investing-algorithm-framework 5.0.1__tar.gz → 5.1.0__tar.gz

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 5.0.1
+Version: 5.1.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.9

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/investing_algorithm_framework/domain/utils/backtesting.py

@@ -2,7 +2,7 @@ import os
 import re
 import json
 from datetime import datetime
-from typing import List, Tuple
+from typing import List
 
 from tabulate import tabulate
 

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -1,7 +1,6 @@
 import logging
 import os
 from datetime import timedelta, datetime, timezone
-from dateutil.parser import parse
 import polars
 from dateutil import parser
 
@@ -57,6 +56,9 @@ class CCXTOHLCVBacktestMarketDataSource(
         self.data = None
         self._start_date_data_source = None
         self._end_date_data_source = None
+        self.backtest_end_index = self.window_size
+        self.backtest_start_index = 0
+        self.window_cache = {}
 
     def prepare_data(
         self,
@@ -100,8 +102,6 @@ class CCXTOHLCVBacktestMarketDataSource(
 
         self.backtest_data_start_date = backtest_data_start_date\
             .replace(microsecond=0)
-        self.backtest_data_index_date = backtest_data_start_date\
-            .replace(microsecond=0)
         self.backtest_data_end_date = backtest_end_date.replace(microsecond=0)
 
         # Creating the backtest data directory and file
@@ -148,14 +148,30 @@ class CCXTOHLCVBacktestMarketDataSource(
             self.write_data_to_file_path(file_path, ohlcv)
 
         self.load_data()
+        self._precompute_sliding_windows()  # Precompute sliding windows!
+
+    def _precompute_sliding_windows(self):
+        """
+        Precompute all sliding windows for fast retrieval.
+        """
+        self.window_cache = {}
+        timestamps = self.data["Datetime"].to_list()
+
+        for i in range(len(timestamps) - self.window_size + 1):
+            # Use last timestamp as key
+            end_time = timestamps[i + self.window_size - 1]
+            self.window_cache[end_time] = self.data.slice(i, self.window_size)
 
     def load_data(self):
         file_path = self._create_file_path()
-        self.data = polars.read_csv(file_path)
+        self.data = polars.read_csv(
+            file_path, dtypes={"Datetime": polars.Datetime}, low_memory=True
+        )  # Faster parsing
         first_row = self.data.head(1)
         last_row = self.data.tail(1)
-        self._start_date_data_source = parse(first_row["Datetime"][0])
-        self._end_date_data_source = parse(last_row["Datetime"][0])
+
+        self._start_date_data_source = first_row["Datetime"][0]
+        self._end_date_data_source = last_row["Datetime"][0]
 
     def _create_file_path(self):
         """
@@ -190,38 +206,21 @@ class CCXTOHLCVBacktestMarketDataSource(
         source. This implementation will use polars to load and filter the
         data.
         """
-        if self.data is None:
-            self.load_data()
-
-        end_date = date
 
-        if end_date is None:
-            return self.data
+        data = self.window_cache.get(date)
+        if data is not None:
+            return data
 
-        start_date = self.create_start_date(
-            end_date, self.time_frame, self.window_size
-        )
+        # Find closest previous timestamp
+        sorted_timestamps = sorted(self.window_cache.keys())
 
-        if start_date < self._start_date_data_source:
-            raise OperationalException(
-                f"Start date {start_date} is before the start date "
-                f"of the data source {self._start_date_data_source}"
-            )
+        closest_date = None
+        for ts in reversed(sorted_timestamps):
+            if ts < date:
+                closest_date = ts
+                break
 
-        if end_date > self._end_date_data_source:
-            raise OperationalException(
-                f"End date {end_date} is after the end date "
-                f"of the data source {self._end_date_data_source}"
-            )
-
-        time_frame = TimeFrame.from_string(self.time_frame)
-        start_date = start_date - \
-            timedelta(minutes=time_frame.amount_of_minutes)
-        selection = self.data.filter(
-            (self.data['Datetime'] >= start_date.strftime(DATETIME_FORMAT))
-            & (self.data['Datetime'] <= end_date.strftime(DATETIME_FORMAT))
-        )
-        return selection
+        return self.window_cache.get(closest_date) if closest_date else None
 
     def to_backtest_market_data_source(self) -> BacktestMarketDataSource:
         # Ignore this method for now

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/investing_algorithm_framework/infrastructure/models/market_data_sources/csv.py

@@ -40,7 +40,8 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
         self._columns = [
             "Datetime", "Open", "High", "Low", "Close", "Volume"
         ]
-        df = polars.read_csv(csv_file_path)
+
+        df = polars.read_csv(self._csv_file_path)
 
         # Check if all column names are in the csv file
         if not all(column in df.columns for column in self._columns):
@@ -53,15 +54,25 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
                 f"Missing columns: {missing_columns}"
             )
 
