lumibot 4.1.0__py3-none-any.whl → 4.1.2__py3-none-any.whl

lumibot/backtesting/databento_backtesting.py

@@ -438,6 +438,10 @@ class DataBentoDataBacktesting(PandasData):
                         # Filter to data up to current backtest time (exclude current bar unless broker overrides)
                         filtered_df = df[df.index <= cutoff_dt]
 
+                        # If we have no prior bar (e.g., first iteration), allow the current timestamp
+                        if filtered_df.empty:
+                            filtered_df = df[df.index <= current_dt_aware]
+
                         if not filtered_df.empty:
                             last_price = filtered_df['close'].iloc[-1]
                             if not pd.isna(last_price):

lumibot/tools/thetadata_helper.py

@@ -498,20 +498,25 @@ def start_theta_data_client(username: str, password: str):
         logger.info("ThetaTerminal.jar not found, copying from lumibot package...")
         import shutil as shutil_copy
 
-        # Find the bundled jar file in the lumibot package
-        lumibot_jar = Path(__file__).parent.parent.parent / "ThetaTerminal.jar"
+        package_root = Path(__file__).resolve().parent.parent
+        candidate_paths = [
+            package_root / "resources" / "ThetaTerminal.jar",
+            package_root.parent / "ThetaTerminal.jar",  # legacy location fallback
+        ]
 
-        if lumibot_jar.exists():
-            logger.info(f"Copying ThetaTerminal.jar from {lumibot_jar} to {jar_file}")
-            shutil_copy.copy2(lumibot_jar, jar_file)
-            logger.info(f"Successfully copied ThetaTerminal.jar to {jar_file}")
-        else:
+        lumibot_jar = next((path for path in candidate_paths if path.exists()), None)
+
+        if lumibot_jar is None:
             raise FileNotFoundError(
-                f"ThetaTerminal.jar not found at {lumibot_jar}. "
-                f"Please ensure ThetaTerminal.jar is included in the lumibot package, "
-                f"or manually place it at {jar_file}"
+                "ThetaTerminal.jar not bundled with lumibot installation. "
+                f"Searched: {', '.join(str(path) for path in candidate_paths)}. "
+                f"Please reinstall lumibot or manually place the jar at {jar_file}"
             )
 
+        logger.info(f"Copying ThetaTerminal.jar from {lumibot_jar} to {jar_file}")
+        shutil_copy.copy2(lumibot_jar, jar_file)
+        logger.info(f"Successfully copied ThetaTerminal.jar to {jar_file}")
+
     if not jar_file.exists():
         raise FileNotFoundError(f"ThetaTerminal.jar not found at {jar_file}")
 

{lumibot-4.1.0.dist-info → lumibot-4.1.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.1
+Metadata-Version: 2.4
 Name: lumibot
-Version: 4.1.0
+Version: 4.1.2
 Summary: Backtesting and Trading Library, Made by Lumiwealth
 Home-page: https://github.com/Lumiwealth/lumibot
 Author: Robert Grzesik
@@ -13,7 +13,7 @@ Description-Content-Type: text/markdown
 License-File: LICENSE
 Requires-Dist: polygon-api-client>=1.13.3
 Requires-Dist: alpaca-py>=0.42.0
-Requires-Dist: alpha-vantage
+Requires-Dist: alpha_vantage
 Requires-Dist: ibapi==9.81.1.post1
 Requires-Dist: yfinance>=0.2.61
 Requires-Dist: matplotlib>=3.3.3
@@ -21,7 +21,7 @@ Requires-Dist: quandl
 Requires-Dist: numpy>=1.20.0
 Requires-Dist: pandas>=2.2.0
 Requires-Dist: polars>=1.32.3
-Requires-Dist: pandas-market-calendars>=5.1.0
+Requires-Dist: pandas_market_calendars>=5.1.0
 Requires-Dist: pandas-ta-classic>=0.3.14b0
 Requires-Dist: plotly>=5.18.0
 Requires-Dist: sqlalchemy
@@ -40,7 +40,7 @@ Requires-Dist: tqdm
 Requires-Dist: lumiwealth-tradier>=0.1.17
 Requires-Dist: pytz
 Requires-Dist: psycopg2-binary
-Requires-Dist: exchange-calendars>=4.6.0
+Requires-Dist: exchange_calendars>=4.6.0
 Requires-Dist: duckdb
 Requires-Dist: tabulate
 Requires-Dist: databento>=0.42.0
@@ -51,6 +51,17 @@ Requires-Dist: schwab-py>=1.5.0
 Requires-Dist: Flask>=2.3
 Requires-Dist: free-proxy
 Requires-Dist: requests-oauthlib
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: license
+Dynamic: license-file
+Dynamic: requires-dist
+Dynamic: requires-python
+Dynamic: summary
 
