investing-algorithm-framework 3.8__tar.gz → 3.8.1__tar.gz

{investing_algorithm_framework-3.8 → investing_algorithm_framework-3.8.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 3.8
+Version: 3.8.1
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10
@@ -46,12 +46,11 @@ Description-Content-Type: text/markdown
 
 # [Investing Algorithm Framework](https://github.com/coding-kitties/investing-algorithm-framework)
 
-The Investing Algorithm Framework is a Python tool that enables swift and 
-elegant development of trading bots. It comes with all the necessary 
-components for creating algorithms, including data provisioning, 
-portfolio management, and order execution.
+The Investing Algorithm Framework is a Python framework that enables swift and elegant development of trading bots. It comes with all the necessary components for creating trading strategies, including data management, portfolio, order, position and trades management.
 
-Features: 
+Features:
+
+* Indicators module: A collection of indicators and utility functions that can be used in your trading strategies. 
 * Order execution and tracking
 * Broker and exchange connections through [ccxt](https://github.com/ccxt/ccxt)
 * Backtesting and performance analysis reports [example](./examples/backtest_example)
@@ -63,12 +62,10 @@ Features:
 * Stateless running for cloud function deployments
 * Polars dataframes support out of the box for fast data processing [pola.rs](https://pola.rs/)
 
-Additional features:
-* Indicators (python >= 3.10 required): Set of indicators that can be used in your trading bot. You can donwload the package with `pip install investing-algorithm-framework[indicators]` or `poetry add investing-algorithm-framework[indicators]]`
- 
 ## Example implementation
-The following algorithm connects to binance and buys BTC every 5 seconds. 
-It also exposes an REST API that allows you to interact with the algorithm.
+
+The following algorithm connects to binance and buys BTC every 5 seconds. It also exposes an REST API that allows you to interact with the algorithm.
+
 ```python
 import pathlib
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
@@ -160,12 +157,13 @@ if __name__ == "__main__":
 > You can find more examples [here](./examples) folder.
 
 ## Backtesting and experiments
-The framework also supports backtesting and performing backtest experiments. After 
-a backtest, you can print a report that shows the performance of your trading bot.
+
+The framework also supports backtesting and performing backtest experiments. After a backtest, you can print a report that shows the performance of your trading bot.
 
 To run a single backtest you can use the example code that can be found [here](./examples/backtest).
 
 ### Backtesting report
+
 You can use the ```pretty_print_backtest``` function to print a backtest report.
 For example if you run the [moving average example trading bot](./examples/crossover_moving_average_trading_bot)
 you will get the following backtesting report:
@@ -252,6 +250,7 @@ Trades overview
 ```
 
 ### Backtest experiments
+
 The framework also supports backtest experiments. Backtest experiments allows you to 
 compare multiple algorithms and evaluate their performance. Ideally, 
 you would do this by parameterizing your strategy and creating a factory function that
@@ -259,6 +258,7 @@ creates the algorithm with the different parameters. You can find an example of
 in the [backtest experiments example](./examples/backtest_experiment).
 
 ## Broker/Exchange configuration
+
 The framework has by default support for [ccxt](https://github.com/ccxt/ccxt).
 This should allow you to connect to a lot of brokers/exchanges.
 
@@ -284,10 +284,12 @@ app.add_portfolio_configuration(
 ```
 
 ## Performance
+
 We are continuously working on improving the performance of the framework. If
 you have any suggestions, please let us know.
 
 ## Download
+
 You can download the framework with pypi.
 
