bbstrader 0.3.0__py3-none-any.whl → 0.3.2__py3-none-any.whl

bbstrader/__init__.py

@@ -7,7 +7,7 @@ __author__ = "Bertin Balouki SIMYELI"
 __copyright__ = "2023-2025 Bertin Balouki SIMYELI"
 __email__ = "bertin@bbstrader.com"
 __license__ = "MIT"
-__version__ = "0.2.0"
+__version__ = "0.3.2"
 
 from bbstrader import compat  # noqa: F401
 from bbstrader import core  # noqa: F401

bbstrader/__main__.py

@@ -1,4 +1,5 @@
 import argparse
+import multiprocessing
 import sys
 from enum import Enum
 
@@ -49,20 +50,25 @@ def main():
     if ("-h" in sys.argv or "--help" in sys.argv) and args.run is None:
         print(Fore.WHITE + USAGE_TEXT)
         sys.exit(0)
-
-    match args.run:
-        case Module.COPIER.value:
-            copy_trades(unknown)
-        case Module.BACKTEST.value:
-            backtest(unknown)
-        case Module.EXECUTION.value:
-            execute_strategy(unknown)
-        case Module.NEWS_FEED.value:
-            send_news_feed(unknown)
-        case _:
-            print(Fore.RED + f"Unknown module: {args.run}")
-            sys.exit(1)
+    try:
+        match args.run:
+            case Module.COPIER.value:
+                copy_trades(unknown)
+            case Module.BACKTEST.value:
+                backtest(unknown)
+            case Module.EXECUTION.value:
+                execute_strategy(unknown)
+            case Module.NEWS_FEED.value:
+                send_news_feed(unknown)
+            case _:
+                print(Fore.RED + f"Unknown module: {args.run}")
+                sys.exit(1)
+    except KeyboardInterrupt:
+        sys.exit(0)
+    except Exception:
+        sys.exit(1)
 
 
 if __name__ == "__main__":
+    multiprocessing.freeze_support()
     main()

bbstrader/btengine/backtest.py

@@ -248,14 +248,13 @@ def run_backtest(
 
         start_date (datetime): Start date of the backtest.
 
-        data_handler (DataHandler): An instance of the `DataHandler` class, responsible for managing
+        data_handler (DataHandler): A subclass of the `DataHandler` class, responsible for managing
             and processing market data. Available options include `CSVDataHandler`,
-            `MT5DataHandler`, and `YFDataHandler`. Ensure that the `DataHandler`
-            instance is initialized before passing it to the function.
+            `MT5DataHandler`, and `YFDataHandler`.
 
         strategy (Strategy): The trading strategy to be employed during the backtest.
-            The strategy must be an instance of `Strategy` and should include the following attributes:
-            - `bars` (DataHandler): The `DataHandler` instance for the strategy.
+            The strategy must be a subclass of `Strategy` and should include the following attributes:
+            - `bars` (DataHandler): The `DataHandler` class for the strategy.
             - `events` (Queue): Queue instance for managing events.
             - `symbol_list` (List[str]): List of symbols to trade.
             - `mode` (str): 'live' or 'backtest'.
@@ -307,9 +306,9 @@ def run_backtest(
         >>> run_backtest(
         ...     symbol_list=symbol_list,
         ...     start_date=start,
-        ...     data_handler=MT5DataHandler(),
-        ...     strategy=StockIndexSTBOTrading(),
-        ...     exc_handler=MT5ExecutionHandler(),
+        ...     data_handler=MT5DataHandler,
+        ...     strategy=StockIndexSTBOTrading,
+        ...     exc_handler=MT5ExecutionHandler,
         ...     initial_capital=100000.0,
         ...     heartbeat=0.0,
         ...     **kwargs

bbstrader/btengine/execution.py

@@ -98,7 +98,7 @@ class SimExecutionHandler(ExecutionHandler):
             self.events.put(fill_event)
             self.logger.info(
                 f"{event.direction} ORDER FILLED: SYMBOL={event.symbol}, "
-                f"QUANTITY={event.quantity}, PRICE @{event.price} EXCHANGE={fill_event.exchange}",
+                f"QUANTITY={event.quantity}, PRICE @{round(event.price, 5)} EXCHANGE={fill_event.exchange}",
                 custom_time=fill_event.timeindex,
             )
 
