Adding support to preload candles for indicators

pytradebacktest/broker.py

@@ -65,6 +65,11 @@ def order(self, order: Order):
 
         self.orders.append(order)
 
+    def load_instrument_candles(
+        self, instrument: Instrument, granularity: Granularity, count: int
+    ):
+        self._data.load_instrument_candles(instrument, granularity, count)
+
     def subscribe(
         self, instrument: Instrument, granularity: Granularity
     ) -> IInstrumentData:

pytradebacktest/data.py

@@ -117,6 +117,8 @@ def load(self) -> list[InstrumentData]:
 
 class MarketData(IDataContext):
 
+    _index: pd.Timestamp
+
     def __init__(self, loader: MarketDataLoader):
         self._sources = loader.load()
         self._init_index()
@@ -132,9 +134,17 @@ def universe(self):
         return self._sources
 
     @property
-    def index(self):
+    def index(self) -> pd.Timestamp:
         return self._index
 
+    def load_instrument_candles(
+        self, instrument: Instrument, granularity: Granularity, count: int
+    ):
+        _data = self.get(instrument, granularity)
+        _instrument_timestamp: pd.Timestamp = _data.df.index[count]
+        if _instrument_timestamp > self._index:
+            self._index = _instrument_timestamp
+
     @property
     def i(self) -> int:
         return self._market_index.get_loc(self._index)
@@ -163,7 +173,10 @@ def next(self):
 
     def __next(self):
 
-        for idx in self._market_index:
+        # Slice index incase some candles were loaded prior to starting
+        # the test run
+        _index = self._market_index[self.i :]
+        for idx in _index:
             self._index = idx
             for source in self._sources:
                 source.index = idx

tests/unit/test_data.py

@@ -1,4 +1,6 @@
-from datetime import datetime
+from datetime import datetime, timezone
+
+from pytrade.instruments import FxInstrument, Granularity
 
 from pytradebacktest.data import MarketData
 
@@ -11,7 +13,7 @@ def test_load_market_data(test_fx_universe):
 def test_init_index(test_fx_universe):
     data: MarketData = test_fx_universe
 
-    assert data._index == datetime(2024, 5, 1)
+    assert data.index == datetime(2024, 5, 1, tzinfo=timezone.utc)
 
 
 def test_fx_length(test_fx_universe):
@@ -20,3 +22,25 @@ def test_fx_length(test_fx_universe):
 
 def test_stock_length(test_stock_universe):
     assert len(test_stock_universe) == 2148
+
+
+def test_preload_candles(test_fx_universe):
+    data: MarketData = test_fx_universe
+
+    assert data.i == 0
+    assert data.index == datetime(2024, 5, 1, tzinfo=timezone.utc)
+
+    data.load_instrument_candles(FxInstrument.EURUSD, Granularity.M1, 5)
+
+    assert data.i == 5
+    assert data.index == datetime(2024, 5, 1, 0, 5, tzinfo=timezone.utc)
+
+    data.load_instrument_candles(FxInstrument.EURUSD, Granularity.M1, 10)
+
+    assert data.i == 10
+    assert data.index == datetime(2024, 5, 1, 0, 10, tzinfo=timezone.utc)
+
+    data.load_instrument_candles(FxInstrument.EURUSD, Granularity.M1, 7)
+
+    assert data.i == 10
+    assert data.index == datetime(2024, 5, 1, 0, 10, tzinfo=timezone.utc)