investing-algorithm-framework 3.2.0__tar.gz → 3.3.1__tar.gz

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 3.2.0
+Version: 3.3.1
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.8.1,<4.0.0
@@ -174,20 +174,20 @@ you will get the following backtesting report:
 ====================Portfolio overview============================
 * Number of orders: 10
 * Initial balance: 400.0000 EUR
-* Final balance: 426.7818 EUR
-* Total net gain: 23.4238 EUR
-* Total net gain percentage: 5.8560%
-* Growth rate: 6.6955%
-* Growth 26.7818 EUR
+* Final balance: 431.8837 EUR
+* Total net gain: 28.4171 EUR
+* Total net gain percentage: 7.1043%
+* Growth rate: 7.9709%
+* Growth 31.8837 EUR
 ====================Positions overview========================
 ╭────────────┬──────────┬──────────────────────┬───────────────────────┬──────────────┬───────────────┬───────────────────────────┬────────────────┬───────────────╮
 │ Position   │   Amount │   Pending buy amount │   Pending sell amount │   Cost (EUR) │   Value (EUR) │ Percentage of portfolio   │   Growth (EUR) │ Growth_rate   │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ EUR        │ 213.928  │                    0 │                     0 │      213.928 │       213.928 │ 50.1259%                  │         0      │ 0.0000%       │
+│ EUR        │ 214.219  │                    0 │                     0 │      214.219 │       214.219 │ 49.6010%                  │         0      │ 0.0000%       │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ BTC        │   0.003  │                    0 │                     0 │      103.64  │       106.84  │ 25.0338%                  │         3.1999 │ 3.0875%       │
+│ BTC        │   0.0031 │                    0 │                     0 │      107.095 │       110.401 │ 25.5627%                  │         3.3066 │ 3.0875%       │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ DOT        │  21.0805 │                    0 │                     0 │      105.856 │       106.014 │ 24.8403%                  │         0.1581 │ 0.1494%       │
+│ DOT        │  21.3291 │                    0 │                     0 │      107.104 │       107.264 │ 24.8363%                  │         0.16   │ 0.1494%       │
 ╰────────────┴──────────┴──────────────────────┴───────────────────────┴──────────────┴───────────────┴───────────────────────────┴────────────────┴───────────────╯
 ====================Trades overview===========================
 * Number of trades closed: 4
@@ -195,21 +195,21 @@ you will get the following backtesting report:
 * Percentage of positive trades: 60.0%
 * Percentage of negative trades: 20.0%
 * Average trade size: 98.8728 EUR
-* Average trade duration: 191.0 hours
+* Average trade duration: 183.5 hours
 ╭─────────┬─────────────────────┬─────────────────────┬────────────────────┬──────────────┬──────────────────┬───────────────────────┬────────────────────┬─────────────────────╮
 │ Pair    │ Open date           │ Close date          │   Duration (hours) │   Size (EUR) │   Net gain (EUR) │ Net gain percentage   │   Open price (EUR) │   Close price (EUR) │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ DOT-EUR │ 2023-11-30 20:00:00 │                     │            2802.99 │     105.856  │           0      │ 0.0000%               │             5.0215 │                     │
+│ DOT-EUR │ 2023-11-30 20:00:00 │                     │            2976.65 │     107.104  │           0      │ 0.0000%               │             5.0215 │                     │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-29 14:00:00 │                     │            2832.99 │     103.64   │           0      │ 0.0000%               │         34546.6    │                     │
+│ BTC-EUR │ 2023-11-29 14:00:00 │                     │            3006.65 │     107.095  │           0      │ 0.0000%               │         34546.6    │                     │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-08 00:00:00 │ 2023-11-14 16:00:00 │             160    │      99.2265 │           1.3352 │ 1.3456%               │         33075.5    │           33520.6   │
+│ BTC-EUR │ 2023-11-08 00:00:00 │ 2023-11-14 16:00:00 │             160    │      99.2265 │           1.3352 │ 1.3456%               │         33075.5    │          33520.6    │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-06 16:00:00 │ 2023-11-06 20:00:00 │               4    │      97.8607 │          -0.0026 │ -0.0026%              │         32620.2    │           32619.4   │
+│ BTC-EUR │ 2023-11-06 16:00:00 │ 2023-11-06 20:00:00 │               4    │      97.8607 │          -0.0026 │ -0.0026%              │         32620.2    │          32619.4    │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ DOT-EUR │ 2023-10-30 06:00:00 │ 2023-11-15 06:00:00 │             384    │     100.551  │          19.8861 │ 19.7771%              │             4.0375 │               4.836 │
+│ DOT-EUR │ 2023-10-30 06:00:00 │ 2023-11-14 00:00:00 │             354    │     100.551  │          24.8794 │ 24.7430%              │             4.0375 │              5.0365 │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-09-13 16:00:00 │ 2023-09-22 16:00:00 │             216    │      97.8529 │           2.2051 │ 2.2534%               │         24463.2    │           25014.5   │
+│ BTC-EUR │ 2023-09-13 16:00:00 │ 2023-09-22 16:00:00 │             216    │      97.8529 │           2.2051 │ 2.2534%               │         24463.2    │          25014.5    │
 ╰─────────┴─────────────────────┴─────────────────────┴────────────────────┴──────────────┴──────────────────┴───────────────────────┴────────────────────┴─────────────────────╯
 ==================================================================
 ```

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/README.md

