investing-algorithm-framework 2.2.4__tar.gz → 2.3.1__tar.gz

investing_algorithm_framework-2.3.1/PKG-INFO

@@ -0,0 +1,353 @@
+Metadata-Version: 2.1
+Name: investing_algorithm_framework
+Version: 2.3.1
+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
+Author: coding kitties
+License: Apache License 2.0
+Keywords: TRADING,INVESTING,BOT,ALGORITHM,FRAMEWORK
+Classifier: Intended Audience :: Developers
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.4
+Classifier: Programming Language :: Python :: 3.5
+Classifier: Programming Language :: Python :: 3.6
+Classifier: Topic :: Software Development
+Classifier: License :: OSI Approved :: Apache Software License
+Classifier: Operating System :: OS Independent
+Requires-Python: >=3
+Description-Content-Type: text/markdown
+License-File: LICENSE
+License-File: AUTHORS.md
+Requires-Dist: wrapt>=1.11.2
+Requires-Dist: Flask>=2.3.2
+Requires-Dist: Flask-Migrate>=2.6.0
+Requires-Dist: Flask-Cors>=3.0.9
+Requires-Dist: SQLAlchemy>=2.0.18
+Requires-Dist: marshmallow>=3.5.0
+Requires-Dist: setuptools>=60.9.0
+Requires-Dist: ccxt>=3.0.57
+Requires-Dist: python-dateutil>=2.8.2
+Requires-Dist: MarkupSafe>=2.1.2
+Requires-Dist: dependency-injector>=4.40.0
+Requires-Dist: schedule>=1.1.0
+Requires-Dist: pandas>=2.0.0
+Requires-Dist: tqdm>=4.66.1
+Requires-Dist: tabulate>=0.9.0
+Requires-Dist: polars[numpy,pandas]==0.20.5
+
+<a href=https://investing-algorithm-framework.com><img src="https://img.shields.io/badge/docs-website-brightgreen"></a>
+[![Build](https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/build.yml/badge.svg)](https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/build.yml)
+[![Tests](https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml/badge.svg?branch=master)](https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml)
+[![Downloads](https://pepy.tech/badge/investing-algorithm-framework)](https://pepy.tech/badge/investing-algorithm-framework)
+[![Current Version](https://img.shields.io/pypi/v/investing_algorithm_framework.svg)](https://img.shields.io/pypi/v/investing_algorithm_framework.svg)
+<a href="https://www.reddit.com/r/InvestingBots/"><img src="https://img.shields.io/reddit/subreddit-subscribers/investingbots?style=social"></a> <br/>
+[![GitHub stars](https://img.shields.io/github/stars/coding-kitties/investing-algorithm-framework.svg?style=social&label=Star&maxAge=1)](https://github.com/SeaQL/sea-orm/stargazers/) If you like what we do, consider starring, sharing and contributing!
+
+###### Sponsors
+<p align="left">
+<a href="https://finterion.com">
+  <img alt="Finterion" src="https://logicfunds-web-app-images.s3.eu-central-1.amazonaws.com/finterion.png" width="200px" />
+</a>
+</p>
+
+
+# [Investing Algorithm Framework](https://github.com/coding-kitties/investing-algorithm-framework)
+
+The Investing Algorithm Framework is a Python tool that enables swift and 
+elegant development of trading bots. It comes with all the necessary 
+components for creating algorithms, including data provisioning, 
+portfolio management, and order execution.
+
+Features: 
+* Order execution
+* Broker and exchange connections through [ccxt](https://github.com/ccxt/ccxt)
+* Backtesting and performance analysis reports
+* Portfolio management
+* Web API for interacting with your deployed trading bot
+* Data persistence through sqlite db or an in-memory db
+* Stateless running for cloud function deployments
+* Polars dataframes support out of the box for fast data processing [pola.rs](https://pola.rs/)
+
+
+
+## Example implementation
+The following algorithm connects to binance and buys BTC every 5 seconds. 
+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, \
+    CCXTTickerMarketDataSource, MarketCredential
+
+# Define market data sources
+bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
+    identifier="BTC-ohlcv",
+    market="BITVAVO",
+    symbol="BTC/EUR",
+    timeframe="2h",
+    window_size=200
+)
+# Ticker data for orders, trades and positions
+bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
+    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",
+        trading_symbol="EUR",
+        initial_balance=400
+    )
+)
+
+@app.strategy(
+    # Run every two hours
+    time_unit=TimeUnit.HOUR, 
+    interval=2, 
+    # Specify market data sources that need to be passed to the strategy
+    market_data_sources=["BTC-ticker", "BTC-ohlcv"]
+)
+def perform_strategy(algorithm: Algorithm, market_data: dict):
+    # By default data is passed as polars dataframe https://pola.rs/
+    df = market_data["BTC-ohlcv"].to_pandas()
+    ticker_data = market_data["BTC-ticker"]
+    algorithm.create_limit_order(
+        target_symbol="BTC/EUR",
+        order_side="buy",
+        amount=0.01,
+        price=ticker_data["ask"],
+    )
+    
+if __name__ == "__main__":
+    app.run()
+```
+
+> You can find more examples [here](./examples) folder.
