investing-algorithm-framework 3.3.0__tar.gz → 3.4.0__tar.gz

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 3.3.0
+Version: 3.4.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.8.1,<4.0.0

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/app/algorithm.py

@@ -1,12 +1,11 @@
-import decimal
+import inspect
 import logging
 from typing import List
-import inspect
 
 from investing_algorithm_framework.domain import OrderStatus, OrderFee, \
     Position, Order, Portfolio, OrderType, OrderSide, \
     BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, MarketService, TimeUnit, \
-    OperationalException, random_string
+    OperationalException, random_string, RoundingService
 from investing_algorithm_framework.services import MarketCredentialService, \
     MarketDataSourceService, PortfolioService, PositionService, TradeService, \
     OrderService, ConfigurationService, StrategyOrchestratorService, \
@@ -218,7 +217,7 @@ class Algorithm:
             amount = position.get_amount() * (percentage_of_position / 100)
 
         if precision is not None:
-            amount = self.round_down(amount, precision)
+            amount = RoundingService.round_down(amount, precision)
 
         order_data = {
             "target_symbol": target_symbol,
@@ -594,7 +593,9 @@ class Algorithm:
         net_size = portfolio.get_net_size()
         return (position.cost / net_size) * 100
 
-    def close_position(self, symbol, market=None, identifier=None):
+    def close_position(
+        self, symbol, market=None, identifier=None, precision=None
+    ):
         portfolio = self.portfolio_service.find(
             {"market": market, "identifier": identifier}
         )
@@ -623,6 +624,7 @@ class Algorithm:
             amount=position.get_amount(),
             order_side=OrderSide.SELL.value,
             price=ticker["bid"],
+            precision=precision,
         )
 
     def add_strategies(self, strategies):
@@ -886,28 +888,13 @@ class Algorithm:
     def get_closed_trades(self):
         return self.trade_service.get_closed_trades()
 
-    def round_down(self, value, amount_of_decimals):
-
-        if self.count_decimals(value) <= amount_of_decimals:
-            return value
-
-        with decimal.localcontext() as ctx:
-            d = decimal.Decimal(value)
-            ctx.rounding = decimal.ROUND_DOWN
-            return float(round(d, amount_of_decimals))
-
-    def count_decimals(self, number):
-        decimal_str = str(number)
-        if '.' in decimal_str:
-            return len(decimal_str.split('.')[1])
-        else:
-            return 0
-
     def get_open_trades(self, target_symbol=None, market=None):
         return self.trade_service.get_open_trades(target_symbol, market)
 
-    def close_trade(self, trade, market=None):
-        self.trade_service.close_trade(trade, market)
+    def close_trade(self, trade, market=None, precision=None) -> None:
+        self.trade_service.close_trade(
+            trade=trade, market=market, precision=precision
+        )
 
     def get_number_of_positions(self):
         """

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/domain/__init__.py

@@ -26,7 +26,8 @@ from .stateless_actions import StatelessActions
 from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
 from .services import TickerMarketDataSource, OrderBookMarketDataSource, \
     OHLCVMarketDataSource, BacktestMarketDataSource, MarketDataSource, \
-    MarketService, MarketCredentialService, AbstractPortfolioSyncService
+    MarketService, MarketCredentialService, AbstractPortfolioSyncService, \
+    RoundingService
 from .data_structures import PeekableQueue
 
 __all__ = [
@@ -109,5 +110,6 @@ __all__ = [
     "RESERVED_BALANCES",
     "AbstractPortfolioSyncService",
     "APP_MODE",
-    "AppMode"
+    "AppMode",
+    "RoundingService",
 ]

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/domain/services/__init__.py

@@ -3,6 +3,7 @@ from .market_data_sources import MarketDataSource, TickerMarketDataSource, \
 from .market_service import MarketService
 from .market_credential_service import MarketCredentialService
 from .portfolios import AbstractPortfolioSyncService
+from .rounding_service import RoundingService
 
 __all__ = [
     "MarketDataSource",
@@ -12,5 +13,6 @@ __all__ = [
     "BacktestMarketDataSource",
     "MarketService",
     "MarketCredentialService",
-    "AbstractPortfolioSyncService"
+    "AbstractPortfolioSyncService",
+    "RoundingService",
 ]

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.4.0/investing_algorithm_framework/domain/services/rounding_service.py

