investing-algorithm-framework 1.5__py3-none-any.whl → 7.25.6__py3-none-any.whl

investing_algorithm_framework/dependency_container.py

@@ -1,14 +1,18 @@
 from dependency_injector import containers, providers
 
-from investing_algorithm_framework.app.algorithm import Algorithm
+from investing_algorithm_framework.app.algorithm import AlgorithmFactory
+from investing_algorithm_framework.app.context import Context
 from investing_algorithm_framework.infrastructure import SQLOrderRepository, \
-    SQLPositionRepository, MarketService, SQLPortfolioRepository, \
-    SQLOrderFeeRepository, SQLPortfolioSnapshotRepository, \
-    SQLPositionSnapshotRepository, PerformanceService
+    SQLPositionRepository, SQLPortfolioRepository, BacktestService, \
+    SQLPortfolioSnapshotRepository, SQLTradeRepository, \
+    SQLPositionSnapshotRepository, SQLTradeStopLossRepository, \
+    SQLTradeTakeProfitRepository, SQLOrderMetadataRepository
 from investing_algorithm_framework.services import OrderService, \
-    PositionService, PortfolioService, StrategyOrchestratorService, \
-    PortfolioConfigurationService, MarketDataService, BackTestService, \
-    ConfigurationService, PortfolioSnapshotService, PositionSnapshotService
+    PositionService, PortfolioService, PortfolioConfigurationService, \
+    ConfigurationService, PortfolioSnapshotService, \
+    PositionSnapshotService, MarketCredentialService, TradeService, \
+    PortfolioSyncService, OrderExecutorLookup, PortfolioProviderLookup, \
+    DataProviderService, TradeTakeProfitService, TradeStopLossService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -18,14 +22,27 @@ def setup_dependency_container(app, modules=None, packages=None):
 
