Merge remote-tracking branch 'origin/master' into 138-initial-backtes…

…ting-infrastructure

# Conflicts:
#	investing_algorithm_framework/app/app.py
#	investing_algorithm_framework/dependency_container.py
#	investing_algorithm_framework/domain/__init__.py
#	investing_algorithm_framework/domain/models/__init__.py
#	investing_algorithm_framework/infrastructure/__init__.py
#	investing_algorithm_framework/services/__init__.py
#	investing_algorithm_framework/services/order_service.py

examples/app.py

@@ -1,7 +1,7 @@
 import pathlib
 
 from investing_algorithm_framework import create_app, PortfolioConfiguration, \
-    RESOURCE_DIRECTORY, TimeUnit, TradingDataType, TradingTimeFrame
+    RESOURCE_DIRECTORY, TimeUnit, TradingDataType, TradingTimeFrame, Algorithm
 from datetime import datetime, timedelta
 
 app = create_app({RESOURCE_DIRECTORY: pathlib.Path(__file__).parent.resolve()})
@@ -10,7 +10,8 @@
         market="<your_market>",
         api_key="<your_api_key>",
         secret_key="<your_secret_key>",
-        trading_symbol="<your_trading_symbol>"
+        trading_symbol="<your_trading_symbol>",
+
     )
 )
 
@@ -24,7 +25,7 @@
     symbols=["BTC/EUR"],
     trading_time_frame_start_date=datetime.now() - timedelta(days=60),
 )
-def perform_strategy(algorithm, market_data):
+def perform_strategy(algorithm: Algorithm, market_data):
     print(algorithm.get_portfolio())
     print(algorithm.get_positions())
     print(algorithm.get_orders())
@@ -34,9 +35,9 @@ def perform_strategy(algorithm, market_data):
         algorithm.close_position("<symbol>")
     else:
         algorithm.create_limit_order(
-            symbol="<symbol>",
+            target_symbol="<symbol>",
             side="buy",
-            percentage_portfolio=20,
+            percentage_of_portfolio=20,
             price=market_data["tickers"]["<symbol>"]["bid"]
         )
 

investing_algorithm_framework/app/algorithm.py

@@ -5,7 +5,7 @@
 
 from investing_algorithm_framework.domain import OrderStatus, OrderFee, \
     Position, Order, Portfolio, OrderType, OrderSide, ApiException, \
-    parse_decimal_to_string, PositionCost
+    parse_decimal_to_string
 
 logger = logging.getLogger("investing_algorithm_framework")
 
@@ -17,15 +17,13 @@ def __init__(
         portfolio_configuration_service,
         portfolio_service,
         position_service,
-        position_cost_service,
         order_service,
         market_service,
         market_data_service,
         strategy_orchestrator_service,
     ):
         self.portfolio_service = portfolio_service
         self.position_service = position_service
-        self.position_cost_service = position_cost_service
         self.order_service = order_service
         self.market_service = market_service
         self._config = None
@@ -100,11 +98,22 @@ def create_limit_order(
     ):
         portfolio = self.portfolio_service.find({"market": market})
 
-        if percentage_of_portfolio is not None and OrderSide.BUY.equals(side):
+        if percentage_of_portfolio is not None:
+            if not OrderSide.BUY.equals(side):
+                raise ApiException(
+                    "Percentage of portfolio is only supported for BUY orders."
+                )
+
             size = float(portfolio.net_size) * (percentage_of_portfolio / 100)
-            amount = floor(size / price)
+            amount = size / price
+
+        elif percentage_of_position is not None:
+
+            if not OrderSide.SELL.equals(side):
+                raise ApiException(
+                    "Percentage of position is only supported for SELL orders."
+                )
 
-        if percentage_of_position is not None and OrderSide.SELL.equals(side):
             position = self.position_service.find(
                 {
                     "symbol": target_symbol,
@@ -563,9 +572,5 @@ def has_open_orders(self, target_symbol, identifier=None, market=None):
         query_params["status"] = OrderStatus.OPEN.value
         return self.order_service.exists(query_params)
 
