investing-algorithm-framework 1.7__tar.gz → 1.7.2__tar.gz

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing_algorithm_framework
-Version: 1.7
+Version: 1.7.2
 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
@@ -62,20 +62,16 @@ It also exposes an REST API that allows you to interact with the algorithm.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
 
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
-
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     identifier="BTC",
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_portfolio_configuration(
@@ -83,7 +79,7 @@ app.add_portfolio_configuration(
         market="BITVAVO",
         api_key="<your api key>",
         secret_key="<your secret key>",
-        trading_symbol="USDT"
+        trading_symbol="EUR"
     )
 )
 
@@ -112,12 +108,8 @@ but instead of running the algorithm, you can run a backtest.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
-    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
-
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
+    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, pretty_print_backtest
 
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
@@ -125,7 +117,7 @@ bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/README.md

@@ -25,20 +25,16 @@ It also exposes an REST API that allows you to interact with the algorithm.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
 
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
-
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     identifier="BTC",
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_portfolio_configuration(
@@ -46,7 +42,7 @@ app.add_portfolio_configuration(
         market="BITVAVO",
         api_key="<your api key>",
         secret_key="<your secret key>",
-        trading_symbol="USDT"
+        trading_symbol="EUR"
     )
 )
 
@@ -75,12 +71,8 @@ but instead of running the algorithm, you can run a backtest.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
-    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
-
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
+    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, pretty_print_backtest
 
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
@@ -88,7 +80,7 @@ bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/investing_algorithm_framework/app/algorithm.py

@@ -50,16 +50,16 @@ 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 = {
@@ -83,18 +83,18 @@ 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})
 
@@ -148,14 +148,14 @@ class Algorithm:
         )
 
     def create_market_order(
-        self,
-        target_symbol,
-        order_side,
-        amount,
-        market=None,
-        execute=False,
-        validate=False,
-        sync=True
+            self,
+            target_symbol,
+            order_side,
+            amount,
+            market=None,
+            execute=False,
+            validate=False,
+            sync=True
     ):
         portfolio = self.portfolio_service.find({"market": market})
         order_data = {
@@ -201,13 +201,13 @@ class Algorithm:
         self._running_workers = []
 
     def get_order(
-        self,
-        reference_id=None,
-        market=None,
-        target_symbol=None,
-        trading_symbol=None,
-        order_side=None,
-        order_type=None
+            self,
+            reference_id=None,
+            market=None,
+            target_symbol=None,
+            trading_symbol=None,
+            order_side=None,
+            order_type=None
     ) -> Order:
         query_params = {}
 
@@ -236,12 +236,12 @@ class Algorithm:
         return self.order_service.find(query_params)
 
     def get_orders(
-        self,
-        target_symbol=None,
-        status=None,
-        order_type=None,
-        order_side=None,
-        market=None
+            self,
+            target_symbol=None,
+            status=None,
+            order_type=None,
+            order_side=None,
+            market=None
     ) -> List[Order]:
 
         if market is None:
@@ -326,14 +326,14 @@ class Algorithm:
             return None
 
     def has_position(
-        self,
-        symbol,
-        market=None,
-        identifier=None,
-        amount_gt=0,
-        amount_gte=None,
-        amount_lt=None,
-        amount_lte=None
+            self,
+            symbol,
+            market=None,
+            identifier=None,
+            amount_gt=0,
+            amount_gte=None,
+            amount_lt=None,
+            amount_lte=None
     ):
         return self.position_exists(
             symbol,
@@ -379,7 +379,7 @@ class Algorithm:
         return self.position_service.exists(query_params)
 
     def get_position_percentage_of_portfolio(
-        self, symbol, market=None, identifier=None
+            self, symbol, market=None, identifier=None
     ) -> float:
         """
         Returns the percentage of the current total value of the portfolio
@@ -412,7 +412,7 @@ class Algorithm:
         return (position.amount * ticker["bid"] / total) * 100
 
     def get_position_percentage_of_portfolio_by_net_size(
-        self, symbol, market=None, identifier=None
+            self, symbol, market=None, identifier=None
     ) -> float:
         """
         Returns the percentage of the portfolio that is allocated to a
@@ -442,7 +442,6 @@ class Algorithm:
         net_size = portfolio.get_net_size()
         return (position.cost / net_size) * 100
 
-
     def close_position(self, symbol, market=None, identifier=None):
         portfolio = self.portfolio_service.find(
             {"market": market, "identifier": identifier}
@@ -459,9 +458,9 @@ class Algorithm:
             return
 
         for order in self.order_service \
-            .get_all({
-                "position": position.id, "status": OrderStatus.OPEN.value
-            }):
+                .get_all({
+            "position": position.id, "status": OrderStatus.OPEN.value
+        }):
             self.market_service.cancel_order(order.id)
 
         ticker = self.market_service.get_ticker(
@@ -704,6 +703,27 @@ class Algorithm:
             "order_side": OrderSide.BUY.value,
             "target_symbol": target_symbol
         })
+        sell_orders = self.order_service.get_all({
+            "status": OrderStatus.OPEN.value,
+            "order_side": OrderSide.SELL.value,
+            "target_symbol": target_symbol
+        })
+        sell_amount = sum([order.get_amount() for order in sell_orders])
+
+        # Subtract the amount of the open sell orders
+        # from the amount of the buy orders
+        while sell_amount > 0 and len(buy_orders) > 0:
+            first_order = buy_orders[0]
+
+            if first_order.get_available_amount() > sell_amount:
+                first_order.set_available_amount(
+                    first_order.get_available_amount() - sell_amount
+                )
+                sell_amount = 0
+            else:
+                sell_amount = sell_amount - first_order.get_available_amount()
+                buy_orders.pop(0)
+
         symbols = [order.get_symbol() for order in buy_orders]
         symbols = list(set(symbols))
         tickers = {}
@@ -737,13 +757,24 @@ class Algorithm:
                 "Buy order belonging to the trade has no amount."
             )
 
