lumibot 4.0.22__py3-none-any.whl → 4.1.0__py3-none-any.whl

tests/backtest/profile_thetadata_vs_polygon.py

@@ -0,0 +1,255 @@
+"""
+Performance profiling comparison between ThetaData and Polygon.
+
+This script uses YAPPI (thread-safe profiler) to identify bottlenecks in both data sources.
+
+Usage:
+    python profile_thetadata_vs_polygon.py
+
+Requirements:
+    pip install yappi snakeviz
+
+To visualize results:
+    snakeviz thetadata_nocache.prof
+    snakeviz thetadata_cached.prof
+    snakeviz polygon_nocache.prof
+    snakeviz polygon_cached.prof
+"""
+
+import datetime
+import os
+import shutil
+from pathlib import Path
+import yappi
+from dotenv import load_dotenv
+from lumibot.strategies import Strategy
+from lumibot.backtesting import ThetaDataBacktesting, PolygonDataBacktesting
+from lumibot.entities import Asset
+
+# Load environment variables from .env file
+load_dotenv()
+
+
+class SimpleBacktestStrategy(Strategy):
+    """Simple buy-and-hold strategy for profiling"""
+
+    parameters = {
+        "symbol": "AMZN",
+        "quantity": 10
+    }
+
+    def initialize(self):
+        self.sleeptime = "1D"
+
+    def on_trading_iteration(self):
+        if self.first_iteration:
+            asset = Asset(self.parameters["symbol"])
+            order = self.create_order(asset, self.parameters["quantity"], "buy")
+            self.submit_order(order)
+
+
+def get_cache_dir():
+    """Get the lumibot cache directory"""
+    cache_dir = Path.home() / ".lumibot"
+    return cache_dir
+
+
+def clear_cache():
+    """Clear all cached data"""
+    cache_dir = get_cache_dir()
+    if cache_dir.exists():
+        print(f"Clearing cache at {cache_dir}")
+        shutil.rmtree(cache_dir)
+        print("Cache cleared")
+    else:
+        print("No cache to clear")
+
+
+def profile_backtest(data_source_class, name, profile_file, clear_cache_first=True):
+    """
+    Profile a backtest run.
+
+    Args:
+        data_source_class: ThetaDataBacktesting or PolygonDataBacktesting
+        name: Name for logging
+        profile_file: Output file for profiling results
+        clear_cache_first: Whether to clear cache before running
+    """
+    if clear_cache_first:
+        clear_cache()
+
+    print(f"\n{'='*80}")
+    print(f"PROFILING: {name}")
+    print(f"Cache: {'CLEARED' if clear_cache_first else 'WARMED'}")
+    print(f"{'='*80}\n")
+
+    # Configure data source
+    start = datetime.datetime(2024, 8, 1)
+    end = datetime.datetime(2024, 8, 2)
+
+    # Get credentials
+    thetadata_username = os.environ.get("THETADATA_USERNAME")
+    thetadata_password = os.environ.get("THETADATA_PASSWORD")
+    polygon_api_key = os.environ.get("POLYGON_API_KEY")
+
+    # Start profiling
+    yappi.clear_stats()
+    yappi.set_clock_type("wall")  # Use wall clock time
+    yappi.start()
+
+    # Run backtest
+    start_time = datetime.datetime.now()
+
+    try:
+        results, strategy = SimpleBacktestStrategy.run_backtest(
+            data_source_class,
+            start,
+            end,
+            show_plot=False,
+            show_tearsheet=False,
+            save_tearsheet=False,
+            parameters={"symbol": "AMZN", "quantity": 10},
+            thetadata_username=thetadata_username,
+            thetadata_password=thetadata_password,
+            polygon_api_key=polygon_api_key,
+        )
+
+        end_time = datetime.datetime.now()
+        elapsed = (end_time - start_time).total_seconds()
+
+        print(f"✓ Backtest completed in {elapsed:.2f} seconds")
+        print(f"  Orders: {len(strategy.orders)}")
+        print(f"  Final portfolio value: ${strategy.get_portfolio_value():,.2f}")
+