-    def get_position_costs(self, symbol, market=None, identifier=None) -> List[PositionCost]:
-        position = self.get_position(symbol, market, identifier)
-        return self.position_cost_service.get_all({"position": position.id, "itemized": True})
-
     def check_pending_orders(self):
         self.order_service.check_pending_orders()

investing_algorithm_framework/app/app.py

@@ -15,8 +15,7 @@
 from investing_algorithm_framework.app.web import create_flask_app
 from investing_algorithm_framework.domain import DATABASE_NAME, TimeUnit, \
     DATABASE_DIRECTORY_PATH, RESOURCE_DIRECTORY, ENVIRONMENT, Environment, \
-    SQLALCHEMY_DATABASE_URI, Config, OperationalException, \
-    PortfolioConfiguration
+    SQLALCHEMY_DATABASE_URI, Config, OperationalException, PortfolioConfiguration
 from investing_algorithm_framework.infrastructure import setup_sqlalchemy, \
     create_all_tables, MarketBacktestService
 from investing_algorithm_framework.services import OrderBacktestService
@@ -463,7 +462,7 @@ def _create_database_if_not_exists(self):
                 raise OperationalException(
                     "Could not create database directory"
                 )
- 
+
     def get_portfolio_configurations(self):
         return self.algorithm.get_portfolio_configurations()
 

investing_algorithm_framework/dependency_container.py

@@ -1,13 +1,12 @@
 from dependency_injector import containers, providers
 
+from investing_algorithm_framework.app.algorithm import Algorithm
 from investing_algorithm_framework.infrastructure import SQLOrderRepository, \
     SQLPositionRepository, MarketService, SQLPortfolioRepository, \
-    SQLPositionCostRepository, SQLOrderFeeRepository
+    SQLOrderFeeRepository
 from investing_algorithm_framework.services import OrderService, \
     PositionService, PortfolioService, StrategyOrchestratorService, \
-    PortfolioConfigurationService, MarketDataService, PositionCostService, \
-    BackTestService
-from investing_algorithm_framework.app.algorithm import Algorithm
+    PortfolioConfigurationService, MarketDataService, BackTestService
 
 
 def setup_dependency_container(app, modules=None, packages=None):
@@ -22,7 +21,6 @@ class DependencyContainer(containers.DeclarativeContainer):
     order_repository = providers.Factory(SQLOrderRepository)
     order_fee_repository = providers.Factory(SQLOrderFeeRepository)
     position_repository = providers.Factory(SQLPositionRepository)
-    position_cost_repository = providers.Factory(SQLPositionCostRepository)
     portfolio_repository = providers.Factory(SQLPortfolioRepository)
     market_service = providers.Factory(MarketService)
     market_data_service = providers.Factory(
@@ -37,18 +35,13 @@ class DependencyContainer(containers.DeclarativeContainer):
     )
     order_service = providers.Factory(
         OrderService,
-        position_cost_repository=position_cost_repository,
         order_repository=order_repository,
         order_fee_repository=order_fee_repository,
         portfolio_repository=portfolio_repository,
         position_repository=position_repository,
         market_service=market_service,
         portfolio_configuration_service=portfolio_configuration_service,
     )
-    position_cost_service = providers.Factory(
-        PositionCostService,
-        repository=position_cost_repository
-    )
     position_service = providers.Factory(
         PositionService,
         repository=position_repository,
@@ -80,6 +73,4 @@ class DependencyContainer(containers.DeclarativeContainer):
         market_service=market_service,
         strategy_orchestrator_service=strategy_orchestrator_service,
         market_data_service=market_data_service,
-        position_cost_service=position_cost_service,
     )
-

