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

investing_algorithm_framework/domain/models/backtest_profile.py

@@ -1,414 +0,0 @@
-from .base_model import BaseModel
-from .time_unit import TimeUnit
-
-
-class BacktestPosition(BaseModel):
-
-    def __init__(self, position, trading_symbol=False):
-        self.symbol = position.symbol
-        self.amount = position.amount
-        self._cost = position.cost
-        self._price = 0.0
-        self._trading_symbol = trading_symbol
-
-    @property
-    def price(self):
-        return self._price
-
-    @price.setter
-    def price(self, value):
-        self._price = value
-
-    @property
-    def cost(self):
-
-        if self._trading_symbol:
-            return self.amount
-
-        return self._cost
-
-    @property
-    def value(self):
-
-        if self._trading_symbol:
-            return self.amount
-
-        return self._price * self.amount
-
-    @property
-    def growth(self):
-
-        if self._trading_symbol:
-            return 0.0
-
-        return self.value - self.cost
-
-    @property
-    def growth_rate(self):
-
-        if self._trading_symbol:
-            return 0.0
-
-        if self.cost == 0:
-            return 0.0
-
-        return self.growth / self.cost * 100
-
-
-class BacktestProfile(BaseModel):
-
-    def __init__(
-        self,
-        portfolio_id=None,
-        initial_unallocated=0.0,
-        interval=None,
-        time_unit=None,
-        backtest_start_date_data=None,
-        backtest_data_index_date=None,
-        backtest_start_date=None,
-        backtest_end_date=None,
-        backtest_index_date=None,
-        trading_time_frame=None,
-        trading_time_frame_start_date=None,
-        symbols=None,
-        market=None,
-        number_of_days=0,
-        number_of_orders=0,
-        number_of_positions=0,
-        market_data_file=None,
-        number_of_trades_closed=0,
-        number_of_trades_open=0,
-        percentage_positive_trades=0.0,
-        percentage_negative_trades=0.0,
-        total_cost=0.0,
-        trading_symbol=None,
-        total_net_gain_percentage=0.0,
-        total_net_gain=0,
-        growth_rate=0.0,
-        growth=0,
-        total_value=0.0,
-        positions=None,
-        average_trade_duration=0,
-        average_trade_size=0.0,
-        trades=None
-    ):
-        self._portfolio_id = portfolio_id
-        self._interval = interval
-        self._time_unit = time_unit
-        self._backtest_start_date_data = backtest_start_date_data
-        self._backtest_start_date = backtest_start_date
-        self._backtest_end_date = backtest_end_date
-        self._backtest_index_date = backtest_index_date
-        self._number_of_runs = 0
-        self._trading_time_frame = trading_time_frame
-        self._trading_time_frame_start_date = trading_time_frame_start_date
-        self._symbols = symbols
-        self._market = market
-        self._number_of_days = number_of_days
-        self._number_of_orders = number_of_orders
-        self._number_of_positions = number_of_positions
-        self._market_data_file = market_data_file
-        self._percentage_positive_trades = percentage_positive_trades
-        self._percentage_negative_trades = percentage_negative_trades
-        self._number_of_trades_closed = number_of_trades_closed
-        self._number_of_trades_open = number_of_trades_open
-        self._total_cost = total_cost
-        self._growth_rate = 0.0
-        self._growth = 0.0
-        self._initial_unallocated = initial_unallocated
-        self._trading_symbol = trading_symbol
-        self._total_net_gain_percentage = total_net_gain_percentage
-        self._total_net_gain = total_net_gain
-        self._backtest_data_index_date = backtest_data_index_date
-        self._growth_rate = growth_rate
-        self._growth = growth
-        self._total_value = total_value
-        self.positions = positions
-        self._average_trade_duration = average_trade_duration
-        self._average_trade_size = average_trade_size
-        self._trades = trades
-
-    @property
-    def portfolio_id(self):
-        return self._portfolio_id
-
-    @portfolio_id.setter
-    def portfolio_id(self, portfolio_id):
-        self._portfolio_id = portfolio_id
-
-    @property
-    def interval(self):
-        return self._interval
-
-    @interval.setter
-    def interval(self, value):
-        self._interval = value
-
-    @property
-    def time_unit(self):
-        return self._time_unit
-
-    @time_unit.setter
-    def time_unit(self, value):
-        self._time_unit = value
-
-    @property
-    def symbols(self):
-        return self._symbols
-
-    @property
-    def backtest_start_date_data(self):
-        return self._backtest_start_date_data
-
-    @property
-    def backtest_start_date(self):
-        return self._backtest_start_date
-
-    @property
-    def backtest_end_date(self):
-        return self._backtest_end_date
-
-    @property
-    def backtest_index_date(self):
-        return self._backtest_index_date
-
-    @property
-    def trading_time_frame(self):
-        return self._trading_time_frame
-
-    @property
-    def trading_time_frame_start_date(self):
-        return self._trading_time_frame_start_date
-
-    @property
-    def number_of_runs(self):
-        return self._number_of_runs
-
-    @property
-    def market(self):
-        return self._market
-
-    @property
-    def number_of_days(self):
-        return self._number_of_days
-
-    @symbols.setter
-    def symbols(self, value):
-        self._symbols = value
-
-    @market.setter
-    def market(self, value):
-        self._market = value
-
-    @backtest_start_date.setter
