bbstrader 0.2.96__py3-none-any.whl → 0.2.98__py3-none-any.whl

bbstrader/__main__.py

@@ -16,7 +16,7 @@ USAGE_TEXT = """
     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
+        execution: Execute a strategy, see bbstrader.trading.execution.Mt5ExecutionEngine
     
     python -m bbstrader --run <module> --help for more information on the module
 """
@@ -26,6 +26,7 @@ FONT = pyfiglet.figlet_format("BBSTRADER", font="big")
 
 def main():
     print(Fore.BLUE + FONT)
+    print(Fore.WHITE + "")
     parser = argparse.ArgumentParser(
         prog="BBSTRADER",
         usage=USAGE_TEXT,

bbstrader/btengine/data.py

@@ -66,21 +66,21 @@ class DataHandler(metaclass=ABCMeta):
         """
         Returns the last bar updated.
         """
-        raise NotImplementedError("Should implement get_latest_bar()")
+        pass
 
     @abstractmethod
     def get_latest_bars(self, symbol, N=1, df=True) -> pd.DataFrame | List[pd.Series]:
         """
         Returns the last N bars updated.
         """
-        raise NotImplementedError("Should implement get_latest_bars()")
+        pass
 
     @abstractmethod
     def get_latest_bar_datetime(self, symbol) -> datetime | pd.Timestamp:
         """
         Returns a Python datetime object for the last bar.
         """
-        raise NotImplementedError("Should implement get_latest_bar_datetime()")
+        pass
 
     @abstractmethod
     def get_latest_bar_value(self, symbol, val_type) -> float:
@@ -88,7 +88,7 @@ class DataHandler(metaclass=ABCMeta):
         Returns one of the Open, High, Low, Close, Adj Close, Volume or Returns
         from the last bar.
         """
-        raise NotImplementedError("Should implement get_latest_bar_value()")
+        pass
 
     @abstractmethod
     def get_latest_bars_values(self, symbol, val_type, N=1) -> np.ndarray:
@@ -96,7 +96,7 @@ class DataHandler(metaclass=ABCMeta):
         Returns the last N bar values from the
         latest_symbol list, or N-k if less available.
         """
-        raise NotImplementedError("Should implement get_latest_bars_values()")
+        pass
 
     @abstractmethod
     def update_bars(self):
@@ -105,7 +105,7 @@ class DataHandler(metaclass=ABCMeta):
         in a tuple OHLCVI format: (datetime, Open, High, Low,
         Close, Adj Close, Volume, Retruns).
         """
-        raise NotImplementedError("Should implement update_bars()")
+        pass
 
 
 class BaseCSVDataHandler(DataHandler):

bbstrader/btengine/execution.py

@@ -46,7 +46,7 @@ class ExecutionHandler(metaclass=ABCMeta):
         Args:
             event (OrderEvent): Contains an Event object with order information.
         """
-        raise NotImplementedError("Should implement execute_order()")
+        pass
 
 
 class SimExecutionHandler(ExecutionHandler):

bbstrader/btengine/strategy.py

@@ -12,13 +12,13 @@ from loguru import logger
 from bbstrader.btengine.data import DataHandler
 from bbstrader.btengine.event import FillEvent, SignalEvent
 from bbstrader.config import BBSTRADER_DIR
-from bbstrader.core.utils import TradeSignal
 from bbstrader.metatrader.account import (
     Account,
     AdmiralMarktsGroup,
     PepperstoneGroupLimited,
 )
 from bbstrader.metatrader.rates import Rates
+from bbstrader.metatrader.trade import TradeSignal
 from bbstrader.models.optimization import optimized_weights
 
 __all__ = ["Strategy", "MT5Strategy"]
@@ -55,7 +55,7 @@ class Strategy(metaclass=ABCMeta):
 
     @abstractmethod
     def calculate_signals(self, *args, **kwargs) -> List[TradeSignal]:
-        raise NotImplementedError("Should implement calculate_signals()")
+        pass
 
     def check_pending_orders(self, *args, **kwargs): ...
     def get_update_from_portfolio(self, *args, **kwargs): ...
@@ -67,7 +67,7 @@ class MT5Strategy(Strategy):
     """
     A `MT5Strategy()` object is a subclass of `Strategy` that is used to
     calculate signals for the MetaTrader 5 trading platform. The signals
-    are generated by the `MT5Strategy` object and sent to the the `MT5ExecutionEngine`
+    are generated by the `MT5Strategy` object and sent to the the `Mt5ExecutionEngine`
     for live trading and `MT5BacktestEngine` objects for backtesting.
     """
 