@@ -147,20 +147,20 @@ you will get the following backtesting report:
 ====================Portfolio overview============================
 * Number of orders: 10
 * Initial balance: 400.0000 EUR
-* Final balance: 426.7818 EUR
-* Total net gain: 23.4238 EUR
-* Total net gain percentage: 5.8560%
-* Growth rate: 6.6955%
-* Growth 26.7818 EUR
+* Final balance: 431.8837 EUR
+* Total net gain: 28.4171 EUR
+* Total net gain percentage: 7.1043%
+* Growth rate: 7.9709%
+* Growth 31.8837 EUR
 ====================Positions overview========================
 ╭────────────┬──────────┬──────────────────────┬───────────────────────┬──────────────┬───────────────┬───────────────────────────┬────────────────┬───────────────╮
 │ Position   │   Amount │   Pending buy amount │   Pending sell amount │   Cost (EUR) │   Value (EUR) │ Percentage of portfolio   │   Growth (EUR) │ Growth_rate   │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ EUR        │ 213.928  │                    0 │                     0 │      213.928 │       213.928 │ 50.1259%                  │         0      │ 0.0000%       │
+│ EUR        │ 214.219  │                    0 │                     0 │      214.219 │       214.219 │ 49.6010%                  │         0      │ 0.0000%       │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ BTC        │   0.003  │                    0 │                     0 │      103.64  │       106.84  │ 25.0338%                  │         3.1999 │ 3.0875%       │
+│ BTC        │   0.0031 │                    0 │                     0 │      107.095 │       110.401 │ 25.5627%                  │         3.3066 │ 3.0875%       │
 ├────────────┼──────────┼──────────────────────┼───────────────────────┼──────────────┼───────────────┼───────────────────────────┼────────────────┼───────────────┤
-│ DOT        │  21.0805 │                    0 │                     0 │      105.856 │       106.014 │ 24.8403%                  │         0.1581 │ 0.1494%       │
+│ DOT        │  21.3291 │                    0 │                     0 │      107.104 │       107.264 │ 24.8363%                  │         0.16   │ 0.1494%       │
 ╰────────────┴──────────┴──────────────────────┴───────────────────────┴──────────────┴───────────────┴───────────────────────────┴────────────────┴───────────────╯
 ====================Trades overview===========================
 * Number of trades closed: 4
@@ -168,21 +168,21 @@ you will get the following backtesting report:
 * Percentage of positive trades: 60.0%
 * Percentage of negative trades: 20.0%
 * Average trade size: 98.8728 EUR
-* Average trade duration: 191.0 hours
+* Average trade duration: 183.5 hours
 ╭─────────┬─────────────────────┬─────────────────────┬────────────────────┬──────────────┬──────────────────┬───────────────────────┬────────────────────┬─────────────────────╮
 │ Pair    │ Open date           │ Close date          │   Duration (hours) │   Size (EUR) │   Net gain (EUR) │ Net gain percentage   │   Open price (EUR) │   Close price (EUR) │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ DOT-EUR │ 2023-11-30 20:00:00 │                     │            2802.99 │     105.856  │           0      │ 0.0000%               │             5.0215 │                     │
+│ DOT-EUR │ 2023-11-30 20:00:00 │                     │            2976.65 │     107.104  │           0      │ 0.0000%               │             5.0215 │                     │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-29 14:00:00 │                     │            2832.99 │     103.64   │           0      │ 0.0000%               │         34546.6    │                     │
+│ BTC-EUR │ 2023-11-29 14:00:00 │                     │            3006.65 │     107.095  │           0      │ 0.0000%               │         34546.6    │                     │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-08 00:00:00 │ 2023-11-14 16:00:00 │             160    │      99.2265 │           1.3352 │ 1.3456%               │         33075.5    │           33520.6   │
+│ BTC-EUR │ 2023-11-08 00:00:00 │ 2023-11-14 16:00:00 │             160    │      99.2265 │           1.3352 │ 1.3456%               │         33075.5    │          33520.6    │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-11-06 16:00:00 │ 2023-11-06 20:00:00 │               4    │      97.8607 │          -0.0026 │ -0.0026%              │         32620.2    │           32619.4   │
+│ BTC-EUR │ 2023-11-06 16:00:00 │ 2023-11-06 20:00:00 │               4    │      97.8607 │          -0.0026 │ -0.0026%              │         32620.2    │          32619.4    │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ DOT-EUR │ 2023-10-30 06:00:00 │ 2023-11-15 06:00:00 │             384    │     100.551  │          19.8861 │ 19.7771%              │             4.0375 │               4.836 │
+│ DOT-EUR │ 2023-10-30 06:00:00 │ 2023-11-14 00:00:00 │             354    │     100.551  │          24.8794 │ 24.7430%              │             4.0375 │              5.0365 │
 ├─────────┼─────────────────────┼─────────────────────┼────────────────────┼──────────────┼──────────────────┼───────────────────────┼────────────────────┼─────────────────────┤
-│ BTC-EUR │ 2023-09-13 16:00:00 │ 2023-09-22 16:00:00 │             216    │      97.8529 │           2.2051 │ 2.2534%               │         24463.2    │           25014.5   │
+│ BTC-EUR │ 2023-09-13 16:00:00 │ 2023-09-22 16:00:00 │             216    │      97.8529 │           2.2051 │ 2.2534%               │         24463.2    │          25014.5    │
 ╰─────────┴─────────────────────┴─────────────────────┴────────────────────┴──────────────┴──────────────────┴───────────────────────┴────────────────────┴─────────────────────╯
 ==================================================================
 ```