-    def backtest_start_date(self, value):
-        self._backtest_start_date = value
-
-    @backtest_start_date_data.setter
-    def backtest_start_date_data(self, value):
-        self._backtest_start_date_data = value
-
-    @backtest_end_date.setter
-    def backtest_end_date(self, value):
-        self._backtest_end_date = value
-
-    @backtest_index_date.setter
-    def backtest_index_date(self, value):
-        self._backtest_index_date = value
-
-    @number_of_runs.setter
-    def number_of_runs(self, value):
-        self._number_of_runs = value
-
-    @trading_time_frame.setter
-    def trading_time_frame(self, value):
-        self._trading_time_frame = value
-
-    @trading_time_frame_start_date.setter
-    def trading_time_frame_start_date(self, value):
-        self._trading_time_frame_start_date = value
-
-    @number_of_days.setter
-    def number_of_days(self, value):
-        self._number_of_days = value
-
-    @property
-    def number_of_orders(self):
-        return self._number_of_orders
-
-    @number_of_orders.setter
-    def number_of_orders(self, value):
-        self._number_of_orders = value
-
-    @property
-    def number_of_positions(self):
-        return self._number_of_positions
-
-    @number_of_positions.setter
-    def number_of_positions(self, value):
-        self._number_of_positions = value
-
-    @property
-    def backtest_data_index_date(self):
-        return self._backtest_data_index_date
-
-    @backtest_data_index_date.setter
-    def backtest_data_index_date(self, value):
-        self._backtest_data_index_date = value
-
-    @property
-    def market_data_file(self):
-        return self._market_data_file
-
-    @market_data_file.setter
-    def market_data_file(self, value):
-        self._market_data_file = value
-
-    @property
-    def percentage_positive_trades(self):
-        return self._percentage_positive_trades
-
-    @percentage_positive_trades.setter
-    def percentage_positive_trades(self, value):
-        self._percentage_positive_trades = value
-
-    @property
-    def percentage_negative_trades(self):
-        return self._percentage_negative_trades
-
-    @percentage_negative_trades.setter
-    def percentage_negative_trades(self, value):
-        self._percentage_negative_trades = value
-
-    @property
-    def number_of_trades_closed(self):
-        return self._number_of_trades_closed
-
-    @number_of_trades_closed.setter
-    def number_of_trades_closed(self, value):
-        self._number_of_trades_closed = value
-
-    @property
-    def number_of_trades_open(self):
-        return self._number_of_trades_open
-
-    @number_of_trades_open.setter
-    def number_of_trades_open(self, value):
-        self._number_of_trades_open = value
-
-    @property
-    def total_cost(self):
-        return self._total_cost
-
-    @total_cost.setter
-    def total_cost(self, value):
-        self._total_cost = value
-
-    @property
-    def growth_rate(self):
-        return self._growth_rate
-
-    @growth_rate.setter
-    def growth_rate(self, value):
-        self._growth_rate = value
-
-    @property
-    def growth(self):
-        return self._growth
-
-    @growth.setter
-    def growth(self, value):
-        self._growth = value
-
-    @property
-    def initial_unallocated(self):
-        return self._initial_unallocated
-
-    @initial_unallocated.setter
-    def initial_unallocated(self, value):
-        self._initial_unallocated = value
-
-    @property
-    def trading_symbol(self):
-        return self._trading_symbol
-
-    @trading_symbol.setter
-    def trading_symbol(self, value):
-        self._trading_symbol = value
-
-    @property
-    def total_net_gain_percentage(self):
-        return self._total_net_gain_percentage
-
-    @total_net_gain_percentage.setter
-    def total_net_gain_percentage(self, value):
-        self._total_net_gain_percentage = value
-
-    @property
-    def total_net_gain(self):
-        return self._total_net_gain
-
-    @total_net_gain.setter
-    def total_net_gain(self, value):
-        self._total_net_gain = value
-
-    @property
-    def total_value(self):
-        return self._total_value
-
-    @total_value.setter
-    def total_value(self, value):
-        self._total_value = value
-
-    @property
-    def positions(self):
-        return self._positions
-
-    @positions.setter
-    def positions(self, value):
-        self._positions = value
-
-    @property
-    def average_trade_duration(self):
-        return self._average_trade_duration
-
-    @average_trade_duration.setter
-    def average_trade_duration(self, value):
-        self._average_trade_duration = value
-
-    @property
-    def average_trade_size(self):
-        return self._average_trade_size
-
-    @average_trade_size.setter
-    def average_trade_size(self, value):
-        self._average_trade_size = value
-
-    @property
-    def trades(self):
-        return self._trades
-
-    @trades.setter
-    def trades(self, value):
-        self._trades = value
-
-    def get_runs_per_day(self):
-
-        if self.time_unit is None:
-            return 0
-        elif TimeUnit.SECOND.equals(self.time_unit):
-            return 86400 / self.interval
-        elif TimeUnit.MINUTE.equals(self.time_unit):
-            return 1440 / self.interval
-        else:
-            return 24 / self.interval
-
-    def __repr__(self):
-        return self.repr(
-            start_date=self.backtest_start_date,
-            end_date=self.backtest_end_date,
-            backtest_index_date=self.backtest_index_date,
-            start_date_data=self.backtest_start_date_data,
-            time_unit=self.time_unit,
-            interval=self.interval
-        )

