investing-algorithm-framework 3.7.0__py3-none-any.whl → 7.19.15__py3-none-any.whl

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  1. investing_algorithm_framework/__init__.py +168 -45
  2. investing_algorithm_framework/app/__init__.py +32 -1
  3. investing_algorithm_framework/app/algorithm/__init__.py +7 -0
  4. investing_algorithm_framework/app/algorithm/algorithm.py +239 -0
  5. investing_algorithm_framework/app/algorithm/algorithm_factory.py +114 -0
  6. investing_algorithm_framework/app/analysis/__init__.py +15 -0
  7. investing_algorithm_framework/app/analysis/backtest_data_ranges.py +121 -0
  8. investing_algorithm_framework/app/analysis/backtest_utils.py +107 -0
  9. investing_algorithm_framework/app/analysis/permutation.py +116 -0
  10. investing_algorithm_framework/app/analysis/ranking.py +297 -0
  11. investing_algorithm_framework/app/app.py +1933 -589
  12. investing_algorithm_framework/app/app_hook.py +28 -0
  13. investing_algorithm_framework/app/context.py +1725 -0
  14. investing_algorithm_framework/app/eventloop.py +590 -0
  15. investing_algorithm_framework/app/reporting/__init__.py +27 -0
  16. investing_algorithm_framework/app/reporting/ascii.py +921 -0
  17. investing_algorithm_framework/app/reporting/backtest_report.py +349 -0
  18. investing_algorithm_framework/app/reporting/charts/__init__.py +19 -0
  19. investing_algorithm_framework/app/reporting/charts/entry_exist_signals.py +66 -0
  20. investing_algorithm_framework/app/reporting/charts/equity_curve.py +37 -0
  21. investing_algorithm_framework/app/reporting/charts/equity_curve_drawdown.py +74 -0
  22. investing_algorithm_framework/app/reporting/charts/line_chart.py +11 -0
  23. investing_algorithm_framework/app/reporting/charts/monthly_returns_heatmap.py +70 -0
  24. investing_algorithm_framework/app/reporting/charts/ohlcv_data_completeness.py +51 -0
  25. investing_algorithm_framework/app/reporting/charts/rolling_sharp_ratio.py +79 -0
  26. investing_algorithm_framework/app/reporting/charts/yearly_returns_barchart.py +55 -0
  27. investing_algorithm_framework/app/reporting/generate.py +185 -0
  28. investing_algorithm_framework/app/reporting/tables/__init__.py +11 -0
  29. investing_algorithm_framework/app/reporting/tables/key_metrics_table.py +217 -0
  30. investing_algorithm_framework/app/reporting/tables/stop_loss_table.py +0 -0
  31. investing_algorithm_framework/app/reporting/tables/time_metrics_table.py +80 -0
  32. investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py +147 -0
  33. investing_algorithm_framework/app/reporting/tables/trades_table.py +75 -0
  34. investing_algorithm_framework/app/reporting/tables/utils.py +29 -0
  35. investing_algorithm_framework/app/reporting/templates/report_template.html.j2 +154 -0
  36. investing_algorithm_framework/app/stateless/action_handlers/__init__.py +4 -2
  37. investing_algorithm_framework/app/stateless/action_handlers/action_handler_strategy.py +1 -1
  38. investing_algorithm_framework/app/stateless/action_handlers/check_online_handler.py +1 -1
  39. investing_algorithm_framework/app/stateless/action_handlers/run_strategy_handler.py +14 -7
  40. investing_algorithm_framework/app/strategy.py +664 -84
  41. investing_algorithm_framework/app/task.py +5 -3
  42. investing_algorithm_framework/app/web/__init__.py +2 -1
  43. investing_algorithm_framework/app/web/create_app.py +4 -2
  44. investing_algorithm_framework/cli/__init__.py +0 -0
  45. investing_algorithm_framework/cli/cli.py +226 -0
  46. investing_algorithm_framework/cli/deploy_to_aws_lambda.py +501 -0
  47. investing_algorithm_framework/cli/deploy_to_azure_function.py +718 -0
  48. investing_algorithm_framework/cli/initialize_app.py +603 -0
  49. investing_algorithm_framework/cli/templates/.gitignore.template +178 -0
  50. investing_algorithm_framework/cli/templates/app.py.template +18 -0
  51. investing_algorithm_framework/cli/templates/app_aws_lambda_function.py.template +48 -0
  52. investing_algorithm_framework/cli/templates/app_azure_function.py.template +14 -0
  53. investing_algorithm_framework/cli/templates/app_web.py.template +18 -0
  54. investing_algorithm_framework/cli/templates/aws_lambda_dockerfile.template +22 -0
  55. investing_algorithm_framework/cli/templates/aws_lambda_dockerignore.template +92 -0
  56. investing_algorithm_framework/cli/templates/aws_lambda_readme.md.template +110 -0
  57. investing_algorithm_framework/cli/templates/aws_lambda_requirements.txt.template +2 -0
  58. investing_algorithm_framework/cli/templates/azure_function_function_app.py.template +65 -0
  59. investing_algorithm_framework/cli/templates/azure_function_host.json.template +15 -0
  60. investing_algorithm_framework/cli/templates/azure_function_local.settings.json.template +8 -0
  61. investing_algorithm_framework/cli/templates/azure_function_requirements.txt.template +3 -0
  62. investing_algorithm_framework/cli/templates/data_providers.py.template +17 -0
  63. investing_algorithm_framework/cli/templates/env.example.template +2 -0
  64. investing_algorithm_framework/cli/templates/env_azure_function.example.template +4 -0
  65. investing_algorithm_framework/cli/templates/market_data_providers.py.template +9 -0
  66. investing_algorithm_framework/cli/templates/readme.md.template +135 -0
  67. investing_algorithm_framework/cli/templates/requirements.txt.template +2 -0
  68. investing_algorithm_framework/cli/templates/run_backtest.py.template +20 -0
  69. investing_algorithm_framework/cli/templates/strategy.py.template +124 -0
  70. investing_algorithm_framework/create_app.py +40 -6
  71. investing_algorithm_framework/dependency_container.py +72 -56
  72. investing_algorithm_framework/domain/__init__.py +71 -47
  73. investing_algorithm_framework/domain/backtesting/__init__.py +21 -0
  74. investing_algorithm_framework/domain/backtesting/backtest.py +503 -0
  75. investing_algorithm_framework/domain/backtesting/backtest_date_range.py +96 -0
  76. investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py +242 -0
  77. investing_algorithm_framework/domain/backtesting/backtest_metrics.py +459 -0
  78. investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py +275 -0
  79. investing_algorithm_framework/domain/backtesting/backtest_run.py +605 -0
  80. investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py +162 -0
  81. investing_algorithm_framework/domain/backtesting/combine_backtests.py +280 -0
  82. investing_algorithm_framework/domain/config.py +59 -91
  83. investing_algorithm_framework/domain/constants.py +13 -38
  84. investing_algorithm_framework/domain/data_provider.py +334 -0
  85. investing_algorithm_framework/domain/data_structures.py +3 -2
  86. investing_algorithm_framework/domain/exceptions.py +51 -1
  87. investing_algorithm_framework/domain/models/__init__.py +17 -12
  88. investing_algorithm_framework/domain/models/data/__init__.py +7 -0
  89. investing_algorithm_framework/domain/models/data/data_source.py +214 -0
  90. investing_algorithm_framework/domain/models/data/data_type.py +46 -0
