investing-algorithm-framework 4.1.0__tar.gz → 4.1.1__tar.gz

{investing_algorithm_framework-4.1.0 → investing_algorithm_framework-4.1.1}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 4.1.0
+Version: 4.1.1
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-4.1.0 → 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,
@@ -159,6 +168,11 @@ 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

{investing_algorithm_framework-4.1.0 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/app/app.py

@@ -773,7 +773,7 @@ class App:
         Run a backtest for an algorithm. This method should be called when
         running a backtest.
 
-        Parameters:
+        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.
@@ -812,8 +812,6 @@ class App:
             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()
 
@@ -822,7 +820,7 @@ class App:
                 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
         )
 
@@ -840,7 +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
@@ -916,15 +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-4.1.0 → 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):
@@ -132,9 +131,6 @@ class DependencyContainer(containers.DeclarativeContainer):
         market_data_source_service=market_data_source_service,
         portfolio_configuration_service=portfolio_configuration_service,
     )
-    backtest_report_writer_service = providers.Factory(
-        BacktestReportWriterService,
-    )
     algorithm = providers.Factory(
         Algorithm,
         configuration_service=configuration_service,

{investing_algorithm_framework-4.1.0 → 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-4.1.0 → 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-4.1.0 → 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-4.1.0 → 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",
+]

{investing_algorithm_framework-4.1.0 → investing_algorithm_framework-4.1.1}/investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -23,6 +23,27 @@ BACKTEST_REPORT_FILE_NAME_PATTERN = (
 )
 
 
+def validate_algorithm_name(name, illegal_chars=r"[\/:*?\"<>|]"):
+    """
+    Validate a algorithm name for illegal characters and throw an
+        exception if any are found.
+
+    Args:
+        name (str): The name to validate.
+        illegal_chars (str): A regex pattern for characters considered
+            illegal (default: r"[/:*?\"<>|]").
+
+    Raises:
+        ValueError: If illegal characters are found in the filename.
+    """
+    # Check for illegal characters
+    if re.search(illegal_chars, name):
+        raise OperationalException(
+            f"Illegal characters detected in filename: {name}. "
+            f"Illegal characters: / \\ : * ? \" < > |"
+        )
+
+
 class BacktestService:
     """
     Service that facilitates backtests for algorithm objects.
@@ -87,6 +108,8 @@ class BacktestService:
         Returns:
             BacktestReport - The backtest report
         """
+        validate_algorithm_name(algorithm.name)
+
         logging.info(
             f"Running backtest for algorithm with name {algorithm.name}"
         )
@@ -179,6 +202,10 @@ class BacktestService:
         """
         backtest_reports = []
 
+        # Check algorithm names for illegal characters
+        for algorithm in algorithms:
+            validate_algorithm_name(algorithm.name)
+
         for algorithm in algorithms:
             backtest_reports.append(
                 self.run_backtest(
@@ -291,7 +318,7 @@ class BacktestService:
         Also, it will add all traces to the backtest report. The traces
         are collected from each strategy that was run during the backtest.
 
-        Parameters:
+        Args:
             algorithm: The algorithm to create the backtest report for
             number_of_runs: The number of runs
             backtest_date_range: The backtest date range of the backtest
@@ -514,7 +541,7 @@ class BacktestService:
         Function to get a report based on the algorithm name and
         backtest date range if it exists.
 
-        Parameters:
+        Args:
             algorithm_name: str - The name of the algorithm
             backtest_date_range: BacktestDateRange - The backtest date range
             directory: str - The output directory
@@ -563,7 +590,7 @@ class BacktestService:
         """
         Function to get the backtest start date from a backtest report file.
 
-        Parameters:
+        Args:
             path: str - The path to the backtest report file
 
         Returns:
@@ -581,7 +608,7 @@ class BacktestService:
         """
         Function to get the backtest end date from a backtest report file.
 
-        Parameters:
+        Args:
             path: str - The path to the backtest report file
 
         Returns:
@@ -599,7 +626,7 @@ class BacktestService:
         """
         Function to get the algorithm name from a backtest report file.
 
-        Parameters:
+        Args:
             path: str - The path to the backtest report file
 
         Returns:
@@ -615,7 +642,7 @@ class BacktestService:
         """
         Function to check if a file is a backtest report file.
 