+
+## Backtesting
+The framework also supports backtesting. You can use the same code as above,
+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, pretty_print_backtest, \
+    CCXTTickerMarketDataSource, PortfolioConfiguration
+
+# Define market data sources
+bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
+    identifier="BTC-ohlcv",
+    market="bitvavo",
+    symbol="BTC/EUR",
+    timeframe="2h", 
+    window_size=200
+)
+bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
+    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
+)
+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=["BTC-ticker", "BTC-ohlcv"]
+)
+def perform_strategy(algorithm: Algorithm, market_data: dict):
+    print(
+        f"Performing trading strategy on market " +
+        f"data {market_data['BTC-ohlcv'] and market_data['BTC-ticker']}"
+    )
+
+if __name__ == "__main__":
+    backtest_report = app.backtest(
+        start_date=datetime(2023, 11, 12) - timedelta(days=10),
+        end_date=datetime(2023, 11, 12),
+    )
+    pretty_print_backtest(backtest_report)
+```
+For more examples, check out the [examples](./examples/backtesting) folder.
+
+### Backtesting report
+You can use the ```pretty_print_backtest``` function to print a backtest report.
+For example if you run the [moving average example trading bot](./examples/crossover_moving_average_trading_bot)
+you will get the following backtesting report:
+ 
+```bash
+====================Backtest report===============================
+* Start date: 2023-08-24 00:00:00
+* End date: 2023-12-02 00:00:00
+* Number of days: 100
+* Number of runs: 1201
+====================Portfolio overview============================
+* Number of orders: 40
+* Initial balance: 400.0000 EUR
+* Final balance: 428.2434 EUR
+* Total net gain: 28.2434 EUR
+* Total net gain percentage: 7.0609%
+* Growth rate: 7.0609%
+* Growth 28.2434 EUR
+====================Positions overview========================
+╭────────────┬──────────┬──────────────────┬──────────────┬───────────────┬───────────────────────────┬────────────────┬───────────────╮
+│ Position   │   Amount │   Pending amount │   Cost (EUR) │   Value (EUR) │ Percentage of portfolio   │   Growth (EUR) │ Growth_rate   │
+├────────────┼──────────┼──────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
+│ EUR        │  428.243 │                0 │      428.243 │       428.243 │ 100.0000%                 │              0 │ 0.0000%       │
+╰────────────┴──────────┴──────────────────┴──────────────┴───────────────┴───────────────────────────┴────────────────┴───────────────╯
+====================Trades overview===========================
+* Number of trades closed: 20
+* Number of trades open: 0
+* Percentage of positive trades: 30.0%
+* Percentage of negative trades: 70.0%
+* Average trade size: 100.9692 EUR
+* Average trade duration: 83.6 hours
+╭─────────┬─────────────────────┬─────────────────────┬────────────────────┬──────────────┬──────────────────┬───────────────────────┬────────────────────┬─────────────────────╮
+│ Pair    │ Open date           │ Close date          │   Duration (hours) │   Size (EUR) │   Net gain (EUR) │ Net gain percentage   │   Open price (EUR) │   Close price (EUR) │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-11-24 12:00:00 │ 2023-11-27 14:00:00 │                 74 │     107.55   │          -1.9587 │ -1.8212%              │             4.777  │              4.69   │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-11-20 00:00:00 │ 2023-11-21 08:00:00 │                 32 │     109.39   │          -4.5949 │ -4.2005%              │             4.9875 │              4.778  │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-11-19 22:00:00 │ 2023-11-22 00:00:00 │                 50 │     109.309  │          -2.7624 │ -2.5272%              │         34159.1    │          33295.9    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-11-06 12:00:00 │ 2023-11-13 14:00:00 │                170 │     107.864  │           6.1015 │ 5.6567%               │         32685.9    │          34534.9    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-10-20 12:00:00 │ 2023-10-27 08:00:00 │                164 │      99.085  │          10.9799 │ 11.0813%              │             3.5465 │              3.9395 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-10-14 04:00:00 │ 2023-10-27 22:00:00 │                330 │      97.4278 │          24.137  │ 24.7742%              │         25638.9    │          31990.7    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-10-14 04:00:00 │ 2023-10-17 14:00:00 │                 82 │      99.5572 │          -1.8877 │ -1.8961%              │             3.56   │              3.4925 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-10-07 08:00:00 │ 2023-10-08 08:00:00 │                 24 │      99.9498 │          -1.5708 │ -1.5716%              │             3.8815 │              3.8205 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-09-27 10:00:00 │ 2023-10-05 20:00:00 │                202 │      98.2888 │           3.433  │ 3.4927%               │         25202.2    │          26082.5    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-27 10:00:00 │ 2023-10-03 20:00:00 │                154 │      98.7893 │           1.2085 │ 