bbstrader 0.2.96__py3-none-any.whl → 0.2.98__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 +50,107 @@ 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}'"
+        )
+
+
+Buys = Literal["BMKT", "BLMT", "BSTP", "BSTPLMT"]
+Sells = Literal["SMKT", "SLMT", "SSTP", "SSTPLMT"]
+Positions = Literal["all", "buy", "sell", "profitable", "losing"]
+Orders = Literal[
+    "all",
+    "buy_stops",
+    "sell_stops",
+    "buy_limits",
+    "sell_limits",
+    "buy_stop_limits",
+    "sell_stop_limits",
+]
+
+
 class Trade(RiskManagement):
     """
     Extends the `RiskManagement` class to include specific trading operations,
@@ -149,15 +253,12 @@ class Trade(RiskManagement):
         See the ``bbstrader.metatrader.risk.RiskManagement`` class for more details on these parameters.
         See `bbstrader.metatrader.account.check_mt5_connection()` for more details on how to connect to MT5 terminal.
         """
-        # Call the parent class constructor first
         super().__init__(
             symbol=symbol,
             start_time=start_time,
             finishing_time=finishing_time,
-            **kwargs,  # Pass kwargs to the parent constructor
+            **kwargs,
         )
-
-        # Initialize Trade-specific attributes
         self.symbol = symbol
         self.expert_name = expert_name
         self.expert_id = expert_id
@@ -171,12 +272,6 @@ class Trade(RiskManagement):
         self.tf = kwargs.get("time_frame", "D1")
         self.kwargs = kwargs
 
-        self.start_time_hour, self.start_time_minutes = self.start.split(":")
-        self.finishing_time_hour, self.finishing_time_minutes = self.finishing.split(
-            ":"
-        )
-        self.ending_time_hour, self.ending_time_minutes = self.end.split(":")
-
         self.buy_positions = []
         self.sell_positions = []
         self.opened_positions = []
@@ -390,18 +485,14 @@ class Trade(RiskManagement):
             session_data, headers=["Statistics", "Values"], tablefmt="outline"
         )
 
-        # Print the formatted statistics
         if self.verbose:
             print("\n[======= Trading Session Statistics =======]")
             print(session_table)
 
-        # Save to CSV if specified
-        if save:
+        if save and stats["deals"] > 0:
             today_date = datetime.now().strftime("%Y%m%d%H%M%S")
-            # Create a dictionary with the statistics
             statistics_dict = {item[0]: item[1] for item in session_data}
             stats_df = pd.DataFrame(statistics_dict, index=[0])
-            # Create the directory if it doesn't exist
             dir = dir or ".sessions"
             os.makedirs(dir, exist_ok=True)
             if "." in self.symbol:
@@ -414,8 +505,6 @@ class Trade(RiskManagement):
             stats_df.to_csv(filepath, index=False)
             LOGGER.info(f"Session statistics saved to {filepath}")
 
-    Buys = Literal["BMKT", "BLMT", "BSTP", "BSTPLMT"]
-
     def open_buy_position(
         self,
         action: Buys = "BMKT",
@@ -437,7 +526,8 @@ 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
@@ -504,8 +594,6 @@ class Trade(RiskManagement):
         }
         return type
 
-    Sells = Literal["SMKT", "SLMT", "SSTP", "SSTPLMT"]
-
     def open_sell_position(
         self,
         action: Sells = "SMKT",
@@ -527,7 +615,8 @@ 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 +683,8 @@ 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 +694,9 @@ 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
@@ -1273,13 +1367,16 @@ class Trade(RiskManagement):
         profit = 0.0
         balance = self.get_account_info().balance
         target = round((balance * self.target) / 100, 2)
-        if len(self.opened_positions) != 0:
-            for position in self.opened_positions:
+        opened_positions = self.get_today_deals(group=self.symbol)
+        if len(opened_positions) != 0:
+            for position in opened_positions:
                 time.sleep(0.1)
                 # This return two TradeDeal Object,
                 # The first one is the opening order
                 # The second is the closing order
-                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:
                     profit += history[1].profit
                     commission += history[0].commission
@@ -1501,16 +1598,6 @@ class Trade(RiskManagement):
                 f"No {order_type.upper()} {tikets_type.upper()} to close, SYMBOL={self.symbol}."
             )
 