  91. investing_algorithm_framework/domain/models/event.py +35 -0
  92. investing_algorithm_framework/domain/models/market/market_credential.py +55 -1
  93. investing_algorithm_framework/domain/models/order/order.py +77 -83
  94. investing_algorithm_framework/domain/models/order/order_status.py +2 -2
  95. investing_algorithm_framework/domain/models/order/order_type.py +1 -3
  96. investing_algorithm_framework/domain/models/portfolio/portfolio.py +81 -3
  97. investing_algorithm_framework/domain/models/portfolio/portfolio_configuration.py +26 -3
  98. investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py +108 -11
  99. investing_algorithm_framework/domain/models/position/__init__.py +2 -1
  100. investing_algorithm_framework/domain/models/position/position.py +12 -0
  101. investing_algorithm_framework/domain/models/position/position_size.py +41 -0
  102. investing_algorithm_framework/domain/models/risk_rules/__init__.py +7 -0
  103. investing_algorithm_framework/domain/models/risk_rules/stop_loss_rule.py +51 -0
  104. investing_algorithm_framework/domain/models/risk_rules/take_profit_rule.py +55 -0
  105. investing_algorithm_framework/domain/models/snapshot_interval.py +45 -0
  106. investing_algorithm_framework/domain/models/strategy_profile.py +19 -151
  107. investing_algorithm_framework/domain/models/time_frame.py +37 -0
  108. investing_algorithm_framework/domain/models/time_interval.py +33 -0
  109. investing_algorithm_framework/domain/models/time_unit.py +66 -2
  110. investing_algorithm_framework/domain/models/trade/__init__.py +8 -1
  111. investing_algorithm_framework/domain/models/trade/trade.py +295 -171
  112. investing_algorithm_framework/domain/models/trade/trade_status.py +9 -2
  113. investing_algorithm_framework/domain/models/trade/trade_stop_loss.py +332 -0
  114. investing_algorithm_framework/domain/models/trade/trade_take_profit.py +365 -0
  115. investing_algorithm_framework/domain/order_executor.py +112 -0
  116. investing_algorithm_framework/domain/portfolio_provider.py +118 -0
  117. investing_algorithm_framework/domain/services/__init__.py +2 -9
  118. investing_algorithm_framework/domain/services/portfolios/portfolio_sync_service.py +0 -6
  119. investing_algorithm_framework/domain/services/state_handler.py +38 -0
  120. investing_algorithm_framework/domain/strategy.py +1 -29
  121. investing_algorithm_framework/domain/utils/__init__.py +12 -7
  122. investing_algorithm_framework/domain/utils/custom_tqdm.py +22 -0
  123. investing_algorithm_framework/domain/utils/dates.py +57 -0
  124. investing_algorithm_framework/domain/utils/jupyter_notebook_detection.py +19 -0
  125. investing_algorithm_framework/domain/utils/polars.py +53 -0
  126. investing_algorithm_framework/domain/utils/random.py +29 -0
  127. investing_algorithm_framework/download_data.py +108 -0
  128. investing_algorithm_framework/infrastructure/__init__.py +31 -18
  129. investing_algorithm_framework/infrastructure/data_providers/__init__.py +36 -0
  130. investing_algorithm_framework/infrastructure/data_providers/ccxt.py +1143 -0
  131. investing_algorithm_framework/infrastructure/data_providers/csv.py +568 -0
  132. investing_algorithm_framework/infrastructure/data_providers/pandas.py +599 -0
  133. investing_algorithm_framework/infrastructure/database/__init__.py +6 -2
  134. investing_algorithm_framework/infrastructure/database/sql_alchemy.py +86 -12
  135. investing_algorithm_framework/infrastructure/models/__init__.py +6 -11
  136. investing_algorithm_framework/infrastructure/models/order/__init__.py +2 -1
  137. investing_algorithm_framework/infrastructure/models/order/order.py +35 -49
  138. investing_algorithm_framework/infrastructure/models/order/order_metadata.py +44 -0
  139. investing_algorithm_framework/infrastructure/models/order_trade_association.py +10 -0
  140. investing_algorithm_framework/infrastructure/models/portfolio/__init__.py +1 -1
  141. investing_algorithm_framework/infrastructure/models/portfolio/portfolio_snapshot.py +8 -0
  142. investing_algorithm_framework/infrastructure/models/portfolio/{portfolio.py → sql_portfolio.py} +17 -5
  143. investing_algorithm_framework/infrastructure/models/trades/__init__.py +9 -0
  144. investing_algorithm_framework/infrastructure/models/trades/trade.py +130 -0
  145. investing_algorithm_framework/infrastructure/models/trades/trade_stop_loss.py +59 -0
  146. investing_algorithm_framework/infrastructure/models/trades/trade_take_profit.py +55 -0
  147. investing_algorithm_framework/infrastructure/order_executors/__init__.py +21 -0
  148. investing_algorithm_framework/infrastructure/order_executors/backtest_oder_executor.py +28 -0
  149. investing_algorithm_framework/infrastructure/order_executors/ccxt_order_executor.py +200 -0
  150. investing_algorithm_framework/infrastructure/portfolio_providers/__init__.py +19 -0
  151. investing_algorithm_framework/infrastructure/portfolio_providers/ccxt_portfolio_provider.py +199 -0
  152. investing_algorithm_framework/infrastructure/repositories/__init__.py +8 -0
  153. investing_algorithm_framework/infrastructure/repositories/order_metadata_repository.py +17 -0
  154. investing_algorithm_framework/infrastructure/repositories/order_repository.py +5 -0
  155. investing_algorithm_framework/infrastructure/repositories/portfolio_repository.py +1 -1
  156. investing_algorithm_framework/infrastructure/repositories/position_repository.py +11 -0
  157. investing_algorithm_framework/infrastructure/repositories/repository.py +81 -27
  158. investing_algorithm_framework/infrastructure/repositories/trade_repository.py +71 -0
  159. investing_algorithm_framework/infrastructure/repositories/trade_stop_loss_repository.py +29 -0
  160. investing_algorithm_framework/infrastructure/repositories/trade_take_profit_repository.py +29 -0
  161. investing_algorithm_framework/infrastructure/services/__init__.py +4 -4
  162. investing_algorithm_framework/infrastructure/services/aws/__init__.py +6 -0
  163. investing_algorithm_framework/infrastructure/services/aws/state_handler.py +113 -0
  164. investing_algorithm_framework/infrastructure/services/azure/__init__.py +5 -0
  165. investing_algorithm_framework/infrastructure/services/azure/state_handler.py +158 -0
  166. investing_algorithm_framework/services/__init__.py +113 -16
  167. investing_algorithm_framework/services/backtesting/__init__.py +0 -7
  168. investing_algorithm_framework/services/backtesting/backtest_service.py +566 -359
  169. investing_algorithm_framework/services/configuration_service.py +77 -11
  170. investing_algorithm_framework/services/data_providers/__init__.py +5 -0
  171. investing_algorithm_framework/services/data_providers/data_provider_service.py +850 -0
  172. investing_algorithm_framework/services/market_credential_service.py +16 -1
  173. investing_algorithm_framework/services/metrics/__init__.py +114 -0
  174. investing_algorithm_framework/services/metrics/alpha.py +0 -0
  175. investing_algorithm_framework/services/metrics/beta.py +0 -0