investing_algorithm_framework/domain/__init__.py

@@ -2,7 +2,7 @@
 from .models import OrderStatus, OrderSide, OrderType, TimeInterval, \
     TimeUnit, TimeFrame, TradingTimeFrame, TradingDataType, Ticker, \
     OHLCV, OrderBook, PortfolioConfiguration, AssetPrice, Portfolio, \
-    Position, Order, PositionCost, OrderFee, BacktestProfile
+    Position, Order, OrderFee
 from .exceptions import OperationalException, ApiException, \
     PermissionDeniedApiException, ImproperlyConfigured
 from .constants import ITEMIZE, ITEMIZED, PER_PAGE, PAGE, ENVIRONMENT, \
@@ -12,7 +12,7 @@
 from .singleton import Singleton
 from .utils import random_string, append_dict_as_row_to_csv, \
     add_column_headers_to_csv, get_total_amount_of_rows, \
-    csv_to_list, StoppableThread, pretty_print_backtest
+    csv_to_list, StoppableThread
 from .strategy import Strategy
 from .stateless_actions import StatelessActions
 from .decimal_parsing import parse_decimal_to_string, parse_string_to_decimal
@@ -61,10 +61,7 @@
     "Strategy",
     "DATETIME_FORMAT",
     "StatelessActions",
-    "PositionCost",
     "OrderFee",
     "parse_decimal_to_string",
-    "parse_string_to_decimal",
-    "BacktestProfile",
-    "pretty_print_backtest"
+    "parse_string_to_decimal"
 ]

investing_algorithm_framework/domain/models/__init__.py

@@ -6,8 +6,7 @@
 from .trading_data_types import TradingDataType
 from .trading_time_frame import TradingTimeFrame
 from .portfolio import PortfolioConfiguration, Portfolio
-from .position import Position, PositionCost
-from .backtest_profile import BacktestProfile
+from .position import Position
 
 __all__ = [
     "OrderStatus",
@@ -25,8 +24,6 @@
     "PortfolioConfiguration",
     "AssetPrice",
     "Position",
-    "PositionCost",
     "Portfolio",
-    "OrderFee",
-    "BacktestProfile"
+    "OrderFee"
 ]

investing_algorithm_framework/domain/models/order/order.py

@@ -30,6 +30,7 @@ def __init__(
         updated_at=None,
         trade_closed_at=None,
         trade_closed_price=None,
+        trade_closed_amount=None,
         external_id=None,
         filled_amount=None,
         remaining_amount=None,
@@ -65,6 +66,7 @@ def __init__(
         self.net_gain = parse_decimal_to_string(net_gain)
         self.trade_closed_at = trade_closed_at
         self.trade_closed_price = trade_closed_price
+        self.trade_closed_amount = trade_closed_amount
         self.created_at = created_at
         self.updated_at = updated_at
         self.filled_amount = parse_decimal_to_string(filled_amount)
@@ -129,6 +131,12 @@ def get_trade_closed_price(self):
     def set_trade_closed_price(self, trade_closed_price):
         self.trade_closed_price = trade_closed_price
 
+    def get_trade_closed_amount(self):
+        return parse_string_to_decimal(self.trade_closed_amount)
+
+    def set_trade_closed_amount(self, trade_closed_amount):
+        self.trade_closed_amount = trade_closed_amount
+
     def get_created_at(self):
         return self.created_at
 
@@ -218,26 +226,34 @@ def from_ccxt_order(ccxt_order):
 
     def update(self, data):
 
-        if 'amount' in data:
+        if 'amount' in data and data['amount'] is not None:
             amount = data.pop('amount')
             self.amount = parse_decimal_to_string(amount)
 
-        if 'price' in data:
+        if 'price' in data and data['price'] is not None:
             price = data.pop('price')
             self.price = parse_decimal_to_string(price)
 
-        if 'filled' in data:
+        if 'filled' in data and data['filled'] is not None:
             filled_amount = data.pop('filled')
             self.filled_amount = parse_decimal_to_string(filled_amount)
 
-        if 'remaining' in data:
+        if 'remaining' in data and data['remaining'] is not None:
             remaining_amount = data.pop('remaining')
             self.remaining_amount = parse_decimal_to_string(remaining_amount)
 
