investing-algorithm-framework 1.7.10__tar.gz → 2.0__tar.gz

{investing_algorithm_framework-1.7.10 → investing_algorithm_framework-2.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing_algorithm_framework
-Version: 1.7.10
+Version: 2.0
 Summary: A framework for creating an investment algorithm
 Home-page: https://github.com/coding-kitties/investing-algorithm-framework.git
 Download-URL: https://github.com/coding-kitties/investing-algorithm-framework/archive/v0.1.1.tar.gz
@@ -64,12 +64,11 @@ import pathlib
 from datetime import datetime, timedelta
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, \
-    CCXTTickerMarketDataSource
+    CCXTTickerMarketDataSource, MarketCredential
 
 # Define market data sources
-# OHLCV data
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC",
+    identifier="BTC-ohlcv",
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
@@ -77,19 +76,23 @@ bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
 )
 # Ticker data for orders, trades and positions
 bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC",
+    identifier="BTC-ticker",
     market="BITVAVO",
     symbol="BTC/EUR",
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_market_credential(MarketCredential(
+    market="bitvavo",
+    api_key="<your api key>",
+    secret_key="<your secret key>",
+))
 app.add_portfolio_configuration(
     PortfolioConfiguration(
-        market="BITVAVO",
-        api_key="<your api key>",
-        secret_key="<your secret key>",
-        trading_symbol="EUR"
+        market="bitvavo",
+        trading_symbol="EUR",
+        initial_balance=400
     )
 )
 
@@ -99,12 +102,12 @@ app.add_portfolio_configuration(
     time_unit=TimeUnit.HOUR, 
     interval=2, 
     # Specify market data sources that need to be passed to the strategy
-    market_data_sources=[bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker]
+    market_data_sources=["BTC-ticker", "BTC-ohlcv"]
 )
-def perform_strategy(algorithm: Algorithm, market_data):
+def perform_strategy(algorithm: Algorithm, market_data: dict):
     print(
         f"Performing trading strategy on market " +
-        f"data {market_data[bitvavo_btc_eur_ohlcv_2h.get_identifier()]}"
+        f"data {market_data['BTC-ohlcv'] and market_data['BTC-ticker']}"
     )
 
 if __name__ == "__main__":
@@ -122,19 +125,19 @@ import pathlib
 from datetime import datetime, timedelta
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
     TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, pretty_print_backtest, \
-    CCXTTickerMarketDataSource, BacktestPortfolioConfiguration
+    CCXTTickerMarketDataSource, PortfolioConfiguration
 
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC",
-    market="BITVAVO",
+    identifier="BTC-ohlcv",
+    market="bitvavo",
     symbol="BTC/EUR",
     timeframe="2h", 
     start_date_func=lambda : datetime.utcnow() - timedelta(days=17) 
 )
 bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC",
-    market="BITVAVO",
+    identifier="BTC-ticker",
+    market="bitvavo",
     symbol="BTC/EUR",
     backtest_timeframe="2h" # We want the ticker data to 
     # be sampled every 2 hours, inline with the strategy interval
@@ -142,24 +145,25 @@ bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_portfolio_configuration(PortfolioConfiguration(
+    initial_balance=400,
+    market="bitvavo",
+    trading_symbol="EUR",
+))
+
 
 @app.strategy(
     time_unit=TimeUnit.HOUR, 
     interval=2, 
-    market_data_sources=[bitvavo_btc_eur_ohlcv_2h]
+    market_data_sources=["BTC-ticker", "BTC-ohlcv"]
 )
-def perform_strategy(algorithm: Algorithm, market_data):
+def perform_strategy(algorithm: Algorithm, market_data: dict):
     print(
         f"Performing trading strategy on market " +
-        f"data {market_data[bitvavo_btc_eur_ohlcv_2h.get_identifier()]}"
+        f"data {market_data['BTC-ohlcv'] and market_data['BTC-ticker']}"
     )
 
