bbstrader 0.2.97__py3-none-any.whl → 0.2.99__py3-none-any.whl

bbstrader/metatrader/trade.py

@@ -137,6 +137,21 @@ class TradeSignal:
         )
 
 
+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",
+]
+
+EXPERT_ID = 98181105
+
 class Trade(RiskManagement):
     """
     Extends the `RiskManagement` class to include specific trading operations,
@@ -195,7 +210,7 @@ class Trade(RiskManagement):
         self,
         symbol: str = "EURUSD",
         expert_name: str = "bbstrader",
-        expert_id: int = 9818,
+        expert_id: int = EXPERT_ID,
         version: str = "2.0",
         target: float = 5.0,
         start_time: str = "0:00",
@@ -239,15 +254,12 @@ 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
@@ -261,12 +273,6 @@ 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 = []
@@ -371,21 +377,18 @@ class Trade(RiskManagement):
 
     def summary(self):
         """Show a brief description about the trading program"""
+        start = datetime.strptime(self.start, "%H:%M").time()
+        finish = datetime.strptime(self.finishing, "%H:%M").time()
+        end = datetime.strptime(self.end, "%H:%M").time()
         summary_data = [
             ["Expert Advisor Name", f"@{self.expert_name}"],
             ["Expert Advisor Version", f"@{self.version}"],
             ["Expert | Strategy ID", self.expert_id],
             ["Trading Symbol", self.symbol],
             ["Trading Time Frame", self.tf],
-            ["Start Trading Time", f"{self.start_time_hour}:{self.start_time_minutes}"],
-            [
-                "Finishing Trading Time",
-                f"{self.finishing_time_hour}:{self.finishing_time_minutes}",
-            ],
-            [
-                "Closing Position After",
-                f"{self.ending_time_hour}:{self.ending_time_minutes}",
-            ],
+            ["Start Trading Time", f"{start}"],
+            ["Finishing Trading Time", f"{finish}"],
+            ["Closing Position After", f"{end}"],
         ]
         # Custom table format
         summary_table = tabulate(
@@ -480,18 +483,14 @@ 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:
@@ -504,8 +503,6 @@ 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",
@@ -521,7 +518,7 @@ class Trade(RiskManagement):
         tp: Optional[float] = None,
     ):
         """
-        Open a Buy positin
+        Open a Buy position
 
         Args:
             action (str): `BMKT` for Market orders or `BLMT`,
@@ -534,6 +531,8 @@ class Trade(RiskManagement):
             mm (bool): Weither to put stop loss and tp or not
             trail (bool): Weither to trail the stop loss or not
             comment (str): The comment for the opening position
+            sl (float): The stop loss price
+            tp (float): The take profit price
         """
         Id = id if id is not None else self.expert_id
         point = self.get_symbol_info(self.symbol).point
@@ -583,7 +582,7 @@ class Trade(RiskManagement):
         return False
 
     def _order_type(self):
-        type = {
+        return {
             "BMKT": (Mt5.ORDER_TYPE_BUY, "BUY"),
             "SMKT": (Mt5.ORDER_TYPE_BUY, "SELL"),
             "BLMT": (Mt5.ORDER_TYPE_BUY_LIMIT, "BUY_LIMIT"),
@@ -593,9 +592,6 @@ class Trade(RiskManagement):
             "BSTPLMT": (Mt5.ORDER_TYPE_BUY_STOP_LIMIT, "BUY_STOP_LIMIT"),
             "SSTPLMT": (Mt5.ORDER_TYPE_SELL_STOP_LIMIT, "SELL_STOP_LIMIT"),
         }
-        return type
-
-    Sells = Literal["SMKT", "SLMT", "SSTP", "SSTPLMT"]
 
     def open_sell_position(
         self,
@@ -612,7 +608,7 @@ class Trade(RiskManagement):
         tp: Optional[float] = None,
     ):
         """
-        Open a sell positin
+        Open a sell position
 
