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MDUYN
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Apr 24, 2026
MDUYN
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- ddcfe50 feat: add Currency/FX conversion support (Feature: Currency/FX Conversion Support #456)
- 0c01673 Merge pull request feat: Blotter System for Trade Documentation and Order Book Management #474 from coding-kitties/feature/blotter-system
- f7a4339 feat: fill-time slippage/commission, partial fills, volume impact model
- 44fd90a refactor: remove BacktestOrderExecutor, route SL/TP through blotter, fix cancel_order - Delete dead BacktestOrderExecutor (was never called) - Route TradeOrderEvaluator SL/TP orders through blotter via _create_order() - Pass blotter+context to TradeOrderEvaluator in App and BacktestService - Fix cancel_order tests to match delegate-to-order_service pattern - Fix OrderBacktestService.cancel_order pre-existing bug - Clean up commented BacktestOrderExecutor refs in test_eventloop - 1423 passed, 42 skipped
- 6994680 refactor: route all orders through Blotter, add DefaultBlotter, update docs
- 27c99a2 feat: add Blotter system for trade documentation and order book management
- c5fdea2 Merge pull request feat: add CSV, JSON, and Parquet URL data providers #472 from coding-kitties/feature/external-data-providers
- b248180 fix: update DataSource tests for new URL provider fields
- 2b635df feat: add CSV, JSON, and Parquet URL data providers
- 6d564f3 Merge pull request feat: add Yahoo Finance OHLCV data provider #470 from coding-kitties/feature/yahoo-finance-data-provider
- 1dc5026 Use 2% as default risk-free rate fallback
- 15aaf2a Return default 4% risk-free rate when yfinance unavailable
- dd24e4f Make yfinance import lazy in risk_free_rate.py
- c4a9c6f Make Yahoo, Alpha Vantage, and Polygon data providers optional extras
- 33ae330 Fix poetry.lock: cap Python <4.0 to resolve polygon-api-client dependency
- 0b2b939 Fix flake8 errors, docstrings, and add data provider docs
- 0521db7 refactor: extract OHLCVDataProviderBase to eliminate duplication
- 45656c4 feat: add Alpha Vantage and Polygon.io OHLCV data providers (feat: add built-in data providers for common OHLCV sources #469)
- 09aef25 feat: add Yahoo Finance OHLCV data provider (feat: add built-in data providers for common OHLCV sources #469)
- Add YahooOHLCVDataProvider class for stocks, ETFs, indices, forex, and crypto - Support market='YAHOO' in DataSource to auto-select Yahoo provider - Implement has_data, get_data, prepare_backtest_data, get_backtest_data, copy - Map framework TimeFrame values to yfinance intervals - Register as default data provider alongside CCXT - Add comprehensive unit tests with mocked yfinance
- Add AlphaVantageOHLCVDataProvider (market='ALPHA_VANTAGE') with API key via MarketCredential - Add PolygonOHLCVDataProvider (market='POLYGON') with API key via MarketCredential - Both follow same pattern as Yahoo/CCXT: auto-selected based on market value - Add alpha_vantage and polygon-api-client dependencies - Register both as default data providers - Add comprehensive unit tests (32 tests with mocked external calls)
Introduce an intermediate base class OHLCVDataProviderBase that handles all shared OHLCV data provider logic: - Constructor, copy(), get_data(), prepare_backtest_data(), get_backtest_data() - CSV storage helpers, date range resolution, number of data points - Fixes bug: create_start_date was missing from Yahoo/AV/Polygon providers Concrete providers now only implement: - market_name, timeframe_map (class attributes) - _download_ohlcv() (API-specific download) - _validate_symbol() (optional, Yahoo only) Reduces Yahoo/AlphaVantage/Polygon from ~1,851 lines to ~1,033 total (44% reduction). CCXT intentionally excluded (different pattern: exchange-based detection, pagination, ticker support).
