investing-algorithm-framework 7.0.2__tar.gz → 7.0.3__tar.gz

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.0.2
+Version: 7.0.3
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/app/app.py

@@ -26,7 +26,7 @@ from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
     BacktestOrderExecutor, CCXTOHLCVDataProvider, clear_db
 from investing_algorithm_framework.services import OrderBacktestService, \
     BacktestPortfolioService, BacktestTradeOrderEvaluator, \
-    DefaultTradeOrderEvaluator
+    DefaultTradeOrderEvaluator, get_risk_free_rate_us
 from .app_hook import AppHook
 from .eventloop import EventLoopService
 
@@ -825,6 +825,18 @@ class App:
         self.initialize_backtest_services()
         self.initialize_backtest_portfolios()
 
+        if risk_free_rate is None:
+            logger.info("No risk free rate provided, retrieving it...")
+            risk_free_rate = get_risk_free_rate_us()
+
+            if risk_free_rate is None:
+                raise OperationalException(
+                    "Could not retrieve risk free rate for backtest metrics."
+                    "Please provide a risk free as an argument when running "
+                    "your backtest or make sure you have an internet "
+                    "connection"
+                )
+
         algorithm = self.container.algorithm_factory().create_algorithm(
             name=name if name else self._name,
             strategies=(
@@ -938,6 +950,19 @@ class App:
         self.initialize_data_sources_backtest(
             strategy.data_sources, backtest_date_range
         )
+
+        if risk_free_rate is None:
+            logger.info("No risk free rate provided, retrieving it...")
+            risk_free_rate = get_risk_free_rate_us()
+
+            if risk_free_rate is None:
+                raise OperationalException(
+                    "Could not retrieve risk free rate for backtest metrics."
+                    "Please provide a risk free as an argument when running "
+                    "your backtest or make sure you have an internet "
+                    "connection"
+                )
+
         backtest_service = self.container.backtest_service()
         backtest_service.validate_strategy_for_vector_backtest(strategy)
         backtest = backtest_service.create_vector_backtest(
@@ -977,7 +1002,8 @@ class App:
                 for the backtest. This is used to determine how often the
                 portfolio snapshot should be taken during the backtest.
             risk_free_rate (Optional[float]): The risk-free rate to use for
-                calculating performance metrics. If not provided, the default
+                the backtest. This is used to calculate the Sharpe ratio
+                and other performance metrics. If not provided, the default
                 risk-free rate will be tried to be fetched from the
                 US Treasury website.
             save (bool): Whether to save the backtest reports to disk.
@@ -994,7 +1020,6 @@ class App:
         """
         backtests = []
         backtest_service = self.container.backtest_service()
-        final_algorithms = []
 
         if algorithms is not None:
             final_algorithms = algorithms
@@ -1011,6 +1036,18 @@ class App:
                 "No algorithms or strategy provided for backtesting"
             )
 
+        if risk_free_rate is None:
+            logger.info("No risk free rate provided, retrieving it...")
+            risk_free_rate = get_risk_free_rate_us()
+
+            if risk_free_rate is None:
+                raise OperationalException(
+                    "Could not retrieve risk free rate for backtest metrics."
+                    "Please provide a risk free as an argument when running "
+                    "your backtest or make sure you have an internet "
+                    "connection"
+                )
+
         for date_range in backtest_date_ranges:
             for algorithm in final_algorithms:
 

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/domain/models/time_unit.py

@@ -1,8 +1,16 @@
 from datetime import timedelta
 from enum import Enum
+from investing_algorithm_framework.domain.exceptions import \
+    OperationalException
 
 
 class TimeUnit(Enum):
+    """
+    Enum class the represents a time unit such as
+    second, minute, hour or day. This can class
+    can be used to specify time specification within
+    the framework.
+    """
     SECOND = "SECOND"
     MINUTE = "MINUTE"
     HOUR = "HOUR"
@@ -18,7 +26,11 @@ class TimeUnit(Enum):
                 if value.upper() == entry.value:
                     return entry
 
