investing-algorithm-framework 6.5.4__tar.gz → 6.6.0__tar.gz

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 6.5.4
+Version: 6.6.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10
@@ -29,13 +29,14 @@ Requires-Dist: schedule (>=1.1.0)
 Requires-Dist: tabulate (>=0.9.0)
 Requires-Dist: tqdm (>=4.66.1)
 Requires-Dist: wrapt (>=1.16.0)
+Requires-Dist: yfinance (>=0.2.61,<0.3.0)
 Description-Content-Type: text/markdown
 
-<div align="center"> <h1><a href="https://investing-algorithm-framework.com" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://investing-algorithm-framework.com">📖 View Documentation</a> | <a href="https://investing-algorithm-framework.com/Getting%20Started/installation">🚀 Getting Started</a> </div>
+<div align="center"> <h1><a href="https://coding-kitties.github.io/investing-algorithm-framework/" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://coding-kitties.github.io/investing-algorithm-framework/">📖 View Documentation</a> | <a href="https://coding-kitties.github.io/investing-algorithm-framework/Getting%20Started/installation">🚀 Getting Started</a> </div>
 
 ---
 
-<div align="center"> <a href="https://investing-algorithm-framework.com">
+<div align="center"> <a href="https://coding-kitties.github.io/investing-algorithm-framework/">
 <a target="_blank" href="https://discord.gg/dQsRmGZP"><img src="https://img.shields.io/discord/1345358169777635410.svg?color=7289da&label=TradeBotLab%20Discord&logo=discord&style=flat"></a>
 <img src="https://img.shields.io/badge/docs-website-brightgreen"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml/badge.svg"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml/badge.svg"></a> <a href="https://pepy.tech/project/investing-algorithm-framework"><img src="https://pepy.tech/badge/investing-algorithm-framework"></a> <a href="https://pypi.org/project/investing-algorithm-framework/"><img src="https://img.shields.io/pypi/v/investing-algorithm-framework.svg"></a> <a href="https://www.reddit.com/r/InvestingBots/"><img src="https://img.shields.io/reddit/subreddit-subscribers/investingbots?style=social"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/stargazers"><img src="https://img.shields.io/github/stars/coding-kitties/investing-algorithm-framework.svg?style=social&label=Star"></a>
  </div>
@@ -290,7 +291,7 @@ This script:
 * Deploys your bot to Azure.
 
 ## 📚 Documentation
-Comprehensive documentation is available at [investing-algorithm-framework.com](https://investing-algorithm-framework.com).
+Comprehensive documentation is available at [github pages](https://coding-kitties.github.io/investing-algorithm-framework/).
 
 ## 🛠️ Development
 
@@ -319,7 +320,6 @@ python -m unittest discover -s tests
 
 ## ⚠️ 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:
 
@@ -335,7 +335,7 @@ We welcome contributions! Check out the project board and issues to get started.
 ## Documentation
 
 All the documentation can be found online
-at the [documentation webstie](https://investing-algorithm-framework.com)
+at the [documentation webstie](https://coding-kitties.github.io/investing-algorithm-framework/)
 
 In most cases, you'll probably never have to change code on this repo directly
 if you are building your algorithm/bot. But if you do, check out the
@@ -349,6 +349,8 @@ and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [joi
 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.
 
+To get started, please read the [contributing guide](https://coding-kitties.github.io/investing-algorithm-framework/Contributing&20Guide/contributing).
+
 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).
 You can pick up a task by assigning yourself to it.

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/README.md

@@ -1,8 +1,8 @@
-<div align="center"> <h1><a href="https://investing-algorithm-framework.com" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://investing-algorithm-framework.com">📖 View Documentation</a> | <a href="https://investing-algorithm-framework.com/Getting%20Started/installation">🚀 Getting Started</a> </div>
+<div align="center"> <h1><a href="https://coding-kitties.github.io/investing-algorithm-framework/" target="_blank">Investing Algorithm Framework</a></h1> <p><b>Rapidly build, backtest, and deploy quantitative strategies and trading bots</b></p> <a target="_blank" href="https://coding-kitties.github.io/investing-algorithm-framework/">📖 View Documentation</a> | <a href="https://coding-kitties.github.io/investing-algorithm-framework/Getting%20Started/installation">🚀 Getting Started</a> </div>
 
