Feature/refactor poetry package (#249)

* Fix flake8 warnings

* Fix tests

* Add setuptools to test sequence

* Add setuptools to test sequence

* Add setuptools to test sequence

* Add setuptools to test sequence

* Add setuptools to test sequence

* Add distutils step

* Add distutils step

* Add distutils step

* Remove setup tools

* Remove python 3.12

.github/workflows/publish.yml

@@ -0,0 +1,20 @@
+name: Build and publish python package
+
+on:
+  release:
+    types: [ published ]
+
+jobs:
+  publish-service-client-package:
+    runs-on: ubuntu-latest
+    permissions:
+      contents: write
+    steps:
+      - name: Publish PyPi package
+        uses: code-specialist/pypi-poetry-publish@v1
+        with:
+          ACCESS_TOKEN: ${{ secrets.REPOSITORY_ACCESS_TOKEN }}
+          PUBLISH_REGISTRY_PASSWORD: ${{ secrets.PYPI_TOKEN }}
+          BRANCH: "main"
+          POETRY_VERSION: "1.7.1"
+          POETRY_CORE_VERSION: "1.8.1"

.github/workflows/test.yml

@@ -1,42 +1,110 @@
-# This workflow will install Python dependencies, run tests and lint
-# with a single version of Python
-
-name: Tests
+name: test
 
 on:
   push:
     branches:
       - '*'         # matches every branch that doesn't contain a '/'
       - '*/*'       # matches every branch containing a single '/'
       - '**'        # matches every branch
-  pull_request:
-    branches:
-      - '*'         # matches every branch that doesn't contain a '/'
-      - '*/*'       # matches every branch containing a single '/'
-      - '**'        # matches every branch
-jobs:
-  build:
+    pull_request:
+      branches:
+        - '*'         # matches every branch that doesn't contain a '/'
+        - '*/*'       # matches every branch containing a single '/'
+        - '**'        # matches every branch
 
+jobs:
+  linting:
     runs-on: ubuntu-latest
-
     steps:
-    - uses: actions/checkout@v2
-    - name: Set up Python 3.9
-      uses: actions/setup-python@v2
-      with:
-        python-version: 3.9
-    - name: Install dependencies
-      run: |
-        python -m pip install --upgrade pip
-        pip install flake8
-        if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
-        if [ -f requirements-test.txt ]; then pip install -r requirements-test.txt; fi
-    - name: Lint with flake8
-      run: |
-        # stop the build if there are Python syntax errors or undefined names
-        flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
-        # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
-        flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
-    - name: Test
-      run: |
-        python -m unittest discover -s tests/
+      #----------------------------------------------
+      #       check-out repo and set-up python
+      #----------------------------------------------
+      - uses: actions/checkout@v4
+      - uses: actions/setup-python@v5
+      #----------------------------------------------
+      #        load pip cache if cache exists
+      #----------------------------------------------
+      - uses: actions/cache@v3
+        with:
+          path: ~/.cache/pip
+          key: ${{ runner.os }}-pip
+          restore-keys: ${{ runner.os }}-pip
+      #----------------------------------------------
+      #          install and run linters
+      #----------------------------------------------
+      - run: python -m pip install black flake8 isort
+      - run: |
+          flake8 ./investing_algorithm_framework
+  test:
+    needs: linting
+    strategy:
+      fail-fast: true
+      matrix:
+        os: [ "ubuntu-latest", "macos-latest" ]
+        python-version: [ "3.8", "3.9", "3.10", "3.11" ]
+    runs-on: ${{ matrix.os }}
+    steps:
+      #----------------------------------------------
+      #       check-out repo and set-up python
+      #----------------------------------------------
+      - name: Check out repository
+        uses: actions/checkout@v4
+      - name: Set up python ${{ matrix.python-version }}
+        id: setup-python
+        uses: actions/setup-python@v5
+        with:
+          python-version: ${{ matrix.python-version }}
+      #----------------------------------------------
+      #  -----  install distutils if needed  -----
+      #----------------------------------------------
+      - name: Install distutils on Ubuntu
+        if: matrix.os == 'ubuntu-latest'
+        run: |
+          sudo add-apt-repository ppa:deadsnakes/ppa
+          sudo apt-get update
+          sudo apt install python${{ matrix.python-version }}-distutils
+      #----------------------------------------------
+      #  -----  install & configure poetry  -----
+      #----------------------------------------------
+      - name: Install Poetry
+        uses: snok/install-poetry@v1
+        with:
+          virtualenvs-create: true
+          virtualenvs-in-project: true
+      #----------------------------------------------
+      #       load cached venv if cache exists
+      #----------------------------------------------
+      - name: Load cached venv
+        id: cached-poetry-dependencies
+        uses: actions/cache@v3
+        with:
+          path: .venv
+          key: venv-${{ runner.os }}-${{ steps.setup-python.outputs.python-version }}-${{ hashFiles('**/poetry.lock') }}
+      #----------------------------------------------
+      # install dependencies if cache does not exist
+      #----------------------------------------------
+      - name: Install dependencies
+        if: steps.cached-poetry-dependencies.outputs.cache-hit != 'true'
+        run: |
+          poetry install --no-interaction --no-root
+      #----------------------------------------------
+      # install your root project, if required
+      #----------------------------------------------
+      - name: Install library
+        run: |
+          poetry install --no-interaction
+      #----------------------------------------------
+      #    add matrix specifics and run test suite
+      #----------------------------------------------
+      - name: Run tests
+        run: |
+          source .venv/bin/activate
+          coverage run -m unittest discover -s tests
+#      #----------------------------------------------
+#      #             upload coverage stats
+#      #----------------------------------------------
+#      - name: Upload coverage
+#        uses: codecov/codecov-action@v3
+#        with:
+#          file: ./coverage.xml
+#          fail_ci_if_error: true