-        Parameters:
+        Args:
             path: str - The path to the file
 
         Returns:
@@ -633,3 +660,80 @@ class BacktestService:
                 return True
 
         return False
+
+    def write_report_to_json(
+        self, report: BacktestReport, output_directory: str
+    ) -> None:
+        """
+        Function to write a backtest report to a JSON file.
+
+        Args:
+            - report: BacktestReport
+                The backtest report to write to a file.
+            - output_directory: str
+                The directory to store the backtest report file.
+
+        Returns:
+            - None
+        """
+
+        if not os.path.exists(output_directory):
+            os.makedirs(output_directory)
+
+        json_file_path = self.create_report_file_path(
+            report, output_directory, extension=".json"
+        )
+
+        report_dict = report.to_dict()
+        # Convert dictionary to JSON
+        json_data = json.dumps(report_dict, indent=4)
+
+        # Write JSON data to a .json file
+        with open(json_file_path, "w") as json_file:
+            json_file.write(json_data)
+
+    @staticmethod
+    def create_report_name(report, output_directory, extension=".json"):
+        backtest_start_date = report.backtest_start_date \
+            .strftime(DATETIME_FORMAT_BACKTESTING)
+        backtest_end_date = report.backtest_end_date \
+            .strftime(DATETIME_FORMAT_BACKTESTING)
+        created_at = report.created_at.strftime(DATETIME_FORMAT_BACKTESTING)
+        file_path = os.path.join(
+            output_directory,
+            f"report_{report.name}_backtest-start-date_"
+            f"{backtest_start_date}_backtest-end-date_"
+            f"{backtest_end_date}_created-at_{created_at}{extension}"
+        )
+        return file_path
+
+    @staticmethod
+    def create_report_file_path(
+        report, output_directory, extension=".json"
+    ) -> str:
+        """
+        Function to create a file path for a backtest report.
+
+        Args:
+            - report: BacktestReport
+                The backtest report to create a file path for.
+            - output_directory: str
+                The directory to store the backtest report file.
+            - extension: str (default=".json") - optional
+                The file extension to use for the backtest report file.
+        Returns:
+            - file_path: str
+                The file path for the backtest report file.
+        """
+        backtest_start_date = report.backtest_start_date \
+            .strftime(DATETIME_FORMAT_BACKTESTING)
+        backtest_end_date = report.backtest_end_date \
+            .strftime(DATETIME_FORMAT_BACKTESTING)
+        created_at = report.created_at.strftime(DATETIME_FORMAT_BACKTESTING)
+        file_path = os.path.join(
+            output_directory,
+            f"report_{report.name}_backtest-start-date_"
+            f"{backtest_start_date}_backtest-end-date_"
+            f"{backtest_end_date}_created-at_{created_at}{extension}"
+        )
+        return file_path

{investing_algorithm_framework-4.1.0 → investing_algorithm_framework-4.1.1}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v4.1.0"
+version = "v4.1.1"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"

investing_algorithm_framework-4.1.0/investing_algorithm_framework/services/backtesting/__init__.py

@@ -1,12 +0,0 @@
-from .backtest_report_writer_service import BacktestReportWriterService
-from .backtest_service import BacktestService
-from .graphs import create_trade_entry_markers_chart, \
-    create_trade_exit_markers_chart
-
-
-__all__ = [
-    "BacktestReportWriterService",
-    "BacktestService",
-    "create_trade_entry_markers_chart",
-    "create_trade_exit_markers_chart"
-]

investing_algorithm_framework-4.1.0/investing_algorithm_framework/services/backtesting/backtest_report_writer_service.py