 
 class DependencyContainer(containers.DeclarativeContainer):
+    """
+    Dependency container for the app. It is responsible for managing the
+    dependencies of the app.
+    """
     config = providers.Configuration()
     wiring_config = containers.WiringConfiguration()
     configuration_service = providers.ThreadSafeSingleton(
         ConfigurationService,
     )
+    market_credential_service = providers.ThreadSafeSingleton(
+        MarketCredentialService
+    )
     order_repository = providers.Factory(SQLOrderRepository)
-    order_fee_repository = providers.Factory(SQLOrderFeeRepository)
+    order_executor_lookup = providers.ThreadSafeSingleton(
+        OrderExecutorLookup
+    )
+    order_metadata_repository = providers.Factory(SQLOrderMetadataRepository)
     position_repository = providers.Factory(SQLPositionRepository)
+    portfolio_provider_lookup = providers.ThreadSafeSingleton(
+        PortfolioProviderLookup,
+    )
     portfolio_repository = providers.Factory(SQLPortfolioRepository)
     position_snapshot_repository = providers.Factory(
         SQLPositionSnapshotRepository
@@ -33,16 +50,14 @@ class DependencyContainer(containers.DeclarativeContainer):
     portfolio_snapshot_repository = providers.Factory(
         SQLPortfolioSnapshotRepository
     )
-    market_service = providers.Factory(MarketService)
-    market_data_service = providers.Factory(
-        MarketDataService,
-        market_service=market_service
-    )
-    portfolio_configuration_service = providers.ThreadSafeSingleton(
-        PortfolioConfigurationService,
-        market_service=market_service,
-        portfolio_repository=portfolio_repository,
-        position_repository=position_repository,
+    trade_repository = providers.Factory(SQLTradeRepository)
+    trade_take_profit_repository = providers\
+        .Factory(SQLTradeTakeProfitRepository)
+    trade_stop_loss_repository = providers.Factory(SQLTradeStopLossRepository)
+    data_provider_service = providers.ThreadSafeSingleton(
+        DataProviderService,
+        configuration_service=configuration_service,
+        market_credential_service=market_credential_service
     )
     position_snapshot_service = providers.Factory(
         PositionSnapshotService,
@@ -50,63 +65,101 @@ class DependencyContainer(containers.DeclarativeContainer):
     )
     portfolio_snapshot_service = providers.Factory(
         PortfolioSnapshotService,
+        order_repository=order_repository,
         repository=portfolio_snapshot_repository,
+        portfolio_repository=portfolio_repository,
         position_snapshot_service=position_snapshot_service,
         position_repository=position_repository,
+        data_provider_service=data_provider_service,
     )
-    order_service = providers.Factory(
-        OrderService,
+    portfolio_configuration_service = providers.ThreadSafeSingleton(
+        PortfolioConfigurationService,
+        portfolio_repository=portfolio_repository,
+        position_repository=position_repository,
+    )
+    trade_service = providers.Factory(
+        TradeService,
         order_repository=order_repository,
-        order_fee_repository=order_fee_repository,
+        trade_take_profit_repository=trade_take_profit_repository,
+        trade_stop_loss_repository=trade_stop_loss_repository,
+        configuration_service=configuration_service,
+        trade_repository=trade_repository,
         portfolio_repository=portfolio_repository,
         position_repository=position_repository,
-        market_service=market_service,
-        portfolio_configuration_service=portfolio_configuration_service,
-        portfolio_snapshot_service=portfolio_snapshot_service
+        order_metadata_repository=order_metadata_repository,
+    )
+    trade_take_profit_service = providers.Factory(
+        TradeTakeProfitService,
+        repository=trade_take_profit_repository,
+    )
+    trade_stop_loss_service = providers.Factory(
+        TradeStopLossService,
+        repository=trade_stop_loss_repository,
     )
     position_service = providers.Factory(
         PositionService,
+        portfolio_repository=portfolio_repository,
         repository=position_repository,
-        market_service=market_service,
+    )
+    order_service = providers.Factory(
+        OrderService,
+        configuration_service=configuration_service,
         order_repository=order_repository,
+        portfolio_repository=portfolio_repository,
+        position_service=position_service,
+        market_credential_service=market_credential_service,
+        portfolio_configuration_service=portfolio_configuration_service,
+        portfolio_snapshot_service=portfolio_snapshot_service,
+        trade_service=trade_service,
+        order_executor_lookup=order_executor_lookup,
+        portfolio_provider_lookup=portfolio_provider_lookup
     )
     portfolio_service = providers.Factory(
         PortfolioService,
-        market_service=market_service,
-        position_repository=position_repository,
+        configuration_service=configuration_service,
+        market_credential_service=market_credential_service,
         order_service=order_service,
+        position_service=position_service,
         portfolio_repository=portfolio_repository,
         portfolio_configuration_service=portfolio_configuration_service,
-        portfolio_snapshot_service=portfolio_snapshot_service
-    )
-    strategy_orchestrator_service = providers.Factory(
-        StrategyOrchestratorService,
-        market_data_service=market_data_service
+        portfolio_snapshot_service=portfolio_snapshot_service,
+        portfolio_provider_lookup=portfolio_provider_lookup
     )
-    performance_service = providers.Factory(
-        PerformanceService,
-        order_repository=order_repository,
+    portfolio_sync_service = providers.Factory(
+        PortfolioSyncService,
+        trade_service=trade_service,
+        configuration_service=configuration_service,
+        order_service=order_service,
         position_repository=position_repository,
-        portfolio_repository=portfolio_repository
+        portfolio_repository=portfolio_repository,
+        portfolio_configuration_service=portfolio_configuration_service,
+        market_credential_service=market_credential_service,
+        portfolio_provider_lookup=portfolio_provider_lookup,
     )
     backtest_service = providers.Factory(
-        BackTestService,
-        market_data_service=market_data_service,
-        market_service=market_service,
+        BacktestService,
+        configuration_service=configuration_service,
         order_service=order_service,
-        portfolio_repository=portfolio_repository,
-        performance_service=performance_service,
+        trade_service=trade_service,
+        portfolio_service=portfolio_service,
         position_repository=position_repository,
+        portfolio_configuration_service=portfolio_configuration_service,
+        portfolio_snapshot_service=portfolio_snapshot_service,
+        data_provider_service=data_provider_service,
     )
-    algorithm = providers.Factory(
-        Algorithm,
+    context = providers.Factory(
+        Context,
         configuration_service=configuration_service,
         portfolio_configuration_service=portfolio_configuration_service,
         portfolio_service=portfolio_service,
         position_service=position_service,
         order_service=order_service,
-        market_service=market_service,
-        strategy_orchestrator_service=strategy_orchestrator_service,
-        market_data_service=market_data_service,
+        market_credential_service=market_credential_service,
+        trade_service=trade_service,
+        data_provider_service=data_provider_service,
+        trade_stop_loss_service=trade_stop_loss_service,
+        trade_take_profit_service=trade_take_profit_service,
+    )
+    algorithm_factory = providers.Factory(
+        AlgorithmFactory,
     )
-

