bbstrader 0.2.95__py3-none-any.whl → 0.2.97__py3-none-any.whl

bbstrader/metatrader/trade.py

@@ -1,19 +1,22 @@
 import os
 import time
-from datetime import datetime
+from dataclasses import dataclass
+from datetime import datetime, timedelta
+from enum import Enum
 from logging import Logger
 from pathlib import Path
 from typing import Any, Callable, Dict, List, Literal, Optional, Tuple
 
 import pandas as pd
+import quantstats as qs
 from loguru import logger as log
 from tabulate import tabulate
 
-from bbstrader.btengine.performance import create_sharpe_ratio
 from bbstrader.config import BBSTRADER_DIR, config_logger
 from bbstrader.metatrader.account import INIT_MSG, check_mt5_connection
 from bbstrader.metatrader.risk import RiskManagement
 from bbstrader.metatrader.utils import (
+    TradeDeal,
     TradePosition,
     raise_mt5_error,
     trade_retcode_message,
@@ -47,6 +50,93 @@ global LOGGER
 LOGGER = log
 
 
+class TradeAction(Enum):
+    """
+    An enumeration class for trade actions.
+    """
+
+    BUY = "LONG"
+    SELL = "SHORT"
+    LONG = "LONG"
+    SHORT = "SHORT"
+    BMKT = "BMKT"
+    SMKT = "SMKT"
+    BLMT = "BLMT"
+    SLMT = "SLMT"
+    BSTP = "BSTP"
+    SSTP = "SSTP"
+    BSTPLMT = "BSTPLMT"
+    SSTPLMT = "SSTPLMT"
+    EXIT = "EXIT"
+    EXIT_LONG = "EXIT_LONG"
+    EXIT_SHORT = "EXIT_SHORT"
+    EXIT_STOP = "EXIT_STOP"
+    EXIT_LIMIT = "EXIT_LIMIT"
+    EXIT_LONG_STOP = "EXIT_LONG_STOP"
+    EXIT_LONG_LIMIT = "EXIT_LONG_LIMIT"
+    EXIT_SHORT_STOP = "EXIT_SHORT_STOP"
+    EXIT_SHORT_LIMIT = "EXIT_SHORT_LIMIT"
+    EXIT_LONG_STOP_LIMIT = "EXIT_LONG_STOP_LIMIT"
+    EXIT_SHORT_STOP_LIMIT = "EXIT_SHORT_STOP_LIMIT"
+    EXIT_PROFITABLES = "EXIT_PROFITABLES"
+    EXIT_LOSINGS = "EXIT_LOSINGS"
+    EXIT_ALL_POSITIONS = "EXIT_ALL_POSITIONS"
+    EXIT_ALL_ORDERS = "EXIT_ALL_ORDERS"
+
+    def __str__(self):
+        return self.value
+
+
+@dataclass()
+class TradeSignal:
+    """
+    Represents a trading signal generated by a trading system or strategy.
+
+    Attributes:
+        id (int):
+            A unique identifier for the trade signal or the strategy.
+
+        symbol (str):
+            The trading symbol (e.g., stock ticker, forex pair, crypto asset)
+            related to the signal.
+
+        action (TradeAction):
+            The trading action to perform.
+            Must be an instance of the `TradeAction` enum (e.g., BUY, SELL).
+
+        price (float, optional):
+            The price at which the trade should be executed.
+
+        stoplimit (float, optional):
+            A stop-limit price for the trade.
+            Must not be set without specifying a price.
+
+        comment (str, optional):
+            An optional comment or description related to the trade signal.
+    """
+
+    id: int
+    symbol: str
+    action: TradeAction
+    price: float = None
+    stoplimit: float = None
+    comment: str = None
+
+    def __post_init__(self):
+        if not isinstance(self.action, TradeAction):
+            raise TypeError(
+                f"action must be of type TradeAction, not {type(self.action)}"
+            )
+        if self.stoplimit is not None and self.price is None:
+            raise ValueError("stoplimit cannot be set without price")
+
+    def __repr__(self):
+        return (
+            f"TradeSignal(id={self.id}, symbol='{self.symbol}', action='{self.action.value}', "
+            f"price={self.price}, stoplimit={self.stoplimit}), comment='{self.comment}'"
+        )
+
+
 class Trade(RiskManagement):
     """
     Extends the `RiskManagement` class to include specific trading operations,
@@ -437,7 +527,8 @@ class Trade(RiskManagement):
             action (str): `BMKT` for Market orders or `BLMT`,
                 `BSTP`,`BSTPLMT` for pending orders
             price (float): The price at which to open an order
-            stoplimit (float): A price a pending Limit order is set at when the price reaches the 'price' value (this condition is mandatory).
+            stoplimit (float): A price a pending Limit order is set at when the price reaches
+                the 'price' value (this condition is mandatory).
                 The pending order is not passed to the trading system until that moment
             id (int): The strategy id or expert Id
             mm (bool): Weither to put stop loss and tp or not
@@ -527,7 +618,8 @@ class Trade(RiskManagement):
             action (str): `SMKT` for Market orders
                 or ``SLMT``, ``SSTP``,``SSTPLMT`` for pending orders
             price (float): The price at which to open an order
-            stoplimit (float): A price a pending Limit order is set at when the price reaches the 'price' value (this condition is mandatory).
+            stoplimit (float): A price a pending Limit order is set at when the price reaches
+                the 'price' value (this condition is mandatory).
                 The pending order is not passed to the trading system until that moment
             id (int): The strategy id or expert Id
             mm (bool): Weither to put stop loss and tp or not
@@ -594,6 +686,8 @@ class Trade(RiskManagement):
         Args:
             comment (str): The comment for the closing position
         """
+        if self.copy_mode:
+            return True
         if self.days_end():
             return False
         elif not self.trading_time():
@@ -603,6 +697,9 @@ class Trade(RiskManagement):
             LOGGER.error(f"Account Risk not allowed, SYMBOL={self.symbol}")
             self._check(comment)
             return False
+        elif self.is_max_trades_reached():
+            LOGGER.error(f"Maximum trades reached for Today, SYMBOL={self.symbol}")
+            return False
         elif self.profit_target():
             self._check(f"Profit target Reached !!! SYMBOL={self.symbol}")
         return True
@@ -1582,6 +1679,50 @@ class Trade(RiskManagement):
             comment=comment,
         )
 