+    except Exception as e:
+        print(f"✗ Backtest failed: {e}")
+        raise
+
+    finally:
+        # Stop profiling
+        yappi.stop()
+
+        # Save profiling results
+        func_stats = yappi.get_func_stats()
+
+        # Save to pstat format for snakeviz
+        func_stats.save(profile_file, type="pstat")
+        print(f"  Profile saved to: {profile_file}")
+
+        # Print top 30 time-consuming functions
+        print(f"\nTop 30 time-consuming functions:")
+        print("="*120)
+        func_stats.sort("totaltime", "desc")
+        # Print first 30 functions
+        for i, stat in enumerate(func_stats[:30]):
+            if i == 0:
+                print(f"{'Function':<60} {'Calls':<10} {'TotTime':<12} {'PerCall':<12}")
+                print("-"*120)
+            print(f"{stat.name:<60} {stat.ncall:<10} {stat.ttot:<12.6f} {stat.tavg:<12.6f}")
+
+        return elapsed
+
+
+def main():
+    """Run profiling comparison"""
+
+    # Check if credentials are available
+    thetadata_username = os.environ.get("THETADATA_USERNAME")
+    thetadata_password = os.environ.get("THETADATA_PASSWORD")
+    polygon_api_key = os.environ.get("POLYGON_API_KEY")
+
+    if not thetadata_username or not thetadata_password:
+        print("ERROR: ThetaData credentials not found")
+        print("Set THETADATA_USERNAME and THETADATA_PASSWORD environment variables")
+        return
+
+    if not polygon_api_key:
+        print("ERROR: Polygon API key not found")
+        print("Set POLYGON_API_KEY environment variable")
+        return
+
+    print("\n" + "="*80)
+    print("PERFORMANCE PROFILING: ThetaData vs Polygon")
+    print("="*80)
+    print(f"Date range: 2024-08-01 to 2024-08-02 (1 trading day)")
+    print(f"Strategy: Buy & hold 10 shares of AMZN")
+    print("="*80)
+
+    results = {}
+
+    # 1. ThetaData with cache cleared
+    results["thetadata_nocache"] = profile_backtest(
+        ThetaDataBacktesting,
+        "ThetaData (NO CACHE)",
+        "thetadata_nocache.prof",
+        clear_cache_first=True
+    )
+
+    # 2. ThetaData with cache warmed
+    results["thetadata_cached"] = profile_backtest(
+        ThetaDataBacktesting,
+        "ThetaData (CACHED)",
+        "thetadata_cached.prof",
+        clear_cache_first=False
+    )
+
+    # 3. Polygon with cache cleared
+    results["polygon_nocache"] = profile_backtest(
+        PolygonDataBacktesting,
+        "Polygon (NO CACHE)",
+        "polygon_nocache.prof",
+        clear_cache_first=True
+    )
+
+    # 4. Polygon with cache warmed
+    results["polygon_cached"] = profile_backtest(
+        PolygonDataBacktesting,
+        "Polygon (CACHED)",
+        "polygon_cached.prof",
+        clear_cache_first=False
+    )
+
+    # Summary
+    print("\n" + "="*80)
+    print("SUMMARY")
+    print("="*80)
+    print(f"{'Test':<30} {'Time (s)':<15} {'Speedup vs ThetaData'}")
+    print("-"*80)
+
+    baseline = results["thetadata_nocache"]
+    for key, elapsed in results.items():
+        speedup = baseline / elapsed if elapsed > 0 else 0
+        speedup_str = f"{speedup:.1f}x" if speedup != 1.0 else "-"
+        print(f"{key:<30} {elapsed:>10.2f}      {speedup_str:>10}")
+
+    print("\n" + "="*80)
+    print("ANALYSIS")
+    print("="*80)
+
+    theta_cache_benefit = results["thetadata_nocache"] / results["thetadata_cached"] if results["thetadata_cached"] > 0 else 0
+    polygon_cache_benefit = results["polygon_nocache"] / results["polygon_cached"] if results["polygon_cached"] > 0 else 0
+
+    print(f"ThetaData cache benefit: {theta_cache_benefit:.1f}x faster with cache")
+    print(f"Polygon cache benefit: {polygon_cache_benefit:.1f}x faster with cache")