  176. investing_algorithm_framework/services/metrics/cagr.py +60 -0
  177. investing_algorithm_framework/services/metrics/calmar_ratio.py +40 -0
  178. investing_algorithm_framework/services/metrics/drawdown.py +181 -0
  179. investing_algorithm_framework/services/metrics/equity_curve.py +24 -0
  180. investing_algorithm_framework/services/metrics/exposure.py +210 -0
  181. investing_algorithm_framework/services/metrics/generate.py +358 -0
  182. investing_algorithm_framework/services/metrics/mean_daily_return.py +83 -0
  183. investing_algorithm_framework/services/metrics/profit_factor.py +165 -0
  184. investing_algorithm_framework/services/metrics/recovery.py +113 -0
  185. investing_algorithm_framework/services/metrics/returns.py +452 -0
  186. investing_algorithm_framework/services/metrics/risk_free_rate.py +28 -0
  187. investing_algorithm_framework/services/metrics/sharpe_ratio.py +137 -0
  188. investing_algorithm_framework/services/metrics/sortino_ratio.py +74 -0
  189. investing_algorithm_framework/services/metrics/standard_deviation.py +157 -0
  190. investing_algorithm_framework/services/metrics/trades.py +500 -0
  191. investing_algorithm_framework/services/metrics/treynor_ratio.py +0 -0
  192. investing_algorithm_framework/services/metrics/ulcer.py +0 -0
  193. investing_algorithm_framework/services/metrics/value_at_risk.py +0 -0
  194. investing_algorithm_framework/services/metrics/volatility.py +97 -0
  195. investing_algorithm_framework/services/metrics/win_rate.py +177 -0
  196. investing_algorithm_framework/services/order_service/__init__.py +3 -1
  197. investing_algorithm_framework/services/order_service/order_backtest_service.py +76 -89
  198. investing_algorithm_framework/services/order_service/order_executor_lookup.py +110 -0
  199. investing_algorithm_framework/services/order_service/order_service.py +407 -326
  200. investing_algorithm_framework/services/portfolios/__init__.py +3 -1
  201. investing_algorithm_framework/services/portfolios/backtest_portfolio_service.py +37 -3
  202. investing_algorithm_framework/services/portfolios/portfolio_configuration_service.py +22 -8
  203. investing_algorithm_framework/services/portfolios/portfolio_provider_lookup.py +106 -0
  204. investing_algorithm_framework/services/portfolios/portfolio_service.py +96 -28
  205. investing_algorithm_framework/services/portfolios/portfolio_snapshot_service.py +97 -28
  206. investing_algorithm_framework/services/portfolios/portfolio_sync_service.py +116 -313
  207. investing_algorithm_framework/services/positions/__init__.py +7 -0
  208. investing_algorithm_framework/services/positions/position_service.py +210 -0
  209. investing_algorithm_framework/services/repository_service.py +8 -2
  210. investing_algorithm_framework/services/trade_order_evaluator/__init__.py +9 -0
  211. investing_algorithm_framework/services/trade_order_evaluator/backtest_trade_oder_evaluator.py +113 -0
  212. investing_algorithm_framework/services/trade_order_evaluator/default_trade_order_evaluator.py +51 -0
  213. investing_algorithm_framework/services/trade_order_evaluator/trade_order_evaluator.py +80 -0
  214. investing_algorithm_framework/services/trade_service/__init__.py +7 -1
  215. investing_algorithm_framework/services/trade_service/trade_service.py +1013 -315
  216. investing_algorithm_framework/services/trade_service/trade_stop_loss_service.py +39 -0
  217. investing_algorithm_framework/services/trade_service/trade_take_profit_service.py +41 -0
  218. investing_algorithm_framework-7.19.15.dist-info/METADATA +537 -0
  219. investing_algorithm_framework-7.19.15.dist-info/RECORD +263 -0
  220. investing_algorithm_framework-7.19.15.dist-info/entry_points.txt +3 -0
  221. investing_algorithm_framework/app/algorithm.py +0 -1105
  222. investing_algorithm_framework/domain/graphs.py +0 -382
  223. investing_algorithm_framework/domain/metrics/__init__.py +0 -6
  224. investing_algorithm_framework/domain/models/backtesting/__init__.py +0 -11
  225. investing_algorithm_framework/domain/models/backtesting/backtest_date_range.py +0 -43
  226. investing_algorithm_framework/domain/models/backtesting/backtest_position.py +0 -120
  227. investing_algorithm_framework/domain/models/backtesting/backtest_report.py +0 -580
  228. investing_algorithm_framework/domain/models/backtesting/backtest_reports_evaluation.py +0 -243
  229. investing_algorithm_framework/domain/models/trading_data_types.py +0 -47
  230. investing_algorithm_framework/domain/models/trading_time_frame.py +0 -223
  231. investing_algorithm_framework/domain/services/market_data_sources.py +0 -344
  232. investing_algorithm_framework/domain/services/market_service.py +0 -153
  233. investing_algorithm_framework/domain/singleton.py +0 -9
  234. investing_algorithm_framework/domain/utils/backtesting.py +0 -472
  235. investing_algorithm_framework/infrastructure/models/market_data_sources/__init__.py +0 -12
  236. investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py +0 -559
  237. investing_algorithm_framework/infrastructure/models/market_data_sources/csv.py +0 -254
  238. investing_algorithm_framework/infrastructure/models/market_data_sources/us_treasury_yield.py +0 -47
  239. investing_algorithm_framework/infrastructure/services/market_service/__init__.py +0 -5
  240. investing_algorithm_framework/infrastructure/services/market_service/ccxt_market_service.py +0 -455
  241. investing_algorithm_framework/infrastructure/services/performance_service/__init__.py +0 -7
  242. investing_algorithm_framework/infrastructure/services/performance_service/backtest_performance_service.py +0 -2
  243. investing_algorithm_framework/infrastructure/services/performance_service/performance_service.py +0 -350
  244. investing_algorithm_framework/services/backtesting/backtest_report_writer_service.py +0 -53
  245. investing_algorithm_framework/services/backtesting/graphs.py +0 -61
  246. investing_algorithm_framework/services/market_data_source_service/__init__.py +0 -8
  247. investing_algorithm_framework/services/market_data_source_service/backtest_market_data_source_service.py +0 -150
  248. investing_algorithm_framework/services/market_data_source_service/market_data_source_service.py +0 -189
  249. investing_algorithm_framework/services/position_service.py +0 -31
  250. investing_algorithm_framework/services/strategy_orchestrator_service.py +0 -264
  251. investing_algorithm_framework-3.7.0.dist-info/METADATA +0 -339
  252. investing_algorithm_framework-3.7.0.dist-info/RECORD +0 -147
  253. /investing_algorithm_framework/{domain → services}/metrics/price_efficiency.py +0 -0
  254. /investing_algorithm_framework/services/{position_snapshot_service.py → positions/position_snapshot_service.py} +0 -0
  255. {investing_algorithm_framework-3.7.0.dist-info → investing_algorithm_framework-7.19.15.dist-info}/LICENSE +0 -0
  256. {investing_algorithm_framework-3.7.0.dist-info → investing_algorithm_framework-7.19.15.dist-info}/WHEEL +0 -0
@@ -1,6 +1,7 @@
1
1
  import logging
2
2
 
