Make datetimes timezone aware

Author: MDUYN

investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -1,4 +1,5 @@
 import logging
+import pytz
 import os
 from datetime import timedelta, datetime, timezone
 import polars
@@ -160,6 +161,13 @@ def _precompute_sliding_windows(self):
         for i in range(len(timestamps) - self.window_size + 1):
             # Use last timestamp as key
             end_time = timestamps[i + self.window_size - 1]
+
+            # Convert end_time datetime object to UTC
+            if isinstance(end_time, str):
+                end_time = parser.parse(end_time).astimezone(pytz.UTC)
+            elif isinstance(end_time, datetime):
+                end_time = end_time.replace(tzinfo=timezone.utc)
+
             self.window_cache[end_time] = self.data.slice(i, self.window_size)
 
     def load_data(self):
@@ -218,6 +226,9 @@ def get_data(
 
         closest_date = None
         for ts in reversed(sorted_timestamps):
+            date = date.astimezone(pytz.UTC)
+            ts = ts.astimezone(pytz.UTC)
+
             if ts < date:
                 closest_date = ts
                 break

tests/resources/strategies_for_testing/strategy_v1/strategy_v1.py

@@ -45,6 +45,10 @@ def apply_strategy(self, context: Context, market_data):
                 continue
 
             ohlcv_data = market_data[f"{pair}-ohlcv-2h"]
+
+            if ohlcv_data is None:
+                return
+
             # ticker_data = market_data[f"{symbol}-ticker"]
             # Add fast, slow, and trend EMAs to the data
             ohlcv_data = ema(

tests/scenarios/test_run_backtest_algorithm_param.py

@@ -1,4 +1,5 @@
-from datetime import datetime, timedelta
+import time
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange, \
@@ -12,9 +13,10 @@ class Test(TestCase):
     def test_run(self):
         """
         """
+        start_time = time.time()
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date
@@ -44,3 +46,6 @@ def test_run(self):
         self.assertAlmostEqual(
             backtest_report.get_profit_percentage(), 0.8, delta=0.05
         )
+        end_time = time.time()
+        elapsed_time = end_time - start_time
+        print(f"Test completed in {elapsed_time:.2f} seconds")

tests/scenarios/test_run_backtest_multiple_strategies_param.py

@@ -1,4 +1,4 @@
-from datetime import datetime, timedelta
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange
@@ -15,7 +15,7 @@ def test_run(self):
         """
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date

tests/scenarios/test_run_backtest_single_strategy_param.py

@@ -1,4 +1,4 @@
-from datetime import datetime, timedelta
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange
@@ -13,7 +13,7 @@ def test_run(self):
         """
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date

tests/scenarios/test_run_backtest_strategies_attribute.py

@@ -1,4 +1,4 @@
-from datetime import datetime, timedelta
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange
@@ -13,7 +13,7 @@ def test_run(self):
         """
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date

tests/scenarios/test_run_backtests_algorithms_param.py

@@ -1,4 +1,4 @@
-from datetime import datetime, timedelta
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange, \
@@ -16,7 +16,7 @@ def test_run(self):
         """
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date

tests/scenarios/test_run_backtests_strategies_param.py

@@ -1,4 +1,4 @@
-from datetime import datetime, timedelta
+from datetime import datetime, timedelta, timezone
 from unittest import TestCase
 
 from investing_algorithm_framework import create_app, BacktestDateRange
@@ -15,7 +15,7 @@ def test_run(self):
         """
         app = create_app(name="GoldenCrossStrategy")
         app.add_market(market="BINANCE", trading_symbol="EUR", initial_balance=400)
-        end_date = datetime(2023, 12, 2)
+        end_date = datetime(2023, 12, 2, tzinfo=timezone.utc)
         start_date = end_date - timedelta(days=100)
         date_range = BacktestDateRange(
             start_date=start_date, end_date=end_date