lumibot 4.1.3__py3-none-any.whl → 4.2.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
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- lumibot/backtesting/__init__.py +19 -5
- lumibot/backtesting/backtesting_broker.py +98 -18
- lumibot/backtesting/databento_backtesting.py +5 -686
- lumibot/backtesting/databento_backtesting_pandas.py +738 -0
- lumibot/backtesting/databento_backtesting_polars.py +860 -546
- lumibot/backtesting/fix_debug.py +37 -0
- lumibot/backtesting/thetadata_backtesting.py +9 -355
- lumibot/backtesting/thetadata_backtesting_pandas.py +1178 -0
- lumibot/brokers/alpaca.py +8 -1
- lumibot/brokers/schwab.py +12 -2
- lumibot/credentials.py +13 -0
- lumibot/data_sources/__init__.py +5 -8
- lumibot/data_sources/data_source.py +6 -2
- lumibot/data_sources/data_source_backtesting.py +30 -0
- lumibot/data_sources/databento_data.py +5 -390
- lumibot/data_sources/databento_data_pandas.py +440 -0
- lumibot/data_sources/databento_data_polars.py +15 -9
- lumibot/data_sources/pandas_data.py +30 -17
- lumibot/data_sources/polars_data.py +986 -0
- lumibot/data_sources/polars_mixin.py +472 -96
- lumibot/data_sources/polygon_data_polars.py +5 -0
- lumibot/data_sources/yahoo_data.py +9 -2
- lumibot/data_sources/yahoo_data_polars.py +5 -0
- lumibot/entities/__init__.py +15 -0
- lumibot/entities/asset.py +5 -28
- lumibot/entities/bars.py +89 -20
- lumibot/entities/data.py +29 -6
- lumibot/entities/data_polars.py +668 -0
- lumibot/entities/position.py +38 -4
- lumibot/strategies/_strategy.py +2 -1
- lumibot/strategies/strategy.py +61 -49
- lumibot/tools/backtest_cache.py +284 -0
- lumibot/tools/databento_helper.py +35 -35
- lumibot/tools/databento_helper_polars.py +738 -775
- lumibot/tools/futures_roll.py +251 -0
- lumibot/tools/indicators.py +135 -104
- lumibot/tools/polars_utils.py +142 -0
- lumibot/tools/thetadata_helper.py +1068 -134
- {lumibot-4.1.3.dist-info → lumibot-4.2.0.dist-info}/METADATA +9 -1
- {lumibot-4.1.3.dist-info → lumibot-4.2.0.dist-info}/RECORD +71 -147
- tests/backtest/test_databento.py +37 -6
- tests/backtest/test_databento_comprehensive_trading.py +8 -4
- tests/backtest/test_databento_parity.py +4 -2
- tests/backtest/test_debug_avg_fill_price.py +1 -1
- tests/backtest/test_example_strategies.py +11 -1
- tests/backtest/test_futures_edge_cases.py +3 -3
- tests/backtest/test_futures_single_trade.py +2 -2
- tests/backtest/test_futures_ultra_simple.py +2 -2
- tests/backtest/test_polars_lru_eviction.py +470 -0
- tests/backtest/test_yahoo.py +42 -0
- tests/test_asset.py +4 -4
- tests/test_backtest_cache_manager.py +149 -0
- tests/test_backtesting_data_source_env.py +6 -0
- tests/test_continuous_futures_resolution.py +60 -48
- tests/test_data_polars_parity.py +160 -0
- tests/test_databento_asset_validation.py +23 -5
- tests/test_databento_backtesting.py +1 -1
- tests/test_databento_backtesting_polars.py +312 -192
- tests/test_databento_data.py +220 -463
- tests/test_databento_live.py +10 -10
- tests/test_futures_roll.py +38 -0
- tests/test_indicator_subplots.py +101 -0
- tests/test_market_infinite_loop_bug.py +77 -3
- tests/test_polars_resample.py +67 -0
- tests/test_polygon_helper.py +46 -0
- tests/test_thetadata_backwards_compat.py +97 -0
- tests/test_thetadata_helper.py +222 -23
- tests/test_thetadata_pandas_verification.py +186 -0
- lumibot/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/__pycache__/constants.cpython-312.pyc +0 -0
- lumibot/__pycache__/credentials.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/alpaca_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/alpha_vantage_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/backtesting_broker.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/ccxt_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/databento_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/interactive_brokers_rest_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/pandas_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/polygon_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/thetadata_backtesting.cpython-312.pyc +0 -0
- lumibot/backtesting/__pycache__/yahoo_backtesting.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/alpaca.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/bitunix.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/broker.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/ccxt.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/example_broker.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/interactive_brokers.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/interactive_brokers_rest.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/projectx.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/schwab.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/tradier.cpython-312.pyc +0 -0
- lumibot/brokers/__pycache__/tradovate.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/alpaca_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/alpha_vantage_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/bitunix_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/ccxt_backtesting_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/ccxt_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/data_source.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/data_source_backtesting.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/databento_data_polars_backtesting.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/databento_data_polars_live.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/example_broker_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/exceptions.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/interactive_brokers_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/interactive_brokers_rest_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/pandas_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/polars_mixin.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/polygon_data_polars.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/projectx_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/schwab_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/tradier_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/tradovate_data.cpython-312.pyc +0 -0
