Refactor order check interval

Author: MDUYN

examples/backtest/run_backtest.py

@@ -30,6 +30,5 @@
         algorithm=algorithm,
         start_date=start_date,
         end_date=end_date,
-        pending_order_check_interval="2h",
     )
     pretty_print_backtest(backtest_report)

examples/test.py

@@ -0,0 +1,23 @@
+import requests
+
+if __name__ == "__main__":
+    # Endpoint for Treasury Yield Curve Rates API
+    url = "https://api.fiscaldata.treasury.gov/services/api/fiscal_service/v2/accounting/od/avg_interest_rates?filter=record_date:gte:2024-01-01"
+
+    # Make a GET request to the API
+    response = requests.get(url)
+
+    if response.status_code == 200:
+        # Extract risk-free rate from API response (e.g., 10-year Treasury yield)
+        treasury_yield_data = response.json()
+        entries = treasury_yield_data["data"]
+        for entry in entries:
+            print(entry)
+        print(entries[-1])
+        print(entries[-1]["avg_interest_rate_amt"])
+        # print(treasury_yield_data)
+        # ten_year_yield = treasury_yield_data["data"][0]["value"]
+        # risk_free_rate = ten_year_yield / 100  # Convert percentage to decimal
+        # print("10-Year Treasury Yield (Risk-Free Rate):", risk_free_rate)
+    else:
+        print("Failed to retrieve Treasury yield data. Status code:", response.status_code)

investing_algorithm_framework/app/app.py

@@ -239,8 +239,8 @@ def _initialize_app_for_backtest(
         self,
         backtest_start_date,
         backtest_end_date,
-        pending_order_check_interval,
         market_data_sources,
+        pending_order_check_interval=None,
     ) -> None:
         """
         Initialize the app for backtesting by setting the configuration
@@ -261,9 +261,11 @@ def _initialize_app_for_backtest(
         configuration_service.config[BACKTESTING_START_DATE] = \
             backtest_start_date
         configuration_service.config[BACKTESTING_END_DATE] = backtest_end_date
-        configuration_service.config[
-            BACKTESTING_PENDING_ORDER_CHECK_INTERVAL
-        ] = pending_order_check_interval
+
+        if pending_order_check_interval is not None:
+            configuration_service.config[
+                BACKTESTING_PENDING_ORDER_CHECK_INTERVAL
+            ] = pending_order_check_interval
 
         # Create resource dir if not exits
         self._create_resource_directory_if_not_exists()
@@ -498,7 +500,6 @@ def run(
             while self.algorithm.running:
                 if number_of_iterations_since_last_orders_check == 30:
                     logger.info("Checking pending orders")
-                    self.algorithm.check_pending_orders()
                     number_of_iterations_since_last_orders_check = 1
 
                 self.algorithm.run_jobs()
@@ -675,7 +676,7 @@ def run_backtest(
         algorithm,
         start_date,
         end_date,
-        pending_order_check_interval='1h',
+        pending_order_check_interval=None,
         output_directory=None
     ) -> BacktestReport:
         """
@@ -740,7 +741,7 @@ def run_backtests(
         start_date: Optional[datetime] = None,
         end_date: Optional[datetime] = None,
         date_ranges: Optional[Tuple[datetime, datetime]] = None,
-        pending_order_check_interval='1h',
+        pending_order_check_interval=None,
         output_directory=None
     ) -> List[BacktestReport]:
         """

investing_algorithm_framework/app/strategy.py

@@ -60,6 +60,10 @@ def __init__(
             )
 
     def run_strategy(self, algorithm, market_data):
+        # Check pending orders before running the strategy
+        algorithm.check_pending_orders()
+
+        # Run user defined strategy
         self.apply_strategy(algorithm=algorithm, market_data=market_data)
 
     def apply_strategy(self, algorithm, market_data):

investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -237,24 +237,31 @@ class CCXTTickerBacktestMarketDataSource(
     backtest_data_directory = None
     backtest_data_start_date = None
     backtest_data_end_date = None
-    timeframe = "15m"
+    timeframe = None
     column_names = ["Datetime", "Open", "High", "Low", "Close", "Volume"]
 
     def __init__(
         self,
         identifier,
         market,
         symbol=None,
-        timeframe="15m",
+        timeframe=None,
     ):
         super().__init__(
             identifier=identifier,
             market=market,
             symbol=symbol,
         )
+
         if timeframe is not None:
             self.timeframe = timeframe
 
