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

investing_algorithm_framework/infrastructure/services/market_backtest_service.py

@@ -1,360 +0,0 @@
-import csv
-import logging
-import os
-from datetime import datetime
-
-from investing_algorithm_framework.domain import \
-    DATETIME_FORMAT_BACKTESTING, DATETIME_FORMAT, BacktestProfile, \
-    StrategyProfile, TradingDataType, BACKTESTING_INDEX_DATETIME
-from investing_algorithm_framework.domain import OperationalException
-from .market_service import MarketService
-
-logger = logging.getLogger("investing_algorithm_framework")
-
-
-class MarketBacktestService(MarketService):
-    _data_index = None
-
-    def __init__(self, backtest_data_directory, configuration_service):
-        self._backtest_data_directory = backtest_data_directory
-        self._configuration_service = configuration_service
-
-    def initialize(self, portfolio_configuration):
-        self._market = portfolio_configuration.market
-
-    def write_ohlcv_to_file(self, data_file, data):
-
-        if not os.path.isdir(self._backtest_data_directory):
-            os.mkdir(self._backtest_data_directory)
-
-        # Create the source data file if it does not exist
-        with open(data_file, "w") as file:
-            column_headers = [
-                "Datetime", "Open", "High", "Low", "Close", "Volume"
-            ]
-            writer = csv.writer(file)
-            writer.writerow(column_headers)
-            rows = data
-            writer.writerows(rows)
-
-    def write_tickers_to_file(self, data_file, data):
-
-        # Create the source data file if it does not exist
-        with open(data_file, "w") as file:
-            column_headers = [
-                "Datetime", "Ask", "High", "Low", "previousClose",
-            ]
-            writer = csv.writer(file)
-            writer.writerow(column_headers)
-            rows = []
-
-            for row in data:
-                rows.append([
-                    row[0],
-                    row[4],
-                    row[2],
-                    row[3],
-                    row[4],
-                ])
-            writer.writerows(rows)
-
-    def _backtest_data_exists(
-        self,
-        backtest_profile: BacktestProfile,
-        strategy_profile: StrategyProfile,
-        trading_data_type: TradingDataType,
-        symbol
-    ):
-        return os.path.exists(self.create_backtest_data_file_path(
-            backtest_profile, strategy_profile, symbol, trading_data_type
-        ))
-
-    def create_backtest_data(
-        self,
-        backtest_profile: BacktestProfile,
-        strategy_profile: StrategyProfile,
-    ):
-
-        for symbol in strategy_profile.symbols:
-
-            if strategy_profile.trading_data_types is not None:
-
-                if TradingDataType.OHLCV in strategy_profile\
-                        .trading_data_types:
-
-                    if not self._backtest_data_exists(
-                        backtest_profile,
-                        strategy_profile,
-                        TradingDataType.OHLCV,
-                        symbol
-                    ):
-                        self.market = strategy_profile.market
-                        data = super().get_ohclv(
-                            symbol,
-                            time_frame=strategy_profile.trading_time_frame,
-                            from_timestamp=strategy_profile
-                            .backtest_start_date_data,
-                            to_timestamp=backtest_profile.backtest_end_date
-                        )
-                        file = self.create_backtest_data_file_path(
-                            backtest_profile,
-                            strategy_profile,
-                            symbol,
-                            TradingDataType.OHLCV
-                        )
-                        self.write_ohlcv_to_file(file, data)
-
-                if TradingDataType.TICKER in strategy_profile\
-                        .trading_data_types:
-
-                    if not self._backtest_data_exists(
-                            backtest_profile,
-                            strategy_profile,
-                            TradingDataType.TICKER,
-                            symbol
-                    ):
-                        self.market = strategy_profile.market
-                        data = super().get_ohclv(
-                            symbol,
-                            time_frame=strategy_profile.trading_time_frame,
-                            from_timestamp=strategy_profile
-                            .backtest_start_date_data,
-                            to_timestamp=backtest_profile.backtest_end_date
-                        )
-                        file = self.create_backtest_data_file_path(
-                            backtest_profile,
-                            strategy_profile,
-                            symbol,
-                            TradingDataType.TICKER
-                        )
-                        self.write_tickers_to_file(file, data)
-
-    def create_backtest_data_file_path(
-        self,
-        backtest_profile: BacktestProfile,
-        strategy_profile: StrategyProfile,
-        symbol,
-        trading_data_type: TradingDataType
-    ):
-        symbol_string = symbol.replace("/", "-")
-        time_frame_string = strategy_profile.trading_time_frame \
-            .value.replace("_", "")
-        return os.path.join(
-            self._backtest_data_directory,
-            os.path.join(
-                f"{trading_data_type.value}_"
-                f"{symbol_string}_"
-                f"{time_frame_string}_"
-                f"{strategy_profile.backtest_start_date_data.strftime(DATETIME_FORMAT_BACKTESTING)}_"
-                f"{backtest_profile.backtest_end_date.strftime(DATETIME_FORMAT_BACKTESTING)}.csv"
-            )
-        )
-
-    def create_backtest_data_file(
-        self,
-        backtest_profile: BacktestProfile,
-        strategy_profile: StrategyProfile,
-        symbol
-    ):
-
-        if not os.path.isdir(self._backtest_data_directory):
