investing-algorithm-framework 7.17.0__tar.gz → 7.19.2__tar.gz

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: investing-algorithm-framework
-Version: 7.17.0
+Version: 7.19.2
 Summary: A framework for creating trading bots
 Author: MDUYN
 Requires-Python: >=3.10

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/__init__.py

@@ -1,16 +1,16 @@
 from .app import App, Algorithm, \
     TradingStrategy, StatelessAction, Task, AppHook, Context, \
-    add_html_report, BacktestReport, \
+    add_html_report, BacktestReport, save_backtests_to_directory, \
     pretty_print_trades, pretty_print_positions, \
     pretty_print_orders, pretty_print_backtest, select_backtest_date_ranges, \
-    get_equity_curve_with_drawdown_chart, \
+    get_equity_curve_with_drawdown_chart, load_backtests_from_directory, \
     get_rolling_sharpe_ratio_chart, rank_results, \
     get_monthly_returns_heatmap_chart, create_weights, \
     get_yearly_returns_bar_chart, get_entry_and_exit_signals, \
     get_ohlcv_data_completeness_chart, get_equity_curve_chart
 from .domain import ApiException, combine_backtests, PositionSize, \
     OrderType, OperationalException, OrderStatus, OrderSide, \
-    TimeUnit, TimeInterval, Order, Portfolio, Backtest, \
+    TimeUnit, TimeInterval, Order, Portfolio, Backtest, DataError, \
     Position, TimeFrame, INDEX_DATETIME, MarketCredential, \
     PortfolioConfiguration, RESOURCE_DIRECTORY, AWS_LAMBDA_LOGGING_CONFIG, \
     Trade, SYMBOLS, RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT, \
@@ -189,5 +189,8 @@ __all__ = [
     "get_negative_trades",
     "get_positive_trades",
     "get_number_of_trades",
-    "BacktestRun"
+    "BacktestRun",
+    "load_backtests_from_directory",
+    "save_backtests_to_directory",
+    "DataError"
 ]

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/app/__init__.py

@@ -14,7 +14,7 @@ from .reporting import add_html_report, \
     get_yearly_returns_bar_chart, get_equity_curve_chart, \
     get_ohlcv_data_completeness_chart, get_entry_and_exit_signals
 from .analysis import select_backtest_date_ranges, rank_results, \
-    create_weights
+    create_weights, load_backtests_from_directory, save_backtests_to_directory
 
 
 __all__ = [
@@ -41,5 +41,7 @@ __all__ = [
     "rank_results",
     "create_weights",
     "get_entry_and_exit_signals",
-    "get_equity_curve_chart"
+    "get_equity_curve_chart",
+    "load_backtests_from_directory",
+    "save_backtests_to_directory"
 ]

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/app/analysis/__init__.py

@@ -1,11 +1,15 @@
 from .backtest_data_ranges import select_backtest_date_ranges
 from .ranking import rank_results, create_weights, combine_backtest_metrics
 from .permutation import create_ohlcv_permutation
+from .backtest_utils import load_backtests_from_directory, \
+    save_backtests_to_directory
 
 __all__ = [
     "select_backtest_date_ranges",
     "rank_results",
     "create_weights",
     "create_ohlcv_permutation",
-    "combine_backtest_metrics"
+    "combine_backtest_metrics",
+    "load_backtests_from_directory",
+    "save_backtests_to_directory"
 ]

investing_algorithm_framework-7.19.2/investing_algorithm_framework/app/analysis/backtest_utils.py

@@ -0,0 +1,80 @@
+import os
+from pathlib import Path
+from typing import List, Union
+from logging import getLogger
+from random import Random
+
+from investing_algorithm_framework.domain import Backtest
+
+
+logger = getLogger("investing_algorithm_framework")
+
+
+def save_backtests_to_directory(
+    backtests: List[Backtest],
+    directory_path: Union[str, Path]
+) -> None:
+    """
+    Saves a list of Backtest objects to the specified directory.
+
+    Args:
+        backtests (List[Backtest]): List of Backtest objects to save.
+        directory_path (str): Path to the directory where backtests
+            will be saved.
+
+    Returns:
+        None
+    """
+
+    if not os.path.exists(directory_path):
+        os.makedirs(directory_path)
+
+    for backtest in backtests:
+        # Check if there is an ID in the backtest metadata
+        backtest_id = backtest.metadata.get('id')
+
+        if backtest_id is None:
+            logger.warning(
+                "Backtest is missing 'id' in metadata. "
+                "Generating a random ID as name for backtest file."
+            )
+            backtest_id = str(Random().randint(100000, 999999))
+
+        backtest.save(os.path.join(directory_path, backtest_id))
+
+
+def load_backtests_from_directory(
+    directory_path: Union[str, Path]
+) -> List[Backtest]:
+    """
+    Loads Backtest objects from the specified directory.
+
+    Args:
+        directory_path (str): Path to the directory from which backtests
+            will be loaded.
+
+    Returns:
+        List[Backtest]: List of loaded Backtest objects.
+    """
+
+    backtests = []
+
+    if not os.path.exists(directory_path):
+        logger.warning(
+            f"Directory {directory_path} does not exist. "
+            "No backtests loaded."
+        )
+        return backtests
+
+    for file_name in os.listdir(directory_path):
+        file_path = os.path.join(directory_path, file_name)
+
+        try:
+            backtest = Backtest.open(file_path)
+            backtests.append(backtest)
+        except Exception as e:
+            logger.error(
+                f"Failed to load backtest from {file_path}: {e}"
+            )
+
+    return backtests