@@ -264,7 +264,7 @@ class MT5ExecutionHandler(ExecutionHandler):
             self.events.put(fill_event)
             self.logger.info(
                 f"{direction} ORDER FILLED: SYMBOL={symbol}, QUANTITY={quantity}, "
-                f"PRICE @{price} EXCHANGE={fill_event.exchange}",
+                f"PRICE @{round(event.price, 5)} EXCHANGE={fill_event.exchange}",
                 custom_time=fill_event.timeindex,
             )
 

bbstrader/btengine/strategy.py

@@ -12,17 +12,18 @@ from loguru import logger
 from bbstrader.btengine.data import DataHandler
 from bbstrader.btengine.event import Events, FillEvent, SignalEvent
 from bbstrader.config import BBSTRADER_DIR
-from bbstrader.metatrader.account import (
+from bbstrader.metatrader import (
     Account,
     AdmiralMarktsGroup,
     PepperstoneGroupLimited,
+    TradeOrder,
+    Rates,
+    TradeSignal, 
+    TradingMode,
+    SymbolType
 )
-from bbstrader.metatrader.utils import SymbolType
-from bbstrader.metatrader.rates import Rates
-from bbstrader.metatrader.trade import TradeSignal, TradingMode
 from bbstrader.models.optimization import optimized_weights
 
-
 __all__ = ["Strategy", "MT5Strategy"]
 
 logger.add(
@@ -71,8 +72,13 @@ class MT5Strategy(Strategy):
     calculate signals for the MetaTrader 5 trading platform. The signals
     are generated by the `MT5Strategy` object and sent to the the `Mt5ExecutionEngine`
     for live trading and `MT5BacktestEngine` objects for backtesting.
-    """
 
+    # NOTE
+    It is recommanded that every strategy specfic method to be a private method
+    in order to avoid naming collusion.
+    """
+    tf: str
+    max_trades: Dict[str, int]
     def __init__(
         self,
         events: Queue = None,
@@ -107,9 +113,11 @@ class MT5Strategy(Strategy):
             self._initialize_portfolio()
         self.kwargs = kwargs
         self.periodes = 0
-    
-    @property 
+
+    @property
     def account(self):
+        if self.mode != TradingMode.LIVE:
+            raise ValueError("account attribute is only allowed in Live mode")
         return Account(**self.kwargs)
 
     @property
@@ -127,7 +135,7 @@ class MT5Strategy(Strategy):
     @property
     def orders(self):
         if self.mode == TradingMode.LIVE:
-            return self.account.get_orders()
+            return self.account.get_orders() or []
         return self._orders
 
     @property
@@ -139,7 +147,7 @@ class MT5Strategy(Strategy):
     @property
     def positions(self):
         if self.mode == TradingMode.LIVE:
-            return self.account.get_positions()
+            return self.account.get_positions() or []
         return self._positions
 
     @property
@@ -345,7 +353,7 @@ class MT5Strategy(Strategy):
                 log = True
         if log:
             self.logger.info(
-                f"{signal} ORDER EXECUTED: SYMBOL={symbol}, QUANTITY={quantity}, PRICE @{price}",
+                f"{signal} ORDER EXECUTED: SYMBOL={symbol}, QUANTITY={quantity}, PRICE @{round(price, 5)}",
                 custom_time=dtime,
             )
 
@@ -526,7 +534,7 @@ class MT5Strategy(Strategy):
         def logmsg(order, type, symbol, dtime):
             return self.logger.info(
                 f"{type} ORDER EXECUTED: SYMBOL={symbol}, QUANTITY={order.quantity}, "
-                f"PRICE @ {order.price}",
+                f"PRICE @ {round(order.price, 5)}",
                 custom_time=dtime,
             )
 
@@ -614,7 +622,7 @@ class MT5Strategy(Strategy):
                 )
 
     @staticmethod
-    def calculate_pct_change(current_price, lh_price):
+    def calculate_pct_change(current_price, lh_price) -> float:
         return ((current_price - lh_price) / lh_price) * 100
 
