investing-algorithm-framework 4.0.1__tar.gz → 4.1.1__tar.gz

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 4.0.1
+Version: 4.1.1
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/__init__.py

@@ -11,7 +11,8 @@ from investing_algorithm_framework.domain import ApiException, \
     pretty_print_backtest_reports_evaluation, load_backtest_reports, \
     RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT, \
     load_backtest_report, BacktestDateRange, convert_polars_to_pandas, \
-    DateRange, get_backtest_report, DEFAULT_LOGGING_CONFIG
+    DateRange, get_backtest_report, DEFAULT_LOGGING_CONFIG, \
+    BacktestReport
 from investing_algorithm_framework.infrastructure import \
     CCXTOrderBookMarketDataSource, CCXTOHLCVMarketDataSource, \
     CCXTTickerMarketDataSource, CSVOHLCVMarketDataSource, \
@@ -88,5 +89,6 @@ __all__ = [
     "is_divergence",
     "get_backtest_report",
     "AzureBlobStorageStateHandler",
-    "DEFAULT_LOGGING_CONFIG"
+    "DEFAULT_LOGGING_CONFIG",
+    "BacktestReport"
 ]

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/app/algorithm.py

@@ -94,12 +94,21 @@ class Algorithm:
             )
 
         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"
             )
 
+        illegal_chars = r"[\/:*?\"<>|]"
+
+        if re.search(illegal_chars, name):
+            raise OperationalException(
+                f"Illegal characters detected in algorithm: {name}. "
+                f"Illegal characters: / \\ : * ? \" < > |"
+            )
+
     def initialize_services(
         self,
         configuration_service,
@@ -159,19 +168,15 @@ class Algorithm:
     def name(self):
         return self._name
 
+    @name.setter
+    def name(self, name):
+        self._validate_name(name)
+        self._name = name
+
     @property
     def data_sources(self):
         return self._data_sources
 
-    @property
-    def identifier(self):
-        """
-        Function to get a config instance. This allows users when
-        having access to the algorithm instance also to read the
-        configs of the app.
-        """
-        return self.configuration_service.config
-
     @property
     def config(self):
         """
@@ -179,7 +184,7 @@ class Algorithm:
         having access to the algorithm instance also to read the
         configs of the app.
         """
-        return self.configuration_service.config
+        return self.configuration_service.get_config()
 
     @property
     def description(self):
@@ -489,6 +494,16 @@ class Algorithm:
 
         return self.portfolio_service.find({{"market": market}})
 
+    def get_portfolios(self):
+        """
+        Function to get all portfolios of the algorithm. This function
+        will return all portfolios of the algorithm.
+
+        Returns:
+            List[Portfolio]: A list of all portfolios of the algorithm
+        """
+        return self.portfolio_service.get_all()
+
     def get_unallocated(self, market=None) -> float:
         """
         Function to get the unallocated balance of the portfolio. This
@@ -834,7 +849,7 @@ class Algorithm:
         return (position.amount * ticker["bid"] / total) * 100
 
     def get_position_percentage_of_portfolio_by_net_size(
-            self, symbol, market=None, identifier=None
+        self, symbol, market=None, identifier=None
     ) -> float:
         """
         Returns the percentage of the portfolio that is allocated to a

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/app/app.py

@@ -518,17 +518,6 @@ class App:
             trade_service=self.container.trade_service(),
         )
 
-        # Create all portfolios
-        portfolio_configuration_service = self.container \
-            .portfolio_configuration_service()
-        portfolio_configurations = portfolio_configuration_service.get_all()
-        portfolio_service = self.container.portfolio_service()
-
-        for portfolio_configuration in portfolio_configurations:
-            portfolio_service.create_portfolio_from_configuration(
-                portfolio_configuration
-            )
-
     def run(
         self,
         payload: dict = None,
@@ -774,20 +763,24 @@ class App:
 
     def run_backtest(
         self,
-        algorithm,
         backtest_date_range: BacktestDateRange,
+        initial_amount=None,
         pending_order_check_interval=None,
-        output_directory=None
+        output_directory=None,
+        algorithm: Algorithm = None
     ) -> BacktestReport:
         """
         Run a backtest for an algorithm. This method should be called when
         running a backtest.
 