+
+    # Compare cached performance (most relevant for production)
+    if results["thetadata_cached"] > results["polygon_cached"]:
+        slowdown = results["thetadata_cached"] / results["polygon_cached"]
+        print(f"\n⚠️  ThetaData (cached) is {slowdown:.1f}x SLOWER than Polygon (cached)")
+    else:
+        speedup = results["polygon_cached"] / results["thetadata_cached"]
+        print(f"\n✓ ThetaData (cached) is {speedup:.1f}x FASTER than Polygon (cached)")
+
+    print("\n" + "="*80)
+    print("PROFILING FILES GENERATED")
+    print("="*80)
+    print("To visualize bottlenecks, run:")
+    print("  snakeviz thetadata_nocache.prof")
+    print("  snakeviz thetadata_cached.prof")
+    print("  snakeviz polygon_nocache.prof")
+    print("  snakeviz polygon_cached.prof")
+    print("="*80 + "\n")
+
+
+if __name__ == "__main__":
+    main()

tests/backtest/root_cause_analysis.py

@@ -0,0 +1,109 @@
+"""
+Root cause analysis: Is the +1 minute offset from ThetaData's API or our processing?
+"""
+
+import requests
+import pandas as pd
+import datetime
+
+print("="*100)
+print("ROOT CAUSE ANALYSIS: ThetaData +1 Minute Offset")
+print("="*100)
+
+# Get raw API response
+response = requests.get('http://127.0.0.1:25510/hist/stock/ohlc', params={
+    'root': 'AMZN',
+    'start_date': '20240801',
+    'end_date': '20240801',
+    'ivl': 60000,
+    'rth': 'true'
+})
+
+data = response.json()
+
+print("\n1. ThetaData RAW API Response (no processing):")
+print("-" * 100)
+print(f"{'Bar':<5} {'ms_of_day':<12} {'Time':<10} {'Volume':<12} {'Notes'}")
+print("-" * 100)
+
+for i, row in enumerate(data['response'][:5]):
+    ms_of_day, o, h, l, c, v, count, date = row
+    hours = ms_of_day // (1000 * 60 * 60)
+    minutes = (ms_of_day % (1000 * 60 * 60)) // (1000 * 60)
+    time_str = f"{hours:02d}:{minutes:02d}"
+
+    note = ""
+    if i == 0:
+        note = "← Should be pre-market if labeled correctly"
+    elif i == 1:
+        note = "← MASSIVE SPIKE (market open)" if v > 1000000 else ""
+
+    print(f"{i+1:<5} {ms_of_day:<12} {time_str:<10} {v:<12,} {note}")
+
+print("\n2. After Our Code Processing (thetadata_helper.py):")
+print("-" * 100)
+
+# Replicate our processing from thetadata_helper.py
+df = pd.DataFrame(data['response'][:5], columns=data['header']['format'])
+
+def combine_datetime(row):
+    date_str = str(int(row["date"]))
+    base_date = datetime.datetime.strptime(date_str, "%Y%m%d")
+    datetime_value = base_date + datetime.timedelta(milliseconds=int(row["ms_of_day"]))
+    return datetime_value
+
+datetime_combined = df.apply(combine_datetime, axis=1)
+df = df.assign(datetime=datetime_combined)
+df["datetime"] = pd.to_datetime(df["datetime"])
+
+print(f"{'Bar':<5} {'Datetime':<30} {'Volume':<12} {'Notes'}")
+print("-" * 100)
+
+for i, (idx, row) in enumerate(df.iterrows()):
+    note = ""
+    if i == 0:
+        note = "← Should be pre-market if labeled correctly"
+    elif i == 1 and row['volume'] > 1000000:
+        note = "← MASSIVE SPIKE (market open)"
+
+    print(f"{i+1:<5} {str(row['datetime']):<30} {row['volume']:<12,} {note}")
+
+print("\n3. Expected Correct Labeling (based on volume spike = market open at 9:30):")
+print("-" * 100)
+print("Bar 1 (10,434 volume):     Should be labeled 9:29 (pre-market)")
+print("Bar 2 (1,517,215 volume):  Should be labeled 9:30 (market open SPIKE)")
+print()
+print("Actual ThetaData Labeling:")
+print("Bar 1 (10,434 volume):     Labeled as 9:30")
+print("Bar 2 (1,517,215 volume):  Labeled as 9:31")
+print()
+print("="*100)
+print("CONCLUSION:")
+print("="*100)
+print("The +1 minute offset exists in ThetaData's RAW API response.")