investing_algorithm_framework/domain/models/market_data/__init__.py

@@ -1,11 +0,0 @@
-from .order_book import OrderBook
-from .ticker import Ticker
-from .ohlcv import OHLCV
-from .asset_price import AssetPrice
-
-__all__ = [
-    "Ticker",
-    "OrderBook",
-    "OHLCV",
-    "AssetPrice"
-]

investing_algorithm_framework/domain/models/market_data/asset_price.py

@@ -1,50 +0,0 @@
-from datetime import datetime
-
-
-class AssetPrice:
-
-    def __init__(self, symbol, price, datetime):
-        self.symbol = symbol
-        self.price = price
-        self.datetime = datetime
-
-    def get_symbol(self):
-        return self.symbol
-
-    def get_price(self):
-
-        if self.price is None:
-            return 0
-
-        return self.price
-
-    def get_datetime(self):
-
-        if self.datetime is None:
-            return datetime.utcnow()
-
-        return self.datetime
-
-    def repr(self, **fields) -> str:
-        """
-        Helper for __repr__
-        """
-
-        field_strings = []
-        at_least_one_attached_attribute = False
-
-        for key, field in fields.items():
-            field_strings.append(f'{key}={field!r}')
-            at_least_one_attached_attribute = True
-
-        if at_least_one_attached_attribute:
-            return f"<{self.__class__.__name__}({','.join(field_strings)})>"
-
-        return f"<{self.__class__.__name__} {id(self)}>"
-
-    def __repr__(self):
-        return self.repr(
-            symbol=self.get_symbol(),
-            price=self.price,
-            datetime=self.datetime
-        )