 if __name__ == "__main__":
-    app.add_portfolio_configuration(BacktestPortfolioConfiguration(
-        unallocated=400,
-        market="BITVAVO",
-        trading_symbol="EUR",
-    ))
     backtest_report = app.backtest(
         start_date=datetime(2023, 11, 12) - timedelta(days=10),
         end_date=datetime(2023, 11, 12),
@@ -255,13 +259,20 @@ The framework has by default support for [ccxt](https://github.com/ccxt/ccxt).
 This should allow you to connect to a lot of brokers/exchanges.
 
 ```python
-from investing_algorithm_framework import App, PortfolioConfiguration
+from investing_algorithm_framework import App, PortfolioConfiguration, \
+    MarketCredential
 app = App()
+app.add_market_credential(
+    MarketCredential(
+        market="<your market>", 
+        api_key="<your api key>",
+        secret_key="<your secret key>",
+    )
+)
 app.add_portfolio_configuration(
     PortfolioConfiguration(
-        market="BITVAVO", 
-        api_key="xxxx", 
-        secret_key="xxxx", 
+        market="<your market>", 
+        initial_balance=400,
         track_from="01/01/2022",
         trading_symbol="EUR"
     )

{investing_algorithm_framework-1.7.10 → investing_algorithm_framework-2.0}/README.md

@@ -27,12 +27,11 @@ import pathlib
 from datetime import datetime, timedelta
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, \
-    CCXTTickerMarketDataSource
+    CCXTTickerMarketDataSource, MarketCredential
 
 # Define market data sources
-# OHLCV data
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC",
+    identifier="BTC-ohlcv",
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
@@ -40,19 +39,23 @@ bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
 )
 # Ticker data for orders, trades and positions
 bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC",
+    identifier="BTC-ticker",
     market="BITVAVO",
     symbol="BTC/EUR",
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_market_credential(MarketCredential(
+    market="bitvavo",
+    api_key="<your api key>",
+    secret_key="<your secret key>",
+))
 app.add_portfolio_configuration(
     PortfolioConfiguration(
-        market="BITVAVO",
-        api_key="<your api key>",
-        secret_key="<your secret key>",
-        trading_symbol="EUR"
+        market="bitvavo",
+        trading_symbol="EUR",
+        initial_balance=400
     )
 )
 
@@ -62,12 +65,12 @@ app.add_portfolio_configuration(
     time_unit=TimeUnit.HOUR, 
     interval=2, 
     # Specify market data sources that need to be passed to the strategy
-    market_data_sources=[bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker]
+    market_data_sources=["BTC-ticker", "BTC-ohlcv"]
 )
-def perform_strategy(algorithm: Algorithm, market_data):
+def perform_strategy(algorithm: Algorithm, market_data: dict):
     print(
         f"Performing trading strategy on market " +
-        f"data {market_data[bitvavo_btc_eur_ohlcv_2h.get_identifier()]}"
+        f"data {market_data['BTC-ohlcv'] and market_data['BTC-ticker']}"
     )
 
 if __name__ == "__main__":
@@ -85,19 +88,19 @@ import pathlib
 from datetime import datetime, timedelta
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
     TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, pretty_print_backtest, \
-    CCXTTickerMarketDataSource, BacktestPortfolioConfiguration
+    CCXTTickerMarketDataSource, PortfolioConfiguration
 
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
-    identifier="BTC",
-    market="BITVAVO",
+    identifier="BTC-ohlcv",
+    market="bitvavo",
     symbol="BTC/EUR",
     timeframe="2h", 
     start_date_func=lambda : datetime.utcnow() - timedelta(days=17) 
 )
 bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
-    identifier="BTC",
-    market="BITVAVO",
+    identifier="BTC-ticker",
+    market="bitvavo",
     symbol="BTC/EUR",
     backtest_timeframe="2h" # We want the ticker data to 
     # be sampled every 2 hours, inline with the strategy interval
@@ -105,24 +108,25 @@ bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_portfolio_configuration(PortfolioConfiguration(
+    initial_balance=400,
+    market="bitvavo",
+    trading_symbol="EUR",
+))
+
 
 @app.strategy(
     time_unit=TimeUnit.HOUR, 
     interval=2, 
-    market_data_sources=[bitvavo_btc_eur_ohlcv_2h]
+    market_data_sources=["BTC-ticker", "BTC-ohlcv"]
 )
-def perform_strategy(algorithm: Algorithm, market_data):
+def perform_strategy(algorithm: Algorithm, market_data: dict):
     print(
         f"Performing trading strategy on market " +
-        f"data {market_data[bitvavo_btc_eur_ohlcv_2h.get_identifier()]}"
+        f"data {market_data['BTC-ohlcv'] and market_data['BTC-ticker']}"
     )
 
 if __name__ == "__main__":
-    app.add_portfolio_configuration(BacktestPortfolioConfiguration(
-        unallocated=400,
-        market="BITVAVO",
-        trading_symbol="EUR",
-    ))
     backtest_report = app.backtest(
         start_date=datetime(2023, 11, 12) - timedelta(days=10),
         end_date=datetime(2023, 11, 12),
@@ -218,13 +222,20 @@ The framework has by default support for [ccxt](https://github.com/ccxt/ccxt).
 This should allow you to connect to a lot of brokers/exchanges.
 