3
3
  from sqlalchemy import create_engine, StaticPool
4
+ from sqlalchemy import inspect
4
5
  from sqlalchemy.orm import DeclarativeBase, sessionmaker
5
6
 
6
7
  from investing_algorithm_framework.domain import SQLALCHEMY_DATABASE_URI, \
@@ -19,18 +20,11 @@ class SQLAlchemyAdapter:
19
20
  raise OperationalException("SQLALCHEMY_DATABASE_URI not set")
20
21
 
21
22
  global Session
22
-
23
- if app.config[SQLALCHEMY_DATABASE_URI] != "sqlite:///:memory:":
24
- engine = create_engine(
25
- app.config[SQLALCHEMY_DATABASE_URI],
26
- connect_args={'check_same_thread': False},
27
- poolclass=StaticPool
28
- )
29
- else:
30
- engine = create_engine(
31
- app.config[SQLALCHEMY_DATABASE_URI],
32
- )
33
-
23
+ engine = create_engine(
24
+ app.config[SQLALCHEMY_DATABASE_URI],
25
+ connect_args={'check_same_thread': False},
26
+ poolclass=StaticPool
27
+ )
34
28
  Session.configure(bind=engine)
35
29
 
36
30
 
@@ -45,9 +39,89 @@ def setup_sqlalchemy(app, throw_exception_if_not_set=True):
45
39
  return app
46
40
 
