investing-algorithm-framework 6.6.0__tar.gz → 6.7.0__tar.gz

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 6.6.0
+Version: 6.7.0
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/__init__.py

@@ -13,16 +13,25 @@ from investing_algorithm_framework.domain import ApiException, \
     DateRange, get_backtest_report, DEFAULT_LOGGING_CONFIG, \
     BacktestReport, TradeStatus, MarketDataType, TradeRiskType, \
     APPLICATION_DIRECTORY, pretty_print_orders, pretty_print_trades, \
-    pretty_print_positions, DataSource, OrderExecutor, PortfolioProvider
+    pretty_print_positions, DataSource, OrderExecutor, PortfolioProvider, \
+    SnapshotInterval
 from investing_algorithm_framework.infrastructure import \
     CCXTOrderBookMarketDataSource, CCXTOHLCVMarketDataSource, \
     CCXTTickerMarketDataSource, CSVOHLCVMarketDataSource, \
-    CSVTickerMarketDataSource, AzureBlobStorageStateHandler
+    CSVTickerMarketDataSource, AzureBlobStorageStateHandler, \
+    PandasOHLCVBacktestMarketDataSource, PandasOHLCVMarketDataSource
 from .create_app import create_app
 from .download_data import download
-from .app.metrics import get_profit_factor, \
+from .overfitting import create_ohlcv_shuffle_permutation, \
+    create_ohlcv_shuffle_returns_and_reconstruct_permutation, \
+    create_ohlcv_shuffle_block_permutation
+from .metrics import get_volatility, get_sortino_ratio, get_profit_factor, \
     get_cumulative_profit_factor_series, get_rolling_profit_factor_series, \
-    get_sharpe_ratio, get_price_efficiency_ratio, get_equity_curve
+    get_sharpe_ratio, get_price_efficiency_ratio, get_equity_curve, \
+    get_drawdown_series, get_max_drawdown, get_cagr, \
+    get_standard_deviation_returns, get_standard_deviation_downside_returns, \
+    get_max_drawdown_absolute, get_exposure_time, get_average_trade_duration, \
+    get_net_profit
 
 __all__ = [
     "Algorithm",
@@ -94,4 +103,21 @@ __all__ = [
     "get_sharpe_ratio",
     "get_price_efficiency_ratio",
     "get_equity_curve",
+    "get_drawdown_series",
+    "get_max_drawdown",
+    "create_ohlcv_shuffle_permutation",
+    "create_ohlcv_shuffle_returns_and_reconstruct_permutation",
+    "create_ohlcv_shuffle_block_permutation",
+    "PandasOHLCVBacktestMarketDataSource",
+    "PandasOHLCVMarketDataSource",
+    "get_volatility",
+    "get_sortino_ratio",
+    "get_cagr",
+    "get_standard_deviation_returns",
+    "get_standard_deviation_downside_returns",
+    "SnapshotInterval",
+    "get_max_drawdown_absolute",
+    "get_exposure_time",
+    "get_average_trade_duration",
+    "get_net_profit",
 ]

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/app/__init__.py

@@ -5,8 +5,7 @@ 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",
@@ -17,7 +16,4 @@ __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-6.7.0}/investing_algorithm_framework/app/app.py

@@ -18,8 +18,8 @@ from investing_algorithm_framework.domain import DATABASE_NAME, TimeUnit, \
     SQLALCHEMY_DATABASE_URI, OperationalException, StateHandler, \
     BACKTESTING_START_DATE, BACKTESTING_END_DATE, BacktestReport, \
     APP_MODE, MarketCredential, AppMode, BacktestDateRange, \
-    DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
-    MarketDataSource, PortfolioConfiguration, \
+    DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, \
+    MarketDataSource, PortfolioConfiguration, SnapshotInterval, \
     PortfolioProvider, OrderExecutor, ImproperlyConfigured
 from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
     create_all_tables, CCXTOrderExecutor, CCXTPortfolioProvider
@@ -391,7 +391,8 @@ class App:
             configuration_service.add_value(APP_MODE, AppMode.WEB.value)
             self._initialize_web()
 
-        self._initialize_portfolios()
+        if not Environment.BACKTEST.equals(config[ENVIRONMENT]):
+            self._initialize_portfolios()
 
     def run(self, payload: dict = None, number_of_iterations: int = None):
         """
@@ -702,19 +703,23 @@ class App:
     def run_backtest(
         self,
         backtest_date_range: BacktestDateRange,
+        name: str = None,
         initial_amount=None,
         output_directory=None,
         algorithm=None,
         strategy=None,
         strategies: List = None,
         save_strategy=False,
+        snapshot_interval: SnapshotInterval = SnapshotInterval.TRADE_CLOSE
     ) -> BacktestReport:
         """
-        Run a backtest for an algorithm. An
+        Run a backtest for an algorithm.
 