     def get_asset_values(
@@ -649,8 +657,8 @@ class MT5Strategy(Strategy):
             In Live mode, the `bbstrader.metatrader.rates.Rates` class is used to get the historical data
             so the value_type must be 'returns', 'open', 'high', 'low', 'close', 'adjclose', 'volume'.
         """
-        if mode not in ["backtest", "live"]:
-            raise ValueError("Mode must be either backtest or live.")
+        if mode not in [TradingMode.BACKTEST, TradingMode.LIVE]:
+            raise ValueError("Mode must be an instance of TradingMode")
         asset_values = {}
         if mode == TradingMode.BACKTEST:
             if bars is None:
@@ -696,7 +704,7 @@ class MT5Strategy(Strategy):
         if period_count == 0 or period_count is None:
             return True
         return period_count % signal_inverval == 0
-    
+
     @staticmethod
     def stop_time(time_zone: str, stop_time: str) -> bool:
         now = datetime.now(pytz.timezone(time_zone)).time()
@@ -760,6 +768,47 @@ class MT5Strategy(Strategy):
             )
             return prices
         return np.array([])
+    
+    def get_active_orders(self, symbol: str, strategy_id: int, order_type: int = None) -> List[TradeOrder]:
+        """
+        Get the active orders for a given symbol and strategy.
+
+        Args:
+            symbol : The symbol for the trade.
+            strategy_id : The unique identifier for the strategy.
+            order_type : The type of order to filter by (optional):
+                    "BUY_LIMIT": 2
+                    "SELL_LIMIT": 3
+                    "BUY_STOP": 4
+                    "SELL_STOP": 5
+                    "BUY_STOP_LIMIT": 6
+                    "SELL_STOP_LIMIT": 7
+
+        Returns:
+            List[TradeOrder] : A list of active orders for the given symbol and strategy.
+        """
+        orders = [o for o in self.orders if o.symbol == symbol and o.magic == strategy_id]
+        if order_type is not None and len(orders) > 0:
+            orders = [o for o in orders if o.type == order_type]
+        return orders
+
+    def exit_positions(self, position, prices, asset, th: float = 0.01):
+        if len(prices) == 0:
+            return False
+        tick_info = self.account.get_tick_info(asset)
+        bid, ask = tick_info.bid, tick_info.ask
+        if len(prices) == 1:
+            price = prices[0]
+        elif len(prices) in range(2, self.max_trades[asset] + 1):
+            price = np.mean(prices)
+        if (
+            position == 0
+            and self.calculate_pct_change(ask, price) >= th
+            or position == 1
+            and abs(self.calculate_pct_change(bid, price)) >= th
+        ):
+            return True
+        return False
 
     @staticmethod
     def get_current_dt(time_zone: str = "US/Eastern") -> datetime:
@@ -796,7 +845,9 @@ class MT5Strategy(Strategy):
         return dt_to
 
     @staticmethod
-    def get_mt5_equivalent(symbols, symbol_type: str | SymbolType = SymbolType.STOCKS, **kwargs) -> List[str]:
+    def get_mt5_equivalent(
+        symbols, symbol_type: str | SymbolType = SymbolType.STOCKS, **kwargs
+    ) -> List[str]:
         """
         Get the MetaTrader 5 equivalent symbols for the symbols in the list.
         This method is used to get the symbols that are available on the MetaTrader 5 platform.

bbstrader/config.py

@@ -3,8 +3,8 @@ from pathlib import Path
 from typing import List
 
 
-TERMINAL = "\\terminal64.exe"
-BASE_FOLDER = "C:\\Program Files\\"
+TERMINAL = "/terminal64.exe"
+BASE_FOLDER = "C:/Program Files/"
 
 AMG_PATH = BASE_FOLDER + "Admirals Group MT5 Terminal" + TERMINAL
 PGL_PATH = BASE_FOLDER + "Pepperstone MetaTrader 5" + TERMINAL

bbstrader/core/data.py

@@ -149,7 +149,7 @@ class FmpNews(object):
             try:
                 articles = pd.read_csv("latest_fmp_articles.csv")
                 articles = articles.to_dict(orient="records")
-                if self._last_date(articles[0]["date"]) < end_date:
+                if self._last_date(articles[0]["date"]).hour < end_date.hour:
                     articles = self.get_articles(**kwargs)
                 else:
                     return articles
@@ -161,7 +161,9 @@ class FmpNews(object):
             df.to_csv("latest_fmp_articles.csv", index=False)
         return articles
 
-    def get_news(self, query, source="articles", articles=None, symbol=None, **kwargs):
+    def get_news(
+        self, query, source="articles", articles=None, symbol: str = None, **kwargs
+    ):
         """
         Retrieves relevant financial news based on the specified source.
 