 ```bash
@@ -295,6 +297,7 @@ pip install investing-algorithm-framework
 ```
 
 ## Disclaimer
+
 If you use this framework for your investments, do not risk money 
 which you are afraid to lose, until you have clear understanding how 
 the framework works. We can't stress this enough:
@@ -319,8 +322,8 @@ If you'd like to chat with investing-algorithm-framework users
 and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
 
 ## Acknowledgements
-We want to thank all contributors to this project. A full list of all 
-the people that contributed to the project can be
+
+We want to thank all contributors to this project. A full list of all the people that contributed to the project can be
 found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
 
 ### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
@@ -329,9 +332,9 @@ If you discover a bug in the framework, please [search our issue tracker](https:
 first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
 
 ### Contributing
+
 The investing algorithm framework is a community driven project. 
-We welcome you to participate, contribute and together help build 
-the future trading bots developed in python.
+We welcome you to participate, contribute and together help build the future trading bots developed in python.
 
 Feel like the framework is missing a feature? We welcome your pull requests!
 If you want to contribute to the project roadmap, please take a look at the [project board](https://github.com/coding-kitties/investing-algorithm-framework/projects?query=is%3Aopen).

{investing_algorithm_framework-3.8 → investing_algorithm_framework-3.8.1}/README.md

@@ -15,12 +15,11 @@
 
 # [Investing Algorithm Framework](https://github.com/coding-kitties/investing-algorithm-framework)
 
-The Investing Algorithm Framework is a Python tool that enables swift and 
-elegant development of trading bots. It comes with all the necessary 
-components for creating algorithms, including data provisioning, 
-portfolio management, and order execution.
+The Investing Algorithm Framework is a Python framework that enables swift and elegant development of trading bots. It comes with all the necessary components for creating trading strategies, including data management, portfolio, order, position and trades management.
 
-Features: 
+Features:
+
+* Indicators module: A collection of indicators and utility functions that can be used in your trading strategies. 
 * Order execution and tracking
 * Broker and exchange connections through [ccxt](https://github.com/ccxt/ccxt)
 * Backtesting and performance analysis reports [example](./examples/backtest_example)
@@ -32,12 +31,10 @@ Features:
 * Stateless running for cloud function deployments
 * Polars dataframes support out of the box for fast data processing [pola.rs](https://pola.rs/)
 
-Additional features:
-* Indicators (python >= 3.10 required): Set of indicators that can be used in your trading bot. You can donwload the package with `pip install investing-algorithm-framework[indicators]` or `poetry add investing-algorithm-framework[indicators]]`
- 
 ## Example implementation
-The following algorithm connects to binance and buys BTC every 5 seconds. 
-It also exposes an REST API that allows you to interact with the algorithm.
+
+The following algorithm connects to binance and buys BTC every 5 seconds. It also exposes an REST API that allows you to interact with the algorithm.
+
 ```python
 import pathlib
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
@@ -129,12 +126,13 @@ if __name__ == "__main__":
 > You can find more examples [here](./examples) folder.
 
 ## Backtesting and experiments
-The framework also supports backtesting and performing backtest experiments. After 
-a backtest, you can print a report that shows the performance of your trading bot.
+
+The framework also supports backtesting and performing backtest experiments. After a backtest, you can print a report that shows the performance of your trading bot.
 
 To run a single backtest you can use the example code that can be found [here](./examples/backtest).
 
 ### Backtesting report
+
 You can use the ```pretty_print_backtest``` function to print a backtest report.
 For example if you run the [moving average example trading bot](./examples/crossover_moving_average_trading_bot)
 you will get the following backtesting report:
@@ -221,6 +219,7 @@ Trades overview
 ```
 
 ### Backtest experiments
+
 The framework also supports backtest experiments. Backtest experiments allows you to 
 compare multiple algorithms and evaluate their performance. Ideally, 
 you would do this by parameterizing your strategy and creating a factory function that
@@ -228,6 +227,7 @@ creates the algorithm with the different parameters. You can find an example of
 in the [backtest experiments example](./examples/backtest_experiment).
 
 ## Broker/Exchange configuration
+
 The framework has by default support for [ccxt](https://github.com/ccxt/ccxt).
 This should allow you to connect to a lot of brokers/exchanges.
 
@@ -253,10 +253,12 @@ app.add_portfolio_configuration(
 ```
 
 ## Performance
+
 We are continuously working on improving the performance of the framework. If
 you have any suggestions, please let us know.
 