investing_algorithm_framework/domain/__init__.py

@@ -1,28 +1,47 @@
-from .config import Config, Environment
-from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
-    TimeUnit, TimeFrame, TradingTimeFrame, TradingDataType, Ticker, \
-    OHLCV, OrderBook, PortfolioConfiguration, AssetPrice, Portfolio, \
-    Position, Order, OrderFee, BacktestProfile, PositionSnapshot, \
-    PortfolioSnapshot, StrategyProfile, BacktestPosition, Trade
-from .exceptions import OperationalException, ApiException, \
-    PermissionDeniedApiException, ImproperlyConfigured
+from .config import Environment, DEFAULT_LOGGING_CONFIG, \
+    AWS_LAMBDA_LOGGING_CONFIG
 from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
     DATABASE_DIRECTORY_PATH, DATABASE_NAME, DEFAULT_PER_PAGE_VALUE, \
     DEFAULT_PAGE_VALUE, SQLALCHEMY_DATABASE_URI, RESOURCE_DIRECTORY, \
     DATETIME_FORMAT, DATETIME_FORMAT_BACKTESTING, BACKTESTING_FLAG, \
-    BACKTESTING_INDEX_DATETIME, BACKTESTING_START_DATE, CCXT_DATETIME_FORMAT, \
-    BACKTEST_DATA_DIRECTORY_NAME, TICKER_DATA_TYPE, OHLCV_DATA_TYPE
-from .singleton import Singleton
+    BACKTESTING_START_DATE, CCXT_DATETIME_FORMAT, \
+    BACKTEST_DATA_DIRECTORY_NAME, TICKER_DATA_TYPE, OHLCV_DATA_TYPE, \
+    CURRENT_UTC_DATETIME, BACKTESTING_END_DATE, \
+    CCXT_DATETIME_FORMAT_WITH_TIMEZONE, \
+    APP_MODE, DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
+    APPLICATION_DIRECTORY, SNAPSHOT_INTERVAL, AWS_S3_STATE_BUCKET_NAME, \
+    LAST_SNAPSHOT_DATETIME, DATA_DIRECTORY, INDEX_DATETIME, \
+    DATETIME_FORMAT_FILE_NAME, DEFAULT_DATETIME_FORMAT
+from .data_provider import DataProvider
+from .data_structures import PeekableQueue
+from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
+from .exceptions import OperationalException, ApiException, DataError, \
+    PermissionDeniedApiException, ImproperlyConfigured, NetworkError
+from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
+    TimeUnit, TimeFrame, PortfolioConfiguration, Portfolio, Position, \
+    Order, TradeStatus, StrategyProfile, Trade, MarketCredential, \
+    AppMode, DataType, DataSource, PortfolioSnapshot, PositionSnapshot, \
+    TradeTakeProfit, TradeStopLoss, Event, SnapshotInterval, \
+    TakeProfitRule, StopLossRule, PositionSize
+from .order_executor import OrderExecutor
+from .portfolio_provider import PortfolioProvider
+from .services import MarketCredentialService, AbstractPortfolioSyncService, \
+    RoundingService, StateHandler
+from .stateless_actions import StatelessActions
+from .strategy import Strategy
 from .utils import random_string, append_dict_as_row_to_csv, \
     add_column_headers_to_csv, get_total_amount_of_rows, \
-    csv_to_list, StoppableThread
-from .strategy import Strategy
-from .stateless_actions import StatelessActions
-from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
-from .utils.backtesting import pretty_print_backtest
+    convert_polars_to_pandas, random_number, is_jupyter_notebook, \
+    csv_to_list, StoppableThread, load_csv_into_dict, tqdm, \
+    is_timezone_aware, sync_timezones, get_timezone
+from .backtesting import BacktestRun, BacktestSummaryMetrics, \
+    BacktestDateRange, Backtest, BacktestMetrics, combine_backtests, \
+    BacktestPermutationTest, BacktestEvaluationFocus, \
+    generate_backtest_summary_metrics, load_backtests_from_directory, \
+    save_backtests_to_directory
+from .algorithm_id import generate_algorithm_id
 
