bbstrader 0.3.1__py3-none-any.whl → 0.3.3__py3-none-any.whl

bbstrader/metatrader/rates.py

@@ -124,11 +124,11 @@ class Rates(object):
         self.sd = session_duration
         self.start_pos = self._get_start_pos(start_pos, timeframe)
         self.count = count
-        self._mt5_initialized(**kwargs)
+        self.__initializ_mt5(**kwargs)
         self.__account = Account(**kwargs)
         self.__data = self.get_rates_from_pos()
 
-    def _mt5_initialized(self, **kwargs):
+    def __initializ_mt5(self, **kwargs):
         check_mt5_connection(**kwargs)
 
     def _get_start_pos(self, index, time_frame):

bbstrader/metatrader/risk.py

@@ -44,6 +44,7 @@ _COMMD_SUPPORTED_ = [
     "Copper",
     "XCUUSD",
     "NatGas",
+    "NATGAS",
     "Gasoline",
 ]
 

bbstrader/metatrader/scripts.py

@@ -1,8 +1,9 @@
 import argparse
+import multiprocessing
 import sys
 
-from bbstrader.metatrader.copier import RunCopier, config_copier
 from bbstrader.apps._copier import main as RunCopyAPP
+from bbstrader.metatrader.copier import RunCopier, config_copier, copier_worker_process
 
 
 def copier_args(parser: argparse.ArgumentParser):
@@ -52,6 +53,12 @@ def copier_args(parser: argparse.ArgumentParser):
         default=None,
         help="End time in HH:MM format",
     )
+    parser.add_argument(
+        "-M",
+        "--multiprocess",
+        action="store_true",
+        help="Run each destination account in a separate process.",
+    )
     return parser
 
 
@@ -65,6 +72,7 @@ def copy_trades(unknown):
         -s, --source: Source Account section name
         -d, --destinations: Destination Account section names (multiple allowed)
         -i, --interval: Update interval in seconds
+        -M, --multiprocess: When set to True, each destination account runs in a separate process.
         -c, --config: .ini file or path (default: ~/.bbstrader/copier/copier.ini)
         -t, --start: Start time in HH:MM format
         -e, --end: End time in HH:MM format
@@ -79,17 +87,35 @@ def copy_trades(unknown):
 
     if copy_args.mode == "GUI":
         RunCopyAPP()
-    
+
     elif copy_args.mode == "CLI":
         source, destinations = config_copier(
             source_section=copy_args.source,
             dest_sections=copy_args.destinations,
             inifile=copy_args.config,
         )
-        RunCopier(
-            source,
-            destinations,
-            copy_args.interval,
-            copy_args.start,
-            copy_args.end,
-        )
+        if copy_args.multiprocess:
+            copier_processes = []
+            for dest_config in destinations:
+                process = multiprocessing.Process(
+                    target=copier_worker_process,
+                    args=(
+                        source,
+                        dest_config,
+                        copy_args.interval,
+                        copy_args.start,
+                        copy_args.end,
+                    ),
+                )
+                process.start()
+                copier_processes.append(process)
+            for process in copier_processes:
+                process.join()
+        else:
+            RunCopier(
+                source,
+                destinations,
+                copy_args.interval,
+                copy_args.start,
+                copy_args.end,
+            )

bbstrader/metatrader/trade.py

@@ -1,7 +1,7 @@
 import os
 import time
 from dataclasses import dataclass
-from datetime import datetime, timedelta
+from datetime import datetime
 from enum import Enum
 from logging import Logger
 from pathlib import Path
@@ -16,7 +16,6 @@ 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,
@@ -27,10 +26,13 @@ try:
 except ImportError:
     import bbstrader.compat  # noqa: F401
 
-
 __all__ = [
     "Trade",
     "create_trade_instance",
+    "TradeAction",
+    "TradeSignal",
+    "TradingMode",
+    "generate_signal",
 ]
 
 log.add(
@@ -138,6 +140,38 @@ class TradeSignal:
         )
 