-        Parameters:
-            algorithm: The algorithm to run a backtest for (instance of
-                Algorithm)
+        Args:
             backtest_date_range: The date range to run the backtest for
                 (instance of BacktestDateRange)
+            initial_amount: The initial amount to start the backtest with.
+                This will be the amount of trading currency that the backtest
+                portfolio will start with.
+            algorithm: The algorithm to run a backtest for (instance of
+                Algorithm)
             pending_order_check_interval: str - pending_order_check_interval:
               The interval at which to check pending orders (e.g. 1h, 1d, 1w)
             output_directory: str - The directory to
@@ -796,8 +789,11 @@ class App:
         Returns:
             Instance of BacktestReport
         """
-        logger.info("Initializing backtest")
-        self.algorithm = algorithm
+        if algorithm is not None:
+            self.algorithm = algorithm
+
+        if self.algorithm is None:
+            raise OperationalException("No algorithm registered")
 
         self._initialize_app_for_backtest(
             backtest_date_range=backtest_date_range,
@@ -807,24 +803,24 @@ class App:
         self._initialize_algorithm_for_backtest(
             algorithm=self.algorithm
         )
+
         backtest_service = self.container.backtest_service()
-        configuration_service = self.container.configuration_service()
-        config = configuration_service.get_config()
-        backtest_service.resource_directory = config[RESOURCE_DIRECTORY]
 
         # Run the backtest with the backtest_service and collect the report
         report = backtest_service.run_backtest(
-            algorithm=self.algorithm, backtest_date_range=backtest_date_range
+            algorithm=self.algorithm,
+            initial_amount=initial_amount,
+            backtest_date_range=backtest_date_range
         )
-        backtest_report_writer_service = self.container \
-            .backtest_report_writer_service()
+
+        config = self.container.configuration_service().get_config()
 
         if output_directory is None:
             output_directory = os.path.join(
                 config[RESOURCE_DIRECTORY], "backtest_reports"
             )
 
-        backtest_report_writer_service.write_report_to_json(
+        backtest_service.write_report_to_json(
             report=report, output_directory=output_directory
         )
 
@@ -842,7 +838,7 @@ class App:
         Run a backtest for a set algorithm. This method should be called when
         running a backtest.
 
-        Parameters:
+        Args:
             Algorithms: List[Algorithm] - The algorithms to run backtests for
             date_ranges: List[BacktestDateRange] - The date ranges to run the
                 backtests for
@@ -918,15 +914,12 @@ class App:
                 if date_range.name is not None:
                     report.date_range_name = date_range.name
 
-                backtest_report_writer_service = self.container \
-                    .backtest_report_writer_service()
-
                 if output_directory is None:
                     output_directory = os.path.join(
                         self.config[RESOURCE_DIRECTORY], "backtest_reports"
                     )
 
-                backtest_report_writer_service.write_report_to_json(
+                backtest_service.write_report_to_json(
                     report=report, output_directory=output_directory
                 )
                 reports.append(report)

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/dependency_container.py

@@ -9,8 +9,7 @@ from investing_algorithm_framework.services import OrderService, \
     PositionService, PortfolioService, StrategyOrchestratorService, \
     PortfolioConfigurationService, MarketDataSourceService, BacktestService, \
     ConfigurationService, PortfolioSnapshotService, PositionSnapshotService, \
-    MarketCredentialService, TradeService, BacktestReportWriterService, \
-    PortfolioSyncService
+    MarketCredentialService, TradeService, PortfolioSyncService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -126,13 +125,11 @@ class DependencyContainer(containers.DeclarativeContainer):
         BacktestService,
         configuration_service=configuration_service,
         order_service=order_service,
-        portfolio_repository=portfolio_repository,
+        portfolio_service=portfolio_service,
         performance_service=performance_service,
         position_repository=position_repository,
         market_data_source_service=market_data_source_service,
-    )
-    backtest_report_writer_service = providers.Factory(
-        BacktestReportWriterService,
+        portfolio_configuration_service=portfolio_configuration_service,
     )
     algorithm = providers.Factory(
         Algorithm,

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/domain/models/backtesting/backtest_report.py

@@ -9,7 +9,6 @@ from investing_algorithm_framework.domain.metrics import \
 from investing_algorithm_framework.domain.models \
     .backtesting.backtest_date_range import BacktestDateRange
 from investing_algorithm_framework.domain.models.base_model import BaseModel
-from investing_algorithm_framework.domain.models.time_unit import TimeUnit
 from investing_algorithm_framework.domain.models.position import Position
 from investing_algorithm_framework.domain.models.trade import Trade
 from investing_algorithm_framework.domain.models.order import Order
@@ -358,15 +357,7 @@ class BacktestReport(BaseModel):
         self._time_unit = value
 
     def get_runs_per_day(self):
-
-        if self.time_unit is None:
-            return 0
-        elif TimeUnit.SECOND.equals(self.time_unit):
-            return 86400 / self.interval
-        elif TimeUnit.MINUTE.equals(self.time_unit):
-            return 1440 / self.interval
-        else:
-            return 24 / self.interval
+        return self.number_of_runs / self.number_of_days
 
