investing-algorithm-framework 7.19.14__py3-none-any.whl

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  1. investing_algorithm_framework/__init__.py +197 -0
  2. investing_algorithm_framework/app/__init__.py +47 -0
  3. investing_algorithm_framework/app/algorithm/__init__.py +7 -0
  4. investing_algorithm_framework/app/algorithm/algorithm.py +239 -0
  5. investing_algorithm_framework/app/algorithm/algorithm_factory.py +114 -0
  6. investing_algorithm_framework/app/analysis/__init__.py +15 -0
  7. investing_algorithm_framework/app/analysis/backtest_data_ranges.py +121 -0
  8. investing_algorithm_framework/app/analysis/backtest_utils.py +107 -0
  9. investing_algorithm_framework/app/analysis/permutation.py +116 -0
  10. investing_algorithm_framework/app/analysis/ranking.py +297 -0
  11. investing_algorithm_framework/app/app.py +2204 -0
  12. investing_algorithm_framework/app/app_hook.py +28 -0
  13. investing_algorithm_framework/app/context.py +1667 -0
  14. investing_algorithm_framework/app/eventloop.py +590 -0
  15. investing_algorithm_framework/app/reporting/__init__.py +27 -0
  16. investing_algorithm_framework/app/reporting/ascii.py +921 -0
  17. investing_algorithm_framework/app/reporting/backtest_report.py +349 -0
  18. investing_algorithm_framework/app/reporting/charts/__init__.py +19 -0
  19. investing_algorithm_framework/app/reporting/charts/entry_exist_signals.py +66 -0
  20. investing_algorithm_framework/app/reporting/charts/equity_curve.py +37 -0
  21. investing_algorithm_framework/app/reporting/charts/equity_curve_drawdown.py +74 -0
  22. investing_algorithm_framework/app/reporting/charts/line_chart.py +11 -0
  23. investing_algorithm_framework/app/reporting/charts/monthly_returns_heatmap.py +70 -0
  24. investing_algorithm_framework/app/reporting/charts/ohlcv_data_completeness.py +51 -0
  25. investing_algorithm_framework/app/reporting/charts/rolling_sharp_ratio.py +79 -0
  26. investing_algorithm_framework/app/reporting/charts/yearly_returns_barchart.py +55 -0
  27. investing_algorithm_framework/app/reporting/generate.py +185 -0
  28. investing_algorithm_framework/app/reporting/tables/__init__.py +11 -0
  29. investing_algorithm_framework/app/reporting/tables/key_metrics_table.py +217 -0
  30. investing_algorithm_framework/app/reporting/tables/stop_loss_table.py +0 -0
  31. investing_algorithm_framework/app/reporting/tables/time_metrics_table.py +80 -0
  32. investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py +147 -0
  33. investing_algorithm_framework/app/reporting/tables/trades_table.py +75 -0
  34. investing_algorithm_framework/app/reporting/tables/utils.py +29 -0
  35. investing_algorithm_framework/app/reporting/templates/report_template.html.j2 +154 -0
  36. investing_algorithm_framework/app/stateless/__init__.py +35 -0
  37. investing_algorithm_framework/app/stateless/action_handlers/__init__.py +84 -0
  38. investing_algorithm_framework/app/stateless/action_handlers/action_handler_strategy.py +8 -0
  39. investing_algorithm_framework/app/stateless/action_handlers/check_online_handler.py +15 -0
  40. investing_algorithm_framework/app/stateless/action_handlers/run_strategy_handler.py +40 -0
  41. investing_algorithm_framework/app/stateless/exception_handler.py +40 -0
  42. investing_algorithm_framework/app/strategy.py +675 -0
  43. investing_algorithm_framework/app/task.py +41 -0
  44. investing_algorithm_framework/app/web/__init__.py +5 -0
  45. investing_algorithm_framework/app/web/controllers/__init__.py +13 -0
  46. investing_algorithm_framework/app/web/controllers/orders.py +20 -0
  47. investing_algorithm_framework/app/web/controllers/portfolio.py +20 -0
  48. investing_algorithm_framework/app/web/controllers/positions.py +18 -0
  49. investing_algorithm_framework/app/web/create_app.py +20 -0
  50. investing_algorithm_framework/app/web/error_handler.py +59 -0
  51. investing_algorithm_framework/app/web/responses.py +20 -0
  52. investing_algorithm_framework/app/web/run_strategies.py +4 -0
  53. investing_algorithm_framework/app/web/schemas/__init__.py +12 -0
  54. investing_algorithm_framework/app/web/schemas/order.py +12 -0
  55. investing_algorithm_framework/app/web/schemas/portfolio.py +22 -0
  56. investing_algorithm_framework/app/web/schemas/position.py +15 -0
  57. investing_algorithm_framework/app/web/setup_cors.py +6 -0
  58. investing_algorithm_framework/cli/__init__.py +0 -0
  59. investing_algorithm_framework/cli/cli.py +207 -0
  60. investing_algorithm_framework/cli/deploy_to_aws_lambda.py +499 -0
  61. investing_algorithm_framework/cli/deploy_to_azure_function.py +718 -0
  62. investing_algorithm_framework/cli/initialize_app.py +603 -0
  63. investing_algorithm_framework/cli/templates/.gitignore.template +178 -0
  64. investing_algorithm_framework/cli/templates/app.py.template +18 -0
  65. investing_algorithm_framework/cli/templates/app_aws_lambda_function.py.template +48 -0
