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Feature/refactor poetry package (#249)
* Fix flake8 warnings * Fix tests * Add setuptools to test sequence * Add setuptools to test sequence * Add setuptools to test sequence * Add setuptools to test sequence * Add setuptools to test sequence * Add distutils step * Add distutils step * Add distutils step * Remove setup tools * Remove python 3.12
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‎.github/workflows/build.yml‎

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‎.github/workflows/publish.yml‎

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name: Build and publish python package
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on:
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release:
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types: [ published ]
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jobs:
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publish-service-client-package:
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runs-on: ubuntu-latest
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permissions:
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contents: write
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steps:
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- name: Publish PyPi package
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uses: code-specialist/pypi-poetry-publish@v1
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with:
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ACCESS_TOKEN: ${{ secrets.REPOSITORY_ACCESS_TOKEN }}
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PUBLISH_REGISTRY_PASSWORD: ${{ secrets.PYPI_TOKEN }}
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BRANCH: "main"
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POETRY_VERSION: "1.7.1"
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POETRY_CORE_VERSION: "1.8.1"

‎.github/workflows/test.yml‎

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# This workflow will install Python dependencies, run tests and lint
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# with a single version of Python
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name: Tests
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name: test
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on:
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push:
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branches:
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- '*' # matches every branch that doesn't contain a '/'
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- '*/*' # matches every branch containing a single '/'
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- '**' # matches every branch
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pull_request:
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branches:
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- '*' # matches every branch that doesn't contain a '/'
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- '*/*' # matches every branch containing a single '/'
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- '**' # matches every branch
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jobs:
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build:
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pull_request:
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branches:
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- '*' # matches every branch that doesn't contain a '/'
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- '*/*' # matches every branch containing a single '/'
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- '**' # matches every branch
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jobs:
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linting:
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v2
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- name: Set up Python 3.9
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uses: actions/setup-python@v2
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with:
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python-version: 3.9
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- name: Install dependencies
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run: |
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python -m pip install --upgrade pip
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pip install flake8
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if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
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if [ -f requirements-test.txt ]; then pip install -r requirements-test.txt; fi
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- name: Lint with flake8
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run: |
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# stop the build if there are Python syntax errors or undefined names
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flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
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# exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
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flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
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- name: Test
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run: |
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python -m unittest discover -s tests/
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#----------------------------------------------
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# check-out repo and set-up python
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#----------------------------------------------
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- uses: actions/checkout@v4
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- uses: actions/setup-python@v5
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#----------------------------------------------
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# load pip cache if cache exists
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#----------------------------------------------
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- uses: actions/cache@v3
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with:
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path: ~/.cache/pip
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key: ${{ runner.os }}-pip
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restore-keys: ${{ runner.os }}-pip
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#----------------------------------------------
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# install and run linters
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#----------------------------------------------
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- run: python -m pip install black flake8 isort
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- run: |
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flake8 ./investing_algorithm_framework
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test:
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needs: linting
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strategy:
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fail-fast: true
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matrix:
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os: [ "ubuntu-latest", "macos-latest" ]
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python-version: [ "3.8", "3.9", "3.10", "3.11" ]
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runs-on: ${{ matrix.os }}
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steps:
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#----------------------------------------------
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# check-out repo and set-up python
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#----------------------------------------------
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- name: Check out repository
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uses: actions/checkout@v4
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- name: Set up python ${{ matrix.python-version }}
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id: setup-python
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uses: actions/setup-python@v5
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with:
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python-version: ${{ matrix.python-version }}
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#----------------------------------------------
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# ----- install distutils if needed -----
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#----------------------------------------------
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- name: Install distutils on Ubuntu
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if: matrix.os == 'ubuntu-latest'
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run: |
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sudo add-apt-repository ppa:deadsnakes/ppa
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sudo apt-get update
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sudo apt install python${{ matrix.python-version }}-distutils
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#----------------------------------------------
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# ----- install & configure poetry -----
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#----------------------------------------------
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- name: Install Poetry
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uses: snok/install-poetry@v1
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with:
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virtualenvs-create: true
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virtualenvs-in-project: true
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#----------------------------------------------
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# load cached venv if cache exists
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#----------------------------------------------
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- name: Load cached venv
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id: cached-poetry-dependencies
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uses: actions/cache@v3
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with:
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path: .venv
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key: venv-${{ runner.os }}-${{ steps.setup-python.outputs.python-version }}-${{ hashFiles('**/poetry.lock') }}
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#----------------------------------------------
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# install dependencies if cache does not exist
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#----------------------------------------------
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- name: Install dependencies
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if: steps.cached-poetry-dependencies.outputs.cache-hit != 'true'
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run: |
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poetry install --no-interaction --no-root
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#----------------------------------------------
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# install your root project, if required
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#----------------------------------------------
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- name: Install library
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run: |
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poetry install --no-interaction
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#----------------------------------------------
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# add matrix specifics and run test suite
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#----------------------------------------------
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- name: Run tests
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run: |
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source .venv/bin/activate
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coverage run -m unittest discover -s tests
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# #----------------------------------------------
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# # upload coverage stats
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# #----------------------------------------------
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# - name: Upload coverage
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# uses: codecov/codecov-action@v3
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# with:
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# file: ./coverage.xml
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# fail_ci_if_error: true

