Release: merge dev into main

docusaurus/docusaurus.config.js

@@ -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/sidebar.js

@@ -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',
                 },
             ],
         },

investing_algorithm_framework/__init__.py

@@ -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",

investing_algorithm_framework/app/app.py

@@ -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(

investing_algorithm_framework/app/reporting/tables/trade_metrics_table.py

@@ -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/app/strategy.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/infrastructure/__init__.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",

investing_algorithm_framework/infrastructure/data_providers/__init__.py

@@ -1,5 +1,5 @@
-from .ccxt import CCXTOHLCVDataProvider
-from .csv import CSVOHLCVDataProvider
+from .ccxt import CCXTOHLCVDataProvider, CCXTTickerDataProvider
+from .csv import CSVOHLCVDataProvider, CSVTickerDataProvider
 from .pandas import PandasOHLCVDataProvider
 
 
@@ -12,6 +12,7 @@ def get_default_data_providers():
     """
     return [
         CCXTOHLCVDataProvider(),
+        CCXTTickerDataProvider(),
     ]
 
 
@@ -29,7 +30,9 @@ def get_default_ohlcv_data_providers():
 
 __all__ = [
     'CSVOHLCVDataProvider',
+    'CSVTickerDataProvider',
     'CCXTOHLCVDataProvider',
+    'CCXTTickerDataProvider',
     'get_default_data_providers',
     'get_default_ohlcv_data_providers',
     'PandasOHLCVDataProvider',

investing_algorithm_framework/infrastructure/data_providers/ccxt.py

@@ -1256,3 +1256,162 @@ def get_data_source_file_path(self) -> Union[str, None]:
                 locally, otherwise None.
         """
         return self.data_file_path
+
+
+class CCXTTickerDataProvider(DataProvider):
+    """
+    Data provider for ticker data using the CCXT library.
+
+    Fetches real-time ticker data (bid, ask, last price, volume, etc.)
+    for a given symbol and market via CCXT's fetch_ticker API.
+
+    In backtest mode, ticker data is derived from OHLCV data
+    (handled by the DataProviderService fallback), so this provider
+    only serves live/non-backtest use cases.
+    """
+    data_type = DataType.TICKER
+    data_provider_identifier = "ccxt_ticker_data_provider"
+
+    def __init__(
+        self,
+        symbol: str = None,
+        market: str = None,
+        data_provider_identifier: str = None,
+        config=None
+    ):
+        if data_provider_identifier is None:
+            data_provider_identifier = self.data_provider_identifier
+
+        super().__init__(
+            symbol=symbol,
+            market=market,
+            data_provider_identifier=data_provider_identifier,
+            config=config
+        )
+
+    def has_data(
+        self,
+        data_source: DataSource,
+        start_date: datetime = None,
+        end_date: datetime = None,
+    ) -> bool:
+        data_type = data_source.data_type
+        market = data_source.market
+        symbol = data_source.symbol
+
+        if not DataType.TICKER.equals(data_type):
+            return False
+
+        if market is None:
+            market = "binance"
+
+        try:
+            market = market.lower()
+            exchange_class = getattr(ccxt, market)
+            exchange = exchange_class()
+            symbols = list(exchange.load_markets().keys())
+            return symbol in symbols
+        except ccxt.NetworkError:
+            return False
+        except Exception as e:
+            logger.error(e)
+            return False
+
+    def prepare_backtest_data(
+        self,
+        backtest_start_date,
+        backtest_end_date,
+        fill_missing_data: bool = False,
+        show_progress: bool = False,
+    ) -> None:
+        # Ticker backtest data is derived from OHLCV by the
+        # DataProviderService fallback — nothing to prepare here.
+        pass
+
+    def get_backtest_data(
+        self,
+        backtest_index_date: datetime,
+        backtest_start_date: datetime = None,
+        backtest_end_date: datetime = None,
+        data_source: DataSource = None,
+    ):
+        # Backtest ticker data is handled by DataProviderService
+        # falling back to OHLCV data.
+        return None
+
+    def get_data(
+        self,
+        date: datetime = None,
+        start_date: datetime = None,
+        end_date: datetime = None,
+        save: bool = False,
+    ) -> dict:
+        if self.market is None:
+            raise OperationalException(
+                "Market is not set. Please set the market "
+                "before calling get_data."
+            )
+
+        if self.symbol is None:
+            raise OperationalException(
+                "Symbol is not set. Please set the symbol "
+                "before calling get_data."
+            )
+
+        market_credential = self.get_credential(self.market)
+        exchange = CCXTOHLCVDataProvider.initialize_exchange(
+            self.market, market_credential
+        )
+        ticker = exchange.fetch_ticker(self.symbol)
+
+        return {
+            "symbol": self.symbol,
+            "market": self.market,
+            "datetime": ticker.get("datetime"),
+            "high": ticker.get("high"),
+            "low": ticker.get("low"),
+            "bid": ticker.get("bid"),
+            "ask": ticker.get("ask"),
+            "open": ticker.get("open"),
+            "close": ticker.get("close"),
+            "last": ticker.get("last"),
+            "volume": ticker.get("baseVolume"),
+        }
+
+    def copy(self, data_source: DataSource) -> "CCXTTickerDataProvider":
+        if data_source.market is None or data_source.market == "":
+            raise OperationalException(
+                "DataSource has no `market` attribute specified. "
+                "Please specify the market attribute in the data source "
+                "specification before using the CCXT ticker data provider."
+            )
+
+        if data_source.symbol is None or data_source.symbol == "":
+            raise OperationalException(
+                "DataSource has no `symbol` attribute specified. "
+                "Please specify the symbol attribute in the data source "
+                "specification before using the CCXT ticker data provider."
+            )
+
+        return CCXTTickerDataProvider(
+            symbol=data_source.symbol,
+            market=data_source.market,
+            data_provider_identifier=data_source.data_provider_identifier,
+            config=self.config,
+        )
+
+    def get_number_of_data_points(
+        self, start_date: datetime, end_date: datetime
+    ) -> int:
+        # Ticker data is a single point-in-time snapshot
+        return 1
+
+    def get_missing_data_dates(
+        self, start_date: datetime, end_date: datetime
+    ) -> list:
+        # No stored data to have gaps in
+        return []
+
+    def get_data_source_file_path(self):
+        # Ticker data is not file-based
+        return None