  66. investing_algorithm_framework/cli/templates/app_azure_function.py.template +14 -0
  67. investing_algorithm_framework/cli/templates/app_web.py.template +18 -0
  68. investing_algorithm_framework/cli/templates/aws_lambda_dockerfile.template +22 -0
  69. investing_algorithm_framework/cli/templates/aws_lambda_dockerignore.template +92 -0
  70. investing_algorithm_framework/cli/templates/aws_lambda_readme.md.template +110 -0
  71. investing_algorithm_framework/cli/templates/aws_lambda_requirements.txt.template +2 -0
  72. investing_algorithm_framework/cli/templates/azure_function_function_app.py.template +65 -0
  73. investing_algorithm_framework/cli/templates/azure_function_host.json.template +15 -0
  74. investing_algorithm_framework/cli/templates/azure_function_local.settings.json.template +8 -0
  75. investing_algorithm_framework/cli/templates/azure_function_requirements.txt.template +3 -0
  76. investing_algorithm_framework/cli/templates/data_providers.py.template +17 -0
  77. investing_algorithm_framework/cli/templates/env.example.template +2 -0
  78. investing_algorithm_framework/cli/templates/env_azure_function.example.template +4 -0
  79. investing_algorithm_framework/cli/templates/market_data_providers.py.template +9 -0
  80. investing_algorithm_framework/cli/templates/readme.md.template +135 -0
  81. investing_algorithm_framework/cli/templates/requirements.txt.template +2 -0
  82. investing_algorithm_framework/cli/templates/run_backtest.py.template +20 -0
  83. investing_algorithm_framework/cli/templates/strategy.py.template +124 -0
  84. investing_algorithm_framework/create_app.py +54 -0
  85. investing_algorithm_framework/dependency_container.py +155 -0
  86. investing_algorithm_framework/domain/__init__.py +148 -0
  87. investing_algorithm_framework/domain/backtesting/__init__.py +21 -0
  88. investing_algorithm_framework/domain/backtesting/backtest.py +503 -0
  89. investing_algorithm_framework/domain/backtesting/backtest_date_range.py +96 -0
  90. investing_algorithm_framework/domain/backtesting/backtest_evaluation_focuss.py +242 -0
  91. investing_algorithm_framework/domain/backtesting/backtest_metrics.py +459 -0
  92. investing_algorithm_framework/domain/backtesting/backtest_permutation_test.py +275 -0
  93. investing_algorithm_framework/domain/backtesting/backtest_run.py +435 -0
  94. investing_algorithm_framework/domain/backtesting/backtest_summary_metrics.py +162 -0
  95. investing_algorithm_framework/domain/backtesting/combine_backtests.py +280 -0
  96. investing_algorithm_framework/domain/config.py +111 -0
  97. investing_algorithm_framework/domain/constants.py +83 -0
  98. investing_algorithm_framework/domain/data_provider.py +334 -0
  99. investing_algorithm_framework/domain/data_structures.py +42 -0
  100. investing_algorithm_framework/domain/decimal_parsing.py +40 -0
  101. investing_algorithm_framework/domain/exceptions.py +112 -0
  102. investing_algorithm_framework/domain/models/__init__.py +43 -0
  103. investing_algorithm_framework/domain/models/app_mode.py +34 -0
  104. investing_algorithm_framework/domain/models/base_model.py +25 -0
  105. investing_algorithm_framework/domain/models/data/__init__.py +7 -0
  106. investing_algorithm_framework/domain/models/data/data_source.py +214 -0
  107. investing_algorithm_framework/domain/models/data/data_type.py +46 -0
  108. investing_algorithm_framework/domain/models/event.py +35 -0
  109. investing_algorithm_framework/domain/models/market/__init__.py +5 -0
  110. investing_algorithm_framework/domain/models/market/market_credential.py +88 -0
  111. investing_algorithm_framework/domain/models/order/__init__.py +6 -0
  112. investing_algorithm_framework/domain/models/order/order.py +384 -0
  113. investing_algorithm_framework/domain/models/order/order_side.py +36 -0
  114. investing_algorithm_framework/domain/models/order/order_status.py +37 -0
  115. investing_algorithm_framework/domain/models/order/order_type.py +30 -0
  116. investing_algorithm_framework/domain/models/portfolio/__init__.py +9 -0
  117. investing_algorithm_framework/domain/models/portfolio/portfolio.py +169 -0
  118. investing_algorithm_framework/domain/models/portfolio/portfolio_configuration.py +93 -0
  119. investing_algorithm_framework/domain/models/portfolio/portfolio_snapshot.py +208 -0
  120. investing_algorithm_framework/domain/models/position/__init__.py +4 -0
  121. investing_algorithm_framework/domain/models/position/position.py +68 -0
  122. investing_algorithm_framework/domain/models/position/position_snapshot.py +47 -0
  123. investing_algorithm_framework/domain/models/snapshot_interval.py +45 -0
  124. investing_algorithm_framework/domain/models/strategy_profile.py +33 -0
  125. investing_algorithm_framework/domain/models/time_frame.py +153 -0
  126. investing_algorithm_framework/domain/models/time_interval.py +124 -0