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/app/app.py

@@ -278,7 +278,13 @@ class App:
             backtest_market_data_sources = [
                 market_data_source.to_backtest_market_data_source()
                 for market_data_source in market_data_sources
+                if market_data_source is not None
             ]
+
+            for market_data_source in backtest_market_data_sources:
+                if market_data_source is not None:
+                    market_data_source.config = self.config
+
             self.container.market_data_source_service.override(
                 BacktestMarketDataSourceService(
                     market_data_sources=backtest_market_data_sources,
@@ -787,6 +793,7 @@ class App:
         return reports
 
     def add_market_data_source(self, market_data_source):
+        market_data_source.config = self.config
         self._market_data_source_service.add(market_data_source)
 
     def add_market_credential(self, market_credential: MarketCredential):

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/dependency_container.py

@@ -68,6 +68,7 @@ class DependencyContainer(containers.DeclarativeContainer):
     )
     order_service = providers.Factory(
         OrderService,
+        configuration_service=configuration_service,
         order_repository=order_repository,
         order_fee_repository=order_fee_repository,
         portfolio_repository=portfolio_repository,
@@ -125,6 +126,7 @@ class DependencyContainer(containers.DeclarativeContainer):
     )
     backtest_service = providers.Factory(
         BacktestService,
+        configuration_service=configuration_service,
         order_service=order_service,
         portfolio_repository=portfolio_repository,
         performance_service=performance_service,

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/domain/config.py

@@ -77,6 +77,7 @@ class Config(dict):
     SQLITE_INITIALIZED = False
     BACKTEST_DATA_DIRECTORY_NAME = "backtest_data"
     SYMBOLS = None
+    DATETIME_FORMAT = "%Y-%m-%d %H:%M:%S"
 
     def __init__(self, resource_directory=None):
         super().__init__()