 [![CI Status](https://github.com/Lumiwealth/lumibot/actions/workflows/cicd.yaml/badge.svg?branch=dev)](https://github.com/Lumiwealth/lumibot/actions/workflows/cicd.yaml)
 [![Coverage](https://raw.githubusercontent.com/Lumiwealth/lumibot/badge/coverage.svg)](https://github.com/Lumiwealth/lumibot/actions/workflows/cicd.yaml)

{lumibot-4.1.0.dist-info → lumibot-4.1.2.dist-info}/RECORD

@@ -9,7 +9,7 @@ lumibot/backtesting/alpaca_backtesting.py,sha256=56vnBwKjwZ-8QW92I_dlJd1AO752_WV
 lumibot/backtesting/alpha_vantage_backtesting.py,sha256=LR3UNhJrdAKdvadiThVKdKrMZYQ_xcHzAISKPe0yqS0,417
 lumibot/backtesting/backtesting_broker.py,sha256=btn-uPXLU3iaaioiuKph-OI5Qy0lBb7G9hoWM6wXx3E,71962
 lumibot/backtesting/ccxt_backtesting.py,sha256=O-RjuNpx5y4f-hKKwwUbrU7hAVkGEegmnvH_9nQWhAo,246
-lumibot/backtesting/databento_backtesting.py,sha256=OnOqZI-rS-cAZ5vLRGOYERmW70x48hmBDyCPWfATseM,27773
+lumibot/backtesting/databento_backtesting.py,sha256=pEM12DzUC6388lTyRv4WTvdZEhs4Ofp4E2VOjD3Azek,27998
 lumibot/backtesting/databento_backtesting_polars.py,sha256=duWr5VfLEAyCbZJQVsJ0iftH-8SACWvuRINSlpOEHpM,26128
 lumibot/backtesting/interactive_brokers_rest_backtesting.py,sha256=5HJ_sPX0uOUg-rbfOKDjwYVCLiXevlwtdK_3BcUwqXc,6602
 lumibot/backtesting/pandas_backtesting.py,sha256=m-NvT4o-wFQjaZft6TXULzeZBrskO_7Z-jfy9AIkyAY,388
@@ -156,6 +156,7 @@ lumibot/example_strategies/strangle.py,sha256=naYiJLcjKu9yb_06WOMAUg8t-mFEo_F0BS
 lumibot/example_strategies/test_broker_functions.py,sha256=wnVS-M_OtzMgaXVBgshVEqXKGEnHVzVL_O4x5qR86cM,4443
 lumibot/example_strategies/__pycache__/__init__.cpython-312.pyc,sha256=vawGE5mjtFUCyn6dqWSmZM2ij5pVT6YF4Cjn3KE0N-s,227
 lumibot/example_strategies/__pycache__/test_broker_functions.cpython-312-pytest-8.4.1.pyc,sha256=Jvch4BJBA5IYmQx86yf8dDpWYFtV5ETkzrLFSxQoGkc,5452
+lumibot/resources/ThetaTerminal.jar,sha256=K6GeeFcN8-gvyL2x5iq5pzD79KfPJvMK8iiezi3TmNQ,11834389
 lumibot/resources/conf.yaml,sha256=rjB9-10JP7saZ_edjX5bQDGfuc3amOQTUUUr-UiMpNA,597
 lumibot/strategies/__init__.py,sha256=jEZ95K5hG0f595EXYKWwL2_UsnWWk5Pug361PK2My2E,79
 lumibot/strategies/_strategy.py,sha256=QCrrZQzTZ0GjsNyNNxHNI3WaNZ98yvxT-E0dbOBETMg,109685
@@ -187,7 +188,7 @@ lumibot/tools/polygon_helper_async.py,sha256=YHDXa9kmkkn8jh7hToY6GP5etyXS9Tj-uky
 lumibot/tools/polygon_helper_polars_optimized.py,sha256=NaIZ-5Av-G2McPEKHyJ-x65W72W_Agnz4lRgvXfQp8c,30415
 lumibot/tools/projectx_helpers.py,sha256=EIemLfbG923T_RBV_i6s6A9xgs7dt0et0oCnhFwdWfA,58299
 lumibot/tools/schwab_helper.py,sha256=CXnYhgsXOIb5MgmIYOp86aLxsBF9oeVrMGrjwl_GEv0,11768
-lumibot/tools/thetadata_helper.py,sha256=mQKTQ_QO97IOetFJLD79NORU2yQpLKe12QwVl7mHUFk,42704
+lumibot/tools/thetadata_helper.py,sha256=dLWBCGlNGv97HZVcj8hFPA0gnfDk-AAWUl88Ravr99c,42905
 lumibot/tools/types.py,sha256=x-aQBeC6ZTN2-pUyxyo69Q0j5e0c_swdfe06kfrWSVc,1978
 lumibot/tools/yahoo_helper.py,sha256=htcKKkuktatIckVKfLc_ms0X75mXColysQhrZW244z8,19497
 lumibot/tools/yahoo_helper_polars_optimized.py,sha256=g9xBN-ReHSW4Aj9EMU_OncBXVS1HpfL8LTHit9ZxFY4,7417
@@ -224,6 +225,7 @@ lumibot/trading_builtins/safe_list.py,sha256=IIjZOHSiZYK25A4WBts0oJaZNOJDsjZL65M
 lumibot/trading_builtins/__pycache__/__init__.cpython-312.pyc,sha256=ksqDHG5HzxBeh3sDNn2NjEhYtj3dI6TvuQoe03VAItg,345
 lumibot/trading_builtins/__pycache__/custom_stream.cpython-312.pyc,sha256=w9EEoPd4LTBKmS8x6x-umicO1GwzaHlZnAv7MC2A78o,7397