@@ -183,6 +185,10 @@ class FmpNews(object):
                         Returns an empty list if no relevant news is found.
         """
         query = _get_search_query(query)
+        if symbol is not None:
+            symbol = symbol.replace("-", "").split("=")[
+                0
+            ]  # if symbol is a yahoo finance ticker
         source_methods = {
             "articles": lambda: self.get_latest_articles(articles=articles, save=True),
             "releases": lambda: self.get_releases(symbol=symbol, **kwargs),
@@ -191,6 +197,8 @@ class FmpNews(object):
             "forex": lambda: self.get_forex_news(symbol=symbol, **kwargs),
         }
         news_source = source_methods.get(source, lambda: [])()
+        if source == "articles":
+            symbol = None  # Articles do not require a symbol filter
         news = self.parse_news(news_source, symbol=symbol)
         return _filter_news(news, query)
 
@@ -203,7 +211,7 @@ class FinancialNews(object):
 
     """
 
-    def _fetch_news(self, url, query, asset_type, n_news, headline_tag) -> List[str]:
+    def _fetch_news(self, url, query, n_news, headline_tag) -> List[str]:
         headers = {"User-Agent": "Mozilla/5.0"}
         try:
             response = requests.get(url, headers=headers)
@@ -224,32 +232,60 @@ class FinancialNews(object):
         ]
         return headlines[:n_news]
 
-    def get_yahoo_finance_news(self, query, asset_type="stock", n_news=10):
+    def get_yahoo_finance_news(self, query: str, asset_type="stock", n_news=10):
         """
         Fetches recent Yahoo Finance news headlines for a given financial asset.
 
         Args:
             query (str): The asset symbol or name (e.g., "AAPL").
-            asset_type (str, optional): The type of asset (e.g., "stock", "etf"). Defaults to "stock".
+            asset_type (str, optional): The type of asset (e.g., "stock", "etf"). Defaults to "stock",
+                supported types include:
+                - "stock": Stock symbols (e.g., AAPL, MSFT)
+                - "etf": Exchange-traded funds (e.g., SPY, QQQ)
+                - "future": Futures contracts (e.g., CL=F for crude oil)
+                - "forex": Forex pairs (e.g., EURUSD=X, USDJPY=X)
+                - "crypto": Cryptocurrency pairs (e.g., BTC-USD, ETH-USD)
+                - "index": Stock market indices (e.g., ^GSPC for S&P 500)
             n_news (int, optional): The number of news headlines to return. Defaults to 10.
 
+        Note:
+            For commotities and bonds, use the "Future" asset type.
+
         Returns:
             list[str]: A list of Yahoo Finance news headlines relevant to the query.
         """
+        if asset_type == "forex" or asset_type == "future":
+            assert (
+                "=" in query
+            ), "Forex query must contain '=' for currency pairs (e.g., EURUSD=X, CL=F)"
+        if asset_type == "crypto":
+            assert (
+                "-" in query
+            ), "Crypto query must contain '-' for crypto pairs (e.g., BTC-USD, ETH-USD)"
+        if asset_type == "index":
+            assert query.startswith(
+                "^"
+            ), "Index query must start with '^' (e.g., ^GSPC for S&P 500)"
         url = (
             f"https://finance.yahoo.com/quote/{query}/news"
-            if asset_type in ["stock", "etf"]
+            if asset_type in ["stock", "etf", "index", "future", "forex"]
             else "https://finance.yahoo.com/news"
         )
-        return self._fetch_news(url, query, asset_type, n_news, "h3")
+        return self._fetch_news(url, query, n_news, "h3")
 
-    def get_google_finance_news(self, query, asset_type="stock", n_news=10):
+    def get_google_finance_news(self, query: str, asset_type="stock", n_news=10):
         """
         Fetches recent Google Finance news headlines for a given financial asset.
 
         Args:
             query (str): The asset symbol or name (e.g., "AAPL").
             asset_type (str, optional): The type of asset (e.g., "stock", "crypto"). Defaults to "stock".
+                Supported types include:
+                - "stock": Stock symbols (e.g., AAPL, MSFT)
+                - "etf": Exchange-traded funds (e.g., SPY, QQQ)
+                - "future": Futures contracts (e.g., CL=F or crude oil)
+                - "forex": Forex pairs (e.g., EURUSD, USDJPY)
+                - "crypto": Cryptocurrency pairs (e.g., BTCUSD, ETHUSD)
             n_news (int, optional): The number of news headlines to return. Defaults to 10.
 