47
41
 
42
+
48
43
  class SQLBaseModel(DeclarativeBase):
49
44
  pass
50
45
 
51
46
 
52
47
  def create_all_tables():
53
48
  SQLBaseModel.metadata.create_all(bind=Session().bind)
49
+
50
+
51
+ from sqlalchemy import event
52
+ from sqlalchemy.orm import mapper
53
+ from datetime import timezone
54
+
55
+ def clear_db(db_uri):
56
+ """
57
+ Clear the database by dropping all tables.
58
+ This is useful for testing purposes.
59
+
60
+ Args:
61
+ db_uri (str): The database URI to connect to.
62
+
63
+ Returns:
64
+ None
65
+ """
66
+ # Drop all tables before deleting file
67
+ try:
68
+ engine = create_engine(db_uri)
69
+ inspector = inspect(engine)
70
+ if inspector.get_table_names():
71
+ logger.info("Dropping all tables in backtest database")
72
+ SQLBaseModel.metadata.drop_all(bind=engine)
73
+ except Exception as e:
74
+ logger.error(f"Error dropping tables: {e}")
75
+
76
+ # # Clear mappers (if using classical mappings)
77
+ # try:
78
+ # clear_mappers()
79
+ # except Exception:
80
+ # pass # ignore if not needed
81
+
82
+
83
+ @event.listens_for(mapper, "load")
84
+ def attach_utc_timezone_on_load(target, context):
85
+ """
86
+ For each model instance loaded from the database,
87
+ this function will check if one of the following attributes are
88
+ present: created_at, updated_at, closed_at, opened_at, triggered_at.
89
+ If so, it will check if these datetime
90
+ attributes are timezone-naive and, if so, will set them to UTC.
91
+
92
+ Its documented in the contributing guide (https://coding-kitties.github
93
+ .io/investing-algorithm-framework/Contributing%20Guide/contributing)
94
+ that each datetime attribute should be utc timezone-aware.
95
+
96
+ Args:
97
+ target: The model instance being loaded from the database.
98
+ context: The context in which the event is being handled.
99
+
100
+ Returns:
101
+ None
102
+ """
103
+ # This will apply to every model instance loaded from the DB
104
+ if hasattr(target, "created_at"):
105
+ dt = getattr(target, "created_at")
106
+ if dt and dt.tzinfo is None:
107
+ target.created_at = dt.replace(tzinfo=timezone.utc)
108
+
109
+ if hasattr(target, "updated_at"):
110
+ dt = getattr(target, "updated_at")
111
+ if dt and dt.tzinfo is None:
112
+ target.updated_at = dt.replace(tzinfo=timezone.utc)
113
+
114
+ if hasattr(target, "closed_at"):
115
+ dt = getattr(target, "closed_at")
116
+ if dt and dt.tzinfo is None:
117
+ target.closed_at = dt.replace(tzinfo=timezone.utc)
118
+
119
+ if hasattr(target, "opened_at"):
120
+ dt = getattr(target, "opened_at")
121
+ if dt and dt.tzinfo is None:
122
+ target.opened_at = dt.replace(tzinfo=timezone.utc)
123
+
124
+ if hasattr(target, "triggered_at"):
125
+ dt = getattr(target, "triggered_at")
126
+ if dt and dt.tzinfo is None:
127
+ target.triggered_at = dt.replace(tzinfo=timezone.utc)
@@ -1,10 +1,7 @@
1
- from .market_data_sources import CCXTOrderBookMarketDataSource, \
2
- CCXTTickerMarketDataSource, CCXTOHLCVMarketDataSource, \
3
- CCXTOHLCVBacktestMarketDataSource, CSVOHLCVMarketDataSource, \
4
- CSVTickerMarketDataSource
5
- from .order import SQLOrder
1
+ from .order import SQLOrder, SQLOrderMetadata
6
2
  from .portfolio import SQLPortfolio, SQLPortfolioSnapshot
7
3
  from .position import SQLPosition, SQLPositionSnapshot
4
+ from .trades import SQLTrade, SQLTradeStopLoss, SQLTradeTakeProfit
8
5
 
9
6
  __all__ = [
10
7
  "SQLOrder",
@@ -12,10 +9,8 @@ __all__ = [
12
9
  "SQLPortfolio",
13
10
  "SQLPositionSnapshot",
14
11
  "SQLPortfolioSnapshot",
15
- "CCXTOHLCVBacktestMarketDataSource",
16
- "CCXTOrderBookMarketDataSource",
17
- "CCXTTickerMarketDataSource",
18
- "CCXTOHLCVMarketDataSource",
19
- "CSVTickerMarketDataSource",
20
- "CSVOHLCVMarketDataSource",
12
+ "SQLTrade",
13
+ "SQLTradeStopLoss",
14
+ "SQLTradeTakeProfit",
15
+ "SQLOrderMetadata",
21
16
  ]
@@ -1,3 +1,4 @@
1
1
  from .order import SQLOrder
2
+ from .order_metadata import SQLOrderMetadata
2
3
 
3
- __all__ = ["SQLOrder"]
4
+ __all__ = ["SQLOrder", "SQLOrderMetadata"]
@@ -1,5 +1,5 @@
1
1
  import logging
2
- from datetime import datetime
2
+ from datetime import datetime, timezone
3
3
 
4
4
  from sqlalchemy import Column, Integer, String, DateTime, ForeignKey, Float
5
5
  from sqlalchemy.orm import relationship
@@ -9,11 +9,20 @@ from investing_algorithm_framework.domain import OrderType, \
9
9
  from investing_algorithm_framework.infrastructure.database import SQLBaseModel
10
10
  from investing_algorithm_framework.infrastructure.models.model_extension \
11
11
  import SQLAlchemyModelExtension
12
+ from investing_algorithm_framework.infrastructure.models.\
13
+ order_trade_association import order_trade_association
12
14
 
13
15
  logger = logging.getLogger("investing_algorithm_framework")
14
16
 
15
17
 
18
+ def utcnow():
19
+ return datetime.now(tz=timezone.utc)
20
+
21
+
16
22
  class SQLOrder(Order, SQLBaseModel, SQLAlchemyModelExtension):
23
+ """
24
+ SQLOrder model based on the Order domain model.
25
+ """
17
26
  __tablename__ = "orders"
18
27
  id = Column(Integer, primary_key=True, unique=True)
19
28
  external_id = Column(Integer)
@@ -21,59 +30,33 @@ class SQLOrder(Order, SQLBaseModel, SQLAlchemyModelExtension):
21
30
  trading_symbol = Column(String)
22
31
  order_side = Column(String, nullable=False, default=OrderSide.BUY.value)
23
32
  order_type = Column(String, nullable=False, default=OrderType.LIMIT.value)
33
+ trades = relationship(
34
+ 'SQLTrade', secondary=order_trade_association, back_populates='orders'
35
+ )
24
36
  price = Column(Float)
25
37
  amount = Column(Float)
26
- filled = Column(Float)
27
- remaining = Column(Float)
28
- cost = Column(Float)
29
- status = Column(String)
38
+ remaining = Column(Float, default=None)
39
+ filled = Column(Float, default=None)
40
+ cost = Column(Float, default=0)
41
+ status = Column(String, default=OrderStatus.CREATED.value)
30
42
  position_id = Column(Integer, ForeignKey('positions.id'))
31
43
  position = relationship("SQLPosition", back_populates="orders")
32
- created_at = Column(DateTime, default=datetime.utcnow)
33
- updated_at = Column(DateTime, default=datetime.utcnow)
34
- trade_closed_at = Column(DateTime, default=None)
35
- trade_closed_price = Column(Float, default=None)
36
- trade_closed_amount = Column(Float, default=None)
37
- net_gain = Column(Float, default=0)
44
+ created_at = Column(DateTime(timezone=True), default=utcnow)
45
+ updated_at = Column(
46
+ DateTime(timezone=True), default=utcnow, onupdate=utcnow
47
+ )
38
48
  order_fee = Column(Float, default=None)
39
- order_fee_currency = Column(String)
49
+ order_fee_currency = Column(String, default=None)
40
50
  order_fee_rate = Column(Float, default=None)
41
- _available_amount = None
51
+ sell_order_metadata_id = Column(Integer, ForeignKey('orders.id'))
52
+ order_metadata = relationship(
53
+ 'SQLOrderMetadata', back_populates='order'
54
+ )
42
55
 
