bbstrader 2.0.3__cp312-cp312-macosx_11_0_arm64.whl

bbstrader/api/metatrader_client.pyi

@@ -0,0 +1,624 @@
+import collections.abc
+import datetime
+import typing
+from typing import overload
+
+import numpy.typing
+
+class AccountInfo:
+    assets: float
+    balance: float
+    commission_blocked: float
+    company: str
+    credit: float
+    currency: str
+    currency_digits: int
+    equity: float
+    fifo_close: bool
+    leverage: int
+    liabilities: float
+    limit_orders: int
+    login: int
+    margin: float
+    margin_free: float
+    margin_initial: float
+    margin_level: float
+    margin_maintenance: float
+    margin_mode: int
+    margin_so_call: float
+    margin_so_mode: int
+    margin_so_so: float
+    name: str
+    profit: float
+    server: str
+    trade_allowed: bool
+    trade_expert: bool
+    trade_mode: int
+    def __init__(self) -> None: ...
+
+class BookInfo:
+    price: float
+    type: int
+    volume: int
+    volume_real: float
+    def __init__(self) -> None: ...
+
+class MetaTraderClient:
+    def __init__(self, handlers: MetaTraderHandlers) -> None: ...
+    def account_info(self) -> AccountInfo | None: ...
+    @overload
+    def copy_rates_from(
+        self,
+        symbol: str,
+        timeframe: typing.SupportsInt,
+        date_from: typing.SupportsInt,
+        count: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_rates_from(
+        self,
+        symbol: str,
+        timeframe: typing.SupportsInt,
+        date_from: datetime.datetime,
+        count: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    def copy_rates_from_pos(
+        self,
+        symbol: str,
+        timeframe: typing.SupportsInt,
+        start_pos: typing.SupportsInt,
+        count: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_rates_range(
+        self,
+        symbol: str,
+        timeframe: typing.SupportsInt,
+        date_from: typing.SupportsInt,
+        date_to: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_rates_range(
+        self,
+        symbol: str,
+        timeframe: typing.SupportsInt,
+        date_from: datetime.datetime,
+        date_to: datetime.datetime,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_ticks_from(
+        self,
+        symbol: str,
+        date_from: typing.SupportsInt,
+        count: typing.SupportsInt,
+        flags: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_ticks_from(
+        self,
+        symbol: str,
+        date_from: datetime.datetime,
+        count: typing.SupportsInt,
+        flags: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_ticks_range(
+        self,
+        symbol: str,
+        date_from: typing.SupportsInt,
+        date_to: typing.SupportsInt,
+        flags: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def copy_ticks_range(
+        self,
+        symbol: str,
+        date_from: datetime.datetime,
+        date_to: datetime.datetime,
+        flags: typing.SupportsInt,
+    ) -> numpy.typing.NDArray | None: ...
+    @overload
+    def history_deals_get(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt, group: str
+    ) -> list[TradeDeal] | None: ...
+    @overload
+    def history_deals_get(
+        self, date_from: datetime.datetime, date_to: datetime.datetime, group: str
+    ) -> list[TradeDeal] | None: ...
+    @overload
+    def history_deals_get(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt
+    ) -> list[TradeDeal] | None: ...
+    @overload
+    def history_deals_get(
+        self, date_from: datetime.datetime, date_to: datetime.datetime
+    ) -> list[TradeDeal] | None: ...
+    @overload
+    def history_deals_get(
+        self, ticket: typing.SupportsInt
+    ) -> list[TradeDeal] | None: ...
+    def history_deals_get_by_pos(
+        self, position_id: typing.SupportsInt
+    ) -> list[TradeDeal] | None: ...
+    @overload
+    def history_deals_total(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt
+    ) -> int | None: ...
+    @overload
+    def history_deals_total(
+        self, date_from: datetime.datetime, date_to: datetime.datetime
+    ) -> int | None: ...
+    @overload
+    def history_orders_get(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt, group: str
+    ) -> list[TradeOrder] | None: ...
+    @overload
+    def history_orders_get(
+        self, date_from: datetime.datetime, date_to: datetime.datetime, group: str
+    ) -> list[TradeOrder] | None: ...
+    @overload
+    def history_orders_get(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt
+    ) -> list[TradeOrder] | None: ...
+    @overload
+    def history_orders_get(
+        self, date_from: datetime.datetime, date_to: datetime.datetime
+    ) -> list[TradeOrder] | None: ...