         Args:
             action (str): `SMKT` for Market orders
@@ -627,8 +623,8 @@ class Trade(RiskManagement):
             comment (str): The comment for the closing position
                         symbol (str): The symbol to trade
             volume (float): The volume (lot) to trade
-            sl (float): The stop loss in points
-            tp (float): The take profit in points
+            sl (float): The stop loss price
+            tp (float): The take profit price
         """
         Id = id if id is not None else self.expert_id
         point = self.get_symbol_info(self.symbol).point
@@ -694,11 +690,11 @@ class Trade(RiskManagement):
             LOGGER.info(f"Not Trading time, SYMBOL={self.symbol}")
             return False
         elif not self.is_risk_ok():
-            LOGGER.error(f"Account Risk not allowed, SYMBOL={self.symbol}")
+            LOGGER.warning(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}")
+            LOGGER.warning(f"Maximum trades reached for Today, SYMBOL={self.symbol}")
             return False
         elif self.profit_target():
             self._check(f"Profit target Reached !!! SYMBOL={self.symbol}")
@@ -838,7 +834,8 @@ class Trade(RiskManagement):
             action (str): (`'BMKT'`, `'SMKT'`) for Market orders
                 or (`'BLMT', 'SLMT', 'BSTP', 'SSTP', 'BSTPLMT', '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
@@ -846,43 +843,32 @@ class Trade(RiskManagement):
             comment (str): The comment for the closing position
             symbol (str): The symbol to trade
             volume (float): The volume (lot) to trade
-            sl (float): The stop loss in points
-            tp (float): The take profit in points
+            sl (float): The stop loss price
+            tp (float): The take profit price
         """
         BUYS = ["BMKT", "BLMT", "BSTP", "BSTPLMT"]
         SELLS = ["SMKT", "SLMT", "SSTP", "SSTPLMT"]
         if action in BUYS:
-            return self.open_buy_position(
-                action=action,
-                price=price,
-                stoplimit=stoplimit,
-                id=id,
-                mm=mm,
-                trail=trail,
-                comment=comment,
-                symbol=symbol,
-                volume=volume,
-                sl=sl,
-                tp=tp,
-            )
+            open_position = self.open_buy_position
         elif action in SELLS:
-            return self.open_sell_position(
-                action=action,
-                price=price,
-                stoplimit=stoplimit,
-                id=id,
-                mm=mm,
-                trail=trail,
-                comment=comment,
-                symbol=symbol,
-                volume=volume,
-                sl=sl,
-                tp=tp,
-            )
+            open_position = self.open_sell_position
         else:
             raise ValueError(
                 f"Invalid action type '{action}', must be {', '.join(BUYS + SELLS)}"
             )
+        return open_position(
+            action=action,
+            price=price,
+            stoplimit=stoplimit,
+            id=id,
+            mm=mm,
+            trail=trail,
+            comment=comment,
+            symbol=symbol,
+            volume=volume,
+            sl=sl,
+            tp=tp,
+        )
 
     @property
     def orders(self):
@@ -1137,9 +1123,9 @@ class Trade(RiskManagement):
         be = self.get_break_even()
         if trail_after_points is not None:
             if isinstance(trail_after_points, int):
-                assert trail_after_points > be, (
-                    "trail_after_points must be greater than break even or set to None"
-                )
+                assert (
+                    trail_after_points > be
+                ), "trail_after_points must be greater than break even or set to None"
             trail_after_points = self._get_trail_after_points(trail_after_points)
         if positions is not None:
             for position in positions:
@@ -1228,7 +1214,8 @@ class Trade(RiskManagement):
         Sets the break-even level for a given trading position.
 
         Args:
-            position (TradePosition): The trading position for which the break-even is to be set. This is the value return by `mt5.positions_get()`.
+            position (TradePosition): The trading position for which the break-even is to be set. 
+                This is the value return by `mt5.positions_get()`.
             be (int): The break-even level in points.
             level (float): The break-even level in price, if set to None , it will be calated automaticaly.
             price (float): The break-even price, if set to None , it will be calated automaticaly.
@@ -1370,13 +1357,16 @@ 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
@@ -1456,7 +1446,8 @@ class Trade(RiskManagement):
         Args:
             ticket (int): Order ticket to modify (e.g TradeOrder.ticket)
             price (float): The price at which to modify the 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
             sl (float): The stop loss in points
             tp (float): The take profit in points
@@ -1598,16 +1589,6 @@ 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,
@@ -1616,7 +1597,8 @@ class Trade(RiskManagement):
     ):
         """
         Args:
-            order_type (str): Type of orders to close ('all', 'buy_stops', 'sell_stops', 'buy_limits', 'sell_limits', 'buy_stop_limits', 'sell_stop_limits')
+            order_type (str): Type of orders to close 
+                ('all', 'buy_stops', 'sell_stops', 'buy_limits', 'sell_limits', 'buy_stop_limits', 'sell_stop_limits')
             id (int): The unique ID of the Expert or Strategy
             comment (str): Comment for the closing position
         """
@@ -1642,8 +1624,6 @@ 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,
@@ -1689,13 +1669,11 @@ class Trade(RiskManagement):
             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)
+        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 history is not None and deal.magic == self.expert_id
-            ]
+            [deal.position_id for deal in history if deal.magic == self.expert_id]
         )
         today_deals = []
         for position in positions_ids:
@@ -1715,11 +1693,12 @@ class Trade(RiskManagement):
         :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 >= self.max_trades:
+        if negative_deals >= max_trades:
             return True
         return False
 