@@ -0,0 +1,27 @@
+import decimal
+
+
+class RoundingService:
+    """
+    Service to round numbers to a certain amount of decimals.
+    It will always round down.
+    """
+
+    @staticmethod
+    def round_down(value, amount_of_decimals):
+
+        if RoundingService.count_decimals(value) <= amount_of_decimals:
+            return value
+
+        with decimal.localcontext() as ctx:
+            d = decimal.Decimal(value)
+            ctx.rounding = decimal.ROUND_DOWN
+            return float(round(d, amount_of_decimals))
+
+    @staticmethod
+    def count_decimals(number):
+        decimal_str = str(number)
+        if '.' in decimal_str:
+            return len(decimal_str.split('.')[1])
+        else:
+            return 0

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/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-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/infrastructure/services/market_service/ccxt_market_service.py

@@ -1,14 +1,14 @@
 import logging
-from typing import Dict
 from datetime import datetime
 from time import sleep
-import polars as pl
+from typing import Dict
+
 import ccxt
+import polars as pl
 from dateutil import parser
-from dateutil.tz import gettz
 
 from investing_algorithm_framework.domain import OperationalException, Order, \
-    CCXT_DATETIME_FORMAT, MarketService
+    MarketService
 
 logger = logging.getLogger(__name__)
 
@@ -20,6 +20,19 @@ class CCXTMarketService(MarketService):
     msec = 1000
     minute = 60 * msec
 
+    def __init__(self, market_credential_service):
+        super(CCXTMarketService, self).__init__(
+            market_credential_service=market_credential_service,
+        )
+
+    @property
+    def config(self):
+        return self._config
+
+    @config.setter
+    def config(self, config):
+        self._config = config
+
     def initialize_exchange(self, market, market_credential):
         market = market.lower()
         if not hasattr(ccxt, market):
@@ -149,6 +162,7 @@ class CCXTMarketService(MarketService):
     def get_orders(self, symbol, market, since: datetime = None):
         market_credential = self.get_market_credential(market)
         exchange = self.initialize_exchange(market, market_credential)
+        datetime_format = self.config["DATETIME_FORMAT"]
 
         if not exchange.has['fetchOrders']:
             raise OperationalException(
@@ -157,7 +171,7 @@ class CCXTMarketService(MarketService):
             )
 
         if since is not None:
-            since = exchange.parse8601(since.strftime(":%Y-%m-%d %H:%M:%S"))
+            since = exchange.parse8601(datetime_format)
 
             try:
                 ccxt_orders = exchange.fetchOrders(symbol, since=since)
@@ -343,6 +357,7 @@ class CCXTMarketService(MarketService):
     def get_ohlcv(
         self, symbol, time_frame, from_timestamp, market, to_timestamp=None
     ) -> pl.DataFrame:
+        datetime_format = self.config["DATETIME_FORMAT"]
         market_credential = self.get_market_credential(market)
         exchange = self.initialize_exchange(market, market_credential)
 
@@ -353,14 +368,14 @@ class CCXTMarketService(MarketService):
             )
 
         from_time_stamp = exchange.parse8601(
-            from_timestamp.strftime(CCXT_DATETIME_FORMAT)
+            from_timestamp.strftime(datetime_format)
         )
 
         if to_timestamp is None:
             to_timestamp = exchange.milliseconds()
         else:
             to_timestamp = exchange.parse8601(
-                to_timestamp.strftime(CCXT_DATETIME_FORMAT)
+                to_timestamp.strftime(datetime_format)
             )
         data = []
 
@@ -374,17 +389,16 @@ class CCXTMarketService(MarketService):
                 from_time_stamp = to_timestamp
 
             for candle in ohlcv:
-                datetime_stamp = parser.parse(
-                    exchange.iso8601(candle[0]),
-                    tzinfos={"UTC": gettz("UTC")}
+                datetime_stamp = parser.parse(exchange.iso8601(candle[0]))
 
-                )
                 to_timestamp_datetime = parser.parse(
                     exchange.iso8601(to_timestamp),
-                    tzinfos={"UTC": gettz("UTC")}
                 )
 
                 if datetime_stamp <= to_timestamp_datetime:
+                    datetime_stamp = datetime_stamp\
+                        .strftime(datetime_format)
+
                     data.append([datetime_stamp] + candle[1:])
 
             sleep(exchange.rateLimit / 1000)