43
56
  def update(self, data):
44
57
 
45
- if 'amount' in data and data['amount'] is not None:
46
- amount = data.pop('amount')
47
- self.amount = amount
48
-
49
- if 'price' in data and data['price'] is not None:
50
- price = data.pop('price')
51
- self.price = price
52
-
53
- if 'filled' in data and data['filled'] is not None:
54
- filled = data.pop('filled')
55
- self.filled = filled
56
-
57
- if 'remaining' in data and data['remaining'] is not None:
58
- remaining = data.pop('remaining')
59
- self.remaining = remaining
60
-
61
- if 'net_gain' in data and data['net_gain'] is not None:
62
- net_gain = data.pop('net_gain')
63
- self.net_gain = net_gain
64
-
65
- if 'trade_closed_price' in data and \
66
- data['trade_closed_price'] is not None:
67
- trade_closed_price = data.pop('trade_closed_price')
68
- self.trade_closed_price = trade_closed_price
69
-
70
- if 'trade_closed_amount' in data and \
71
- data['trade_closed_amount'] is not None:
72
- trade_closed_amount = data.pop('trade_closed_amount')
73
- self.trade_closed_amount = trade_closed_amount
74
-
75
58
  if "status" in data and data["status"] is not None:
76
- self.status = OrderStatus.from_value(data.pop("status")).value
59
+ data["status"] = OrderStatus.from_value(data["status"]).value
77
60
 
78
61
  super().update(data)
79
62
 
@@ -82,6 +65,8 @@ class SQLOrder(Order, SQLBaseModel, SQLAlchemyModelExtension):
82
65
  return SQLOrder(
83
66
  external_id=order.external_id,
84
67
  amount=order.get_amount(),
68
+ filled=order.get_filled(),
69
+ remaining=order.get_remaining(),
85
70
  price=order.price,
86
71
  order_type=order.get_order_type(),
87
72
  order_side=order.get(),
@@ -90,17 +75,18 @@ class SQLOrder(Order, SQLBaseModel, SQLAlchemyModelExtension):
90
75
  trading_symbol=order.get_trading_symbol(),
91
76
  created_at=order.get_created_at(),
92
77
  updated_at=order.get_updated_at(),
93
- trade_closed_at=order.get_trade_closed_at(),
94
- trade_closed_price=order.get_trade_closed_price(),
95
- trade_closed_amount=order.get_trade_closed_amount(),
96
- net_gain=order.get_net_gain(),
97
78
  )
98
79
 
99
80
  @staticmethod
100
81
  def from_ccxt_order(ccxt_order):
101
82
  """
102
83
  Create an Order object from a CCXT order object
103
- :param ccxt_order: CCXT order object
84
+
85
+ Args:
86
+ ccxt_order: CCXT order object
87
+
88
+ Returns:
89
+ Order: Order object
104
90
  """
105
91
  status = OrderStatus.from_value(ccxt_order["status"])
106
92
  target_symbol = ccxt_order.get("symbol").split("/")[0]
@@ -0,0 +1,44 @@
1
+ import logging
2
+
3
+ from sqlalchemy import Column, Integer, ForeignKey, Float
4
+ from sqlalchemy.orm import relationship
5
+
6
+ from investing_algorithm_framework.infrastructure.database import SQLBaseModel
7
+ from investing_algorithm_framework.infrastructure.models.model_extension \
8
+ import SQLAlchemyModelExtension
9
+
10
+ logger = logging.getLogger("investing_algorithm_framework")
11
+
12
+
13
+ class SQLOrderMetadata(SQLBaseModel, SQLAlchemyModelExtension):
14
+ __tablename__ = "sql_order_metadata"
15
+ id = Column(Integer, primary_key=True, unique=True)
16
+ order_id = Column(Integer, ForeignKey('orders.id'))
17
+ order = relationship('SQLOrder', back_populates='order_metadata')
18
+ trade_id = Column(Integer)
19
+ stop_loss_id = Column(Integer)
20
+ take_profit_id = Column(Integer)
21
+ amount = Column(Float)
22
+ amount_pending = Column(Float)
23
+
24
+ def __init__(
25
+ self,
26
+ order_id,
27
+ amount,
28
+ amount_pending,
29
+ trade_id=None,
30
+ stop_loss_id=None,
31
+ take_profit_id=None,
32
+ ):
33
+ self.order_id = order_id
34
+ self.trade_id = trade_id
35
+ self.stop_loss_id = stop_loss_id
36
+ self.take_profit_id = take_profit_id
37
+ self.amount = amount
38
+ self.amount_pending = amount_pending
39
+
40
+ def __repr__(self):
41
+ return f"<SQLOrderMetadata(id={self.id}, order_id={self.order_id}, " \
42
+ f"trade_id={self.trade_id}, stop_loss_id={self.stop_loss_id}, "\
43
+ f"take_profit_id={self.take_profit_id}, amount={self.amount}, "\
44
+ f"amount_pending={self.amount_pending})>"
@@ -0,0 +1,10 @@
1
+ from sqlalchemy import Table, Column, Integer, ForeignKey
2
+ from investing_algorithm_framework.infrastructure.database import SQLBaseModel
3
+
4
+ # Association table
5
+ order_trade_association = Table(
6
+ 'order_trade', # Table name
7
+ SQLBaseModel.metadata,
8
+ Column('order_id', Integer, ForeignKey('orders.id'), primary_key=True),
9
+ Column('trade_id', Integer, ForeignKey('trades.id'), primary_key=True)
10
+ )
@@ -1,4 +1,4 @@
1
- from .portfolio import SQLPortfolio
1
+ from .sql_portfolio import SQLPortfolio
2
2
  from .portfolio_snapshot import SQLPortfolioSnapshot
3
3
 