 ## Download
+
 You can download the framework with pypi.
 
 ```bash
@@ -264,6 +266,7 @@ pip install investing-algorithm-framework
 ```
 
 ## Disclaimer
+
 If you use this framework for your investments, do not risk money 
 which you are afraid to lose, until you have clear understanding how 
 the framework works. We can't stress this enough:
@@ -288,8 +291,8 @@ If you'd like to chat with investing-algorithm-framework users
 and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
 
 ## Acknowledgements
-We want to thank all contributors to this project. A full list of all 
-the people that contributed to the project can be
+
+We want to thank all contributors to this project. A full list of all the people that contributed to the project can be
 found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
 
 ### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
@@ -298,9 +301,9 @@ If you discover a bug in the framework, please [search our issue tracker](https:
 first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
 
 ### Contributing
+
 The investing algorithm framework is a community driven project. 
-We welcome you to participate, contribute and together help build 
-the future trading bots developed in python.
+We welcome you to participate, contribute and together help build the future trading bots developed in python.
 
 Feel like the framework is missing a feature? We welcome your pull requests!
 If you want to contribute to the project roadmap, please take a look at the [project board](https://github.com/coding-kitties/investing-algorithm-framework/projects?query=is%3Aopen).

{investing_algorithm_framework-3.8 → investing_algorithm_framework-3.8.1}/investing_algorithm_framework/__init__.py

@@ -66,5 +66,23 @@ __all__ = [
     "load_backtest_report",
     "BacktestDateRange",
     "convert_polars_to_pandas",
-    "DateRange"
+    "DateRange",
+    "get_rsi",
+    "get_peaks",
+    "is_uptrend",
+    "is_downtrend",
+    "is_crossover",
+    "is_crossunder",
+    "is_above",
+    "is_below",
+    "has_crossed_upward",
+    "get_sma",
+    "get_up_and_downtrends",
+    "get_rsi",
+    "get_ema",
+    "get_adx",
+    "has_crossed_downward",
+    "get_willr",
+    "is_bearish_divergence",
+    "is_bullish_divergence",
 ]

{investing_algorithm_framework-3.8 → investing_algorithm_framework-3.8.1}/investing_algorithm_framework/app/algorithm.py

@@ -1,11 +1,12 @@
 import inspect
 import logging
 from typing import List, Dict
+import re
 
 from investing_algorithm_framework.domain import OrderStatus, \
     Position, Order, Portfolio, OrderType, OrderSide, \
     BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, MarketService, TimeUnit, \
-    OperationalException, random_string, RoundingService
+    OperationalException, random_string, RoundingService, Trade
 from investing_algorithm_framework.services import MarketCredentialService, \
     MarketDataSourceService, PortfolioService, PositionService, TradeService, \
     OrderService, ConfigurationService, StrategyOrchestratorService, \
@@ -73,6 +74,32 @@ class Algorithm:
         if data_sources is not None:
             self.add_data_sources(data_sources)
 
+    def _validate_name(self, name):
+        """
+        Function to validate the name of the algorithm. This function
+        will check if the name of the algorithm is a string and raise
+        an exception if it is not.
+
+        Name can only contain letters, numbers
+
+        Parameters:
+            name: The name of the algorithm
+
+        Returns:
+            None
+        """
+        if not isinstance(name, str):
+            raise OperationalException(
+                "The name of the algorithm must be a string"
+            )
+
+        pattern = re.compile(r"^[a-zA-Z0-9]*$")
+        if not pattern.match(name):
+            raise OperationalException(
+                "The name of the algorithm can only contain" +
+                " letters and numbers"
+            )
+
     def initialize_services(
         self,
         configuration_service,
@@ -235,12 +262,40 @@ class Algorithm:
             order_data, execute=execute, validate=validate, sync=sync
         )
 