     @property
     def backtest_start_date(self):
@@ -525,6 +516,9 @@ class BacktestReport(BaseModel):
     def get_trading_symbol(self) -> str:
         return self.trading_symbol
 
+    def get_initial_unallocated(self) -> float:
+        return self.initial_unallocated
+
     def add_symbol(self, symbol):
 
         if symbol not in self.symbols:

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/domain/models/portfolio/portfolio.py

@@ -2,6 +2,37 @@ from investing_algorithm_framework.domain.models.base_model import BaseModel
 
 
 class Portfolio(BaseModel):
+    """
+    Portfolio base class.
+
+    A portfolio is a collection of positions that are managed by an algorithm.
+
+    Attributes:
+    * identifier: str, unique identifier of the portfolio
+    * trading_symbol: str, trading symbol of the portfolio
+    * unallocated: float, the size of the trading symbol that is not
+      allocated. For example, if the trading symbol is USDT and the unallocated
+      is 1000, it means that the portfolio has 1000 USDT that is not
+        allocated to any position.
+    * net_size: float, net size of the portfolio is the initial balance of the
+        portfolio plus the all the net gains of the trades. The
+    * realized: float, the realized gain of the portfolio is the sum of all the
+        realized gains of the trades.
+    * total_revenue: float, the total revenue of the portfolio is the sum
+        of all the orders (price * size)
+    * total_cost: float, the total cost of the portfolio is the sum of all the
+        costs of the trades (price * size (for buy orders)
+        or -price * size (for sell orders))
+    * total_net_gain: float, the total net gain of the portfolio is the sum of
+        all the net gains of the trades
+    * total_trade_volume: float, the total trade volume of the
+        portfolio is the sum of all the sizes of the trades
+    * market: str, the market of the portfolio (e.g. BITVAVO, BINANCE)
+    * created_at: datetime, the datetime when the portfolio was created
+    * updated_at: datetime, the datetime when the portfolio was last updated
+    * initialized: bool, whether the portfolio is initialized or not
+    * initial_balance: float, the initial balance of the portfolio
+    """
 
     def __init__(
         self,

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/domain/models/portfolio/portfolio_configuration.py

@@ -6,6 +6,23 @@ from investing_algorithm_framework.domain.models.base_model import BaseModel
 
 
 class PortfolioConfiguration(BaseModel):
+    """
+    This class represents a portfolio configuration. It is used to
+    configure the portfolio that the user wants to create.
+
+    The portfolio configuration will have the following attributes:
+    - market: The market where the portfolio will be created
+    - trading_symbol: The trading symbol of the portfolio
+    - track_from: The date from which the portfolio will be tracked
+    - identifier: The identifier of the portfolio
+    - initial_balance: The initial balance of the portfolio
+
+    For backtesting, a portfolio configuration is used to create a
+    portfolio that will be used to simulate the trading of the algorithm. if
+    the user does not provide an initial balance, the portfolio will be created
+    with a balance of according to the initial balanace of
+        the PortfolioConfiguration class.
+    """
 
     def __init__(
         self,
@@ -22,7 +39,9 @@ class PortfolioConfiguration(BaseModel):
         self._initial_balance = initial_balance
 
         if self.identifier is None:
-            self._identifier = market.lower()
+            self._identifier = market.upper()
+        else:
+            self._identifier = identifier.upper()
 
         if track_from:
             self._track_from = parse(track_from)
@@ -35,8 +54,8 @@ class PortfolioConfiguration(BaseModel):
     @property
     def market(self):
 
-        if hasattr(self._market, "lower"):
-            return self._market.lower()
+        if hasattr(self._market, "upper"):
+            return self._market.upper()
 
         return self._market
 

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/domain/services/market_data_sources.py

@@ -49,6 +49,12 @@ class BacktestMarketDataSource(ABC):
 
