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Add backtest csv report (#251)
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* Add backtest csv report

* Fix flake8 warnings
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@MDUYN
MDUYN committed Mar 4, 2024
1 parent 6af2e23 commit c142cc3
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Showing 25 changed files with 801 additions and 327 deletions.
3 changes: 2 additions & 1 deletion .gitignore
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Original file line number Diff line number Diff line change
Expand Up @@ -145,4 +145,5 @@ lib/
bumpversion.egg-info/
*.sqlite3

*/backtest_data/
*/backtest_data/
*/backtest_reports/
285 changes: 58 additions & 227 deletions investing_algorithm_framework/app/algorithm.py
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Original file line number Diff line number Diff line change
@@ -1,13 +1,14 @@
import logging
import decimal
import logging
from typing import List

from investing_algorithm_framework.domain import OrderStatus, OrderFee, \
Position, Order, Portfolio, OrderType, OrderSide, ApiException, \
BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, Trade, PeekableQueue, \
MarketService
BACKTESTING_FLAG, BACKTESTING_INDEX_DATETIME, MarketService
from investing_algorithm_framework.services import MarketCredentialService, \
MarketDataSourceService
MarketDataSourceService, PortfolioService, PositionService, TradeService, \
OrderService, ConfigurationService, StrategyOrchestratorService, \
PortfolioConfigurationService

logger = logging.getLogger("investing_algorithm_framework")

Expand All @@ -24,21 +25,26 @@ def __init__(
market_service,
strategy_orchestrator_service,
market_credential_service,
market_data_source_service
market_data_source_service,
trade_service
):
self.portfolio_service = portfolio_service
self.position_service = position_service
self.order_service = order_service
self._market_service: MarketService = market_service
self.configuration_service = configuration_service
self.portfolio_configuration_service = portfolio_configuration_service
self.strategy_orchestrator_service = strategy_orchestrator_service
self.portfolio_service: PortfolioService = portfolio_service
self.position_service: PositionService = position_service
self.order_service: OrderService = order_service
self.market_service: MarketService = market_service
self.configuration_service: ConfigurationService \
= configuration_service
self.portfolio_configuration_service: PortfolioConfigurationService \
= portfolio_configuration_service
self.strategy_orchestrator_service: StrategyOrchestratorService \
= strategy_orchestrator_service
self._market_data_sources = {}
self._strategies = []
self._market_credential_service: MarketCredentialService \
= market_credential_service
self._market_data_source_service: MarketDataSourceService \
= market_data_source_service
self.trade_service: TradeService = trade_service

def start(self, number_of_iterations=None, stateless=False):

Expand Down Expand Up @@ -158,14 +164,14 @@ def create_limit_order(
)

def create_market_order(
self,
target_symbol,
order_side,
amount,
market=None,
execute=False,
validate=False,
sync=True
self,
target_symbol,
order_side,
amount,
market=None,
execute=False,
validate=False,
sync=True
):

if market is None:
Expand Down Expand Up @@ -221,13 +227,13 @@ def reset(self):
self._running_workers = []

def get_order(
self,
reference_id=None,
market=None,
target_symbol=None,
trading_symbol=None,
order_side=None,
order_type=None
self,
reference_id=None,
market=None,
target_symbol=None,
trading_symbol=None,
order_side=None,
order_type=None
) -> Order:
query_params = {}

Expand Down Expand Up @@ -256,12 +262,12 @@ def get_order(
return self.order_service.find(query_params)

def get_orders(
self,
target_symbol=None,
status=None,
order_type=None,
order_side=None,
market=None
self,
target_symbol=None,
status=None,
order_type=None,
order_side=None,
market=None
) -> List[Order]:

if market is None:
Expand All @@ -284,13 +290,13 @@ def get_order_fee(self, order_id) -> OrderFee:
return self.order_service.get_order_fee(order_id)

def get_positions(
self,
market=None,
identifier=None,
amount_gt=None,
amount_gte=None,
amount_lt=None,
amount_lte=None
self,
market=None,
identifier=None,
amount_gt=None,
amount_gte=None,
amount_lt=None,
amount_lte=None
) -> List[Position]:
query_params = {}

Expand Down Expand Up @@ -346,14 +352,14 @@ def get_position(self, symbol, market=None, identifier=None) -> Position:
return None

def has_position(
self,
symbol,
market=None,
identifier=None,
amount_gt=0,
amount_gte=None,
amount_lt=None,
amount_lte=None
self,
symbol,
market=None,
identifier=None,
amount_gt=0,
amount_gte=None,
amount_lt=None,
amount_lte=None
):
return self.position_exists(
symbol,
Expand Down Expand Up @@ -675,55 +681,10 @@ def check_pending_orders(self):
self.order_service.check_pending_orders()

def get_trades(self, market=None):
portfolios = self.portfolio_service.get_all()
trades = []

for portfolio in portfolios:
buy_orders = self.order_service.get_all({
"status": OrderStatus.CLOSED.value,
"order_side": OrderSide.BUY.value,
"portfolio_id": portfolio.id
})

