investing-algorithm-framework 6.9.1__py3-none-any.whl → 7.19.15__py3-none-any.whl

investing_algorithm_framework/dependency_container.py

@@ -1,19 +1,18 @@
 from dependency_injector import containers, providers
 
-from investing_algorithm_framework.app.context import Context
 from investing_algorithm_framework.app.algorithm import AlgorithmFactory
+from investing_algorithm_framework.app.context import Context
 from investing_algorithm_framework.infrastructure import SQLOrderRepository, \
     SQLPositionRepository, SQLPortfolioRepository, \
     SQLPortfolioSnapshotRepository, SQLTradeRepository, \
-    SQLPositionSnapshotRepository, PerformanceService, CCXTMarketService, \
-    SQLTradeStopLossRepository, SQLTradeTakeProfitRepository, \
-    SQLOrderMetadataRepository
+    SQLPositionSnapshotRepository, SQLTradeStopLossRepository, \
+    SQLTradeTakeProfitRepository, SQLOrderMetadataRepository
 from investing_algorithm_framework.services import OrderService, \
-    PositionService, PortfolioService, StrategyOrchestratorService, \
-    PortfolioConfigurationService, MarketDataSourceService, BacktestService, \
-    ConfigurationService, PortfolioSnapshotService, PositionSnapshotService, \
-    MarketCredentialService, TradeService, PortfolioSyncService, \
-    OrderExecutorLookup, PortfolioProviderLookup
+    PositionService, PortfolioService, PortfolioConfigurationService, \
+    BacktestService, ConfigurationService, PortfolioSnapshotService, \
+    PositionSnapshotService, MarketCredentialService, TradeService, \
+    PortfolioSyncService, OrderExecutorLookup, PortfolioProviderLookup, \
+    DataProviderService, TradeTakeProfitService, TradeStopLossService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -55,15 +54,10 @@ class DependencyContainer(containers.DeclarativeContainer):
     trade_take_profit_repository = providers\
         .Factory(SQLTradeTakeProfitRepository)
     trade_stop_loss_repository = providers.Factory(SQLTradeStopLossRepository)
-    market_service = providers.Factory(
-        CCXTMarketService,
-        market_credential_service=market_credential_service,
-    )
-    market_data_source_service = providers.ThreadSafeSingleton(
-        MarketDataSourceService,
-        market_service=market_service,
-        market_credential_service=market_credential_service,
-        configuration_service=configuration_service
+    data_provider_service = providers.ThreadSafeSingleton(
+        DataProviderService,
+        configuration_service=configuration_service,
+        market_credential_service=market_credential_service
     )
     position_snapshot_service = providers.Factory(
         PositionSnapshotService,
@@ -76,8 +70,7 @@ class DependencyContainer(containers.DeclarativeContainer):
         portfolio_repository=portfolio_repository,
         position_snapshot_service=position_snapshot_service,
         position_repository=position_repository,
-        datasource_service=market_data_source_service,
-        configuration_service=configuration_service
+        data_provider_service=data_provider_service,
     )
     portfolio_configuration_service = providers.ThreadSafeSingleton(
         PortfolioConfigurationService,
@@ -93,9 +86,16 @@ class DependencyContainer(containers.DeclarativeContainer):
         trade_repository=trade_repository,
         portfolio_repository=portfolio_repository,
         position_repository=position_repository,
-        market_data_source_service=market_data_source_service,
         order_metadata_repository=order_metadata_repository,
     )
+    trade_take_profit_service = providers.Factory(
+        TradeTakeProfitService,
+        repository=trade_take_profit_repository,
+    )
+    trade_stop_loss_service = providers.Factory(
+        TradeStopLossService,
+        repository=trade_stop_loss_repository,
+    )
     position_service = providers.Factory(
         PositionService,
         portfolio_repository=portfolio_repository,
@@ -134,33 +134,18 @@ class DependencyContainer(containers.DeclarativeContainer):
         portfolio_repository=portfolio_repository,
         portfolio_configuration_service=portfolio_configuration_service,
         market_credential_service=market_credential_service,
-        market_service=market_service,
         portfolio_provider_lookup=portfolio_provider_lookup,
     )
-    strategy_orchestrator_service = providers.Factory(
-        StrategyOrchestratorService,
-        market_data_source_service=market_data_source_service,
-        configuration_service=configuration_service,
-    )
-    performance_service = providers.Factory(
-        PerformanceService,
-        trade_repository=trade_repository,
-        order_repository=order_repository,
-        position_repository=position_repository,
-        portfolio_repository=portfolio_repository
-    )
     backtest_service = providers.Factory(
         BacktestService,
         configuration_service=configuration_service,
         order_service=order_service,
         trade_service=trade_service,
         portfolio_service=portfolio_service,
-        performance_service=performance_service,
         position_repository=position_repository,
-        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,
+        data_provider_service=data_provider_service,
     )
     context = providers.Factory(
         Context,
@@ -170,9 +155,10 @@ class DependencyContainer(containers.DeclarativeContainer):
         position_service=position_service,
         order_service=order_service,
         market_credential_service=market_credential_service,
-        market_data_source_service=market_data_source_service,
-        market_service=market_service,
         trade_service=trade_service,
+        data_provider_service=data_provider_service,
+        trade_stop_loss_service=trade_stop_loss_service,
+        trade_take_profit_service=trade_take_profit_service,
     )
     algorithm_factory = providers.Factory(
         AlgorithmFactory,