+    def get_today_deals(self, group=None) -> List[TradeDeal]:
+        """
+        Get all today deals for a specific symbol or group of symbols
+
+        Args:
+            group (str): Symbol or group or symbol
+        Returns:
+            List[TradeDeal]: List of today deals
+        """
+        date_from = datetime.now() - timedelta(days=2)
+        history = self.get_trades_history(date_from=date_from, group=group, to_df=False)
+        positions_ids = set(
+            [
+                deal.position_id
+                for deal in history
+                if history is not None and deal.magic == self.expert_id
+            ]
+        )
+        today_deals = []
+        for position in positions_ids:
+            deal = self.get_trades_history(
+                date_from=date_from, position=position, to_df=False
+            )
+            if deal is not None and len(deal) == 2:
+                deal_time = datetime.fromtimestamp(deal[1].time)
+                if deal_time.date() == datetime.now().date():
+                    today_deals.append(deal[1])
+        return today_deals
+
+    def is_max_trades_reached(self) -> bool:
+        """
+        Check if the maximum number of trades for the day has been reached.
+
+        :return: bool
+        """
+        negative_deals = 0
+        today_deals = self.get_today_deals(group=self.symbol)
+        for deal in today_deals:
+            if deal.profit < 0:
+                negative_deals += 1
+        if negative_deals >= self.max_trades:
+            return True
+        return False
+
     def get_stats(self) -> Tuple[Dict[str, Any]]:
         """
         get some stats about the trading day and trading history
@@ -1594,11 +1735,14 @@ class Trade(RiskManagement):
         loss_trades = 0
         win_trades = 0
         balance = self.get_account_info().balance
-        deals = len(self.opened_positions)
+        today_deals = self.get_today_deals(group=self.symbol)
+        deals = len(today_deals)
         if deals != 0:
-            for position in self.opened_positions:
+            for position in today_deals:
                 time.sleep(0.1)
-                history = self.get_trades_history(position=position, to_df=False)
+                history = self.get_trades_history(
+                    position=position.position_id, to_df=False
+                )
                 if history is not None and len(history) == 2:
                     result = history[1].profit
                     comm = history[0].commission
@@ -1641,13 +1785,12 @@ class Trade(RiskManagement):
             _fees = df2["fee"].sum()
             _swap = df2["swap"].sum()
             total_profit = commisions + _fees + _swap + profit
-            account_info = self.get_account_info()
-            balance = account_info.balance
+            balance = self.get_account_info().balance
             initial_balance = balance - total_profit
             profittable = "Yes" if balance > initial_balance else "No"
             stats2 = {"total_profit": total_profit, "profitability": profittable}
         else:
-            stats2 = {"total_profit": 0, "profitability": 0}
+            stats2 = {"total_profit": 0, "profitability": "No"}
         return (stats1, stats2)
 