+print("Our processing code does NOT introduce any shifts.")
+print("The ms_of_day values from ThetaData are already off by +1 minute.")
+print()
+print("PROOF:")
+print("- ThetaData labels the low-volume bar as 9:30")
+print("- ThetaData labels the spike bar as 9:31")
+print("- But market opens at 9:30, so the spike SHOULD be labeled 9:30")
+print("- Therefore, ThetaData's timestamps are +1 minute ahead of reality")
+print("="*100)
+
+print("\n4. Checking ThetaData's Documentation Claim:")
+print("-" * 100)
+print("ThetaData docs say: 'bar timestamp <= trade time < bar timestamp + ivl'")
+print("For bar labeled 9:30 with ivl=60000ms (1 minute):")
+print("  Should include trades: 9:30:00.000 <= trade < 9:31:00.000")
+print()
+print("But we observe:")
+print("  Bar labeled 9:30 has 10,434 volume (pre-market level)")
+print("  Bar labeled 9:31 has 1,517,215 volume (market open spike)")
+print()
+print("This means:")
+print("  Bar labeled 9:30 actually contains 9:29:00-9:29:59 data")
+print("  Bar labeled 9:31 actually contains 9:30:00-9:30:59 data")
+print()
+print("Therefore: ThetaData's bars are MISLABELED by +1 minute in their API")
+print("="*100)

tests/backtest/test_accuracy_verification.py

@@ -0,0 +1,244 @@
+"""
+Phase 1: Accuracy Verification Tests
+
+This test suite verifies that ThetaData price variance compared to Polygon
+remains acceptable over long time periods and across different price ranges.
+
+Goals:
+- Verify portfolio variance < 0.01% over 1 year
+- Verify price differences remain sub-penny across all price ranges
+- Verify no systematic bias (variance is random, not directional)
+"""
+
+import datetime
+import os
+import pytest
+from dotenv import load_dotenv
+from lumibot.strategies import Strategy
+from lumibot.backtesting import PolygonDataBacktesting, ThetaDataBacktesting
+from lumibot.entities import Asset
+
+# Load environment variables from .env file
+load_dotenv()
+
+# Get credentials from environment variables
+POLYGON_API_KEY = os.environ.get("POLYGON_API_KEY")
+THETADATA_USERNAME = os.environ.get("THETADATA_USERNAME")
+THETADATA_PASSWORD = os.environ.get("THETADATA_PASSWORD")
+
+
+class AccuracyTestStrategy(Strategy):
+    """Simple buy-and-hold strategy for accuracy testing"""
+
+    parameters = {
+        "symbol": "AMZN",
+        "quantity": 10
+    }
+
+    def initialize(self):
+        self.sleeptime = "1D"
+        self.bought = False
+
+    def on_trading_iteration(self):
+        if not self.bought:
+            asset = Asset(self.parameters["symbol"])
+            price = self.get_last_price(asset)
+            self.log_message(f"Buying {self.parameters['quantity']} shares of {self.parameters['symbol']} at ${price}")
+            order = self.create_order(asset, quantity=self.parameters["quantity"], side="buy")
+            self.submit_order(order)
+            self.bought = True
+
+
+@pytest.mark.apitest
+@pytest.mark.skipif(
+    not POLYGON_API_KEY or not THETADATA_USERNAME or not THETADATA_PASSWORD,
+    reason="Requires both Polygon and ThetaData credentials"
+)
+class TestAccuracyVerification:
+    """Accuracy verification test suite"""
+
+    def test_one_year_amzn_accuracy(self):
+        """
+        Test 1: Verify AMZN accuracy over 1 year (2023)
+
+        Expected:
+        - Portfolio variance < 0.01% ($10 on $100k portfolio)
+        - Price differences remain sub-penny
+        - No systematic directional bias
+        """
+        backtesting_start = datetime.datetime(2023, 1, 3)  # First trading day of 2023
+        backtesting_end = datetime.datetime(2023, 12, 29)  # Last trading day of 2023
+
+        print("\n" + "="*80)
+        print("TEST 1: ONE YEAR ACCURACY VERIFICATION - AMZN")
+        print("="*80)
+        print(f"Period: {backtesting_start.date()} to {backtesting_end.date()}")
+        print(f"Symbol: AMZN")
+        print(f"Trading days: ~252")
+
+        # Run ThetaData backtest
+        print("\n[1/2] Running ThetaData backtest...")
