today != 'friday':
217
+ logger.info(
218
+ f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
729
219
 
730
- elif trade.days_end() and today == 'Friday':
731
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=OU")
732
- sleep_time = trade.sleep_time(weekend=True)
220
+ elif trade.days_end() and today == 'friday':
221
+ logger.info(
222
+ f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
223
+ elif (
224
+ trade.days_end()
225
+ and today == 'friday'
226
+ and num_days/len(symbols) >= 20
227
+ ):
228
+ trade.close_positions(position_type='all', comment=comment)
229
+ logger.info(
230
+ f"End of the Month !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY}")
231
+ trade.statistics(save=True)
232
+ if trades_instances[symbols[-1]].days_end() and today != 'friday':
233
+ sleep_time = trades_instances[symbols[-1]].sleep_time()
234
+ logger.info(f"Sleeping for {sleep_time} minutes ...")
733
235
  time.sleep(60 * sleep_time)
236
+ logger.info("STARTING NEW TRADING SESSION ...\n")
734
237
  num_days += 1
735
-
736
- elif (
737
- trade.days_end()
738
- and today == 'Friday'
739
- and num_days >= 20
740
- ):
741
- trade.close_positions(position_type='all', comment=comment)
742
- logger.info(f"End of the Month !!! SYMBOL={trade.symbol}, STRATEGY=OU")
743
- trade.statistics(save=True)
744
- break
745
-
746
- elif period.lower() == 'week':
747
- if trade.days_end() and today != 'Friday':
748
- sleep_time = trade.sleep_time()
238
+ elif trades_instances[symbols[-1]].days_end() and today == 'friday':
239
+ sleep_time = trades_instances[symbols[-1]
240
+ ].sleep_time(weekend=True)
241
+ logger.info(f"Sleeping for {sleep_time} minutes ...")
749
242
  time.sleep(60 * sleep_time)
750
-
751
- elif trade.days_end() and today == 'Friday':
752
- trade.close_positions(position_type='all', comment=comment)
753
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=OU")
754
- trade.statistics(save=True)
243
+ logger.info("STARTING NEW TRADING SESSION ...\n")
244
+ num_days += 1
245
+ elif (trades_instances[symbols[-1]].days_end()
246
+ and today == 'friday'
247
+ and num_days/len(symbols) >= 20
248
+ ):
755
249
  break
756
250
 
757
- elif period.lower() == 'day':
758
- if trade.days_end():
759
- trade.close_positions(position_type='all', comment=comment)
760
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=OU")
761
- trade.statistics(save=True)
762
- break
763
251
 
252
+ def _tws_execution(*args, **kwargs):
253
+ raise NotImplementedError("TWS Execution is not yet implemented !!!")
764
254
 
765
- # ========= ARIMA + GARCH TRADING =======================
766
- def arch_trading(
767
- trade: Trade,
768
- tf: str = 'D1',
769
- k: int = 500,
770
- max_t: Optional[int] = 1,
771
- mm: Optional[bool] = True,
772
- iter_time: Optional[int | float] = 30,
773
- risk_manager: Optional[str] = None,
774
- rm_window: Optional[int] = None,
775
- period: Literal['day', 'week', 'month'] = 'month',
776
- **kwargs
777
- ):
255
+ _TERMINALS = {
256
+ 'MT5': _mt5_execution,
257
+ 'TWS': _tws_execution
258
+ }
259
+ class ExecutionEngine():
778
260
  """
779
- Executes trading based on the ARCH (Autoregressive Conditional Heteroskedasticity) model, with
780
- the capability to incorporate a risk management strategy, specifically a Hidden Markov Model (HMM),
781
- to adjust trading decisions based on the market regime.
782
-
783
- :param trade: A `Trade` instance, necessary for executing trades and managing positions.
784
- :param tf: Time frame for the trading data, default is 'D1' (daily).
785
- :param k: Number of past points to consider for the ARCH model analysis, default is 500.
786
- :param mm: Boolean flag indicating if money management strategies should be applied, default is True.
787
- :param max_t: Maximum number of trades allowed at any given time, default is 1.
788
- :param iter_time: Time in minutes between each iteration of the trading loop. Can be an integer or float.