@@ -146,9 +146,9 @@ class MT5Strategy(Strategy):
     def _initialize_portfolio(self):
         positions = ["LONG", "SHORT"]
         orders = ["BLMT", "BSTP", "BSTPLMT", "SLMT", "SSTP", "SSTPLMT"]
+        self._orders: Dict[str, Dict[str, List[SignalEvent]]] = {}
         self._positions: Dict[str, Dict[str, int | float]] = {}
         self._trades: Dict[str, Dict[str, int]] = {}
-        self._orders: Dict[str, Dict[str, List[SignalEvent]]] = {}
         for symbol in self.symbols:
             self._positions[symbol] = {}
             self._orders[symbol] = {}
@@ -206,6 +206,7 @@ class MT5Strategy(Strategy):
         - ``price``: The price at which to execute the action, used for pending orders.
         - ``stoplimit``: The stop-limit price for STOP-LIMIT orders, used for pending stop limit orders.
         - ``id``: The unique identifier for the strategy or order.
+        - ``comment``: An optional comment or description related to the trade signal.
         """
         pass
 
@@ -503,108 +504,96 @@ class MT5Strategy(Strategy):
         """
         Check for pending orders and handle them accordingly.
         """
-        for symbol in self.symbols:
-            dtime = self.data.get_latest_bar_datetime(symbol)
 
-            def logmsg(order, type):
-                return self.logger.info(
-                    f"{type} ORDER EXECUTED: SYMBOL={symbol}, QUANTITY={order.quantity}, "
-                    f"PRICE @ {order.price}",
-                    custom_time=dtime,
-                )
+        def logmsg(order, type, symbol, dtime):
+            return self.logger.info(
+                f"{type} ORDER EXECUTED: SYMBOL={symbol}, QUANTITY={order.quantity}, "
+                f"PRICE @ {order.price}",
+                custom_time=dtime,
+            )
 