 ---
 
-<div align="center"> <a href="https://investing-algorithm-framework.com">
+<div align="center"> <a href="https://coding-kitties.github.io/investing-algorithm-framework/">
 <a target="_blank" href="https://discord.gg/dQsRmGZP"><img src="https://img.shields.io/discord/1345358169777635410.svg?color=7289da&label=TradeBotLab%20Discord&logo=discord&style=flat"></a>
 <img src="https://img.shields.io/badge/docs-website-brightgreen"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/publish.yml/badge.svg"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml"><img src="https://github.com/coding-kitties/investing-algorithm-framework/actions/workflows/test.yml/badge.svg"></a> <a href="https://pepy.tech/project/investing-algorithm-framework"><img src="https://pepy.tech/badge/investing-algorithm-framework"></a> <a href="https://pypi.org/project/investing-algorithm-framework/"><img src="https://img.shields.io/pypi/v/investing-algorithm-framework.svg"></a> <a href="https://www.reddit.com/r/InvestingBots/"><img src="https://img.shields.io/reddit/subreddit-subscribers/investingbots?style=social"></a> <a href="https://github.com/coding-kitties/investing-algorithm-framework/stargazers"><img src="https://img.shields.io/github/stars/coding-kitties/investing-algorithm-framework.svg?style=social&label=Star"></a>
  </div>
@@ -257,7 +257,7 @@ This script:
 * Deploys your bot to Azure.
 
 ## 📚 Documentation
-Comprehensive documentation is available at [investing-algorithm-framework.com](https://investing-algorithm-framework.com).
+Comprehensive documentation is available at [github pages](https://coding-kitties.github.io/investing-algorithm-framework/).
 
 ## 🛠️ Development
 
@@ -286,7 +286,6 @@ python -m unittest discover -s tests
 
 ## ⚠️ 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:
 
@@ -302,7 +301,7 @@ We welcome contributions! Check out the project board and issues to get started.
 ## Documentation
 
 All the documentation can be found online
-at the [documentation webstie](https://investing-algorithm-framework.com)
+at the [documentation webstie](https://coding-kitties.github.io/investing-algorithm-framework/)
 
 In most cases, you'll probably never have to change code on this repo directly
 if you are building your algorithm/bot. But if you do, check out the
@@ -316,6 +315,8 @@ and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [joi
 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.
 
+To get started, please read the [contributing guide](https://coding-kitties.github.io/investing-algorithm-framework/Contributing&20Guide/contributing).
+
 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).
 You can pick up a task by assigning yourself to it.

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/__init__.py

@@ -20,6 +20,9 @@ from investing_algorithm_framework.infrastructure import \
     CSVTickerMarketDataSource, AzureBlobStorageStateHandler
 from .create_app import create_app
 from .download_data import download
+from .app.metrics import get_profit_factor, \
+    get_cumulative_profit_factor_series, get_rolling_profit_factor_series, \
+    get_sharpe_ratio, get_price_efficiency_ratio, get_equity_curve
 
 __all__ = [
     "Algorithm",
@@ -85,4 +88,10 @@ __all__ = [
     "DataSource",
     "OrderExecutor",
     "PortfolioProvider",
+    "get_profit_factor",
+    "get_cumulative_profit_factor_series",
+    "get_rolling_profit_factor_series",
+    "get_sharpe_ratio",
+    "get_price_efficiency_ratio",
+    "get_equity_curve",
 ]

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/app/__init__.py

@@ -5,6 +5,8 @@ from investing_algorithm_framework.app.task import Task
 from investing_algorithm_framework.app.web import create_flask_app
 from .algorithm import Algorithm
 from .context import Context
+from .metrics import get_cumulative_profit_factor_series, \
+    get_rolling_profit_factor_series, get_price_efficiency_ratio
 
 __all__ = [
     "Algorithm",
@@ -15,4 +17,7 @@ __all__ = [
     "Task",
     "AppHook",
     "Context",
+    "get_cumulative_profit_factor_series",
+    "get_rolling_profit_factor_series",
+    "get_price_efficiency_ratio"
 ]

investing_algorithm_framework-6.6.0/investing_algorithm_framework/app/metrics/__init__.py