4
4
  __all__ = ['SQLPortfolio', "SQLPortfolioSnapshot"]
@@ -10,15 +10,23 @@ from investing_algorithm_framework.infrastructure.models.model_extension \
10
10
  class SQLPortfolioSnapshot(
11
11
  PortfolioSnapshot, SQLBaseModel, SQLAlchemyModelExtension
12
12
  ):
13
+ """
14
+ SQLAlchemy model for portfolio snapshots.
15
+
16
+ Portfolio snapshots represent the state of a portfolio at a specific
17
+ point in time.
18
+ """
13
19
  __tablename__ = "portfolio_snapshots"
14
20
  id = Column(Integer, primary_key=True)
15
21
  portfolio_id = Column(String, nullable=False)
16
22
  trading_symbol = Column(String, nullable=False)
17
23
  pending_value = Column(Float, nullable=False, default=0)
18
24
  unallocated = Column(Float, nullable=False, default=0)
25
+ net_size = Column(Float, nullable=False, default=0)
19
26
  total_net_gain = Column(Float, nullable=False, default=0)
20
27
  total_revenue = Column(Float, nullable=False, default=0)
21
28
  total_cost = Column(Float, nullable=False, default=0)
29
+ total_value = Column(Float, nullable=False, default=0)
22
30
  cash_flow = Column(Float, nullable=False, default=0)
23
31
  created_at = Column(DateTime, nullable=False, default=0)
24
32
  position_snapshots = relationship(
@@ -1,6 +1,6 @@
1
- from datetime import datetime
1
+ from datetime import datetime, timezone
2
2
 
3
- from sqlalchemy import Column, Integer, String, DateTime, Float
3
+ from sqlalchemy import Column, Integer, String, DateTime, Float, Boolean
4
4
  from sqlalchemy import UniqueConstraint
5
5
  from sqlalchemy.orm import relationship
6
6
  from sqlalchemy.orm import validates
@@ -23,6 +23,7 @@ class SQLPortfolio(Portfolio, SQLBaseModel, SQLAlchemyModelExtension):
23
23
  total_trade_volume = Column(Float, nullable=False, default=0)
24
24
  net_size = Column(Float, nullable=False, default=0)
25
25
  unallocated = Column(Float, nullable=False, default=0)
26
+ initial_balance = Column(Float, nullable=True)
26
27
  market = Column(String, nullable=False)
27
28
  positions = relationship(
28
29
  "SQLPosition",
@@ -30,8 +31,10 @@ class SQLPortfolio(Portfolio, SQLBaseModel, SQLAlchemyModelExtension):
30
31
  lazy="dynamic",
31
32
  cascade="all,delete",
32
33
  )
33
- created_at = Column(DateTime, nullable=False, default=datetime.utcnow)
34
- updated_at = Column(DateTime, nullable=False, default=datetime.utcnow)
34
+ created_at = Column(DateTime, nullable=False)
35
+ updated_at = Column(DateTime, nullable=False)
36
+ initialized = Column(Boolean, nullable=False, default=False)
37
+
35
38
  __table_args__ = (
36
39
  UniqueConstraint(
37
40
  'trading_symbol',
@@ -53,15 +56,21 @@ class SQLPortfolio(Portfolio, SQLBaseModel, SQLAlchemyModelExtension):
53
56
  trading_symbol,
54
57
  market,
55
58
  unallocated,
59
+ initialized,
60
+ initial_balance=None,
56
61
  identifier=None,
57
62
  created_at=None,
63
+ updated_at=None,
58
64
  ):
59
65
 
60
66
  if identifier is None:
61
67
  identifier = market
62
68
 
63
69
  if created_at is None:
64
- created_at = datetime.utcnow()
70
+ created_at = datetime.now(tz=timezone.utc)
71
+
72
+ if updated_at is None:
73
+ updated_at = datetime.now(tz=timezone.utc)
65
74
 
66
75
  super().__init__(
67
76
  trading_symbol=trading_symbol,
@@ -73,6 +82,9 @@ class SQLPortfolio(Portfolio, SQLBaseModel, SQLAlchemyModelExtension):
73
82
  total_revenue=0,
74
83
  total_cost=0,
75
84
  created_at=created_at,
85
+ updated_at=updated_at,
86
+ initialized=initialized,
87
+ initial_balance=initial_balance,
76
88
  )
77
89
 