-            for order in self._orders[symbol]["BLMT"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") <= order.price:
-                    self.buy_mkt(
-                        order.strategy_id, symbol, order.price, order.quantity, dtime
-                    )
+        def process_orders(order_type, condition, execute_fn, log_label, symbol, dtime):
+            for order in self._orders[symbol][order_type].copy():
+                if condition(order):
+                    execute_fn(order)
                     try:
-                        self._orders[symbol]["BLMT"].remove(order)
-                        assert order not in self._orders[symbol]["BLMT"]
-                        logmsg(order, "BUY LIMIT")
+                        self._orders[symbol][order_type].remove(order)
+                        assert order not in self._orders[symbol][order_type]
                     except AssertionError:
-                        self._orders[symbol]["BLMT"] = [
-                            o for o in self._orders[symbol]["BLMT"] if o != order
+                        self._orders[symbol][order_type] = [
+                            o for o in self._orders[symbol][order_type] if o != order
                         ]
-                        logmsg(order, "BUY LIMIT")
-            for order in self._orders[symbol]["SLMT"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") >= order.price:
-                    self.sell_mkt(
-                        order.strategy_id, symbol, order.price, order.quantity, dtime
-                    )
-                    try:
-                        self._orders[symbol]["SLMT"].remove(order)
-                        assert order not in self._orders[symbol]["SLMT"]
-                        logmsg(order, "SELL LIMIT")
-                    except AssertionError:
-                        self._orders[symbol]["SLMT"] = [
-                            o for o in self._orders[symbol]["SLMT"] if o != order
-                        ]
-                        logmsg(order, "SELL LIMIT")
-            for order in self._orders[symbol]["BSTP"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") >= order.price:
-                    self.buy_mkt(
-                        order.strategy_id, symbol, order.price, order.quantity, dtime
-                    )
-                    try:
-                        self._orders[symbol]["BSTP"].remove(order)
-                        assert order not in self._orders[symbol]["BSTP"]
-                        logmsg(order, "BUY STOP")
-                    except AssertionError:
-                        self._orders[symbol]["BSTP"] = [
-                            o for o in self._orders[symbol]["BSTP"] if o != order
-                        ]
-                        logmsg(order, "BUY STOP")
-            for order in self._orders[symbol]["SSTP"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") <= order.price:
-                    self.sell_mkt(
-                        order.strategy_id, symbol, order.price, order.quantity, dtime
-                    )
-                    try:
-                        self._orders[symbol]["SSTP"].remove(order)
-                        assert order not in self._orders[symbol]["SSTP"]
-                        logmsg(order, "SELL STOP")
-                    except AssertionError:
-                        self._orders[symbol]["SSTP"] = [
-                            o for o in self._orders[symbol]["SSTP"] if o != order
-                        ]
-                        logmsg(order, "SELL STOP")
-            for order in self._orders[symbol]["BSTPLMT"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") >= order.price:
-                    self.buy_limit(
-                        order.strategy_id,
-                        symbol,
-                        order.stoplimit,
-                        order.quantity,
-                        dtime,
-                    )
-                    try:
-                        self._orders[symbol]["BSTPLMT"].remove(order)
-                        assert order not in self._orders[symbol]["BSTPLMT"]
-                        logmsg(order, "BUY STOP LIMIT")
-                    except AssertionError:
-                        self._orders[symbol]["BSTPLMT"] = [
-                            o for o in self._orders[symbol]["BSTPLMT"] if o != order
-                        ]
-                        logmsg(order, "BUY STOP LIMIT")
-            for order in self._orders[symbol]["SSTPLMT"].copy():
-                if self.data.get_latest_bar_value(symbol, "close") <= order.price:
-                    self.sell_limit(
-                        order.strategy_id,
-                        symbol,
-                        order.stoplimit,
-                        order.quantity,
-                        dtime,
-                    )
-                    try:
-                        self._orders[symbol]["SSTPLMT"].remove(order)
-                        assert order not in self._orders[symbol]["SSTPLMT"]
-                        logmsg(order, "SELL STOP LIMIT")
-                    except AssertionError:
-                        self._orders[symbol]["SSTPLMT"] = [
-                            o for o in self._orders[symbol]["SSTPLMT"] if o != order
-                        ]
-                        logmsg(order, "SELL STOP LIMIT")
+                    logmsg(order, log_label, symbol, dtime)
+
+            for symbol in self.symbols:
+                dtime = self.data.get_latest_bar_datetime(symbol)
+                latest_close = self.data.get_latest_bar_value(symbol, "close")
+
+                process_orders(
+                    "BLMT",
+                    lambda o: latest_close <= o.price,
+                    lambda o: self.buy_mkt(
+                        o.strategy_id, symbol, o.price, o.quantity, dtime
+                    ),
+                    "BUY LIMIT",
+                    symbol,
+                    dtime,
+                )
+
+                process_orders(
+                    "SLMT",
+                    lambda o: latest_close >= o.price,
+                    lambda o: self.sell_mkt(
+                        o.strategy_id, symbol, o.price, o.quantity, dtime
+                    ),
+                    "SELL LIMIT",
+                    symbol,
+                    dtime,
+                )
+
+                process_orders(
+                    "BSTP",
+                    lambda o: latest_close >= o.price,
+                    lambda o: self.buy_mkt(
+                        o.strategy_id, symbol, o.price, o.quantity, dtime
+                    ),
+                    "BUY STOP",
+                    symbol,
+                    dtime,
+                )
+
+                process_orders(
+                    "SSTP",
+                    lambda o: latest_close <= o.price,
+                    lambda o: self.sell_mkt(
+                        o.strategy_id, symbol, o.price, o.quantity, dtime
+                    ),
+                    "SELL STOP",
+                    symbol,
+                    dtime,
+                )
+
+                process_orders(
+                    "BSTPLMT",
+                    lambda o: latest_close >= o.price,
+                    lambda o: self.buy_limit(
+                        o.strategy_id, symbol, o.stoplimit, o.quantity, dtime
+                    ),
+                    "BUY STOP LIMIT",
+                    symbol,
+                    dtime,
+                )
+
+                process_orders(
+                    "SSTPLMT",
+                    lambda o: latest_close <= o.price,
+                    lambda o: self.sell_limit(
+                        o.strategy_id, symbol, o.stoplimit, o.quantity, dtime
+                    ),
+                    "SELL STOP LIMIT",
+                    symbol,
+                    dtime,
+                )
 
     @staticmethod
     def calculate_pct_change(current_price, lh_price):

bbstrader/core/utils.py

@@ -2,8 +2,6 @@ import configparser
 import importlib
 import importlib.util
 import os
-from dataclasses import dataclass
-from enum import Enum
 from typing import Any, Dict, List
 