1.2233%               │             3.842  │              3.889  │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-25 12:00:00 │ 2023-09-27 04:00:00 │                 40 │      98.9193 │          -0.5194 │ -0.5251%              │             3.809  │              3.789  │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-14 16:00:00 │ 2023-09-18 02:00:00 │                 82 │      98.9419 │          -0.0912 │ -0.0921%              │             3.799  │              3.7955 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-09-07 06:00:00 │ 2023-09-10 16:00:00 │                 82 │      98.6093 │           0.3412 │ 0.3460%               │         24051      │          24134.3    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-07 00:00:00 │ 2023-09-09 02:00:00 │                 50 │      98.9158 │          -0.2358 │ -0.2383%              │             3.986  │              3.9765 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-05 14:00:00 │ 2023-09-06 12:00:00 │                 22 │      99.2132 │          -1.1909 │ -1.2003%              │             3.999  │              3.951  │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-04 16:00:00 │ 2023-09-04 22:00:00 │                  6 │      99.355  │          -0.5671 │ -0.5708%              │             3.942  │              3.9195 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-09-04 10:00:00 │ 2023-09-04 14:00:00 │                  4 │      99.4774 │          -0.4889 │ -0.4914%              │             3.968  │              3.9485 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ BTC-EUR │ 2023-08-26 10:00:00 │ 2023-08-26 18:00:00 │                  8 │      99.0829 │          -0.03   │ -0.0302%              │         24166.6    │          24159.3    │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-08-25 10:00:00 │ 2023-08-28 10:00:00 │                 72 │      99.659  │          -0.6975 │ -0.6999%              │             4.1435 │              4.1145 │
+├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
+│ DOT-EUR │ 2023-08-24 00:00:00 │ 2023-08-25 00:00:00 │                 24 │      99.9999 │          -1.3626 │ -1.3626%              │             4.1465 │              4.09   │
+╰─────────┴─────────────────────┴─────────────────────┴────────────────────┴──────────────┴──────────────────┴───────────────────────┴────────────────────┴─────────────────────╯
+==================================================================
+```
+
+## Broker/Exchange configuration
+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 PortfolioConfiguration, \
+    MarketCredential, create_app
+app = create_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="<your market>", 
+        initial_balance=400,
+        track_from="01/01/2022",
+        trading_symbol="EUR"
+    )
+)
+```
+
+## Performance
+We continiously are working on improving the performance of the framework.
+
+## Download
+You can download the framework with pypi.
+
+```bash
+pip install investing-algorithm-framework
+```
+
+## Disclaimer
+If you use this framework for your investments, do not risk money 
+which you are afraid to lose, until you have clear understanding how 
+the framework works. We can't stress this enough:
+
+BEFORE YOU START USING MONEY WITH THE FRAMEWORK, MAKE SURE THAT YOU TESTED 
+YOUR COMPONENTS THOROUGHLY. USE THE SOFTWARE AT YOUR OWN RISK. 
+THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR INVESTMENT RESULTS.
+
+Also, make sure that you read the source code of any plugin you use or 
+implementation of an algorithm made with this framework.
+
+## Documentation
+
+All the documentation can be found online 
+at the [documentation webstie](https://investing-algorithm-framework.com)
+
+In most cases, you'll probably never have to change code on this repo directly 
+if you are building your algorithm/bot. But if you do, check out the 
+contributing page at the website.
+
+If you'd like to chat with investing-algorithm-framework users 
+and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
+
+## Acknowledgements
+We want to thank all contributors to this project. A full list of all 
+the people that contributed to the project can be
+found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
+
+### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
+
+If you discover a bug in the framework, please [search our issue tracker](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
+first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
+
+### Contributing
+The investing algorithm framework is a community driven project. 
+We welcome you to participate, contribute and together help build 
+the future trading bots developed in pyhton.
+
+Feel like the framework is missing a feature? We welcome your pull requests!
+If you want to contribute to the project roadmap, please take a look at the [project board](https://github.com/coding-kitties/investing-algorithm-framework/projects?query=is%3Aopen).
+You can pick up a task by assigning yourself to it. 
+
+**Note** before starting any major new feature work, *please open an issue describing what you are planning to do*.
+This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it.
+
+**Important:** Always create your feature or hotfix against the `develop` branch, not `master`.