  127. investing_algorithm_framework/domain/models/time_unit.py +149 -0
  128. investing_algorithm_framework/domain/models/tracing/__init__.py +0 -0
  129. investing_algorithm_framework/domain/models/tracing/trace.py +23 -0
  130. investing_algorithm_framework/domain/models/trade/__init__.py +13 -0
  131. investing_algorithm_framework/domain/models/trade/trade.py +388 -0
  132. investing_algorithm_framework/domain/models/trade/trade_risk_type.py +34 -0
  133. investing_algorithm_framework/domain/models/trade/trade_status.py +40 -0
  134. investing_algorithm_framework/domain/models/trade/trade_stop_loss.py +267 -0
  135. investing_algorithm_framework/domain/models/trade/trade_take_profit.py +303 -0
  136. investing_algorithm_framework/domain/order_executor.py +112 -0
  137. investing_algorithm_framework/domain/portfolio_provider.py +118 -0
  138. investing_algorithm_framework/domain/positions/__init__.py +4 -0
  139. investing_algorithm_framework/domain/positions/position_size.py +41 -0
  140. investing_algorithm_framework/domain/services/__init__.py +11 -0
  141. investing_algorithm_framework/domain/services/market_credential_service.py +37 -0
  142. investing_algorithm_framework/domain/services/portfolios/__init__.py +5 -0
  143. investing_algorithm_framework/domain/services/portfolios/portfolio_sync_service.py +9 -0
  144. investing_algorithm_framework/domain/services/rounding_service.py +27 -0
  145. investing_algorithm_framework/domain/services/state_handler.py +38 -0
  146. investing_algorithm_framework/domain/stateless_actions.py +7 -0
  147. investing_algorithm_framework/domain/strategy.py +44 -0
  148. investing_algorithm_framework/domain/utils/__init__.py +27 -0
  149. investing_algorithm_framework/domain/utils/csv.py +104 -0
  150. investing_algorithm_framework/domain/utils/custom_tqdm.py +22 -0
  151. investing_algorithm_framework/domain/utils/dates.py +57 -0
  152. investing_algorithm_framework/domain/utils/jupyter_notebook_detection.py +19 -0
  153. investing_algorithm_framework/domain/utils/polars.py +53 -0
  154. investing_algorithm_framework/domain/utils/random.py +41 -0
  155. investing_algorithm_framework/domain/utils/signatures.py +17 -0
  156. investing_algorithm_framework/domain/utils/stoppable_thread.py +26 -0
  157. investing_algorithm_framework/domain/utils/synchronized.py +12 -0
  158. investing_algorithm_framework/download_data.py +108 -0
  159. investing_algorithm_framework/infrastructure/__init__.py +50 -0
  160. investing_algorithm_framework/infrastructure/data_providers/__init__.py +36 -0
  161. investing_algorithm_framework/infrastructure/data_providers/ccxt.py +1143 -0
  162. investing_algorithm_framework/infrastructure/data_providers/csv.py +568 -0
  163. investing_algorithm_framework/infrastructure/data_providers/pandas.py +599 -0
  164. investing_algorithm_framework/infrastructure/database/__init__.py +10 -0
  165. investing_algorithm_framework/infrastructure/database/sql_alchemy.py +120 -0
  166. investing_algorithm_framework/infrastructure/models/__init__.py +16 -0
  167. investing_algorithm_framework/infrastructure/models/decimal_parser.py +14 -0
  168. investing_algorithm_framework/infrastructure/models/model_extension.py +6 -0
  169. investing_algorithm_framework/infrastructure/models/order/__init__.py +4 -0
  170. investing_algorithm_framework/infrastructure/models/order/order.py +124 -0
  171. investing_algorithm_framework/infrastructure/models/order/order_metadata.py +44 -0
  172. investing_algorithm_framework/infrastructure/models/order_trade_association.py +10 -0
  173. investing_algorithm_framework/infrastructure/models/portfolio/__init__.py +4 -0
  174. investing_algorithm_framework/infrastructure/models/portfolio/portfolio_snapshot.py +37 -0
  175. investing_algorithm_framework/infrastructure/models/portfolio/sql_portfolio.py +114 -0
  176. investing_algorithm_framework/infrastructure/models/position/__init__.py +4 -0
  177. investing_algorithm_framework/infrastructure/models/position/position.py +63 -0
  178. investing_algorithm_framework/infrastructure/models/position/position_snapshot.py +23 -0
  179. investing_algorithm_framework/infrastructure/models/trades/__init__.py +9 -0
  180. investing_algorithm_framework/infrastructure/models/trades/trade.py +130 -0
  181. investing_algorithm_framework/infrastructure/models/trades/trade_stop_loss.py +40 -0
  182. investing_algorithm_framework/infrastructure/models/trades/trade_take_profit.py +41 -0
  183. investing_algorithm_framework/infrastructure/order_executors/__init__.py +21 -0
  184. investing_algorithm_framework/infrastructure/order_executors/backtest_oder_executor.py +28 -0
  185. investing_algorithm_framework/infrastructure/order_executors/ccxt_order_executor.py +200 -0
  186. investing_algorithm_framework/infrastructure/portfolio_providers/__init__.py +19 -0