+    @overload
+    def history_orders_get(self, ticket: typing.SupportsInt) -> TradeOrder | None: ...
+    def history_orders_get_by_pos(
+        self, position_id: typing.SupportsInt
+    ) -> list[TradeOrder] | None: ...
+    @overload
+    def history_orders_total(
+        self, date_from: typing.SupportsInt, date_to: typing.SupportsInt
+    ) -> int | None: ...
+    @overload
+    def history_orders_total(
+        self, date_from: datetime.datetime, date_to: datetime.datetime
+    ) -> int | None: ...
+    @overload
+    def initialize(self) -> bool: ...
+    @overload
+    def initialize(self, path: str) -> bool: ...
+    @overload
+    def initialize(
+        self,
+        path: str,
+        login: typing.SupportsInt,
+        password: str,
+        server: str,
+        timeout: typing.SupportsInt,
+        portable: bool,
+    ) -> bool: ...
+    def last_error(self) -> tuple[int, str] | None: ...
+    def login(
+        self,
+        login: typing.SupportsInt,
+        password: str,
+        server: str,
+        timeout: typing.SupportsInt,
+    ) -> bool: ...
+    def market_book_add(self, symbol: str) -> bool: ...
+    def market_book_get(self, symbol: str) -> list[BookInfo] | None: ...
+    def market_book_release(self, symbol: str) -> bool: ...
+    def order_calc_margin(
+        self,
+        action: typing.SupportsInt,
+        symbol: str,
+        volume: typing.SupportsFloat,
+        price: typing.SupportsFloat,
+    ) -> float | None: ...
+    def order_calc_profit(
+        self,
+        action: typing.SupportsInt,
+        symbol: str,
+        volume: typing.SupportsFloat,
+        price_open: typing.SupportsFloat,
+        price_close: typing.SupportsFloat,
+    ) -> float | None: ...
+    @overload
+    def order_check(self, request: TradeRequest) -> OrderCheckResult | None: ...
+    @overload
+    def order_check(self, request: dict) -> OrderCheckResult | None: ...
+    def order_get_by_ticket(self, ticket: typing.SupportsInt) -> TradeOrder | None: ...
+    @overload
+    def order_send(self, request: TradeRequest) -> OrderSentResult | None: ...
+    @overload
+    def order_send(self, request: dict) -> OrderSentResult | None: ...
+    @overload
+    def orders_get(self) -> list[TradeOrder] | None: ...
+    @overload
+    def orders_get(self, symbol: str) -> list[TradeOrder] | None: ...
+    def orders_get_by_group(self, group: str) -> list[TradeOrder] | None: ...
+    def orders_total(self) -> int | None: ...
+    def position_get_by_ticket(
+        self, ticket: typing.SupportsInt
+    ) -> TradePosition | None: ...
+    @overload
+    def positions_get(self) -> list[TradePosition] | None: ...
+    @overload
+    def positions_get(self, symbol: str) -> list[TradePosition] | None: ...
+    def positions_get_by_group(self, group: str) -> list[TradePosition] | None: ...
+    def positions_total(self) -> int | None: ...
+    def shutdown(self) -> None: ...
+    def symbol_info(self, symbol: str) -> SymbolInfo | None: ...
+    def symbol_info_tick(self, symbol: str) -> TickInfo | None: ...
+    def symbol_select(self, symbol: str, enable: bool) -> bool: ...
+    @overload
+    def symbols_get(self) -> list[SymbolInfo] | None: ...
+    @overload
+    def symbols_get(self, group: str) -> list[SymbolInfo] | None: ...
+    def symbols_total(self) -> int | None: ...
+    def terminal_info(self) -> TerminalInfo | None: ...
+    def version(self) -> tuple[int, int, str] | None: ...