@@ -0,0 +1,14 @@
+from .price_efficiency import get_price_efficiency_ratio
+from .profit_factor import get_cumulative_profit_factor_series, \
+    get_rolling_profit_factor_series, get_profit_factor
+from .sharp_ratio import get_sharpe_ratio
+from .equity_curve import get_equity_curve
+
+__all__ = [
+    "get_price_efficiency_ratio",
+    "get_rolling_profit_factor_series",
+    "get_cumulative_profit_factor_series",
+    "get_profit_factor",
+    "get_sharpe_ratio",
+    "get_equity_curve"
+]

investing_algorithm_framework-6.6.0/investing_algorithm_framework/app/metrics/equity_curve.py

@@ -0,0 +1,25 @@
+from datetime import datetime
+from investing_algorithm_framework.domain import BacktestReport
+
+
+def get_equity_curve(
+    backtest_report: BacktestReport
+) -> list[tuple[datetime, float]]:
+    """
+    Calculate the total size of the portfolio at each snapshot timestamp.
+
+    Args:
+        backtest_report (BacktestReport): The backtest report
+            containing history of the portfolio.
+
+    Returns:
+        list[tuple[datetime, float]]: A list of tuples with
+            timestamps and total sizes.
+    """
+    series = []
+    for snapshot in backtest_report.get_snapshots():
+        timestamp = snapshot.created_at
+        total_size = snapshot.net_size
+        series.append((timestamp, total_size))
+
+    return series

investing_algorithm_framework-6.6.0/investing_algorithm_framework/app/metrics/profit_factor.py

@@ -0,0 +1,121 @@
+from collections import deque
+from datetime import datetime
+from typing import List, Tuple
+
+from investing_algorithm_framework.domain.models import BacktestReport, \
+    TradeStatus
+
+
+def get_cumulative_profit_factor_series(
+    backtest_report: BacktestReport
+) -> list[tuple[datetime, float]]:
+    """
+    Calculates the cumulative profit factor over time from a backtest report.
+
+    Args:
+        backtest_report (BacktestReport): Instance containing closed trades.
+
+    Returns:
+        List of (datetime, float) tuples: (timestamp, cumulative profit factor)
+    """
+    results = []
+    gross_profit = 0.0
+    gross_loss = 0.0
+
+    for trade in backtest_report.get_trades(
+        trade_status=TradeStatus.CLOSED.value
+    ):
+        close_time = trade.closed_at
+        profit = trade.net_gain
+
+        if profit >= 0:
+            gross_profit += profit
+        else:
+            gross_loss += abs(profit)
+
+        # Calculate profit factor with division-by-zero protection
+        if gross_loss > 0:
+            profit_factor = gross_profit / gross_loss
+        else:
+            profit_factor = float('inf') if gross_profit > 0 else 0.0
+
+        results.append((close_time, profit_factor))
+
+    return results
+
+
+def get_rolling_profit_factor_series(
+    backtest_report: BacktestReport, window_size: int = 20
+) -> List[Tuple[datetime, float]]:
+    """
+    Calculates the rolling profit factor over time from a backtest report.
+
+    The rolling profit factor is computed using the most recent
+    `window_size` trades and updated after each closed trade.
+
+    Args:
+        backtest_report (BacktestReport): A instance of BacktestReport
+            containing closed trades.
+        window_size: The number of most recent trades to include in
+            each rolling calculation.
+
+    Returns:
+        A list of tuples, where each tuple contains:
+            - datetime: The close time of the trade (or aligned date).
+            - float: The rolling profit factor at that time.
+    """
+
+    results = []
+    trade_window = deque(maxlen=window_size)
+
+    for trade in backtest_report.get_trades(
+        trade_status=TradeStatus.CLOSED.value
+    ):
+        close_time = trade.closed_at
+        profit = trade.net_gain
+
+        trade_window.append(profit)
+
+        gross_profit = sum(p for p in trade_window if p >= 0)
+        gross_loss = sum(abs(p) for p in trade_window if p < 0)
+
+        if gross_loss > 0:
+            profit_factor = gross_profit / gross_loss
+        else:
+            profit_factor = float('inf') if gross_profit > 0 else 0.0
+
+        results.append((close_time, profit_factor))
+
+    return results
+
+
+def get_profit_factor(backtest_report: BacktestReport) -> float:
+    """
+    Calculates the total profit factor at the end of the backtest.
+
+    The profit factor is defined as:
+        Total Gross Profit / Total Gross Loss
+
+    Args:
+        backtest_report (BacktestReport): An instance of BacktestReport
+            containing closed trades.
+
+    Returns:
+        float: The profit factor at the end of the backtest.
+               Returns float('inf') if there are no losses,
+               and 0.0 if there are no profits and losses.
+    """
+    gross_profit = 0.0
+    gross_loss = 0.0
+
+    for trade in backtest_report.get_trades(trade_status=TradeStatus.CLOSED):
+        profit = trade.net_gain
+        if profit > 0:
+            gross_profit += profit
+        elif profit < 0:
+            gross_loss += abs(profit)
+
+    if gross_loss == 0:
+        return float('inf') if gross_profit > 0 else 0.0
+
+    return gross_profit / gross_loss

