Fix sync orders on first load

Author: MDUYN

README.md

@@ -40,8 +40,9 @@ from investing_algorithm_framework import create_app, PortfolioConfiguration, \
     RESOURCE_DIRECTORY, TimeUnit, CCXTOHLCVMarketDataSource, Algorithm, \
     CCXTTickerMarketDataSource, MarketCredential, SYMBOLS
 
-# Define the symbols you want to trade for optimization, otherwise it will
-# check all available symbols on the market
+# Define the symbols you want to trade for optimization, otherwise the 
+# algorithm will check if you have orders and balances on all available 
+# symbols on the market
 symbols = ["BTC/EUR"]
 
 # Define resource directory and the symbols you want to trade
@@ -100,16 +101,25 @@ def perform_strategy(algorithm: Algorithm, market_data: dict):
 
     # Ticker data is passed as {"<identifier>": <ticker dict>}
     ticker_data = market_data["BTC-ticker"]
-    order = algorithm.create_limit_order(
+    unallocated_balance = algorithm.get_unallocated()
+    positions = algorithm.get_positions()
+    trades = algorithm.get_trades()
+    open_trades = algorithm.get_open_trades()
+    closed_trades = algorithm.get_closed_trades()
+    
+    # Create a buy oder 
+    algorithm.create_limit_order(
         target_symbol="BTC/EUR",
         order_side="buy",
         amount=0.01,
         price=ticker_data["ask"],
     )
-    positions = algorithm.get_positions()
-    trades = algorithm.get_trades()
-    open_trades = algorithm.get_open_trades()
-    closed_trades = algorithm.get_closed_trades()
+    
+    # Close a trade
+    algorithm.close_trade(trades[0].id)
+    
+    # Close a position
+    algorithm.close_position(positions[0].get_symbol())
 
 if __name__ == "__main__":
     app.run()

examples/backtest_experiment/algorithms/algorithm.py

@@ -1,6 +1,8 @@
 from investing_algorithm_framework import Algorithm, TradingStrategy, \
-    TimeUnit, OrderSide
+    TimeUnit, OrderSide, DATETIME_FORMAT
 import tulipy as ti
+import polars as pl
+
 
 def is_below_trend(fast_series, slow_series):
     return fast_series[-1] < slow_series[-1]
@@ -39,10 +41,11 @@ class Strategy(TradingStrategy):
     ]
     symbols = ["BTC/EUR", "DOT/EUR"]
 
-    def __init__(self, fast, slow, trend):
+    def __init__(self, fast, slow, trend, stop_loss_percentage=4):
         self.fast = fast
         self.slow = slow
         self.trend = trend
+        self.stop_loss_percentage = stop_loss_percentage
         super().__init__()
 
     def apply_strategy(self, algorithm: Algorithm, market_data):
@@ -81,17 +84,35 @@ def apply_strategy(self, algorithm: Algorithm, market_data):
                 for trade in open_trades:
                     algorithm.close_trade(trade)
 
+            # Checking manual stop losses
+            open_trades = algorithm.get_open_trades(target_symbol)
+
+            for open_trade in open_trades:
+                filtered_df = df.filter(
+                    pl.col('Datetime') >= open_trade.opened_at.strftime(DATETIME_FORMAT)
+                )
+                close_prices = filtered_df['Close'].to_numpy()
+                current_price = market_data[f"{symbol}-ticker"]
+
+                if open_trade.is_manual_stop_loss_trigger(
+                        prices=close_prices,
+                        current_price=current_price["bid"],
+                        stop_loss_percentage=self.stop_loss_percentage
+                ):
+                    algorithm.close_trade(open_trade)
+
 
 def create_algorithm(
     name,
     description,
     fast,
     slow,
-    trend
+    trend,
+    stop_loss_percentage
 ) -> Algorithm:
     algorithm = Algorithm(
         name=name,
         description=description
     )
-    algorithm.add_strategy(Strategy(fast, slow, trend))
+    algorithm.add_strategy(Strategy(fast, slow, trend, stop_loss_percentage))
     return algorithm

examples/backtest_experiment/backtest.py

@@ -25,126 +25,144 @@
                 description="9-50-100",
                 fast=9,
                 slow=50,
-                trend=100
+                trend=100,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="10-50-100",
                 description="10-50-100",
                 fast=10,
                 slow=50,
-                trend=100
+                trend=100,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="11-50-100",
                 description="11-50-100",
                 fast=11,
                 slow=50,
-                trend=100
+                trend=100,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="9-75-150",
                 description="9-75-150",
                 fast=9,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="10-75-150",
                 description="10-75-150",
                 fast=10,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="11-75-150",
                 description="11-75-150",
                 fast=11,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="20-75-150",
                 description="20-75-150",
                 fast=20,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="21-75-150",
                 description="21-75-150",
                 fast=21,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="22-75-150",
                 description="22-75-150",
                 fast=22,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="23-75-150",
                 description="23-75-150",
                 fast=23,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="24-75-150",
                 description="24-75-150",
                 fast=24,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="25-75-150",
                 description="25-75-150",
                 fast=25,
                 slow=75,
-                trend=150
+                trend=150,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="20-75-200",
                 description="20-75-200",
                 fast=20,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="21-75-200",
                 description="24-75-200",
                 fast=24,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="22-75-200",
                 description="24-75-200",
                 fast=24,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="23-75-200",
                 description="24-75-200",
                 fast=24,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="24-75-200",
                 description="24-75-200",
                 fast=24,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
             create_algorithm(
                 name="25-75-150",
                 description="25-75-200",
                 fast=25,
                 slow=75,
-                trend=200
+                trend=200,
+                stop_loss_percentage=7
             ),
         ],
         start_date=start_date,