+        theta_results, theta_strat = AccuracyTestStrategy.run_backtest(
+            ThetaDataBacktesting,
+            backtesting_start,
+            backtesting_end,
+            benchmark_asset="SPY",
+            show_plot=False,
+            show_tearsheet=False,
+            save_tearsheet=False,
+            parameters={"symbol": "AMZN", "quantity": 100},
+            thetadata_username=THETADATA_USERNAME,
+            thetadata_password=THETADATA_PASSWORD,
+        )
+
+        # Run Polygon backtest
+        print("\n[2/2] Running Polygon backtest...")
+        polygon_results, polygon_strat = AccuracyTestStrategy.run_backtest(
+            PolygonDataBacktesting,
+            backtesting_start,
+            backtesting_end,
+            benchmark_asset="SPY",
+            show_plot=False,
+            show_tearsheet=False,
+            save_tearsheet=False,
+            parameters={"symbol": "AMZN", "quantity": 100},
+            polygon_api_key=POLYGON_API_KEY,
+        )
+
+        # Compare results - get final portfolio value from strategy
+        theta_final = theta_strat.get_portfolio_value()
+        polygon_final = polygon_strat.get_portfolio_value()
+        difference = abs(theta_final - polygon_final)
+        percent_diff = (difference / polygon_final) * 100
+
+        print("\n" + "-"*80)
+        print("RESULTS:")
+        print("-"*80)
+        print(f"ThetaData Final Portfolio Value:  ${theta_final:,.2f}")
+        print(f"Polygon Final Portfolio Value:    ${polygon_final:,.2f}")
+        print(f"Absolute Difference:              ${difference:,.2f}")
+        print(f"Percentage Difference:            {percent_diff:.4f}%")
+        print(f"Acceptance Threshold:             0.01% (${polygon_final * 0.0001:,.2f})")
+
+        # Verify acceptance criteria
+        assert percent_diff < 0.01, f"Portfolio variance {percent_diff:.4f}% exceeds 0.01% threshold"
+
+        print(f"\n✓ TEST PASSED: Variance {percent_diff:.4f}% is within acceptable range")
+        print("="*80 + "\n")
+
+    def test_multi_symbol_price_ranges(self):
+        """
+        Test 2: Verify accuracy across different price ranges
+
+        Tests 5 symbols with different price points:
+        - AMZN: ~$180
+        - AAPL: ~$175
+        - GOOGL: ~$140
+        - SPY: ~$450
+        - BRK.B: ~$420
+
+        Expected:
+        - 0.5¢ variance is consistent percentage across all price ranges
+        - Sub-penny differences for all symbols
+        """
+        backtesting_start = datetime.datetime(2024, 8, 1)
+        backtesting_end = datetime.datetime(2024, 8, 5)  # 1 week for speed
+
+        symbols = [
+            ("AMZN", 10, 180),   # ~$180/share, 10 shares
+            ("AAPL", 10, 175),   # ~$175/share, 10 shares
+            ("GOOGL", 10, 140),  # ~$140/share, 10 shares
+            ("SPY", 10, 450),    # ~$450/share, 10 shares
+            ("BRK.B", 5, 420),   # ~$420/share, 5 shares
+        ]
+
+        print("\n" + "="*80)
+        print("TEST 2: MULTI-SYMBOL PRICE RANGE VERIFICATION")
+        print("="*80)
+        print(f"Period: {backtesting_start.date()} to {backtesting_end.date()}")
+        print(f"Symbols: {len(symbols)}")
+
+        results_table = []
+
+        for symbol, qty, approx_price in symbols:
