investing-algorithm-framework 2.3.2__tar.gz → 2.5.0__tar.gz

{investing_algorithm_framework-2.3.2/investing_algorithm_framework.egg-info → investing_algorithm_framework-2.5.0}/PKG-INFO

@@ -1,40 +1,29 @@
 Metadata-Version: 2.1
-Name: investing_algorithm_framework
-Version: 2.3.2
-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
-Author: coding kitties
-License: Apache License 2.0
-Keywords: TRADING,INVESTING,BOT,ALGORITHM,FRAMEWORK
-Classifier: Intended Audience :: Developers
+Name: investing-algorithm-framework
+Version: 2.5.0
+Summary: A framework for creating trading bots
+Author: MDUYN
+Requires-Python: >=3.8.1,<4.0.0
 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
+Classifier: Programming Language :: Python :: 3.9
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Requires-Dist: Flask (>=2.3.2,<3.0.0)
+Requires-Dist: Flask-Cors (>=3.0.9,<4.0.0)
+Requires-Dist: Flask-Migrate (>=2.6.0,<3.0.0)
+Requires-Dist: MarkupSafe (>=2.1.2,<3.0.0)
+Requires-Dist: SQLAlchemy (>=2.0.18,<3.0.0)
+Requires-Dist: ccxt (>=4.2.48,<5.0.0)
+Requires-Dist: dependency-injector (>=4.40.0,<5.0.0)
+Requires-Dist: marshmallow (>=3.5.0,<4.0.0)
+Requires-Dist: polars[numpy,pandas] (>=0.20.10,<0.21.0)
+Requires-Dist: python-dateutil (>=2.8.2,<3.0.0)
+Requires-Dist: schedule (>=1.1.0,<2.0.0)
+Requires-Dist: tabulate (>=0.9.0,<0.10.0)
+Requires-Dist: tqdm (>=4.66.1,<5.0.0)
+Requires-Dist: wrapt (>=1.16.0,<2.0.0)
 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)
@@ -47,7 +36,7 @@ Requires-Dist: polars[numpy,pandas]==0.20.5
 ###### 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" />
+  <img alt="Finterion" src="static/sponsors/finterion.png" width="200px" />
 </a>
 </p>
 
@@ -351,3 +340,4 @@ You can pick up a task by assigning yourself to it.
 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`.
+

{investing_algorithm_framework-2.3.2 → investing_algorithm_framework-2.5.0}/README.md

@@ -9,7 +9,7 @@
 ###### 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" />
+  <img alt="Finterion" src="static/sponsors/finterion.png" width="200px" />
 </a>
 </p>
 

{investing_algorithm_framework-2.3.2 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/__init__.py

@@ -1,7 +1,7 @@
 from investing_algorithm_framework.app import App, Algorithm
 from .create_app import create_app
 from investing_algorithm_framework.domain import ApiException, \
-    TradingDataType, TradingTimeFrame, OrderType,\
+    TradingDataType, TradingTimeFrame, OrderType, \
     OrderStatus, OrderSide, Config, TimeUnit, TimeInterval, Order, Portfolio, \
     Position, TimeFrame, BACKTESTING_INDEX_DATETIME, MarketCredential, \
     PortfolioConfiguration, RESOURCE_DIRECTORY, pretty_print_backtest, \

{investing_algorithm_framework-2.3.2 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/app/algorithm.py

@@ -1,13 +1,14 @@
-import logging
 import decimal
+import logging
 from typing import List
 
 from investing_algorithm_framework.domain import OrderStatus, OrderFee, \
     Position, Order, Portfolio, OrderType, OrderSide, ApiException, \
-    BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, Trade, PeekableQueue, \
-    MarketService
+    BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, MarketService
 from investing_algorithm_framework.services import MarketCredentialService, \
-    MarketDataSourceService
+    MarketDataSourceService, PortfolioService, PositionService, TradeService, \
+    OrderService, ConfigurationService, StrategyOrchestratorService, \
+    PortfolioConfigurationService
 
 logger = logging.getLogger("investing_algorithm_framework")
 