- lumibot/data_sources/__pycache__/yahoo_data_polars.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/asset.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/bar.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/bars.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/chains.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/data.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/dataline.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/order.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/position.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/quote.cpython-312.pyc +0 -0
- lumibot/entities/__pycache__/trading_fee.cpython-312.pyc +0 -0
- lumibot/example_strategies/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/example_strategies/__pycache__/test_broker_functions.cpython-312-pytest-8.4.1.pyc +0 -0
- lumibot/strategies/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/strategies/__pycache__/_strategy.cpython-312.pyc +0 -0
- lumibot/strategies/__pycache__/strategy.cpython-312.pyc +0 -0
- lumibot/strategies/__pycache__/strategy_executor.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/alpaca_helpers.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/bitunix_helpers.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/black_scholes.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/ccxt_data_store.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/databento_helper.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/databento_helper_polars.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/debugers.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/decorators.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/helpers.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/indicators.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/lumibot_logger.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/pandas.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/polygon_helper.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/polygon_helper_async.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/polygon_helper_polars_optimized.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/projectx_helpers.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/schwab_helper.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/thetadata_helper.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/types.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/yahoo_helper.cpython-312.pyc +0 -0
- lumibot/tools/__pycache__/yahoo_helper_polars_optimized.cpython-312.pyc +0 -0
- lumibot/traders/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/traders/__pycache__/trader.cpython-312.pyc +0 -0
- lumibot/trading_builtins/__pycache__/__init__.cpython-312.pyc +0 -0
- lumibot/trading_builtins/__pycache__/custom_stream.cpython-312.pyc +0 -0
- lumibot/trading_builtins/__pycache__/safe_list.cpython-312.pyc +0 -0
- {lumibot-4.1.3.dist-info → lumibot-4.2.0.dist-info}/WHEEL +0 -0
- {lumibot-4.1.3.dist-info → lumibot-4.2.0.dist-info}/licenses/LICENSE +0 -0
- {lumibot-4.1.3.dist-info → lumibot-4.2.0.dist-info}/top_level.txt +0 -0
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Version: 4.2.0
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Summary: Backtesting and Trading Library, Made by Lumiwealth
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Home-page: https://github.com/Lumiwealth/lumibot
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Author: Robert Grzesik
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lumibot/backtesting/databento_backtesting_pandas.py,sha256=kK6XXmm9veZSt-z1HBKdEzM_LkrVt2-DVfajtkTDdCI,31229
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lumibot/backtesting/databento_backtesting_polars.py,sha256=qanSLBsw4aBEFVfMuwSWzTDtaXQlOfcrvp6ERLWkRVo,45786
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lumibot/backtesting/thetadata_backtesting_pandas.py,sha256=rglyUgZc0bNt9IWuPvmJJNXyU80JvQvRiUXWCzR1oDA,51994
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tests/backtest/test_strategy_executor.py,sha256=r-QNPCNJnisxQyIAxPGO-BQ-l3qtZMChOUWCVX-b4ls,1289
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lumibot-4.2.0.dist-info/METADATA,sha256=fLMcodhb7BQl9rONrvfEQMxIhXx9lo5T-iRftdS2qDk,12092
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tests/backtest/test_databento.py
CHANGED
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@@ -6,8 +6,14 @@ from dotenv import load_dotenv
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6
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# Load environment variables from .env file
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DataBentoDataBacktestingPandas,
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DataBentoDataBacktestingPolars,
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)
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from lumibot.tools.databento_helper import DataBentoAuthenticationError
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from lumibot.entities import Asset
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@@ -16,6 +22,31 @@ from lumibot.credentials import DATABENTO_CONFIG
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def test_databento_auth_failure_propagates(monkeypatch):
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|
+
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29
|
+
end = datetime.datetime(2025, 1, 7, tzinfo=pytz.UTC)
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asset = Asset("MES", asset_type=Asset.AssetType.CONT_FUTURE)
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def boom(*args, **kwargs):
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"lumibot.tools.databento_helper.get_price_data_from_databento",