         Args:
             backtest_date_range: The date range to run the backtest for
                 (instance of BacktestDateRange)
+            name: The name of the backtest. This is used to identify the
+                backtest report in the output directory.
             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.
@@ -728,6 +733,11 @@ class App:
             save_strategy: bool - Whether to save the strategy
                 as part of the backtest report. You can only save in-memory
                 strategies when running multiple backtests. This is because
+            snapshot_interval (SnapshotInterval): The snapshot
+                interval to use for the backtest. This is used to determine
+                how often the portfolio snapshot should be taken during the
+                backtest. The default is TRADE_CLOSE, which means that the
+                portfolio snapshot will be taken at the end of each trade.
 
         Returns:
             Instance of BacktestReport
@@ -740,7 +750,8 @@ class App:
             BACKTESTING_END_DATE: backtest_date_range.end_date,
             DATABASE_NAME: "backtest-database.sqlite3",
             DATABASE_DIRECTORY_NAME: "backtest_databases",
-            BACKTESTING_INITIAL_AMOUNT: initial_amount
+            BACKTESTING_INITIAL_AMOUNT: initial_amount,
+            SNAPSHOT_INTERVAL: snapshot_interval.value,
         })
 
         self.initialize_config()
@@ -758,7 +769,7 @@ class App:
 
         algorithm_factory = self.container.algorithm_factory()
         algorithm = algorithm_factory.create_algorithm(
-            name=self.name if self.name is not None else "Backtest Algorithm",
+            name=name if name else self._name,
             strategies=(
                 self._strategies if strategies is None else strategies
             ),
@@ -774,7 +785,19 @@ class App:
             self.container.strategy_orchestrator_service()
         strategy_orchestrator_service.initialize(algorithm)
         backtest_service = self.container.backtest_service()
+
+        # Setup snapshot service as observer
+        backtest_service.clear_observers()
+        portfolio_snapshot_service = \
+            self.container.portfolio_snapshot_service()
+        backtest_service.add_observer(portfolio_snapshot_service)
         context = self.container.context()
+        order_service = self.container.order_service()
+        order_service.clear_observers()
+        order_service.add_observer(portfolio_snapshot_service)
+        portfolio_service = self.container.portfolio_service()
+        portfolio_service.clear_observers()
+        portfolio_service.add_observer(portfolio_snapshot_service)
 
         # Run the backtest with the backtest_service and collect and
         # save the report
@@ -886,7 +909,6 @@ class App:
                     )
 
                     if report is not None:
-
                         print(
                             f"{COLOR_YELLOW}Backtest already exists "
                             f"for algorithm {algorithm.name} date "

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/app/context.py

@@ -1334,7 +1334,6 @@ class Context:
         ticker = self.market_data_source_service.get_ticker(
             symbol=trade.symbol, market=portfolio.market
         )
-
         logger.info(f"Closing trade {trade.id} {trade.symbol}")
         self.order_service.create(
             {

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/dependency_container.py

@@ -71,9 +71,13 @@ class DependencyContainer(containers.DeclarativeContainer):
     )
     portfolio_snapshot_service = providers.Factory(
         PortfolioSnapshotService,
+        order_repository=order_repository,
         repository=portfolio_snapshot_repository,
+        portfolio_repository=portfolio_repository,
         position_snapshot_service=position_snapshot_service,
         position_repository=position_repository,
+        datasource_service=market_data_source_service,
+        configuration_service=configuration_service
     )
     portfolio_configuration_service = providers.ThreadSafeSingleton(
         PortfolioConfigurationService,

