Fix backtesting reporting

Author: MDUYN

investing_algorithm_framework/app/algorithm.py

@@ -94,12 +94,21 @@ def _validate_name(self, name):
             )
 
         pattern = re.compile(r"^[a-zA-Z0-9]*$")
+
         if not pattern.match(name):
             raise OperationalException(
                 "The name of the algorithm can only contain" +
                 " letters and numbers"
             )
 
+        illegal_chars = r"[\/:*?\"<>|]"
+
+        if re.search(illegal_chars, name):
+            raise OperationalException(
+                f"Illegal characters detected in algorithm: {name}. "
+                f"Illegal characters: / \\ : * ? \" < > |"
+            )
+
     def initialize_services(
         self,
         configuration_service,
@@ -159,6 +168,11 @@ def start(self, number_of_iterations: int = None):
     def name(self):
         return self._name
 
+    @name.setter
+    def name(self, name):
+        self._validate_name(name)
+        self._name = name
+
     @property
     def data_sources(self):
         return self._data_sources

investing_algorithm_framework/app/app.py

@@ -773,7 +773,7 @@ def run_backtest(
         Run a backtest for an algorithm. This method should be called when
         running a backtest.
 
-        Parameters:
+        Args:
             backtest_date_range: The date range to run the backtest for
                 (instance of BacktestDateRange)
             initial_amount: The initial amount to start the backtest with.
@@ -812,8 +812,6 @@ def run_backtest(
             initial_amount=initial_amount,
             backtest_date_range=backtest_date_range
         )
-        backtest_report_writer_service = self.container \
-            .backtest_report_writer_service()
 
         config = self.container.configuration_service().get_config()
 
@@ -822,7 +820,7 @@ def run_backtest(
                 config[RESOURCE_DIRECTORY], "backtest_reports"
             )
 
-        backtest_report_writer_service.write_report_to_json(
+        backtest_service.write_report_to_json(
             report=report, output_directory=output_directory
         )
 
@@ -840,7 +838,7 @@ def run_backtests(
         Run a backtest for a set algorithm. This method should be called when
         running a backtest.
 
-        Parameters:
+        Args:
             Algorithms: List[Algorithm] - The algorithms to run backtests for
             date_ranges: List[BacktestDateRange] - The date ranges to run the
                 backtests for
@@ -916,15 +914,12 @@ def run_backtests(
                 if date_range.name is not None:
                     report.date_range_name = date_range.name
 
-                backtest_report_writer_service = self.container \
-                    .backtest_report_writer_service()
-
                 if output_directory is None:
                     output_directory = os.path.join(
                         self.config[RESOURCE_DIRECTORY], "backtest_reports"
                     )
 
-                backtest_report_writer_service.write_report_to_json(
+                backtest_service.write_report_to_json(
                     report=report, output_directory=output_directory
                 )
                 reports.append(report)

investing_algorithm_framework/dependency_container.py

@@ -9,8 +9,7 @@
     PositionService, PortfolioService, StrategyOrchestratorService, \
     PortfolioConfigurationService, MarketDataSourceService, BacktestService, \
     ConfigurationService, PortfolioSnapshotService, PositionSnapshotService, \
-    MarketCredentialService, TradeService, BacktestReportWriterService, \
-    PortfolioSyncService
+    MarketCredentialService, TradeService, PortfolioSyncService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -132,9 +131,6 @@ class DependencyContainer(containers.DeclarativeContainer):
         market_data_source_service=market_data_source_service,
         portfolio_configuration_service=portfolio_configuration_service,
     )
-    backtest_report_writer_service = providers.Factory(
-        BacktestReportWriterService,
-    )
     algorithm = providers.Factory(
         Algorithm,
         configuration_service=configuration_service,

investing_algorithm_framework/domain/services/market_data_sources.py

@@ -49,6 +49,12 @@ def _data_source_exists(self, file_path):
 
         This function prevents the backtest datasource to download the data
         every time the backtest is run.
+
+        Args:
+            file_path: str - the file path of the data storage file
+
+        Returns:
+            bool - True if the file exists and the column names are correct,
         """
         try:
             if os.path.isfile(file_path):
@@ -444,6 +450,15 @@ def get_date_ranges(
         Function to get the date ranges of the market data source based
         on the window size and the time_frame. The date ranges
         will be calculated based on the start date and the end date.
+
+        Args:
+            start_date: datetime - The start date
+            end_date: datetime - The end date
+            window_size: int - The window size
+            time_frame: str - The time frame
+
+        Returns:
+            list - A list of tuples with the date ranges
         """
 
         if start_date > end_date:

investing_algorithm_framework/domain/services/market_service.py

@@ -140,7 +140,7 @@ def get_market_credential(self, market):
 
         for market_data_credentials in self.market_credentials:
 
-            if market_data_credentials.market.lower() == market.lower():
+            if market_data_credentials.market.upper() == market.upper():
                 return market_data_credentials
 
         return None

investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -74,12 +74,12 @@ def prepare_data(
 
         When downloading the data it will use the ccxt library.
 
-        Parameters:
-            config: dict - the configuration of the data source
-            backtest_start_date: datetime - the start date of the backtest
-            backtest_end_date: datetime - the end date of the backtest
-            time_frame: string - the time frame of the data
-            window_size: int - the total amount of candle sticks that need to
+        Args:
+            config (dict): the configuration of the data source
+            backtest_start_date (datetime): the start date of the backtest
+            backtest_end_date (datetime): the end date of the backtest
+            time_frame (string): the time frame of the data
+            window_size (int): the total amount of candle sticks that need to
             be returned
 
         Returns:
@@ -137,6 +137,14 @@ def prepare_data(
                 to_timestamp=backtest_end_date,
                 market=self.market
             )
+
+            if len(ohlcv) == 0:
+                raise OperationalException(
+                    f"No data found for {self.symbol} " +
+                    f"for date range: {backtest_data_start_date} " +
+                    f"to {backtest_end_date}. Please make sure that " +
+                    "the market has data for this date range."
+                )
             self.write_data_to_file_path(file_path, ohlcv)
 
         self.load_data()

investing_algorithm_framework/services/__init__.py

@@ -1,5 +1,4 @@
-from .backtesting import BacktestService, BacktestReportWriterService, \
-    create_trade_exit_markers_chart, create_trade_entry_markers_chart
+from .backtesting import BacktestService
 from .configuration_service import ConfigurationService
 from .market_credential_service import MarketCredentialService
 from .market_data_source_service import MarketDataSourceService, \
@@ -23,7 +22,6 @@
     "PortfolioConfigurationService",
     "MarketDataSourceService",
     "BacktestService",
-    "BacktestReportWriterService",
     "OrderBacktestService",
     "ConfigurationService",
     "PortfolioSyncService",
@@ -33,6 +31,4 @@
     "BacktestMarketDataSourceService",
     "BacktestPortfolioService",
     "TradeService",
-    "create_trade_entry_markers_chart",
-    "create_trade_exit_markers_chart"
 ]

investing_algorithm_framework/services/backtesting/__init__.py

@@ -1,12 +1,5 @@
-from .backtest_report_writer_service import BacktestReportWriterService
 from .backtest_service import BacktestService
-from .graphs import create_trade_entry_markers_chart, \
-    create_trade_exit_markers_chart
-
 
 __all__ = [
-    "BacktestReportWriterService",
     "BacktestService",
-    "create_trade_entry_markers_chart",
-    "create_trade_exit_markers_chart"
 ]