+        if self.timeframe is None:
+            raise OperationalException(
+                "timeframe should be set for "
+                "CCXTTickerBacktestMarketDataSource"
+            )
+
     def prepare_data(
         self,
         config,

investing_algorithm_framework/services/backtesting/backtest_service.py

@@ -150,7 +150,7 @@ def run_backtest_for_profile(self, algorithm, strategy, index_date):
                     market_data[data_id] = \
                         self._market_data_source_service.get_data(data_id)
 
-        self._order_service.check_pending_orders()
+        # self._order_service.check_pending_orders()
         strategy.run_strategy(algorithm=algorithm, market_data=market_data)
 
     def generate_schedule(

investing_algorithm_framework/services/market_data_source_service/backtest_market_data_source_service.py

@@ -109,7 +109,12 @@ def get_order_book(self, symbol, market):
         )
 
     def get_ohlcv(
-        self, symbol, from_timestamp, market, time_frame, to_timestamp=None
+        self,
+        symbol,
+        from_timestamp,
+        time_frame=None,
+        market=None,
+        to_timestamp=None
     ):
         market_data_source = self.get_ohlcv_market_data_source(
             symbol=symbol, market=market, time_frame=time_frame

investing_algorithm_framework/services/market_data_source_service/market_data_source_service.py

@@ -60,8 +60,8 @@ def get_order_book(self, symbol, market=None):
     def get_ohlcv(
         self,
         symbol,
-        time_frame,
         from_timestamp,
+        time_frame,
         market=None,
         to_timestamp=None
     ):
@@ -110,24 +110,36 @@ def get_ticker_market_data_source(self, symbol, market=None):
 
         return None
 
-    def get_ohlcv_market_data_source(self, symbol, time_frame, market=None):
+    def get_ohlcv_market_data_source(
+        self, symbol, time_frame=None, market=None
+    ):
 
         if self.market_data_sources is not None:
+
             for market_data_source in self._market_data_sources:
                 if isinstance(market_data_source, OHLCVMarketDataSource):
 
-                    if market is not None:
+                    if market is not None and time_frame is not None:
 
                         if market_data_source.market.lower() == market.lower()\
                                 and market_data_source.symbol.lower() \
                                 == symbol.lower() and \
                                 market_data_source.timeframe == time_frame:
                             return market_data_source
-                    else:
+                    elif market is not None:
+                        if market_data_source.market.lower() == market.lower()\
+                                and market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
+                    elif time_frame is not None:
                         if market_data_source.symbol.lower() \
                                 == symbol.lower() and \
                                 market_data_source.timeframe == time_frame:
                             return market_data_source
+                    else:
+                        if market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
 
         return None
 

investing_algorithm_framework/services/order_service/order_backtest_service.py

@@ -67,13 +67,18 @@ def check_pending_orders(self):
                      f"/{order.trading_symbol.upper()}"
             position = self.position_repository.get(order.position_id)
             portfolio = self.portfolio_repository.get(position.portfolio_id)
+            timeframe = None
+
+            if BACKTESTING_PENDING_ORDER_CHECK_INTERVAL in \
+                    self.configuration_service.config:
+                timeframe = self.configuration_service\
+                    .config[BACKTESTING_PENDING_ORDER_CHECK_INTERVAL]
 
             if not self._market_data_source_service\
                     .is_ohlcv_data_source_present(
                         symbol=symbol,
                         market=portfolio.market,
-                        time_frame=self.configuration_service
-                        .config[BACKTESTING_PENDING_ORDER_CHECK_INTERVAL]
+                        time_frame=timeframe
                     ):
                 raise OperationalException(
                     f"OHLCV data source not found for {symbol} "
@@ -90,12 +95,11 @@ def check_pending_orders(self):
             df = self._market_data_source_service.get_ohlcv(
                 symbol=symbol,
                 market=portfolio.market,
+                time_frame=timeframe,
                 to_timestamp=self.configuration_service.config.get(
                     BACKTESTING_INDEX_DATETIME
                 ),
                 from_timestamp=order.get_created_at(),
-                time_frame=self.configuration_service
-                .config[BACKTESTING_PENDING_ORDER_CHECK_INTERVAL]
             )
 
             if self.has_executed(order, df):