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/__init__.py

@@ -8,7 +8,7 @@ from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
     CURRENT_UTC_DATETIME, BACKTESTING_END_DATE, SYMBOLS, \
     CCXT_DATETIME_FORMAT_WITH_TIMEZONE, RESERVED_BALANCES, \
     APP_MODE, DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
-    APPLICATION_DIRECTORY
+    APPLICATION_DIRECTORY, SNAPSHOT_INTERVAL
 from .data_structures import PeekableQueue
 from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
 from .exceptions import OperationalException, ApiException, \
@@ -20,11 +20,11 @@ from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
     BacktestPosition, Trade, MarketCredential, PositionSnapshot, \
     BacktestReportsEvaluation, AppMode, BacktestDateRange, DateRange, \
     MarketDataType, TradeRiskType, TradeTakeProfit, TradeStopLoss, \
-    DataSource
+    DataSource, Event, SnapshotInterval
 from .services import TickerMarketDataSource, OrderBookMarketDataSource, \
     OHLCVMarketDataSource, BacktestMarketDataSource, MarketDataSource, \
     MarketService, MarketCredentialService, AbstractPortfolioSyncService, \
-    RoundingService, StateHandler
+    RoundingService, StateHandler, Observable, Observer
 from .stateless_actions import StatelessActions
 from .strategy import Strategy
 from .utils import random_string, append_dict_as_row_to_csv, \
@@ -141,5 +141,10 @@ __all__ = [
     "random_number",
     "is_timezone_aware",
     "sync_timezones",
-    "get_timezone"
+    "get_timezone",
+    "Observer",
+    "Observable",
+    "Event",
+    "SNAPSHOT_INTERVAL",
+    "SnapshotInterval",
 ]

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/constants.py

@@ -74,3 +74,4 @@ BACKTESTING_INITIAL_AMOUNT = "BACKTESTING_INITIAL_AMOUNT"
 TICKER_DATA_TYPE = "TICKER"
 OHLCV_DATA_TYPE = "OHLCV"
 CURRENT_UTC_DATETIME = "CURRENT_UTC_DATETIME"
+SNAPSHOT_INTERVAL = "SNAPSHOT_INTERVAL"

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/models/__init__.py

@@ -16,6 +16,8 @@ from .trading_time_frame import TradingTimeFrame
 from .date_range import DateRange
 from .market_data_type import MarketDataType
 from .data_source import DataSource
+from .snapshot_interval import SnapshotInterval
+from .event import Event
 
 __all__ = [
     "OrderStatus",
@@ -46,5 +48,7 @@ __all__ = [
     "TradeStopLoss",
     "TradeTakeProfit",
     "TradeRiskType",
-    "DataSource"
+    "DataSource",
+    "SnapshotInterval",
+    "Event",
 ]

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/models/backtesting/backtest_report.py

@@ -419,9 +419,6 @@ class BacktestReport(BaseModel):
         Convert the backtest report to a dictionary. So it can be
         saved to a file.
 
-        Args:
-            None
-
         Returns:
             dict: The backtest report as a dictionary
         """

investing_algorithm_framework-6.7.0/investing_algorithm_framework/domain/models/event.py

@@ -0,0 +1,35 @@
+from enum import Enum
+
+
+class Event(Enum):
+    PORTFOLIO_CREATED = "PORTFOLIO_CREATED"
+    ORDER_CREATED = "ORDER_CREATED"
+    TRADE_CLOSED = "TRADE_CLOSED"
+    STRATEGY_RUN = "STRATEGY_RUN"
+
+    @staticmethod
+    def from_string(value: str):
+
+        if isinstance(value, str):
+            for status in Event:
+
+                if value.upper() == status.value:
+                    return status
+
+        raise ValueError("Could not convert value to Event")
+
+    @staticmethod
+    def from_value(value):
+
+        if isinstance(value, Event):
+            for status in Event:
+
+                if value == status:
+                    return status
+        elif isinstance(value, str):
+            return Event.from_string(value)
+
+        raise ValueError(f"Could not convert value {value} to Event")
+
+    def equals(self, other):
+        return Event.from_value(other) == self

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py

@@ -13,6 +13,7 @@ class PortfolioSnapshot(BaseModel):
         total_net_gain=None,
         total_revenue=None,
         total_cost=None,
+        total_value=None,
         cash_flow=None,
         created_at=None,
         position_snapshots=None
@@ -23,6 +24,7 @@ class PortfolioSnapshot(BaseModel):
         self.unallocated = unallocated
         self.total_net_gain = total_net_gain
         self.total_revenue = total_revenue
+        self.total_value = total_value if total_value is not None else 0.0
         self.net_size = net_size
         self.total_cost = total_cost
         self.cash_flow = cash_flow
@@ -69,6 +71,12 @@ class PortfolioSnapshot(BaseModel):
     def set_total_revenue(self, total_revenue):
         self.total_revenue = total_revenue
 