789
- :param risk_manager: Specifies the risk management model to use. Default is None.
790
- :param rm_window: Window size for the risk model use for the prediction, defaults to None.
791
- Must be specified if `risk_manager` is not None.
792
- :param period: Trading period to consider for closing positions, options are 'month', 'week', or 'day'.
793
- This affects the frequency at which statistics are calculated and positions are closed.
794
- :param kwargs: Additional keyword arguments for the risk management models or other strategy-specific settings.
795
-
796
- This function is designed to perform trading based on ARCH model predictions, managing risk using an HMM where
797
- applicable, and handling trade executions and position management based on the specified parameters. It includes
798
- considerations for trading times, money management, and periodic evaluation of trading performance.
261
+ The `ExecutionEngine` class serves as the central hub for executing your trading strategies within the `bbstrader` framework.
262
+ It orchestrates the entire trading process, ensuring seamless interaction between your strategies, market data, and your chosen
263
+ trading platform (currently MetaTrader 5 (MT5) and Interactive Brokers TWS).
264
+
265
+ Key Features
266
+ ------------
267
+
268
+ - **Strategy Execution:** The `ExecutionEngine` is responsible for running your strategy, retrieving signals, and executing trades based on those signals.
269
+ - **Time Management:** You can define a specific time frame for your trades and set the frequency with which the engine checks for signals and manages trades.
270
+ - **Trade Period Control:** Define whether your strategy runs for a day, a week, or a month, allowing for flexible trading durations.
271
+ - **Money Management:** The engine supports optional money management features, allowing you to control risk and optimize your trading performance.
272
+ - **Trading Day Configuration:** You can customize the days of the week your strategy will execute, providing granular control over your trading schedule.
273
+ - **Platform Integration:** The `ExecutionEngine` is currently designed to work with both MT5 and TWS platforms, ensuring compatibility and flexibility in your trading environment.
274
+
275
+ Examples
276
+ --------
277
+
278
+ >>> from bbstrader.metatrader import create_trade_instance
279
+ >>> from bbstrader.trading.execution import ExecutionEngine
280
+ >>> from bbstrader.trading.strategies import StockIndexCFDTrading
281
+ >>> from bbstrader.metatrader.utils import config_logger
282
+ >>>
283
+ >>> if __name__ == '__main__':
284
+ >>> logger = config_logger(index_trade.log, console_log=True)
285
+ >>> # Define symbols
286
+ >>> ndx = '[NQ100]'
287
+ >>> spx = '[SP500]'
288
+ >>> dji = '[DJI30]'
289
+ >>> dax = 'GERMANY40'
290
+ >>>
291
+ >>> symbol_list = [spx, dax, dji, ndx]
292
+ >>>
293
+ >>> trade_kwargs = {
294
+ ... 'expert_id': 5134,
295
+ ... 'version': 2.0,
296
+ ... 'time_frame': '15m',
297
+ ... 'var_level': 0.99,
298
+ ... 'start_time': '8:30',
299
+ ... 'finishing_time': '19:30',
300
+ ... 'ending_time': '21:30',
301
+ ... 'max_risk': 5.0,
302
+ ... 'daily_risk': 0.10,
303
+ ... 'pchange_sl': 1.5,
304
+ ... 'rr': 3.0,
305
+ ... 'logger': logger
306
+ ... }
307
+ >>> strategy_kwargs = {
308
+ ... 'max_trades': {ndx: 3, spx: 3, dji: 3, dax: 3},
309
+ ... 'expected_returns': {ndx: 1.5, spx: 1.5, dji: 1.0, dax: 1.0},
310
+ ... 'strategy_name': 'SISTBO',
311
+ ... 'logger': logger,
312
+ ... 'expert_id': 5134
313
+ ... }
314
+ >>> trades_instances = create_trade_instance(
315
+ ... symbol_list, trade_kwargs,
316
+ ... logger=logger,
317
+ ... )
318
+ >>>
319
+ >>> engine = ExecutionEngine(
320
+ ... symbol_list,
321
+ ... trades_instances,
322
+ ... StockIndexCFDTrading,
323
+ ... time_frame='15m',
324
+ ... iter_time=5,
325
+ ... mm=True,
326
+ ... period='week',
327
+ ... comment='bbs_SISTBO_@2.0',
328
+ ... **strategy_kwargs
329
+ ... )
330
+ >>> engine.run(terminal='MT5')
799
331
  """
800
- regime = False
801
- if risk_manager is not None:
802
- if risk_manager.lower() == 'hmm':
803
- assert rm_window is not None
804
- regime = True
805
-
806
- def check(buys: list, sells: list):
807
- if buys is not None or sells is not None:
808
- logger.info(f"Checking for Break even on {trade.symbol}...")