78
90
  def update(self, data):
@@ -0,0 +1,9 @@
1
+ from .trade import SQLTrade
2
+ from .trade_stop_loss import SQLTradeStopLoss
3
+ from .trade_take_profit import SQLTradeTakeProfit
4
+
5
+ __all__ = [
6
+ "SQLTrade",
7
+ "SQLTradeStopLoss",
8
+ "SQLTradeTakeProfit",
9
+ ]
@@ -0,0 +1,130 @@
1
+ from sqlalchemy import Column, Integer, String, DateTime, Float
2
+ from sqlalchemy.orm import relationship
3
+
4
+ from investing_algorithm_framework.domain import Trade, TradeStatus
5
+ from investing_algorithm_framework.infrastructure.database import SQLBaseModel
6
+ from investing_algorithm_framework.infrastructure.models.model_extension \
7
+ import SQLAlchemyModelExtension
8
+ from investing_algorithm_framework.infrastructure.models\
9
+ .order_trade_association import order_trade_association
10
+
11
+
12
+ class SQLTrade(Trade, SQLBaseModel, SQLAlchemyModelExtension):
13
+ """
14
+ SQL Trade model
15
+
16
+ A trade is a combination of a buy and sell order that has been opened or
17
+ closed.
18
+
19
+ A trade is considered opened when a buy order is executed and there is
20
+ no corresponding sell order. A trade is considered closed when a sell
21
+ order is executed and the amount of the sell order is equal or larger
22
+ to the amount of the buy order.
23
+
24
+ A single sell order can close multiple buy orders. Also, a single
25
+ buy order can be closed by multiple sell orders.
26
+
27
+ Attributes:
28
+ orders: str, the id of the buy order
29
+ target_symbol: str, the target symbol of the trade
30
+ trading_symbol: str, the trading symbol of the trade
31
+ closed_at: datetime, the datetime when the trade was closed
32
+ amount: float, the amount of the trade
33
+ available_amount: float, the available amount of the trade
34
+ remaining: float, the remaining amount that is not filled by the
35
+ buy order that opened the trade.
36
+ filled_amount: float, the filled amount of the trade by the buy
37
+ order that opened the trade.
38
+ net_gain: float, the net gain of the trade
39
+ last_reported_price: float, the last reported price of the trade
40
+ last_reported_price_datetime: datetime, the datetime when the last
41
+ reported price was reported
42
+ created_at: datetime, the datetime when the trade was created
43
+ updated_at: datetime, the datetime when the trade was last updated
44
+ status: str, the status of the trade
45
+ """
46
+
47
+ __tablename__ = "trades"
48
+ id = Column(Integer, primary_key=True, unique=True)
49
+ orders = relationship(
50
+ 'SQLOrder',
51
+ secondary=order_trade_association,
52
+ back_populates='trades',
53
+ lazy='joined'
54
+ )
55
+ target_symbol = Column(String)
56
+ trading_symbol = Column(String)
57
+ closed_at = Column(DateTime, default=None)
58
+ opened_at = Column(DateTime, default=None)
59
+ open_price = Column(Float, default=None)
60
+ amount = Column(Float, default=None)
61
+ available_amount = Column(Float, default=None)
62
+ filled_amount = Column(Float, default=None)
63
+ remaining = Column(Float, default=None)
64
+ net_gain = Column(Float, default=0)
65
+ cost = Column(Float, default=0)
66
+ last_reported_price = Column(Float, default=None)
67
+ last_reported_price_datetime = Column(DateTime, default=None)
68
+ high_water_mark = Column(Float, default=None)
69
+ high_water_mark_datetime = Column(DateTime, default=None)
70
+ updated_at = Column(DateTime, default=None)
71
+ status = Column(String, default=TradeStatus.CREATED.value)
72
+ # Stop losses should be actively loaded
73
+ stop_losses = relationship(
74
+ 'SQLTradeStopLoss',
75
+ back_populates='trade',
76
+ lazy='joined'
77
+ )
78
+ # Take profits should be actively loaded
79
+ take_profits = relationship(
80
+ 'SQLTradeTakeProfit',
81
+ back_populates='trade',
82
+ lazy='joined'
83
+ )
84
+
85
+ def __init__(
86
+ self,
87
+ buy_order,
88
+ target_symbol,
89
+ trading_symbol,
90
+ opened_at,
91
+ amount,
92
+ available_amount,
93
+ filled_amount,
94
+ remaining,
95
+ status=TradeStatus.CREATED.value,
96
+ closed_at=None,
97
+ updated_at=None,
98
+ net_gain=0,
99
+ cost=0,
100
+ last_reported_price=None,
101
+ last_reported_price_datetime=None,
102
+ high_water_mark=None,
103
+ high_water_mark_datetime=None,
104
+ sell_orders=[],
105
+ stop_losses=[],
106
+ take_profits=[],
107
+ ):
108
+ self.orders = [buy_order]
109
+ self.open_price = buy_order.price
110
+ self.target_symbol = target_symbol
111
+ self.trading_symbol = trading_symbol
112
+ self.closed_at = closed_at
113
+ self.amount = amount
114
+ self.available_amount = available_amount
115
+ self.filled_amount = filled_amount
116
+ self.remaining = remaining
117
+ self.net_gain = net_gain
118
+ self.cost = cost
119
+ self.last_reported_price = last_reported_price
120
+ self.last_reported_price_datetime = last_reported_price_datetime
121
+ self.high_water_mark = high_water_mark
122
+ self.high_water_mark_datetime = high_water_mark_datetime
123
+ self.opened_at = opened_at
124
+ self.updated_at = updated_at
125
+ self.status = status
126
+ self.stop_losses = stop_losses
127
+ self.take_profits = take_profits
128
+
129
+ if sell_orders is not None:
130
+ self.orders.extend(sell_orders)
@@ -0,0 +1,59 @@
1
+ from sqlalchemy import Column, Integer, String, Float, ForeignKey, Boolean, \
2
+ DateTime
3
+ from sqlalchemy.orm import relationship
4
+
5
+ from investing_algorithm_framework.domain import TradeStopLoss
6
+ from investing_algorithm_framework.infrastructure.database import SQLBaseModel
7
+ from investing_algorithm_framework.infrastructure.models.model_extension \
8
+ import SQLAlchemyModelExtension
9
+
10
+
11
+ class SQLTradeStopLoss(TradeStopLoss, SQLBaseModel, SQLAlchemyModelExtension):
12
+ """
13
+ SQLTradeStopLoss model
14
+
15
+ A trade stop loss is a stop loss strategy for a trade.
16
+
17
+ Attributes:
18
+ - trade (Trade): the trade that the take profit is for
19
+ - percentage (float): the stop loss percentage
20
+ - trailing (bool): indicates whether the stop loss is trailing
21
+ - sell_percentage (float) the percentage of the trade to sell
22
+ when the stop loss is triggered.
23
+ - open_price (float): the price at which the trade was opened.
24
+ - high_water_mark (float): the highest price reached since the trade
25
+ was opened.
26
+ - high_water_mark_date (String): the date when the high water mark
27
+ was reached.
28
+ - stop_loss_price (float): the calculated stop loss price based on
29
+ the high watermark and percentage.
30
+ - sell_prices (String): a serialized list of prices at which
31
+ stop losses were executed.
32
+ - sell_dates (String): a serialized list of dates when
33
+ stop losses were executed.
34
+ - sell_amount (float): the total amount sold due to stop losses.
35
+ - sold_amount (float): the total amount that has been sold due
36
+ to stop losses.
37
+ - active (bool): indicates whether the stop loss is currently active.
38
+ """
39
+
40
+ __tablename__ = "trade_stop_losses"
41
+ id = Column(Integer, primary_key=True, unique=True)
42
+ trade_id = Column(Integer, ForeignKey('trades.id'))
43
+ trade = relationship('SQLTrade', back_populates='stop_losses')
44
+ trailing = Column(Boolean)
45
+ percentage = Column(Float)
46
+ sell_percentage = Column(Float)
47
+ open_price = Column(Float)
48
+ high_water_mark = Column(Float)
49
+ high_water_mark_date = Column(String)
50
+ stop_loss_price = Column(Float)
51
+ sell_prices = Column(String)
52
+ sell_dates = Column(String)
53
+ sell_amount = Column(Float)
54
+ sold_amount = Column(Float)
55
+ active = Column(Boolean)
56
+ triggered = Column(Boolean, default=False)
57
+ triggered_at = Column(DateTime, default=None)
58
+ created_at = Column(DateTime)
59
+ updated_at = Column(DateTime, default=None)