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Merge pull request #398 from coding-kitties/feature/warn-scheduling-interval-faster-than-data-timeframe-396
feat: Warn or prevent scheduling interval faster than data timeframe (#396)
2 parents be80c86 + c052ced commit cbfd597

3 files changed

Lines changed: 199 additions & 3 deletions

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‎investing_algorithm_framework/app/strategy.py‎

Lines changed: 27 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -6,7 +6,7 @@
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from investing_algorithm_framework.domain import OperationalException, \
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Position, PositionSize, TimeUnit, StrategyProfile, Trade, \
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DataSource, OrderSide, StopLossRule, TakeProfitRule, Order, \
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DataSource, DataType, OrderSide, StopLossRule, TakeProfitRule, Order, \
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INDEX_DATETIME
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from .context import Context
1212

@@ -156,6 +156,32 @@ def __init__(
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f"Interval not set for strategy instance {self.strategy_id}"
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)
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# Check if scheduling interval is faster than the smallest
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# OHLCV data source timeframe
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ohlcv_timeframes = [
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ds.time_frame.amount_of_minutes
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for ds in self.data_sources
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if ds.time_frame is not None
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and DataType.OHLCV.equals(ds.data_type)
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]
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if ohlcv_timeframes:
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scheduling_interval = \
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self.time_unit.amount_of_minutes * self.interval
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smallest_timeframe = min(ohlcv_timeframes)
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if scheduling_interval < smallest_timeframe:
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raise OperationalException(
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f"Strategy '{self.strategy_id}' scheduling interval "
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f"({self.interval} {self.time_unit.value.lower()}"
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f"{'s' if self.interval > 1 else ''}"
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f" = {scheduling_interval} min) is faster than "
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f"the smallest OHLCV data source timeframe "
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f"({smallest_timeframe} min). The strategy would "
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f"run without new data. Increase the scheduling "
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f"interval or use a smaller data timeframe."
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)
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159185
# Initialize stop_losses as a new list per instance
160186
if stop_losses is not None:
161187
self.stop_losses = list(stop_losses)

‎tests/app/test_data_completeness.py‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -10,7 +10,7 @@
1010
from tests.resources import TestBase
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1212
class TestStrategy(TradingStrategy):
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time_unit = "MINUTE"
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time_unit = "DAY"
1414
interval = 1
1515
data_sources = [
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DataSource(
@@ -35,7 +35,7 @@ def generate_buy_signals(
3535

3636

3737
class TestStrategyIncompleteData(TradingStrategy):
38-
time_unit = "MINUTE"
38+
time_unit = "DAY"
3939
interval = 1
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data_sources = [
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DataSource(

