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

investing_algorithm_framework/infrastructure/services/market_service/ccxt_market_service.py

@@ -1,455 +0,0 @@
-import logging
-from datetime import datetime
-from time import sleep
-from typing import Dict
-
-import ccxt
-import polars as pl
-from dateutil import parser
-
-from investing_algorithm_framework.domain import OperationalException, Order, \
-    MarketService, DATETIME_FORMAT, TimeFrame
-
-logger = logging.getLogger(__name__)
-
-
-class CCXTMarketService(MarketService):
-    """
-    Market service implementation using the CCXT library
-    """
-    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):
-            raise OperationalException(
-                f"No market service found for market id {market}"
-            )
-
-        exchange_class = getattr(ccxt, market)
-
-        if exchange_class is None:
-            raise OperationalException(
-                f"No market service found for market id {market}"
-            )
-
-        if market_credential is not None:
-            exchange = exchange_class({
-                'apiKey': market_credential.api_key,
-                'secret': market_credential.secret_key,
-            })
-        else:
-            exchange = exchange_class({})
-
-        return exchange
-
-    def pair_exists(self, target_symbol: str, trading_symbol: str, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchTicker']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality pair_exists"
-            )
-
-        symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-        try:
-            data = exchange.fetchTicker(symbol)
-            return "symbol" in data
-        except OperationalException:
-            return False
-
-    def get_ticker(self, symbol, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchTicker']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_ticker"
-            )
-
-        try:
-            return exchange.fetchTicker(symbol)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException(
-                f"Could not retrieve ticker for symbol {symbol}"
-            )
-
-    def get_tickers(self, symbols, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchTickers']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_tickers"
-            )
-
-        try:
-            return exchange.fetchTickers(symbols)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException(
-                "Could not retrieve selection of tickers"
-            )
-
-    def get_order_book(self, symbol, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchOrderBook']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_order_book"
-            )
-
-        try:
-            return exchange.fetchOrderBook(symbol)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not retrieve order book")
-
-    def get_order_books(self, symbols, market):
-        data = {}
-
-        for symbol in symbols:
-            try:
-                entry = self.get_order_book(symbol, market)
-                del entry['symbol']
-                data[symbol] = entry
-            except Exception as e:
-                logger.exception(e)
-
-        return data
-
-    def get_order(self, order, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-        symbol = f"{order.target_symbol.upper()}/" \
-                 f"{order.trading_symbol.upper()}"
-
-        if not exchange.has['fetchOrder']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_order"
-            )
-
-        try:
-            order = exchange.fetchOrder(order.external_id, symbol)
-            return Order.from_ccxt_order(order)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not retrieve order")
-
-    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(
-                f"Market service {market} does not support "
-                f"functionality get_orders"
-            )
-
-        if since is not None:
-            since = exchange.parse8601(datetime_format)
-
-            try:
-                ccxt_orders = exchange.fetchOrders(symbol, since=since)
-                return [Order.from_ccxt_order(order) for order in ccxt_orders]
-            except Exception as e:
-                logger.exception(e)
-                raise OperationalException("Could not retrieve orders")
-        else:
-            try:
-                ccxt_orders = exchange.fetchOrders(symbol)
-                return [Order.from_ccxt_order(order) for order in ccxt_orders]
-            except Exception as e:
-                logger.exception(e)
-                raise OperationalException("Could not retrieve orders")
-
-    def get_balance(self, market) -> Dict[str, float]:
-        market_credential = self.get_market_credential(market)
-
-        if market_credential is None:
-            raise OperationalException(
-                f"You don't have a market credential for market {market}"
-            )
-
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchBalance']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_balance"
-            )
-
-        try:
-            return exchange.fetchBalance()["free"]
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException(
-                f"Please make sure you have "
-                f"registered a valid market credential "
-                f"object to the app: {str(e)}"
-            )
-
-    def create_limit_buy_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-        price: float,
-        market
-    ):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['createLimitBuyOrder']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality create_limit_buy_order"
-            )
-
-        symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-
-        try:
-            order = exchange.createLimitBuyOrder(
-                symbol, amount, price
-            )
-            return Order.from_ccxt_order(order)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not create limit buy order")
-
-    def create_limit_sell_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-        price: float,
-        market
-    ):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['createLimitSellOrder']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality create_limit_sell_order"
-            )
-
-        symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-
-        try:
-            order = exchange.createLimitSellOrder(
