investing-algorithm-framework 2.4.0__tar.gz → 2.5.0__tar.gz

{investing_algorithm_framework-2.4.0 → investing_algorithm_framework-2.5.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 2.4.0
+Version: 2.5.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.8.1,<4.0.0
@@ -36,7 +36,7 @@ Description-Content-Type: text/markdown
 ###### 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-2.4.0 → 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-2.4.0 → 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:
@@ -221,13 +227,13 @@ 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 = {}
 
@@ -256,12 +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:
@@ -284,13 +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 = {}
 
@@ -346,14 +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,
@@ -675,55 +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):
 
@@ -743,140 +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}"
-                    )
-
-                amount = buy_order.get_filled()
-                closed_amount = buy_order.get_trade_closed_amount()
-
-                if closed_amount is not None:
-                    amount = amount - closed_amount
-
-                trades.append(
-                    Trade(
-                        buy_order_id=buy_order.id,
-                        target_symbol=buy_order.get_target_symbol(),
-                        trading_symbol=buy_order.get_trading_symbol(),
-                        amount=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.position_service.find(
-            {"portfolio": portfolio.id, "symbol": 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-2.4.0 → 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
 
@@ -50,7 +49,6 @@ 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 = \
@@ -559,7 +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")
 
@@ -578,6 +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):

{investing_algorithm_framework-2.4.0 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/app/strategy.py

@@ -7,11 +7,13 @@ class TradingStrategy:
     time_unit: str = None
     interval: int = None
     worker_id: str = None
+    strategy_id: str = None
     decorated = None
     market_data_sources = None
 
     def __init__(
         self,
+        strategy_id=None,
         time_unit=None,
         interval=None,
         market_data_sources=None,
@@ -41,6 +43,9 @@ class TradingStrategy:
         else:
             self.worker_id = self.__class__.__name__
 
+        if strategy_id is not None:
+            self.strategy_id = strategy_id
+
     def run_strategy(self, algorithm, market_data):
         self.apply_strategy(algorithm=algorithm, market_data=market_data)
 
@@ -105,3 +110,11 @@ class TradingStrategy:
 
     def on_trade_take_profit_created(self, algorithm: Algorithm, trade: Trade):
         pass
+
+    @property
+    def strategy_identifier(self):
+
+        if self.strategy_id is not None:
+            return self.strategy_id
+
+        return self.worker_id

{investing_algorithm_framework-2.4.0 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/dependency_container.py

@@ -7,9 +7,9 @@ from investing_algorithm_framework.infrastructure import SQLOrderRepository, \
     SQLPositionSnapshotRepository, PerformanceService, CCXTMarketService
 from investing_algorithm_framework.services import OrderService, \
     PositionService, PortfolioService, StrategyOrchestratorService, \
-    PortfolioConfigurationService, MarketDataSourceService, BackTestService, \
+    PortfolioConfigurationService, MarketDataSourceService, BacktestService, \
     ConfigurationService, PortfolioSnapshotService, PositionSnapshotService, \
-    MarketCredentialService
+    MarketCredentialService, TradeService, BacktestReportWriterService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -88,6 +88,13 @@ class DependencyContainer(containers.DeclarativeContainer):
         portfolio_configuration_service=portfolio_configuration_service,
         portfolio_snapshot_service=portfolio_snapshot_service,
     )
+    trade_service = providers.Factory(
+        TradeService,
+        portfolio_service=portfolio_service,
+        order_service=order_service,
+        market_data_source_service=market_data_source_service,
+        position_service=position_service,
+    )
     strategy_orchestrator_service = providers.Factory(
         StrategyOrchestratorService,
         market_data_source_service=market_data_source_service
@@ -99,13 +106,16 @@ class DependencyContainer(containers.DeclarativeContainer):
         portfolio_repository=portfolio_repository
     )
     backtest_service = providers.Factory(
-        BackTestService,
+        BacktestService,
         order_service=order_service,
         portfolio_repository=portfolio_repository,
         performance_service=performance_service,
         position_repository=position_repository,
         market_data_source_service=market_data_source_service,
     )
+    backtest_report_writer_service = providers.Factory(
+        BacktestReportWriterService,
+    )
     algorithm = providers.Factory(
         Algorithm,
         configuration_service=configuration_service,
@@ -117,4 +127,5 @@ class DependencyContainer(containers.DeclarativeContainer):
         market_credential_service=market_credential_service,
         market_data_source_service=market_data_source_service,
         market_service=market_service,
+        trade_service=trade_service,
     )

{investing_algorithm_framework-2.4.0 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/domain/__init__.py

@@ -2,7 +2,7 @@ from .config import Config, Environment
 from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
     TimeUnit, TimeFrame, TradingTimeFrame, TradingDataType, \
     PortfolioConfiguration, Portfolio, Position, Order, \
-    OrderFee, BacktestProfile, PortfolioSnapshot, StrategyProfile, \
+    OrderFee, BacktestReport, PortfolioSnapshot, StrategyProfile, \
     BacktestPosition, Trade, MarketCredential, PositionSnapshot
 from .exceptions import OperationalException, ApiException, \
     PermissionDeniedApiException, ImproperlyConfigured
@@ -70,7 +70,7 @@ __all__ = [
     "OrderFee",
     "parse_decimal_to_string",
     "parse_string_to_decimal",
-    "BacktestProfile",
+    "BacktestReport",
     "pretty_print_backtest",
     "DATETIME_FORMAT_BACKTESTING",
     "BACKTESTING_FLAG",