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/app/app.py

@@ -5,6 +5,7 @@ import threading
 from datetime import datetime, timezone
 from typing import List, Optional, Any, Dict, Tuple
 
+import pandas as pd
 from flask import Flask
 
 from investing_algorithm_framework.app.algorithm import Algorithm
@@ -16,7 +17,7 @@ from investing_algorithm_framework.domain import DATABASE_NAME, TimeUnit, \
     SQLALCHEMY_DATABASE_URI, OperationalException, StateHandler, \
     BACKTESTING_START_DATE, BACKTESTING_END_DATE, APP_MODE, MarketCredential, \
     AppMode, BacktestDateRange, DATABASE_DIRECTORY_NAME, DataSource, \
-    BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, Backtest, \
+    BACKTESTING_INITIAL_AMOUNT, SNAPSHOT_INTERVAL, Backtest, DataError, \
     PortfolioConfiguration, SnapshotInterval, DataType, combine_backtests, \
     PortfolioProvider, OrderExecutor, ImproperlyConfigured, \
     DataProvider, INDEX_DATETIME, tqdm, BacktestPermutationTest, \
@@ -32,6 +33,7 @@ from .app_hook import AppHook
 from .eventloop import EventLoopService
 from .analysis import create_ohlcv_permutation
 
+
 logger = logging.getLogger("investing_algorithm_framework")
 COLOR_RESET = '\033[0m'
 COLOR_GREEN = '\033[92m'
@@ -789,6 +791,72 @@ class App:
             .market_credential_service()
         return market_credential_service.get_all()
 
+    def check_data_completeness(
+        self,
+        strategies: List[TradingStrategy],
+        backtest_date_range: BacktestDateRange
+    ) -> None:
+        """
+        Function to check the data completeness for a set of strategies
+        over a given backtest date range. This method checks if all data
+        sources required by the strategies have complete data for the
+        specified date range.
+
+        Args:
+            strategies (List[TradingStrategy]): List of strategy objects
+                to check data completeness for.
+            backtest_date_range (BacktestDateRange): The date range to
+                check data completeness for.
+        Returns:
+            None
+        """
+        data_sources = []
+
+        for strategy in strategies:
+            data_sources.extend(strategy.data_sources)
+
+        self.initialize_data_sources_backtest(
+            data_sources,
+            backtest_date_range,
+            show_progress=True
+        )
+        data_provider_service = self.container.data_provider_service()
+
+        for strategy in strategies:
+
+            for data_source in strategy.data_sources:
+
+                if DataType.OHLCV.equals(data_source.data_type):
+                    df = data_provider_service.get_ohlcv_data(
+                        symbol=data_source.symbol,
+                        start_date=backtest_date_range.start_date,
+                        end_date=backtest_date_range.end_date,
+                        pandas=True,
+                        add_pandas_index=False,
+                        time_frame=data_source.time_frame
+                    )
+                    df = df.copy()
+                    df['Datetime'] = pd.to_datetime(df['Datetime'])
+                    df = df.sort_values('Datetime')\
+                        .tail(data_source.window_size)
+                    start = df['Datetime'].iloc[0]
+                    end = df['Datetime'].iloc[-1]
+                    freq = pd.to_timedelta(data_source.time_frame.value)
+                    expected = pd.date_range(start, end, freq=freq)
+                    actual = df['Datetime']
+                    missing = expected.difference(actual)
+
+                    # Calculate the percentage completeness
+                    completeness = len(actual) / len(expected) * 100
+
+                    if completeness < 100:
+                        raise DataError(
+                            f"Data completeness for data source "
+                            f"{data_source.identifier} "
+                            f"({data_source.symbol}) is {completeness:.2f}% "
+                            f"complete. Missing data points: {len(missing)}"
+                        )
+
     def run_vector_backtests(
         self,
         initial_amount,
@@ -1070,13 +1138,12 @@ class App:
         except Exception as e:
             logger.error(
                 f"Error occurred during vector backtest for strategy "
-                f"{strategy.name}: {str(e)}"
+                f"{strategy.strategy_id}: {str(e)}"
             )
             if continue_on_error:
                 backtest = Backtest(
                     backtest_runs=[],
                     risk_free_rate=risk_free_rate,
-                    backtest_summary={}
                 )
             else:
                 raise e