investing_algorithm_framework/domain/models/market_data/ohlcv.py

@@ -1,105 +0,0 @@
-from datetime import datetime
-from investing_algorithm_framework.domain.constants import DATETIME_FORMAT
-
-import pandas as pd
-
-
-class OHLCV:
-    COLUMNS = ["open", "high", "low", "close", "volume"]
-
-    def __init__(self, symbol, data):
-        self.symbol = symbol
-        self.target_symbol = symbol.split("/")[0]
-        self.trading_symbol = symbol.split("/")[1]
-        self.data = []
-        for row in data:
-            self.data.append(
-                [
-                    row[0],
-                    float(row[1]),
-                    float(row[2]),
-                    float(row[3]),
-                    float(row[4]),
-                    float(row[5])
-                ]
-            )
-
-    def get_symbol(self):
-        return self.symbol
-
-    def get_target_symbol(self):
-        return self.target_symbol
-
-    def get_trading_symbol(self):
-        return self.trading_symbol
-
-    def get_data(self):
-        return self.data
-
-    def to_dict(self, date_format=DATETIME_FORMAT):
-        dict_data = {}
-
-        for column in self.COLUMNS:
-            dict_data[column] = []
-
-        for row in self.get_data():
-            date = datetime.strptime(row[0], date_format)
-            date = date.strftime(date_format)
-            dict_data["open"].append(date)
-            dict_data["high"].append(row[1])
-            dict_data["low"].append(row[2])
-            dict_data["close"].append(row[3])
-            dict_data["volume"].append(row[4])
-
-        return dict_data
-
-    def to_array(self, date_format=DATETIME_FORMAT):
-        rows = []
-
-        for row in self.get_data():
-            datetime_object = datetime.strptime(
-                row[0], DATETIME_FORMAT
-            )
-            rows.append([
-                datetime_object.strftime(date_format),
-                row[1],
-                row[2],
-                row[3],
-                row[4],
-                row[5]
-            ])
-
-        return rows
-
-    @staticmethod
-    def from_dict(data):
-        return OHLCV(
-            symbol=data.get("symbol"),
-            data=data.get("data"),
-        )
-
-    def repr(self, **fields) -> str:
-        """
-        Helper for __repr__
-        """
-
-        field_strings = []
-        at_least_one_attached_attribute = False
-
-        for key, field in fields.items():
-            field_strings.append(f'{key}={field!r}')
-            at_least_one_attached_attribute = True
-
-        if at_least_one_attached_attribute:
-            return f"<{self.__class__.__name__}({','.join(field_strings)})>"
-
-        return f"<{self.__class__.__name__} {id(self)}>"
-
-    def __repr__(self):
-        return self.repr(
-            symbol=self.get_symbol(),
-            data=self.get_data()
-        )
-
-    def to_df(self):
-        return pd.DataFrame(self.get_data(), columns=self.COLUMNS)

investing_algorithm_framework/domain/models/market_data/order_book.py

@@ -1,63 +0,0 @@
-from datetime import datetime
-from typing import List
-
-
-class OrderBook:
-
-    def __init__(self, symbol, bids: List, asks: List, creation_date=None):
-        self.symbol = symbol
-        self.bids = bids
-        self.asks = asks
-
-        if creation_date is None:
-            self.creation_date = datetime.now()
-
-    def get_bids(self):
-        return self.bids
-
-    def get_asks(self):
-        return self.asks
-
-    def get_symbol(self):
-        return self.symbol
-
-    def to_dict(self):
-
-        return {
-            "symbol": self.symbol,
-            "bids": self.bids,
-            "asks": self.asks
-        }
-
-    @staticmethod
-    def from_dict(data):
-        return OrderBook(
-            data.get("symbol"),
-            data.get("bids"),
-            data.get("asks"),
-            data.get("creation_date")
-        )
-
-    def repr(self, **fields) -> str:
-        """
-        Helper for __repr__
-        """
-
-        field_strings = []
-        at_least_one_attached_attribute = False
-
-        for key, field in fields.items():
-            field_strings.append(f'{key}={field!r}')
-            at_least_one_attached_attribute = True
-
-        if at_least_one_attached_attribute:
-            return f"<{self.__class__.__name__}({','.join(field_strings)})>"
-
-        return f"<{self.__class__.__name__} {id(self)}>"
-
-    def __repr__(self):
-        return self.repr(
-            symbol=self.symbol,
-            bids=self.bids,
-            asks=self.asks
-        )