investing_algorithm_framework-6.6.0/investing_algorithm_framework/app/metrics/sharp_ratio.py

@@ -0,0 +1,81 @@
+from typing import Optional
+
+import pandas as pd
+import yfinance as yf
+
+from investing_algorithm_framework.domain.models import TradeStatus
+
+
+def get_sharpe_ratio(
+    backtest_report,
+    region: str = 'us',
+    risk_free_rate: Optional[float] = None,
+    frequency: str = 'weekly'  # 'daily' or 'weekly'
+) -> float:
+    """
+    Calculate the Sharpe Ratio from a backtest report using daily or
+    weekly returns.
+
+    The Sharpe Ratio is calculated as:
+        (Annualized Return - Risk-Free Rate) / Annualized Std Dev of Returns
+
+    Args:
+        backtest_report: Object with get_trades(trade_status=...) and
+            `number_of_days` attributes.
+        region (str): Used to fetch the default risk-free rate if not
+            provided. Defaults to 'us'. 'eu' for Europe, 'us' for the
+            United States.
+        risk_free_rate (float, optional): Annual risk-free rate as a
+            decimal (e.g., 0.047 for 4.7%).
+        frequency (str): Either 'daily' or 'weekly', determines return
+            interval.
+
+    Returns:
+        float: The Sharpe Ratio.
+    """
+    if risk_free_rate is None:
+        if region.lower() == 'us':
+            risk_free_rate = get_risk_free_rate_us()
+        else:
+            raise ValueError(f"Unsupported region: {region}")
+
+    trades = backtest_report.get_trades(trade_status=TradeStatus.CLOSED)
+    if not trades:
+        return 0.0
+
+    data = [(trade.closed_at, trade.net_gain) for trade in trades]
+    df = pd.DataFrame(data, columns=['timestamp', 'net_gain'])
+    df.set_index('timestamp', inplace=True)
+
+    # Resample net gains
+    if frequency == 'weekly':
+        returns = df['net_gain'].resample('W').sum()
+    elif frequency == 'daily':
+        returns = df['net_gain'].resample('D').sum()
+    else:
+        raise ValueError("frequency must be 'daily' or 'weekly'")
+
+    returns = returns[returns != 0]
+    if len(returns) < 2:
+        return 0.0
+
+    duration_years = backtest_report.number_of_days / 365.25
+
+    total_return = returns.sum()
+    annualized_return = total_return / duration_years
+
+    std_dev = returns.std()
+    annualized_std = std_dev * (len(returns) ** 0.5) / duration_years ** 0.5
+
+    if annualized_std == 0:
+        return 0.0
+
+    sharpe_ratio = (annualized_return - risk_free_rate) / annualized_std
+    return sharpe_ratio
+
+
+def get_risk_free_rate_us():
+    ten_year = yf.Ticker("^TNX")
+    hist = ten_year.history(period="5d")
+    latest_yield = hist["Close"].iloc[-1] / 100
+    return latest_yield

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/dependency_container.py

@@ -155,6 +155,7 @@ class DependencyContainer(containers.DeclarativeContainer):
         market_data_source_service=market_data_source_service,
         portfolio_configuration_service=portfolio_configuration_service,
         strategy_orchestrator_service=strategy_orchestrator_service,
+        portfolio_snapshot_service=portfolio_snapshot_service,
     )
     context = providers.Factory(
         Context,

