bbstrader 0.3.4__py3-none-any.whl → 0.3.6__py3-none-any.whl

bbstrader/models/ml.py

@@ -1,5 +1,6 @@
 import os
 import warnings
+from concurrent.futures import ThreadPoolExecutor, as_completed
 from itertools import product
 from time import time
 
@@ -7,7 +8,6 @@ import lightgbm as lgb
 import matplotlib.pyplot as plt
 import numpy as np
 import pandas as pd
-import pandas_ta as ta
 import seaborn as sns
 import yfinance as yf
 from alphalens import performance as perf
@@ -22,15 +22,30 @@ from loguru import logger as log
 from scipy.stats import spearmanr
 from sklearn.preprocessing import LabelEncoder, StandardScaler
 
+try:
+    # This is to fix posix import error in pandas_ta
+    # On windows systems
+    import posix  # noqa: F401
+except (ImportError, Exception):
+    import bbstrader.compat  # noqa: F401
+
+import pandas_ta as ta
+
 warnings.filterwarnings("ignore")
 
 __all__ = ["OneStepTimeSeriesSplit", "MultipleTimeSeriesCV", "LightGBModel"]
 
 
 class OneStepTimeSeriesSplit:
-    __author__ = "Stefan Jansen"
-    """Generates tuples of train_idx, test_idx pairs
-    Assumes the index contains a level labeled 'date'"""
+    """
+    Generates tuples of train_idx, test_idx pairs
+    Assumes the index contains a level labeled 'date'
+
+    References
+    ----------
+    Stefan Jansen (2020). Machine Learning for Algorithmic Trading - Second Edition.
+    Chapter 12, Boosting Your Trading Strategy.
+    """
 
     def __init__(self, n_splits=3, test_period_length=1, shuffle=False):
         self.n_splits = n_splits
@@ -62,11 +77,15 @@ class OneStepTimeSeriesSplit:
 
 
 class MultipleTimeSeriesCV:
-    __author__ = "Stefan Jansen"
     """
     Generates tuples of train_idx, test_idx pairs
     Assumes the MultiIndex contains levels 'symbol' and 'date'
     purges overlapping outcomes
+
+    References
+    ----------
+    Stefan Jansen (2020). Machine Learning for Algorithmic Trading - Second Edition.
+    Chapter 12, Boosting Your Trading Strategy.
     """
 
     def __init__(
@@ -187,7 +206,7 @@ class LightGBModel(object):
         # Compute Bollinger Bands using pandas_ta
         bb = ta.bbands(close, length=20)
         return pd.DataFrame(
-            {"bb_high": bb["BBU_20_2.0"], "bb_low": bb["BBL_20_2.0"]}, index=close.index
+            {"bb_high": bb["BBU_20_2.0_2.0"], "bb_low": bb["BBL_20_2.0_2.0"]}, index=close.index
         )
 
     def _compute_atr(self, stock_data):
@@ -235,26 +254,29 @@ class LightGBModel(object):
         return prices
 
     def download_boosting_data(self, tickers, start, end=None):
-        data = []
-        for ticker in tickers:
-            try:
-                prices = yf.download(
-                    ticker,
-                    start=start,
-                    end=end,
-                    progress=False,
-                    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)
+        try:
+            data = yf.download(
+                tickers,
+                start=start,
+                end=end,
+                progress=False,
+                auto_adjust=True,
+                threads=True,
+            )
+            if data.empty:
+                return pd.DataFrame()
+
+            data = (
+                data.stack(level=1).rename_axis(["Date", "symbol"]).reset_index(level=1)
+            )
+        except Exception as e:
+            self.logger.error(f"An error occurred during data download: {e}")
+            return pd.DataFrame()
+
+        # The rest of the data processing is the same as the original function
         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)
@@ -265,17 +287,11 @@ class LightGBModel(object):
         return data
 
     def download_metadata(self, tickers):
-        def clean_text_column(series: pd.Series) -> pd.Series:
-            return (
-                series.str.lower()
-                # use regex=False for literal string replacements
-                .str.replace("-", "", regex=False)
-                .str.replace("&", "and", regex=False)
-                .str.replace(" ", "_", regex=False)
-                .str.replace("__", "_", regex=False)
-            )
+        """
+        Downloads metadata for multiple tickers concurrently using a thread pool.
+        """
 
-        metadata = [
+        METADATA_KEYS = [
             "industry",
             "sector",
             "exchange",
@@ -296,7 +312,7 @@ class LightGBModel(object):
             "marketCap",
         ]
 