examples/expirement/app.py

@@ -0,0 +1,15 @@
+import pathlib
+
+from data_sources import bitvavo_btc_eur_ohlcv_2h, bitvavo_dot_eur_ohlcv_2h, \
+    bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
+from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY
+from strategy import CrossOverStrategy
+
+app = create_app(
+    config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
+)
+app.add_strategy(CrossOverStrategy)
+app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_dot_eur_ohlcv_2h)
+app.add_market_data_source(bitvavo_btc_eur_ticker)
+app.add_market_data_source(bitvavo_dot_eur_ticker)

examples/expirement/data_sources.py

@@ -0,0 +1,30 @@
+from investing_algorithm_framework import CCXTOHLCVMarketDataSource, \
+    CCXTTickerMarketDataSource
+
+
+bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
+    identifier="BTC/EUR-ohlcv",
+    market="BINANCE",
+    symbol="BTC/EUR",
+    timeframe="2h",
+    window_size=200
+)
+bitvavo_dot_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
+    identifier="DOT/EUR-ohlcv",
+    market="BINANCE",
+    symbol="DOT/EUR",
+    timeframe="2h",
+    window_size=200
+)
+bitvavo_dot_eur_ticker = CCXTTickerMarketDataSource(
+    identifier="DOT/EUR-ticker",
+    market="BINANCE",
+    symbol="DOT/EUR",
+    backtest_timeframe="2h",
+)
+bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
+    identifier="BTC/EUR-ticker",
+    market="BINANCE",
+    symbol="BTC/EUR",
+    backtest_timeframe="2h",
+)

examples/expirement/experiment.py

@@ -0,0 +1,27 @@
+from datetime import datetime, timedelta
+
+from investing_algorithm_framework import PortfolioConfiguration, \
+    pretty_print_backtest
+
+from app import app
+
+
+# Add a portfolio configuration of 400 euro initial balance
+app.add_portfolio_configuration(
+    PortfolioConfiguration(
+        market="BINANCE",
+        trading_symbol="EUR",
+        initial_balance=400,
+    )
+)
+
+if __name__ == "__main__":
+    end_date = datetime(2023, 12, 2)
+    start_date = end_date - timedelta(days=100)
+    experiment_report, backtest_reports = app.experiment(
+        start_date=start_date,
+        end_date=end_date,
+        pending_order_check_interval="2h",
+        strategies=[]
+    )
+    pretty_print_expirement(expirement_report)