@@ -1,91 +0,0 @@
-import json
-import os
-
-from investing_algorithm_framework.domain import BacktestReport, \
-    DATETIME_FORMAT_BACKTESTING
-
-
-class BacktestReportWriterService:
-    """
-    Service to write backtest reports to a file.
-
-    Service supports writing backtest reports to the following formats:
-    - JSON
-    """
-
-    def write_report_to_json(
-        self, report: BacktestReport, output_directory: str
-    ) -> None:
-        """
-        Function to write a backtest report to a JSON file.
-
-        Parameters:
-            - report: BacktestReport
-                The backtest report to write to a file.
-            - output_directory: str
-                The directory to store the backtest report file.
-
-        Returns:
-            - None
-        """
-
-        if not os.path.exists(output_directory):
-            os.makedirs(output_directory)
-
-        json_file_path = self.create_report_file_path(
-            report, output_directory, extension=".json"
-        )
-
-        report_dict = report.to_dict()
-        # Convert dictionary to JSON
-        json_data = json.dumps(report_dict, indent=4)
-
-        # Write JSON data to a .json file
-        with open(json_file_path, "w") as json_file:
-            json_file.write(json_data)
-
-    @staticmethod
-    def create_report_name(report, output_directory, extension=".json"):
-        backtest_start_date = report.backtest_start_date \
-            .strftime(DATETIME_FORMAT_BACKTESTING)
-        backtest_end_date = report.backtest_end_date \
-            .strftime(DATETIME_FORMAT_BACKTESTING)
-        created_at = report.created_at.strftime(DATETIME_FORMAT_BACKTESTING)
-        file_path = os.path.join(
-            output_directory,
-            f"report_{report.name}_backtest-start-date_"
-            f"{backtest_start_date}_backtest-end-date_"
-            f"{backtest_end_date}_created-at_{created_at}{extension}"
-        )
-        return file_path
-
-    @staticmethod
-    def create_report_file_path(
-        report, output_directory, extension=".json"
-    ) -> str:
-        """
-        Function to create a file path for a backtest report.
-
-        Parameters:
-            - report: BacktestReport
-                The backtest report to create a file path for.
-            - output_directory: str
-                The directory to store the backtest report file.
-            - extension: str (default=".json") - optional
-                The file extension to use for the backtest report file.
-        Returns:
-            - file_path: str
-                The file path for the backtest report file.
-        """
-        backtest_start_date = report.backtest_start_date \
-            .strftime(DATETIME_FORMAT_BACKTESTING)
-        backtest_end_date = report.backtest_end_date \
-            .strftime(DATETIME_FORMAT_BACKTESTING)
-        created_at = report.created_at.strftime(DATETIME_FORMAT_BACKTESTING)
-        file_path = os.path.join(
-            output_directory,
-            f"report_{report.name}_backtest-start-date_"
-            f"{backtest_start_date}_backtest-end-date_"
-            f"{backtest_end_date}_created-at_{created_at}{extension}"
-        )
-        return file_path

investing_algorithm_framework-4.1.0/investing_algorithm_framework/services/backtesting/graphs.py

@@ -1,61 +0,0 @@
-from typing import List
-
-import pandas as pd
-from plotly import graph_objects as go
-
-from investing_algorithm_framework.domain import Trade
-
-
-def create_prices_chart(df, column="Close"):
-    """
-    Function to create a prices chart.
-    """
-    return go.Scatter(
-        x=df.index,
-        y=df[column],
-        mode='lines',
-        line=dict(color="blue", width=1),
-        name="Close"
-    )
-
-
-def create_trade_entry_markers_chart(df, trades: List[Trade]):
-    df['entry_prices'] = None
-
-    for trade in trades:
-        opened_index = df.index.get_indexer(
-            [pd.to_datetime(trade.opened_at)], method='nearest'
-        )
-        df.at[df.index[opened_index[0]], 'entry_prices'] = df.at[
-            df.index[opened_index[0]], 'Close']
-
-    return go.Scatter(
-        x=df.index,
-        y=df["entry_prices"],
-        marker_symbol="arrow-up",
-        marker=dict(color='green'),
-        mode='markers',
-        name='Buy'
-    )
-
-
-def create_trade_exit_markers_chart(df, trades: List[Trade]):
-    df['exit_prices'] = None
-
-    for trade in trades:
-
-        if trade.closed_at is not None:
-            closed_index = df.index.get_indexer(
-                [pd.to_datetime(trade.closed_at)], method='nearest'
-            )
-            df.at[df.index[closed_index[0]], 'exit_prices'] = df.at[
-                df.index[closed_index[0]], 'Close']
-
-    return go.Scatter(
-        x=df.index,
-        y=df["exit_prices"],
-        marker_symbol="arrow-down",
-        marker=dict(color='red'),
-        mode='markers',
-        name='Sell'
-    )