+    def has_balance(self, symbol, amount, market=None):
+        """
+        Function to check if the portfolio has enough balance to
+        create an order. This function will return True if the
+        portfolio has enough balance to create an order, False
+        otherwise.
+
+        Parameters:
+            symbol: The symbol of the asset
+            amount: The amount of the asset
+            market: The market of the asset
+
+        Returns:
+            Boolean: True if the portfolio has enough balance
+        """
+
+        portfolio = self.portfolio_service.find({"market": market})
+        position = self.position_service.find(
+            {"portfolio": portfolio.id, "symbol": symbol}
+        )
+
+        if position is None:
+            return False
+
+        return position.get_amount() >= amount
+
     def create_limit_order(
         self,
         target_symbol,
         price,
         order_side,
         amount=None,
+        amount_trading_symbol=None,
+        percentage=None,
         percentage_of_portfolio=None,
         percentage_of_position=None,
         precision=None,
@@ -249,6 +304,39 @@ class Algorithm:
         validate=True,
         sync=True
     ):
+        """
+        Function to create a limit order. This function will create a limit
+        order and execute it if the execute parameter is set to True. If the
+        validate parameter is set to True, the order will be validated
+
+        Parameters:
+            target_symbol: The symbol of the asset to trade
+            price: The price of the asset
+            order_side: The side of the order
+            amount (optional): The amount of the asset to trade
+            amount_trading_symbol (optional): The amount of the
+              trading symbol to trade
+            percentage (optional): The percentage of the portfolio
+              to allocate to the
+                order
+            percentage_of_portfolio (optional): The percentage
+              of the portfolio to allocate to the order
+            percentage_of_position (optional): The percentage
+              of the position to allocate to
+                the order. (Only supported for SELL orders)
+            precision (optional): The precision of the amount
+            market (optional): The market to trade the asset
+            execute (optional): Default True. If set to True,
+              the order will be executed
+            validate (optional): Default True. If set to
+              True, the order will be validated
+            sync (optional): Default True. If set to True,
+              the created order will be synced with the
+                portfolio of the algorithm
+
+        Returns:
+            Order: Instance of the order created
+        """
         portfolio = self.portfolio_service.find({"market": market})
 
         if percentage_of_portfolio is not None:
@@ -277,9 +365,25 @@ class Algorithm:
             )
             amount = position.get_amount() * (percentage_of_position / 100)
 
+        elif percentage is not None:
+            net_size = portfolio.get_net_size()
+            size = net_size * (percentage / 100)
+            amount = size / price
+
         if precision is not None:
             amount = RoundingService.round_down(amount, precision)
 
+        if amount_trading_symbol is not None:
+            amount = amount_trading_symbol / price
+
+        if amount is None:
+            raise OperationalException(
+                "The amount parameter is required to create a limit order." +
+                "Either the amount, amount_trading_symbol, percentage, " +
+                "percentage_of_portfolio or percentage_of_position "
+                "parameter must be specified."
+            )
+
         order_data = {
             "target_symbol": target_symbol,
             "price": price,
@@ -310,6 +414,24 @@ class Algorithm:
         validate=False,
         sync=True
     ):
+        """
+        Function to create a market order. This function will create a market
+        order and execute it if the execute parameter is set to True. If the
+        validate parameter is set to True, the order will be validated
+
+        Parameters:
+            target_symbol: The symbol of the asset to trade
+            order_side: The side of the order
+            amount: The amount of the asset to trade
+            market: The market to trade the asset
+            execute: If set to True, the order will be executed
+            validate: If set to True, the order will be validated
+            sync: If set to True, the created order will be synced with the
+                portfolio of the algorithm
+
+        Returns:
+            Order: Instance of the order created
+        """
 
         if market is None:
             portfolio = self.portfolio_service.get_all()[0]
@@ -335,6 +457,18 @@ class Algorithm:
         )
 