809
- trade.break_even()
810
-
811
- time_frame_mapping = tf_mapping()
812
- if tf == 'D1':
813
- trade_time = trade.get_minutes()
814
- else:
815
- trade_time = time_frame_mapping[tf]
816
-
817
- rate = Rates(trade.symbol, tf, 0)
818
- data = rate.get_rates_from_pos()
819
- strategy = ArimaGarchStrategy(trade.symbol, data, k=k)
820
- if regime:
821
- if risk_manager == 'hmm':
822
- hmm = HMMRiskManager(data=data, verbose=True, iterations=5000, **kwargs)
823
-
824
- time_intervals = 0
825
- long_market = False
826
- short_market = False
827
- num_days = 0
828
- logger.info(
829
- f'Running ARIMA + GARCH Strategy on {trade.symbol} in {tf} Interval ...\n')
830
- while True:
831
- current_date = datetime.now()
832
- today = current_date.strftime("%A")
833
- try:
834
- buys = trade.get_current_buys()
835
- if buys is not None:
836
- logger.info(f"Current buy positions on {trade.symbol}: {buys}, STRATEGY=ARCH")
837
- sells = trade.get_current_sells()
838
- if sells is not None:
839
- logger.info(f"Current sell positions on {trade.symbol}: {sells}, STRATEGY=ARCH")
840
- long_market = buys is not None and len(buys) >= max_t
841
- short_market = sells is not None and len(sells) >= max_t
842
-
843
- time.sleep(0.5)
844
- if regime:
845
- if risk_manager == 'hmm':
846
- hmm_returns = Rates(trade.symbol, tf, 0, rm_window)
847
- hmm_returns_val = hmm_returns.get_returns.values
848
- current_regime = hmm.which_trade_allowed(hmm_returns_val)
849
- logger.info(f'CURRENT REGIME = {current_regime}, SYMBOL={trade.symbol}, STRATEGY=ARCH')
850
- else:
851
- current_regime = None
852
- logger.info(f"Calculating Signal ... SYMBOL={trade.symbol}, STRATEGY=ARCH")
853
- arch_data = Rates(trade.symbol, tf, 0, k)
854
- rates = arch_data.get_rates_from_pos()
855
- arch_returns = strategy.load_and_prepare_data(rates)
856
- window_data = arch_returns['diff_log_return'].iloc[-k:]
857
- signal = strategy.calculate_signals(window_data)
858
-
859
- comment = f"{trade.expert_name}@{trade.version}"
860
- if trade.trading_time() and today in TRADING_DAYS:
861
- if signal is not None:
862
- logger.info(f"SIGNAL = {signal}, SYMBOL={trade.symbol}, STRATEGY=ARCH")
863
- if signal == "LONG" and short_market:
864
- trade.close_positions(position_type='sell')
865
- short_market = False
866
- elif signal == "SHORT" and long_market:
867
- trade.close_positions(position_type='buy')
868
- long_market = False
869
- if current_regime is not None:
870
- if current_regime == 'LONG':
871
- if signal == "LONG" and not long_market:
872
- if time_intervals % trade_time == 0 or buys is None:
873
- logger.info(f"Sending buy Order .... SYMBOL={trade.symbol}, STRATEGY=ARCH")
874
- trade.open_buy_position(
875
- mm=mm, comment=comment)
876
- else:
877
- check(buys, sells)
878
-
879
- elif signal == "LONG" and long_market:
880
- logger.info(f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
881
- check(buys, sells)
882
-
883
- elif current_regime == 'SHORT':
884
- if signal == "SHORT" and not short_market:
885
- if time_intervals % trade_time == 0 or sells is None:
886
- logger.info(f"Sending Sell Order .... SYMBOL={trade.symbol}, STRATEGY=ARCH")
887
- trade.open_sell_position(
888
- mm=mm, comment=comment)
889
- else:
890
- check(buys, sells)
891
- elif signal == "SHORT" and short_market:
892