-        first_row = df.head(1)
-        last_row = df.tail(1)
-        self._start_date_data_source = parse(first_row["Datetime"][0])
-        self._end_date_data_source = parse(last_row["Datetime"][0])
+        self.data = self._load_data(self.csv_file_path)
+        first_row = self.data.head(1)
+        last_row = self.data.tail(1)
+        self._start_date_data_source = first_row["Datetime"][0]
+        self._end_date_data_source = last_row["Datetime"][0]
 
     @property
     def csv_file_path(self):
         return self._csv_file_path
 
+    def _load_data(self, file_path):
+        return polars.read_csv(
+            file_path, dtypes={"Datetime": polars.Datetime}, low_memory=True
+        ).with_columns(
+            polars.col("Datetime").cast(
+                polars.Datetime(time_unit="ms", time_zone="UTC")
+            )
+        )
+
     def get_data(
         self,
         start_date: datetime = None,
@@ -86,9 +97,7 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
         """
 
         if start_date is None and end_date is None:
-            return polars.read_csv(
-                self.csv_file_path, columns=self._columns, separator=","
-            )
+            return self.data
 
         if end_date is not None and start_date is not None:
 
@@ -101,13 +110,10 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
             if start_date > self._end_date_data_source:
                 return polars.DataFrame()
 
-            df = polars.read_csv(
-                self.csv_file_path, columns=self._columns, separator=","
-            )
-
+            df = self.data
             df = df.filter(
-                (df['Datetime'] >= start_date.strftime(DATETIME_FORMAT))
-                & (df['Datetime'] <= end_date.strftime(DATETIME_FORMAT))
+                (df['Datetime'] >= start_date)
+                & (df['Datetime'] <= end_date)
             )
             return df
 
@@ -119,11 +125,9 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
             if start_date > self._end_date_data_source:
                 return polars.DataFrame()
 
-            df = polars.read_csv(
-                self.csv_file_path, columns=self._columns, separator=","
-            )
+            df = self.data
             df = df.filter(
-                (df['Datetime'] >= start_date.strftime(DATETIME_FORMAT))
+                (df['Datetime'] >= start_date)
             )
             df = df.head(self.window_size)
             return df
@@ -136,11 +140,9 @@ class CSVOHLCVMarketDataSource(OHLCVMarketDataSource):
             if end_date > self._end_date_data_source:
                 return polars.DataFrame()
 
-            df = polars.read_csv(
-                self.csv_file_path, columns=self._columns, separator=","
-            )
+            df = self.data
             df = df.filter(
-                (df['Datetime'] <= end_date.strftime(DATETIME_FORMAT))
+                (df['Datetime'] <= end_date)
             )
             df = df.tail(self.window_size)
             return df

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -612,10 +612,15 @@ class BacktestService:
 
         # Get the backtest start date from the file name
         backtest_start_date = os.path.basename(path).split("_")[3]
-        # Parse the backtest start date
-        return datetime.strptime(
-            backtest_start_date, DATETIME_FORMAT_BACKTESTING
-        )
+
+        try:
+            # Parse the backtest start date
+            return datetime.strptime(
+                backtest_start_date, DATETIME_FORMAT_BACKTESTING
+            )
+        except ValueError:
+            # Try to parse the backtest start date with a different format
+            return parser.parse(backtest_start_date)
 
     def _get_end_date_from_backtest_report_file(self, path: str) -> datetime:
         """
@@ -630,10 +635,15 @@ class BacktestService:
 
         # Get the backtest end date from the file name
         backtest_end_date = os.path.basename(path).split("_")[5]
-        # Parse the backtest end date
-        return datetime.strptime(
-            backtest_end_date, DATETIME_FORMAT_BACKTESTING
-        )
+
+        try:
+            # Parse the backtest end date
+            return datetime.strptime(
+                backtest_end_date, DATETIME_FORMAT_BACKTESTING
+            )
+        except ValueError:
+            # Try to parse the backtest end date with a different format
+            return parser.parse(backtest_end_date)
 
     def _get_algorithm_name_from_backtest_report_file(self, path: str) -> str:
         """

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/investing_algorithm_framework/services/trade_service/trade_service.py

@@ -1,6 +1,5 @@
 import logging
 from queue import PriorityQueue
-from dateutil import parser
 
 from investing_algorithm_framework.domain import OrderStatus, \
     TradeStatus, Trade, OperationalException, MarketDataType
@@ -248,9 +247,7 @@ class TradeService(RepositoryService):
             last_row = data.tail(1)
             update_data = {
                 "last_reported_price": last_row["Close"][0],
-                "updated_at": parser.parse(
-                    last_row["Datetime"][0]
-                )
+                "updated_at": last_row["Datetime"][0]
             }
             price = last_row["Close"][0]
 

{investing_algorithm_framework-5.0.1 → investing_algorithm_framework-5.1.0}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v5.0.1"
+version = "v5.1.0"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"