@@ -24,21 +25,26 @@ class Algorithm:
         market_service,
         strategy_orchestrator_service,
         market_credential_service,
-        market_data_source_service
+        market_data_source_service,
+        trade_service
     ):
-        self.portfolio_service = portfolio_service
-        self.position_service = position_service
-        self.order_service = order_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.portfolio_service: PortfolioService = portfolio_service
+        self.position_service: PositionService = position_service
+        self.order_service: OrderService = order_service
+        self.market_service: MarketService = market_service
+        self.configuration_service: ConfigurationService \
+            = configuration_service
+        self.portfolio_configuration_service: PortfolioConfigurationService \
+            = portfolio_configuration_service
+        self.strategy_orchestrator_service: StrategyOrchestratorService \
+            = strategy_orchestrator_service
         self._market_data_sources = {}
         self._strategies = []
         self._market_credential_service: MarketCredentialService \
             = market_credential_service
         self._market_data_source_service: MarketDataSourceService \
             = market_data_source_service
+        self.trade_service: TradeService = trade_service
 
     def start(self, number_of_iterations=None, stateless=False):
 
@@ -158,14 +164,14 @@ 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
     ):
 
         if market is None:
@@ -210,18 +216,24 @@ class Algorithm:
             {"portfolio": portfolio.id, "symbol": trading_symbol}
         ).get_amount()
 
+    def get_total_size(self):
+        """
+        Returns the total size of the portfolio.
+        """
+        return self.get_unallocated() + self.get_allocated()
+
     def reset(self):
         self._workers = []
         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 = {}
 
@@ -250,12 +262,12 @@ 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:
@@ -278,13 +290,13 @@ class Algorithm:
         return self.order_service.get_order_fee(order_id)
 
     def get_positions(
-            self,
-            market=None,
-            identifier=None,
-            amount_gt=None,
-            amount_gte=None,
-            amount_lt=None,
-            amount_lte=None
+        self,
+        market=None,
+        identifier=None,
+        amount_gt=None,
+        amount_gte=None,
+        amount_lt=None,
+        amount_lte=None
     ) -> List[Position]:
         query_params = {}
 
@@ -340,14 +352,14 @@ 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,
@@ -592,9 +604,9 @@ class Algorithm:
             orders = self.order_service.get_all(
                 {"status": OrderStatus.OPEN.value, "portfolio": portfolio.id}
             )
-            unfilled = unfilled \
-                       + sum(
-                [order.get_amount() * order.get_price() for order in orders])
+            unfilled = unfilled + sum(
+                [order.get_amount() * order.get_price() for order in orders]
+            )
 
         return unfilled
 
@@ -642,7 +654,9 @@ class Algorithm:
         query_params["status"] = OrderStatus.OPEN.value
         return self.order_service.exists(query_params)
 
-    def has_open_orders(self, target_symbol=None, identifier=None, market=None):
+    def has_open_orders(
+        self, target_symbol=None, identifier=None, market=None
+    ):
         query_params = {}
 
         if identifier is not None:
@@ -667,55 +681,10 @@ class Algorithm:
         self.order_service.check_pending_orders()
 
     def get_trades(self, market=None):
-        portfolios = self.portfolio_service.get_all()
-        trades = []
-
-        for portfolio in portfolios:
-            buy_orders = self.order_service.get_all({
-                "status": OrderStatus.CLOSED.value,
-                "order_side": OrderSide.BUY.value,
-                "portfolio_id": portfolio.id
-            })
-
-            for buy_order in buy_orders:
-                symbol = buy_order.get_symbol()
-                ticker = self._market_data_source_service.get_ticker(
-                    symbol=symbol, market=market
-                )
-                trades.append(
-                    Trade(
-                        buy_order_id=buy_order.id,
-                        target_symbol=buy_order.get_target_symbol(),
-                        trading_symbol=buy_order.get_trading_symbol(),
-                        amount=buy_order.get_amount(),
-                        open_price=buy_order.get_price(),
-                        closed_price=buy_order.get_trade_closed_price(),
-                        closed_at=buy_order.get_trade_closed_at(),
-                        opened_at=buy_order.get_created_at(),
-                        current_price=ticker["bid"]
-                    )
-                )
-
-        return trades
+        return self.trade_service.get_trades(market)
 