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/domain/models/order/order.py

@@ -1,7 +1,6 @@
 import logging
 
 from dateutil.parser import parse
-from dateutil.tz import gettz
 
 from investing_algorithm_framework.domain.exceptions import \
     OperationalException
@@ -308,10 +307,7 @@ class Order(BaseModel):
             remaining=ccxt_order.get("remaining", None),
             cost=ccxt_order.get("cost", None),
             fee=OrderFee.from_ccxt_fee(ccxt_order.get("fee", None)),
-            created_at=parse(
-                ccxt_order.get("datetime", None),
-                tzinfos={"UTC": gettz("UTC")}
-            )
+            created_at=parse(ccxt_order.get("datetime", None))
         )
 
     def __repr__(self):

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/domain/models/trade/trade.py

@@ -1,5 +1,11 @@
+from typing import List
+from polars import DataFrame
+import polars as pl
 from datetime import datetime
 from investing_algorithm_framework.domain.models.base_model import BaseModel
+from investing_algorithm_framework.domain.exceptions import \
+    OperationalException
+from investing_algorithm_framework.domain.constants import DATETIME_FORMAT
 
 
 class Trade(BaseModel):
@@ -164,22 +170,51 @@ class Trade(BaseModel):
         return self.absolute_change
 
     def is_manual_stop_loss_trigger(
-        self, current_price, prices, stop_loss_percentage
+        self,
+        current_price,
+        stop_loss_percentage,
+        prices: List[float] = None,
+        ohlcv_df: DataFrame = None
     ):
-        # Stop loss is triggered when the current price is lower than the
-        # calculated stop loss price. The stop loss price is calculated by
-        # taking the highest price of the given range. If the highest price
-        # is lower than the open price, the stop loss price is calculated by
-        # taking the open price and subtracting the stop loss percentage.
-        # If the highest price is higher than the open price, the stop loss
-        # price is calculated by taking the open price and adding the stop
-        # loss percentage.
+        """
+        Function to check if the stop loss is triggered for a given trade.
+
+        You can use either the prices list or the ohlcv_df DataFrame to
+        calculate the stop loss. The dataframe needs to be a Polars
+        DataFrame with the following columns: "Datetime" and "Close".
+
+        You can use the default CCXTOHLCVMarketDataSource to get the ohlcv_df
+        DataFrame.
+
+        Stop loss is triggered when the current price is lower than the
+        calculated stop loss price. The stop loss price is calculated by
+        taking the highest price of the given range. If the highest price
+        is lower than the open price, the stop loss price is calculated by
+        taking the open price and subtracting the stop loss percentage.
+        If the highest price is higher than the open price, the stop loss
+        price is calculated by taking the open price and adding the stop
+        loss percentage.
+        """
+
+        if prices is None and ohlcv_df is None:
+            raise OperationalException(
+                "Either prices or a polars ohlcv dataframe must be provided"
+            )
 
         if current_price < self.open_price:
             stop_loss_price = self.open_price * \
                               (1 - stop_loss_percentage / 100)
             return current_price <= stop_loss_price
         else:
+            # If dataframes are provided, we use the dataframe to calculate
+            # the stop loss price
+            if ohlcv_df is not None:
+                filtered_df = ohlcv_df.filter(
+                    pl.col('Datetime') >= self.opened_at.strftime(
+                        DATETIME_FORMAT
+                    )
+                )
+                prices = filtered_df['Close'].to_numpy()
             highest_price = max(prices)
             stop_loss_price = highest_price * (1 - stop_loss_percentage / 100)
             return current_price <= stop_loss_price

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/domain/services/market_data_sources.py

@@ -34,6 +34,14 @@ class BacktestMarketDataSource(ABC):
         self._backtest_data_start_date = backtest_data_start_date
         self._backtest_data_index_date = backtest_data_index_date
 