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/domain/__init__.py

@@ -15,7 +15,7 @@ from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
 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, PortfolioConfiguration, Portfolio, Position, \
@@ -143,5 +143,6 @@ __all__ = [
     "BacktestEvaluationFocus",
     'combine_backtests',
     'PositionSize',
-    'generate_backtest_summary_metrics'
+    'generate_backtest_summary_metrics',
+    'DataError'
 ]

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/domain/backtesting/backtest_run.py

@@ -251,17 +251,41 @@ class BacktestRun:
             # Remove backtest_metrics to avoid redundancy
             data.pop("backtest_metrics", None)
 
-            data["backtest_start_date"] = self.backtest_start_date.strftime(
+            # Ensure datetime objects are in UTC before formatting
+            backtest_start_date = self.backtest_start_date
+
+            if backtest_start_date.tzinfo is None:
+                # Naive datetime - treat as UTC
+                backtest_start_date = backtest_start_date.replace(
+                    tzinfo=timezone.utc
+                )
+            else:
+                # Timezone-aware - convert to UTC
+                backtest_start_date = backtest_start_date.astimezone(
+                    timezone.utc
+                )
+
+            backtest_end_date = self.backtest_end_date
+            if backtest_end_date.tzinfo is None:
+                backtest_end_date = backtest_end_date.replace(
+                    tzinfo=timezone.utc
+                )
+            else:
+                backtest_end_date = backtest_end_date.astimezone(timezone.utc)
+
+            created_at = self.created_at
+            if created_at.tzinfo is None:
+                created_at = created_at.replace(tzinfo=timezone.utc)
+            else:
+                created_at = created_at.astimezone(timezone.utc)
+
+            data["backtest_start_date"] = backtest_start_date.strftime(
                 "%Y-%m-%d %H:%M:%S"
             )
-            data["backtest_end_date"] = self.backtest_end_date.strftime(
+            data["backtest_end_date"] = backtest_end_date.strftime(
                 "%Y-%m-%d %H:%M:%S"
             )
-
-            if self.created_at.tzinfo is None:
-                self.created_at = self.created_at.replace(tzinfo=timezone.utc)
-
-            data["created_at"] = self.created_at.strftime(
+            data["created_at"] = created_at.strftime(
                 "%Y-%m-%d %H:%M:%S"
             )
             json.dump(data, f, default=str)

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/domain/exceptions.py

@@ -84,3 +84,20 @@ class NetworkError(Exception):
             "status": "error",
             "message": self.error_message
         }
+
+
+class DataError(Exception):
+    """
+    Class DataError: Exception class indicating a problem occurred
+    during data retrieval or processing
+    """
+
+    def __init__(self, message) -> None:
+        super(DataError, self).__init__(message)
+        self.error_message = message
+
+    def to_response(self):
+        return {
+            "status": "error",
+            "message": self.error_message
+        }

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/investing_algorithm_framework/services/data_providers/data_provider_service.py

@@ -7,7 +7,7 @@ from typing import List, Tuple, Optional, Dict, Any
 
 from investing_algorithm_framework.domain import DataProvider, \
     OperationalException, ImproperlyConfigured, DataSource, DataType, \
-    BacktestDateRange, tqdm, convert_polars_to_pandas
+    BacktestDateRange, tqdm, convert_polars_to_pandas, TimeFrame
 
 logger = logging.getLogger("investing_algorithm_framework")
 