+            print(f"\n--- Testing {symbol} (~${approx_price}/share, {qty} shares) ---")
+
+            # Run ThetaData backtest
+            theta_results, theta_strat = AccuracyTestStrategy.run_backtest(
+                ThetaDataBacktesting,
+                backtesting_start,
+                backtesting_end,
+                benchmark_asset="SPY",
+                show_plot=False,
+                show_tearsheet=False,
+                save_tearsheet=False,
+                parameters={"symbol": symbol, "quantity": qty},
+                thetadata_username=THETADATA_USERNAME,
+                thetadata_password=THETADATA_PASSWORD,
+            )
+
+            # Run Polygon backtest
+            polygon_results, polygon_strat = AccuracyTestStrategy.run_backtest(
+                PolygonDataBacktesting,
+                backtesting_start,
+                backtesting_end,
+                benchmark_asset="SPY",
+                show_plot=False,
+                show_tearsheet=False,
+                save_tearsheet=False,
+                parameters={"symbol": symbol, "quantity": qty},
+                polygon_api_key=POLYGON_API_KEY,
+            )
+
+            # Compare final portfolio values
+            theta_final = theta_strat.get_portfolio_value()
+            polygon_final = polygon_strat.get_portfolio_value()
+            difference = abs(theta_final - polygon_final)
+            percent_diff = (difference / polygon_final) * 100
+
+            results_table.append({
+                "symbol": symbol,
+                "price": approx_price,
+                "qty": qty,
+                "theta": theta_final,
+                "polygon": polygon_final,
+                "diff": difference,
+                "pct": percent_diff
+            })
+
+            print(f"  ThetaData:  ${theta_final:,.2f}")
+            print(f"  Polygon:    ${polygon_final:,.2f}")
+            print(f"  Difference: ${difference:,.2f} ({percent_diff:.4f}%)")
+
+            # Verify sub-0.01% variance for each symbol
+            assert percent_diff < 0.01, f"{symbol}: Variance {percent_diff:.4f}% exceeds 0.01%"
+
+        # Summary table
+        print("\n" + "-"*80)
+        print("SUMMARY TABLE:")
+        print("-"*80)
+        print(f"{'Symbol':<8} {'Price':<8} {'Qty':<5} {'ThetaData':<15} {'Polygon':<15} {'Diff':<10} {'%':<8}")
+        print("-"*80)
+
+        for r in results_table:
+            print(f"{r['symbol']:<8} ${r['price']:<7} {r['qty']:<5} ${r['theta']:<14,.2f} ${r['polygon']:<14,.2f} ${r['diff']:<9,.2f} {r['pct']:.4f}%")
+
+        # Calculate average variance
+        avg_pct = sum(r['pct'] for r in results_table) / len(results_table)
+        max_pct = max(r['pct'] for r in results_table)
+
+        print("-"*80)
+        print(f"Average Variance: {avg_pct:.4f}%")
+        print(f"Maximum Variance: {max_pct:.4f}%")
+        print(f"Threshold:        0.01%")
+
+        assert avg_pct < 0.01, f"Average variance {avg_pct:.4f}% exceeds 0.01%"
+        assert max_pct < 0.01, f"Max variance {max_pct:.4f}% exceeds 0.01%"
+
+        print(f"\n✓ TEST PASSED: All symbols within acceptable variance")
+        print("="*80 + "\n")
+
+
+if __name__ == "__main__":
+    # Run tests directly
+    pytest.main([__file__, "-v", "-s"])