-            os.mkdir(self._backtest_data_directory)
-
-        file_path = self.create_backtest_data_file_path(
-            backtest_profile, strategy_profile, symbol, TradingDataType.OHLCV
-        )
-
-        if os.path.isfile(file_path):
-            os.mknod(file_path)
-
-        return file_path
-
-    def index_data(self):
-        data_dir = os.path.join(self._backtest_data_directory)
-        self._data_index = {
-            TradingDataType.OHLCV.value: {}, TradingDataType.TICKER.value: {}
-        }
-
-        for file in os.listdir(data_dir):
-            data_type = file.split("_")[0]
-            symbol = file.split("_")[1]
-            self._data_index[data_type][symbol] = {}
-
-            if "files" in self._data_index[data_type]:
-                self._data_index[data_type][symbol]["files"].append(file)
-            else:
-                self._data_index[data_type][symbol]["files"] = [file]
-
-    def get_order(self, order):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality get_order"
-        )
-
-    def get_orders(self, symbol, since: datetime = None):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality get_orders"
-        )
-
-    def create_limit_buy_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-        price: float
-    ):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality create_limit_buy_order"
-        )
-
-    def create_limit_sell_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-        price: float
-    ):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality create_limit_sell_order"
-        )
-
-    def create_market_sell_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-    ):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality create_market_sell_order"
-        )
-
-    def cancel_order(self, order):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality cancel_order"
-        )
-
-    def get_open_orders(
-        self, target_symbol: str = None, trading_symbol: str = None
-    ):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality get_open_orders"
-        )
-
-    def get_closed_orders(
-        self, target_symbol: str = None, trading_symbol: str = None
-    ):
-        raise OperationalException(
-            f"Backtest market service {self.market} does not support "
-            f"functionality get_closed_orders"
-        )
-
-    def get_ohclv(self, symbol, time_frame, from_timestamp, to_timestamp=None):
-        self.index_data()
-        matching_rows = []
-        matching_file = None
-        symbol_string = symbol.replace("/", "-")
-        self._data_index[TradingDataType.OHLCV.value][symbol_string]["files"].sort()
-
-        if to_timestamp is None:
-            to_timestamp = datetime.utcnow()
-
-        for file in self._data_index[TradingDataType.OHLCV.value][symbol_string]["files"]:
-            start_date_file = datetime.strptime(
-                file.split("_")[3], DATETIME_FORMAT_BACKTESTING
-            )
-            end_date_file = datetime.strptime(
-                file.split("_")[4].split(".")[0], DATETIME_FORMAT_BACKTESTING
-            )
-
-            if start_date_file <= from_timestamp and to_timestamp <= end_date_file:
-                matching_file = file
-                break
-
-        if matching_file is None:
-            raise OperationalException(
-                f"No ohlvc backtest data found for symbol "
-                f"{symbol} between {from_timestamp} and {to_timestamp}"
-            )
-
-        path = os.path.join(self._backtest_data_directory, matching_file)
-        with open(path, 'r') as file:
-            reader = csv.reader(file)
-            next(reader)  # Skip the header row
-
-            for row in reader:
-                row_date = datetime.strptime(row[0], DATETIME_FORMAT)
-
-                if from_timestamp <= row_date <= to_timestamp:
-                    data = [
-                        row_date,
-                        float(row[1]),
-                        float(row[2]),
-                        float(row[3]),
-                        float(row[4]),
-                        float(row[5]),
-                    ]
-                    matching_rows.append(data)
-
-        return matching_rows
-
-    def get_ticker(self, symbol):
-        self.index_data()
-        matching_file = None
-        match = None
-        symbol_string = symbol.replace("/", "-")
-        self._data_index[TradingDataType.TICKER.value][symbol_string]["files"].sort()
-        date_time = self._configuration_service.config[BACKTESTING_INDEX_DATETIME]
-
-        for file in self._data_index[TradingDataType.TICKER.value][symbol_string]["files"]:
-            start_date_file = datetime.strptime(
-                file.split("_")[3], DATETIME_FORMAT_BACKTESTING
-            )
-            end_date_file = datetime.strptime(
-                file.split("_")[4].split(".")[0], DATETIME_FORMAT_BACKTESTING
-            )
-
-            if start_date_file <= date_time <= end_date_file:
-                matching_file = file
-
-        if matching_file is None:
-            raise OperationalException(
-                f"No backtest data found for symbol {symbol} on {date_time}"
-            )
-
-        path = os.path.join(self._backtest_data_directory, matching_file)
-        with open(path, 'r') as file:
-            reader = csv.reader(file)
-            next(reader)  # Skip the header row
-            last_row = None
-
-            for row in reader:
-                row_date = datetime.strptime(row[0], DATETIME_FORMAT)
-
-                if row_date > date_time:
-                    match = last_row
-                    break
-
-                last_row = row
-
-        if last_row is not None and match is None:
-            match = last_row
-
-        if match is None:
-            raise OperationalException(
-                f"No backtest data found for symbol {symbol} on {date_time}"
-            )
-
-        return {
-            "symbol": symbol,
-            "ask": float(match[1]),
-            "high": float(match[2]),
-            "low": float(match[3]),
-            "previousClose": float(match[4]),
-            "bid": float(match[1]),
-        }