     def get_portfolio(self, market=None) -> Portfolio:
+        """
+        Function to get the portfolio of the algorithm. This function
+        will return the portfolio of the algorithm. If the market
+        parameter is specified, the portfolio of the specified market
+        will be returned.
+
+        Parameters:
+            market: The market of the portfolio
+
+        Returns:
+            Portfolio: The portfolio of the algorithm
+        """
 
         if market is None:
             return self.portfolio_service.find({})
@@ -342,6 +476,18 @@ class Algorithm:
         return self.portfolio_service.find({{"market": market}})
 
     def get_unallocated(self, market=None) -> float:
+        """
+        Function to get the unallocated balance of the portfolio. This
+        function will return the unallocated balance of the portfolio.
+        If the market parameter is specified, the unallocated balance
+        of the specified market will be returned.
+
+        Parameters:
+            market: The market of the portfolio
+
+        Returns:
+            float: The unallocated balance of the portfolio
+        """
 
         if market:
             portfolio = self.portfolio_service.find({{"market": market}})
@@ -356,6 +502,12 @@ class Algorithm:
     def get_total_size(self):
         """
         Returns the total size of the portfolio.
+
+        The total size of the portfolio is the unallocated balance and the
+        allocated balance of the portfolio.
+
+        Returns:
+            float: The total size of the portfolio
         """
         return self.get_unallocated() + self.get_allocated()
 
@@ -432,6 +584,34 @@ class Algorithm:
         amount_lt=None,
         amount_lte=None
     ) -> List[Position]:
+        """
+        Function to get all positions. This function will return all
+        positions that match the specified query parameters. If the
+        market parameter is specified, the positions of the specified
+        market will be returned. If the identifier parameter is
+        specified, the positions of the specified portfolio will be
+        returned. If the amount_gt parameter is specified, the positions
+        with an amount greater than the specified amount will be returned.
+        If the amount_gte parameter is specified, the positions with an
+        amount greater than or equal to the specified amount will be
+        returned. If the amount_lt parameter is specified, the positions
+        with an amount less than the specified amount will be returned.
+        If the amount_lte parameter is specified, the positions with an
+        amount less than or equal to the specified amount will be returned.
+
+        Parameters:
+            market: The market of the portfolio where the positions are
+            identifier: The identifier of the portfolio
+            amount_gt: The amount of the asset must be greater than this
+            amount_gte: The amount of the asset must be greater than or
+                equal to this
+            amount_lt: The amount of the asset must be less than this
+            amount_lte: The amount of the asset must be less than or equal
+                to this
+
+        Returns:
+            List[Position]: A list of positions that match the query parameters
+        """
         query_params = {}
 
         if market is not None:
@@ -463,6 +643,23 @@ class Algorithm:
         )
 
     def get_position(self, symbol, market=None, identifier=None) -> Position:
+        """
+        Function to get a position. This function will return the
+        position that matches the specified query parameters. If the
+        market parameter is specified, the position of the specified
+        market will be returned. If the identifier parameter is
+        specified, the position of the specified portfolio will be
+        returned.
+
+        Parameters:
+            symbol: The symbol of the asset that represents the position
+            market: The market of the portfolio where the position is located
+            identifier: The identifier of the portfolio
+
+        Returns:
+            Position: The position that matches the query parameters
+        """
+
         query_params = {}
 
         if market is not None:
@@ -500,17 +697,19 @@ class Algorithm:
         True if a position exists, False otherwise. This function will check
         if the amount > 0 condition by default.
 
