bbstrader 0.1.93__py3-none-any.whl → 0.2.0__py3-none-any.whl

bbstrader/__ini__.py

@@ -5,9 +5,9 @@ Simplified Investment & Trading Toolkit
 """
 __author__      = "Bertin Balouki SIMYELI"
 __copyright__   = "2023-2024 Bertin Balouki SIMYELI"
-__email__       = "bbalouki@outlook.com"
+__email__       = "bertin@bbstrader.com"
 __license__     = "MIT"
-__version__     = '0.1.91'
+__version__     = '0.2.0'
 
 
 from bbstrader import btengine

bbstrader/btengine/data.py

@@ -10,13 +10,18 @@ from bbstrader.metatrader.rates import download_historical_data
 from bbstrader.btengine.event import MarketEvent
 from bbstrader.config import BBSTRADER_DIR
 from datetime import datetime
+from eodhd import APIClient
+from financetoolkit import Toolkit
+from pytz import timezone
 
 
 __all__ = [
     "DataHandler",
     "CSVDataHandler",
     "MT5DataHandler",
-    "YFDataHandler"
+    "YFDataHandler",
+    "EODHDataHandler",
+    "FMPDataHandler",
 ]
 
 
@@ -148,12 +153,19 @@ class BaseCSVDataHandler(DataHandler):
     @property
     def symbols(self)-> List[str]:
         return self.symbol_list
+    
     @property
     def data(self)-> Dict[str, pd.DataFrame]:
         return self.symbol_data
+    
+    @property
+    def datadir(self)-> str:
+        return self.csv_dir
+    
     @property
     def labels(self)-> List[str]:
         return self.columns
+    
     @property
     def index(self)-> str | List[str]:
         return self._index
@@ -167,7 +179,7 @@ class BaseCSVDataHandler(DataHandler):
                 os.path.join(self.csv_dir, f'{self.symbol_list[0]}.csv')
                 ).columns.to_list()
         new_names = self.columns or default_names
-        new_names = [name.lower().replace(' ', '_') for name in new_names]
+        new_names = [name.strip().lower().replace(' ', '_') for name in new_names]
         self.columns = new_names
         assert 'adj_close' in new_names or 'close' in new_names, \
             "Column names must contain 'Adj Close' and 'Close' or adj_close and close"
@@ -198,6 +210,7 @@ class BaseCSVDataHandler(DataHandler):
                 'adj_close' if 'adj_close' in new_names else 'close'
             ].pct_change().dropna()
             self._index = self.symbol_data[s].index.name
+            self.symbol_data[s].to_csv(os.path.join(self.csv_dir, f'{s}.csv'))
             if self.events is not None:
                 self.symbol_data[s] = self.symbol_data[s].iterrows()
 
@@ -340,7 +353,13 @@ class CSVDataHandler(BaseCSVDataHandler):
         """
         csv_dir = kwargs.get("csv_dir")
         csv_dir =  csv_dir or BBSTRADER_DIR / 'csv_data'
-        super().__init__(events, symbol_list, csv_dir)
+        super().__init__(
+            events, 
+            symbol_list, 
+            csv_dir,
+            columns  =kwargs.get('columns'),
+            index_col=kwargs.get('index_col', 0)
+        )
 
 
 class MT5DataHandler(BaseCSVDataHandler):
@@ -372,32 +391,41 @@ class MT5DataHandler(BaseCSVDataHandler):
             See `bbstrader.metatrader.rates.Rates` for other arguments.
             See `bbstrader.btengine.data.BaseCSVDataHandler` for other arguments.
         """
-        self.tf = kwargs.get('time_frame', 'D1')
-        self.start = kwargs.get('mt5_start', datetime(2000, 1, 1))
-        self.end = kwargs.get('mt5_end', datetime.now())
-        self.use_utc = kwargs.get('use_utc', False)
-        self.filer = kwargs.get('filter', False)
-        self.fill_na = kwargs.get('fill_na', False)
+        self.tf         = kwargs.get('time_frame', 'D1')
+        self.start      = kwargs.get('mt5_start', datetime(2000, 1, 1))
+        self.end        = kwargs.get('mt5_end', datetime.now())
+        self.use_utc    = kwargs.get('use_utc', False)
+        self.filer      = kwargs.get('filter', False)
+        self.fill_na    = kwargs.get('fill_na', False)
         self.lower_cols = kwargs.get('lower_cols', True)
-        self.data_dir = kwargs.get('data_dir')
+        self.data_dir   = kwargs.get('data_dir')
         self.symbol_list = symbol_list
-        csv_dir = self._download_data(self.data_dir)
-        super().__init__(events, symbol_list, csv_dir)
+        self.kwargs = kwargs
+        
+        csv_dir = self._download_and_cache_data(self.data_dir)
+        super().__init__(
+            events,
+            symbol_list,
+            csv_dir,
+            columns  =kwargs.get('columns'),
+            index_col=kwargs.get('index_col', 0)
+        )
 