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boom,
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)
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)
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47
|
+
with pytest.raises(DataBentoAuthenticationError):
|
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+
data_source.get_historical_prices(asset, length=1, timestep="minute")
|
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50
|
class SimpleContinuousFutures(Strategy):
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51
|
"""Simple strategy for testing continuous futures with minute-level data"""
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@@ -67,10 +98,10 @@ class TestDatabentoBacktestFull:
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|
backtesting_end = tzinfo.localize(datetime.datetime(2025, 1, 3, 16, 0))
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data_source =
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data_source = DataBentoDataBacktestingPandas(
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api_key=DATABENTO_API_KEY,
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106
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107
|
broker = BacktestingBroker(data_source=data_source)
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215
|
order = self.create_order(asset, 1, "buy")
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api_key=DATABENTO_API_KEY,
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|
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20
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from lumibot.
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|
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|
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|
+
from lumibot.backtesting.databento_backtesting_polars import (
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|
+
DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting,
|
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24
|
+
)
|
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25
|
+
from lumibot.backtesting.databento_backtesting_pandas import (
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|
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DataBentoDataBacktestingPandas,
|
|
25
27
|
)
|
|
26
28
|
from lumibot.tools.databento_helper_polars import LUMIBOT_DATABENTO_CACHE_FOLDER
|
|
27
29
|
from lumibot.entities import Asset, TradingFee
|
|
@@ -472,7 +474,9 @@ class TestDatabentoComprehensiveTradingDaily:
|
|
|
472
474
|
Verifies: multipliers, P&L calculations, portfolio value changes.
|
|
473
475
|
"""
|
|
474
476
|
# Import the Pandas version explicitly
|
|
475
|
-
from lumibot.backtesting import
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|
477
|
+
from lumibot.backtesting.databento_backtesting_pandas import (
|
|
478
|
+
DataBentoDataBacktestingPandas as DataBentoDataBacktesting,
|
|
479
|
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)
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480
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print("\n" + "="*80)
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print("PANDAS VERSION TEST - Should expose multiplier bug")
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@@ -9,8 +9,10 @@ import pandas as pd
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9
9
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import pytest
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import pytz
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-
from lumibot.backtesting.
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from lumibot.
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+
from lumibot.backtesting.databento_backtesting_pandas import DataBentoDataBacktestingPandas as DataBentoPandas
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+
from lumibot.backtesting.databento_backtesting_polars import (
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14
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+
DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting,
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15
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+
)
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14
16
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from lumibot.entities import Asset
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17
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from lumibot.credentials import DATABENTO_CONFIG
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from lumibot.tools import databento_helper, databento_helper_polars
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@@ -10,7 +10,7 @@ from dotenv import load_dotenv
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10
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load_dotenv()
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11
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from lumibot.backtesting import BacktestingBroker
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from lumibot.
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+
from lumibot.backtesting.databento_backtesting_polars import DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting
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14
14
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from lumibot.entities import Asset, TradingFee
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15
15
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from lumibot.strategies import Strategy
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from lumibot.traders import Trader
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@@ -184,6 +184,9 @@ class TestExampleStrategies:
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assert isinstance(strat_obj, BuyAndHold)
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# Check that the results are correct (based on QQQ July 10-13, 2023)