     def get_closed_trades(self):
-        buy_orders = self.order_service.get_all({
-            "status": OrderStatus.CLOSED.value,
-            "order_side": OrderSide.BUY.value
-        })
-        return [
-            Trade(
-                buy_order_id=order.id,
-                target_symbol=order.get_target_symbol(),
-                trading_symbol=order.get_trading_symbol(),
-                amount=order.get_amount(),
-                open_price=order.get_price(),
-                closed_price=order.get_trade_closed_price(),
-                closed_at=order.get_trade_closed_at(),
-                opened_at=order.get_created_at()
-            ) for order in buy_orders
-            if order.get_trade_closed_at() is not None
-        ]
+        return self.trade_service.get_closed_trades()
 
     def round_down(self, value, amount_of_decimals):
 
@@ -735,132 +704,10 @@ class Algorithm:
             return 0
 
     def get_open_trades(self, target_symbol=None, market=None):
-        portfolios = self.portfolio_service.get_all()
-        trades = []
-
-        for portfolio in portfolios:
-
-            if target_symbol is not None:
-                buy_orders = self.order_service.get_all({
-                    "status": OrderStatus.CLOSED.value,
-                    "order_side": OrderSide.BUY.value,
-                    "portfolio_id": portfolio.id,
-                    "target_symbol": target_symbol
-                })
-                sell_orders = self.order_service.get_all({
-                    "status": OrderStatus.OPEN.value,
-                    "order_side": OrderSide.SELL.value,
-                    "portfolio_id": portfolio.id,
-                    "target_symbol": target_symbol
-                })
-            else:
-                buy_orders = self.order_service.get_all({
-                    "status": OrderStatus.CLOSED.value,
-                    "order_side": OrderSide.BUY.value,
-                    "portfolio_id": portfolio.id
-                })
-                sell_orders = self.order_service.get_all({
-                    "status": OrderStatus.OPEN.value,
-                    "order_side": OrderSide.SELL.value,
-                    "portfolio_id": portfolio.id
-                })
-
-            buy_orders = [
-                buy_order for buy_order in buy_orders
-                if buy_order.get_trade_closed_at() is None
-            ]
-            sell_amount = sum([order.amount for order in sell_orders])
-
-            # Subtract the amount of the open sell orders
-            # from the amount of the buy orders
-            buy_orders_queue = PeekableQueue()
-
-            for buy_order in buy_orders:
-                buy_orders_queue.enqueue(buy_order)
-
-            while sell_amount > 0 and not buy_orders_queue.is_empty():
-                first_buy_order = buy_orders_queue.peek()
-                available = first_buy_order.get_filled() \
-                    - first_buy_order.get_trade_closed_amount()
-
-                if available > sell_amount:
-                    remaining = available - sell_amount
-                    sell_amount = 0
-                    first_buy_order.set_filled(remaining)
-                else:
-                    sell_amount = sell_amount - available
-                    buy_orders_queue.dequeue()
-
-            for buy_order in buy_orders_queue:
-                symbol = buy_order.get_symbol()
-
-                try:
-                    ticker = self._market_data_source_service.get_ticker(
-                        symbol=symbol, market=market
-                    )
-                except Exception as e:
-                    logger.error(e)
-                    raise ApiException(
-                        f"Error getting ticker data for "
-                        f"trade {buy_order.get_target_symbol()}"
-                        f"-{buy_order.get_trading_symbol()}. Make sure you "
-                        f"have registered a ticker market data source for "
-                        f"{buy_order.get_target_symbol()}"
-                        f"-{buy_order.get_trading_symbol()} "
-                        f"for market {portfolio.market}"
-                    )
-                trades.append(
-                    Trade(
-                        buy_order_id=buy_order.id,
-                        target_symbol=buy_order.get_target_symbol(),
-                        trading_symbol=buy_order.get_trading_symbol(),
-                        amount=buy_order.get_filled()
-                               - buy_order.get_trade_closed_amount(),
-                        open_price=buy_order.get_price(),
-                        opened_at=buy_order.get_created_at(),
-                        current_price=ticker["bid"]
-                    )
-                )
-
-        return trades
+        return self.trade_service.get_open_trades(target_symbol, market)
 