+    def get_total_value(self):
+        return self.total_value
+
+    def set_total_value(self, total_value):
+        self.total_value = total_value
+
     def get_total_cost(self):
         return self.total_cost
 
@@ -135,7 +143,8 @@ class PortfolioSnapshot(BaseModel):
 
         return {
             "net_size": self.net_size,
-            "created_at": created_at
+            "created_at": created_at,
+            "total_value": self.total_value,
         }
 
     @staticmethod
@@ -152,4 +161,5 @@ class PortfolioSnapshot(BaseModel):
         return PortfolioSnapshot(
             net_size=data.get("net_size", 0.0),
             created_at=data.get("created_at"),
+            total_value=data.get("total_value", 0.0),
         )

investing_algorithm_framework-6.7.0/investing_algorithm_framework/domain/models/snapshot_interval.py

@@ -0,0 +1,45 @@
+from enum import Enum
+
+
+class SnapshotInterval(Enum):
+    TRADE_CLOSE = "TRADE_CLOSE"
+    STRATEGY_ITERATION = "STRATEGY_ITERATION"
+
+    @staticmethod
+    def from_string(value: str):
+
+        if isinstance(value, str):
+
+            for entry in SnapshotInterval:
+
+                if value.upper() == entry.value:
+                    return entry
+
+            raise ValueError(
+                f"Could not convert {value} to SnapshotInterval"
+            )
+        return None
+
+    @staticmethod
+    def from_value(value):
+
+        if isinstance(value, str):
+            return SnapshotInterval.from_string(value)
+
+        if isinstance(value, SnapshotInterval):
+
+            for entry in SnapshotInterval:
+
+                if value == entry:
+                    return entry
+
+        raise ValueError(
+            f"Could not convert {value} to SnapshotInterval"
+        )
+
+    def equals(self, other):
+
+        if isinstance(other, Enum):
+            return self.value == other.value
+        else:
+            return SnapshotInterval.from_string(other) == self

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/services/__init__.py

@@ -5,6 +5,8 @@ from .market_service import MarketService
 from .portfolios import AbstractPortfolioSyncService
 from .rounding_service import RoundingService
 from .state_handler import StateHandler
+from .observer import Observer
+from .observable import Observable
 
 __all__ = [
     "MarketDataSource",
@@ -16,5 +18,7 @@ __all__ = [
     "MarketCredentialService",
     "AbstractPortfolioSyncService",
     "RoundingService",
-    "StateHandler"
+    "StateHandler",
+    "Observer",
+    "Observable"
 ]

investing_algorithm_framework-6.7.0/investing_algorithm_framework/domain/services/observable.py

@@ -0,0 +1,51 @@
+from investing_algorithm_framework.domain.models import Event
+
+
+class Observable:
+    """
+    Abstract base class for observable objects.
+    Observables can be observed by observers that
+    implement the Observer interface.
+    """
+
+    def __init__(self):
+        super().__init__()  # Important in diamond inheritance
+        self._observers = []
+
+    def add_observer(self, observer):
+        """
+        Add an observer to the observable.
+
+        Args:
+            observer: An object that implements the Observer interface.
+        """
+        if observer not in self._observers:
+            self._observers.append(observer)
+
+    def remove_observer(self, observer):
+        """
+        Remove an observer from the observable.
+
+        Args:
+            observer: An object that implements the Observer interface.
+        """
+        if observer in self._observers:
+            self._observers.remove(observer)
+
+    def notify_observers(self, event_type: Event, payload):
+        """
+        Notify all observers about an event.
+
+        Args:
+            event_type (Event): The type of event to notify observers about.
+            payload: The data to pass to the observers.
+        """
+        for observer in self._observers:
+            observer.notify(event_type, payload)
+
+    def clear_observers(self):
+        """
+        Clear all observers from the observable.
+        This is useful for resetting the state of the observable.
+        """
+        self._observers.clear()

investing_algorithm_framework-6.7.0/investing_algorithm_framework/domain/services/observer.py

@@ -0,0 +1,19 @@
+from investing_algorithm_framework.domain.models import Event
+
+
+class Observer:
+
+    """
+    Abstract base class for observers.
+    Observers can be notified by observables about events.
+    """
+
+    def notify(self, event_type: Event, payload):
+        """
+        Update the observer with the event type and payload.
+
+        Args:
+            event_type: The type of event that occurred.
+            payload: The data associated with the event.
+        """
+        raise NotImplementedError("Subclasses must implement this method.")