{investing_algorithm_framework-2.4.0 → investing_algorithm_framework-2.5.0}/investing_algorithm_framework/domain/models/__init__.py

@@ -7,7 +7,7 @@ from .trading_data_types import TradingDataType
 from .trading_time_frame import TradingTimeFrame
 from .portfolio import PortfolioConfiguration, Portfolio, PortfolioSnapshot
 from .position import Position, PositionSnapshot
-from .backtest_profile import BacktestProfile, BacktestPosition
+from .backtesting import BacktestReport, BacktestPosition
 from .strategy_profile import StrategyProfile
 from .trade import Trade
 
@@ -25,7 +25,7 @@ __all__ = [
     "Position",
     "Portfolio",
     "OrderFee",
-    "BacktestProfile",
+    "BacktestReport",
     "PositionSnapshot",
     "PortfolioSnapshot",
     "StrategyProfile",

investing_algorithm_framework-2.5.0/investing_algorithm_framework/domain/models/backtesting/__init__.py

@@ -0,0 +1,6 @@
+from .backtest_report import BacktestReport, BacktestPosition
+
+__all__ = [
+    "BacktestReport",
+    "BacktestPosition"
+]

investing_algorithm_framework-2.4.0/investing_algorithm_framework/domain/models/backtest_profile.py → investing_algorithm_framework-2.5.0/investing_algorithm_framework/domain/models/backtesting/backtest_report.py

@@ -1,5 +1,6 @@
-from .base_model import BaseModel
-from .time_unit import TimeUnit
+from datetime import datetime
+from investing_algorithm_framework.domain.models.base_model import BaseModel
+from investing_algorithm_framework.domain.models.time_unit import TimeUnit
 
 
 class BacktestPosition(BaseModel):
@@ -97,10 +98,11 @@ class BacktestPosition(BaseModel):
         return self.value / self._total_value_portfolio * 100
 
 
-class BacktestProfile(BaseModel):
+class BacktestReport(BaseModel):
 
     def __init__(
         self,
+        identifier=None,
         portfolio_id=None,
         initial_unallocated=0.0,
         interval=None,
@@ -132,8 +134,10 @@ class BacktestProfile(BaseModel):
         positions=None,
         average_trade_duration=0,
         average_trade_size=0.0,
-        trades=None
+        trades=None,
+        created_at: datetime = None
     ):
+        self._identifier = identifier
         self._portfolio_id = portfolio_id
         self._interval = interval
         self._time_unit = time_unit
@@ -169,6 +173,15 @@ class BacktestProfile(BaseModel):
         self._average_trade_duration = average_trade_duration
         self._average_trade_size = average_trade_size
         self._trades = trades
+        self._created_at: datetime = created_at
+
+    @property
+    def identifier(self):
+        return self._identifier
+
+    @property
+    def created_at(self):
+        return self._created_at
 
     @property
     def portfolio_id(self):
@@ -454,3 +467,39 @@ class BacktestProfile(BaseModel):
             time_unit=self.time_unit,
             interval=self.interval
         )
+
+    def to_dict(self):
+        return {
+            "portfolio_id": self.portfolio_id,
+            "interval": self.interval,
+            "time_unit": self.time_unit,
+            "backtest_start_date_data": self.backtest_start_date_data,
+            "backtest_start_date": self.backtest_start_date,
+            "backtest_end_date": self.backtest_end_date,
+            "backtest_index_date": self.backtest_index_date,
+            "number_of_runs": self.number_of_runs,
+            "trading_time_frame": self.trading_time_frame,
+            "trading_time_frame_start_date":
+                self.trading_time_frame_start_date,
+            "symbols": self.symbols,
+            "market": self.market,
+            "number_of_days": self.number_of_days,
+            "number_of_orders": self.number_of_orders,
+            "number_of_positions": self.number_of_positions,
+            "market_data_file": self.market_data_file,
+            "percentage_positive_trades": self.percentage_positive_trades,
+            "percentage_negative_trades": self.percentage_negative_trades,
+            "number_of_trades_closed": self.number_of_trades_closed,
+            "number_of_trades_open": self.number_of_trades_open,
+            "total_cost": self.total_cost,
+            "growth_rate": self.growth_rate,
+            "growth": self.growth,
+            "initial_unallocated": self.initial_unallocated,
+            "trading_symbol": self.trading_symbol,
+            "total_net_gain_percentage": self.total_net_gain_percentage,
+            "total_net_gain": self.total_net_gain,
+            "backtest_data_index_date": self.backtest_data_index_date,
+            "total_value": self.total_value,
+            "average_trade_duration": self.average_trade_duration,
+            "average_trade_size": self.average_trade_size,
+        }