     def close_trade(self, trade, market=None):
-
-        if trade.closed_at is not None:
-            raise ApiException("Trade already closed.")
-
-        order = self.order_service.get(trade.buy_order_id)
-
-        if order.get_filled() <= 0:
-            raise ApiException(
-                "Buy order belonging to the trade has no amount."
-            )
-
-        portfolio = self.portfolio_service\
-            .find({"position": order.position_id})
-        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()
-
-        symbol = f"{order.get_target_symbol().upper()}" \
-                 f"/{order.get_trading_symbol().upper()}"
-        ticker = self._market_data_source_service.get_ticker(
-            symbol=symbol, market=market
-        )
-        self.create_limit_order(
-            target_symbol=order.target_symbol,
-            amount=amount,
-            order_side=OrderSide.SELL.value,
-            price=ticker["bid"],
-        )
+        self.trade_service.close_trade(trade, market)
 
     def get_number_of_positions(self):
         """

{investing_algorithm_framework-2.3.2 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/app/app.py

@@ -17,7 +17,7 @@ from investing_algorithm_framework.app.web import create_flask_app
 from investing_algorithm_framework.domain import DATABASE_NAME, TimeUnit, \
     DATABASE_DIRECTORY_PATH, RESOURCE_DIRECTORY, ENVIRONMENT, Environment, \
     SQLALCHEMY_DATABASE_URI, OperationalException, BACKTESTING_FLAG, \
-    BACKTESTING_START_DATE, MarketService, BACKTESTING_END_DATE, \
+    BACKTESTING_START_DATE, BACKTESTING_END_DATE, \
     BACKTESTING_PENDING_ORDER_CHECK_INTERVAL
 from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
     create_all_tables
@@ -40,7 +40,6 @@ class App:
         self._strategies = []
         self._tasks = []
         self._configuration_service = None
-        self._market_service: MarketService = None
         self._market_data_source_service: MarketDataSourceService = None
         self._market_credential_service: MarketCredentialService = None
 
@@ -50,13 +49,19 @@ class App:
 
     def initialize_services(self):
         self._configuration_service = self.container.configuration_service()
-        self._market_service = self.container.market_service()
         self._market_data_source_service = \
             self.container.market_data_source_service()
         self._market_credential_service = \
             self.container.market_credential_service()
 
     def initialize(self):
+        """
+        Method to initialize the app. This method should be called before
+        running the algorithm. It initializes the services and the algorithm
+        and sets up the database if it does not exist.
+
+        :return: None
+        """
 
         if self._web:
             self._initialize_web()
@@ -70,13 +75,21 @@ class App:
             self._initialize_standard()
             setup_sqlalchemy(self)
             create_all_tables()
+
+        # Initialize the algorithm
         self.algorithm = self.container.algorithm()
+
+        # Add strategies
         self.algorithm.add_strategies(self.strategies)
+
+        # Add tasks
         self.algorithm.add_tasks(self.tasks)
 
+        # Initialize all portfolios that are registered
         portfolio_configuration_service = self.container\
             .portfolio_configuration_service()
 
+        # Throw an error if no portfolios are configured
         if portfolio_configuration_service.count() == 0:
             raise OperationalException("No portfolios configured")
 