 ```python
-from investing_algorithm_framework import App, PortfolioConfiguration
+from investing_algorithm_framework import App, PortfolioConfiguration, \
+    MarketCredential
 app = App()
+app.add_market_credential(
+    MarketCredential(
+        market="<your market>", 
+        api_key="<your api key>",
+        secret_key="<your secret key>",
+    )
+)
 app.add_portfolio_configuration(
     PortfolioConfiguration(
-        market="BITVAVO", 
-        api_key="xxxx", 
-        secret_key="xxxx", 
+        market="<your market>", 
+        initial_balance=400,
         track_from="01/01/2022",
         trading_symbol="EUR"
     )

{investing_algorithm_framework-1.7.10 → investing_algorithm_framework-2.0}/investing_algorithm_framework/__init__.py

@@ -1,13 +1,12 @@
 from investing_algorithm_framework.app import App, Algorithm
 from .create_app import create_app
 from investing_algorithm_framework.domain import ApiException, \
-    TradingDataType, OrderBook, Ticker, TradingTimeFrame, OHLCV, OrderType,\
+    TradingDataType, TradingTimeFrame, OrderType,\
     OrderStatus, OrderSide, Config, TimeUnit, TimeInterval, Order, Portfolio, \
-    Position, TimeFrame, BACKTESTING_INDEX_DATETIME
-from investing_algorithm_framework.domain import PortfolioConfiguration, \
-    RESOURCE_DIRECTORY, pretty_print_backtest, Trade, OHLCVMarketDataSource, \
-    OrderBookMarketDataSource, TickerMarketDataSource, \
-    BacktestPortfolioConfiguration
+    Position, TimeFrame, BACKTESTING_INDEX_DATETIME, MarketCredential, \
+    PortfolioConfiguration, RESOURCE_DIRECTORY, pretty_print_backtest, \
+    Trade, OHLCVMarketDataSource, OrderBookMarketDataSource, \
+    TickerMarketDataSource, MarketService
 from investing_algorithm_framework.app import TradingStrategy, \
     StatelessAction, Task
 from investing_algorithm_framework.infrastructure import \
@@ -22,10 +21,7 @@ __all__ = [
     "create_app",
     "ApiException",
     "TradingDataType",
-    "OrderBook",
-    "Ticker",
     "TradingTimeFrame",
-    "OHLCV",
     "OrderType",
     "OrderStatus",
     "OrderSide",
@@ -49,7 +45,8 @@ __all__ = [
     "OHLCVMarketDataSource",
     "OrderBookMarketDataSource",
     "TickerMarketDataSource",
-    "BacktestPortfolioConfiguration",
     "CSVOHLCVMarketDataSource",
     "CSVTickerMarketDataSource",
+    "MarketCredential",
+    "MarketService"
 ]

{investing_algorithm_framework-1.7.10 → investing_algorithm_framework-2.0}/investing_algorithm_framework/app/algorithm.py