  187. investing_algorithm_framework/infrastructure/portfolio_providers/ccxt_portfolio_provider.py +199 -0
  188. investing_algorithm_framework/infrastructure/repositories/__init__.py +21 -0
  189. investing_algorithm_framework/infrastructure/repositories/order_metadata_repository.py +17 -0
  190. investing_algorithm_framework/infrastructure/repositories/order_repository.py +96 -0
  191. investing_algorithm_framework/infrastructure/repositories/portfolio_repository.py +30 -0
  192. investing_algorithm_framework/infrastructure/repositories/portfolio_snapshot_repository.py +56 -0
  193. investing_algorithm_framework/infrastructure/repositories/position_repository.py +66 -0
  194. investing_algorithm_framework/infrastructure/repositories/position_snapshot_repository.py +21 -0
  195. investing_algorithm_framework/infrastructure/repositories/repository.py +299 -0
  196. investing_algorithm_framework/infrastructure/repositories/trade_repository.py +71 -0
  197. investing_algorithm_framework/infrastructure/repositories/trade_stop_loss_repository.py +23 -0
  198. investing_algorithm_framework/infrastructure/repositories/trade_take_profit_repository.py +23 -0
  199. investing_algorithm_framework/infrastructure/services/__init__.py +7 -0
  200. investing_algorithm_framework/infrastructure/services/aws/__init__.py +6 -0
  201. investing_algorithm_framework/infrastructure/services/aws/state_handler.py +113 -0
  202. investing_algorithm_framework/infrastructure/services/azure/__init__.py +5 -0
  203. investing_algorithm_framework/infrastructure/services/azure/state_handler.py +158 -0
  204. investing_algorithm_framework/services/__init__.py +132 -0
  205. investing_algorithm_framework/services/backtesting/__init__.py +5 -0
  206. investing_algorithm_framework/services/backtesting/backtest_service.py +651 -0
  207. investing_algorithm_framework/services/configuration_service.py +96 -0
  208. investing_algorithm_framework/services/data_providers/__init__.py +5 -0
  209. investing_algorithm_framework/services/data_providers/data_provider_service.py +850 -0
  210. investing_algorithm_framework/services/market_credential_service.py +40 -0
  211. investing_algorithm_framework/services/metrics/__init__.py +114 -0
  212. investing_algorithm_framework/services/metrics/alpha.py +0 -0
  213. investing_algorithm_framework/services/metrics/beta.py +0 -0
  214. investing_algorithm_framework/services/metrics/cagr.py +60 -0
  215. investing_algorithm_framework/services/metrics/calmar_ratio.py +40 -0
  216. investing_algorithm_framework/services/metrics/drawdown.py +181 -0
  217. investing_algorithm_framework/services/metrics/equity_curve.py +24 -0
  218. investing_algorithm_framework/services/metrics/exposure.py +210 -0
  219. investing_algorithm_framework/services/metrics/generate.py +358 -0
  220. investing_algorithm_framework/services/metrics/mean_daily_return.py +83 -0
  221. investing_algorithm_framework/services/metrics/price_efficiency.py +57 -0
  222. investing_algorithm_framework/services/metrics/profit_factor.py +165 -0
  223. investing_algorithm_framework/services/metrics/recovery.py +113 -0
  224. investing_algorithm_framework/services/metrics/returns.py +452 -0
  225. investing_algorithm_framework/services/metrics/risk_free_rate.py +28 -0
  226. investing_algorithm_framework/services/metrics/sharpe_ratio.py +137 -0
  227. investing_algorithm_framework/services/metrics/sortino_ratio.py +74 -0
  228. investing_algorithm_framework/services/metrics/standard_deviation.py +157 -0
  229. investing_algorithm_framework/services/metrics/trades.py +500 -0
  230. investing_algorithm_framework/services/metrics/treynor_ratio.py +0 -0
  231. investing_algorithm_framework/services/metrics/ulcer.py +0 -0
  232. investing_algorithm_framework/services/metrics/value_at_risk.py +0 -0
  233. investing_algorithm_framework/services/metrics/volatility.py +97 -0
  234. investing_algorithm_framework/services/metrics/win_rate.py +177 -0
  235. investing_algorithm_framework/services/order_service/__init__.py +9 -0
  236. investing_algorithm_framework/services/order_service/order_backtest_service.py +178 -0
  237. investing_algorithm_framework/services/order_service/order_executor_lookup.py +110 -0
  238. investing_algorithm_framework/services/order_service/order_service.py +826 -0
  239. investing_algorithm_framework/services/portfolios/__init__.py +16 -0
  240. investing_algorithm_framework/services/portfolios/backtest_portfolio_service.py +54 -0
  241. investing_algorithm_framework/services/portfolios/portfolio_configuration_service.py +75 -0
  242. investing_algorithm_framework/services/portfolios/portfolio_provider_lookup.py +106 -0
  243. investing_algorithm_framework/services/portfolios/portfolio_service.py +188 -0
  244. investing_algorithm_framework/services/portfolios/portfolio_snapshot_service.py +136 -0