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/domain/__init__.py

@@ -33,8 +33,7 @@ from .utils import random_string, append_dict_as_row_to_csv, \
     csv_to_list, StoppableThread, pretty_print_backtest_reports_evaluation, \
     pretty_print_backtest, load_csv_into_dict, load_backtest_reports, \
     get_backtest_report, pretty_print_positions, pretty_print_trades, \
-    pretty_print_orders
-from .metrics import get_price_efficiency_ratio
+    pretty_print_orders, is_timezone_aware, sync_timezones, get_timezone
 from .data_provider import DataProvider
 from .order_executor import OrderExecutor
 from .portfolio_provider import PortfolioProvider
@@ -119,7 +118,6 @@ __all__ = [
     "RoundingService",
     "BacktestDateRange",
     "load_backtest_report",
-    "get_price_efficiency_ratio",
     "convert_polars_to_pandas",
     "DateRange",
     "get_backtest_report",
@@ -140,5 +138,8 @@ __all__ = [
     "DataSource",
     "OrderExecutor",
     "PortfolioProvider",
-    "random_number"
+    "random_number",
+    "is_timezone_aware",
+    "sync_timezones",
+    "get_timezone"
 ]

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/domain/data_provider.py

@@ -148,6 +148,7 @@ class DataProvider(ABC):
         storage_path=None,
         window_size=None,
         pandas=False,
+        save: bool = True,
     ):
         """
         Fetches data for a given symbol and date range.

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/domain/models/backtesting/backtest_report.py

@@ -5,12 +5,12 @@ from logging import getLogger
 from pandas import DataFrame
 
 from investing_algorithm_framework.domain.constants import DATETIME_FORMAT
-from investing_algorithm_framework.domain.metrics import \
-    get_price_efficiency_ratio
 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.position import Position
+from investing_algorithm_framework.domain.models.portfolio\
+    .portfolio_snapshot import PortfolioSnapshot
 from investing_algorithm_framework.domain.models.trade import Trade, \
     TradeStatus
 from investing_algorithm_framework.domain.models.order import Order
@@ -60,6 +60,7 @@ class BacktestReport(BaseModel):
         orders=None,
         created_at: datetime = None,
         context=None,
+        portfolio_snapshots=None,
     ):
         self._traces = {}
         self.metrics = {}
@@ -94,7 +95,7 @@ class BacktestReport(BaseModel):
         self._interval = interval
         self._time_unit = time_unit
         self._context = context
-
+        self._portfolio_snapshots = portfolio_snapshots
         self._symbols = symbols
 
         if self._symbols is None:
@@ -124,6 +125,28 @@ class BacktestReport(BaseModel):
     def portfolio_id(self, portfolio_id):
         self._portfolio_id = portfolio_id
 
+    def set_portfolio_snapshots(self, portfolio_snapshots):
+        """
+        Set the portfolio snapshots of the backtest report.
+
+        Args:
+            portfolio_snapshots (list): The portfolio snapshots of the
+            backtest report.
+
+        Returns:
+            None
+        """
+        self._portfolio_snapshots = portfolio_snapshots
+
+    def get_snapshots(self):
+        """
+        Get the portfolio snapshots of the backtest report.
+
+        Returns:
+            list: The portfolio snapshots of the backtest report.
+        """
+        return self._portfolio_snapshots
+
     @property
     def symbols(self):
         return self._symbols
@@ -452,6 +475,10 @@ class BacktestReport(BaseModel):
                 order.to_dict(datetime_format=DATETIME_FORMAT)
                 for order in self.orders
             ],
+            "portfolio_snapshots": [
+                snapshot.to_dict(datetime_format=DATETIME_FORMAT)
+                for snapshot in self.get_snapshots()
+            ],
             "created_at": self.created_at.strftime(DATETIME_FORMAT),
         }
 
@@ -501,16 +528,24 @@ class BacktestReport(BaseModel):
                 Position.from_dict(position) for position in positions
             ]
 
-        trades = data["trades"]
+        trades = data.get("trades", None)
 
         if trades is not None:
             report.trades = [Trade.from_dict(trade) for trade in trades]
 