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -1,5 +1,5 @@
 from datetime import datetime, timedelta
-
+from dateutil import parser
 import pandas as pd
 from tqdm import tqdm
 
@@ -22,6 +22,7 @@ class BacktestService:
         portfolio_repository,
         position_repository,
         performance_service,
+        configuration_service
     ):
         self._resource_directory = None
         self._order_service = order_service
@@ -35,6 +36,7 @@ class BacktestService:
         self._market_data_source_service: MarketDataSourceService \
             = market_data_source_service
         self._backtest_market_data_sources = []
+        self._configuration_service = configuration_service
 
     @property
     def resource_directory(self):
@@ -96,10 +98,11 @@ class BacktestService:
             strategy_profile = self.get_strategy_from_strategy_profiles(
                 strategy_profiles, row['id']
             )
+            index_date = parser.parse(str(index))
             self.run_backtest_for_profile(
                 algorithm=algorithm,
                 strategy=algorithm.get_strategy(strategy_profile.strategy_id),
-                index_date=index,
+                index_date=index_date,
             )
         return self.create_backtest_report(
             algorithm, len(schedule), start_date, end_date, initial_unallocated

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/services/market_data_source_service/backtest_market_data_source_service.py

@@ -49,6 +49,7 @@ class BacktestMarketDataSourceService(MarketDataSourceService):
             if backtest_market_data_source is not None:
                 backtest_market_data_source.market_credentials_service = \
                     self._market_credential_service
+
                 backtest_market_data_source.prepare_data(
                     config=configuration_service.get_config(),
                     backtest_start_date=configuration_service

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/services/order_service/order_backtest_service.py

@@ -161,9 +161,6 @@ class OrderBacktestService(OrderService):
         order_side = order.get_order_side()
         order_price = order.get_price()
 
-        # Convert 'created_at' to pandas Timestamp for easier comparison
-        created_at = pd.Timestamp(created_at, tz='UTC')
-
         # Filter OHLCV data after the order creation time
         ohlcv_data_after_order = ohlcv_data_frame.loc[created_at:]
 

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/services/order_service/order_service.py

@@ -15,6 +15,7 @@ class OrderService(RepositoryService):
 
     def __init__(
         self,
+        configuration_service,
         order_repository,
         order_fee_repository,
         market_service: MarketService,
@@ -25,6 +26,7 @@ class OrderService(RepositoryService):
         market_credential_service
     ):
         super(OrderService, self).__init__(order_repository)
+        self.configuration_service = configuration_service
         self.order_repository = order_repository
         self.order_fee_repository = order_fee_repository
         self.market_service: MarketService = market_service

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/investing_algorithm_framework/services/trade_service/trade_service.py

@@ -1,14 +1,14 @@
 import logging
-from typing import List
 from queue import PriorityQueue
+from typing import List
 
 from investing_algorithm_framework.domain import OrderStatus, OrderSide, \
     Trade, PeekableQueue, OrderType, TradeStatus, \
-    OperationalException, Order
-from investing_algorithm_framework.services.position_service import \
-    PositionService
+    OperationalException, Order, RoundingService
 from investing_algorithm_framework.services.market_data_source_service import \
     MarketDataSourceService
+from investing_algorithm_framework.services.position_service import \
+    PositionService
 
 logger = logging.getLogger(__name__)
 
@@ -199,7 +199,7 @@ class TradeService:
             if order.get_trade_closed_at() is not None
         ]
 
-    def close_trade(self, trade, market=None) -> None:
+    def close_trade(self, trade, market=None, precision=None) -> None:
         """
         Close trade method
 
@@ -210,6 +210,7 @@ class TradeService:
 
         return: None
         """
+
         if trade.closed_at is not None:
             raise OperationalException("Trade already closed.")
 
@@ -227,6 +228,9 @@ class TradeService:
         )
         amount = order.get_amount()
 
+        if precision is not None:
+            amount = RoundingService.round_down(amount, precision)
+
         if position.get_amount() < amount:
             logger.warning(
                 f"Order amount {amount} is larger then amount "

{investing_algorithm_framework-3.3.0 → investing_algorithm_framework-3.4.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v3.3.0"
+version = "v3.4.0"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"