+        position = self.get_position(order.get_target_symbol())
+        amount = order.get_amount()
+        if position.get_amount() < amount:
+            logger.warning(
+                f"Order amount {amount} is larger then amount "
+                f"of available {position.symbol} "
+                f"position: {position.get_amount()}, "
+                f"changing order amount to size of position"
+            )
+            amount = position.get_amount()
+
         ticker = self.market_service.get_ticker(
             symbol=f"{order.target_symbol.upper()}"
                    f"/{order.trading_symbol.upper()}"
         )
         self.create_limit_order(
             target_symbol=order.target_symbol,
-            amount=order.get_amount(),
+            amount=amount,
             order_side=OrderSide.SELL.value,
             price=ticker["bid"],
         )

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/investing_algorithm_framework/domain/models/order/order.py

@@ -79,6 +79,7 @@ class Order(BaseModel):
         self.stop_loss_percentage = stop_loss_percentage
         self.trailing_stop_loss = trailing_stop_loss
         self.trailing_stop_loss_percentage = trailing_stop_loss_percentage
+        self._available_amount = self.filled
 
     def get_external_id(self):
         return self.external_id
@@ -205,17 +206,23 @@ class Order(BaseModel):
     def get_symbol(self):
         return self.get_target_symbol() + "/" + self.get_trading_symbol()
 
-    def get_stop_loss(self):
-        return self.stop_loss
+    def get_available_amount(self):
 
-    def get_stop_loss_percentage(self):
-        return self.stop_loss_percentage
+        if self._available_amount is None:
+            return self.get_filled()
 
-    def get_trailing_stop_loss(self):
-        return self.trailing_stop_loss
+        return self._available_amount
 
-    def get_trailing_stop_loss_percentage(self):
-        return self.trailing_stop_loss_percentage
+    @property
+    def available_amount(self):
+        return self.get_available_amount()
+
+    def set_available_amount(self, available_amount):
+        self._available_amount = available_amount
+
+    @available_amount.setter
+    def available_amount(self, available_amount):
+        self.set_available_amount(available_amount)
 
     def to_dict(self):
         return {
@@ -287,4 +294,4 @@ class Order(BaseModel):
             filled=self.get_filled(),
             remaining=self.get_remaining(),
             cost=self.get_cost(),
-        )
+        )

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -172,7 +172,7 @@ class CCXTTickerBacktestMarketDataSource(
     backtest_data_index_date = None
     backtest_data_start_date = None
     backtest_data_end_date = None
-    total_minutes_timeframe = 1440
+    total_minutes_timeframe = 15
 
     def __init__(
         self,
@@ -221,7 +221,7 @@ class CCXTTickerBacktestMarketDataSource(
         market_service.market = self.market
         ohlcv = market_service.get_ohlcv(
             symbol=self.symbol,
-            time_frame="4h",
+            time_frame="15m",
             from_timestamp=backtest_data_start_date,
             to_timestamp=backtest_end_date
         )
@@ -309,14 +309,16 @@ class CCXTTickerBacktestMarketDataSource(
             if difference_in_minutes <= 240:
                 return {
                     "symbol": self.symbol,
-                    "bid": float(previous_row[4]),
-                    "ask": float(previous_row[4]),
+                    "bid": float(previous_row[3]) + float(previous_row[2]) / 2,
+                    "ask": float(previous_row[3]) + float(previous_row[2]) / 2,
                     "datetime": previous_row[0],
                 }
 
         raise OperationalException(
-            f"Could not find ticker data for date "
-            f"{backtest_index_date}"
+            f"Could not find {self.symbol} ticker data for date "
+            f"{backtest_index_date}. Please make sure that the selected "
+            f"broker or exchange {self.market} has ticker data"
+            f" available for symbol {self.symbol}"
         )
 
     def to_backtest_market_data_source(self) -> BacktestMarketDataSource:

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/investing_algorithm_framework/infrastructure/models/order/order.py

@@ -41,6 +41,7 @@ class SQLOrder(Order, SQLBaseModel, SQLAlchemyModelExtension):
         back_populates="order",
         cascade="all, delete"
     )
+    _available_amount = None
 
     def update(self, data):
 

{investing_algorithm_framework-1.7 → investing_algorithm_framework-1.7.2}/investing_algorithm_framework.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 1.7
+Version: 1.7.2
 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
@@ -62,20 +62,16 @@ It also exposes an REST API that allows you to interact with the algorithm.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
 
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
-
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     identifier="BTC",
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
 app.add_portfolio_configuration(
@@ -83,7 +79,7 @@ app.add_portfolio_configuration(
         market="BITVAVO",
         api_key="<your api key>",
         secret_key="<your secret key>",
-        trading_symbol="USDT"
+        trading_symbol="EUR"
     )
 )
 
@@ -112,12 +108,8 @@ but instead of running the algorithm, you can run a backtest.
 ```python
 import pathlib
 from datetime import datetime, timedelta
-
 from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
-    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm
-
-def start_date_func():
-    return datetime.utcnow() - timedelta(days=17)
+    TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, pretty_print_backtest
 
 # Define market data sources
 bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
@@ -125,7 +117,7 @@ bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
     market="BITVAVO",
     symbol="BTC/EUR",
     timeframe="2h",
-    start_date_func=start_date_func
+    start_date_func=lambda : datetime.utcnow() - timedelta(days=17)
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})