  245. investing_algorithm_framework/services/portfolios/portfolio_sync_service.py +182 -0
  246. investing_algorithm_framework/services/positions/__init__.py +7 -0
  247. investing_algorithm_framework/services/positions/position_service.py +210 -0
  248. investing_algorithm_framework/services/positions/position_snapshot_service.py +18 -0
  249. investing_algorithm_framework/services/repository_service.py +40 -0
  250. investing_algorithm_framework/services/trade_order_evaluator/__init__.py +9 -0
  251. investing_algorithm_framework/services/trade_order_evaluator/backtest_trade_oder_evaluator.py +132 -0
  252. investing_algorithm_framework/services/trade_order_evaluator/default_trade_order_evaluator.py +66 -0
  253. investing_algorithm_framework/services/trade_order_evaluator/trade_order_evaluator.py +41 -0
  254. investing_algorithm_framework/services/trade_service/__init__.py +3 -0
  255. investing_algorithm_framework/services/trade_service/trade_service.py +1083 -0
  256. investing_algorithm_framework-7.19.14.dist-info/LICENSE +201 -0
  257. investing_algorithm_framework-7.19.14.dist-info/METADATA +459 -0
  258. investing_algorithm_framework-7.19.14.dist-info/RECORD +260 -0
  259. investing_algorithm_framework-7.19.14.dist-info/WHEEL +4 -0
  260. investing_algorithm_framework-7.19.14.dist-info/entry_points.txt +3 -0
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@@ -0,0 +1,459 @@
1
+ Metadata-Version: 2.1
2
+ Name: investing-algorithm-framework
3
+ Version: 7.19.14
4
+ Summary: A framework for creating trading bots
5
+ Author: MDUYN
6
+ Requires-Python: >=3.10
7
+ Classifier: Programming Language :: Python :: 3
8
+ Classifier: Programming Language :: Python :: 3.10
9
+ Classifier: Programming Language :: Python :: 3.11
10
+ Classifier: Programming Language :: Python :: 3.12
11
+ Requires-Dist: Flask (>=3.1.0)
12
+ Requires-Dist: Flask-Cors (>=3.0.9,<5.0.0)
13
+ Requires-Dist: Flask-Migrate (>=2.6.0)
14
+ Requires-Dist: SQLAlchemy (>=2.0.18)
15
+ Requires-Dist: azure-identity (>=1.19.0,<2.0.0)
16
+ Requires-Dist: azure-mgmt-resource (>=23.2.0,<24.0.0)
17
+ Requires-Dist: azure-mgmt-storage (>=21.2.1,<22.0.0)
18
+ Requires-Dist: azure-mgmt-web (>=7.3.1,<8.0.0)
19
+ Requires-Dist: azure-storage-blob (>=12.24.0,<13.0.0)
20
+ Requires-Dist: boto3 (>=1.38.41,<2.0.0)
21
+ Requires-Dist: ccxt (>=4.2.48)
22
+ Requires-Dist: dependency-injector (>=4.40.0)
23
+ Requires-Dist: jupyter (>=1.0.0)
24
+ Requires-Dist: marshmallow (>=3.5.0)
25
+ Requires-Dist: plotly (>=6.1.2,<7.0.0)
26
+ Requires-Dist: polars[numpy,pandas] (>=0.20.10)
27
+ Requires-Dist: pyarrow (>=19.0.1)
28
+ Requires-Dist: python-dateutil (>=2.8.2)
29
+ Requires-Dist: python-dotenv (>=1.0.1,<2.0.0)
30
+ Requires-Dist: schedule (>=1.1.0)
31
+ Requires-Dist: tabulate (>=0.9.0)
32
+ Requires-Dist: tqdm (>=4.66.1)
33
+ Requires-Dist: wrapt (>=1.16.0)
34
+ Requires-Dist: yfinance (>=0.2.61,<0.3.0)
35
+ Description-Content-Type: text/markdown
36
+
37
+ <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>
38
+
39
+ ---
40
+
41
+ <div align="center"> <a href="https://coding-kitties.github.io/investing-algorithm-framework/">
42
+ <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>
43
+ <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>
44
+ </div>
45
+
46
+ > If you like what we do, consider starring, sharing and contributing!
47
+
48
+ <div align="center">
49
+ <img src="static/showcase.svg" alt="Investing Algorithm Framework Logo" style="height: 50vh; max-height: 750px;">
50
+ </div>
51
+
52
+ The Investing Algorithm Framework is a Python-based framework built to streamline the entire lifecycle of quantitative trading strategies from signal generation and backtesting to live deployment.
53
+
54
+ ## Sponsors
55
+
56
+ <a href="https://www.finterion.com/" target="_blank">
57
+ <picture style="height: 30px;">
58
+ <source media="(prefers-color-scheme: dark)" srcset="static/sponsors/finterion-dark.png">
59
+ <source media="(prefers-color-scheme: light)" srcset="static/sponsors/finterion-light.png">
60
+ <img src="static/sponsors/finterion-light.png" alt="Finterion Logo" width="200px" height="50px">
61
+ </picture>
62
+ </a>
63
+
64
+
65
+ ## 🌟 Features
66
+
67
+ - [x] Python 3.10+: Cross-platform support for Windows, macOS, and Linux.
68
+ - [x] Event-Driven Backtest Engine: Accurate and realistic backtesting with event-driven architecture.
69
+ - [x] Vectorized Backtest Engine: Fast signal research and prototyping with vectorized operations.
70
+ - [x] Permutation testing: Run permutation tests to evaluate the strategy statistical significance.
71
+ - [x] Metric tracking and backtest reports evaluation/comparison: Track and compare key performance metrics like CAGR, Sharpe ratio, max drawdown, and more (See example usage for a complete list of metrics the framework collects).
72
+ - [x] Backtest Reporting: Generate detailed reports to analyse and compare backtests.