-                symbol, amount, price
-            )
-            return Order.from_ccxt_order(order)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not create limit sell order")
-
-    def create_market_sell_order(
-        self,
-        target_symbol: str,
-        trading_symbol: str,
-        amount: float,
-        market
-    ):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['createMarketSellOrder']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality create_market_sell_order"
-            )
-
-        symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-
-        try:
-            order = exchange.createMarketSellOrder(symbol, amount)
-            return Order.from_ccxt_order(order)
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not create market sell order")
-
-    def cancel_order(self, order, market):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['cancelOrder']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality cancel_order"
-            )
-
-        exchange.cancelOrder(
-            order.get_order_reference(),
-            f"{order.get_target_symbol()}/{order.get_trading_symbol()}")
-
-    def get_open_orders(
-        self, market, target_symbol: str = None, trading_symbol: str = None
-    ):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchOpenOrders']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_open_orders"
-            )
-
-        try:
-            if target_symbol is None or trading_symbol is None:
-                return exchange.fetchOpenOrders()
-
-            symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-            ccxt_orders = exchange.fetchOpenOrders(symbol)
-            return [Order.from_ccxt_order(order) for order in ccxt_orders]
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not retrieve open orders")
-
-    def get_closed_orders(
-        self, market, target_symbol: str = None, trading_symbol: str = None
-    ):
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchClosedOrders']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_closed_orders"
-            )
-
-        try:
-            if target_symbol is None or trading_symbol is None:
-                return exchange.fetchClosedOrders()
-
-            symbol = f"{target_symbol.upper()}/{trading_symbol.upper()}"
-            ccxt_orders = exchange.fetchClosedOrders(symbol)
-            return [Order.from_ccxt_order(order) for order in ccxt_orders]
-        except Exception as e:
-            logger.exception(e)
-            raise OperationalException("Could not retrieve closed orders")
-
-    def get_ohlcv(
-        self, symbol, time_frame, from_timestamp, market, to_timestamp=None
-    ) -> pl.DataFrame:
-        time_frame = TimeFrame.from_value(time_frame).value
-
-        if self.config is not None and "DATETIME_FORMAT" in self.config:
-            datetime_format = self.config["DATETIME_FORMAT"]
-        else:
-            datetime_format = DATETIME_FORMAT
-
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-
-        if not exchange.has['fetchOHLCV']:
-            raise OperationalException(
-                f"Market service {market} does not support "
-                f"functionality get_ohclvs"
-            )
-
-        from_time_stamp = exchange.parse8601(
-            from_timestamp.strftime(datetime_format)
-        )
-
-        if to_timestamp is None:
-            to_timestamp = exchange.milliseconds()
-        else:
-            to_timestamp = exchange.parse8601(
-                to_timestamp.strftime(datetime_format)
-            )
-        data = []
-
-        while from_time_stamp < to_timestamp:
-            ohlcv = exchange.fetch_ohlcv(symbol, time_frame, from_time_stamp)
-
-            if len(ohlcv) > 0:
-                from_time_stamp = \
-                    ohlcv[-1][0] + exchange.parse_timeframe(time_frame) * 1000
-            else:
-                from_time_stamp = to_timestamp
-
-            for candle in ohlcv:
-                datetime_stamp = parser.parse(exchange.iso8601(candle[0]))
-
-                to_timestamp_datetime = parser.parse(
-                    exchange.iso8601(to_timestamp),
-                )
-
-                if datetime_stamp <= to_timestamp_datetime:
-                    datetime_stamp = datetime_stamp\
-                        .strftime(datetime_format)
-
-                    data.append([datetime_stamp] + candle[1:])
-
-            sleep(exchange.rateLimit / 1000)
-
-        # Predefined column names
-        col_names = ["Datetime", "Open", "High", "Low", "Close", "Volume"]
-
-        # Combine the Series into a DataFrame with given column names
-        df = pl.DataFrame(data)
-
-        # Assign column names after DataFrame creation
-        df.columns = col_names
-        return df
-
-    def get_ohlcvs(
-        self,
-        symbols,
-        time_frame,
-        from_timestamp,
-        market,
-        to_timestamp=None
-    ) -> Dict[str, pl.DataFrame]:
-        ohlcvs = {}
-        time_frame = TimeFrame.from_value(time_frame).value
-
-        for symbol in symbols:
-
-            try:
-                ohlcvs[symbol] = self.get_ohlcv(
-                    symbol=symbol,
-                    time_frame=time_frame,
-                    from_timestamp=from_timestamp,
-                    to_timestamp=to_timestamp,
-                    market=market
-                )
-            except Exception as e:
-                logger.exception(e)
-                logger.error(f"Could not retrieve ohlcv data for {symbol}")
-
-        return ohlcvs
-
-    def get_symbols(self, market):
-        """
-        Get all available symbols for a given market
-        """
-        market_credential = self.get_market_credential(market)
-        exchange = self.initialize_exchange(market, market_credential)
-        market_information = exchange.load_markets()
-        return list(market_information.keys())

investing_algorithm_framework/infrastructure/services/performance_service/__init__.py

@@ -1,7 +0,0 @@
-from .backtest_performance_service import BacktestPerformanceService
-from .performance_service import PerformanceService
-
-__all__ = [
-    "PerformanceService",
-    "BacktestPerformanceService"
-]

investing_algorithm_framework/infrastructure/services/performance_service/backtest_performance_service.py

@@ -1,2 +0,0 @@
-class BacktestPerformanceService:
-    pass