-        param symbol: The symbol of the asset
-        param market: The market of the asset
-        param identifier: The identifier of the portfolio
-        param amount_gt: The amount of the asset must be greater than this
-        param amount_gte: The amount of the asset must be greater than
-        or equal to this
-        param amount_lt: The amount of the asset must be less than this
-        param amount_lte: The amount of the asset must be less than
-        or equal to this
-
-        return: True if a position exists, False otherwise
+        Parameters:
+            param symbol: The symbol of the asset
+            param market: The market of the asset
+            param identifier: The identifier of the portfolio
+            param amount_gt: The amount of the asset must be greater than this
+            param amount_gte: The amount of the asset must be greater than
+            or equal to this
+            param amount_lt: The amount of the asset must be less than this
+            param amount_lte: The amount of the asset must be less than
+            or equal to this
+
+        Returns:
+            Boolean: True if a position exists, False otherwise
         """
 
         return self.position_exists(
@@ -654,6 +853,21 @@ class Algorithm:
     def close_position(
         self, symbol, market=None, identifier=None, precision=None
     ):
+        """
+        Function to close a position. This function will close a position
+        by creating a market order to sell the position. If the precision
+        parameter is specified, the amount of the order will be rounded
+        down to the specified precision.
+
+        Parameters:
+            symbol: The symbol of the asset
+            market: The market of the asset
+            identifier: The identifier of the portfolio
+            precision: The precision of the amount
+
+        Returns:
+            None
+        """
         portfolio = self.portfolio_service.find(
             {"market": market, "identifier": identifier}
         )
@@ -941,18 +1155,68 @@ class Algorithm:
         return self.order_service.exists(query_params)
 
     def check_pending_orders(self):
+        """
+        Function to check pending orders
+        """
         self.order_service.check_pending_orders()
 
-    def get_trades(self, market=None):
+    def get_trades(self, market=None) -> List[Trade]:
+        """
+        Function to get all trades. This function will return all trades
+        that match the specified query parameters. If the market parameter
+        is specified, the trades with the specified market will be returned.
+
+        Parameters:
+            market: The market of the asset
+
+        Returns:
+            List[Trade]: A list of trades that match the query parameters
+        """
         return self.trade_service.get_trades(market)
 
-    def get_closed_trades(self):
+    def get_closed_trades(self) -> List[Trade]:
+        """
+        Function to get all closed trades. This function will return all
+        closed trades of the algorithm.
+
+        Returns:
+            List[Trade]: A list of closed trades
+        """
         return self.trade_service.get_closed_trades()
 
-    def get_open_trades(self, target_symbol=None, market=None):
+    def get_open_trades(self, target_symbol=None, market=None) -> List[Trade]:
+        """
+        Function to get all open trades. This function will return all
+        open trades that match the specified query parameters. If the
+        target_symbol parameter is specified, the open trades with the
+        specified target symbol will be returned. If the market parameter
+        is specified, the open trades with the specified market will be
+        returned.
+
+        Parameters:
+            target_symbol: The symbol of the asset
+            market: The market of the asset
+
+        Returns:
+            List[Trade]: A list of open trades that match the query parameters
+        """
         return self.trade_service.get_open_trades(target_symbol, market)
 
     def close_trade(self, trade, market=None, precision=None) -> None:
+        """
+        Function to close a trade. This function will close a trade by
+        creating a market order to sell the position. If the precision
+        parameter is specified, the amount of the order will be rounded
+        down to the specified precision.
+
+        Parameters:
+            trade: Trade - The trade to close
+            market: str - The market of the trade
+            precision: float - The precision of the amount
+
+        Returns:
+            None
+        """
         self.trade_service.close_trade(
             trade=trade, market=market, precision=precision
         )
@@ -960,6 +1224,9 @@ class Algorithm:
     def get_number_of_positions(self):
         """
         Returns the number of positions that have a positive amount.
+
+        Returns:
+            int: The number of positions
         """
         return self.position_service.count({"amount_gt": 0})
 
@@ -978,8 +1245,9 @@ class Algorithm:
         the position must be greater than the net_size of the
         portfolio.
 
-        :param amount_gt: The amount of the position must be greater than
-        this amount.
+        Parameters:
+            amount_gt: The amount of the position must be greater than this
+              amount.
         :param amount_gte: The amount of the position must be greater than
         or equal to this amount.
         :param percentage_of_portfolio: The amount of the position must be