73
+ - [x] Live Trading: Execute trades in real-time with support for multiple exchanges via ccxt.
74
+ - [x] Portfolio Management: Manage portfolios, trades, and positions with persistence via SQLite.
75
+ - [x] Market Data Sources: Fetch OHLCV, ticker, and custom data with support for Polars and Pandas.
76
+ - [x] Azure Functions Support: Deploy trading bots to Azure.
77
+ - [x] AWS Lambda Support: Deploy trading bots to AWS Lambda.
78
+ - [x] Web API: Interact with your bot via REST API.
79
+ - [x] PyIndicators Integration: Perform technical analysis directly on your dataframes.
80
+ - [x] Extensibility: Add custom strategies, data providers, order executors so you can connect your trading bot to your favorite exchange or broker.
81
+ - [x] Modular Design: Build your bot using modular components for easy customization and maintenance.
82
+ - [x] Multiple exchanges and brokers: **Detailed guides and API references to help you get started and make the most of the framework.
83
+ and offers flexible deployment options, including Azure Functions and AWS Lambda.
84
+ Designed for extensibility, it allows you to integrate custom strategies, data providers, and order executors, enabling support for any exchange or broker.
85
+ It natively supports multiple data formats, including OHLCV, ticker, and custom datasets with seamless compatibility for both Pandas and Polars DataFrames.
86
+
87
+
88
+
89
+ ## 🚀 Quickstart
90
+
91
+ Installation
92
+ Install the framework via [PyPI](https://pypi.org/project/investing-algorithm-framework/):
93
+
94
+ 1. First install the framework using `pip`. The Investing Algorithm Framework is hosted on [PyPi].
95
+
96
+ ```bash
97
+ pip install investing-algorithm-framework
98
+ ```
99
+
100
+ Run the following command to set up your project:
101
+
102
+ ```bash
103
+ investing-algorithm-framewor init
104
+ ```
105
+
106
+ For a aws lambda compatible project, run:
107
+
108
+ ```bash
109
+ investing-algorithm-framework init --type aws_lambda
110
+ ```
111
+
112
+ This will create:
113
+
114
+ * app.py: The entry point for your bot.
115
+ * strategy.py: A sample strategy file to get started.
116
+
117
+ > Note: Keep the app.py file as is. You can modify strategy.py and add additional files to build your bot.
118
+ > You can always change the app to the web version by changing the `app.py` file.
119
+
120
+ ---
121
+
122
+ ## 📈 Example: A Simple Trading Bot
123
+ The following example trading bot implements a simple moving average strategy.
124
+ The strategy will use data from bitvavo exchange and will calculate
125
+ the 20, 50 and 100 period exponential moving averages (EMA) and the
126
+ 14 period relative strength index (RSI).
127
+
128
+ > This example uses [PyIndicators](https://github.com/coding-kitties/pyindicators) for technical analysis.
129
+ > This dependency is not part of the framework, but is used to perform technical analysis on the dataframes.
130
+ > You can install it using pip: pip install pyindicators.
131
+
132
+ ```python
133
+ from typing import Dict, Any
134
+ from datetime import datetime, timezone
135
+
136
+ import pandas as pd
137
+ from pyindicators import ema, rsi, crossover, crossunder
138
+
139
+ from investing_algorithm_framework import TradingStrategy, DataSource, \
140
+ TimeUnit, DataType, PositionSize, create_app, RESOURCE_DIRECTORY, \
141
+ BacktestDateRange, BacktestReport
142
+
143
+
144
+ class RSIEMACrossoverStrategy(TradingStrategy):
145
+ time_unit = TimeUnit.HOUR
146
+ interval = 2
147
+ symbols = ["BTC"]
148
+ position_sizes = [
149
+ PositionSize(
150
+ symbol="BTC", percentage_of_portfolio=20.0
151
+ ),
152
+ PositionSize(
153
+ symbol="ETH", percentage_of_portfolio=20.0
154
+ )
155
+ ]
156
+
157
+ def __init__(
158
+ self,
159
+ time_unit: TimeUnit,
160
+ interval: int,
161
+ market: str,
162
+ rsi_time_frame: str,
163
+ rsi_period: int,
164
+ rsi_overbought_threshold,
165
+ rsi_oversold_threshold,
166
+ ema_time_frame,
167
+ ema_short_period,
168
+ ema_long_period,
169
+ ema_cross_lookback_window: int = 10
170
+ ):
171
+ self.rsi_time_frame = rsi_time_frame
172
+ self.rsi_period = rsi_period
173
+ self.rsi_result_column = f"rsi_{self.rsi_period}"
174
+ self.rsi_overbought_threshold = rsi_overbought_threshold
175
+ self.rsi_oversold_threshold = rsi_oversold_threshold
176
+ self.ema_time_frame = ema_time_frame
177
+ self.ema_short_result_column = f"ema_{ema_short_period}"
178
+ self.ema_long_result_column = f"ema_{ema_long_period}"
179
+ self.ema_crossunder_result_column = "ema_crossunder"
180
+ self.ema_crossover_result_column = "ema_crossover"
181
+ self.ema_short_period = ema_short_period
182
+ self.ema_long_period = ema_long_period
183
+ self.ema_cross_lookback_window = ema_cross_lookback_window
184
+ data_sources = []
185
+
186
+ for symbol in self.symbols:
187
+ full_symbol = f"{symbol}/EUR"
188
+ data_sources.append(
189
+ DataSource(
190
+ identifier=f"{symbol}_rsi_data",
191
+ data_type=DataType.OHLCV,
192
+ time_frame=self.rsi_time_frame,
193
+ market=market,