@@ -1800,7 +1779,6 @@ 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")
@@ -1817,33 +1795,19 @@ class Trade(RiskManagement):
 
     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):
@@ -1943,7 +1907,7 @@ def create_trade_instance(
                 if ids is not None and isinstance(ids, (int, float))
                 else params["expert_id"]
                 if "expert_id" in params
-                else None
+                else EXPERT_ID
             )
             params["pchange_sl"] = (
                 pchange_sl[symbol]

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/factors.py

@@ -16,6 +16,101 @@ __all__ = [
     "search_coint_candidate_pairs",
 ]
 
+def _download_and_process_data(source, tickers, start, end, tf, path, **kwargs):
+    """Download and process data for a list of tickers from the specified source."""
+    data_list = []
+    for ticker in tickers:
+        try:
+            if source == "yf":
+                data = yf.download(
+                    ticker,
+                    start=start,
+                    end=end,
+                    progress=False,
+                    multi_level_index=False,
+                )
+                data = data.drop(columns=["Adj Close"], axis=1)
+            elif source == "mt5":
+                start, end = pd.Timestamp(start), pd.Timestamp(end)
+                data = download_historical_data(
+                    symbol=ticker,
+                    timeframe=tf,
+                    date_from=start,
+                    date_to=end,
+                    **{"path": path},
+                )
+                data = data.drop(columns=["adj_close"], axis=1)
+            elif source in ["fmp", "eodhd"]:
+                handler_class = (
+                    FMPDataHandler if source == "fmp" else EODHDataHandler
+                )
+                handler = handler_class(events=None, symbol_list=[ticker], **kwargs)
+                data = handler.data[ticker]
+            else:
+                raise ValueError(f"Invalid source: {source}")
+
+            data = data.reset_index()
+            data = data.rename(columns=str.lower)
+            data["ticker"] = ticker
+            data_list.append(data)
+
+        except Exception as e:
+            print(f"No Data found for {ticker}: {e}")
+            continue
+
+    return pd.concat(data_list)
+
+def _handle_date_range(start, end, window):
+    """Handle start and end date generation."""
+    if start is None or end is None:
+        end = pd.Timestamp(datetime.now()).strftime("%Y-%m-%d")
+        start = (
+            pd.Timestamp(datetime.now())
+            - pd.DateOffset(years=window)
+            + pd.DateOffset(days=1)
+        ).strftime("%Y-%m-%d")
+    return start, end
+
+def _period_search(start, end, securities, candidates, window, npairs):
+    if window < 3 or (pd.Timestamp(end) - pd.Timestamp(start)).days / 365 < 3:
+        raise ValueError(
+            "The date range must be at least two (2) years for period search."
+        )
+    top_pairs = []
+    p_start = pd.Timestamp(end) - pd.DateOffset(years=1)
+    periods = pd.date_range(start=p_start, end=pd.Timestamp(end), freq="BQE")
+    npairs = max(round(npairs / 2), 1)
+    for period in periods:
+        s_start = period - pd.DateOffset(years=2) + pd.DateOffset(days=1)
+        print(f"Searching for pairs in period: {s_start} - {period}")
+        pairs = find_cointegrated_pairs(
+            securities,
+            candidates,
+            n=npairs,
+            start=str(s_start),
+            stop=str(period),
+            coint=True,
+        )
+        pairs["period"] = period
+        top_pairs.append(pairs)
+    top_pairs = pd.concat(top_pairs)
+    if len(top_pairs.columns) <= 1:
+        raise ValueError(
+            "No pairs found in the specified period."
+            "Please adjust the date range or increase the number of pairs."
+        )
+    return top_pairs.head(npairs * 2)
+
+def _process_asset_data(securities, candidates, universe, rolling_window):
+    """Process and select assets from the data."""
+    securities = select_assets(
+        securities, n=universe, rolling_window=rolling_window
+    )
+    candidates = select_assets(
+        candidates, n=universe, rolling_window=rolling_window
+    )
+    return securities, candidates
+
 
 def search_coint_candidate_pairs(
     securities: pd.DataFrame | List[str] = None,
@@ -145,101 +240,6 @@ def search_coint_candidate_pairs(
 