 
+def generate_signal(
+    id: int,
+    symbol: str,
+    action: TradeAction,
+    price: float = None,
+    stoplimit: float = None,
+    comment: str = None,
+) -> TradeSignal:
+    """
+    Generates a trade signal for MetaTrader 5.
+
+    Args:
+        id (int): Unique identifier for the trade signal.
+        symbol (str): The symbol for which the trade signal is generated.
+        action (TradeAction): The action to be taken (e.g., BUY, SELL).
+        price (float, optional): The price at which to execute the trade.
+        stoplimit (float, optional): The stop limit price for the trade.
+        comment (str, optional): Additional comments for the trade.
+
+    Returns:
+        TradeSignal: A TradeSignal object containing the details of the trade signal.
+    """
+    return TradeSignal(
+        id=id,
+        symbol=symbol,
+        action=action,
+        price=price,
+        stoplimit=stoplimit,
+        comment=comment,
+    )
+
+
 class TradingMode(Enum):
     BACKTEST = "BACKTEST"
     LIVE = "LIVE"
@@ -224,7 +258,7 @@ class Trade(RiskManagement):
         symbol: str = "EURUSD",
         expert_name: str = "bbstrader",
         expert_id: int = EXPERT_ID,
-        version: str = "2.0",
+        version: str = "3.0",
         target: float = 5.0,
         start_time: str = "0:00",
         finishing_time: str = "23:59",
@@ -556,7 +590,7 @@ class Trade(RiskManagement):
             else:
                 raise ValueError("You need to set a price for pending orders")
         else:
-            _price = self.get_tick_info(self.symbol).ask
+            _price = self.get_tick_info(self.symbol).bid
 
         lot = volume or self.get_lot()
         stop_loss = self.get_stop_loss()
@@ -592,13 +626,15 @@ class Trade(RiskManagement):
             request["tp"] = tp or mm_price + take_profit * point
         self.break_even(mm=mm, id=Id, trail=trail)
         if self.check(comment):
+            if action == "BSTPLMT":
+                _price = stoplimit
             return self.request_result(_price, request, action)
         return False
 
     def _order_type(self):
         return {
             "BMKT": (Mt5.ORDER_TYPE_BUY, "BUY"),
-            "SMKT": (Mt5.ORDER_TYPE_BUY, "SELL"),
+            "SMKT": (Mt5.ORDER_TYPE_SELL, "SELL"),
             "BLMT": (Mt5.ORDER_TYPE_BUY_LIMIT, "BUY_LIMIT"),
             "SLMT": (Mt5.ORDER_TYPE_SELL_LIMIT, "SELL_LIMIT"),
             "BSTP": (Mt5.ORDER_TYPE_BUY_STOP, "BUY_STOP"),
@@ -647,7 +683,7 @@ class Trade(RiskManagement):
             else:
                 raise ValueError("You need to set a price for pending orders")
         else:
-            _price = self.get_tick_info(self.symbol).bid
+            _price = self.get_tick_info(self.symbol).ask
 
         lot = volume or self.get_lot()
         stop_loss = self.get_stop_loss()
@@ -683,6 +719,8 @@ class Trade(RiskManagement):
             request["tp"] = tp or mm_price - take_profit * point
         self.break_even(mm=mm, id=Id, trail=trail)
         if self.check(comment):
+            if action == "SSTPLMT":
+                _price = stoplimit
             return self.request_result(_price, request, action)
         return False
 
@@ -1132,9 +1170,9 @@ 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:
@@ -1311,7 +1349,9 @@ class Trade(RiskManagement):
                         result = self.send_order(request)
                     except Exception as e:
                         msg = trade_retcode_message(result.retcode)
-                        LOGGER.error(f"Break-Even Order Request, {msg}{addtionnal}, Error: {e}")
+                        LOGGER.error(
+                            f"Break-Even Order Request, {msg}{addtionnal}, Error: {e}"
+                        )
                     if result.retcode == Mt5.TRADE_RETCODE_DONE:
                         break
                 tries += 1
@@ -1397,7 +1437,9 @@ class Trade(RiskManagement):
             result = self.send_order(request)
         except Exception as e:
             msg = trade_retcode_message(result.retcode)
-            LOGGER.error(f"Closing {type.capitalize()} Request, {msg}{addtionnal}, Error: {e}")
+            LOGGER.error(
+                f"Closing {type.capitalize()} Request, {msg}{addtionnal}, Error: {e}"
+            )
         if result.retcode != Mt5.TRADE_RETCODE_DONE:
             if result.retcode == Mt5.TRADE_RETCODE_INVALID_FILL:  # 10030
                 for fill in FILLING_TYPE:
@@ -1421,7 +1463,9 @@ class Trade(RiskManagement):
                         result = self.send_order(request)
                     except Exception as e:
                         msg = trade_retcode_message(result.retcode)
-                        LOGGER.error(f"Closing {type.capitalize()} Request, {msg}{addtionnal}, Error: {e}")
+                        LOGGER.error(
+                            f"Closing {type.capitalize()} Request, {msg}{addtionnal}, Error: {e}"
+                        )
                     if result.retcode == Mt5.TRADE_RETCODE_DONE:
                         break
                     tries += 1
@@ -1533,8 +1577,6 @@ class Trade(RiskManagement):
         symbol = symbol or self.symbol
         Id = id if id is not None else self.expert_id
         positions = self.get_positions(ticket=ticket)
-        buy_price = self.get_tick_info(symbol).ask
-        sell_price = self.get_tick_info(symbol).bid
         deviation = self.get_deviation()
         if positions is not None and len(positions) == 1:
             position = positions[0]
@@ -1546,9 +1588,8 @@ class Trade(RiskManagement):
                     "volume": (position.volume * pct),
                     "type": Mt5.ORDER_TYPE_SELL if buy else Mt5.ORDER_TYPE_BUY,
                     "position": ticket,
-                    "price": sell_price if buy else buy_price,
+                    "price": position.price_current,
                     "deviation": deviation,
-                    "magic": Id,
                     "comment": f"@{self.expert_name}" if comment is None else comment,
                     "type_time": Mt5.ORDER_TIME_GTC,
                     "type_filling": Mt5.ORDER_FILLING_FOK,
@@ -1665,32 +1706,8 @@ 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 get_today_deals(self, group=None):
+        return super().get_today_deals(self.expert_id, group=group)
 