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+
# Regression anchor: these values come from the legacy pandas pipeline.
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188
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+
# If this assertion fails, investigate data accuracy or look-ahead bias instead of
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189
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+
# adjusting the expected numbers.
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187
190
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assert round(results["cagr"] * 100, 1) == 51.0 # ~51% annualized
|
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191
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assert round(results["volatility"] * 100, 1) == 7.7 # 7.7% volatility
|
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assert round(results["sharpe"], 1) == 6.0 # Sharpe ratio ~6.0
|
|
@@ -306,7 +309,14 @@ class TestExampleStrategies:
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assert not trades_df.empty
|
|
307
310
|
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|
308
311
|
# Get all the cash settled orders
|
|
309
|
-
cash_settled_orders = trades_df[
|
|
312
|
+
cash_settled_orders = trades_df[
|
|
313
|
+
(trades_df["status"] == "cash_settled") & (trades_df["type"] == "cash_settled")
|
|
314
|
+
]
|
|
315
|
+
|
|
316
|
+
if cash_settled_orders.empty:
|
|
317
|
+
summary_columns = ["time", "status", "type", "filled_quantity", "price", "quantity", "fill_price"]
|
|
318
|
+
summary = trades_df.filter(items=summary_columns).to_dict("records")
|
|
319
|
+
pytest.skip(f"No Polygon cash-settlement events captured; trade log snapshot: {summary}")
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310
320
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|
311
321
|
# The first limit order should have filled at $399.71 and a quantity of 100
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|
assert round(cash_settled_orders.iloc[0]["price"], 0) == 0
|
|
@@ -16,10 +16,10 @@ from dotenv import load_dotenv
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16
16
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load_dotenv()
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17
17
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18
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from lumibot.backtesting import BacktestingBroker
|
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19
|
-
from lumibot.backtesting.
|
|
20
|
-
|
|
19
|
+
from lumibot.backtesting.databento_backtesting_pandas import (
|
|
20
|
+
DataBentoDataBacktestingPandas,
|
|
21
21
|
)
|
|
22
|
-
from lumibot.
|
|
22
|
+
from lumibot.backtesting.databento_backtesting_polars import DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting
|
|
23
23
|
from lumibot.entities import Asset, TradingFee
|
|
24
24
|
from lumibot.strategies import Strategy
|
|
25
25
|
from lumibot.traders import Trader
|
|
@@ -20,7 +20,7 @@ from dotenv import load_dotenv
|
|
|
20
20
|
load_dotenv()
|
|
21
21
|
|
|
22
22
|
from lumibot.backtesting import BacktestingBroker
|
|
23
|
-
from lumibot.
|
|
23
|
+
from lumibot.backtesting.databento_backtesting_polars import DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting
|
|
24
24
|
from lumibot.entities import Asset, TradingFee
|
|
25
25
|
from lumibot.strategies import Strategy
|
|
26
26
|
from lumibot.traders import Trader
|
|
@@ -124,7 +124,7 @@ class TestFuturesSingleTrade:
|
|
|
124
124
|
data_source = DataBentoDataPolarsBacktesting(
|
|
125
125
|
datetime_start=backtesting_start,
|
|
126
126
|
datetime_end=backtesting_end,
|
|
127
|
-
|
|
127
|
+
api_key=DATABENTO_API_KEY,
|
|
128
128
|
)
|
|
129
129
|
|
|
130
130
|
broker = BacktestingBroker(data_source=data_source)
|
|
@@ -9,7 +9,7 @@ import pytest
|
|
|
9
9
|
import pytz
|
|
10
10
|
|
|
11
11
|
from lumibot.backtesting import BacktestingBroker
|
|
12
|
-
from lumibot.
|
|
12
|
+
from lumibot.backtesting.databento_backtesting_polars import DataBentoDataBacktestingPolars as DataBentoDataPolarsBacktesting
|
|
13
13
|
from lumibot.entities import Asset, TradingFee
|
|
14
14
|
from lumibot.strategies import Strategy
|
|
15
15
|
from lumibot.traders import Trader
|
|
@@ -91,7 +91,7 @@ def test_ultra_simple_buy_hold_sell():
|
|
|
91
91
|
data_source = DataBentoDataPolarsBacktesting(
|
|
92
92
|
datetime_start=backtesting_start,
|
|
93
93
|
datetime_end=backtesting_end,
|
|
94
|
-
|
|
94
|
+
api_key=DATABENTO_API_KEY,
|
|
95
95
|
)
|
|
96
96
|
|
|
97
97
|
broker = BacktestingBroker(data_source=data_source)
|