‎examples/expirement/__init__.py‎

Whitespace-only changes.

‎examples/expirement/app.py‎

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import pathlib
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from data_sources import bitvavo_btc_eur_ohlcv_2h, bitvavo_dot_eur_ohlcv_2h, \
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bitvavo_dot_eur_ticker, bitvavo_btc_eur_ticker
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from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY
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from strategy import CrossOverStrategy
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app = create_app(
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config={RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()}
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)
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app.add_strategy(CrossOverStrategy)
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app.add_market_data_source(bitvavo_btc_eur_ohlcv_2h)
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app.add_market_data_source(bitvavo_dot_eur_ohlcv_2h)
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app.add_market_data_source(bitvavo_btc_eur_ticker)
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app.add_market_data_source(bitvavo_dot_eur_ticker)

‎examples/expirement/data_sources.py‎

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from investing_algorithm_framework import CCXTOHLCVMarketDataSource, \
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CCXTTickerMarketDataSource
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bitvavo_btc_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
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identifier="BTC/EUR-ohlcv",
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market="BINANCE",
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symbol="BTC/EUR",
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timeframe="2h",
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window_size=200
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)
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bitvavo_dot_eur_ohlcv_2h = CCXTOHLCVMarketDataSource(
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identifier="DOT/EUR-ohlcv",
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market="BINANCE",
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symbol="DOT/EUR",
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timeframe="2h",
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window_size=200
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)
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bitvavo_dot_eur_ticker = CCXTTickerMarketDataSource(
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identifier="DOT/EUR-ticker",
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market="BINANCE",
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symbol="DOT/EUR",
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backtest_timeframe="2h",
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)
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bitvavo_btc_eur_ticker = CCXTTickerMarketDataSource(
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identifier="BTC/EUR-ticker",
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market="BINANCE",
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symbol="BTC/EUR",
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backtest_timeframe="2h",
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)

‎examples/expirement/experiment.py‎

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from datetime import datetime, timedelta
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from investing_algorithm_framework import PortfolioConfiguration, \
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pretty_print_backtest
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from app import app
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# Add a portfolio configuration of 400 euro initial balance
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app.add_portfolio_configuration(
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PortfolioConfiguration(
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market="BINANCE",
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trading_symbol="EUR",
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initial_balance=400,
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)
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)
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if __name__ == "__main__":
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end_date = datetime(2023, 12, 2)
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start_date = end_date - timedelta(days=100)
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experiment_report, backtest_reports = app.experiment(
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start_date=start_date,
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end_date=end_date,
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pending_order_check_interval="2h",
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strategies=[]
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)
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pretty_print_expirement(expirement_report)