-        if 'net_gain' in data:
+        if 'net_gain' in data and data['net_gain'] is not None:
             net_gain = data.pop('net_gain')
             self.net_gain = parse_decimal_to_string(net_gain)
 
+        if 'trade_closed_price' in data and data['trade_closed_price'] is not None:
+            trade_closed_price = data.pop('trade_closed_price')
+            self.trade_closed_price = parse_decimal_to_string(trade_closed_price)
+
+        if 'trade_closed_amount' in data and data['trade_closed_amount'] is not None:
+            trade_closed_amount = data.pop('trade_closed_amount')
+            self.trade_closed_amount = parse_decimal_to_string(trade_closed_amount)
+
         super().update(data)
 
     def __repr__(self):
@@ -249,8 +265,9 @@ def __repr__(self):
 
         return self.repr(
             id=id_value,
-            price=self.price,
-            amount=self.amount,
+            price=self.get_price(),
+            amount=self.get_amount(),
+            net_gain=self.get_net_gain(),
             external_id=self.external_id,
             status=self.status,
             target_symbol=self.target_symbol,
@@ -259,5 +276,5 @@ def __repr__(self):
             order_type=self.order_type,
             filled_amount=self.get_filled(),
             remaining_amount=self.get_remaining(),
-            cost=self.cost,
+            cost=self.get_cost(),
         )

investing_algorithm_framework/domain/models/position/__init__.py

@@ -1,4 +1,3 @@
 from .position import Position
-from .position_cost import PositionCost
 
-__all__ = ["Position", "PositionCost"]
+__all__ = ["Position"]

investing_algorithm_framework/domain/models/position/position.py

@@ -9,10 +9,12 @@ def __init__(
         self,
         symbol=None,
         amount=0,
+        cost=0,
         portfolio_id=None
     ):
         self.symbol = symbol
         self.amount = amount
+        self.cost = cost
         self.portfolio_id = portfolio_id
 
     def get_symbol(self):
@@ -24,6 +26,12 @@ def set_symbol(self, symbol):
     def get_amount(self):
         return parse_string_to_decimal(self.amount)
 
+    def get_cost(self):
+        return parse_string_to_decimal(self.cost)
+
+    def set_cost(self, cost):
+        self.cost = cost
+
     def set_amount(self, amount):
         self.amount = amount
 

investing_algorithm_framework/infrastructure/__init__.py

@@ -1,16 +1,14 @@
 from .repositories import SQLOrderRepository, SQLPositionRepository, \
-    SQLPortfolioRepository, SQLPositionCostRepository, SQLOrderFeeRepository
-from .services import MarketService, MarketBacktestService
+    SQLPortfolioRepository, SQLOrderFeeRepository
+from .services import MarketService
 from .database import setup_sqlalchemy, Session, \
     create_all_tables
-from .models import SQLPortfolio, SQLOrder, SQLPosition, SQLOrderFee, \
-    SQLPositionCost
+from .models import SQLPortfolio, SQLOrder, SQLPosition, SQLOrderFee
 
 __all__ = [
     "create_all_tables",
     "SQLPositionRepository",
     "SQLPortfolioRepository",
-    "SQLPositionCostRepository",
     "SQLOrderRepository",
     "SQLOrderFeeRepository",
     "MarketService",
@@ -20,6 +18,4 @@
     "SQLOrder",
     "SQLOrderFee",
     "SQLPosition",
-    "SQLPositionCost",
-    "MarketBacktestService"
 ]

investing_algorithm_framework/infrastructure/models/__init__.py

@@ -1,7 +1,7 @@
 from .order import SQLOrder, SQLOrderFee
 from .portfolio import SQLPortfolio
-from .position import SQLPosition, SQLPositionCost
+from .position import SQLPosition
 
 __all__ = [
-    "SQLOrder", "SQLPosition", "SQLPortfolio", "SQLPositionCost", "SQLOrderFee"
+    "SQLOrder", "SQLPosition", "SQLPortfolio", "SQLOrderFee"
 ]