investing_algorithm_framework/domain/__init__.py

@@ -1,40 +1,43 @@
-from .config import Environment, DEFAULT_LOGGING_CONFIG
+from .config import Environment, DEFAULT_LOGGING_CONFIG, \
+    AWS_LAMBDA_LOGGING_CONFIG
 from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
     DATABASE_DIRECTORY_PATH, DATABASE_NAME, DEFAULT_PER_PAGE_VALUE, \
     DEFAULT_PAGE_VALUE, SQLALCHEMY_DATABASE_URI, RESOURCE_DIRECTORY, \
     DATETIME_FORMAT, DATETIME_FORMAT_BACKTESTING, BACKTESTING_FLAG, \
-    BACKTESTING_INDEX_DATETIME, BACKTESTING_START_DATE, CCXT_DATETIME_FORMAT, \
+    BACKTESTING_START_DATE, CCXT_DATETIME_FORMAT, \
     BACKTEST_DATA_DIRECTORY_NAME, TICKER_DATA_TYPE, OHLCV_DATA_TYPE, \
-    CURRENT_UTC_DATETIME, BACKTESTING_END_DATE, SYMBOLS, \
-    CCXT_DATETIME_FORMAT_WITH_TIMEZONE, RESERVED_BALANCES, \
+    CURRENT_UTC_DATETIME, BACKTESTING_END_DATE, \
+    CCXT_DATETIME_FORMAT_WITH_TIMEZONE, \
     APP_MODE, DATABASE_DIRECTORY_NAME, BACKTESTING_INITIAL_AMOUNT, \
-    APPLICATION_DIRECTORY, SNAPSHOT_INTERVAL, AWS_S3_STATE_BUCKET_NAME
+    APPLICATION_DIRECTORY, SNAPSHOT_INTERVAL, AWS_S3_STATE_BUCKET_NAME, \
+    LAST_SNAPSHOT_DATETIME, DATA_DIRECTORY, INDEX_DATETIME, \
+    DATETIME_FORMAT_FILE_NAME, DEFAULT_DATETIME_FORMAT
 from .data_provider import DataProvider
 from .data_structures import PeekableQueue
 from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
-from .exceptions import OperationalException, ApiException, \
+from .exceptions import OperationalException, ApiException, DataError, \
     PermissionDeniedApiException, ImproperlyConfigured, NetworkError
 from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
-    TimeUnit, TimeFrame, TradingTimeFrame, TradingDataType, \
-    PortfolioConfiguration, Portfolio, Position, Order, TradeStatus, \
-    BacktestResult, PortfolioSnapshot, StrategyProfile, \
-    BacktestPosition, Trade, MarketCredential, PositionSnapshot, \
-    AppMode, BacktestDateRange, DateRange, \
-    MarketDataType, TradeRiskType, TradeTakeProfit, TradeStopLoss, \
-    DataSource, Event, SnapshotInterval
+    TimeUnit, TimeFrame, PortfolioConfiguration, Portfolio, Position, \
+    Order, TradeStatus, StrategyProfile, Trade, MarketCredential, \
+    AppMode, DataType, DataSource, PortfolioSnapshot, PositionSnapshot, \
+    TradeTakeProfit, TradeStopLoss, Event, SnapshotInterval, \
+    TakeProfitRule, StopLossRule, PositionSize
 from .order_executor import OrderExecutor
 from .portfolio_provider import PortfolioProvider
-from .services import TickerMarketDataSource, OrderBookMarketDataSource, \
-    OHLCVMarketDataSource, BacktestMarketDataSource, MarketDataSource, \
-    MarketService, MarketCredentialService, AbstractPortfolioSyncService, \
-    RoundingService, StateHandler, Observable, Observer
+from .services import MarketCredentialService, AbstractPortfolioSyncService, \
+    RoundingService, StateHandler
 from .stateless_actions import StatelessActions
 from .strategy import Strategy
 from .utils import random_string, append_dict_as_row_to_csv, \
     add_column_headers_to_csv, get_total_amount_of_rows, \
-    convert_polars_to_pandas, random_number, \
-    csv_to_list, StoppableThread, load_csv_into_dict, \
+    convert_polars_to_pandas, random_number, is_jupyter_notebook, \
+    csv_to_list, StoppableThread, load_csv_into_dict, tqdm, \
     is_timezone_aware, sync_timezones, get_timezone
+from .backtesting import BacktestRun, BacktestSummaryMetrics, \
+    BacktestDateRange, Backtest, BacktestMetrics, combine_backtests, \
+    BacktestPermutationTest, BacktestEvaluationFocus, \
+    generate_backtest_summary_metrics
 