examples/expirement/production.py

@@ -0,0 +1,13 @@
+from investing_algorithm_framework import MarketCredential
+from app import app
+
+# Configure your market credentials here
+bitvavo_market_credential = MarketCredential(
+    api_key="",
+    secret_key="",
+    market="BITVAVO"
+)
+app.add_market_credential(bitvavo_market_credential)
+
+if __name__ == "__main__":
+    app.run()

examples/expirement/strategy.py

@@ -0,0 +1,92 @@
+import tulipy as ti
+
+from investing_algorithm_framework import TimeUnit, TradingStrategy, \
+    Algorithm, OrderSide
+
+"""
+This strategy is based on the golden cross strategy. It will buy when the
+fast moving average crosses the slow moving average from below. It will sell
+when the fast moving average crosses the slow moving average from above.
+
+The strategy will also check if the fast moving average is above the trend
+moving average. If it is not above the trend moving average it will not buy.
+
+It uses tulipy indicators to calculate the metrics. You need to 
+install this library in your environment to run this strategy.
+You can find instructions on how to install tulipy here:
+https://tulipindicators.org/ or go directly to the pypi page:
+https://pypi.org/project/tulipy/
+"""
+# Define market data sources
+
+def is_below_trend(fast_series, slow_series):
+    return fast_series[-1] < slow_series[-1]
+
+
+def is_above_trend(fast_series, slow_series):
+    return fast_series[-1] > slow_series[-1]
+
+
+def is_crossover(fast, slow):
+    """
+    Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
+    With the given date time it will check if the ma_<period_one> is a
+    crossover with the ma_<period_two>
+    """
+    return fast[-2] <= slow[-2] and fast[-1] > slow[-1]
+
+
+def is_crossunder(fast, slow):
+    """
+    Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
+    With the given date time it will check if the ma_<period_one> is a
+    crossover with the ma_<period_two>
+    """
+    return fast[-2] >= slow[-2] and fast[-1] < slow[-1]
+
+
+class CrossOverStrategy(TradingStrategy):
+    time_unit = TimeUnit.HOUR
+    interval = 2
+    market_data_sources = [
+        "BTC/EUR-ohlcv",
+        "DOT/EUR-ohlcv",
+        "BTC/EUR-ticker",
+        "DOT/EUR-ticker"
+    ]
+    symbols = ["BTC/EUR", "DOT/EUR"]
+
+    def apply_strategy(self, algorithm: Algorithm, market_data):
+
+        for symbol in self.symbols:
+            target_symbol = symbol.split('/')[0]
+
+            if algorithm.has_open_orders(target_symbol):
+                continue
+
+            df = market_data[f"{symbol}-ohlcv"]
+            ticker_data = market_data[f"{symbol}-ticker"]
+            fast = ti.sma(df['Close'].to_numpy(), 9)
+            slow = ti.sma(df['Close'].to_numpy(), 50)
+            trend = ti.sma(df['Close'].to_numpy(), 100)
+            price = ticker_data['bid']
+
+            if not algorithm.has_position(target_symbol) \
+                    and is_crossover(fast, slow)\
+                    and not is_above_trend(fast, trend):
+                algorithm.create_limit_order(
+                    target_symbol=target_symbol,
+                    order_side=OrderSide.BUY,
+                    price=price,
+                    percentage_of_portfolio=25,
+                    precision=4,
+                )
+
+            if algorithm.has_position(target_symbol) \
+                    and is_below_trend(fast, slow):
+                open_trades = algorithm.get_open_trades(
+                    target_symbol=target_symbol
+                )
+
+                for trade in open_trades:
+                    algorithm.close_trade(trade)

investing_algorithm_framework/__init__.py

@@ -1,7 +1,7 @@
 from investing_algorithm_framework.app import App, Algorithm
 from .create_app import create_app
 from investing_algorithm_framework.domain import ApiException, \
-    TradingDataType, TradingTimeFrame, OrderType,\
+    TradingDataType, TradingTimeFrame, OrderType, \
     OrderStatus, OrderSide, Config, TimeUnit, TimeInterval, Order, Portfolio, \
     Position, TimeFrame, BACKTESTING_INDEX_DATETIME, MarketCredential, \
     PortfolioConfiguration, RESOURCE_DIRECTORY, pretty_print_backtest, \