lumibot 4.0.19__tar.gz → 4.0.20__tar.gz

{lumibot-4.0.19/lumibot.egg-info → lumibot-4.0.20}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: lumibot
-Version: 4.0.19
+Version: 4.0.20
 Summary: Backtesting and Trading Library, Made by Lumiwealth
 Home-page: https://github.com/Lumiwealth/lumibot
 Author: Robert Grzesik

{lumibot-4.0.19 → lumibot-4.0.20}/lumibot/backtesting/backtesting_broker.py

@@ -493,15 +493,35 @@ class BacktestingBroker(Broker):
 
         in_stream_thread = threading.current_thread().name.startswith(f"broker_{self.name}")
 
+        # Track which orders have been canceled to avoid duplicate processing
+        canceled_identifiers = set()
+
         def _cancel_inline(order: Order):
+            if order.identifier in canceled_identifiers:
+                return
+            canceled_identifiers.add(order.identifier)
             self._process_trade_event(order, self.CANCELED_ORDER)
             for child in order.child_orders:
                 _cancel_inline(child)
 
         open_orders = self.get_tracked_orders(strategy=strategy_name)
+
+        # Build a set of all child order identifiers to skip them in the main loop
+        # (they will be handled by their parent orders)
+        child_order_identifiers = set()
+        for tracked_order in open_orders:
+            if tracked_order.child_orders:
+                for child in tracked_order.child_orders:
+                    child_order_identifiers.add(child.identifier)
+
         for tracked_order in open_orders:
             if tracked_order.identifier in exclude_identifiers:
                 continue
+            if tracked_order.identifier in canceled_identifiers:
+                continue
+            # Skip child orders - they will be handled by their parent
+            if tracked_order.identifier in child_order_identifiers:
+                continue
             if tracked_order.asset != asset:
                 continue
             if not tracked_order.is_active():

{lumibot-4.0.19 → lumibot-4.0.20}/lumibot/strategies/strategy_executor.py

@@ -1178,14 +1178,28 @@ class StrategyExecutor(Thread):
                 # Sleep until the market closes.
                 self.safe_sleep(time_to_close)
 
-                # Remove the time to close from the strategy sleep time.
-                strategy_sleeptime -= time_to_close
-
                 # Check if the broker has a function to process expired option contracts.
                 if hasattr(self.broker, "process_expired_option_contracts"):
                     # Process expired option contracts.
                     self.broker.process_expired_option_contracts(self.strategy)
 
+                # For backtesting with non-continuous markets, after reaching market close,
+                # we should end the trading session for this day and return False to break out
+                # of the backtesting loop. The main loop will then call _advance_to_next_trading_day()
+                # to move to the next trading day.
+                #
+                # IMPORTANT: Skip this ONLY for pure PandasDataBacktesting sources (not Polygon
+                # which inherits from PandasData) to maintain backward compatibility with existing
+                # tests that expect pandas daily data to process multiple days in a single call.
+                is_pure_pandas_data = (hasattr(self.broker, 'data_source') and
+                                      type(self.broker.data_source).__name__ in ('PandasData', 'PandasDataBacktesting'))
+
+                if self.strategy.is_backtesting and not is_pure_pandas_data:
+                    return False
+
+                # For live trading or pandas data, continue with the remaining sleep time
+                strategy_sleeptime -= time_to_close
+
         # TODO: next line speed implication: medium (371 microseconds)
         self.safe_sleep(strategy_sleeptime)
 
@@ -1352,6 +1366,10 @@ class StrategyExecutor(Thread):
             if not sleep_result:
                 break
 
+            # Recalculate time_to_close for the next iteration
+            if not is_continuous_market:
+                time_to_close = self.broker.get_time_to_close()
+
         # Don't log this to avoid creating root handler
         # self.strategy.log_message(f"Backtesting loop completed with {iteration_count} iterations")
 

{lumibot-4.0.19 → lumibot-4.0.20}/lumibot/tools/indicators.py

@@ -665,7 +665,8 @@ def plot_returns(
     # Buy ticks
     buys = df_final.copy()
     buys[strategy_name] = buys[strategy_name].bfill()
-    buys = buys.loc[df_final["side"] == "buy"]
+    # Include all buy-type sides: buy, buy_to_open, buy_to_cover, buy_to_close
+    buys = buys.loc[df_final["side"].isin(["buy", "buy_to_open", "buy_to_cover", "buy_to_close"])]
 
     def generate_buysell_plotly_text(row):
         if row["status"] not in ("fill", "partial_fill"):
@@ -809,7 +810,8 @@ def plot_returns(
     # Sell ticks
     sells = df_final.copy()
     sells[strategy_name] = sells[strategy_name].bfill()
-    sells = sells.loc[df_final["side"] == "sell"]
+    # Include all sell-type sides: sell, sell_to_close, sell_short, sell_to_open
+    sells = sells.loc[df_final["side"].isin(["sell", "sell_to_close", "sell_short", "sell_to_open"])]
 
     sells_ticks_df = sells.apply(generate_buysell_plotly_text, axis=1)
 

{lumibot-4.0.19 → lumibot-4.0.20/lumibot.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: lumibot
-Version: 4.0.19
+Version: 4.0.20
 Summary: Backtesting and Trading Library, Made by Lumiwealth
 Home-page: https://github.com/Lumiwealth/lumibot
 Author: Robert Grzesik

{lumibot-4.0.19 → lumibot-4.0.20}/setup.py

@@ -5,7 +5,7 @@ with open("README.md", "r", encoding="utf-8") as fh:
 
 setuptools.setup(
     name="lumibot",
-    version="4.0.19",
+    version="4.0.20",
     author="Robert Grzesik",
     author_email="rob@lumiwealth.com",
     description="Backtesting and Trading Library, Made by Lumiwealth",

{lumibot-4.0.19 → lumibot-4.0.20}/tests/backtest/test_polygon.py

@@ -206,6 +206,7 @@ class TestPolygonBacktestFull:
         )
         assert "fill" not in poly_strat_obj.order_time_tracker[stoploss_order_id]
 
+    @pytest.mark.apitest
     @pytest.mark.skipif(
         not POLYGON_API_KEY,
         reason="This test requires a Polygon.io API key"
@@ -475,6 +476,7 @@ class TestPolygonDataSource:
         assert call_strikes[-1] == expected_last, f"CALL strikes for {expected_expiry} expected last strike {expected_last}, got {call_strikes[-1]}"
         assert put_strikes[-1] == expected_last, f"PUT strikes for {expected_expiry} expected last strike {expected_last}, got {put_strikes[-1]}"
 
+    @pytest.mark.apitest
     @pytest.mark.skipif(not POLYGON_API_KEY or POLYGON_API_KEY == '<your key here>', reason="This test requires a Polygon.io API key")
     def test_get_last_price_unchanged(self):
         """
@@ -497,6 +499,7 @@ class TestPolygonDataSource:
         # Open: $129.11, Close: $128.85 at 10am Eastern -- Looked up on TradingView (DavidM)
         assert 128.80 < last_price < 129.20, f"Expected AMZN price between 128 and 130 on 2023-08-02, got {last_price}"
 
+    @pytest.mark.apitest
     @pytest.mark.skipif(not POLYGON_API_KEY or POLYGON_API_KEY == '<your key here>', reason="This test requires a Polygon.io API key")
     def test_get_historical_prices_unchanged_for_amzn(self):
         """