lumibot 4.0.21__py3-none-any.whl → 4.0.23__py3-none-any.whl

{lumibot-4.0.21.dist-info → lumibot-4.0.23.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: lumibot
-Version: 4.0.21
+Version: 4.0.23
 Summary: Backtesting and Trading Library, Made by Lumiwealth
 Home-page: https://github.com/Lumiwealth/lumibot
 Author: Robert Grzesik

{lumibot-4.0.21.dist-info → lumibot-4.0.23.dist-info}/RECORD

@@ -1,7 +1,7 @@
 lumibot/__init__.py,sha256=fHJI9tgI2gk8n7Z8v8bopekW7oXIa8Rm3nYKwhQkYxo,4378
 lumibot/constants.py,sha256=aQT0_QR7sCQuNPizeo2lQNhF0xd5g_H2_gr_-kG2AXM,629
 lumibot/credentials.py,sha256=tplT093Fd0lDP0fUAxpqQb9Iqh67pWBDL8P39VaUyCY,31238
-lumibot/backtesting/__init__.py,sha256=1rYjXEr1i4fuuxQ2oES0jBJFQVxbHC3qvhY32Z6iiIk,773
+lumibot/backtesting/__init__.py,sha256=vrzgpE4TsVJFzFs1xf0aqvSQ5Vj74iv5tG_aWW5I2i0,782
 lumibot/backtesting/alpaca_backtesting.py,sha256=56vnBwKjwZ-8QW92I_dlJd1AO752_WV5Mhwt8jd7x5o,31258
 lumibot/backtesting/alpha_vantage_backtesting.py,sha256=LR3UNhJrdAKdvadiThVKdKrMZYQ_xcHzAISKPe0yqS0,417
 lumibot/backtesting/backtesting_broker.py,sha256=mf-UnOT9DX-JhF8wjqKQZrv-wY48rH0_B9CwTtR-o4M,62267
@@ -33,7 +33,7 @@ lumibot/components/options_helper.py,sha256=Y41hcNFNJO7PdZZAf0P5_cem5byYd-zIq7BR
 lumibot/components/perplexity_helper.py,sha256=0dhAIXunvUnTKIFFdYbFt8adnSIavKRqXkQ91fjsDPI,31432
 lumibot/components/quiver_helper.py,sha256=s0Y-tL1y2S1mYlbtlRTcL5R4WV0HYOgiSJ9hT41Hzrw,14380
 lumibot/components/vix_helper.py,sha256=tsWHFQzOJCjdmSGgmnYIty0K5ua-iAgBiRlyRIpGli0,61940
-lumibot/data_sources/__init__.py,sha256=r25RPPtIMkXvmKFjOnlPRh3gzV0XWPE2t6TMy8Qk2Jc,949
+lumibot/data_sources/__init__.py,sha256=pIU_0Kbucd594EmUQoQC6QpPJA9EUlNwJjTGj9fOzKE,1064
 lumibot/data_sources/alpaca_data.py,sha256=9pguY470mfgqSFYsB09ujQu9yBnX1Wb5H_ef0d1WzzM,50012
 lumibot/data_sources/alpha_vantage_data.py,sha256=ypcbMlJEF3r4_rGL_QLRqicG0FRHH9g_D_UR_obRa-8,5040
 lumibot/data_sources/bitunix_data.py,sha256=H2u4fJVEJqmNrqJnYs1hucZyg4N3dEtCB9JZsEm2am8,8946
@@ -41,8 +41,10 @@ lumibot/data_sources/ccxt_backtesting_data.py,sha256=FgVVMgA0WLF1RYlSNENN7jkppUj
 lumibot/data_sources/ccxt_data.py,sha256=kvLtfcXfS_V6yILzUATdQMa07lZdspMtDez0boFE4DE,7766
 lumibot/data_sources/data_source.py,sha256=oOZ9hdg2OUAFT5yCQ8uExDEoNYqqeswDoHdVxHhJACs,28225
 lumibot/data_sources/data_source_backtesting.py,sha256=nQKx9uxFUaZfNBQk4jqBuwEy3Y7J3TPl21woPJXr61k,8711
-lumibot/data_sources/databento_data.py,sha256=vJc1H7PBVMVa_0I4LRiguS1Os1wFFPOSEAk-uwTbq28,14185
+lumibot/data_sources/databento_data.py,sha256=GdD9UwLhRkbWwVpqssO6hT_pALh_V3t1aIO_j90FJFk,14210
 lumibot/data_sources/databento_data_polars.py,sha256=7Nl6TDfP4piUSiZs3KqFuZkdseEu3-7F37mWUC6P76U,36479
+lumibot/data_sources/databento_data_polars_backtesting.py,sha256=naARl0QVzOkeUCU2z2z37i4Z_DelJoBSbOgqsYeqnJA,17851
+lumibot/data_sources/databento_data_polars_live.py,sha256=NJc1nHU6P94uUZQWtQ0z5-bi1SRKCkW4-yCFmwZ5FDI,36479
 lumibot/data_sources/example_broker_data.py,sha256=WkCc3rLyOOI4GzLptUwhqeFRkEWQsM4y3tdzUbHPfik,2066
 lumibot/data_sources/exceptions.py,sha256=fYS44FgrzyDAuPqZRo3RiZKijjcurcG81HkL2dWURX0,557
