Merge pull request #403 from coding-kitties/release/dev-to-main

Release: merge dev into main

Author: MDUYN

docusaurus/docs/Getting Started/deployment.md

@@ -1,8 +1,9 @@
 // @ts-check
 // Note: type annotations allow type checking and IDEs autocompletion
 
-const lightCodeTheme = require('prism-react-renderer/themes/github');
-const darkCodeTheme = require('prism-react-renderer/themes/dracula');
+const {themes} = require('prism-react-renderer');
+const lightCodeTheme = themes.github;
+const darkCodeTheme = themes.dracula;
 
 /** @type {import('@docusaurus/types').Config} */
 const config = {

docusaurus/docs/Getting Started/tasks.md

@@ -61,11 +61,11 @@ const sidebars = {
                 },
                 {
                     type: 'doc',
-                    id: 'Data/market-data-sources',
+                    id: 'Data/data-sources',
                 },
                 {
                     type: 'doc',
-                    id: 'Data/multiple-market-data-sources',
+                    id: 'Data/backtest_data',
                 },
             ],
         },

docusaurus/docs/Getting Started/trades.md

@@ -24,7 +24,9 @@
     SnapshotInterval, AWS_S3_STATE_BUCKET_NAME, BacktestEvaluationFocus, \
     save_backtests_to_directory, BacktestMetrics, DATA_DIRECTORY
 from .infrastructure import AzureBlobStorageStateHandler, \
-    CSVOHLCVDataProvider, CCXTOHLCVDataProvider, PandasOHLCVDataProvider, \
+    CSVOHLCVDataProvider, CSVTickerDataProvider, \
+    CCXTOHLCVDataProvider, CCXTTickerDataProvider, \
+    PandasOHLCVDataProvider, \
     AWSS3StorageStateHandler
 from .create_app import create_app
 from .download_data import download, download_v2, DownloadResult, \
@@ -109,7 +111,9 @@
     'select_backtest_date_ranges',
     'DataType',
     'CSVOHLCVDataProvider',
+    'CSVTickerDataProvider',
     "CCXTOHLCVDataProvider",
+    "CCXTTickerDataProvider",
     "DataProvider",
     "get_annual_volatility",
     "get_sortino_ratio",

docusaurus/docusaurus.config.js

@@ -2124,11 +2124,10 @@ def add_strategy(self, strategy, throw_exception=True) -> None:
 
         has_duplicates = False
 
-        for i in range(len(self._strategies)):
-            for j in range(i + 1, len(self._strategies)):
-                if self._strategies[i].worker_id == strategy.worker_id:
-                    has_duplicates = True
-                    break
+        for existing_strategy in self._strategies:
+            if existing_strategy.strategy_id == strategy.strategy_id:
+                has_duplicates = True
+                break
 
         if has_duplicates:
             raise OperationalException(

docusaurus/sidebar.js

@@ -88,8 +88,8 @@ def create_html_trade_metrics_table(results, report):
         copy_results['Worst Trade'] = f"{worst_trade['net_gain']:.2f} {report.trading_symbol}"
         copy_results['Worst Trade Date'] = safe_format_date(worst_trade['opened_at'], format_str=DEFAULT_DATETIME_FORMAT)
 
-    copy_results['Trades Average Gain'] = f"{safe_format(copy_results['average_trade_gain'], string_format)} {report.trading_symbol} {copy_results['trades_average_gain_percentage']:.2f}%"
-    copy_results['Trades Average Loss'] = f"{safe_format(copy_results['average_trade_loss'], string_format)} {report.trading_symbol} {copy_results['trades_average_loss_percentage']:.2f}%"
+    copy_results['Trades Average Gain'] = f"{safe_format(copy_results['average_trade_gain'], string_format)} {report.trading_symbol} {copy_results['average_trade_gain_percentage']:.2f}%"
+    copy_results['Trades Average Loss'] = f"{safe_format(copy_results['average_trade_loss'], string_format)} {report.trading_symbol} {copy_results['average_trade_loss_percentage']:.2f}%"
     copy_results['Average Trade Duration'] = f"{copy_results['average_trade_duration']:.2f} hours"
     copy_results['Number of Trades'] = f"{copy_results['number_of_trades']}"
     copy_results['Win Rate'] = f"{copy_results['win_rate']:.2f}%"

investing_algorithm_framework/__init__.py

@@ -6,7 +6,7 @@
 
 from investing_algorithm_framework.domain import OperationalException, \
     Position, PositionSize, TimeUnit, StrategyProfile, Trade, \
-    DataSource, OrderSide, StopLossRule, TakeProfitRule, Order, \
+    DataSource, DataType, OrderSide, StopLossRule, TakeProfitRule, Order, \
     INDEX_DATETIME
 from .context import Context
 
@@ -156,6 +156,32 @@ def __init__(
                 f"Interval not set for strategy instance {self.strategy_id}"
             )
 
+        # Check if scheduling interval is faster than the smallest
+        # OHLCV data source timeframe
+        ohlcv_timeframes = [
+            ds.time_frame.amount_of_minutes
+            for ds in self.data_sources
+            if ds.time_frame is not None
+            and DataType.OHLCV.equals(ds.data_type)
+        ]
+
+        if ohlcv_timeframes:
+            scheduling_interval = \
+                self.time_unit.amount_of_minutes * self.interval
+            smallest_timeframe = min(ohlcv_timeframes)
+
+            if scheduling_interval < smallest_timeframe:
+                raise OperationalException(
+                    f"Strategy '{self.strategy_id}' scheduling interval "
+                    f"({self.interval} {self.time_unit.value.lower()}"
+                    f"{'s' if self.interval > 1 else ''}"
+                    f" = {scheduling_interval} min) is faster than "
+                    f"the smallest OHLCV data source timeframe "
+                    f"({smallest_timeframe} min). The strategy would "
+                    f"run without new data. Increase the scheduling "
+                    f"interval or use a smaller data timeframe."
+                )
+
         # Initialize stop_losses as a new list per instance
         if stop_losses is not None:
             self.stop_losses = list(stop_losses)

investing_algorithm_framework/app/app.py

@@ -10,9 +10,10 @@
     SQLOrderMetadataRepository
 from .services import AzureBlobStorageStateHandler, AWSS3StorageStateHandler, \
     BacktestService
-from .data_providers import CSVOHLCVDataProvider, get_default_data_providers, \
+from .data_providers import CSVOHLCVDataProvider, \
+    CSVTickerDataProvider, get_default_data_providers, \
     get_default_ohlcv_data_providers, CCXTOHLCVDataProvider, \
-    PandasOHLCVDataProvider
+    CCXTTickerDataProvider, PandasOHLCVDataProvider
 from .order_executors import CCXTOrderExecutor, BacktestOrderExecutor
 from .portfolio_providers import CCXTPortfolioProvider
 
@@ -40,12 +41,14 @@
     "SQLTradeStopLossRepository",
     "SQLOrderMetadataRepository",
     "CSVOHLCVDataProvider",
+    "CSVTickerDataProvider",
     "CCXTOrderExecutor",
     "CCXTPortfolioProvider",
     "get_default_data_providers",
     "get_default_ohlcv_data_providers",
     "AWSS3StorageStateHandler",
     "CCXTOHLCVDataProvider",
+    "CCXTTickerDataProvider",
     "BacktestOrderExecutor",
     "PandasOHLCVDataProvider",
     "BacktestService",