 __all__ = [
-    'Config',
     "OrderStatus",
     "OrderSide",
     "OrderType",
@@ -40,12 +59,6 @@ __all__ = [
     "DEFAULT_PER_PAGE_VALUE",
     "DEFAULT_PAGE_VALUE",
     "SQLALCHEMY_DATABASE_URI",
-    "Ticker",
-    "TradingDataType",
-    "TradingTimeFrame",
-    "OHLCV",
-    "OrderBook",
-    "Singleton",
     "random_string",
     "append_dict_as_row_to_csv",
     "add_column_headers_to_csv",
@@ -54,7 +67,6 @@ __all__ = [
     "DATABASE_DIRECTORY_PATH",
     "DATABASE_NAME",
     "PortfolioConfiguration",
-    "AssetPrice",
     "RESOURCE_DIRECTORY",
     'ENVIRONMENT',
     'Environment',
@@ -65,21 +77,76 @@ __all__ = [
     "Strategy",
     "DATETIME_FORMAT",
     "StatelessActions",
-    "OrderFee",
     "parse_decimal_to_string",
     "parse_string_to_decimal",
-    "BacktestProfile",
-    "pretty_print_backtest",
+    "BacktestRun",
     "DATETIME_FORMAT_BACKTESTING",
     "BACKTESTING_FLAG",
-    "BACKTESTING_INDEX_DATETIME",
     "PortfolioSnapshot",
     "BACKTESTING_START_DATE",
     "StrategyProfile",
-    "BacktestPosition",
     "CCXT_DATETIME_FORMAT",
     "BACKTEST_DATA_DIRECTORY_NAME",
     "Trade",
     "TICKER_DATA_TYPE",
-    "OHLCV_DATA_TYPE"
+    "OHLCV_DATA_TYPE",
+    "CURRENT_UTC_DATETIME",
+    "MarketCredential",
+    "PeekableQueue",
+    "BACKTESTING_END_DATE",
+    "PositionSnapshot",
+    "MarketCredentialService",
+    "TradeStatus",
+    "CCXT_DATETIME_FORMAT_WITH_TIMEZONE",
+    "load_csv_into_dict",
+    "AbstractPortfolioSyncService",
+    "APP_MODE",
+    "AppMode",
+    "RoundingService",
+    "BacktestDateRange",
+    "convert_polars_to_pandas",
+    "DEFAULT_LOGGING_CONFIG",
+    "DATABASE_DIRECTORY_NAME",
+    "BACKTESTING_INITIAL_AMOUNT",
+    "TradeTakeProfit",
+    "TradeStopLoss",
+    "StateHandler",
+    "APPLICATION_DIRECTORY",
+    "DataProvider",
+    "NetworkError",
+    "DataSource",
+    "OrderExecutor",
+    "PortfolioProvider",
+    "random_number",
+    "is_timezone_aware",
+    "sync_timezones",
+    "get_timezone",
+    "Event",
+    "SNAPSHOT_INTERVAL",
+    "SnapshotInterval",
+    "AWS_S3_STATE_BUCKET_NAME",
+    "AWS_LAMBDA_LOGGING_CONFIG",
+    "DataType",
+    "DataSource",
+    "Backtest",
+    "BacktestMetrics",
+    "BacktestSummaryMetrics",
+    "BacktestPermutationTest",
+    "LAST_SNAPSHOT_DATETIME",
+    "DATA_DIRECTORY",
+    "INDEX_DATETIME",
+    "DATETIME_FORMAT_FILE_NAME",
+    "is_jupyter_notebook",
+    "tqdm",
+    "DEFAULT_DATETIME_FORMAT",
+    "BacktestEvaluationFocus",
+    'combine_backtests',
+    'PositionSize',
+    'generate_backtest_summary_metrics',
+    'DataError',
+    'TakeProfitRule',
+    'StopLossRule',
+    "load_backtests_from_directory",
+    "save_backtests_to_directory",
+    "generate_algorithm_id",
 ]