 lumibot/data_sources/interactive_brokers_data.py,sha256=2e0cqOHaveL9XdlZ_N98vehUuoKaHqhV4BelMIScUqQ,13894
@@ -170,7 +172,7 @@ tests/test_databento_backtesting.py,sha256=5uGiKxQIY8eYVvgQEO6kA4GWUP4k2MCHi_S5h
 tests/test_databento_backtesting_polars.py,sha256=V9Z7-WG2TNKpHQVF5vGJSIdgUsuhJwlopZV66FREWA0,8097
 tests/test_databento_data.py,sha256=HakjDileGpicQc_OXeX7l8ncIDn3FtxP8ymKA6TQp8o,18860
 tests/test_databento_helper.py,sha256=3z9OLiJdtxDsZmM9tVhzqn4U6wNWKFfTygU_YcRiuhk,44253
-tests/test_databento_live.py,sha256=cydmUDbBruhVd-cZxN5uKjWRgXWt-gy4ZlajUfy0QSs,15583
+tests/test_databento_live.py,sha256=tbg2C9cyW45OYY7dKYlPMNZpgsN_sjs4yk1GR23OL6o,15648
 tests/test_databento_timezone_fixes.py,sha256=kJClHKqQ9ZiNd4Bt0ceGx9fMxjVnyR3F9T7jJ66hRQg,10832
 tests/test_drift_rebalancer.py,sha256=AUuEd3WIunfx3gwVdLVtq8jOHlz65UeqpO4adY1xfcs,105289
 tests/test_futures_integration.py,sha256=3Ut0M8d5xPwHd4WcTSmP4HLC7VG_xSUXeJPX0-c0Fe8,9179
@@ -224,7 +226,7 @@ tests/backtest/performance_tracker.py,sha256=oyaDvte66HveBAiU6fOsk5Z5FJaKulKN67I
 tests/backtest/test_backtesting_broker_processing.py,sha256=JbTKZvcMq3l4AgIGhsvVWvhw3_NXQwql2ImztNKbziw,22145
 tests/backtest/test_buy_hold_quiet_logs_full_run.py,sha256=LDiR8wsEwIASPnO_bUMide6re0Jb-rzFG3hccD9OGJM,4998
 tests/backtest/test_crypto_cash_regressions.py,sha256=-f0wjb-9nXpggS30N4zomYl098Qu-tfvfWwhlkoxPMM,6077
-tests/backtest/test_databento.py,sha256=Df0IoKL52SqZxL5Jck7_-LlrWFLFgKd1ZYowCWCZx1k,5297
+tests/backtest/test_databento.py,sha256=MNrpV4nUczUJUyaMS0mbfQ8BAd77-avgNeFP3qsLcI8,7395
 tests/backtest/test_dividends.py,sha256=fYSpzAf13AMpfxmxyFTfvUGPAGkbUTWL_gUYQUrqkbU,9815
 tests/backtest/test_example_strategies.py,sha256=EDgz-1PJUHEv_11DLWXvlzHqGOY_bJSCnUA16VbMByY,14575
 tests/backtest/test_failing_backtest.py,sha256=jBkm_3Yq-TrzezAQM7XEAn3424lzG6Mu5agnTJQCo6E,5460
@@ -235,8 +237,8 @@ tests/backtest/test_polygon.py,sha256=bKrI5C3Gel1nsZfSR4tqdONMpEDNBDy1Q2If7wLclD
 tests/backtest/test_strategy_executor.py,sha256=r-QNPCNJnisxQyIAxPGO-BQ-l3qtZMChOUWCVX-b4ls,1289
 tests/backtest/test_thetadata.py,sha256=-76X2QpPCt-EXkOYeTlFIOr_UBBGPel0B-r_F84hl5g,16838
 tests/backtest/test_yahoo.py,sha256=FolIqwsPlAOyAr2fjw4TKp_dAzBLT-KMLNcJa1ej4RE,2011
-lumibot-4.0.21.dist-info/LICENSE,sha256=fYhGIyxjyNXACgpNQS3xxpxDOaVOWRVxZMCRbsDv8k0,35130
-lumibot-4.0.21.dist-info/METADATA,sha256=9JjwE69ziZw23HPS0f3q2U9qhHPxKd5VNqxVKUpGGFw,11519
-lumibot-4.0.21.dist-info/WHEEL,sha256=tZoeGjtWxWRfdplE7E3d45VPlLNQnvbKiYnx7gwAy8A,92
-lumibot-4.0.21.dist-info/top_level.txt,sha256=otUnUjDFVASauEDiTiAzNgMyqQ1B6jjS3QqqP-WSx38,14
-lumibot-4.0.21.dist-info/RECORD,,
+lumibot-4.0.23.dist-info/LICENSE,sha256=fYhGIyxjyNXACgpNQS3xxpxDOaVOWRVxZMCRbsDv8k0,35130
+lumibot-4.0.23.dist-info/METADATA,sha256=5ZXFriQ3hRp76mlw6FMmw6u68Zm1iC6pKk_allFOQQc,11519
+lumibot-4.0.23.dist-info/WHEEL,sha256=tZoeGjtWxWRfdplE7E3d45VPlLNQnvbKiYnx7gwAy8A,92
+lumibot-4.0.23.dist-info/top_level.txt,sha256=otUnUjDFVASauEDiTiAzNgMyqQ1B6jjS3QqqP-WSx38,14
+lumibot-4.0.23.dist-info/RECORD,,

