Add experiment multiple algorithms support

README.md

@@ -13,7 +13,6 @@
 </a>
 </p>
 
-
 # [Investing Algorithm Framework](https://github.com/coding-kitties/investing-algorithm-framework)
 
 The Investing Algorithm Framework is a Python tool that enables swift and 
@@ -31,14 +30,11 @@ Features:
 * Stateless running for cloud function deployments
 * Polars dataframes support out of the box for fast data processing [pola.rs](https://pola.rs/)
 
-
-
 ## Example implementation
 The following algorithm connects to binance and buys BTC every 5 seconds. 
 It also exposes an REST API that allows you to interact with the algorithm.
 ```python
 import pathlib
-from datetime import datetime, timedelta
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, \
     CCXTTickerMarketDataSource, MarketCredential
@@ -58,6 +54,8 @@ bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
     symbol="BTC/EUR",
 )
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
+algorithm = Algorithm()
+
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
 app.add_market_credential(MarketCredential(
@@ -72,18 +70,25 @@ app.add_portfolio_configuration(
         initial_balance=400
     )
 )
+app.add_algorithm(algorithm)
 
-@app.strategy(
+@algorithm.strategy(
     # Run every two hours
     time_unit=TimeUnit.HOUR, 
     interval=2, 
     # Specify market data sources that need to be passed to the strategy
     market_data_sources=["BTC-ticker", "BTC-ohlcv"]
 )
 def perform_strategy(algorithm: Algorithm, market_data: dict):
-    # By default data is passed as polars dataframe https://pola.rs/
-    df = market_data["BTC-ohlcv"].to_pandas()
+    # By default ohlcv data is passed as polars df in the form of
+    # {"<identifier>": <dataframe>}  https://pola.rs/, 
+    # call to_pandas() to convert to pandas
+    polars_df = market_data["BTC-ohlcv"]  
+    print(f"I have access to {len(polars_df)} candles of ohlcv data")
+
+    # Ticker data is passed as {"<identifier>": <ticker dict>}
     ticker_data = market_data["BTC-ticker"]
+
     algorithm.create_limit_order(
         target_symbol="BTC/EUR",
         order_side="buy",
@@ -257,7 +262,8 @@ app.add_portfolio_configuration(
 ```
 
 ## Performance
-We continiously are working on improving the performance of the framework.
+We are continuously working on improving the performance of the framework. If
+you have any suggestions, please let us know.
 
 ## Download
 You can download the framework with pypi.

examples/expirement/app.py → examples/backtest/app.py

@@ -3,12 +3,10 @@
 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)

examples/backtest_expirement/algorithms/__init__.py

@@ -0,0 +1,10 @@
+from .algorithm_one import algorithm as algorithm_one
+from .algorithm_two import algorithm as algorithm_two
+from .algorithm_three import algorithm as algorithm_three
+
+
+__all__ = [
+    "algorithm_one",
+    "algorithm_two",
+    "algorithm_three",
+]

examples/backtest_expirement/algorithms/algorithm_one.py

@@ -0,0 +1,15 @@
+from investing_algorithm_framework import TradingStrategy, Algorithm, TimeUnit
+
+algorithm = Algorithm()
+
+
+class Strategy(TradingStrategy):
+    strategy_id = "strategy_one"
+    time_unit = TimeUnit.MINUTE
+    interval = 30
+
+    def run_strategy(self, algorithm: Algorithm, market_data):
+        pass
+
+
+algorithm.add_strategy(Strategy())

examples/backtest_expirement/algorithms/algorithm_three.py

@@ -0,0 +1,16 @@
+from investing_algorithm_framework import TradingStrategy, Algorithm, TimeUnit
+
+
+algorithm = Algorithm()
+
+
+class Strategy(TradingStrategy):
+    strategy_id = "strategy_three"
+    time_unit = TimeUnit.MINUTE
+    interval = 30
+
+    def run_strategy(self, algorithm: Algorithm, market_data):
+        pass
+
+
+algorithm.add_strategy(Strategy())