-        columns = {
+        COLUMN_MAP = {
             "industry": "industry",
             "sector": "sector",
             "exchange": "exchange",
@@ -316,22 +332,53 @@ class LightGBModel(object):
             "askSize": "asksize",
             "marketCap": "marketcap",
         }
-        data = []
-        for symbol in tickers:
+
+        def _clean_text_column(series: pd.Series) -> pd.Series:
+            """Helper function to clean text columns."""
+            return (
+                series.str.lower()
+                .str.replace("-", "", regex=False)
+                .str.replace("&", "and", regex=False)
+                .str.replace(" ", "_", regex=False)
+                .str.replace("__", "_", regex=False)
+            )
+
+        def _fetch_single_ticker_info(symbol):
+            """Worker function to fetch and process info for one ticker."""
             try:
-                symbol_info = yf.Ticker(symbol).info
-            except:  # noqa: E722
-                continue
-            infos = {}
-            for info in metadata:
-                infos[info] = symbol_info.get(info)
-            data.append(infos)
+                ticker_info = yf.Ticker(symbol).info
+                return {key: ticker_info.get(key) for key in METADATA_KEYS}
+            except Exception:
+                return None
+
+        data = []
+        with ThreadPoolExecutor(max_workers=20) as executor:
+            future_to_ticker = {
+                executor.submit(_fetch_single_ticker_info, ticker): ticker
+                for ticker in tickers
+            }
+
+            for future in as_completed(future_to_ticker):
+                result = future.result()
+                if result:
+                    data.append(result)
+
+        if not data:
+            return pd.DataFrame()
+
         metadata = pd.DataFrame(data)
-        metadata = metadata.rename(columns=columns)
-        metadata.dyield = metadata.dyield.fillna(0)
-        metadata.sector = clean_text_column(metadata.sector)
-        metadata.industry = clean_text_column(metadata.industry)
-        metadata = metadata.set_index("symbol")
+        metadata = metadata.rename(columns=COLUMN_MAP)
+
+        if "dyield" in metadata.columns:
+            metadata.dyield = metadata.dyield.fillna(0)
+        if "sector" in metadata.columns:
+            metadata.sector = _clean_text_column(metadata.sector)
+        if "industry" in metadata.columns:
+            metadata.industry = _clean_text_column(metadata.industry)
+
+        if "symbol" in metadata.columns:
+            metadata = metadata.set_index("symbol")
+
         return metadata
 
     def _select_nlargest_liquidity_stocks(

bbstrader/models/nlp.py

@@ -577,44 +577,55 @@ class SentimentAnalyzer(object):
         **kwargs,
     ) -> Dict[str, float]:
         """
-        Computes sentiment scores for a list of financial tickers based on news and social media data.
-
-        Process:
-        1. Collects news articles and posts related to each ticker from various sources:
-           - Yahoo Finance News
-           - Google Finance News
-           - Reddit posts
-           - Financial Modeling Prep (FMP) news
-        2. Analyzes sentiment from each source:
-           - Uses VADER for Yahoo and Google Finance news.
-           - Uses TextBlob for Reddit and FMP news.
-        3. Computes an overall sentiment score using a weighted average approach.
-
-        Args:
-            tickers (List[str] | List[Tuple[str, str]]): A list of asset tickers to analyze
-                - if using tuples, the first element is the ticker and the second is the asset type.
-                - if using a single string, the asset type must be specified or the default is "stock".
-            lexicon (dict, optional): A custom sentiment lexicon to update VADER's default lexicon.
-            asset_type (str, optional): The type of asset, 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)
-            top_news (int, optional): Number of news articles/posts to fetch per source. Defaults to 10.
-            **kwargs: Additional parameters for API authentication and data retrieval, including:
-                - fmp_api (str): API key for Financial Modeling Prep.
-                - client_id, client_secret, user_agent (str): Credentials for accessing Reddit API.
-
-        Returns:
-            Dict[str, float]: A dictionary mapping each ticker to its overall sentiment score.
-                             - Positive values indicate positive sentiment.
-                             - Negative values indicate negative sentiment.
-                             - Zero indicates neutral sentiment.
-        Notes:
-            The tickers names must follow yahoo finance conventions.
+        Compute sentiment scores for a list of financial tickers based on news and social media data.
+
+        Process
+        -------
+        1. Collect news articles and posts related to each ticker from various sources:
+        * Yahoo Finance News
+        * Google Finance News
+        * Reddit posts
+        * Financial Modeling Prep (FMP) news
+        2. Analyze sentiment from each source:
+        * Uses VADER for Yahoo and Google Finance news.
+        * Uses TextBlob for Reddit and FMP news.
+        3. Compute an overall sentiment score using a weighted average approach.
+
+        Parameters
+        ----------
+        tickers : list of str or list of tuple
+            A list of asset tickers to analyze.
+            * If using tuples, the first element is the ticker and the second is the asset type.
+            * If using a single string, the asset type must be specified or defaults to "stock".
+        lexicon : dict, optional
+            A custom sentiment lexicon to update VADER's default lexicon. Default is None.
+        asset_type : str, optional
+            The type of asset. Default is "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)
+        top_news : int, optional
+            Number of news articles/posts to fetch per source. Default is 10.
+        **kwargs : dict
+            Additional parameters for API authentication and data retrieval. Must include:
+            * fmp_api (str): API key for Financial Modeling Prep.
+            * client_id, client_secret, user_agent (str): Credentials for Reddit API.
+
+        Returns
+        -------
+        dict of str to float
+            A dictionary mapping each ticker to its overall sentiment score.
+            * Positive values indicate positive sentiment.
+            * Negative values indicate negative sentiment.
+            * Zero indicates neutral sentiment.
+
+        Notes
+        -----
+        Ticker names must follow Yahoo Finance conventions.
         """
 