     def sharpe(self):
@@ -1658,6 +1801,9 @@ class Trade(RiskManagement):
         those compared to a benchmark.
         """
         # Get total history
+        import warnings
+
+        warnings.filterwarnings("ignore")
         df2 = self.get_trades_history()
         if df2 is None:
             return 0.0
@@ -1665,7 +1811,7 @@ class Trade(RiskManagement):
         profit = df[["profit", "commission", "fee", "swap"]].sum(axis=1)
         returns = profit.pct_change(fill_method=None)
         periods = self.max_trade() * 252
-        sharpe = create_sharpe_ratio(returns, periods=periods)
+        sharpe = qs.stats.sharpe(returns, periods=periods)
 
         return round(sharpe, 3)
 

bbstrader/models/__init__.py

@@ -8,3 +8,4 @@ from bbstrader.models.optimization import *  # noqa: F403
 from bbstrader.models.portfolio import *  # noqa: F403
 from bbstrader.models.factors import *  # noqa: F403
 from bbstrader.models.ml import *  # noqa: F403
+from bbstrader.models.nlp import *  # noqa: F403

bbstrader/models/ml.py

@@ -8,8 +8,8 @@ import lightgbm as lgb
 import matplotlib.pyplot as plt
 import numpy as np
 import pandas as pd
+import pandas_ta as ta
 import seaborn as sns
-
 import yfinance as yf
 from alphalens import performance as perf
 from alphalens import plotting
@@ -21,11 +21,9 @@ from alphalens.utils import (
 )
 from scipy.stats import spearmanr
 from sklearn.preprocessing import LabelEncoder, StandardScaler
-import pandas_ta as ta
 
 warnings.filterwarnings("ignore")
 
-
 __all__ = ["OneStepTimeSeriesSplit", "MultipleTimeSeriesCV", "LightGBModel"]
 
 
@@ -749,8 +747,8 @@ class LightGBModel(object):
                     index=metric_cols,
                 )
                 if verbose:
-                    msg = f'\t{p:3.0f} | {self.format_time(T)} ({t:3.0f}) | {params["learning_rate"]:5.2f} | '
-                    msg += f'{params["num_leaves"]:3.0f} | {params["feature_fraction"]:3.0%} | {params["min_data_in_leaf"]:4.0f} | '
+                    msg = f"\t{p:3.0f} | {self.format_time(T)} ({t:3.0f}) | {params['learning_rate']:5.2f} | "
+                    msg += f"{params['num_leaves']:3.0f} | {params['feature_fraction']:3.0%} | {params['min_data_in_leaf']:4.0f} | "
                     msg += f" {max(ic):6.2%} | {ic_by_day.mean().max(): 6.2%} | {daily_ic_mean_n: 4.0f} | {ic_by_day.median().max(): 6.2%} | {daily_ic_median_n: 4.0f}"
                     print(msg)
 
@@ -871,7 +869,7 @@ class LightGBModel(object):
             med = data.ic.median()
             rolling.plot(
                 ax=axes[i],
-                title=f"Horizon: {t} Day(s) | IC: Mean={avg*100:.2f}   Median={med*100:.2f}",
+                title=f"Horizon: {t} Day(s) | IC: Mean={avg * 100:.2f}   Median={med * 100:.2f}",
             )
             axes[i].axhline(avg, c="darkred", lw=1)
             axes[i].axhline(0, ls="--", c="k", lw=1)
@@ -1237,7 +1235,9 @@ class LightGBModel(object):
         try:
             return (predictions.unstack("symbol").prediction.tz_convert("UTC")), tickers
         except TypeError:
-            return (predictions.unstack("symbol").prediction.tz_localize("UTC")), tickers
+            return (
+                predictions.unstack("symbol").prediction.tz_localize("UTC")
+            ), tickers
 
     def assert_last_date(self, predictions: pd.DataFrame):
         """