+    @property
+    def config(self):
+        return self._config
+
+    @config.setter
+    def config(self, value):
+        self._config = value
+
     def _data_source_exists(self, file_path):
         """
         Function to check if the data source exists.
@@ -60,9 +68,7 @@ class BacktestMarketDataSource(ABC):
                 return False
 
             return True
-        except Exception as e:
-            logger.error(f"Error reading {file_path}")
-            logger.error(e)
+        except Exception:
             return False
 
     def write_data_to_file_path(self, data_file, data):
@@ -151,10 +157,10 @@ class BacktestMarketDataSource(ABC):
 class MarketDataSource(ABC):
 
     def __init__(
-            self,
-            identifier,
-            market,
-            symbol,
+        self,
+        identifier,
+        market,
+        symbol,
     ):
         self._identifier = identifier
         self._market = market
@@ -168,6 +174,14 @@ class MarketDataSource(ABC):
     def identifier(self):
         return self._identifier
 
+    @property
+    def config(self):
+        return self._config
+
+    @config.setter
+    def config(self, value):
+        self._config = value
+
     def get_identifier(self):
         return self.identifier
 

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -3,6 +3,7 @@ import os
 from datetime import timedelta
 
 import polars
+from dateutil import parser
 
 from investing_algorithm_framework.domain import RESOURCE_DIRECTORY, \
     BACKTEST_DATA_DIRECTORY_NAME, DATETIME_FORMAT_BACKTESTING, \
@@ -59,7 +60,7 @@ class CCXTOHLCVBacktestMarketDataSource(
             start_date_func=start_date_func,
             end_date=end_date,
             end_date_func=end_date_func,
-            window_size=window_size
+            window_size=window_size,
         )
 
     def prepare_data(
@@ -80,7 +81,6 @@ class CCXTOHLCVBacktestMarketDataSource(
         When downloading the data it will use the ccxt library.
         """
         # Calculating the backtest data start date
-
         difference = self.end_date - self.start_date
         total_minutes = 0
 
@@ -127,7 +127,10 @@ class CCXTOHLCVBacktestMarketDataSource(
                     )
 
             # Get the OHLCV data from the ccxt market service
-            market_service = CCXTMarketService(self.market_credential_service)
+            market_service = CCXTMarketService(
+                market_credential_service=self.market_credential_service,
+            )
+            market_service.config = config
             ohlcv = market_service.get_ohlcv(
                 symbol=self.symbol,
                 time_frame=self.timeframe,
@@ -171,6 +174,7 @@ class CCXTOHLCVBacktestMarketDataSource(
         from_timestamp = backtest_index_date - timedelta(
             minutes=self.total_minutes_timeframe
         )
+        datetime_format = self._config["DATETIME_FORMAT"]
         self.backtest_data_index_date = backtest_index_date\
             .replace(microsecond=0)
         from_timestamp = from_timestamp.replace(microsecond=0)
@@ -193,8 +197,8 @@ class CCXTOHLCVBacktestMarketDataSource(
             file_path, columns=self.column_names, separator=","
         )
         df = df.filter(
-            (df['Datetime'] >= from_timestamp.strftime(DATETIME_FORMAT))
-            & (df['Datetime'] <= to_timestamp.strftime(DATETIME_FORMAT))
+            (df['Datetime'] >= from_timestamp.strftime(datetime_format))
+            & (df['Datetime'] <= to_timestamp.strftime(datetime_format))
         )
         return df
 
@@ -209,6 +213,9 @@ class CCXTOHLCVBacktestMarketDataSource(
     def file_name(self):
         return self._create_file_path().split("/")[-1]
 
+    def write_data_to_file_path(self, data_file, data: polars.DataFrame):
+        data.write_csv(data_file)
+
 
 class CCXTTickerBacktestMarketDataSource(
     TickerMarketDataSource, BacktestMarketDataSource
@@ -304,7 +311,10 @@ class CCXTTickerBacktestMarketDataSource(
                     )
 
             # Get the OHLCV data from the ccxt market service
-            market_service = CCXTMarketService(self.market_credential_service)
+            market_service = CCXTMarketService(
+                market_credential_service=self.market_credential_service
+            )
+            market_service.config = config
             ohlcv = market_service.get_ohlcv(
                 symbol=self.symbol,
                 time_frame=self.timeframe,
@@ -363,13 +373,12 @@ class CCXTTickerBacktestMarketDataSource(
         # Filter the data based on the backtest index date and the end date
         df = polars.read_csv(file_path)
         df = df.filter(
-            (df['Datetime'] >= backtest_index_date
-             .strftime(DATETIME_FORMAT))
+            (df['Datetime'] >= backtest_index_date.strftime(DATETIME_FORMAT))
         )
-
         first_row = df.head(1)[0]
+        first_row_datetime = parser.parse(first_row["Datetime"][0])
 