-        raise ValueError(
+            raise OperationalException(
+                f"Could not convert string {value} to time unit"
+            )
+
+        raise OperationalException(
             f"Could not convert value {value} to time unit," +
             " please make sure that the value is either of type string or" +
             f"TimeUnit. Its current type is {type(value)}"
@@ -38,17 +50,21 @@ class TimeUnit(Enum):
             TimeUnit: The extracted time unit.
         """
         if not isinstance(file_path, str):
-            raise ValueError("File path must be a string.")
+            raise OperationalException(
+                "File path must be a string."
+            )
 
         parts = file_path.split('_')
         if len(parts) < 2:
-            raise ValueError("File name does not contain a valid time unit.")
+            raise OperationalException(
+                "File name does not contain a valid time unit."
+            )
 
         time_unit_str = parts[-1].split('.')[0].upper()
         try:
             return TimeUnit.from_string(time_unit_str)
         except ValueError:
-            raise ValueError(
+            raise OperationalException(
                 f"Could not extract time unit from file name: {file_path}. "
                 "Expected format 'symbol_timeunit.csv', "
                 f"got '{time_unit_str}'."

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/download_data.py

@@ -1,5 +1,6 @@
+from pathlib import Path
 from dateutil import parser
-from datetime import timezone
+from datetime import timezone, datetime
 import pandas
 import polars
 from typing import Union
@@ -8,21 +9,21 @@ from investing_algorithm_framework.services import DataProviderService, \
 from investing_algorithm_framework.infrastructure import \
     get_default_data_providers
 from investing_algorithm_framework.domain import DataSource, \
-    OperationalException
+    OperationalException, DataType
 
 
 def download(
     symbol: str,
-    market=None,
-    date=None,
+    market: str = None,
+    date: Union[datetime, str] = None,
     time_frame: str = None,
-    data_type: str = "ohlcv",
-    start_date: str = None,
-    end_date: str = None,
+    data_type: Union[str, DataType] = DataType.OHLCV,
+    start_date: Union[datetime, str] = None,
+    end_date: Union[datetime, str] = None,
     window_size: int = 200,
     pandas: bool = True,
     save: bool = True,
-    storage_path: str = None,
+    storage_path: Union[str, Path] = None,
 ) -> Union[pandas.DataFrame, polars.DataFrame]:
     """
     Download market data from the specified source. This function

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/infrastructure/data_providers/ccxt.py

@@ -142,7 +142,7 @@ class CCXTOHLCVDataProvider(DataProvider):
                 symbol=symbol,
                 market=market,
                 time_frame=data_source.time_frame,
-                storage_path=self.storage_path,
+                storage_path=data_source.storage_path,
                 start_date=start_date,
                 end_date=end_date
             )

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/__init__.py

@@ -12,6 +12,7 @@ from .portfolios import PortfolioService, BacktestPortfolioService, \
 from .positions import PositionService, PositionSnapshotService
 from .repository_service import RepositoryService
 from .trade_service import TradeService
+from .metrics import get_risk_free_rate_us
 
 __all__ = [
     "OrderService",
@@ -34,4 +35,5 @@ __all__ = [
     "PortfolioProviderLookup",
     "TradeOrderEvaluator",
     "DefaultTradeOrderEvaluator",
+    "get_risk_free_rate_us"
 ]

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -323,7 +323,7 @@ class BacktestService(Observable):
             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
-            risk_free_rate: The risk-free rate to use in the calculations
+            risk_free_rate: The risk-free rate to use for the backtest metrics
             strategy_directory_path (optional, str): The path to the
                 strategy directory
 

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/data_providers/data_provider_service.py

@@ -44,18 +44,18 @@ class DataProviderIndex:
 
     def register(self, data_source: DataSource) -> DataProvider:
         """
-        Register an ohlcv data provider for a given market and symbol.
+        Register a data source in the DataProvider Index.
 
-        This method will also check if the data provider supports
-        the market. If no data provider is found for the market and symbol,
-        it will raise an ImproperlyConfigured exception.
 
-        If multiple data providers are found for the market and symbol,
+        This method will go over all data providers and select the
+        best matching data provider for the data source.
+
+        If multiple data providers are found for the data source,
         it will sort them by priority and pick the best one.
 
         Args:
             data_source (DataSource): The data source to register the
-                ohlcv data provider for.
+                data provider for.
 