for buy_order in buy_orders:
symbol = buy_order.get_symbol()
ticker = self._market_data_source_service.get_ticker(
symbol=symbol, market=market
)
trades.append(
Trade(
buy_order_id=buy_order.id,
target_symbol=buy_order.get_target_symbol(),
trading_symbol=buy_order.get_trading_symbol(),
amount=buy_order.get_amount(),
open_price=buy_order.get_price(),
closed_price=buy_order.get_trade_closed_price(),
closed_at=buy_order.get_trade_closed_at(),
opened_at=buy_order.get_created_at(),
current_price=ticker["bid"]
)
)

return trades
return self.trade_service.get_trades(market)

def get_closed_trades(self):
buy_orders = self.order_service.get_all({
"status": OrderStatus.CLOSED.value,
"order_side": OrderSide.BUY.value
})
return [
Trade(
buy_order_id=order.id,
target_symbol=order.get_target_symbol(),
trading_symbol=order.get_trading_symbol(),
amount=order.get_amount(),
open_price=order.get_price(),
closed_price=order.get_trade_closed_price(),
closed_at=order.get_trade_closed_at(),
opened_at=order.get_created_at()
) for order in buy_orders
if order.get_trade_closed_at() is not None
]
return self.trade_service.get_closed_trades()

def round_down(self, value, amount_of_decimals):

Expand All @@ -743,140 +704,10 @@ def count_decimals(self, number):
return 0

def get_open_trades(self, target_symbol=None, market=None):
portfolios = self.portfolio_service.get_all()
trades = []

for portfolio in portfolios:

if target_symbol is not None:
buy_orders = self.order_service.get_all({
"status": OrderStatus.CLOSED.value,
"order_side": OrderSide.BUY.value,
"portfolio_id": portfolio.id,
"target_symbol": target_symbol
})
sell_orders = self.order_service.get_all({
"status": OrderStatus.OPEN.value,
"order_side": OrderSide.SELL.value,
"portfolio_id": portfolio.id,
"target_symbol": target_symbol
})
else:
buy_orders = self.order_service.get_all({
"status": OrderStatus.CLOSED.value,
"order_side": OrderSide.BUY.value,
"portfolio_id": portfolio.id
})
sell_orders = self.order_service.get_all({
"status": OrderStatus.OPEN.value,
"order_side": OrderSide.SELL.value,
"portfolio_id": portfolio.id
})

buy_orders = [
buy_order for buy_order in buy_orders
if buy_order.get_trade_closed_at() is None
]
sell_amount = sum([order.amount for order in sell_orders])

# Subtract the amount of the open sell orders
# from the amount of the buy orders
buy_orders_queue = PeekableQueue()

for buy_order in buy_orders:
buy_orders_queue.enqueue(buy_order)

while sell_amount > 0 and not buy_orders_queue.is_empty():
first_buy_order = buy_orders_queue.peek()
available = first_buy_order.get_filled() \
- first_buy_order.get_trade_closed_amount()

if available > sell_amount:
remaining = available - sell_amount
sell_amount = 0
first_buy_order.set_filled(remaining)
else:
sell_amount = sell_amount - available
buy_orders_queue.dequeue()

for buy_order in buy_orders_queue:
symbol = buy_order.get_symbol()

try:
ticker = self._market_data_source_service.get_ticker(
symbol=symbol, market=market
)
except Exception as e:
logger.error(e)
raise ApiException(
f"Error getting ticker data for "
f"trade {buy_order.get_target_symbol()}"
f"-{buy_order.get_trading_symbol()}. Make sure you "
f"have registered a ticker market data source for "
f"{buy_order.get_target_symbol()}"
f"-{buy_order.get_trading_symbol()} "
f"for market {portfolio.market}"
)

amount = buy_order.get_filled()
closed_amount = buy_order.get_trade_closed_amount()

if closed_amount is not None:
amount = amount - closed_amount

trades.append(
Trade(
buy_order_id=buy_order.id,
target_symbol=buy_order.get_target_symbol(),
trading_symbol=buy_order.get_trading_symbol(),
amount=amount,
open_price=buy_order.get_price(),
opened_at=buy_order.get_created_at(),
current_price=ticker["bid"]
)
)

return trades
return self.trade_service.get_open_trades(target_symbol, market)

def close_trade(self, trade, market=None):

if trade.closed_at is not None:
raise ApiException("Trade already closed.")

order = self.order_service.get(trade.buy_order_id)

if order.get_filled() <= 0:
raise ApiException(
"Buy order belonging to the trade has no amount."
)

portfolio = self.portfolio_service\
.find({"position": order.position_id})
position = self.position_service.find(
{"portfolio": portfolio.id, "symbol": order.get_target_symbol()}
)
amount = order.get_amount()

if position.get_amount() < amount:
logger.warning(
f"Order amount {amount} is larger then amount "
f"of available {position.symbol} "
f"position: {position.get_amount()}, "
f"changing order amount to size of position"
)
amount = position.get_amount()

symbol = f"{order.get_target_symbol().upper()}" \
f"/{order.get_trading_symbol().upper()}"
ticker = self._market_data_source_service.get_ticker(
symbol=symbol, market=market
)
self.create_limit_order(
target_symbol=order.target_symbol,
amount=amount,
order_side=OrderSide.SELL.value,
price=ticker["bid"],
)
self.trade_service.close_trade(trade, market)

def get_number_of_positions(self):
"""
Expand Down
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