     def is_max_trades_reached(self) -> bool:
         """

bbstrader/metatrader/utils.py

@@ -486,11 +486,7 @@ class MT5TerminalError(Exception):
         self.code = code
         self.message = message
 
-    def __str__(self) -> str:
-        # if self.message is None:
-        #     return f"{self.__class__.__name__}"
-        # else:
-        #     return f"{self.__class__.__name__}, {self.message}"
+    def __repr__(self) -> str:
         msg_str = str(self.message) if self.message is not None else ""
         return f"{self.code} - {self.__class__.__name__}: {msg_str}"
 
@@ -638,6 +634,8 @@ def raise_mt5_error(message: Optional[str] = None):
     Raises:
         MT5TerminalError: A specific exception based on the error code.
     """
+    if message and isinstance(message, Exception):
+        message = str(message)
     error = _ERROR_CODE_TO_EXCEPTION_.get(MT5.last_error()[0])
     if error is not None:
         raise Exception(f"{error(None)} {message or MT5.last_error()[1]}")

bbstrader/models/__init__.py

@@ -3,7 +3,6 @@ The `models` module provides a foundational framework for implementing various q
 
 It is designed to be a versatile base module for different types of models used in financial analysis and trading. 
 """
-from bbstrader.models.risk import *  # noqa: F403
 from bbstrader.models.optimization import *  # noqa: F403
 from bbstrader.models.portfolio import *  # noqa: F403
 from bbstrader.models.factors import *  # noqa: F403

bbstrader/models/ml.py

@@ -1,6 +1,5 @@
 import os
 import warnings
-from datetime import datetime
 from itertools import product
 from time import time
 
@@ -19,6 +18,7 @@ from alphalens.utils import (
     rate_of_return,
     std_conversion,
 )
+from loguru import logger as log
 from scipy.stats import spearmanr
 from sklearn.preprocessing import LabelEncoder, StandardScaler
 
@@ -165,6 +165,7 @@ class LightGBModel(object):
         datastore: pd.HDFStore = "lgbdata.h5",
         trainstore: pd.HDFStore = "lgbtrain.h5",
         outstore: pd.HDFStore = "lgbout.h5",
+        logger=None,
     ):
         """
         Args:
@@ -173,10 +174,12 @@ class LightGBModel(object):
             datastore (str): The path to the HDF5 file for storing the model data.
             trainstore (str): The path to the HDF5 file for storing the training data.
             outstore (str): The path to the HDF5 file for storing the output data.
+            logger (Logger): Optional logger instance for logging messages. If not provided, a default logger will be used.
         """
         self.datastore = datastore
         self.trainstore = trainstore
         self.outstore = outstore
+        self.logger = logger or log
         if data is not None:
             data.reset_index().to_hdf(path_or_buf=self.datastore, key="model_data")
 