-    Orders = Literal[
-        "all",
-        "buy_stops",
-        "sell_stops",
-        "buy_limits",
-        "sell_limits",
-        "buy_stop_limits",
-        "sell_stop_limits",
-    ]
-
     def close_orders(
         self,
         order_type: Orders,
@@ -1545,8 +1632,6 @@ class Trade(RiskManagement):
             orders, "orders", self.close_order, order_type, id=id, comment=comment
         )
 
-    Positions = Literal["all", "buy", "sell", "profitable", "losing"]
-
     def close_positions(
         self,
         position_type: Positions,
@@ -1582,6 +1667,49 @@ 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) or []
+        )
+        positions_ids = set(
+            [deal.position_id for deal in history if 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
+        max_trades = self.max_trade()
+        today_deals = self.get_today_deals(group=self.symbol)
+        for deal in today_deals:
+            if deal.profit < 0:
+                negative_deals += 1
+        if negative_deals >= 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 +1722,14 @@ 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 +1772,12 @@ 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):
@@ -1657,7 +1787,9 @@ class Trade(RiskManagement):
         The function assumes that the returns are the excess of
         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
@@ -1665,39 +1797,25 @@ 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)
 
     def days_end(self) -> bool:
         """Check if it is the end of the trading day."""
-        current_hour = datetime.now().hour
-        current_minute = datetime.now().minute
-
-        ending_hour = int(self.ending_time_hour)
-        ending_minute = int(self.ending_time_minutes)
-
-        if current_hour > ending_hour or (
-            current_hour == ending_hour and current_minute >= ending_minute
-        ):
+        now = datetime.now()
+        end = datetime.strptime(self.end, "%H:%M").time()
+        if now.time() >= end:
             return True
-        else:
-            return False
+        return False
 
     def trading_time(self):
         """Check if it is time to trade."""
-        if (
-            int(self.start_time_hour)
-            < datetime.now().hour
-            < int(self.finishing_time_hour)
-        ):
+        now = datetime.now()
+        start = datetime.strptime(self.start, "%H:%M").time()
+        end = datetime.strptime(self.finishing, "%H:%M").time()
+        if start <= now.time() <= end:
             return True
-        elif datetime.now().hour == int(self.start_time_hour):
-            if datetime.now().minute >= int(self.start_time_minutes):
-                return True
-        elif datetime.now().hour == int(self.finishing_time_hour):
-            if datetime.now().minute < int(self.finishing_time_minutes):
-                return True
         return False
 
     def sleep_time(self, weekend=False):

bbstrader/metatrader/utils.py

@@ -286,6 +286,22 @@ class TickInfo(NamedTuple):
     volume_real: float
 
 
+class BookInfo(NamedTuple):
+    """
+    Represents the structure of a book.
+    * type: Type of the order (buy/sell)
+    * price: Price of the order
+    * volume: Volume of the order in lots
+    * volume_dbl: Volume with greater accuracy
+
+    """
+
+    type: int
+    price: float
+    volume: float
+    volume_dbl: float
+
+
 class TradeRequest(NamedTuple):
     """
     Represents a Trade Request Structure

bbstrader/models/risk.py

@@ -68,7 +68,7 @@ class RiskModel(metaclass=ABCMeta):
             such as historical returns or volatility, used to
             assess market conditions.
         """
-        raise NotImplementedError("Should implement which_trade_allowed()")
+        pass
 
     @abstractmethod
     def which_quantity_allowed(self):
@@ -76,7 +76,7 @@ class RiskModel(metaclass=ABCMeta):
         Defines the strategy for asset allocation within
         the portfolio to optimize risk-reward ratio.
         """
-        raise NotImplementedError("Should implement which_quantity_allowed()")
+        pass
 
 
 class HMMRiskManager(RiskModel):