 __all__ = ["load_module", "load_class"]
@@ -90,59 +88,3 @@ def dict_from_ini(file_path, sections: str | List[str] = None) -> Dict[str, Any]
             except KeyError:
                 raise KeyError(f"{section} not found in the {file_path} file")
     return ini_dict
-
-
-class TradeAction(Enum):
-    """
-    An enumeration class for trade actions.
-    """
-
-    BUY = "LONG"
-    LONG = "LONG"
-    SELL = "SHORT"
-    EXIT = "EXIT"
-    BMKT = "BMKT"
-    SMKT = "SMKT"
-    BLMT = "BLMT"
-    SLMT = "SLMT"
-    BSTP = "BSTP"
-    SSTP = "SSTP"
-    SHORT = "SHORT"
-    BSTPLMT = "BSTPLMT"
-    SSTPLMT = "SSTPLMT"
-    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:
-    """
-    A dataclass for storing trading signal.
-    """
-
-    id: int
-    symbol: str
-    action: TradeAction
-    price: float = None
-    stoplimit: float = None
-
-    def __repr__(self):
-        return (
-            f"TradeSignal(id={self.id}, symbol='{self.symbol}', "
-            f"action='{self.action.value}', price={self.price}, stoplimit={self.stoplimit})"
-        )

bbstrader/metatrader/account.py

@@ -9,6 +9,7 @@ from currency_converter import SINGLE_DAY_ECB_URL, CurrencyConverter
 
 from bbstrader.metatrader.utils import (
     AccountInfo,
+    BookInfo,
     InvalidBroker,
     OrderCheckResult,
     OrderSentResult,
@@ -188,10 +189,12 @@ def check_mt5_connection(**kwargs):
     except Exception:
         raise_mt5_error(INIT_MSG)
 
+
 def shutdown_mt5():
     """Close the connection to the MetaTrader 5 terminal."""
     mt5.shutdown()
-    
+
+
 class Broker(object):
     def __init__(self, name: str = None, **kwargs):
         if name is None:
@@ -323,7 +326,7 @@ class Account(object):
                 f"For {supported['FTMO'].name}, See [{ftmo_url}]\n"
             )
             raise InvalidBroker(message=msg)
-    
+
     def shutdown(self):
         """Close the connection to the MetaTrader 5 terminal."""
         shutdown_mt5()
@@ -1037,6 +1040,29 @@ class Account(object):
         """
         self._show_info(self.get_tick_info, "tick", symbol=symbol)
 
+    def get_market_book(self, symbol: str) -> Union[Tuple[BookInfo], None]:
+        """
+        Get the Market Depth content for a specific symbol.
+        Args:
+            symbol (str): Financial instrument name. Required unnamed parameter.
+                The symbol name should be specified in the same format as in the Market Watch window.
+
+        Returns:
+            The Market Depth content as a tuple from BookInfo entries featuring order type, price and volume in lots.
+            Return None in case of an error.
+            
+        Raises:
+            MT5TerminalError: A specific exception based on the error code.
+        """
+        try:
+            book = mt5.market_book_get(symbol)
+            if book is None:
+                return None
+            else:
+                return Tuple([BookInfo(**entry._asdict()) for entry in book])
+        except Exception as e:
+            raise_mt5_error(e)
+
     def calculate_margin(
         self, action: Literal["buy", "sell"], symbol: str, lot: float, price: float
     ) -> float:
@@ -1299,8 +1325,7 @@ class Account(object):
         df.drop(["time_msc", "external_id"], axis=1, inplace=True)
         df.set_index("time", inplace=True)
         if save:
-            file = "trade_history.csv"
-            df.to_csv(file)
+            df.to_csv("trades_history.csv")
         if to_df:
             return df
         else:
@@ -1507,8 +1532,7 @@ class Account(object):
         df["time_done"] = pd.to_datetime(df["time_done"], unit="s")
 
         if save:
-            file = "trade_history.csv"
-            df.to_csv(file)
+            df.to_csv("orders_history.csv")
         if to_df:
             return df
         else:

bbstrader/metatrader/copier.py

@@ -302,16 +302,11 @@ class TradeCopier(object):
         if self.start_time is None or self.end_time is None:
             return True
         else:
-            start_hour, start_minutes = self.start_time.split(":")
-            end_hour, end_minutes = self.end_time.split(":")
-            if int(start_hour) < datetime.now().hour < int(end_hour):
+            now = datetime.now()
+            start_time = datetime.strptime(self.start_time, "%H:%M").time()
+            end_time = datetime.strptime(self.end_time, "%H:%M").time()
+            if start_time <= now.time() <= end_time:
                 return True
-            elif datetime.now().hour == int(start_hour):
-                if datetime.now().minute >= int(start_minutes):
-                    return True
-            elif datetime.now().hour == int(end_hour):
-                if datetime.now().minute < int(end_minutes):
-                    return True
             return False
 
     def copy_new_trade(
@@ -607,10 +602,11 @@ class TradeCopier(object):
                         continue
                     self.copy_orders(destination)
                     self.copy_positions(destination)
-            except Exception as e:
-                self.log_error(e)
+                    time.sleep(0.1)
             except KeyboardInterrupt:
                 break
+            except Exception as e:
+                self.log_error(e)
             time.sleep(self.sleeptime)