         Returns:
@@ -258,20 +294,18 @@ class FinancialNews(object):
         search_terms = {
             "stock": f"{query} stock OR {query} shares OR {query} market",
             "etf": f"{query} ETF OR {query} fund OR {query} exchange-traded fund",
-            "futures": f"{query} futures OR {query} price OR {query} market",
-            "commodity": f"{query} price OR {query} futures OR {query} market",
+            "future": f"{query} futures OR {query} price OR {query} market",
             "forex": f"{query} forex OR {query} exchange rate OR {query} market",
             "crypto": f"{query} cryptocurrency OR {query} price OR {query} market",
-            "bond": f"{query} bond OR {query} yield OR {query} interest rate",
             "index": f"{query} index OR {query} stock market OR {query} performance",
         }
         search_query = search_terms.get(asset_type, query)
         url = f"https://news.google.com/search?q={search_query.replace(' ', '+')}"
-        return self._fetch_news(url, query, asset_type, n_news, "a")
+        return self._fetch_news(url, query, n_news, "a")
 
     def get_reddit_posts(
         self,
-        symbol,
+        symbol: str,
         client_id=None,
         client_secret=None,
         user_agent=None,
@@ -294,8 +328,8 @@ class FinancialNews(object):
                 - "stock": Searches in stock-related subreddits (e.g., wallstreetbets, stocks).
                 - "forex": Searches in forex-related subreddits.
                 - "commodities": Searches in commodity-related subreddits (e.g., gold, oil).
-                - "etfs": Searches in ETF-related subreddits.
-                - "futures": Searches in futures and options trading subreddits.
+                - "etf": Searches in ETF-related subreddits.
+                - "future": Searches in futures and options trading subreddits.
                 - "crypto": Searches in cryptocurrency-related subreddits.
                 - If an unrecognized asset class is provided, defaults to stock-related subreddits.
             n_posts (int, optional): The number of posts to return per subreddit. Defaults to 10.
@@ -317,15 +351,36 @@ class FinancialNews(object):
         """
 
         reddit = praw.Reddit(
-            client_id=client_id, client_secret=client_secret, user_agent=user_agent
+            client_id=client_id,
+            client_secret=client_secret,
+            user_agent=user_agent,
+            check_for_updates=False,
+            comment_kind="t1",
+            message_kind="t4",
+            redditor_kind="t2",
+            submission_kind="t3",
+            subreddit_kind="t5",
+            trophy_kind="t6",
+            oauth_url="https://oauth.reddit.com",
+            reddit_url="https://www.reddit.com",
+            short_url="https://redd.it",
+            timeout=16,
+            ratelimit_seconds=5,
         )
-
+        assert reddit.read_only
         subreddit_mapping = {
             "stock": ["wallstreetbets", "stocks", "investing", "StockMarket"],
             "forex": ["Forex", "ForexTrading", "DayTrading"],
-            "commodities": ["Commodities", "Gold", "Silverbugs", "oil"],
             "etfs": ["ETFs", "investing"],
-            "futures": ["FuturesTrading", "OptionsTrading", "DayTrading"],
+            "futures": [
+                "FuturesTrading",
+                "OptionsTrading",
+                "DayTrading",
+                "Commodities",
+                "Gold",
+                "Silverbugs",
+                "oil",
+            ],
             "crypto": ["CryptoCurrency", "Bitcoin", "ethereum", "altcoin"],
         }
         try:
@@ -473,16 +528,23 @@ class FinancialNews(object):
         maximum = 100
         if limit > maximum:
             raise ValueError(f"Number of total news articles allowed is {maximum}")
-
-        response = requests.get(
-            "https://data-api.coindesk.com/news/v1/article/list",
-            params={"lang": lang, "limit": limit},
-            headers={"Content-type": "application/json; charset=UTF-8"},
-        )
-        json_response = response.json()
-        articles = json_response["Data"]
-        if len(articles) == 0:
+        try:
+            response = requests.get(
+                "https://data-api.coindesk.com/news/v1/article/list",
+                params={"lang": lang, "limit": limit},
+                headers={"Content-type": "application/json; charset=UTF-8"},
+            )
+            response.raise_for_status()
+            json_response = response.json()
+        except requests.exceptions.RequestException:
             return []
+        if (
+            response.status_code != 200
+            or "Data" not in json_response
+            or len(json_response["Data"]) == 0
+        ):
+            return []
+        articles = json_response["Data"]
         to_keep = [
             "PUBLISHED_ON",
             "TITLE",
@@ -495,10 +557,11 @@ class FinancialNews(object):
         ]
         filtered_articles = []
         for article in articles:
+            keys = article.keys()
             filtered_articles.append(
                 {
                     k.lower(): article[k]
-                    if k in article and k != "PUBLISHED_ON"
+                    if k in keys and k != "PUBLISHED_ON"
                     else datetime.fromtimestamp(article[k])
                     for k in to_keep
                     if article[k] is not None and "sponsored" not in str(article[k])