+
+class MetaTraderHandlers:
+    calc_margin: collections.abc.Callable[
+        [typing.SupportsInt, str, typing.SupportsFloat, typing.SupportsFloat],
+        float | None,
+    ]
+    calc_profit: collections.abc.Callable[
+        [
+            typing.SupportsInt,
+            str,
+            typing.SupportsFloat,
+            typing.SupportsFloat,
+            typing.SupportsFloat,
+        ],
+        float | None,
+    ]
+    check_order: collections.abc.Callable[[TradeRequest], OrderCheckResult | None]
+    get_account_info: collections.abc.Callable[[], AccountInfo | None]
+    get_book_info: collections.abc.Callable[[str], list[BookInfo] | None]
+    get_hist_deals_group: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt, str], list[TradeDeal] | None
+    ]
+    get_hist_deals_pos: collections.abc.Callable[
+        [typing.SupportsInt], list[TradeDeal] | None
+    ]
+    get_hist_deals_range: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt], list[TradeDeal] | None
+    ]
+    get_hist_deals_ticket: collections.abc.Callable[
+        [typing.SupportsInt], list[TradeDeal] | None
+    ]
+    get_hist_deals_total: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt], int | None
+    ]
+    get_hist_order_ticket: collections.abc.Callable[
+        [typing.SupportsInt], TradeOrder | None
+    ]
+    get_hist_orders_group: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt, str], list[TradeOrder] | None
+    ]
+    get_hist_orders_pos: collections.abc.Callable[
+        [typing.SupportsInt], list[TradeOrder] | None
+    ]
+    get_hist_orders_range: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt], list[TradeOrder] | None
+    ]
+    get_hist_orders_total: collections.abc.Callable[
+        [typing.SupportsInt, typing.SupportsInt], int | None
+    ]
+    get_last_error: collections.abc.Callable[[], tuple[int, str] | None]
+    get_order_by_ticket: collections.abc.Callable[
+        [typing.SupportsInt], TradeOrder | None
+    ]
+    get_orders_all: collections.abc.Callable[[], list[TradeOrder] | None]
+    get_orders_by_group: collections.abc.Callable[[str], list[TradeOrder] | None]
+    get_orders_by_symbol: collections.abc.Callable[[str], list[TradeOrder] | None]
+    get_position_ticket: collections.abc.Callable[
+        [typing.SupportsInt], TradePosition | None
+    ]
+    get_positions_all: collections.abc.Callable[[], list[TradePosition] | None]
+    get_positions_group: collections.abc.Callable[[str], list[TradePosition] | None]
+    get_positions_symbol: collections.abc.Callable[[str], list[TradePosition] | None]
+    get_rates_by_date: collections.abc.Callable[
+        [str, typing.SupportsInt, typing.SupportsInt, typing.SupportsInt],
+        numpy.typing.NDArray | None,
+    ]
+    get_rates_by_pos: collections.abc.Callable[
+        [str, typing.SupportsInt, typing.SupportsInt, typing.SupportsInt],
+        numpy.typing.NDArray | None,
+    ]
+    get_rates_by_range: collections.abc.Callable[
+        [str, typing.SupportsInt, typing.SupportsInt, typing.SupportsInt],
+        numpy.typing.NDArray | None,
+    ]
+    get_symbol_info: collections.abc.Callable[[str], SymbolInfo | None]
+    get_symbols_all: collections.abc.Callable[[], list[SymbolInfo] | None]
+    get_symbols_by_group: collections.abc.Callable[[str], list[SymbolInfo] | None]
+    get_terminal_info: collections.abc.Callable[[], TerminalInfo | None]
+    get_tick_info: collections.abc.Callable[[str], TickInfo | None]
+    get_ticks_by_date: collections.abc.Callable[
+        [str, typing.SupportsInt, typing.SupportsInt, typing.SupportsInt],
+        numpy.typing.NDArray | None,
+    ]
+    get_ticks_by_range: collections.abc.Callable[
+        [str, typing.SupportsInt, typing.SupportsInt, typing.SupportsInt],
+        numpy.typing.NDArray | None,
+    ]
+    get_total_orders: collections.abc.Callable[[], int | None]
+    get_total_positions: collections.abc.Callable[[], int | None]
+    get_total_symbols: collections.abc.Callable[[], int | None]
+    get_version: collections.abc.Callable[[], tuple[int, int, str] | None]
+    init_auto: collections.abc.Callable[[], bool]
+    init_full: collections.abc.Callable[
+        [str, typing.SupportsInt, str, str, typing.SupportsInt, bool], bool
+    ]
+    init_path: collections.abc.Callable[[str], bool]
+    login: collections.abc.Callable[
+        [typing.SupportsInt, str, str, typing.SupportsInt], bool
+    ]
+    select_symbol: collections.abc.Callable[[str, bool], bool]
+    send_order: collections.abc.Callable[[TradeRequest], OrderSentResult | None]
+    shutdown: collections.abc.Callable[[], None]
+    subscribe_book: collections.abc.Callable[[str], bool]
+    unsubscribe_book: collections.abc.Callable[[str], bool]
+    def __init__(self) -> None: ...