@@ -1,58 +1,16 @@
 import logging
 from typing import List
-from queue import Queue
 
 from investing_algorithm_framework.domain import OrderStatus, OrderFee, \
     Position, Order, Portfolio, OrderType, OrderSide, ApiException, \
-    BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, Trade, \
-    TickerMarketDataSource, OHLCVMarketDataSource, OrderBookMarketDataSource
+    BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, Trade, PeekableQueue, \
+    MarketService
+from investing_algorithm_framework.services import MarketCredentialService, \
+    MarketDataSourceService
 
 logger = logging.getLogger("investing_algorithm_framework")
 
 
-class PeekableQueue:
-    def __init__(self):
-        self.queue = []
-        self.index = 0
-
-    def enqueue(self, item):
-        self.queue.append(item)
-
-    def dequeue(self):
-        if not self.is_empty():
-            return self.queue.pop(0)
-        else:
-            raise IndexError("Queue is empty")
-
-    def peek(self):
-        if not self.is_empty():
-            return self.queue[0]
-        else:
-            raise IndexError("Queue is empty")
-
-    def is_empty(self):
-        return len(self.queue) == 0
-
-    def __len__(self):
-        return len(self.queue)
-
-    def size(self):
-        return len(self.queue)
-
-    def __iter__(self):
-        self.index = 0
-        return self
-
-    def __next__(self):
-        if self.index < len(self.queue):
-            result = self.queue[self.index]
-            self.index += 1
-            return result
-        else:
-            self.index = 0  # Reset index for next iteration
-            raise StopIteration
-
-
 class Algorithm:
 
     def __init__(
@@ -64,16 +22,22 @@ class Algorithm:
         order_service,
         market_service,
         strategy_orchestrator_service,
+        market_credential_service,
+        market_data_source_service
     ):
         self.portfolio_service = portfolio_service
         self.position_service = position_service
         self.order_service = order_service
-        self.market_service = market_service
+        self._market_service: MarketService = market_service
         self.configuration_service = configuration_service
         self.portfolio_configuration_service = portfolio_configuration_service
         self.strategy_orchestrator_service = strategy_orchestrator_service
-        self._market_data_sources = []
+        self._market_data_sources = {}
         self._strategies = []
+        self._market_credential_service: MarketCredentialService \
+            = market_credential_service
+        self._market_data_source_service: MarketDataSourceService \
+            = market_data_source_service
 
     def start(self, number_of_iterations=None, stateless=False):
 
@@ -95,16 +59,16 @@ class Algorithm:
         self.strategy_orchestrator_service.run_pending_jobs()
 
     def create_order(
-            self,
-            target_symbol,
-            price,
-            order_type,
-            order_side,
-            amount,
-            market=None,
-            execute=True,
-            validate=True,
-            sync=True
+        self,
+        target_symbol,
+        price,
+        order_type,
+        order_side,
+        amount,
+        market=None,
+        execute=True,
+        validate=True,
+        sync=True
     ):
         portfolio = self.portfolio_service.find({"market": market})
         order_data = {
@@ -128,18 +92,18 @@ class Algorithm:
         )
 
     def create_limit_order(
-            self,
-            target_symbol,
-            price,
-            order_side,
-            amount=None,
-            percentage_of_portfolio=None,
-            percentage_of_position=None,
-            precision=None,
-            market=None,
-            execute=True,
-            validate=True,
-            sync=True
+        self,
+        target_symbol,
+        price,
+        order_side,
+        amount=None,
+        percentage_of_portfolio=None,
+        percentage_of_position=None,
+        precision=None,
+        market=None,
+        execute=True,
+        validate=True,
+        sync=True
     ):
         portfolio = self.portfolio_service.find({"market": market})
 
@@ -499,10 +463,6 @@ class Algorithm:
         portfolio = self.portfolio_service.find(
             {"market": market, "identifier": identifier}
         )
-        portfolio_config = self.portfolio_configuration_service.find(
-            {"portfolio": portfolio.id}
-        )
-        self.market_service.initialize(portfolio_config)
         position = self.position_service.find(
             {"portfolio": portfolio.id, "symbol": symbol}
         )
@@ -520,10 +480,8 @@ class Algorithm:
             self.order_service.cancel_order(order)
 