         sentiment_results = {}
@@ -761,30 +772,36 @@ class SentimentAnalyzer(object):
         The dashboard visualizes sentiment scores for given tickers using interactive
         bar and scatter plots. It fetches new sentiment data at specified intervals.
 
-        Args:
-            tickers (List[str] | List[Tuple[str, str]]):
-                A list of financial asset tickers to analyze.
-                - If using tuples, the first element is the ticker and the second is the asset type.
-                - If using a single string, the asset type must be specified or defaults to "stock".
-            asset_type (str, optional):
-                The type of financial asset ("stock", "forex", "crypto"). Defaults to "stock".
-            lexicon (dict, optional):
-                A custom sentiment lexicon. Defaults to None.
-            interval (int, optional):
-                The refresh interval (in milliseconds) for sentiment data updates. Defaults to 100000.
-            top_n (int, optional):
-                The number of top and bottom assets to display in the sentiment bar chart. Defaults to 20.
-            **kwargs (dict):
-                Additional arguments required for fetching sentiment data. Must include:
-                - client_id (str): Reddit API client ID.
-                - client_secret (str): Reddit API client secret.
-                - user_agent (str): User agent for Reddit API.
-                - fmp_api (str): Financial Modeling Prep (FMP) API key.
-
-        Returns:
-            None: The function does not return anything but starts a real-time interactive dashboard.
+        Parameters
+        ----------
+        tickers : list of str or list of tuple
+            A list of financial asset tickers to analyze.
+            * If using tuples, the first element is the ticker and the second is the asset type.
+            * If using a single string, the asset type must be specified or defaults to "stock".
+        asset_type : str, optional
+            The type of financial asset ("stock", "forex", "crypto"). Default is "stock".
+        lexicon : dict, optional
+            A custom sentiment lexicon. Default is None.
+        interval : int, optional
+            The refresh interval (in milliseconds) for sentiment data updates. Default is 100000.
+        top_n : int, optional
+            The number of top and bottom assets to display in the sentiment bar chart. Default is 20.
+        **kwargs : dict
+            Additional arguments required for fetching sentiment data. Must include:
+            * client_id (str): Reddit API client ID.
+            * client_secret (str): Reddit API client secret.
+            * user_agent (str): User agent for Reddit API.
+            * fmp_api (str): Financial Modeling Prep (FMP) API key.
+
+        Returns
+        -------
+        None
+            Starts a real-time interactive dashboard. Does not return any value.
+
+        Example
+        -------
+        .. code-block:: python
 
-        Example Usage:
             sa = SentimentAnalyzer()
             sa.display_sentiment_dashboard(
                 tickers=["AAPL", "TSLA", "GOOGL"],
@@ -799,12 +816,12 @@ class SentimentAnalyzer(object):
                 fmp_api="your_fmp_api_key",
             )
 
-        Notes:
-            - Sentiment analysis is performed using financial news and social media discussions.
-            - The dashboard updates in real-time at the specified interval.
-            - The dashboard will keep running unless manually stopped (Ctrl+C).
+        Notes
+        -----
+        * Sentiment analysis is performed using financial news and social media discussions.
+        * The dashboard updates in real-time at the specified interval.
+        * The dashboard will keep running unless manually stopped (Ctrl+C).
         """
-
         app = dash.Dash(__name__)
 
         sentiment_history = {ticker: [] for ticker in tickers}

bbstrader/trading/execution.py

@@ -45,6 +45,7 @@ MT5_ENGINE_TIMEFRAMES = list(_TF_MAPPING.keys())
 TradingDays = ["monday", "tuesday", "wednesday", "thursday", "friday"]
 WEEK_DAYS = TradingDays + ["saturday", "sunday"]
 FRIDAY = "friday"
+WEEK_ENDS = ["friday", "saturday", "sunday"]
 