-    def _download_data(self, cache_dir: str):
-        data_dir = cache_dir or BBSTRADER_DIR /  'mt5_data' / self.tf 
+    def _download_and_cache_data(self, cache_dir: str):
+        data_dir = cache_dir or BBSTRADER_DIR /  'mt5' / self.tf 
         data_dir.mkdir(parents=True, exist_ok=True)
         for symbol in self.symbol_list:
             try:
                 data = download_historical_data(
                     symbol=symbol,
-                    time_frame=self.tf,
+                    timeframe=self.tf,
                     date_from=self.start, 
-                    date_to=self.end, 
+                    date_to=self.end,
                     utc=self.use_utc,
                     filter=self.filer,
                     fill_na=self.fill_na,
-                    lower_colnames=self.lower_cols
+                    lower_colnames=self.lower_cols,
+                    **self.kwargs
                 )
                 if data is None:
                     raise ValueError(f"No data found for {symbol}")
@@ -432,56 +460,229 @@ class YFDataHandler(BaseCSVDataHandler):
             See `bbstrader.btengine.data.BaseCSVDataHandler` for other arguments.
         """
         self.symbol_list = symbol_list
-        self.start_date = kwargs.get('yf_start', '2000-01-01')
-        self.end_date = kwargs.get('yf_end', datetime.now().strftime('%Y-%m-%d'))
-        self.cache_dir = kwargs.get('data_dir')
+        self.start_date  = kwargs.get('yf_start')
+        self.end_date    = kwargs.get('yf_end', datetime.now())
+        self.cache_dir   = kwargs.get('data_dir')
+        
         csv_dir = self._download_and_cache_data(self.cache_dir)
-        super().__init__(events, symbol_list, csv_dir)
+        
+        super().__init__(
+            events,
+            symbol_list,
+            csv_dir,
+            columns  =kwargs.get('columns'),
+            index_col=kwargs.get('index_col', 0)
+        )
 
     def _download_and_cache_data(self, cache_dir: str):
         """Downloads and caches historical data as CSV files."""
-        cache_dir = cache_dir or BBSTRADER_DIR / 'yf_data' / 'daily'
+        cache_dir = cache_dir or BBSTRADER_DIR / 'yfinance' / 'daily'
         os.makedirs(cache_dir, exist_ok=True)
         for symbol in self.symbol_list:
             filepath = os.path.join(cache_dir, f"{symbol}.csv")
             try:
                 data = yf.download(
-                    symbol, start=self.start_date, end=self.end_date, multi_level_index=False)
+                    symbol, start=self.start_date, end=self.end_date, 
+                    multi_level_index=False, progress=False)
                 if data.empty:
                     raise ValueError(f"No data found for {symbol}")
-                data.to_csv(filepath)  # Cache the data
+                data.to_csv(filepath)
             except Exception as e:
                 raise ValueError(f"Error downloading {symbol}: {e}")
         return cache_dir
 
 
-# TODO # Get data from EODHD
-# https://eodhd.com/
 class EODHDataHandler(BaseCSVDataHandler):
-    ...
+    """
+    Downloads historical data from EOD Historical Data.
+    Data is fetched using the `eodhd` library.
 
-# TODO # Get data from FMP using Financialtoolkit API
-# https://github.com/bbalouki/FinanceToolkit
-class FMPDataHandler(BaseCSVDataHandler):
-    ...
+    To use this class, you need to sign up for an API key at 
+    https://eodhistoricaldata.com/ and provide the key as an argument.
+    """
+    def __init__(self, events: Queue, symbol_list: List[str], **kwargs):
+        """
+        Args:
+            events (Queue): The Event Queue for passing market events.
+            symbol_list (list[str]): List of symbols to download data for.
+            eodhd_start (str): Start date for historical data (YYYY-MM-DD).
+            eodhd_end (str): End date for historical data (YYYY-MM-DD).
+            data_dir (str, optional): Directory for caching data .
+            eodhd_period (str, optional): Time period for historical data (e.g., 'd', 'w', 'm', '1m', '5m', '1h').
+            eodhd_api_key (str, optional): API key for EOD Historical Data.
 
+        Note:
+            See `bbstrader.btengine.data.BaseCSVDataHandler` for other arguments.
+        """
+        self.symbol_list = symbol_list
+        self.start_date  = kwargs.get('eodhd_start')
+        self.end_date    = kwargs.get('eodhd_end', datetime.now().strftime('%Y-%m-%d'))
+        self.period      = kwargs.get('eodhd_period', 'd')
+        self.cache_dir   = kwargs.get('data_dir')
+        self.__api_key   = kwargs.get('eodhd_api_key', 'demo')
+
+        csv_dir = self._download_and_cache_data(self.cache_dir)
+        
+        super().__init__(
+            events, 
+            symbol_list,
+            csv_dir,
+            columns  =kwargs.get('columns'),
+            index_col=kwargs.get('index_col', 0)
+        )
 
-class AlgoseekDataHandler(BaseCSVDataHandler):
-    ...
+    def _get_data(self, symbol: str, period) -> pd.DataFrame | List[Dict]:
+        if not self.__api_key:
+            raise ValueError("API key is required for EODHD data.")
+        client = APIClient(api_key=self.__api_key)
+        if period in ['d', 'w', 'm']:
+            return client.get_historical_data(
+                symbol=symbol,
+                interval=period, 
+                iso8601_start=self.start_date,
+                iso8601_end=self.end_date,
+            )
+        elif period in ['1m', '5m', '1h']:
+            hms = ' 00:00:00'
+            fmt = '%Y-%m-%d %H:%M:%S'
+            startdt = datetime.strptime(self.start_date + hms, fmt)
+            enddt = datetime.strptime(self.end_date + hms, fmt)
+            startdt = startdt.replace(tzinfo=timezone('UTC'))
+            enddt = enddt.replace(tzinfo=timezone('UTC'))
+            unix_start = int(startdt.timestamp())
+            unix_end = int(enddt.timestamp())
+            return client.get_intraday_historical_data(
+                symbol=symbol,
+                interval=period, 
+                from_unix_time=unix_start,
+                to_unix_time=unix_end,
+            )
+    
+    def _forma_data(self, data: List[Dict] | pd.DataFrame) -> pd.DataFrame:
+        if isinstance(data, pd.DataFrame):
+            if data.empty or len(data) == 0:
+                raise ValueError("No data found.")
+            df = data.drop(labels=['symbol', 'interval'], axis=1)
+            df = df.rename(columns={'adjusted_close': 'adj_close'})
+            return df
+        
+        elif isinstance(data, list):
+            if not data or len(data) == 0:
+                raise ValueError("No data found.")
+            df = pd.DataFrame(data)
+            df = df.drop(columns=['timestamp', 'gmtoffset'], axis=1)
+            df = df.rename(columns={'datetime': 'date'})
+            df['adj_close'] = df['close']
+            df = df[['date', 'open', 'high', 'low', 'close', 'adj_close', 'volume']]
+            df.date = pd.to_datetime(df.date)
+            df = df.set_index('date')
+            return df
+    
+    def _download_and_cache_data(self, cache_dir: str):
+        """Downloads and caches historical data as CSV files."""
+        cache_dir = cache_dir or BBSTRADER_DIR / 'eodhd' / self.period
+        os.makedirs(cache_dir, exist_ok=True)
+        for symbol in self.symbol_list:
+            filepath = os.path.join(cache_dir, f"{symbol}.csv")
+            try:
+                data = self._get_data(symbol, self.period)
+                data = self._forma_data(data)
+                data.to_csv(filepath)
+            except Exception as e:
+                raise ValueError(f"Error downloading {symbol}: {e}")
+        return cache_dir
 
 
-class BaseFMPDataHanler(object):
+class FMPDataHandler(BaseCSVDataHandler):
     """
-    This will serve as the base class for all other FMP data 
-    that is not historical data and does not have an OHLC structure.
+    Downloads historical data from Financial Modeling Prep (FMP).
+    Data is fetched using the `financetoolkit` library.
+
+    To use this class, you need to sign up for an API key at
+    https://financialmodelingprep.com/developer/docs/pricing and
+    provide the key as an argument.
+
     """
-    ...
+    def __init__(self, events: Queue, symbol_list: List[str], **kwargs):
+        """
+        Args:
+            events (Queue): The Event Queue for passing market events.
+            symbol_list (list[str]): List of symbols to download data for.
+            fmp_start (str): Start date for historical data (YYYY-MM-DD).
+            fmp_end (str): End date for historical data (YYYY-MM-DD).
+            data_dir (str, optional): Directory for caching data .
+            fmp_period (str, optional): Time period for historical data 
+                (e.g. daily, weekly, monthly, quarterly, yearly, "1min", "5min", "15min", "30min", "1hour").
+            fmp_api_key (str): API key for Financial Modeling Prep.
 
+        Note:
+            See `bbstrader.btengine.data.BaseCSVDataHandler` for other arguments.
+        """
+        self.symbol_list = symbol_list
+        self.start_date  = kwargs.get('fmp_start')
+        self.end_date    = kwargs.get('fmp_end', datetime.now().strftime('%Y-%m-%d'))
+        self.period      = kwargs.get('fmp_period', 'daily')
+        self.cache_dir   = kwargs.get('data_dir')
+        self.__api_key   = kwargs.get('fmp_api_key')
 
-class FMPFundamentalDataHandler(BaseFMPDataHanler):
-    ...
+        csv_dir = self._download_and_cache_data(self.cache_dir)
+        
+        super().__init__(
+            events,
+            symbol_list,
+            csv_dir,
+            columns  =kwargs.get('columns'),
+            index_col=kwargs.get('index_col', 0)
+        )
 
-# TODO Add other Handlers for FMP
+    def _get_data(self, symbol: str, period: str) -> pd.DataFrame:
+        if not self.__api_key:
+            raise ValueError("API key is required for FMP data.")
+        toolkit = Toolkit(
+            symbol,
+            api_key=self.__api_key,
+            start_date=self.start_date, 
+            end_date=self.end_date,
+            benchmark_ticker=None,
+            progress_bar=False
+        )
+        if period in ['daily', 'weekly', 'monthly', 'quarterly', 'yearly']:
+            return toolkit.get_historical_data(period=period, progress_bar=False)
+        elif period in ['1min', '5min', '15min', '30min', '1hour']:
+            return toolkit.get_intraday_data(period=period, progress_bar=False)
+        
+    def _format_data(self, data: pd.DataFrame, period: str) -> pd.DataFrame:
+        if data.empty or len(data) == 0:
+            raise ValueError("No data found.")
+        if period[0].isnumeric():
+            data = data.drop(columns=['Return', 'Volatility', 'Cumulative Return'], axis=1)
+        else:
+            data = data.drop(columns=['Dividends', 'Return', 'Volatility', 
+                         'Excess Return', 'Excess Volatility', 
+                         'Cumulative Return'], axis=1)
+        data = data.reset_index()
+        if 'Adj Close' not in data.columns:
+            data['Adj Close'] = data['Close']
+        data['date'] = data['date'].dt.to_timestamp()
+        data['date'] = pd.to_datetime(data['date'])
+        data.set_index('date', inplace=True)
+        return data
+    
+    def _download_and_cache_data(self, cache_dir: str):
+        """Downloads and caches historical data as CSV files."""
+        cache_dir = cache_dir or BBSTRADER_DIR / 'fmp' / self.period
+        os.makedirs(cache_dir, exist_ok=True)
+        for symbol in self.symbol_list:
+            filepath = os.path.join(cache_dir, f"{symbol}.csv")
+            try:
+                data = self._get_data(symbol, self.period)
+                data = self._format_data(data, self.period)
+                data.to_csv(filepath)
+            except Exception as e:
+                raise ValueError(f"Error downloading {symbol}: {e}")
+        return cache_dir
 
 
 # TODO Add data Handlers for Interactive Brokers
+class TWSDataHandler(BaseCSVDataHandler):
+    ...

bbstrader/btengine/strategy.py

@@ -86,6 +86,7 @@ class MT5Strategy(Strategy):
         self.tf = kwargs.get("time_frame", 'D1')
         self.logger = kwargs.get("logger")
         self._initialize_portfolio()
+        self.kwargs = kwargs
 
     @property
     def cash(self) -> float:
@@ -201,19 +202,22 @@ class MT5Strategy(Strategy):
         - ``action``: The action to take for the symbol (LONG, SHORT, EXIT, etc.)
         - ``price``: The price at which to execute the action.
         - ``stoplimit``: The stop-limit price for STOP-LIMIT orders.
+        - ``id``: The unique identifier for the strategy or order.
 
-        The dictionary can be use for pending orders (limit, stop, stop-limit) where the price is required.
+        The dictionary can be use for pending orders (limit, stop, stop-limit) where the price is required
+        or for executing orders where the each order has a unique identifier.
         """
         pass
 
-    def apply_risk_management(self, optimer, freq=252) -> Dict[str, float] | None:
+    def apply_risk_management(self, optimer, symbols=None, freq=252) -> Dict[str, float] | None:
         """
         Apply risk management rules to the strategy.
         """
         if optimer is None:
             return None
+        symbols = symbols or self.symbols
         prices = self.get_asset_values(
-            symbol_list=self.symbols, bars=self.data, mode=self.mode, 
+            symbol_list=symbols, bars=self.data, mode=self.mode, 
             window=freq, value_type='close', array=False, tf=self.tf
         )
         prices = pd.DataFrame(prices)
@@ -222,7 +226,7 @@ class MT5Strategy(Strategy):
             weights = optimized_weights(prices=prices, freq=freq, method=optimer)
             return {symbol: weight for symbol, weight in weights.items()}
         except Exception:
-            return {symbol: 0.0 for symbol in self.symbols}
+            return {symbol: 0.0 for symbol in symbols}
 
     def get_quantity(self, symbol, weight,   price=None, volume=None, maxqty=None) -> int:
         """
@@ -530,7 +534,7 @@ class MT5Strategy(Strategy):
                     asset_values[asset] = getattr(values, value_type)    
         elif mode == 'live':
             for asset in symbol_list:
-                rates = Rates(symbol=asset, time_frame=tf, count=window + 1)
+                rates = Rates(asset, timeframe=tf, count=window + 1, **self.kwargs)
                 if array:
                     values = getattr(rates, value_type).values
                     asset_values[asset] = values[~np.isnan(values)]
@@ -575,11 +579,11 @@ class MT5Strategy(Strategy):
         Returns:
             bool : True if there are open positions, False otherwise
         """
-        account = account or Account()
+        account = account or Account(**self.kwargs)
         positions = account.get_positions(symbol=symbol)
         if positions is not None:
             open_positions = [
-                pos for pos in positions if pos.type == position
+                pos.ticket for pos in positions if pos.type == position
                 and pos.magic == strategy_id
             ]
             if one_true:
@@ -600,7 +604,7 @@ class MT5Strategy(Strategy):
         Returns:
             prices : numpy array of buy or sell prices for open positions if any or an empty array.
         """
-        account = account or Account()
+        account = account or Account(**self.kwargs)
         positions = account.get_positions(symbol=symbol)
         if positions is not None:
             prices = np.array([

bbstrader/config.py

@@ -3,6 +3,10 @@ from typing import List
 from pathlib import Path
 from datetime import datetime
 
+
+ADMIRAL_PATH = "C:\\Program Files\\Admirals Group MT5 Terminal\\terminal64.exe"
+FTMO_PATH    = "C:\\Program Files\\FTMO MetaTrader 5\\terminal64.exe"
+
 def get_config_dir(name: str=".bbstrader") -> Path:
     """
     Get the path to the configuration directory.

bbstrader/core/data.py

@@ -0,0 +1,23 @@
+import pandas as pd
+import numpy as np
+from financetoolkit import Toolkit
+
+
+__all__ = [
+    'FMP',
+]
+
+class FMP(Toolkit):
+    """
+    FMPData class for fetching data from Financial Modeling Prep API
+    using the Toolkit class from financetoolkit package.
+
+    See `financetoolkit` for more details.
+
+    """
+    def __init__(self, api_key: str ='', symbols: str | list = 'AAPL'):
+        super().__init__(tickers=symbols, api_key=api_key)
+
+
+class DataBendo:
+    ...

bbstrader/metatrader/account.py

@@ -125,9 +125,57 @@ AMG_EXCHANGES = {
     'XSWX': r"Switzerland.*\(SWX\)"
 }
 
-def check_mt5_connection():
+def check_mt5_connection(**kwargs):
+    """
+    Initialize the connection to the MetaTrader 5 terminal.
+
+    Args:
+        path (str, optional): The path to the MetaTrader 5 terminal executable file. 
+            Defaults to None (e.g., "C:\\Program Files\\MetaTrader 5\\terminal64.exe").
+        login (int, optional): The login ID of the trading account. Defaults to None.
+        password (str, optional): The password of the trading account. Defaults to None.
+        server (str, optional): The name of the trade server to which the client terminal is connected. 
+            Defaults to None.
+        timeout (int, optional): Connection timeout in milliseconds. Defaults to 60_000.
+        portable (bool, optional): If True, the portable mode of the terminal is used. 
+            Defaults to False (See https://www.metatrader5.com/en/terminal/help/start_advanced/start#portable).
+    
+    Notes:
+        If you want to lunch multiple terminal instances:
+        - Follow these instructions to lunch each terminal in portable mode first:
+            https://www.metatrader5.com/en/terminal/help/start_advanced/start#configuration_file
+    """
+    path     = kwargs.get('path', None)
+    login    = kwargs.get('login', None)
+    password = kwargs.get('password', None)
+    server   = kwargs.get('server', None)
+    timeout  = kwargs.get('timeout', 60_000)
+    portable = kwargs.get('portable', False)
+
+    if path is None and (login or password or server):
+        raise ValueError(
+            f"You must provide a path to the terminal executable file"
+            f"when providing login, password or server"
+        )
     try:
-        init = mt5.initialize()
+        if path is not None:
+            if (
+                login is not None and 
+                password is not None and 
+                server is not None
+            ):
+                init = mt5.initialize(
+                    path=path,
+                    login=login,
+                    password=password,
+                    server=server,
+                    timeout=timeout,
+                    portable=portable
+                )
+            else:
+                init = mt5.initialize(path=path)
+        else:
+            init = mt5.initialize()
         if not init:
             raise_mt5_error(INIT_MSG)
     except Exception:
@@ -135,9 +183,9 @@ def check_mt5_connection():
 
 
 class Broker(object):
-    def __init__(self, name: str=None):
+    def __init__(self, name: str=None, **kwargs):
         if name is None:
-            check_mt5_connection()
+            check_mt5_connection(**kwargs)
             self._name = mt5.account_info().company
         else:
             self._name = name
@@ -157,8 +205,8 @@ class Broker(object):
 
 
 class AdmiralMarktsGroup(Broker):
-    def __init__(self):
-        super().__init__("Admirals Group AS")
+    def __init__(self, **kwargs):
+        super().__init__("Admirals Group AS", **kwargs)
     
     @property
     def timezone(self) -> str:
@@ -166,8 +214,8 @@ class AdmiralMarktsGroup(Broker):
 
 
 class JustGlobalMarkets(Broker):
-    def __init__(self):
-        super().__init__("Just Global Markets Ltd.")
+    def __init__(self, **kwargs):
+        super().__init__("Just Global Markets Ltd.", **kwargs)
 
     @property
     def timezone(self) -> str:
@@ -175,8 +223,8 @@ class JustGlobalMarkets(Broker):
 
 
 class FTMO(Broker):
-    def __init__(self):
-        super().__init__("FTMO S.R.O.")
+    def __init__(self, **kwargs):
+        super().__init__("FTMO S.R.O.", **kwargs)
     
     @property
     def timezone(self) -> str:
@@ -230,8 +278,14 @@ class Account(object):
         >>> trade_history = account.get_trade_history(from_date, to_date)
     """
 
-    def __init__(self):
-        check_mt5_connection()
+    def __init__(self, **kwargs):
+        """
+        Initialize the Account class.
+
+        See `bbstrader.metatrader.account.check_mt5_connection()` for more details on how to connect to MT5 terminal.
+
+        """
+        check_mt5_connection(**kwargs)
         self._check_brokers()
 
     def _check_brokers(self):