- logger.info(f"Sorry Risk not Allowed !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
893
- check(buys, sells)
894
- else:
895
- if signal == "LONG" and not long_market:
896
- if time_intervals % trade_time == 0 or buys is None:
897
- logger.info(f"Sending buy Order .... SYMBOL={trade.symbol}, STRATEGY=ARCH")
898
- trade.open_buy_position(mm=mm, comment=comment)
899
- else:
900
- check(buys, sells)
901
-
902
- elif signal == "LONG" and long_market:
903
- logger.info(f"Sorry Risk not allowed !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
904
- check(buys, sells)
905
-
906
- if signal == "SHORT" and not short_market:
907
- if time_intervals % trade_time == 0 or sells is None:
908
- logger.info(f"Sending Sell Order .... SYMBOL={trade.symbol}, STRATEGY=ARCH")
909
- trade.open_sell_position(
910
- mm=mm, comment=comment)
911
- else:
912
- check(buys, sells)
913
-
914
- elif signal == "SHORT" and short_market:
915
- logger.info(f"Sorry Risk not Allowed !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
916
- check(buys, sells)
917
- else:
918
- logger.info("There is no signal !!")
919
- check(buys, sells)
920
- else:
921
- logger.info(f"Sorry It is Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
922
- check(buys, sells)
923
332
 
924
- except Exception as e:
925
- print(f"{e}, SYMBOL={trade.symbol}, STRATEGY=ARCH")
926
-
927
- time.sleep((60 * iter_time) - 1.5)
928
- if iter_time == 1:
929
- time_intervals += 1
930
- elif trade_time % iter_time == 0:
931
- time_intervals += iter_time
932
- else:
333
+ def __init__(self,
334
+ symbol_list: List[str],
335
+ trades_instances: Dict[str, Trade],
336
+ strategy_cls: Strategy,
337
+ /,
338
+ mm: Optional[bool] = True,
339
+ trail: Optional[bool] = True,
340
+ stop_trail: Optional[int] = None,
341
+ trail_after_points: Optional[int] = None,
342
+ be_plus_points: Optional[int] = None,
343
+ time_frame: Optional[str] = '15m',
344
+ iter_time: Optional[int | float] = 5,
345
+ period: Literal['day', 'week', 'month'] = 'week',
346
+ period_end_action: Literal['break', 'sleep'] = 'break',
347
+ trading_days: Optional[List[str]] = TradingDays,
348
+ comment: Optional[str] = None,
349
+ **kwargs
350
+ ):
351
+ """
352
+ Args:
353
+ symbol_list : List of symbols to trade
354
+ trades_instances : Dictionary of Trade instances
355
+ strategy_cls : Strategy class to use for trading
356
+ mm : Enable Money Management. Defaults to False.
357
+ time_frame : Time frame to trade. Defaults to '15m'.
358
+ iter_time : Interval to check for signals and `mm`. Defaults to 5.
359
+ period : Period to trade. Defaults to 'week'.
360
+ period_end_action : Action to take at the end of the period. Defaults to 'break',
361
+ this only applies when period is 'day', 'week'.
362
+ trading_days : Trading days in a week. Defaults to monday to friday.
363
+ comment: Comment for trades. Defaults to None.
364
+ **kwargs: Additional keyword arguments
365
+ - strategy_name (Optional[str]): Strategy name. Defaults to None.
366
+ - max_trades (Dict[str, int]): Maximum trades per symbol. Defaults to None.
367
+ - logger (Optional[logging.Logger]): Logger instance. Defaults to None.
368
+
369
+ Note:
370
+ 1. For `trail` , `stop_trail` , `trail_after_points` , `be_plus_points` see `bbstrader.metatrader.trade.Trade.break_even()` .