 lumibot/trading_builtins/__pycache__/safe_list.cpython-312.pyc,sha256=2MQnqSCnMHHVu_gMK-3xBVSdHFyhxGR7_UrNdOvb4So,4875
+lumibot-4.1.2.dist-info/licenses/LICENSE,sha256=fYhGIyxjyNXACgpNQS3xxpxDOaVOWRVxZMCRbsDv8k0,35130
 tests/__init__.py,sha256=3-VoT-nAuqMfwufd4ceN6fXaHl_zCfDCSXJOTp1ywYQ,393
 tests/conftest.py,sha256=UBw_2fx7r6TZPKus2b1Qxrzmd4bg8EEBnX1vCHUuSVA,3311
 tests/fixtures.py,sha256=wOHQsh1SGHnXe_PGi6kDWI30CS_Righi7Ig7vwSEKT4,9082
@@ -265,10 +267,10 @@ tests/test_continuous_futures_resolution.py,sha256=1fob1-GF7QZrxiMK1EKcI2-LDP6bz
 tests/test_data_source.py,sha256=MLZBZbUYQjt9FC9zrZ6ALL0ElHjByno6x2ls9XrYQH0,1991
 tests/test_databento_asset_validation.py,sha256=bKSY_vWUb7IoVFfyI7Lk88DMjEgRcSw5dNPmKOc9-AI,5193
 tests/test_databento_auto_expiry_integration.py,sha256=uPAyYTMTzEqppUUZx99G8pvnvAp7QQDuknfU6_IQJA8,11886
-tests/test_databento_backtesting.py,sha256=5uGiKxQIY8eYVvgQEO6kA4GWUP4k2MCHi_S5h40gqH8,19150
+tests/test_databento_backtesting.py,sha256=LqcuHgjivmHIcEcCjZNSPDdD7epCwdaKtj6Q6Q4KTF0,20671
 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=vM_zgxITXXfzMlZwoS9vnJvoOqcrVv2ZdnRKjVxergY,43522
+tests/test_databento_helper.py,sha256=C2FRkD3341FFHc09bObEYYN7eqUsO9aewyaLX9hCdvU,43465
 tests/test_databento_live.py,sha256=tbg2C9cyW45OYY7dKYlPMNZpgsN_sjs4yk1GR23OL6o,15648
 tests/test_databento_timezone_fixes.py,sha256=NsfND7yTdKH2ddiYYhO6kU3m41V7se7C4_zTvqKOGv0,11562
 tests/test_drift_rebalancer.py,sha256=AUuEd3WIunfx3gwVdLVtq8jOHlz65UeqpO4adY1xfcs,105289
@@ -336,6 +338,7 @@ tests/backtest/test_crypto_cash_regressions.py,sha256=-f0wjb-9nXpggS30N4zomYl098
 tests/backtest/test_daily_data_timestamp_comparison.py,sha256=DeMLH0hwl0zEybJF0YTyBgfO8p96DGLahiBCwVQKjA4,35910
 tests/backtest/test_databento.py,sha256=L7UIN0IjxdVzE65ujBvsoKyQhY4KHTctIOeOeWvVNBY,7485
 tests/backtest/test_databento_comprehensive_trading.py,sha256=M7M2YHVkYRi5xBXifUESCnX5BFdtUDXy-HAhgazBAC4,23615
+tests/backtest/test_databento_parity.py,sha256=bG10kIJlkLnXfPaEYMVhaf8D5V5Gf-qoyB9PW-H8JzM,2553
 tests/backtest/test_debug_avg_fill_price.py,sha256=W4pgvCkAwmqlK82yzlw7u-s8VXe-dIQjPu-BVQkwJvg,3520
 tests/backtest/test_dividends.py,sha256=tDEnK4IcqHPHYPXAfUlApEBOf-iMROSl3aCap0BX1nI,9970
 tests/backtest/test_example_strategies.py,sha256=mSRRONtKdd7x0DUiuqCZD3YXLiPS8kAGn5wT1f_gDlk,15482
@@ -353,8 +356,7 @@ tests/backtest/test_thetadata.py,sha256=xWYfC9C4EhbMDb29qyZWHO3sSWaLIPzzvcMbHCt5
 tests/backtest/test_thetadata_comprehensive.py,sha256=-gN3xLJcJtlB-k4vlaK82DCZDGDmr0LNZZDzn-aN3l4,26120
 tests/backtest/test_thetadata_vs_polygon.py,sha256=dZqsrOx3u3cz-1onIO6o5BDRjI1ey7U9vIkZupfXoig,22831
 tests/backtest/test_yahoo.py,sha256=uHb9aK3uHYEvA7MI_y1dbKm7mjHrErlxU7TJOgVdzs8,1966
-lumibot-4.1.0.dist-info/LICENSE,sha256=fYhGIyxjyNXACgpNQS3xxpxDOaVOWRVxZMCRbsDv8k0,35130
-lumibot-4.1.0.dist-info/METADATA,sha256=Ousu6h0LyLNYv50Jcl1T9kVtmQcCFVA1CnvLHPrXjso,11485
-lumibot-4.1.0.dist-info/WHEEL,sha256=tZoeGjtWxWRfdplE7E3d45VPlLNQnvbKiYnx7gwAy8A,92
-lumibot-4.1.0.dist-info/top_level.txt,sha256=otUnUjDFVASauEDiTiAzNgMyqQ1B6jjS3QqqP-WSx38,14
-lumibot-4.1.0.dist-info/RECORD,,
+lumibot-4.1.2.dist-info/METADATA,sha256=45LvQ6tGhCYieVoXNPDspLGbhfj7JccZ1xZFzTilsHs,11721
+lumibot-4.1.2.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+lumibot-4.1.2.dist-info/top_level.txt,sha256=otUnUjDFVASauEDiTiAzNgMyqQ1B6jjS3QqqP-WSx38,14
+lumibot-4.1.2.dist-info/RECORD,,