tests/backtest/test_databento.py

@@ -3,6 +3,7 @@ import pytest
 import pytz
 
 from lumibot.backtesting import BacktestingBroker, DataBentoDataBacktesting
+from lumibot.data_sources import DataBentoDataBacktesting as DataBentoDataBacktestingPolars
 from lumibot.entities import Asset
 from lumibot.strategies import Strategy
 from lumibot.traders import Trader
@@ -97,6 +98,58 @@ class TestDatabentoBacktestFull:
         for price in strat_obj.prices:
             assert price is not None and price > 0, f"Expected valid price, got {price}"
 
+    @pytest.mark.apitest
+    @pytest.mark.skipif(
+        not DATABENTO_API_KEY,
+        reason="This test requires a Databento API key"
+    )
+    @pytest.mark.skipif(
+        DATABENTO_API_KEY == '<your key here>',
+        reason="This test requires a Databento API key"
+    )
+    def test_databento_continuous_futures_minute_data_polars(self):
+        """
+        Test Databento with Polars implementation - minute-level data.
+        Should be significantly faster than pandas version.
+        """
+        # Use timezone-aware datetimes for futures trading
+        tzinfo = pytz.timezone("America/New_York")
+        backtesting_start = tzinfo.localize(datetime.datetime(2025, 1, 2, 9, 30))
+        backtesting_end = tzinfo.localize(datetime.datetime(2025, 1, 3, 16, 0))
+
+        data_source = DataBentoDataBacktestingPolars(
+            datetime_start=backtesting_start,
+            datetime_end=backtesting_end,
+            api_key=DATABENTO_API_KEY,
+        )
+
+        broker = BacktestingBroker(data_source=data_source)
+
+        strat_obj = SimpleContinuousFutures(
+            broker=broker,
+        )
+
+        trader = Trader(logfile="", backtest=True)
+        trader.add_strategy(strat_obj)
+        results = trader.run_all(
+            show_plot=False,
+            show_tearsheet=False,
+            show_indicators=False,
+            save_tearsheet=False
+        )
+
+        # Verify results
+        assert results is not None
+        assert len(strat_obj.prices) > 0, "Expected to collect some prices"
+        assert len(strat_obj.times) > 0, "Expected to collect some timestamps"
+
+        # Verify minute-level cadence
+        assert len(strat_obj.prices) > 100, f"Expected many minute-level data points, got {len(strat_obj.prices)}"
+
+        # Verify all prices are valid numbers
+        for price in strat_obj.prices:
+            assert price is not None and price > 0, f"Expected valid price, got {price}"
+
     @pytest.mark.apitest
     @pytest.mark.skipif(
         not DATABENTO_API_KEY,
@@ -111,8 +164,9 @@ class TestDatabentoBacktestFull:
         Test Databento with continuous futures using daily data over a longer period.
         This is similar to the profiling test but as a permanent test.
         """
-        backtesting_start = datetime.datetime(2025, 1, 2)
-        backtesting_end = datetime.datetime(2025, 3, 31)
+        tzinfo = pytz.timezone("America/New_York")
+        backtesting_start = tzinfo.localize(datetime.datetime(2025, 1, 2))
+        backtesting_end = tzinfo.localize(datetime.datetime(2025, 3, 31))
 