371
+ 2. All Strategies must inherit from `bbstrader.btengine.strategy.Strategy` class
372
+ and have a `calculate_signals` method that returns a dictionary of signals for each symbol in symbol_list.
373
+
374
+ 3. All strategies must have the following arguments in their `__init__` method:
375
+ - bars (DataHandler): DataHandler instance default to None
376
+ - events (Queue): Queue instance default to None
377
+ - symbol_list (List[str]): List of symbols to trade can be none for backtesting
378
+ - mode (str): Mode of the strategy. Must be either 'live' or 'backtest'
379
+ - **kwargs: Additional keyword arguments
380
+ The keyword arguments are all the additional arguments passed to the `ExecutionEngine` class,
381
+ the `Strategy` class, the `DataHandler` class, the `Portfolio` class and the `ExecutionHandler` class.
382
+ - The `bars` and `events` arguments are used for backtesting only.
383
+
384
+ 4. All strategies must generate signals for backtesting and live trading.
385
+ See the `bbstrader.trading.strategies` module for more information on how to create custom strategies.
386
+ """
387
+ self.symbol_list = symbol_list
388
+ self.trades_instances = trades_instances
389
+ self.strategy_cls = strategy_cls
390
+ self.mm = mm
391
+ self.trail = trail
392
+ self.stop_trail = stop_trail
393
+ self.trail_after_points = trail_after_points
394
+ self.be_plus_points = be_plus_points
395
+ self.time_frame = time_frame
396
+ self.iter_time = iter_time
397
+ self.period = period
398
+ self.period_end_action = period_end_action
399
+ self.trading_days = trading_days
400
+ self.comment = comment
401
+ self.kwargs = kwargs
402
+
403
+ def run(self, terminal: Literal['MT5', 'TWS']):
404
+ if terminal not in _TERMINALS:
933
405
  raise ValueError(
934
- f"iter_time must be a multiple of the {tf} !!!"
935
- f"(e.g; if time_frame is 15m, iter_time must be 1.5, 3, 3, 15 etc)"
406
+ f"Invalid terminal: {terminal}. Must be either 'MT5' or 'TWS'")
407
+ _TERMINALS[terminal](
408
+ self.symbol_list,
409
+ self.trades_instances,
410
+ self.strategy_cls,
411
+ mm=self.mm,
412
+ trail=self.trail,
413
+ stop_trail=self.stop_trail,
414
+ trail_after_points=self.trail_after_points,
415
+ be_plus_points=self.be_plus_points,
416
+ time_frame=self.time_frame,
417
+ iter_time=self.iter_time,
418
+ period=self.period,
419
+ period_end_action=self.period_end_action,
420
+ trading_days=self.trading_days,
421
+ comment=self.comment,
422
+ **self.kwargs
936
423
  )
937
-
938
- if period.lower() == 'month':
939
- if trade.days_end() and today != 'Friday':
940
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
941
- sleep_time = trade.sleep_time()
942
- time.sleep(60 * sleep_time)
943
- num_days += 1
944
-
945
- elif trade.days_end() and today == 'Friday':
946
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
947
- sleep_time = trade.sleep_time(weekend=True)
948
- time.sleep(60 * sleep_time)
949
- num_days += 1
950
-
951
- elif (
952
- trade.days_end()
953
- and today == 'Friday'
954
- and num_days >= 20
955
- ):
956
- trade.close_positions(position_type='all', comment=comment)
957
- logger.info(f"End of the Month !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
958
- trade.statistics(save=True)
959
- break
960
-
961
- elif period.lower() == 'week':
962
- if trade.days_end() and today != 'Friday':
963
- sleep_time = trade.sleep_time()
964
- time.sleep(60 * sleep_time)
965
-
966
- elif trade.days_end() and today == 'Friday':
967
- trade.close_positions(position_type='all', comment=comment)
968
- logger.info(f"End of the Week !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
969
- trade.statistics(save=True)
970
- break
971
-
972
- elif period.lower() == 'day':
973
- if trade.days_end():
974
- trade.close_positions(position_type='all', comment=comment)
975
- logger.info(f"End of the Day !!! SYMBOL={trade.symbol}, STRATEGY=ARCH")
976
- trade.statistics(save=True)
977
- break