@@ -85,15 +98,42 @@ class App:
         portfolio_service = self.container.portfolio_service()
 
         for portfolio_configuration in portfolio_configurations:
-            portfolio_service.create_portfolio_from_configuration(
+            # Create portfolio if not exists
+            portfolio = portfolio_service.create_portfolio_from_configuration(
                 portfolio_configuration
             )
+            # Sync all orders from exchange with current order history
+            portfolio_service.sync_portfolio_orders(portfolio)
 
     def _initialize_stateless(self):
+        """
+        Initialize the app for stateless mode by setting the configuration
+        parameters for stateless mode and overriding the services with the
+        stateless services equivalents.
+
+        In stateless mode, sqlalchemy is-setup with an in-memory database.
+
+        Stateless has the following implications:
+        db: in-memory
+        web: False
+        app: Run with stateless action objects
+        algorithm: Run with stateless action objects
+        """
         configuration_service = self.container.configuration_service()
         configuration_service.config[SQLALCHEMY_DATABASE_URI] = "sqlite://"
 
     def _initialize_standard(self):
+        """
+        Initialize the app for standard mode by setting the configuration
+        parameters for standard mode and overriding the services with the
+        standard services equivalents.
+
+        Standard has the following implications:
+        db: sqlite
+        web: False
+        app: Standard
+        algorithm: Standard
+        """
         configuration_service = self.container.configuration_service()
         resource_dir = configuration_service.config[RESOURCE_DIRECTORY]
 
@@ -197,6 +237,9 @@ class App:
             portfolio_snapshot_service=self.container
             .portfolio_snapshot_service(),
         ))
+        market_data_source_service = \
+            self.container.market_data_source_service()
+
         # Override the order service with the backtest order service
         self.container.order_service.override(
             OrderBacktestService(
@@ -209,7 +252,7 @@ class App:
                 portfolio_snapshot_service=self.container
                 .portfolio_snapshot_service(),
                 configuration_service=self.container.configuration_service(),
-                market_data_source_service=self.container.market_data_source_service()
+                market_data_source_service=market_data_source_service
             )
         )
 
@@ -256,14 +299,8 @@ class App:
         self,
         payload: dict = None,
         number_of_iterations: int = None,
-        sync=True
     ):
         self.initialize()
-        portfolio_service = self.container.portfolio_service()
-
-        if sync:
-            portfolio_service.sync_portfolios()
-
         self.algorithm.start(
             number_of_iterations=number_of_iterations,
             stateless=self.stateless
@@ -438,13 +475,6 @@ class App:
     def tasks(self):
         return self._tasks
 
-    def sync_portfolios(self):
-        portfolio_configuration_service = self.container\
-            .portfolio_configuration_service()
-        portfolio_configuration_service.create_portfolios()
-        portfolio_service = self.container.portfolio_service()
-        portfolio_service.sync_portfolios()
-
     def _initialize_web(self):
         configuration_service = self.container.configuration_service()
         resource_dir = configuration_service.config[RESOURCE_DIRECTORY]
@@ -453,9 +483,8 @@ class App:
             configuration_service.config[SQLALCHEMY_DATABASE_URI] = "sqlite://"
         else:
             resource_dir = self._create_resource_directory_if_not_exists()
-            configuration_service.config[DATABASE_DIRECTORY_PATH] = os.path.join(
-                resource_dir, "databases"
-            )
+            configuration_service.config[DATABASE_DIRECTORY_PATH] = \
+                os.path.join(resource_dir, "databases")
             configuration_service.config[DATABASE_NAME] \
                 = "prod-database.sqlite3"
             configuration_service.config[SQLALCHEMY_DATABASE_URI] = \
@@ -528,7 +557,11 @@ class App:
         return self.algorithm.get_portfolio_configurations()
 
     def backtest(
-        self, start_date, end_date, pending_order_check_interval='1h'
+        self,
+        start_date,
+        end_date,
+        pending_order_check_interval='1h',
+        output_directory=None
     ):
         logger.info("Initializing backtest")
 
@@ -547,6 +580,19 @@ class App:
         report = backtest_service.backtest(
             self.algorithm, start_date, end_date
         )
+        backtest_report_writer_service = self.container\
+            .backtest_report_writer_service()
+
+        if output_directory is None:
+            output_directory = os.path.join(
+                self.config.get(RESOURCE_DIRECTORY),
+                "backtest_reports"
+            )
+
+        backtest_report_writer_service.write_report_to_csv(
+            report=report, output_directory=output_directory
+        )
+
         return report
 
     def add_market_data_source(self, market_data_source):