         # Simple daily strategy
         class DailyContinuousFutures(Strategy):

tests/test_databento_live.py

@@ -27,13 +27,13 @@ load_dotenv()
 def test_symbol_resolution():
     """Test that symbols are properly resolved to contract codes"""
     from lumibot.entities import Asset
-    from lumibot.data_sources.databento_data_polars import DataBentoDataPolars
+    from lumibot.data_sources.databento_data_polars_live import DataBentoDataPolarsLive
     
     print("\n" + "="*60)
     print("TEST 1: Symbol Resolution")
     print("="*60)
     
-    data_source = DataBentoDataPolars(
+    data_source = DataBentoDataPolarsLive(
         api_key=os.getenv('DATABENTO_API_KEY'),
         has_paid_subscription=True,
         enable_live_stream=False  # Don't need streaming for this test
@@ -97,14 +97,14 @@ def test_live_api_connection():
 def test_minute_bar_aggregation():
     """Test minute bar aggregation with <1 minute lag"""
     from lumibot.entities import Asset
-    from lumibot.data_sources.databento_data_polars import DataBentoDataPolars
+    from lumibot.data_sources.databento_data_polars_live import DataBentoDataPolarsLive
     
     print("\n" + "="*60)
     print("TEST 3: Minute Bar Aggregation & Latency")
     print("="*60)
     
     # Initialize with Live API
-    data_source = DataBentoDataPolars(
+    data_source = DataBentoDataPolarsLive(
         api_key=os.getenv('DATABENTO_API_KEY'),
         has_paid_subscription=True,
         enable_live_stream=True
@@ -175,13 +175,13 @@ def test_minute_bar_aggregation():
 )
 def test_api_routing():
     """Test that correct API is used based on time range"""
-    from lumibot.data_sources.databento_data_polars import DataBentoDataPolars
+    from lumibot.data_sources.databento_data_polars_live import DataBentoDataPolarsLive
     
     print("\n" + "="*60)
     print("TEST 4: API Routing (Live vs Historical)")
     print("="*60)
     
-    data_source = DataBentoDataPolars(
+    data_source = DataBentoDataPolarsLive(
         api_key=os.getenv('DATABENTO_API_KEY'),
         has_paid_subscription=True,
         enable_live_stream=True
@@ -219,13 +219,13 @@ def test_api_routing():
 def test_long_time_periods():
     """Test different time periods including long periods (500+ bars)"""
     from lumibot.entities import Asset
-    from lumibot.data_sources.databento_data_polars import DataBentoDataPolars
+    from lumibot.data_sources.databento_data_polars_live import DataBentoDataPolarsLive
     
     print("\n" + "="*60)
     print("TEST 5: Long Time Period Handling (500+ bars)")
     print("="*60)
     
-    data_source = DataBentoDataPolars(
+    data_source = DataBentoDataPolarsLive(
         api_key=os.getenv('DATABENTO_API_KEY'),
         has_paid_subscription=True,
         enable_live_stream=True
@@ -324,14 +324,14 @@ def test_long_time_periods():
 def test_continuous_latency_monitoring():
     """Run continuous tests to verify consistent <1 minute lag"""
     from lumibot.entities import Asset
-    from lumibot.data_sources.databento_data_polars import DataBentoDataPolars
+    from lumibot.data_sources.databento_data_polars_live import DataBentoDataPolarsLive
     
     print("\n" + "="*60)
     print("TEST 6: Continuous Latency Monitoring")
     print("="*60)
     print("Running 5 consecutive tests to verify consistent low latency...")
     
-    data_source = DataBentoDataPolars(
+    data_source = DataBentoDataPolarsLive(
         api_key=os.getenv('DATABENTO_API_KEY'),
         has_paid_subscription=True,
         enable_live_stream=True