194
+ symbol=full_symbol,
195
+ pandas=True,
196
+ window_size=800
197
+ )
198
+ )
199
+ data_sources.append(
200
+ DataSource(
201
+ identifier=f"{symbol}_ema_data",
202
+ data_type=DataType.OHLCV,
203
+ time_frame=self.ema_time_frame,
204
+ market=market,
205
+ symbol=full_symbol,
206
+ pandas=True,
207
+ window_size=800
208
+ )
209
+ )
210
+
211
+ super().__init__(
212
+ data_sources=data_sources, time_unit=time_unit, interval=interval
213
+ )
214
+
215
+ def _prepare_indicators(
216
+ self,
217
+ rsi_data,
218
+ ema_data
219
+ ):
220
+ """
221
+ Helper function to prepare the indicators
222
+ for the strategy. The indicators are calculated
223
+ using the pyindicators library: https://github.com/coding-kitties/PyIndicators
224
+ """
225
+ ema_data = ema(
226
+ ema_data,
227
+ period=self.ema_short_period,
228
+ source_column="Close",
229
+ result_column=self.ema_short_result_column
230
+ )
231
+ ema_data = ema(
232
+ ema_data,
233
+ period=self.ema_long_period,
234
+ source_column="Close",
235
+ result_column=self.ema_long_result_column
236
+ )
237
+ # Detect crossover (short EMA crosses above long EMA)
238
+ ema_data = crossover(
239
+ ema_data,
240
+ first_column=self.ema_short_result_column,
241
+ second_column=self.ema_long_result_column,
242
+ result_column=self.ema_crossover_result_column
243
+ )
244
+ # Detect crossunder (short EMA crosses below long EMA)
245
+ ema_data = crossunder(
246
+ ema_data,
247
+ first_column=self.ema_short_result_column,
248
+ second_column=self.ema_long_result_column,
249
+ result_column=self.ema_crossunder_result_column
250
+ )
251
+ rsi_data = rsi(
252
+ rsi_data,
253
+ period=self.rsi_period,
254
+ source_column="Close",
255
+ result_column=self.rsi_result_column
256
+ )
257
+
258
+ return ema_data, rsi_data
259
+
260
+ def generate_buy_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
261
+ """
262
+ Generate buy signals based on the moving average crossover.
263
+
264
+ data (Dict[str, Any]): Dictionary containing all the data for
265
+ the strategy data sources.
266
+
267
+ Returns:
268
+ Dict[str, pd.Series]: A dictionary where keys are symbols and values
269
+ are pandas Series indicating buy signals (True/False).
270
+ """
271
+
272
+ signals = {}
273
+
274
+ for symbol in self.symbols:
275
+ ema_data_identifier = f"{symbol}_ema_data"
276
+ rsi_data_identifier = f"{symbol}_rsi_data"
277
+ ema_data, rsi_data = self._prepare_indicators(
278
+ data[ema_data_identifier].copy(),
279
+ data[rsi_data_identifier].copy()
280
+ )
281
+
282
+ # crossover confirmed
283
+ ema_crossover_lookback = ema_data[
284
+ self.ema_crossover_result_column].rolling(
285
+ window=self.ema_cross_lookback_window
286
+ ).max().astype(bool)
287
+
288
+ # use only RSI column
289
+ rsi_oversold = rsi_data[self.rsi_result_column] \
290
+ < self.rsi_oversold_threshold
291
+
292
+ buy_signal = rsi_oversold & ema_crossover_lookback
293
+ buy_signals = buy_signal.fillna(False).astype(bool)
294
+ signals[symbol] = buy_signals
295
+ return signals
296
+
297
+ def generate_sell_signals(self, data: Dict[str, Any]) -> Dict[str, pd.Series]:
298
+ """
299
+ Generate sell signals based on the moving average crossover.
300
+
301
+ Args:
302
+ data (Dict[str, Any]): Dictionary containing all the data for
303
+ the strategy data sources.
304
+
305
+ Returns:
306
+ Dict[str, pd.Series]: A dictionary where keys are symbols and values
307
+ are pandas Series indicating sell signals (True/False).
308
+ """
309
+
310
+ signals = {}
311
+ for symbol in self.symbols:
312
+ ema_data_identifier = f"{symbol}_ema_data"
313
+ rsi_data_identifier = f"{symbol}_rsi_data"
314
+ ema_data, rsi_data = self._prepare_indicators(
315
+ data[ema_data_identifier].copy(),
316
+ data[rsi_data_identifier].copy()
317
+ )
318
+
319
+ # Confirmed by crossover between short-term EMA and long-term EMA
320
+ # within a given lookback window
321
+ ema_crossunder_lookback = ema_data[
322
+ self.ema_crossunder_result_column].rolling(
323
+ window=self.ema_cross_lookback_window
324
+ ).max().astype(bool)
325
+
326
+ # use only RSI column
327
+ rsi_overbought = rsi_data[self.rsi_result_column] \
328
+ >= self.rsi_overbought_threshold
329
+
330
+ # Combine both conditions
331
+ sell_signal = rsi_overbought & ema_crossunder_lookback
332
+ sell_signal = sell_signal.fillna(False).astype(bool)
333
+ signals[symbol] = sell_signal
334
+ return signals
335
+
336
+
337
+ if __name__ == "__main__":
338
+ app = create_app()
339
+ app.add_strategy(
340
+ RSIEMACrossoverStrategy(
341
+ time_unit=TimeUnit.HOUR,
342
+ interval=2,
343
+ market="bitvavo",
344
+ rsi_time_frame="2h",
345
+ rsi_period=14,
346
+ rsi_overbought_threshold=70,
347
+ rsi_oversold_threshold=30,
348
+ ema_time_frame="2h",
349
+ ema_short_period=12,
350
+ ema_long_period=26,
351
+ ema_cross_lookback_window=10
352
+ )
353
+ )
354
+
355
+ # Market credentials for coinbase for both the portfolio connection and data sources will
356
+ # be read from .env file, when not registering a market credential object in the app.