+
+class OrderCheckResult:
+    balance: float
+    comment: str
+    equity: float
+    margin: float
+    margin_free: float
+    margin_level: float
+    profit: float
+    request: TradeRequest
+    retcode: int
+    def __init__(self) -> None: ...
+
+class OrderSentResult:
+    ask: float
+    bid: float
+    comment: str
+    deal: int
+    order: int
+    price: float
+    request: TradeRequest
+    request_id: int
+    retcode: int
+    retcode_external: int
+    volume: float
+    def __init__(self) -> None: ...
+
+class RateInfo:
+    close: float
+    high: float
+    low: float
+    open: float
+    real_volume: int
+    spread: int
+    tick_volume: int
+    time: int
+    def __init__(self) -> None: ...
+
+class SymbolInfo:
+    ask: float
+    askhigh: float
+    asklow: float
+    bank: str
+    basis: str
+    bid: float
+    bidhigh: float
+    bidlow: float
+    category: str
+    chart_mode: int
+    currency_base: str
+    currency_margin: str
+    currency_profit: str
+    custom: bool
+    description: str
+    digits: int
+    exchange: str
+    expiration_mode: int
+    expiration_time: int
+    filling_mode: int
+    formula: str
+    isin: str
+    last: float
+    lasthigh: float
+    lastlow: float
+    margin_hedged: float
+    margin_hedged_use_leg: bool
+    margin_initial: float
+    margin_maintenance: float
+    name: str
+    option_mode: int
+    option_right: int
+    option_strike: float
+    order_gtc_mode: int
+    order_mode: int
+    page: str
+    path: str
+    point: float
+    price_change: float
+    price_greeks_delta: float
+    price_greeks_gamma: float
+    price_greeks_omega: float
+    price_greeks_rho: float
+    price_greeks_theta: float
+    price_greeks_vega: float
+    price_sensitivity: float
+    price_theoretical: float
+    price_volatility: float
+    select: bool
+    session_aw: float
+    session_buy_orders: int
+    session_buy_orders_volume: float
+    session_close: float
+    session_deals: int
+    session_interest: float
+    session_open: float
+    session_price_limit_max: float
+    session_price_limit_min: float
+    session_price_settlement: float
+    session_sell_orders: int
+    session_sell_orders_volume: float
+    session_turnover: float
+    session_volume: float
+    spread: int
+    spread_float: bool
+    start_time: int
+    swap_long: float
+    swap_mode: int
+    swap_rollover3days: int
+    swap_short: float
+    ticks_bookdepth: int
+    time: int
+    trade_accrued_interest: float
+    trade_calc_mode: int
+    trade_contract_size: float
+    trade_exemode: int
+    trade_face_value: float
+    trade_freeze_level: int
+    trade_liquidity_rate: float
+    trade_mode: int
+    trade_stops_level: int
+    trade_tick_size: float
+    trade_tick_value: float
+    trade_tick_value_loss: float
+    trade_tick_value_profit: float
+    visible: bool
+    volume: int
+    volume_limit: float
+    volume_max: float
+    volume_min: float
+    volume_real: float
+    volume_step: float
+    volumehigh: int
+    volumehigh_real: float
+    volumelow: int
+    volumelow_real: float
+    def __init__(self) -> None: ...
+
+class TerminalInfo:
+    build: int
+    codepage: int
+    commondata_path: str
+    community_account: bool
+    community_balance: float
+    community_connection: bool
+    company: str
+    connected: bool
+    data_path: str
+    dlls_allowed: bool
+    email_enabled: bool
+    ftp_enabled: bool
+    language: str
+    maxbars: int
+    mqid: bool
+    name: str
+    notifications_enabled: bool
+    path: str
+    ping_last: int
+    retransmission: float
+    trade_allowed: bool
+    tradeapi_disabled: bool
+    def __init__(self) -> None: ...
+
+class TickInfo:
+    ask: float
+    bid: float
+    flags: int
+    last: float
+    time: int
+    time_msc: int
+    volume: int
+    volume_real: float
+    def __init__(self) -> None: ...
+
+class TradeDeal:
+    comment: str
+    commission: float
+    entry: int
+    external_id: str
+    fee: float
+    magic: int
+    order: int
+    position_id: int
+    price: float
+    profit: float
+    reason: int
+    swap: float
+    symbol: str
+    ticket: int
+    time: int
+    time_msc: int
+    type: int
+    volume: float
+    def __init__(self) -> None: ...