     """
 
-    def _download_and_process_data(source, tickers, start, end, tf, path, **kwargs):
-        """Download and process data for a list of tickers from the specified source."""
-        data_list = []
-        for ticker in tickers:
-            try:
-                if source == "yf":
-                    data = yf.download(
-                        ticker,
-                        start=start,
-                        end=end,
-                        progress=False,
-                        multi_level_index=False,
-                    )
-                    data = data.drop(columns=["Adj Close"], axis=1)
-                elif source == "mt5":
-                    start, end = pd.Timestamp(start), pd.Timestamp(end)
-                    data = download_historical_data(
-                        symbol=ticker,
-                        timeframe=tf,
-                        date_from=start,
-                        date_to=end,
-                        **{"path": path},
-                    )
-                    data = data.drop(columns=["adj_close"], axis=1)
-                elif source in ["fmp", "eodhd"]:
-                    handler_class = (
-                        FMPDataHandler if source == "fmp" else EODHDataHandler
-                    )
-                    handler = handler_class(events=None, symbol_list=[ticker], **kwargs)
-                    data = handler.data[ticker]
-                else:
-                    raise ValueError(f"Invalid source: {source}")
-
-                data = data.reset_index()
-                data = data.rename(columns=str.lower)
-                data["ticker"] = ticker
-                data_list.append(data)
-
-            except Exception as e:
-                print(f"No Data found for {ticker}: {e}")
-                continue
-
-        return pd.concat(data_list)
-
-    def _handle_date_range(start, end, window):
-        """Handle start and end date generation."""
-        if start is None or end is None:
-            end = pd.Timestamp(datetime.now()).strftime("%Y-%m-%d")
-            start = (
-                pd.Timestamp(datetime.now())
-                - pd.DateOffset(years=window)
-                + pd.DateOffset(days=1)
-            ).strftime("%Y-%m-%d")
-        return start, end
-
-    def _period_search(start, end, securities, candidates, npairs=npairs):
-        if window < 3 or (pd.Timestamp(end) - pd.Timestamp(start)).days / 365 < 3:
-            raise ValueError(
-                "The date range must be at least two (2) years for period search."
-            )
-        top_pairs = []
-        p_start = pd.Timestamp(end) - pd.DateOffset(years=1)
-        periods = pd.date_range(start=p_start, end=pd.Timestamp(end), freq="BQE")
-        npairs = max(round(npairs / 2), 1)
-        for period in periods:
-            s_start = period - pd.DateOffset(years=2) + pd.DateOffset(days=1)
-            print(f"Searching for pairs in period: {s_start} - {period}")
-            pairs = find_cointegrated_pairs(
-                securities,
-                candidates,
-                n=npairs,
-                start=str(s_start),
-                stop=str(period),
-                coint=True,
-            )
-            pairs["period"] = period
-            top_pairs.append(pairs)
-        top_pairs = pd.concat(top_pairs)
-        if len(top_pairs.columns) <= 1:
-            raise ValueError(
-                "No pairs found in the specified period."
-                "Please adjust the date range or increase the number of pairs."
-            )
-        return top_pairs.head(npairs * 2)
-
-    def _process_asset_data(securities, candidates, universe, rolling_window):
-        """Process and select assets from the data."""
-        securities = select_assets(
-            securities, n=universe, rolling_window=rolling_window
-        )
-        candidates = select_assets(
-            candidates, n=universe, rolling_window=rolling_window
-        )
-        return securities, candidates
-
     if (
         securities is not None
         and candidates is not None
@@ -255,7 +255,7 @@ def search_coint_candidate_pairs(
         if period_search:
             start = securities.index.get_level_values("date").min()
             end = securities.index.get_level_values("date").max()
-            top_pairs = _period_search(start, end, securities, candidates)
+            top_pairs = _period_search(start, end, securities, candidates, window, npairs)
         else:
             top_pairs = find_cointegrated_pairs(
                 securities, candidates, n=npairs, coint=True
@@ -291,7 +291,7 @@ def search_coint_candidate_pairs(
         )
         if period_search:
             top_pairs = _period_search(
-                start, end, securities_data, candidates_data
+                start, end, securities_data, candidates_data, window, npairs
             ).head(npairs)
         else:
             top_pairs = find_cointegrated_pairs(