357
+ app.add_market(
358
+ market="bitvavo",
359
+ trading_symbol="EUR",
360
+ )
361
+ backtest_range = BacktestDateRange(
362
+ start_date=datetime(2023, 1, 1, tzinfo=timezone.utc),
363
+ end_date=datetime(2024, 6, 1, tzinfo=timezone.utc)
364
+ )
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+ backtest = app.run_backtest(
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+ backtest_date_range=backtest_range, initial_amount=1000
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+ )
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+ report = BacktestReport(backtest)
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+ report.show(backtest_date_range=backtest_range, browser=True)
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+ ```
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+
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+ > You can find more examples [here](./examples) folder.
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+
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+ ## 📚 Documentation
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+ Comprehensive documentation is available at [github pages](https://coding-kitties.github.io/investing-algorithm-framework/).
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+
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+ ## 🛠️ Development
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+
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+ Local Development
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+
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+ Clone the repository and install dependencies using Poetry:
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+
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+ The framework is built with poetry. To install the framework for local development, you can run the following commands:
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+
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+ > Make sure you have poetry installed. If you don't have poetry installed, you can find installation instructions [here](https://python-poetry.org/docs/#installation)
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+
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+ ```bash
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+ git clone http
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+ cd investing-algorithm-framework
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+ poetry install
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+ ```
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+
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+ ### Running tests
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+
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+ To run the tests, you can run the following command:
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+
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+ ```bash
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+ # In the root of the project
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+ python -m unittest discover -s tests
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+ ```
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+
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+ ## ⚠️ Disclaimer
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+
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+ If you use this framework for your investments, do not risk money
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+ which you are afraid to lose, until you have clear understanding how the framework works. We can't stress this enough:
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+
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+ BEFORE YOU START USING MONEY WITH THE FRAMEWORK, MAKE SURE THAT YOU TESTED
408
+ YOUR COMPONENTS THOROUGHLY. USE THE SOFTWARE AT YOUR OWN RISK.
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+ THE AUTHORS AND ALL AFFILIATES ASSUME NO RESPONSIBILITY FOR YOUR INVESTMENT RESULTS.
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+
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+ Also, make sure that you read the source code of any plugin you use or
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+ implementation of an algorithm made with this framework.
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+
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+ We welcome contributions! Check out the project board and issues to get started.
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+
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+ ## Documentation
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+
418
+ All the documentation can be found online
419
+ at the [documentation webstie](https://coding-kitties.github.io/investing-algorithm-framework/)
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+
421
+ In most cases, you'll probably never have to change code on this repo directly
422
+ if you are building your algorithm/bot. But if you do, check out the
423
+ contributing page at the website.
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+
425
+ If you'd like to chat with investing-algorithm-framework users
426
+ and developers, [join us on Slack](https://inv-algo-framework.slack.com) or [join us on reddit](https://www.reddit.com/r/InvestingBots/)
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+
428
+ ## 🤝 Contributing
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+
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+ The investing algorithm framework is a community driven project.
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+ We welcome you to participate, contribute and together help build the future trading bots developed in python.
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+
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+ To get started, please read the [contributing guide](https://coding-kitties.github.io/investing-algorithm-framework/Contributing&20Guide/contributing).
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+
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+ Feel like the framework is missing a feature? We welcome your pull requests!
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+ 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).
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+ You can pick up a task by assigning yourself to it.
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+
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+ **Note** before starting any major new feature work, *please open an issue describing what you are planning to do*.
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+ This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it.
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+
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+ **Important:** Always create your feature or hotfix against the `develop` branch, not `main`.
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+
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+ ## 📬 Support
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+
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+ * [Reddit Community](https://www.reddit.com/r/InvestingBots/)
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+ * [Discord Community](https://discord.gg/dQsRmGZP")
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+
449
+
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+ ## 🏆 Acknowledgements
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+
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+ We want to thank all contributors to this project. A full list of all the people that contributed to the project can be
453
+ found [here](https://github.com/investing-algorithms/investing-algorithm-framework/blob/master/AUTHORS.md)
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+
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+ ### [Bugs / Issues](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
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+
457
+ If you discover a bug in the framework, please [search our issue tracker](https://github.com/investing-algorithms/investing-algorithm-framework/issues?q=is%3Aissue)
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+ first. If it hasn't been reported, please [create a new issue](https://github.com/investing-algorithms/investing-algorithm-framework/issues/new).
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+