@@ -243,11 +246,15 @@ class LightGBModel(object):
                     multi_level_index=False,
                     auto_adjust=True,
                 )
+                if prices.empty:
+                    continue
                 prices["symbol"] = ticker
                 data.append(prices)
             except:  # noqa: E722
                 continue
         data = pd.concat(data)
+        if "Adj Close" in data.columns:
+            data = data.drop(columns=["Adj Close"])
         data = (
             data.rename(columns={s: s.lower().replace(" ", "_") for s in data.columns})
             .set_index("symbol", append=True)
@@ -255,8 +262,6 @@ class LightGBModel(object):
             .sort_index()
             .dropna()
         )
-        if "adj_close" in data.columns:
-            data = data.drop(columns=["adj_close"])
         return data
 
     def download_metadata(self, tickers):
@@ -849,13 +854,23 @@ class LightGBModel(object):
             data = store.select("stock_data")
             data = data.set_index(["symbol", "date"]).sort_index()
             data = data[~data.index.duplicated()]
-        return (
-            data.loc[idx[tickers, start:end], "open"]
-            .unstack("symbol")
-            .sort_index()
-            .shift(-1)
-            .tz_convert("UTC")
-        )
+        try:
+            data = (
+                data.loc[idx[tickers, start:end], "open"]
+                .unstack("symbol")
+                .sort_index()
+                .shift(-1)
+                .tz_convert("UTC")
+            )
+        except TypeError:
+            data = (
+                data.loc[idx[tickers, start:end], "open"]
+                .unstack("symbol")
+                .sort_index()
+                .shift(-1)
+                .tz_localize("UTC")
+            )
+        return data
 
     def plot_ic(self, lgb_ic, lgb_daily_ic, scope_params, lgb_train_params):
         fig, axes = plt.subplots(nrows=1, ncols=2, figsize=(20, 5))
@@ -1086,13 +1101,22 @@ class LightGBModel(object):
         # in order to compute the mean period-wise
         # return earned on an equal-weighted portfolio invested in the daily factor quintiles
         # for various holding periods:
-        factor = (
-            best_predictions.iloc[:, :5]
-            .mean(1)
-            .dropna()
-            .tz_convert("UTC", level="date")
-            .swaplevel()
-        )
+        try:
+            factor = (
+                best_predictions.iloc[:, :5]
+                .mean(1)
+                .dropna()
+                .tz_convert("UTC", level="date")
+                .swaplevel()
+            )
+        except TypeError:
+            factor = (
+                best_predictions.iloc[:, :5]
+                .mean(1)
+                .dropna()
+                .tz_localize("UTC", level="date")
+                .swaplevel()
+            )
         # Create AlphaLens Inputs
         if verbose:
             factor_data = get_clean_factor_and_forward_returns(
@@ -1134,6 +1158,8 @@ class LightGBModel(object):
         elif mode == "live":
             data[labels] = data[labels].fillna(0)
             data = data.sort_index().dropna()
+        else:
+            raise ValueError("Mode must be either 'test' or 'live'.")
 
         lgb_data = lgb.Dataset(
             data=data[features],
@@ -1245,7 +1271,9 @@ class LightGBModel(object):
         Usefull in Live Trading to ensure that the last date in the predictions
         is the previous day, so it predicts today's returns.
         """
+        last_date: pd.Timestamp
         last_date = predictions.index.get_level_values("date").max()
+        now = pd.Timestamp.now(tz="UTC")
         try:
             if last_date.tzinfo is None:
                 last_date = last_date.tz_localize("UTC")
@@ -1253,18 +1281,19 @@ class LightGBModel(object):
                 last_date = last_date.tz_convert("UTC")
             last_date = last_date.normalize()
         except Exception as e:
-            print(f"Error getting last date: {e}")
+            self.logger.error(f"Error getting last date: {e}")
         try:
-            days = 3 if datetime.now().strftime("%A") == "Monday" else 1
-            td = (
-                last_date
-                - (pd.Timestamp.now(tz="UTC") - pd.Timedelta(days=days)).normalize()
-            )
-            assert (
-                td.days == days or last_date == (pd.Timestamp.now(tz="UTC")).normalize()
-            )
+            days = 3 if now.weekday() == 0 else 1
+            time_delta = last_date - (now - pd.Timedelta(days=days)).normalize()
+            assert time_delta.days == days or last_date == now.normalize()
             return True
         except AssertionError:
+            yesterday = (now - pd.Timedelta(days=1)).normalize()
+            last_friday = (now - pd.Timedelta(days=now.weekday() + 3)).normalize()
+            self.logger.debug(
+                f"Last date in predictions ({last_date}) is not equal to \
+                yesterday ({yesterday}) or last Friday ({last_friday})"
+            )
             return False
 
     def clean_stores(self, *stores):