- Remove unused imports (F401) in alpha_vantage, polygon, yahoo, ohlcv_base - Fix CSVOHLCVDataProvider __init__ docstring placement - Fix PandasOHLCVDataProvider docstring: 'CSV file' -> 'pandas DataFrame' - Add custom data providers documentation - Update data sources docs with market info and links
- Move yfinance, alpha_vantage, polygon-api-client from required to optional deps - Add poetry extras: [yahoo], [alpha_vantage], [polygon], [all] - Use lazy imports with placeholder classes that raise helpful ImportError - Only include available providers in get_default_data_providers() - Update installation docs with extras install commands - Add install hints to each provider section in data-sources docs
The metrics module imported yfinance at module level, which broke the entire framework when yfinance was not installed (now optional). Move import inside get_risk_free_rate_us() with graceful fallback.
Instead of returning None, fall back to a 4% default rate so metrics like Sortino/Sharpe ratios work without yfinance installed.
…a-provider feat: add Yahoo Finance OHLCV data provider
- Add BaseURLDataProvider with shared caching, refresh intervals, date parsing, and pre/post-processing logic - Add CSVURLDataProvider, JSONURLDataProvider, ParquetURLDataProvider - Add DataSource.from_csv(), from_json(), from_parquet() factory methods - Add context.fetch_csv(), fetch_json(), fetch_parquet() on-demand methods - Fix cache path resolution for cloud deployments (AWS Lambda / Azure Functions) - Add 43 tests covering all three providers - Add external-data.md documentation page - Update README with external data capabilities Closes #458
…viders feat: add CSV, JSON, and Parquet URL data providers
…ement - Add Blotter ABC with place_order, cancel_order, batch_order, and transaction recording - Add SimulationBlotter with configurable slippage and commission models - Add SlippageModel (NoSlippage, PercentageSlippage, FixedSlippage) - Add CommissionModel (NoCommission, PercentageCommission, FixedCommission) - Add Transaction data class for trade documentation - Integrate blotter into App (set_blotter/get_blotter) and Context (batch_order/get_transactions) - Add 43 unit tests Closes #457
…e docs - Add DefaultBlotter as pass-through blotter for live trading - Refactor SimulationBlotter to call order_service.create() directly - Route all Context order methods through the Blotter - Refactor create_limit_buy/sell_order to delegate to create_limit_order - Remove conditional blotter checks (always set via App) - Auto-set DefaultBlotter (live) or SimulationBlotter (backtest) - Remove unused OrderType import (flake8) - Add Blotter documentation page (Advanced Concepts) - Update sidebar navigation - Update tests (48 passing)
…fix cancel_order - Delete dead BacktestOrderExecutor (was never called) - Route TradeOrderEvaluator SL/TP orders through blotter via _create_order() - Pass blotter+context to TradeOrderEvaluator in App and BacktestService - Fix cancel_order tests to match delegate-to-order_service pattern - Fix OrderBacktestService.cancel_order pre-existing bug - Clean up commented BacktestOrderExecutor refs in test_eventloop - 1423 passed, 42 skipped
- Move slippage/commission from order creation to fill time in SimulationBlotter, eliminating double-counting - Add VolumeImpactSlippage model (power-law market impact) - Add FillModel ABC with FullFill and VolumeBasedFill for partial fill simulation - Refactor BacktestTradeOrderEvaluator to delegate to blotter methods (get_fill_price, get_fill_commission, get_fill_amount, on_fill) with TradingCost fallback - Record transactions at fill time via blotter.on_fill() - Clean test_eventloop.py: remove ~500 lines of commented-out code - Update test_blotter.py for new fill-time architecture
feat: Blotter System for Trade Documentation and Order Book Management
- Add FXRateProvider ABC and StaticFXRateProvider implementation - Wire FX rate provider and base currency into App and Context - Add context.get_fx_rate(), convert_to_base_currency(), get_portfolio_value() - Auto-convert multi-market portfolio values to base currency - StaticFXRateProvider supports inverse rates and case-insensitive lookups - Add 17 unit tests for FX models - Add docs page for FX conversion (Advanced Concepts)
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