‎examples/expirement/production.py‎

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from investing_algorithm_framework import MarketCredential
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from app import app
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# Configure your market credentials here
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bitvavo_market_credential = MarketCredential(
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api_key="",
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secret_key="",
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market="BITVAVO"
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)
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app.add_market_credential(bitvavo_market_credential)
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if __name__ == "__main__":
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app.run()

‎examples/expirement/strategy.py‎

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import tulipy as ti
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from investing_algorithm_framework import TimeUnit, TradingStrategy, \
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Algorithm, OrderSide
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"""
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This strategy is based on the golden cross strategy. It will buy when the
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fast moving average crosses the slow moving average from below. It will sell
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when the fast moving average crosses the slow moving average from above.
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The strategy will also check if the fast moving average is above the trend
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moving average. If it is not above the trend moving average it will not buy.
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It uses tulipy indicators to calculate the metrics. You need to
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install this library in your environment to run this strategy.
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You can find instructions on how to install tulipy here:
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https://tulipindicators.org/ or go directly to the pypi page:
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https://pypi.org/project/tulipy/
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"""
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# Define market data sources
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def is_below_trend(fast_series, slow_series):
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return fast_series[-1] < slow_series[-1]
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def is_above_trend(fast_series, slow_series):
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return fast_series[-1] > slow_series[-1]
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def is_crossover(fast, slow):
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"""
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Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
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With the given date time it will check if the ma_<period_one> is a
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crossover with the ma_<period_two>
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"""
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return fast[-2] <= slow[-2] and fast[-1] > slow[-1]
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def is_crossunder(fast, slow):
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"""
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Expect df to have columns: Date, ma_<period_one>, ma_<period_two>.
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With the given date time it will check if the ma_<period_one> is a
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crossover with the ma_<period_two>
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"""
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return fast[-2] >= slow[-2] and fast[-1] < slow[-1]
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class CrossOverStrategy(TradingStrategy):
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time_unit = TimeUnit.HOUR
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interval = 2
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market_data_sources = [
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"BTC/EUR-ohlcv",
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"DOT/EUR-ohlcv",
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"BTC/EUR-ticker",
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"DOT/EUR-ticker"
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]
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symbols = ["BTC/EUR", "DOT/EUR"]
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def apply_strategy(self, algorithm: Algorithm, market_data):
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for symbol in self.symbols:
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target_symbol = symbol.split('/')[0]
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if algorithm.has_open_orders(target_symbol):
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continue
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df = market_data[f"{symbol}-ohlcv"]
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ticker_data = market_data[f"{symbol}-ticker"]
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fast = ti.sma(df['Close'].to_numpy(), 9)
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slow = ti.sma(df['Close'].to_numpy(), 50)
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trend = ti.sma(df['Close'].to_numpy(), 100)
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price = ticker_data['bid']
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if not algorithm.has_position(target_symbol) \
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and is_crossover(fast, slow)\
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and not is_above_trend(fast, trend):
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algorithm.create_limit_order(
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target_symbol=target_symbol,
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order_side=OrderSide.BUY,
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price=price,
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percentage_of_portfolio=25,
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precision=4,
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)
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if algorithm.has_position(target_symbol) \
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and is_below_trend(fast, slow):
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open_trades = algorithm.get_open_trades(
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target_symbol=target_symbol
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)
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for trade in open_trades:
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algorithm.close_trade(trade)

‎investing_algorithm_framework/__init__.py‎

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from investing_algorithm_framework.app import App, Algorithm
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from .create_app import create_app
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from investing_algorithm_framework.domain import ApiException, \
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TradingDataType, TradingTimeFrame, OrderType,\
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TradingDataType, TradingTimeFrame, OrderType, \
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OrderStatus, OrderSide, Config, TimeUnit, TimeInterval, Order, Portfolio, \
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Position, TimeFrame, BACKTESTING_INDEX_DATETIME, MarketCredential, \
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PortfolioConfiguration, RESOURCE_DIRECTORY, pretty_print_backtest, \

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