{lumibot-4.1.0.dist-info → lumibot-4.1.2.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: bdist_wheel (0.45.1)
+Generator: setuptools (80.9.0)
 Root-Is-Purelib: true
 Tag: py3-none-any
 

tests/backtest/test_databento_parity.py

@@ -0,0 +1,81 @@
+"""Parity checks between DataBento pandas and polars backends."""
+
+import shutil
+from pathlib import Path
+from datetime import datetime
+
+import pandas as pd
+import pytest
+import pytz
+
+from lumibot.backtesting.databento_backtesting import DataBentoDataBacktesting as DataBentoPandas
+from lumibot.data_sources.databento_data_polars_backtesting import DataBentoDataPolarsBacktesting
+from lumibot.entities import Asset
+from lumibot.credentials import DATABENTO_CONFIG
+from lumibot.tools import databento_helper, databento_helper_polars
+
+DATABENTO_API_KEY = DATABENTO_CONFIG.get("API_KEY")
+
+
+def _clear_databento_caches():
+    for cache_dir in (
+        databento_helper.LUMIBOT_DATABENTO_CACHE_FOLDER,
+        databento_helper_polars.LUMIBOT_DATABENTO_CACHE_FOLDER,
+    ):
+        path = Path(cache_dir)
+        if path.exists():
+            shutil.rmtree(path)
+
+
+@pytest.mark.apitest
+@pytest.mark.skipif(
+    not DATABENTO_API_KEY or DATABENTO_API_KEY == '<your key here>',
+    reason="This test requires a Databento API key",
+)
+def test_databento_price_parity():
+    """Ensure pandas and polars backends deliver identical prices."""
+
+    _clear_databento_caches()
+
+    tz = pytz.timezone("America/New_York")
+    start = tz.localize(datetime(2025, 9, 15, 0, 0))
+    end = tz.localize(datetime(2025, 9, 29, 23, 59))
+    asset = Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE)
+
+    pandas_ds = DataBentoPandas(
+        datetime_start=start,
+        datetime_end=end,
+        api_key=DATABENTO_API_KEY,
+        show_progress_bar=False,
+    )
+    polars_ds = DataBentoDataPolarsBacktesting(
+        datetime_start=start,
+        datetime_end=end,
+        api_key=DATABENTO_API_KEY,
+        show_progress_bar=False,
+    )
+
+    # Prime caches
+    pandas_bars = pandas_ds.get_historical_prices(asset, 500, timestep="minute").df
+    polars_bars = polars_ds.get_historical_prices(asset, 500, timestep="minute").df
+
+    pd.testing.assert_frame_equal(polars_bars, pandas_bars)
+
+    checkpoints = [
+        (0, 0),
+        (3, 40),
+        (4, 0),
+        (7, 35),
+        (11, 5),
+        (14, 5),
+    ]
+
+    for hour, minute in checkpoints:
+        current_dt = tz.localize(datetime(2025, 9, 15, hour, minute))
+        pandas_ds._datetime = current_dt
+        polars_ds._datetime = current_dt
+        pandas_price = pandas_ds.get_last_price(asset)
+        polars_price = polars_ds.get_last_price(asset)
+        assert pandas_price == pytest.approx(polars_price), (
+            f"Mismatch at {current_dt}: pandas={pandas_price}, polars={polars_price}"
+        )