         This function prevents the backtest datasource to download the data
         every time the backtest is run.
+
+        Args:
+            file_path: str - the file path of the data storage file
+
+        Returns:
+            bool - True if the file exists and the column names are correct,
         """
         try:
             if os.path.isfile(file_path):
@@ -444,6 +450,15 @@ class OHLCVMarketDataSource(MarketDataSource, ABC):
         Function to get the date ranges of the market data source based
         on the window size and the time_frame. The date ranges
         will be calculated based on the start date and the end date.
+
+        Args:
+            start_date: datetime - The start date
+            end_date: datetime - The end date
+            window_size: int - The window size
+            time_frame: str - The time frame
+
+        Returns:
+            list - A list of tuples with the date ranges
         """
 
         if start_date > end_date:

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/domain/services/market_service.py

@@ -140,7 +140,7 @@ class MarketService(ABC):
 
         for market_data_credentials in self.market_credentials:
 
-            if market_data_credentials.market.lower() == market.lower():
+            if market_data_credentials.market.upper() == market.upper():
                 return market_data_credentials
 
         return None

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -74,12 +74,12 @@ class CCXTOHLCVBacktestMarketDataSource(
 
         When downloading the data it will use the ccxt library.
 
-        Parameters:
-            config: dict - the configuration of the data source
-            backtest_start_date: datetime - the start date of the backtest
-            backtest_end_date: datetime - the end date of the backtest
-            time_frame: string - the time frame of the data
-            window_size: int - the total amount of candle sticks that need to
+        Args:
+            config (dict): the configuration of the data source
+            backtest_start_date (datetime): the start date of the backtest
+            backtest_end_date (datetime): the end date of the backtest
+            time_frame (string): the time frame of the data
+            window_size (int): the total amount of candle sticks that need to
             be returned
 
         Returns:
@@ -137,6 +137,14 @@ class CCXTOHLCVBacktestMarketDataSource(
                 to_timestamp=backtest_end_date,
                 market=self.market
             )
+
+            if len(ohlcv) == 0:
+                raise OperationalException(
+                    f"No data found for {self.symbol} " +
+                    f"for date range: {backtest_data_start_date} " +
+                    f"to {backtest_end_date}. Please make sure that " +
+                    "the market has data for this date range."
+                )
             self.write_data_to_file_path(file_path, ohlcv)
 
         self.load_data()

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/infrastructure/repositories/portfolio_repository.py

@@ -20,7 +20,7 @@ class SQLPortfolioRepository(Repository):
             query = query.filter_by(market=market_query_param.upper())
 
         if identifier_query_param:
-            query = query.filter_by(identifier=identifier_query_param.lower())
+            query = query.filter_by(identifier=identifier_query_param.upper())
 
         if position_query_param:
             position = db.query(SQLPosition)\

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/infrastructure/repositories/repository.py

@@ -71,6 +71,7 @@ class Repository(ABC):
             try:
                 delete_object = self.get(object_id)
                 db.delete(delete_object)
+                db.commit()
                 return delete_object
             except SQLAlchemyError as e:
                 logger.error(e)

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/infrastructure/services/performance_service/performance_service.py

@@ -193,6 +193,10 @@ class PerformanceService:
         return: The total net gain percentage of the backtest
         """
         portfolio = self.portfolio_repository.find({"id": portfolio_id})
+
+        if portfolio.total_net_gain == 0:
+            return 0
+
         return portfolio.total_net_gain \
             / backtest_profile.initial_unallocated * 100
 

{investing_algorithm_framework-4.0.1 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/services/__init__.py

@@ -1,5 +1,4 @@
-from .backtesting import BacktestService, BacktestReportWriterService, \
-    create_trade_exit_markers_chart, create_trade_entry_markers_chart
+from .backtesting import BacktestService
 from .configuration_service import ConfigurationService
 from .market_credential_service import MarketCredentialService
 from .market_data_source_service import MarketDataSourceService, \
@@ -23,7 +22,6 @@ __all__ = [
     "PortfolioConfigurationService",
     "MarketDataSourceService",
     "BacktestService",
-    "BacktestReportWriterService",
     "OrderBacktestService",
     "ConfigurationService",
     "PortfolioSyncService",
@@ -33,6 +31,4 @@ __all__ = [
     "BacktestMarketDataSourceService",
     "BacktestPortfolioService",
     "TradeService",
-    "create_trade_entry_markers_chart",
-    "create_trade_exit_markers_chart"
 ]

investing_algorithm_framework-4.1.1/investing_algorithm_framework/services/backtesting/__init__.py

@@ -0,0 +1,5 @@
+from .backtest_service import BacktestService
+
+__all__ = [
+    "BacktestService",
+]