-        orders = data["orders"]
+        orders = data.get("orders", None)
 
         if orders is not None:
             report.orders = [Order.from_dict(order) for order in orders]
 
+        portfolio_snapshots = data.get("portfolio_snapshots", None)
+
+        if portfolio_snapshots is not None:
+            report.set_portfolio_snapshots(
+                [PortfolioSnapshot.from_dict(snapshot)
+                 for snapshot in portfolio_snapshots]
+            )
+
         return report
 
     def get_profit(self) -> float:
@@ -536,29 +571,6 @@ class BacktestReport(BaseModel):
         if symbol not in self.symbols:
             self.symbols.append(symbol)
 
-    def calculate_metrics(self):
-        """
-        Parent method to calculate all metrics.
-
-        returns:
-            None
-        """
-        if self.traces is not None:
-            self.metrics['efficiency_ratio'] = {}
-
-            for strategy_id in self.traces:
-                entries = self.traces[strategy_id]
-
-                if entries is None:
-                    continue
-
-                for symbol in entries:
-
-                    self.metrics['efficiency_ratio'][symbol] = \
-                        get_price_efficiency_ratio(
-                            self.traces[strategy_id][symbol]
-                        )
-
     @property
     def traces(self):
         """
@@ -662,7 +674,7 @@ class BacktestReport(BaseModel):
 
         Args:
             target_symbol (str): The target_symbol
-            trade_status (str): The trade_status
+            trade_status: The trade_status
 
         Returns:
             list: The trades of the backtest report

{investing_algorithm_framework-6.5.4 → investing_algorithm_framework-6.6.0}/investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py

@@ -5,15 +5,16 @@ class PortfolioSnapshot(BaseModel):
 
     def __init__(
         self,
-        portfolio_id,
-        trading_symbol,
-        pending_value,
-        unallocated,
-        total_net_gain,
-        total_revenue,
-        total_cost,
-        cash_flow,
-        created_at,
+        portfolio_id=None,
+        trading_symbol=None,
+        pending_value=None,
+        unallocated=None,
+        net_size=None,
+        total_net_gain=None,
+        total_revenue=None,
+        total_cost=None,
+        cash_flow=None,
+        created_at=None,
         position_snapshots=None
     ):
         self.portfolio_id = portfolio_id
@@ -22,6 +23,7 @@ class PortfolioSnapshot(BaseModel):
         self.unallocated = unallocated
         self.total_net_gain = total_net_gain
         self.total_revenue = total_revenue
+        self.net_size = net_size
         self.total_cost = total_cost
         self.cash_flow = cash_flow
         self.created_at = created_at
@@ -102,6 +104,7 @@ class PortfolioSnapshot(BaseModel):
             portfolio_id=self.portfolio_id,
             created_at=self.created_at.strftime("%Y-%m-%d %H:%M:%S"),
             trading_symbol=self.trading_symbol,
+            net_size=self.net_size,
             unallocated=self.unallocated,
             pending_value=self.pending_value,
             total_net_gain=self.total_net_gain,
@@ -109,3 +112,44 @@ class PortfolioSnapshot(BaseModel):
             total_cost=self.total_cost,
             cash_flow=self.cash_flow,
         )
+
+    def to_dict(self, datetime_format=None):
+        """
+        Convert the portfolio snapshot object to a dictionary
+
+        Args:
+            datetime_format (str): The format to use for the datetime fields.
+                If None, the datetime fields will be returned as is.
+                Defaults to None.
+
+        Returns:
+            dict: A dictionary representation of the portfolio snapshot object.
+        """
+
+        if datetime_format is not None:
+            created_at = self.created_at.strftime(datetime_format) \
+                if self.created_at else None
+
+        else:
+            created_at = self.created_at
+
+        return {
+            "net_size": self.net_size,
+            "created_at": created_at
+        }
+
+    @staticmethod
+    def from_dict(data):
+        """
+        Create a PortfolioSnapshot object from a dictionary.
+
+        Args:
+            data (dict): A dictionary containing the portfolio snapshot data.
+
+        Returns:
+            PortfolioSnapshot: An instance of PortfolioSnapshot.
+        """
+        return PortfolioSnapshot(
+            net_size=data.get("net_size", 0.0),
+            created_at=data.get("created_at"),
+        )