 __all__ = [
     "OrderStatus",
@@ -54,8 +57,6 @@ __all__ = [
     "DEFAULT_PER_PAGE_VALUE",
     "DEFAULT_PAGE_VALUE",
     "SQLALCHEMY_DATABASE_URI",
-    "TradingDataType",
-    "TradingTimeFrame",
     "random_string",
     "append_dict_as_row_to_csv",
     "add_column_headers_to_csv",
@@ -76,27 +77,19 @@ __all__ = [
     "StatelessActions",
     "parse_decimal_to_string",
     "parse_string_to_decimal",
-    "BacktestResult",
+    "BacktestRun",
     "DATETIME_FORMAT_BACKTESTING",
     "BACKTESTING_FLAG",
-    "BACKTESTING_INDEX_DATETIME",
     "PortfolioSnapshot",
     "BACKTESTING_START_DATE",
     "StrategyProfile",
-    "BacktestPosition",
     "CCXT_DATETIME_FORMAT",
     "BACKTEST_DATA_DIRECTORY_NAME",
     "Trade",
     "TICKER_DATA_TYPE",
     "OHLCV_DATA_TYPE",
-    "TickerMarketDataSource",
-    "OrderBookMarketDataSource",
-    "OHLCVMarketDataSource",
-    "BacktestMarketDataSource",
-    "MarketDataSource",
     "CURRENT_UTC_DATETIME",
     "MarketCredential",
-    "MarketService",
     "PeekableQueue",
     "BACKTESTING_END_DATE",
     "PositionSnapshot",
@@ -104,20 +97,15 @@ __all__ = [
     "TradeStatus",
     "CCXT_DATETIME_FORMAT_WITH_TIMEZONE",
     "load_csv_into_dict",
-    "SYMBOLS",
-    "RESERVED_BALANCES",
     "AbstractPortfolioSyncService",
     "APP_MODE",
     "AppMode",
     "RoundingService",
     "BacktestDateRange",
     "convert_polars_to_pandas",
-    "DateRange",
     "DEFAULT_LOGGING_CONFIG",
     "DATABASE_DIRECTORY_NAME",
     "BACKTESTING_INITIAL_AMOUNT",
-    "MarketDataType",
-    "TradeRiskType",
     "TradeTakeProfit",
     "TradeStopLoss",
     "StateHandler",
@@ -131,10 +119,29 @@ __all__ = [
     "is_timezone_aware",
     "sync_timezones",
     "get_timezone",
-    "Observer",
-    "Observable",
     "Event",
     "SNAPSHOT_INTERVAL",
     "SnapshotInterval",
-    "AWS_S3_STATE_BUCKET_NAME"
+    "AWS_S3_STATE_BUCKET_NAME",
+    "AWS_LAMBDA_LOGGING_CONFIG",
+    "DataType",
+    "DataSource",
+    "Backtest",
+    "BacktestMetrics",
+    "BacktestSummaryMetrics",
+    "BacktestPermutationTest",
+    "LAST_SNAPSHOT_DATETIME",
+    "DATA_DIRECTORY",
+    "INDEX_DATETIME",
+    "DATETIME_FORMAT_FILE_NAME",
+    "is_jupyter_notebook",
+    "tqdm",
+    "DEFAULT_DATETIME_FORMAT",
+    "BacktestEvaluationFocus",
+    'combine_backtests',
+    'PositionSize',
+    'generate_backtest_summary_metrics',
+    'DataError',
+    'TakeProfitRule',
+    'StopLossRule'
 ]

investing_algorithm_framework/domain/backtesting/__init__.py

@@ -0,0 +1,21 @@
+from .backtest_summary_metrics import BacktestSummaryMetrics
+from .backtest_date_range import BacktestDateRange
+from .backtest_metrics import BacktestMetrics
+from .backtest_run import BacktestRun
+from .backtest import Backtest
+from .backtest_permutation_test import BacktestPermutationTest
+from .backtest_evaluation_focuss import BacktestEvaluationFocus
+from .combine_backtests import combine_backtests, \
+    generate_backtest_summary_metrics
+
+__all__ = [
+    "Backtest",
+    "BacktestSummaryMetrics",
+    "BacktestDateRange",
+    "BacktestMetrics",
+    "BacktestRun",
+    "BacktestPermutationTest",
+    "BacktestEvaluationFocus",
+    "combine_backtests",
+    "generate_backtest_summary_metrics"
+]