-        if first_row["Datetime"][0] > end_date.strftime(DATETIME_FORMAT):
+        if first_row_datetime > end_date:
             logger.warning(
                 f"No ticker data available for the given backtest "
                 f"index date {backtest_index_date} and symbol {self.symbol} "
@@ -386,12 +395,17 @@ class CCXTTickerBacktestMarketDataSource(
             "datetime": first_row["Datetime"][0],
         }
 
+    def write_data_to_file_path(self, data_file, data: polars.DataFrame):
+        data.write_csv(data_file)
+
 
 class CCXTOHLCVMarketDataSource(OHLCVMarketDataSource):
 
     def get_data(self, **kwargs):
-        market_service = CCXTMarketService(self.market_credential_service)
-
+        market_service = CCXTMarketService(
+            market_credential_service=self.market_credential_service,
+        )
+        market_service.config = self.config
         if self.start_date is None:
             raise OperationalException(
                 "Either start_date or start_date_func should be set "
@@ -422,7 +436,10 @@ class CCXTOHLCVMarketDataSource(OHLCVMarketDataSource):
 class CCXTOrderBookMarketDataSource(OrderBookMarketDataSource):
 
     def get_data(self, **kwargs):
-        market_service = CCXTMarketService(self.market_credential_service)
+        market_service = CCXTMarketService(
+            market_credential_service=self.market_credential_service
+        )
+        market_service.config = self.config
         return market_service.get_order_book(
             symbol=self.symbol, market=self.market
         )
@@ -438,7 +455,8 @@ class CCXTTickerMarketDataSource(TickerMarketDataSource):
         identifier,
         market,
         symbol=None,
-        backtest_timeframe=None
+        backtest_timeframe=None,
+
     ):
         super().__init__(
             identifier=identifier,
@@ -448,7 +466,10 @@ class CCXTTickerMarketDataSource(TickerMarketDataSource):
         self._backtest_timeframe = backtest_timeframe
 
     def get_data(self, **kwargs):
-        market_service = CCXTMarketService(self.market_credential_service)
+        market_service = CCXTMarketService(
+            market_credential_service=self.market_credential_service
+        )
+        market_service.config = self.config
 
         if self.market is None:
 

{investing_algorithm_framework-3.2.0 → investing_algorithm_framework-3.3.1}/investing_algorithm_framework/infrastructure/models/market_data_sources/csv.py

@@ -1,10 +1,14 @@
 from datetime import datetime
+import polars
+import logging
 
-import pandas as pd
 from dateutil.parser import parse
 
 from investing_algorithm_framework.domain import OHLCVMarketDataSource, \
-    BacktestMarketDataSource, OperationalException, TickerMarketDataSource
+    BacktestMarketDataSource, OperationalException, TickerMarketDataSource, \
+    DATETIME_FORMAT
+
+logger = logging.getLogger(__name__)
 
 
 class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
@@ -44,8 +48,9 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
         self._columns = [
             "Datetime", "Open", "High", "Low", "Close", "Volume"
         ]
-        df = pd.read_csv(self._csv_file_path)
+        df = polars.read_csv(csv_file_path)
 
+        # Check if all column names are in the csv file
         if not all(column in df.columns for column in self._columns):
             # Identify missing columns
             missing_columns = [column for column in self._columns if
@@ -56,10 +61,10 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
                 f"Missing columns: {missing_columns}"
             )
 
-        first_row = df.iloc[0]
-        last_row = df.iloc[-1]
-        self._start_date = parse(first_row[0])
-        self._end_date = parse(last_row[0])
+        first_row = df.head(1)
+        last_row = df.tail(1)
+        self._start_date = parse(first_row["Datetime"][0])
+        self._end_date = parse(last_row["Datetime"][0])
 