+
+class TradeOrder:
+    comment: str
+    external_id: str
+    magic: int
+    position_by_id: int
+    position_id: int
+    price_current: float
+    price_open: float
+    price_stoplimit: float
+    reason: int
+    sl: float
+    state: int
+    symbol: str
+    ticket: int
+    time_done: int
+    time_done_msc: int
+    time_expiration: int
+    time_setup: int
+    time_setup_msc: int
+    tp: float
+    type: int
+    type_filling: int
+    type_time: int
+    volume_current: float
+    volume_initial: float
+    def __init__(self) -> None: ...
+
+class TradePosition:
+    comment: str
+    external_id: str
+    identifier: int
+    magic: int
+    price_current: float
+    price_open: float
+    profit: float
+    reason: int
+    sl: float
+    swap: float
+    symbol: str
+    ticket: int
+    time: int
+    time_msc: int
+    time_update: int
+    time_update_msc: int
+    tp: float
+    type: int
+    volume: float
+    def __init__(self) -> None: ...
+
+class TradeRequest:
+    action: int
+    comment: str
+    deviation: int
+    expiration: int
+    magic: int
+    order: int
+    position: int
+    position_by: int
+    price: float
+    sl: float
+    stoplimit: float
+    symbol: str
+    tp: float
+    type: int
+    type_filling: int
+    type_time: int
+    volume: float
+    @overload
+    def __init__(self) -> None: ...
+    @overload
+    def __init__(self, arg0: dict) -> None: ...

bbstrader/btengine/__init__.py

@@ -0,0 +1,54 @@
+"""
+Overview
+========
+
+This Backtesting Module provides a comprehensive suite of tools to test trading strategies in an event-driven system. 
+It simulates the execution of trades in historical market conditions to evaluate the performance of trading strategies 
+before applying them in live trading environments. Designed with modularity and extensibility in mind, it caters to 
+both novices and experts in algorithmic trading.
+
+Features
+========
+
+- **Event-Driven Architecture**: Processes market data, generates signals, executes orders, and manages portfolio updates in response to events, closely mimicking live trading environments.
+- **Historical Market Data Support**: Utilizes historical OHLCV data from CSV files, Yahoo finance and MT5 terminal allowing for the testing of strategies over various market conditions and time frames.
+- **Performance Metrics Calculation**: Includes tools for calculating key performance indicators, such as `Sharpe Ratio`, `Sortino Ratio`, and `drawdowns`, to evaluate the effectiveness of trading strategies.
+- **Visualization**: Generates plots of the `equity curve`, `returns`, `drawdowns`, and other metrics for comprehensive strategy `performance analysis`.
+
+Components
+==========
+
+- **BacktestEgine**: Orchestrates the backtesting process, managing events and invoking components.
+- **Event**: Abstract class for events, with implementations for market data, signals, fill and order events.
+- **DataHandler**: Abstract class for market data handling, with an implementation for `CSVDataHandler`, `MT5DataHandler`, `YFDataHandler`. We will add another data handling in the future such as MacroEconomic Data, Fundamental Data, TICK Data and Real-time Data.
+- **Portfolio**: Manages positions and calculates performance metrics, responding to market data and signals.
+- **ExecutionHandler**: Abstract class for order execution, with a simulated execution handler provided with an implementation for `SimExecutionHandler`.
+- **Performance**: Utility functions for calculating performance metrics and visualizing strategy performance.
+
+Examples
+========
+
+>>> from bbstrader.btengine import run_backtest
+>>> from datetime import datetime
+>>> run_backtest(
+...     symbol_list=['AAPL', 'GOOG'],
+...     start_date=datetime(2020, 1, 1),
+...     data_handler=DataHandler,
+...     strategy=Strategy,
+...     exc_handler=ExecutionHandler,
+...     initial_capital=500000.0,
+...     heartbeat=1.0
+... )
+
+Notes
+=====
+
+See `bbstrader.btengine.backtest.run_backtest` for more details on the backtesting process and its parameters.
+"""
+from bbstrader.btengine.backtest import *  # noqa: F403
+from bbstrader.btengine.data import *  # noqa: F403
+from bbstrader.btengine.event import *  # noqa: F403
+from bbstrader.btengine.execution import *  # noqa: F403
+from bbstrader.btengine.performance import *  # noqa: F403
+from bbstrader.btengine.portfolio import *  # noqa: F403
+from bbstrader.btengine.strategy import *  # noqa: F403