         Returns:
             None

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/metrics/__init__.py

@@ -27,6 +27,7 @@ from .exposure import get_exposure, get_average_trade_duration, \
 from .win_rate import get_win_rate, get_win_loss_ratio
 from .calmar_ratio import get_calmar_ratio
 from .generate import create_backtest_metrics
+from .risk_free_rate import get_risk_free_rate_us
 
 __all__ = [
     "get_annual_volatility",
@@ -81,4 +82,5 @@ __all__ = [
     "create_backtest_metrics",
     "get_growth",
     "get_growth_percentage",
+    "get_risk_free_rate_us"
 ]

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/metrics/generate.py

@@ -57,7 +57,9 @@ def create_backtest_metrics(
             backtest_results.portfolio_snapshots,
             risk_free_rate=risk_free_rate
         ),
-        sortino_ratio=get_sortino_ratio(backtest_results.portfolio_snapshots),
+        sortino_ratio=get_sortino_ratio(
+            backtest_results.portfolio_snapshots, risk_free_rate=risk_free_rate
+        ),
         profit_factor=get_profit_factor(backtest_results.trades),
         calmar_ratio=get_calmar_ratio(backtest_results.portfolio_snapshots),
         annual_volatility=get_annual_volatility(

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/metrics/sharpe_ratio.py

@@ -53,12 +53,11 @@ from datetime import datetime
 
 from investing_algorithm_framework.domain import PortfolioSnapshot
 from .mean_daily_return import get_mean_daily_return
-from .risk_free_rate import get_risk_free_rate_us
 from .standard_deviation import get_daily_returns_std
 
 
 def get_sharpe_ratio(
-    snapshots: List[PortfolioSnapshot], risk_free_rate: Optional[float] = None,
+    snapshots: List[PortfolioSnapshot], risk_free_rate: float,
 ) -> float:
     """
     Calculate the Sharpe Ratio from a backtest report using daily or
@@ -79,9 +78,6 @@ def get_sharpe_ratio(
     mean_daily_return = get_mean_daily_return(snapshots)
     std_daily_return = get_daily_returns_std(snapshots)
 
-    if risk_free_rate is None:
-        risk_free_rate = get_risk_free_rate_us()
-
     if std_daily_return == 0:
         return float('nan')  # Avoid division by zero
 
@@ -92,21 +88,18 @@ def get_sharpe_ratio(
 
 
 def get_rolling_sharpe_ratio(
-    snapshots: List[PortfolioSnapshot], risk_free_rate: Optional[float] = None
+    snapshots: List[PortfolioSnapshot], risk_free_rate: float
 ) -> List[Tuple[float, datetime]]:
     """
     Calculate the rolling Sharpe Ratio over a 365-day window.
 
     Args:
         snapshots (List[PortfolioSnapshot]): Time-sorted list of snapshots.
-        risk_free_rate (float, optional): Annualized risk-free rate (e.g., 0.03 for 3%).
+        risk_free_rate (float): Annualized risk-free rate (e.g., 0.03 for 3%).
 
     Returns:
         List[Tuple[float, datetime]]: List of (sharpe_ratio, snapshot_date).
     """
-    if risk_free_rate is None:
-        risk_free_rate = get_risk_free_rate_us()
-
     data = [(s.created_at, s.total_value) for s in snapshots]
     df = pd.DataFrame(data, columns=["created_at", "total_value"])
     df['created_at'] = pd.to_datetime(df['created_at'])

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/investing_algorithm_framework/services/metrics/sortino_ratio.py

@@ -30,7 +30,7 @@ from .standard_deviation import get_downside_std_of_daily_returns
 
 
 def get_sortino_ratio(
-    snapshots: List[PortfolioSnapshot], risk_free_rate: Optional[float] = None,
+    snapshots: List[PortfolioSnapshot], risk_free_rate: float
 ) -> float:
     """
     Calculate the Sortino Ratio for a given report.
@@ -46,9 +46,8 @@ def get_sortino_ratio(
     Args:
         snapshots (List[PortfolioSnapshot]): List of portfolio snapshots
             from the backtest report.
-        risk_free_rate (float, optional): Annual risk-free rate as a decimal
-            (e.g., 0.047 for 4.7%). If not provided, defaults to the US risk-free
-            rate.
+        risk_free_rate (float): Annual risk-free rate as a decimal
+            (e.g., 0.047 for 4.7%).
 
     Returns:
         float: The Sortino Ratio.
@@ -61,9 +60,6 @@ def get_sortino_ratio(
     mean_daily_return = get_mean_daily_return(snapshots)
     std_downside_daily_return = get_downside_std_of_daily_returns(snapshots)
 
-    if risk_free_rate is None:
-        risk_free_rate = get_risk_free_rate_us()
-
     if std_downside_daily_return == 0:
         return float('nan')  # or 0.0, depending on preference
 

{investing_algorithm_framework-7.0.2 → investing_algorithm_framework-7.0.3}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v7.0.2"
+version = "v7.0.3"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"