 BUYS = ["BMKT", "BLMT", "BSTP", "BSTPLMT"]
 SELLS = ["SMKT", "SLMT", "SSTP", "SSTPLMT"]
@@ -513,17 +514,12 @@ class Mt5ExecutionEngine:
         logger.info(sessionmsg)
 
     def _check_is_day_ends(self, trade: Trade, symbol, period_type, today, closing):
-        if trade.days_end():
-            self._logmsgif("Day", symbol) if today != FRIDAY else self._logmsgif(
+        if trade.days_end() or (today in WEEK_ENDS and today != FRIDAY):
+            self._logmsgif("Day", symbol) if today not in WEEK_ENDS else self._logmsgif(
                 "Week", symbol
             )
             if (
-                (
-                    period_type == "month"
-                    and today == FRIDAY
-                    and self._is_month_ends()
-                    and closing
-                )
+                (period_type == "month" and self._is_month_ends() and closing)
                 or (period_type == "week" and today == FRIDAY and closing)
                 or (period_type == "day" and closing)
                 or (period_type == "24/7" and closing)
@@ -546,15 +542,17 @@ class Mt5ExecutionEngine:
         self.strategy.perform_period_end_checks()
         if self.period_end_action == "break" and closing:
             sys.exit(0)
-        elif self.period_end_action == "sleep" and today != FRIDAY or not closing:
+        elif (
+            self.period_end_action == "sleep" and today not in WEEK_ENDS or not closing
+        ):
             self._sleep_over_night(sessionmsg)
-        elif self.period_end_action == "sleep" and today == FRIDAY:
+        elif self.period_end_action == "sleep" and today in WEEK_ENDS:
             self._sleep_over_weekend(sessionmsg)
 
     def _weekly_end_checks(self, today, closing, sessionmsg):
-        if today != FRIDAY:
+        if today not in WEEK_ENDS:
             self._sleep_over_night(sessionmsg)
-        elif today == FRIDAY:
+        else:
             self.strategy.perform_period_end_checks()
             if self.period_end_action == "break" and closing:
                 sys.exit(0)
@@ -562,9 +560,9 @@ class Mt5ExecutionEngine:
                 self._sleep_over_weekend(sessionmsg)
 
     def _monthly_end_cheks(self, today, closing, sessionmsg):
-        if today != FRIDAY:
+        if today not in WEEK_ENDS and not self._is_month_ends():
             self._sleep_over_night(sessionmsg)
-        elif today == FRIDAY and self._is_month_ends() and closing:
+        elif self._is_month_ends() and closing:
             self.strategy.perform_period_end_checks()
             sys.exit(0)
         else:
@@ -956,7 +954,11 @@ class Mt5ExecutionEngine:
     def _handle_period_end_actions(self, today):
         try:
             check_mt5_connection(**self.kwargs)
-            day_end = all(trade.days_end() for trade in self.trades_instances.values())
+            day_end = (
+                all(trade.days_end() for trade in self.trades_instances.values())
+                or (today in WEEK_ENDS and today != FRIDAY)
+                and self.period != "24/7"
+            )
             closing = self._is_closing()
             sessionmsg = f"{self.ACCOUNT} STARTING NEW TRADING SESSION ...\n"
             self._perform_period_end_actions(
@@ -1012,13 +1014,28 @@ class Mt5ExecutionEngine:
 
 
 def RunMt5Engine(account_id: str, **kwargs):
-    """Starts an MT5 execution engine for a given account.
-    Args:
-        account_id: Account ID to run the execution engine on.
-        **kwargs: Additional keyword arguments
-            _ symbol_list : List of symbols to trade.
-            - trades_instances : Dictionary of Trade instances.
-            - strategy_cls : Strategy class to use for trading.
+    """
+    Start an MT5 execution engine for a given account.
+
+    Parameters
+    ----------
+    account_id : str
+        Account ID to run the execution engine on.
+
+    **kwargs : dict
+        Additional keyword arguments. Possible keys include:
+
+        * symbol_list : list
+            List of symbols to trade.
+        * trades_instances : dict
+            Dictionary of Trade instances.
+        * strategy_cls : class
+            Strategy class to use for trading.
+
+    Returns
+    -------
+    None
+        Initializes and runs the MT5 execution engine.
     """
     log.info(f"Starting execution engine for {account_id}")