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/domain/utils/backtesting.py

@@ -1150,7 +1150,6 @@ def get_backtest_report(
     # Loop through all files in the directory
     for root, _, files in os.walk(directory):
         for file in files:
-            print(file)
 
             # Check if the file is a directory
             if os.path.isdir(os.path.join(root, file)):
@@ -1185,8 +1184,6 @@ def get_backtest_report(
                                 return report
 
             elif file.endswith(".json"):
-                print("found file")
-                print(f"Found backtest report file: {file}")
                 # Read the file
                 with open(os.path.join(root, file), "r") as json_file:
                     # Parse the JSON file

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/infrastructure/__init__.py

@@ -5,7 +5,8 @@ from .models import SQLPortfolio, SQLOrder, SQLPosition, \
     CCXTOHLCVBacktestMarketDataSource, CCXTOrderBookMarketDataSource, \
     CCXTTickerMarketDataSource, CCXTOHLCVMarketDataSource, \
     CSVOHLCVMarketDataSource, CSVTickerMarketDataSource, SQLTradeTakeProfit, \
-    SQLTradeStopLoss
+    SQLTradeStopLoss, PandasOHLCVBacktestMarketDataSource, \
+    PandasOHLCVMarketDataSource
 from .repositories import SQLOrderRepository, SQLPositionRepository, \
     SQLPortfolioRepository, SQLTradeRepository, \
     SQLPortfolioSnapshotRepository, SQLPositionSnapshotRepository, \
@@ -55,4 +56,6 @@ __all__ = [
     "CCXTPortfolioProvider",
     "get_default_data_providers",
     "get_default_ohlcv_data_providers",
+    "PandasOHLCVBacktestMarketDataSource",
+    "PandasOHLCVMarketDataSource"
 ]

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/infrastructure/models/__init__.py

@@ -1,7 +1,8 @@
 from .market_data_sources import CCXTOrderBookMarketDataSource, \
     CCXTTickerMarketDataSource, CCXTOHLCVMarketDataSource, \
     CCXTOHLCVBacktestMarketDataSource, CSVOHLCVMarketDataSource, \
-    CSVTickerMarketDataSource
+    CSVTickerMarketDataSource, PandasOHLCVBacktestMarketDataSource, \
+    PandasOHLCVMarketDataSource
 from .order import SQLOrder, SQLOrderMetadata
 from .portfolio import SQLPortfolio, SQLPortfolioSnapshot
 from .position import SQLPosition, SQLPositionSnapshot
@@ -23,4 +24,6 @@ __all__ = [
     "SQLTradeStopLoss",
     "SQLTradeTakeProfit",
     "SQLOrderMetadata",
+    "PandasOHLCVBacktestMarketDataSource",
+    "PandasOHLCVMarketDataSource"
 ]

{investing_algorithm_framework-6.6.0 → investing_algorithm_framework-6.7.0}/investing_algorithm_framework/infrastructure/models/market_data_sources/__init__.py

@@ -1,6 +1,8 @@
 from .ccxt import CCXTOrderBookMarketDataSource, CCXTTickerMarketDataSource, \
     CCXTOHLCVMarketDataSource, CCXTOHLCVBacktestMarketDataSource
 from .csv import CSVOHLCVMarketDataSource, CSVTickerMarketDataSource
+from .pandas import PandasOHLCVBacktestMarketDataSource, \
+    PandasOHLCVMarketDataSource
 
 __all__ = [
     'CCXTOrderBookMarketDataSource',
@@ -8,5 +10,7 @@ __all__ = [
     'CCXTOHLCVMarketDataSource',
     "CCXTOHLCVBacktestMarketDataSource",
     "CSVOHLCVMarketDataSource",
-    "CSVTickerMarketDataSource"
+    "CSVTickerMarketDataSource",
+    "PandasOHLCVBacktestMarketDataSource",
+    "PandasOHLCVMarketDataSource"
 ]