examples/backtest_expirement/algorithms/algorithm_two.py

@@ -0,0 +1,15 @@
+from investing_algorithm_framework import TradingStrategy, Algorithm, TimeUnit
+
+algorithm = Algorithm()
+
+
+class Strategy(TradingStrategy):
+    strategy_id = "strategy_two"
+    time_unit = TimeUnit.MINUTE
+    interval = 30
+
+    def run_strategy(self, algorithm: Algorithm, market_data):
+        pass
+
+
+algorithm.add_strategy(Strategy())

examples/backtest_expirement/app.py

@@ -0,0 +1,13 @@
+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
+
+app = create_app(
+    config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
+)
+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/backtest_expirement/backtest.py

@@ -0,0 +1,33 @@
+from datetime import datetime, timedelta
+
+from algorithms import algorithm_one, algorithm_two, algorithm_three
+from app import app
+from investing_algorithm_framework import PortfolioConfiguration
+
+if __name__ == "__main__":
+    end_date = datetime(2023, 12, 2)
+    start_date = end_date - timedelta(days=100)
+
+    # Add a portfolio configuration of 400 euro initial balance
+    app.add_portfolio_configuration(
+        PortfolioConfiguration(
+            market="BINANCE",
+            trading_symbol="EUR",
+            initial_balance=400,
+        )
+    )
+
+    # Run the backtest for each algorithm
+    reports = app.run_backtests(
+        algorithms=[
+            algorithm_one,
+            algorithm_two,
+            algorithm_three,
+        ],
+        start_date=start_date,
+        end_date=end_date,
+        pending_order_check_interval="2h",
+    )
+
+
+    # pretty_print_expirement(reports)

examples/backtest_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/bitvavo_trading_bot/bitvavo.py

@@ -1,13 +1,14 @@
 from investing_algorithm_framework import MarketCredential, TimeUnit, \
     CCXTOHLCVMarketDataSource, CCXTTickerMarketDataSource, TradingStrategy, \
-    create_app, PortfolioConfiguration
+    create_app, PortfolioConfiguration, Algorithm
 
 """
-Bitvavo market data sources example. Bitvavo does not requires you 
-to have an API key and secret key to access their market data
+Bitvavo trading bot example with market data sources of bitvavo. 
+Bitvavo does not requires you to have an API key and secret key to access 
+their market data
 
 If you just want to backtest your strategy, you don't need to 
-add a market credential. If your runnning your strategy live,
+add a market credential. If your running your strategy live,
 you need to add a market credential to the app, that accesses your 
 account on bitvavo.
 """
@@ -31,6 +32,9 @@
     symbol="BTC/EUR",
 )
 
+# Create an algorithm and link your trading strategy to it
+algorithm = Algorithm()
+
 
 class BitvavoTradingStrategy(TradingStrategy):
     time_unit = TimeUnit.HOUR
@@ -44,17 +48,23 @@ def apply_strategy(self, algorithm, market_data):
         print(market_data["BTC/EUR-ohlcv"])
         print(market_data["BTC/EUR-ticker"])
 
+algorithm.add_strategy(BitvavoTradingStrategy)
 
+# Create an app and add the market data sources and market credentials to it
 app = create_app()
 app.add_market_credential(bitvavo_market_credential)
 app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
 app.add_market_data_source(bitvavo_btc_eur_ticker)
-app.add_strategy(BitvavoTradingStrategy)
-app.add_portfolio_configuration(PortfolioConfiguration(
-    initial_balance=1000,
-    trading_symbol="EUR",
-    market="bitvavo"
-))
+
+# Register your algorithm and portfolio configuration to the app
+app.add_algorithm(algorithm)
+app.add_portfolio_configuration(
+    PortfolioConfiguration(
+        initial_balance=1000,
+        trading_symbol="EUR",
+        market="bitvavo"
+    )
+)
 
 if __name__ == "__main__":
     app.run()