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
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