tests/test_databento_backtesting.py

@@ -2,6 +2,7 @@ import unittest
 from unittest.mock import Mock, patch, MagicMock
 from datetime import datetime, timedelta
 import pandas as pd
+import pytz
 
 from lumibot.backtesting.databento_backtesting import DataBentoDataBacktesting
 from lumibot.entities import Asset, Data
@@ -224,6 +225,49 @@ class TestDataBentoDataBacktesting(unittest.TestCase):
         self.assertEqual(result, 4250.75)
         mock_get_last_price.assert_called_once()
 
+    @patch('lumibot.tools.databento_helper.DATABENTO_AVAILABLE', True)
+    @patch('lumibot.tools.databento_helper.get_last_price_from_databento')
+    def test_get_last_price_uses_current_bar_when_available(self, mock_get_last_price):
+        """
+        Ensure we reuse the latest completed bar from cache (rather than hitting the API)
+        when no earlier bar exists in the window.
+        """
+        ny = pytz.timezone("America/New_York")
+        current_dt = ny.localize(datetime(2025, 1, 1, 9, 30))
+
+        backtester = DataBentoDataBacktesting(
+            datetime_start=self.start_date,
+            datetime_end=self.end_date,
+            api_key=self.api_key
+        )
+        backtester._datetime = current_dt
+
+        # Seed cached data with a single bar at the current timestamp
+        test_df = pd.DataFrame(
+            {
+                "open": [100.0],
+                "high": [101.0],
+                "low": [99.5],
+                "close": [100.5],
+                "volume": [1000],
+            },
+            index=pd.DatetimeIndex([current_dt]),
+        )
+
+        data = Data(
+            self.test_asset,
+            df=test_df,
+            timestep="minute",
+            quote=Asset("USD", "forex"),
+        )
+        search_asset = (self.test_asset, Asset("USD", "forex"))
+        backtester.pandas_data[search_asset] = data
+
+        price = backtester.get_last_price(asset=self.test_asset)
+
+        self.assertEqual(price, 100.5)
+        mock_get_last_price.assert_not_called()
+
     @patch('lumibot.tools.databento_helper.DATABENTO_AVAILABLE', True)
     def test_get_chains(self):
         """Test options chains retrieval (should return empty dict)"""

tests/test_databento_helper.py

@@ -16,8 +16,7 @@ class TestDataBentoHelper(unittest.TestCase):
         self.api_key = "test_api_key"
         self.test_asset_future = Asset(
             symbol="ES",
-            asset_type="future",
-            expiration=datetime(2025, 3, 15).date()
+            asset_type="CONT_FUTURE"
         )
         self.test_asset_stock = Asset(
             symbol="AAPL",
@@ -217,8 +216,8 @@ class TestDataBentoHelper(unittest.TestCase):
             self.end_date,
             "minute"
         )
-        
-        expected_name = "ES_20250315_minute_20250101_20250131.parquet"
+
+        expected_name = "ES_minute_202501010000_202501310000.parquet"
         self.assertEqual(filename.name, expected_name)
 
     def test_no_retry_logic_for_correct_symbol(self):