investing_algorithm_framework/domain/algorithm_id.py

@@ -0,0 +1,69 @@
+import hashlib
+from typing import Dict
+import json
+
+
+def generate_algorithm_id(
+    algorithm=None,
+    strategy=None,
+    params: Dict = None,
+    post_fix=None,
+    pre_fix=None
+) -> str:
+    """
+    Generate a short, consistent unique id for the given params.
+    The id will always be the same for the same params.
+
+    Args:
+        algorithm: (optional) Algorithm instance to generate ID for.
+        strategy: (optional) Strategy instance to generate ID for.
+        params (Dict, optional): Strategy parameters
+            (must be JSON serializable).
+            You can optionally pass 'length' to control ID length.
+        post_fix (str, optional): String to append to the end of the ID.
+        pre_fix (str, optional): String to prepend to the start of the ID.
+
+    Returns:
+        str: A deterministic unique identifier for the strategy.
+    """
+
+    if algorithm is not None:
+        if hasattr(algorithm, "algorithm_id"):
+            return algorithm.algorithm_id
+
+        if hasattr(algorithm, "strategies") \
+                and len(algorithm.strategies) > 0:
+            first_strategy = algorithm.strategies[0]
+
+            if first_strategy is not None:
+                return f"{first_strategy.__class__.__name__}"
+
+        raise ValueError(
+            "Cannot generate algorithm ID from the provided algorithm "
+            "instance. Please provide 'params' instead."
+        )
+
+    if strategy is not None:
+        return strategy.__class__.__name__
+
+    length = params.get("length", 8)
+
+    # Remove "length" if present so it doesn't affect the hash
+    clean_params = {k: v for k, v in params.items() if k != "length"}
+
+    # Create a canonical string representation (sorted keys)
+    params_str = json.dumps(clean_params, sort_keys=True)
+
+    # Hash the params string
+    hash_digest = hashlib.sha256(params_str.encode("utf-8")).hexdigest()
+
+    # Return shortened hash
+    result = hash_digest[:length]
+
+    if post_fix:
+        result = result + post_fix
+
+    if pre_fix:
+        result = pre_fix + result
+
+    return result

investing_algorithm_framework/domain/backtesting/__init__.py

@@ -0,0 +1,25 @@
+from .backtest_summary_metrics import BacktestSummaryMetrics
+from .backtest_date_range import BacktestDateRange
+from .backtest_metrics import BacktestMetrics
+from .backtest_run import BacktestRun
+from .backtest import Backtest
+from .backtest_permutation_test import BacktestPermutationTest
+from .backtest_evaluation_focuss import BacktestEvaluationFocus
+from .combine_backtests import combine_backtests, \
+    generate_backtest_summary_metrics
+from .backtest_utils import load_backtests_from_directory, \
+    save_backtests_to_directory
+
+__all__ = [
+    "Backtest",
+    "BacktestSummaryMetrics",
+    "BacktestDateRange",
+    "BacktestMetrics",
+    "BacktestRun",
+    "BacktestPermutationTest",
+    "BacktestEvaluationFocus",
+    "combine_backtests",
+    "generate_backtest_summary_metrics",
+    "load_backtests_from_directory",
+    "save_backtests_to_directory",
+]