         symbol = f"{symbol.upper()}/{portfolio.trading_symbol.upper()}"
-        ticker = self.get_ticker_market_data_source(portfolio.market, symbol)\
-            .get_data(
-                backtest_index_date=self.config.get(BACKTESTING_INDEX_DATETIME)
-            )
+        ticker = self._market_data_source_service\
+            .get_ticker(market=portfolio.market, symbol=symbol)
         self.create_limit_order(
             target_symbol=position.symbol,
             amount=position.get_amount(),
@@ -722,11 +680,8 @@ class Algorithm:
 
             for buy_order in buy_orders:
                 symbol = buy_order.get_symbol()
-                ticker = self.get_ticker_market_data_source(
-                    portfolio.market, symbol
-                ).get_data(
-                    backtest_index_date=self.config
-                    .get(BACKTESTING_INDEX_DATETIME)
+                ticker = self._market_data_source_service.get_ticker(
+                    symbol=symbol, market=portfolio.market
                 )
                 trades.append(
                     Trade(
@@ -828,11 +783,8 @@ class Algorithm:
                 symbol = buy_order.get_symbol()
 
                 try:
-                    ticker = self.get_ticker_market_data_source(
-                        portfolio.market, symbol
-                    ).get_data(
-                        backtest_index_date=self.config
-                        .get(BACKTESTING_INDEX_DATETIME)
+                    ticker = self._market_data_source_service.get_ticker(
+                        symbol=symbol, market=portfolio.market
                     )
                 except Exception as e:
                     logger.error(e)
@@ -888,84 +840,11 @@ class Algorithm:
 
         symbol = f"{order.get_target_symbol().upper()}" \
                  f"/{order.get_trading_symbol().upper()}"
-        ticker = self.get_ticker_market_data_source(portfolio.market, symbol)\
-            .get_data(
-                backtest_index_date=self.config
-                .get(BACKTESTING_INDEX_DATETIME)
-            )
+        ticker = self._market_data_source_service\
+            .get_ticker(symbol=symbol, market=portfolio.market)
         self.create_limit_order(
             target_symbol=order.target_symbol,
             amount=amount,
             order_side=OrderSide.SELL.value,
             price=ticker["bid"],
         )
-
-    def get_market_data_sources(self):
-        market_data_sources = []
-
-        for key in self._market_data_sources.keys():
-            market_data_sources.append(self._market_data_sources[key])
-
-        return market_data_sources
-
-    def get_market_data_source(self, identifier):
-
-        if identifier in self._market_data_sources:
-            return self._market_data_sources[identifier]
-
-        raise ApiException(
-            f"No market data source found for with identifier {identifier}."
-        )
-
-    def set_market_data_sources(self, market_data_sources):
-        self._market_data_sources = {}
-
-        for market_data_source in market_data_sources:
-            self._market_data_sources[market_data_source.identifier] = \
-                market_data_source
-
-    def get_ticker_market_data_source(self, market, symbol):
-
-        for identifier in self._market_data_sources:
-            market_data_source = self._market_data_sources[identifier]
-
-            if isinstance(market_data_source, TickerMarketDataSource):
-
-                if market_data_source.symbol == symbol \
-                        and market_data_source.market == market:
-                    return market_data_source
-
-        raise ApiException(
-            f"No ticker market data source found for with symbol {symbol} "
-            f"and market {market}."
-        )
-
-    def get_ohlcv_market_data_source(self, market, symbol):
-
-        for market_data_source in self._market_data_sources.values():
-
-            if isinstance(market_data_source, OHLCVMarketDataSource):
-
-                if market_data_source.symbol == symbol \
-                        and market_data_source.market == market:
-                    return market_data_source
-
-        raise ApiException(
-            f"No OHLCV market data source found for with symbol {symbol} "
-            f"and market {market}."
-        )
-
-    def get_order_book_market_data_source(self, market, symbol):
-
-        for market_data_source in self._market_data_sources.values():
-
-            if isinstance(market_data_source, OrderBookMarketDataSource):
-
-                if market_data_source.symbol == symbol \
-                        and market_data_source.market == market:
-                    return market_data_source
-
-        raise ApiException(
-            f"No OHLCV market data source found for with symbol {symbol} "
-            f"and market {market}."
-        )