investing_algorithm_framework/__init__.py

@@ -8,7 +8,7 @@
     Trade, OHLCVMarketDataSource, OrderBookMarketDataSource, SYMBOLS, \
     TickerMarketDataSource, MarketService, BacktestReportsEvaluation, \
     pretty_print_backtest_reports_evaluation, load_backtest_reports, \
-    RESERVED_BALANCES, APP_MODE, AppMode
+    RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT
 from investing_algorithm_framework.app import TradingStrategy, \
     StatelessAction, Task
 from investing_algorithm_framework.infrastructure import \
@@ -59,5 +59,6 @@
     "SYMBOLS",
     "RESERVED_BALANCES",
     "APP_MODE",
-    "AppMode"
+    "AppMode",
+    "DATETIME_FORMAT",
 ]

investing_algorithm_framework/app/app.py

@@ -109,12 +109,13 @@ def initialize(self, sync=False):
             trade_service=self.container.trade_service(),
         )
 
-        if self._stateless:
-            self.config[APP_MODE] = AppMode.STATELESS.value
-        elif self._web:
-            self.config[APP_MODE] = AppMode.WEB.value
-        else:
-            self.config[APP_MODE] = AppMode.DEFAULT.value
+        if APP_MODE not in self.config:
+            if self._stateless:
+                self.config[APP_MODE] = AppMode.STATELESS.value
+            elif self._web:
+                self.config[APP_MODE] = AppMode.WEB.value
+            else:
+                self.config[APP_MODE] = AppMode.DEFAULT.value
 
         if AppMode.WEB.from_value(self.config[APP_MODE]):
             self._initialize_web()
@@ -460,7 +461,7 @@ def run(
         for hook in self._on_after_initialize_hooks:
             hook.on_run(self, self.algorithm)
 
-        self.initialize()
+        self.initialize(sync=sync)
 
         # Run all on_initialize hooks
         for hook in self._on_initialize_hooks:

investing_algorithm_framework/domain/services/market_service.py

@@ -1,7 +1,8 @@
 import logging
+from typing import Dict
 from abc import ABC, abstractmethod
 from datetime import datetime
-
+from polars import DataFrame
 logger = logging.getLogger("investing_algorithm_framework")
 
 
@@ -98,13 +99,13 @@ def get_closed_orders(
     @abstractmethod
     def get_ohlcv(
         self, symbol, time_frame, from_timestamp, market, to_timestamp=None
-    ):
+    ) -> DataFrame:
         raise NotImplementedError()
 
     @abstractmethod
     def get_ohlcvs(
         self, symbols, time_frame, from_timestamp, market, to_timestamp=None
-    ):
+    ) -> Dict[str, DataFrame]:
         raise NotImplementedError()
 
     @property

investing_algorithm_framework/infrastructure/models/market_data_sources/ccxt.py

@@ -370,7 +370,7 @@ def get_data(self, **kwargs):
         first_row = df.head(1)[0]
 
         if first_row["Datetime"][0] > end_date.strftime(DATETIME_FORMAT):
-            logger.warn(
+            logger.warning(
                 f"No ticker data available for the given backtest "
                 f"index date {backtest_index_date} and symbol {self.symbol} "
                 f"and market {self.market}"

investing_algorithm_framework/infrastructure/services/market_service/ccxt_market_service.py

@@ -1,7 +1,8 @@
 import logging
+from typing import Dict
 from datetime import datetime
 from time import sleep
-
+import polars as pl
 import ccxt
 from dateutil import parser
 from dateutil.tz import gettz
@@ -341,7 +342,7 @@ def get_closed_orders(
 
     def get_ohlcv(
         self, symbol, time_frame, from_timestamp, market, to_timestamp=None
-    ):
+    ) -> pl.DataFrame:
         market_credential = self.get_market_credential(market)
         exchange = self.initialize_exchange(market, market_credential)
 
@@ -388,7 +389,15 @@ def get_ohlcv(
 
             sleep(exchange.rateLimit / 1000)
 
-        return data
+        # Predefined column names
+        col_names = ["Datetime", "Open", "High", "Low", "Close", "Volume"]
+
+        # Combine the Series into a DataFrame with given column names
+        df = pl.DataFrame(data)
+
+        # Assign column names after DataFrame creation
+        df.columns = col_names
+        return df
 
     def get_ohlcvs(
         self,
@@ -397,7 +406,7 @@ def get_ohlcvs(
         from_timestamp,
         market,
         to_timestamp=None
-    ):
+    ) -> Dict[str, pl.DataFrame]:
         ohlcvs = {}
 
         for symbol in symbols: