bbstrader 0.2.92__py3-none-any.whl → 0.2.94__py3-none-any.whl

bbstrader/__ini__.py

@@ -1,20 +1,20 @@
-"""
-Simplified Investment & Trading Toolkit
-=======================================
-
-"""
-
-__author__ = "Bertin Balouki SIMYELI"
-__copyright__ = "2023-2025 Bertin Balouki SIMYELI"
-__email__ = "bertin@bbstrader.com"
-__license__ = "MIT"
-__version__ = "0.2.0"
-
-from bbstrader import compat  # noqa: F401
-from bbstrader import core  # noqa: F401
-from bbstrader import btengine  # noqa: F401
-from bbstrader import metatrader  # noqa: F401
-from bbstrader import models  # noqa: F401
-from bbstrader import trading  # noqa: F401
-from bbstrader import tseries  # noqa: F401
-from bbstrader.config import config_logger  # noqa: F401
+"""
+Simplified Investment & Trading Toolkit
+=======================================
+
+"""
+
+__author__ = "Bertin Balouki SIMYELI"
+__copyright__ = "2023-2025 Bertin Balouki SIMYELI"
+__email__ = "bertin@bbstrader.com"
+__license__ = "MIT"
+__version__ = "0.2.0"
+
+from bbstrader import compat  # noqa: F401
+from bbstrader import core  # noqa: F401
+from bbstrader import btengine  # noqa: F401
+from bbstrader import metatrader  # noqa: F401
+from bbstrader import models  # noqa: F401
+from bbstrader import trading  # noqa: F401
+from bbstrader import tseries  # noqa: F401
+from bbstrader.config import config_logger  # noqa: F401

bbstrader/__main__.py

@@ -1,50 +1,50 @@
-import argparse
-import sys
-
-import pyfiglet
-from colorama import Fore
-
-from bbstrader.btengine.scripts import backtest
-from bbstrader.metatrader.scripts import copy_trades
-from bbstrader.trading.script import execute_strategy
-
-DESCRIPTION = "BBSTRADER"
-USAGE_TEXT = """
-    Usage:
-        python -m bbstrader --run <module> [options]
-
-    Modules:
-        copier: Copy trades from one MetaTrader account to another or multiple accounts
-        backtest: Backtest a strategy, see bbstrader.btengine.backtest.run_backtest
-        execution: Execute a strategy, see bbstrader.trading.execution.MT5ExecutionEngine
-    
-    run <module> --help for more information on the module
-"""
-
-FONT = pyfiglet.figlet_format("BBSTRADER", font="big")
-
-
-def main():
-    print(Fore.BLUE + FONT)
-    parser = argparse.ArgumentParser(
-        prog="BBSTRADER",
-        usage=USAGE_TEXT,
-        description=DESCRIPTION,
-        formatter_class=argparse.RawTextHelpFormatter,
-        add_help=False,
-    )
-    parser.add_argument("--run", type=str, nargs="?", default=None, help="Run a module")
-    args, unknown = parser.parse_known_args()
-    if ("-h" in sys.argv or "--help" in sys.argv) and args.run is None:
-        print(USAGE_TEXT)
-        sys.exit(0)
-    if args.run == "copier":
-        copy_trades(unknown)
-    elif args.run == "backtest":
-        backtest(unknown)
-    elif args.run == "execution":
-        execute_strategy(unknown)
-
-
-if __name__ == "__main__":
-    main()
+import argparse
+import sys
+
+import pyfiglet
+from colorama import Fore
+
+from bbstrader.btengine.scripts import backtest
+from bbstrader.metatrader.scripts import copy_trades
+from bbstrader.trading.script import execute_strategy
+
+DESCRIPTION = "BBSTRADER"
+USAGE_TEXT = """
+    Usage:
+        python -m bbstrader --run <module> [options]
+
+    Modules:
+        copier: Copy trades from one MetaTrader account to another or multiple accounts
+        backtest: Backtest a strategy, see bbstrader.btengine.backtest.run_backtest
+        execution: Execute a strategy, see bbstrader.trading.execution.MT5ExecutionEngine
+    
+    python -m bbstrader --run <module> --help for more information on the module
+"""
+
+FONT = pyfiglet.figlet_format("BBSTRADER", font="big")
+
+
+def main():
+    print(Fore.BLUE + FONT)
+    parser = argparse.ArgumentParser(
+        prog="BBSTRADER",
+        usage=USAGE_TEXT,
+        description=DESCRIPTION,
+        formatter_class=argparse.RawTextHelpFormatter,
+        add_help=False,
+    )
+    parser.add_argument("--run", type=str, nargs="?", default=None, help="Run a module")
+    args, unknown = parser.parse_known_args()
+    if ("-h" in sys.argv or "--help" in sys.argv) and args.run is None:
+        print(USAGE_TEXT)
+        sys.exit(0)
+    if args.run == "copier":
+        copy_trades(unknown)
+    elif args.run == "backtest":
+        backtest(unknown)
+    elif args.run == "execution":
+        execute_strategy(unknown)
+
+
+if __name__ == "__main__":
+    main()

bbstrader/btengine/__init__.py

@@ -1,54 +1,54 @@
-"""
-Overview
-========
-
-This Backtesting Module provides a comprehensive suite of tools to test trading strategies in an event-driven system. 
-It simulates the execution of trades in historical market conditions to evaluate the performance of trading strategies 
-before applying them in live trading environments. Designed with modularity and extensibility in mind, it caters to 
-both novices and experts in algorithmic trading.
-
-Features
-========
-
-- **Event-Driven Architecture**: Processes market data, generates signals, executes orders, and manages portfolio updates in response to events, closely mimicking live trading environments.
-- **Historical Market Data Support**: Utilizes historical OHLCV data from CSV files, Yahoo finance and MT5 terminal allowing for the testing of strategies over various market conditions and time frames.
-- **Performance Metrics Calculation**: Includes tools for calculating key performance indicators, such as `Sharpe Ratio`, `Sortino Ratio`, and `drawdowns`, to evaluate the effectiveness of trading strategies.
-- **Visualization**: Generates plots of the `equity curve`, `returns`, `drawdowns`, and other metrics for comprehensive strategy `performance analysis`.
-
-Components
-==========
-
-- **BacktestEgine**: Orchestrates the backtesting process, managing events and invoking components.
-- **Event**: Abstract class for events, with implementations for market data, signals, fill and order events.
-- **DataHandler**: Abstract class for market data handling, with an implementation for `CSVDataHandler`, `MT5DataHandler`, `YFDataHandler`. We will add another data handling in the future such as MacroEconomic Data, Fundamental Data, TICK Data and Real-time Data.
-- **Portfolio**: Manages positions and calculates performance metrics, responding to market data and signals.
-- **ExecutionHandler**: Abstract class for order execution, with a simulated execution handler provided with an implementation for `SimExecutionHandler`.
-- **Performance**: Utility functions for calculating performance metrics and visualizing strategy performance.
-
-Examples
-========
-
->>> from bbstrader.btengine import run_backtest
->>> from datetime import datetime
->>> run_backtest(
-...     symbol_list=['AAPL', 'GOOG'],
-...     start_date=datetime(2020, 1, 1),
-...     data_handler=DataHandler,
-...     strategy=Strategy,
-...     exc_handler=ExecutionHandler,
-...     initial_capital=500000.0,
-...     heartbeat=1.0
-... )
-
-Notes
-=====
-
-See `bbstrader.btengine.backtest.run_backtest` for more details on the backtesting process and its parameters.
-"""
-from bbstrader.btengine.backtest import *  # noqa: F403
-from bbstrader.btengine.data import *  # noqa: F403
-from bbstrader.btengine.event import *  # noqa: F403
-from bbstrader.btengine.execution import *  # noqa: F403
-from bbstrader.btengine.performance import *  # noqa: F403
-from bbstrader.btengine.portfolio import *  # noqa: F403
-from bbstrader.btengine.strategy import *  # noqa: F403
+"""
+Overview
+========
+
+This Backtesting Module provides a comprehensive suite of tools to test trading strategies in an event-driven system. 
+It simulates the execution of trades in historical market conditions to evaluate the performance of trading strategies 
+before applying them in live trading environments. Designed with modularity and extensibility in mind, it caters to 
+both novices and experts in algorithmic trading.
+
+Features
+========
+
+- **Event-Driven Architecture**: Processes market data, generates signals, executes orders, and manages portfolio updates in response to events, closely mimicking live trading environments.
+- **Historical Market Data Support**: Utilizes historical OHLCV data from CSV files, Yahoo finance and MT5 terminal allowing for the testing of strategies over various market conditions and time frames.
+- **Performance Metrics Calculation**: Includes tools for calculating key performance indicators, such as `Sharpe Ratio`, `Sortino Ratio`, and `drawdowns`, to evaluate the effectiveness of trading strategies.
+- **Visualization**: Generates plots of the `equity curve`, `returns`, `drawdowns`, and other metrics for comprehensive strategy `performance analysis`.
+
+Components
+==========
+
+- **BacktestEgine**: Orchestrates the backtesting process, managing events and invoking components.
+- **Event**: Abstract class for events, with implementations for market data, signals, fill and order events.
+- **DataHandler**: Abstract class for market data handling, with an implementation for `CSVDataHandler`, `MT5DataHandler`, `YFDataHandler`. We will add another data handling in the future such as MacroEconomic Data, Fundamental Data, TICK Data and Real-time Data.
+- **Portfolio**: Manages positions and calculates performance metrics, responding to market data and signals.
+- **ExecutionHandler**: Abstract class for order execution, with a simulated execution handler provided with an implementation for `SimExecutionHandler`.
+- **Performance**: Utility functions for calculating performance metrics and visualizing strategy performance.
+
+Examples
+========
+
+>>> from bbstrader.btengine import run_backtest
+>>> from datetime import datetime
+>>> run_backtest(
+...     symbol_list=['AAPL', 'GOOG'],
+...     start_date=datetime(2020, 1, 1),
+...     data_handler=DataHandler,
+...     strategy=Strategy,
+...     exc_handler=ExecutionHandler,
+...     initial_capital=500000.0,
+...     heartbeat=1.0
+... )
+
+Notes
+=====
+
+See `bbstrader.btengine.backtest.run_backtest` for more details on the backtesting process and its parameters.
+"""
+from bbstrader.btengine.backtest import *  # noqa: F403
+from bbstrader.btengine.data import *  # noqa: F403
+from bbstrader.btengine.event import *  # noqa: F403
+from bbstrader.btengine.execution import *  # noqa: F403
+from bbstrader.btengine.performance import *  # noqa: F403
+from bbstrader.btengine.portfolio import *  # noqa: F403
+from bbstrader.btengine.strategy import *  # noqa: F403

bbstrader/btengine/data.py

@@ -175,9 +175,9 @@ class BaseCSVDataHandler(DataHandler):
         new_names = self.columns or default_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"
+        assert "adj_close" in new_names or "close" in new_names, (
+            "Column names must contain 'Adj Close' and 'Close' or adj_close and close"
+        )
         comb_index = None
         for s in self.symbol_list:
             # Load the CSV file with no header information,
@@ -207,7 +207,9 @@ class BaseCSVDataHandler(DataHandler):
                 self.columns.append("adj_close")
                 self.symbol_data[s]["adj_close"] = self.symbol_data[s]["close"]
             self.symbol_data[s]["returns"] = (
-                self.symbol_data[s]["adj_close" if "adj_close" in new_names else "close"]
+                self.symbol_data[s][
+                    "adj_close" if "adj_close" in new_names else "close"
+                ]
                 .pct_change()
                 .dropna()
             )
@@ -362,7 +364,7 @@ class CSVDataHandler(BaseCSVDataHandler):
 
         """
         csv_dir = kwargs.get("csv_dir")
-        csv_dir = csv_dir or BBSTRADER_DIR / "csv_data"
+        csv_dir = csv_dir or BBSTRADER_DIR / "data" / "csv_data"
         super().__init__(
             events,
             symbol_list,
@@ -422,7 +424,7 @@ class MT5DataHandler(BaseCSVDataHandler):
         )
 
     def _download_and_cache_data(self, cache_dir: str):
-        data_dir = cache_dir or BBSTRADER_DIR / "mt5" / self.tf
+        data_dir = cache_dir or BBSTRADER_DIR / "data" / "mt5" / self.tf
         data_dir.mkdir(parents=True, exist_ok=True)
         for symbol in self.symbol_list:
             try:
@@ -486,7 +488,7 @@ class YFDataHandler(BaseCSVDataHandler):
 
     def _download_and_cache_data(self, cache_dir: str):
         """Downloads and caches historical data as CSV files."""
-        cache_dir = cache_dir or BBSTRADER_DIR / "yfinance" / "daily"
+        cache_dir = cache_dir or BBSTRADER_DIR / "data" / "yfinance" / "daily"
         os.makedirs(cache_dir, exist_ok=True)
         for symbol in self.symbol_list:
             filepath = os.path.join(cache_dir, f"{symbol}.csv")
@@ -598,7 +600,7 @@ class EODHDataHandler(BaseCSVDataHandler):
 
     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
+        cache_dir = cache_dir or BBSTRADER_DIR / "data" / "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")
@@ -699,7 +701,7 @@ class FMPDataHandler(BaseCSVDataHandler):
 
     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
+        cache_dir = cache_dir or BBSTRADER_DIR / "data" / "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")

bbstrader/btengine/scripts.py

@@ -1,157 +1,157 @@
-import argparse
-import json
-import os
-import sys
-from datetime import datetime
-
-from bbstrader.btengine.backtest import run_backtest
-from bbstrader.btengine.data import (
-    CSVDataHandler,
-    DataHandler,
-    EODHDataHandler,
-    FMPDataHandler,
-    MT5DataHandler,
-    YFDataHandler,
-)
-from bbstrader.btengine.execution import (
-    ExecutionHandler,
-    MT5ExecutionHandler,
-    SimExecutionHandler,
-)
-from bbstrader.core.utils import load_class, load_module
-
-BACKTEST_PATH = os.path.expanduser("~/.bbstrader/backtest/backtest.py")
-CONFIG_PATH = os.path.expanduser("~/.bbstrader/backtest/backtest.json")
-
-DATA_HANDLER_MAP = {
-    "csv": CSVDataHandler,
-    "mt5": MT5DataHandler,
-    "yf": YFDataHandler,
-    "eodh": EODHDataHandler,
-    "fmp": FMPDataHandler,
-}
-
-EXECUTION_HANDLER_MAP = {
-    "sim": SimExecutionHandler,
-    "mt5": MT5ExecutionHandler,
-}
-
-
-def load_exc_handler(module, handler_name):
-    return load_class(module, handler_name, ExecutionHandler)
-
-
-def load_data_handler(module, handler_name):
-    return load_class(module, handler_name, DataHandler)
-
-
-def load_strategy(module, strategy_name):
-    from bbstrader.btengine.strategy import MT5Strategy, Strategy
-
-    return load_class(module, strategy_name, (Strategy, MT5Strategy))
-
-
-def load_config(config_path, strategy_name):
-    if not os.path.exists(config_path):
-        raise FileNotFoundError(
-            f"Configuration file {config_path} not found. Please create it."
-        )
-
-    with open(config_path, "r") as f:
-        config = json.load(f)
-    try:
-        config = config[strategy_name]
-    except KeyError:
-        raise ValueError(
-            f"Strategy {strategy_name} not found in the configuration file."
-        )
-
-    required_fields = ["symbol_list", "start_date", "data_handler", "execution_handler"]
-    for field in required_fields:
-        if not config.get(field):
-            raise ValueError(f"{field} is required in the configuration file.")
-
-    config["start_date"] = datetime.strptime(config["start_date"], "%Y-%m-%d")
-
-    if config.get("execution_handler") not in EXECUTION_HANDLER_MAP:
-        try:
-            backtest_module = load_module(BACKTEST_PATH)
-            exc_handler_class = load_exc_handler(
-                backtest_module, config["execution_handler"]
-            )
-        except Exception as e:
-            raise ValueError(f"Invalid execution handler: {e}")
-    else:
-        exc_handler_class = EXECUTION_HANDLER_MAP[config["execution_handler"]]
-
-    if config.get("data_handler") not in DATA_HANDLER_MAP:
-        try:
-            backtest_module = load_module(BACKTEST_PATH)
-            data_handler_class = load_data_handler(
-                backtest_module, config["data_handler"]
-            )
-        except Exception as e:
-            raise ValueError(f"Invalid data handler: {e}")
-    else:
-        data_handler_class = DATA_HANDLER_MAP[config["data_handler"]]
-
-    config["execution_handler"] = exc_handler_class
-    config["data_handler"] = data_handler_class
-
-    return config
-
-
-def backtest(unknown):
-    HELP_MSG = """
-    Usage:
-        python -m bbstrader --run backtest [options]
-
-    Options:
-        -s, --strategy: Strategy class name to run
-        -c, --config: Configuration file path (default: ~/.bbstrader/backtest/backtest.json)
-        -p, --path: Path to the backtest file (default: ~/.bbstrader/backtest/backtest.py)
-    
-    Note:
-        The configuration file must contain all the required parameters 
-        for the data handler and execution handler and strategy.
-        See bbstrader.btengine.BacktestEngine for more details on the parameters.
-    """
-    if "-h" in unknown or "--help" in unknown:
-        print(HELP_MSG)
-        sys.exit(0)
-
-    parser = argparse.ArgumentParser(description="Backtesting Engine CLI")
-    parser.add_argument(
-        "-s", "--strategy", type=str, required=True, help="Strategy class name to run"
-    )
-    parser.add_argument(
-        "-c", "--config", type=str, default=CONFIG_PATH, help="Configuration file path"
-    )
-    parser.add_argument(
-        "-p",
-        "--path",
-        type=str,
-        default=BACKTEST_PATH,
-        help="Path to the backtest file",
-    )
-    args = parser.parse_args(unknown)
-    config = load_config(args.config, args.strategy)
-    strategy_module = load_module(args.path)
-    strategy_class = load_strategy(strategy_module, args.strategy)
-
-    symbol_list = config.pop("symbol_list")
-    start_date = config.pop("start_date")
-    data_handler = config.pop("data_handler")
-    execution_handler = config.pop("execution_handler")
-
-    try:
-        run_backtest(
-            symbol_list,
-            start_date,
-            data_handler,
-            strategy_class,
-            exc_handler=execution_handler,
-            **config,
-        )
-    except Exception as e:
-        print(f"Error: {e}")
+import argparse
+import json
+import os
+import sys
+from datetime import datetime
+
+from bbstrader.btengine.backtest import run_backtest
+from bbstrader.btengine.data import (
+    CSVDataHandler,
+    DataHandler,
+    EODHDataHandler,
+    FMPDataHandler,
+    MT5DataHandler,
+    YFDataHandler,
+)
+from bbstrader.btengine.execution import (
+    ExecutionHandler,
+    MT5ExecutionHandler,
+    SimExecutionHandler,
+)
+from bbstrader.core.utils import load_class, load_module
+
+BACKTEST_PATH = os.path.expanduser("~/.bbstrader/backtest/backtest.py")
+CONFIG_PATH = os.path.expanduser("~/.bbstrader/backtest/backtest.json")
+
+DATA_HANDLER_MAP = {
+    "csv": CSVDataHandler,
+    "mt5": MT5DataHandler,
+    "yf": YFDataHandler,
+    "eodh": EODHDataHandler,
+    "fmp": FMPDataHandler,
+}
+
+EXECUTION_HANDLER_MAP = {
+    "sim": SimExecutionHandler,
+    "mt5": MT5ExecutionHandler,
+}
+
+
+def load_exc_handler(module, handler_name):
+    return load_class(module, handler_name, ExecutionHandler)
+
+
+def load_data_handler(module, handler_name):
+    return load_class(module, handler_name, DataHandler)
+
+
+def load_strategy(module, strategy_name):
+    from bbstrader.btengine.strategy import MT5Strategy, Strategy
+
+    return load_class(module, strategy_name, (Strategy, MT5Strategy))
+
+
+def load_config(config_path, strategy_name):
+    if not os.path.exists(config_path):
+        raise FileNotFoundError(
+            f"Configuration file {config_path} not found. Please create it."
+        )
+
+    with open(config_path, "r") as f:
+        config = json.load(f)
+    try:
+        config = config[strategy_name]
+    except KeyError:
+        raise ValueError(
+            f"Strategy {strategy_name} not found in the configuration file."
+        )
+
+    required_fields = ["symbol_list", "start_date", "data_handler", "execution_handler"]
+    for field in required_fields:
+        if not config.get(field):
+            raise ValueError(f"{field} is required in the configuration file.")
+
+    config["start_date"] = datetime.strptime(config["start_date"], "%Y-%m-%d")
+
+    if config.get("execution_handler") not in EXECUTION_HANDLER_MAP:
+        try:
+            backtest_module = load_module(BACKTEST_PATH)
+            exc_handler_class = load_exc_handler(
+                backtest_module, config["execution_handler"]
+            )
+        except Exception as e:
+            raise ValueError(f"Invalid execution handler: {e}")
+    else:
+        exc_handler_class = EXECUTION_HANDLER_MAP[config["execution_handler"]]
+
+    if config.get("data_handler") not in DATA_HANDLER_MAP:
+        try:
+            backtest_module = load_module(BACKTEST_PATH)
+            data_handler_class = load_data_handler(
+                backtest_module, config["data_handler"]
+            )
+        except Exception as e:
+            raise ValueError(f"Invalid data handler: {e}")
+    else:
+        data_handler_class = DATA_HANDLER_MAP[config["data_handler"]]
+
+    config["execution_handler"] = exc_handler_class
+    config["data_handler"] = data_handler_class
+
+    return config
+
+
+def backtest(unknown):
+    HELP_MSG = """
+    Usage:
+        python -m bbstrader --run backtest [options]
+
+    Options:
+        -s, --strategy: Strategy class name to run
+        -c, --config: Configuration file path (default: ~/.bbstrader/backtest/backtest.json)
+        -p, --path: Path to the backtest file (default: ~/.bbstrader/backtest/backtest.py)
+    
+    Note:
+        The configuration file must contain all the required parameters 
+        for the data handler and execution handler and strategy.
+        See bbstrader.btengine.BacktestEngine for more details on the parameters.
+    """
+    if "-h" in unknown or "--help" in unknown:
+        print(HELP_MSG)
+        sys.exit(0)
+
+    parser = argparse.ArgumentParser(description="Backtesting Engine CLI")
+    parser.add_argument(
+        "-s", "--strategy", type=str, required=True, help="Strategy class name to run"
+    )
+    parser.add_argument(
+        "-c", "--config", type=str, default=CONFIG_PATH, help="Configuration file path"
+    )
+    parser.add_argument(
+        "-p",
+        "--path",
+        type=str,
+        default=BACKTEST_PATH,
+        help="Path to the backtest file",
+    )
+    args = parser.parse_args(unknown)
+    config = load_config(args.config, args.strategy)
+    strategy_module = load_module(args.path)
+    strategy_class = load_strategy(strategy_module, args.strategy)
+
+    symbol_list = config.pop("symbol_list")
+    start_date = config.pop("start_date")
+    data_handler = config.pop("data_handler")
+    execution_handler = config.pop("execution_handler")
+
+    try:
+        run_backtest(
+            symbol_list,
+            start_date,
+            data_handler,
+            strategy_class,
+            exc_handler=execution_handler,
+            **config,
+        )
+    except Exception as e:
+        print(f"Error: {e}")