‎tests/app/test_strategy_interval_validation.py‎

Lines changed: 170 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,170 @@
1+
"""
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Tests for the scheduling interval vs OHLCV data timeframe validation
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added in TradingStrategy.__init__ (issue #396).
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The validation raises OperationalException when the strategy's scheduling
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interval (time_unit.amount_of_minutes * interval) is strictly less than
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the smallest OHLCV data source timeframe.
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"""
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from unittest import TestCase
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from investing_algorithm_framework.app.strategy import TradingStrategy
12+
from investing_algorithm_framework.domain import (
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OperationalException, TimeUnit, DataType, TimeFrame,
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)
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from investing_algorithm_framework.domain.models.data.data_source import (
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DataSource,
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)
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class _ConcreteStrategy(TradingStrategy):
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"""Minimal concrete subclass for testing __init__ validation."""
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def run_strategy(self, context, data):
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pass
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class TestStrategyIntervalValidation(TestCase):
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# ------------------------------------------------------------------
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# 1. Should raise when interval is faster than the OHLCV timeframe
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# ------------------------------------------------------------------
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def test_raises_when_interval_faster_than_ohlcv_timeframe(self):
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"""1 minute interval < 60 minute (1h) OHLCV → must raise."""
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with self.assertRaises(OperationalException):
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_ConcreteStrategy(
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time_unit=TimeUnit.MINUTE,
37+
interval=1,
38+
data_sources=[
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DataSource(
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symbol="BTC/EUR",
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data_type=DataType.OHLCV,
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time_frame=TimeFrame.ONE_HOUR,
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market="BITVAVO",
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warmup_window=100,
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)
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],
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)
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# ------------------------------------------------------------------
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# 2. No error when interval exactly matches the OHLCV timeframe
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# ------------------------------------------------------------------
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def test_no_error_when_interval_matches_ohlcv_timeframe(self):
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"""1 hour interval == 60 min == 1h OHLCV → should NOT raise."""
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strategy = _ConcreteStrategy(
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time_unit=TimeUnit.HOUR,
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interval=1,
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data_sources=[
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DataSource(
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symbol="BTC/EUR",
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data_type=DataType.OHLCV,
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time_frame=TimeFrame.ONE_HOUR,
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market="BITVAVO",
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warmup_window=100,
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)
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],
66+
)
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self.assertIsNotNone(strategy)
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# ------------------------------------------------------------------
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# 3. No error when interval is slower than the OHLCV timeframe
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# ------------------------------------------------------------------
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def test_no_error_when_interval_slower_than_ohlcv_timeframe(self):
73+
"""1 day interval (1440 min) > 60 min (1h) OHLCV → should NOT raise."""
74+
strategy = _ConcreteStrategy(
75+
time_unit=TimeUnit.DAY,
76+
interval=1,
77+
data_sources=[
78+
DataSource(
79+
symbol="BTC/EUR",
80+
data_type=DataType.OHLCV,
81+
time_frame=TimeFrame.ONE_HOUR,
82+
market="BITVAVO",
83+
warmup_window=100,
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)
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],
86+
)
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self.assertIsNotNone(strategy)
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# ------------------------------------------------------------------
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# 4. Validation uses the *smallest* OHLCV timeframe among sources
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# ------------------------------------------------------------------
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def test_uses_smallest_ohlcv_timeframe_for_validation(self):
93+
"""5 min interval < 15 min (smallest OHLCV) → must raise."""
94+
with self.assertRaises(OperationalException):
95+
_ConcreteStrategy(
96+
time_unit=TimeUnit.MINUTE,
97+
interval=5,
98+
data_sources=[
99+
DataSource(
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symbol="BTC/EUR",
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data_type=DataType.OHLCV,
102+
time_frame=TimeFrame.ONE_HOUR,
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market="BITVAVO",
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warmup_window=100,
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),
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DataSource(
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symbol="ETH/EUR",
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data_type=DataType.OHLCV,
109+
time_frame=TimeFrame.FIFTEEN_MINUTE,
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market="BITVAVO",
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warmup_window=100,
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),
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],
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)
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# ------------------------------------------------------------------
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# 5. No validation when there are no OHLCV data sources at all
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# ------------------------------------------------------------------
119+
def test_no_validation_when_no_ohlcv_data_sources(self):
120+
"""No OHLCV sources → nothing to compare → should NOT raise."""
121+
strategy = _ConcreteStrategy(
122+
time_unit=TimeUnit.MINUTE,
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interval=1,
124+
data_sources=[],
125+
)
126+
self.assertIsNotNone(strategy)
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128+
# ------------------------------------------------------------------
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# 6. Non-OHLCV sources (no time_frame) are skipped
130+
# ------------------------------------------------------------------
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def test_skips_data_sources_without_timeframe(self):
132+
"""Ticker source has no time_frame → should NOT raise."""
133+
strategy = _ConcreteStrategy(
134+
time_unit=TimeUnit.MINUTE,
135+
interval=1,
136+
data_sources=[
137+
DataSource(
138+
symbol="BTC/EUR",
139+
data_type=DataType.TICKER,
140+
market="BITVAVO",
141+
)
142+
],
143+
)
144+
self.assertIsNotNone(strategy)
145+
146+
# ------------------------------------------------------------------
147+
# 7. Error message is descriptive
148+
# ------------------------------------------------------------------
149+
def test_raises_with_descriptive_error_message(self):
150+
"""Exception message should contain interval info AND timeframe info."""
151+
with self.assertRaises(OperationalException) as cm:
152+
_ConcreteStrategy(
153+
time_unit=TimeUnit.MINUTE,
154+
interval=1,
155+
data_sources=[
156+
DataSource(
157+
symbol="BTC/EUR",
158+
data_type=DataType.OHLCV,
159+
time_frame=TimeFrame.ONE_HOUR,
160+
market="BITVAVO",
161+
warmup_window=100,
162+
)
163+
],
164+
)
165+
166+
msg = str(cm.exception)
167+
# Verify scheduling interval info is present
168+
self.assertIn("1 min", msg)
169+
# Verify OHLCV timeframe info is present
170+
self.assertIn("60 min", msg)

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