@@ -26,6 +26,7 @@ class DataProviderIndex:
         self.data_providers_lookup = defaultdict()
         self.ohlcv_data_providers = defaultdict()
         self.ohlcv_data_providers_no_market = defaultdict()
+        self.ohlcv_data_providers_with_timeframe = defaultdict()
         self.ticker_data_providers = defaultdict()
 
     def add(self, data_provider: DataProvider):
@@ -80,11 +81,15 @@ class DataProviderIndex:
 
         symbol = data_source.symbol
         market = data_source.market
+        time_frame = data_source.time_frame
 
         if DataType.OHLCV.equals(data_source.data_type):
             if symbol not in self.ohlcv_data_providers:
                 self.ohlcv_data_providers[(symbol, market)] = best_provider
                 self.ohlcv_data_providers_no_market[symbol] = best_provider
+                self.ohlcv_data_providers_with_timeframe[
+                    (symbol, market, time_frame)
+                ] = best_provider
             else:
                 try:
                     # If the symbol already exists, we can update the provider
@@ -105,6 +110,11 @@ class DataProviderIndex:
                         self.ohlcv_data_providers_no_market[symbol] =\
                             best_provider
 
+                    time_frame_key = (symbol, market, time_frame)
+                    self.ohlcv_data_providers_with_timeframe[
+                        time_frame_key
+                    ] = best_provider
+
                 except Exception:
                     # If the existing provider does not have a time_frame
                     # attribute, we can safely ignore this
@@ -165,12 +175,16 @@ class DataProviderIndex:
 
         symbol = data_source.symbol
         market = data_source.market
+        time_frame = data_source.time_frame
 
         if DataType.OHLCV.equals(data_source.data_type):
 
             if symbol not in self.ohlcv_data_providers:
                 self.ohlcv_data_providers[(symbol, market)] = best_provider
                 self.ohlcv_data_providers_no_market[symbol] = best_provider
+                self.ohlcv_data_providers_with_timeframe[
+                    (symbol, market, time_frame)
+                ] = best_provider
             else:
                 try:
                     # If the symbol already exists, we can update the provider
@@ -192,6 +206,11 @@ class DataProviderIndex:
                         self.ohlcv_data_providers_no_market[symbol] = \
                             best_provider
 
+                    time_frame_key = (symbol, market, data_source.time_frame)
+                    self.ohlcv_data_providers_with_timeframe[
+                        time_frame_key
+                    ] = best_provider
+
                 except Exception:
                     # If the existing provider does not have a time_frame
                     # attribute, we can safely ignore this
@@ -264,7 +283,10 @@ class DataProviderIndex:
         return len(self.data_providers_lookup)
 
     def get_ohlcv_data_provider(
-        self, symbol: str, market: Optional[str] = None
+        self,
+        symbol: str,
+        market: Optional[str] = None,
+        time_frame: Optional[str] = None
     ) -> Optional[DataProvider]:
         """
         Get the OHLCV data provider for a given symbol and market.
@@ -272,12 +294,20 @@ class DataProviderIndex:
         Args:
             symbol (str): The symbol to get the data provider for.
             market (Optional[str]): The market to get the data provider for.
+            time_frame (Optional[str]): The time frame to get the
+                data provider for.
 
         Returns:
             DataProvider: The OHLCV data provider for the symbol and market,
                 or None if no provider is found.
         """
 
+        if market is not None and time_frame is not None:
+            time_frame = TimeFrame.from_value(time_frame)
+            return self.ohlcv_data_providers_with_timeframe.get(
+                (symbol, market, time_frame), None
+            )
+
         if market is None:
             # If no market is specified
             return self.ohlcv_data_providers_no_market.get(symbol, None)
@@ -462,7 +492,8 @@ class DataProviderService:
         start_date: Optional[datetime] = None,
         end_date: Optional[datetime] = None,
         window_size: Optional[int] = None,
-        pandas: bool = False
+        pandas: bool = False,
+        add_pandas_index: bool = True,
     ):
         """
         Function to get OHLCV data from the data provider.
@@ -483,6 +514,7 @@ class DataProviderService:
         data_provider = self.data_provider_index.get_ohlcv_data_provider(
             symbol=symbol,
             market=market,
+            time_frame=time_frame
         )
 
         if data_provider is None:
@@ -511,7 +543,9 @@ class DataProviderService:
 
         if pandas:
             if isinstance(data, pl.DataFrame):
-                return convert_polars_to_pandas(data)
+                return convert_polars_to_pandas(
+                    data, add_index=add_pandas_index
+                )
             else:
                 return data
 

{investing_algorithm_framework-7.17.0 → investing_algorithm_framework-7.19.2}/pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "investing-algorithm-framework"
-version = "v7.17.0"
+version = "v7.19.2"
 description = "A framework for creating trading bots"
 authors = ["MDUYN"]
 readme = "README.md"