     @property
     def csv_file_path(self):
@@ -67,40 +72,25 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
 
     def get_data(
         self,
-        from_time_stamp=None,
-        to_time_stamp=None,
+        from_timestamp=None,
+        to_timestamp=None,
         **kwargs
     ):
 
-        if from_time_stamp is None:
-            from_time_stamp = self.start_date
-
-        if to_time_stamp is None:
-            to_time_stamp = self.end_date
-
-        df = pd.read_csv(self._csv_file_path)
-
-        # Convert the 'Datetime' column to datetime type if
-        # it's not already
-        if 'Datetime' in df.columns and pd.api.types.is_string_dtype(
-                df['Datetime']):
-            df['Datetime'] = pd.to_datetime(df['Datetime'], utc=True)
-
-        # Filter rows based on the start and end dates
-        filtered_df = df[
-            (df['Datetime'] >= from_time_stamp)
-            & (df['Datetime'] <= to_time_stamp)
-        ]
-
-        # Specify the columns you want in the inner lists
-        selected_columns = ["Datetime", "Open", "High", "Low", "Close",
-                            "Volume"]
+        if from_timestamp is None:
+            from_timestamp = self.start_date
 
-        # Convert DataFrame to a list of lists with selected columns
-        filtered_list_of_lists = \
-            self.dataframe_to_list_of_lists(filtered_df, selected_columns)
+        if to_timestamp is None:
+            to_timestamp = self.end_date
 
-        return filtered_list_of_lists
+        df = polars.read_csv(
+            self.csv_file_path, columns=self._columns, separator=","
+        )
+        df = df.filter(
+            (df['Datetime'] >= from_timestamp.strftime(DATETIME_FORMAT))
+            & (df['Datetime'] <= to_timestamp.strftime(DATETIME_FORMAT))
+        )
+        return df
 
     def dataframe_to_list_of_lists(self, dataframe, columns):
         # Extract selected columns from DataFrame and convert
@@ -130,7 +120,7 @@ class CSVTickerMarketDataSource(TickerMarketDataSource):
         self._columns = [
             "Datetime", "Open", "High", "Low", "Close", "Volume"
         ]
-        df = pd.read_csv(self._csv_file_path)
+        df = polars.read_csv(self._csv_file_path)
 
         if not all(column in df.columns for column in self._columns):
             # Identify missing columns
@@ -151,27 +141,30 @@ class CSVTickerMarketDataSource(TickerMarketDataSource):
         if index_datetime is None:
             index_datetime = datetime.utcnow()
 
-        index_datetime = pd.to_datetime(index_datetime, utc=True)
-        df = pd.read_csv(self._csv_file_path)
-
-        # Convert the 'Datetime' column to datetime type if
-        # it's not already
-        if 'Datetime' in df.columns and pd.api.types.is_string_dtype(
-                df['Datetime']):
-            df['Datetime'] = pd.to_datetime(df['Datetime'], utc=True)
+        # Filter the data based on the backtest index date and the end date
+        df = polars.read_csv(self._csv_file_path)
+        df = df.filter(
+            (df['Datetime'] >= index_datetime
+             .strftime(DATETIME_FORMAT))
+        )
 
-        # Filter rows based on the start and end dates
-        filtered_df = df[(df['Datetime'] <= index_datetime)]
+        # Check if the dataframe is empty
+        if df.shape[0] == 0:
+            raise OperationalException(
+                f"No ticker data found for {self.symbol} "
+                f"at {index_datetime}"
+            )
 
-        if len(filtered_df) == 0:
-            return None
+        first_row = df.head(1)[0]
 
-        last_row = filtered_df.iloc[-1]
+        # Calculate the bid and ask price based on the high and low price
         return {
             "symbol": self.symbol,
-            "bid": (float(last_row[3]) + float(last_row[2])) / 2,
-            "ask": (float(last_row[3]) + float(last_row[2])) / 2,
-            "datetime": last_row[0],
+            "bid": float((first_row["Low"][0])
+                         + float(first_row["High"][0])) / 2,
+            "ask": float((first_row["Low"][0])
+                         + float(first_row["High"][0])) / 2,
+            "datetime": first_row["Datetime"][0],
         }
 
     def dataframe_to_list_of_lists(self, dataframe, columns):