Fix market data source usage on close position

Author: MDUYN

investing_algorithm_framework/app/algorithm.py

@@ -421,11 +421,8 @@ def get_position_percentage_of_portfolio(
         )
         full_symbol = f"{position.symbol.upper()}/" \
                       f"{portfolio.trading_symbol.upper()}"
-        ticker = self.get_ticker_market_data_source(portfolio.market, full_symbol)\
-            .get_data(
-                backtest_index_date=self.config
-                .get(BACKTESTING_INDEX_DATETIME)
-            )
+        ticker = self._market_data_source_service\
+            .get_ticker(market=portfolio.market, symbol=full_symbol)
         total = self.get_unallocated() + self.get_allocated()
         return (position.amount * ticker["bid"] / total) * 100
 
@@ -550,8 +547,8 @@ def get_allocated(self, market=None, identifier=None) -> float:
 
                 symbol = f"{position.symbol.upper()}/" \
                          f"{portfolio.trading_symbol.upper()}"
-                ticker = self.get_ticker_market_data_source(
-                    portfolio.market, symbol
+                ticker = self._market_data_source_service.get_ticker(
+                    symbol=symbol, market=portfolio.market,
                 ).get_data(
                     backtest_index_date=self.config
                     .get(BACKTESTING_INDEX_DATETIME)

investing_algorithm_framework/services/market_data_source_service/market_data_source_service.py

@@ -8,6 +8,15 @@
 
 
 class MarketDataSourceService:
+    """
+    This class is responsible for managing the market data sources.
+
+    It is used by the algorithm to get market data from different sources.
+    The MarketDataSourceService will first check if there is a market data
+    source that matches the symbol, market and time frame provided by the user.
+    If there is, it will use that market data source to get the data. If there
+    is not, it will use the MarketService to get the data.
+    """
     _market_data_sources: List[MarketDataSource] = []
 
     def __init__(
@@ -25,7 +34,7 @@ def __init__(
         self._market_credential_service: MarketCredentialService = \
             market_credential_service
 
-    def get_ticker(self, symbol, market):
+    def get_ticker(self, symbol, market=None):
         ticker_market_data_source = self.get_ticker_market_data_source(
             symbol=symbol, market=market
         )
@@ -37,7 +46,7 @@ def get_ticker(self, symbol, market):
 
         return self._market_service.get_ticker(symbol, market)
 
-    def get_order_book(self, symbol, market):
+    def get_order_book(self, symbol, market=None):
         order_book_market_data_source = self.get_order_book_market_data_source(
             symbol=symbol, market=market
         )
@@ -50,7 +59,12 @@ def get_order_book(self, symbol, market):
         return self._market_service.get_order_book(symbol, market)
 
     def get_ohlcv(
-        self, symbol, time_frame, from_timestamp, market, to_timestamp=None
+        self,
+        symbol,
+        time_frame,
+        from_timestamp,
+        market=None,
+        to_timestamp=None
     ):
         ohlcv_market_data_source = self.get_ohlcv_market_data_source(
             symbol=symbol, market=market, time_frame=time_frame
@@ -79,40 +93,60 @@ def get_data(self, identifier):
                     market_credential_service=self._market_credential_service
                 )
 
-    def get_ticker_market_data_source(self, symbol, market):
+    def get_ticker_market_data_source(self, symbol, market=None):
 
         if self.market_data_sources is not None:
             for market_data_source in self._market_data_sources:
                 if isinstance(market_data_source, TickerMarketDataSource):
-                    if market_data_source.market.lower() == market.lower() \
-                            and market_data_source.symbol.lower() \
-                            == symbol.lower():
-                        return market_data_source
+
+                    if market is not None:
+                        if market_data_source.market.lower() == market.lower()\
+                                and market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
+                    else:
+                        if market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
 
         return None
 
-    def get_ohlcv_market_data_source(self, symbol, market, time_frame):
+    def get_ohlcv_market_data_source(self, symbol, time_frame, market=None):
 
         if self.market_data_sources is not None:
             for market_data_source in self._market_data_sources:
                 if isinstance(market_data_source, OHLCVMarketDataSource):
-                    if market_data_source.market.lower() == market.lower() \
-                            and market_data_source.symbol.lower() \
-                            == symbol.lower() and \
-                            market_data_source.timeframe == time_frame:
-                        return market_data_source
+
+                    if market is not None:
+
+                        if market_data_source.market.lower() == market.lower()\
+                                and market_data_source.symbol.lower() \
+                                == symbol.lower() and \
+                                market_data_source.timeframe == time_frame:
+                            return market_data_source
+                    else:
+                        if market_data_source.symbol.lower() \
+                                == symbol.lower() and \
+                                market_data_source.timeframe == time_frame:
+                            return market_data_source
 
         return None
 
-    def get_order_book_market_data_source(self, symbol, market):
+    def get_order_book_market_data_source(self, symbol, market=None):
 
         if self.market_data_sources is not None:
             for market_data_source in self._market_data_sources:
                 if isinstance(market_data_source, OrderBookMarketDataSource):
-                    if market_data_source.market.lower() == market.lower() \
-                            and market_data_source.symbol.lower() \
-                            == symbol.lower():
-                        return market_data_source
+
+                    if market is not None:
+                        if market_data_source.market.lower() == market.lower()\
+                                and market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
+                    else:
+                        if market_data_source.symbol.lower() \
+                                == symbol.lower():
+                            return market_data_source
 
         return None
 

tests/services/test_market_data_source_service.py

@@ -0,0 +1,58 @@
+import os
+
+from investing_algorithm_framework import create_app, RESOURCE_DIRECTORY, \
+    PortfolioConfiguration, CSVTickerMarketDataSource
+from tests.resources import TestBase, MarketServiceStub
+
+
+class TestMarketDataSourceService(TestBase):
+
+    def setUp(self) -> None:
+        self.resource_dir = os.path.abspath(
+            os.path.join(
+                os.path.join(
+                    os.path.join(
+                        os.path.realpath(__file__),
+                        os.pardir
+                    ),
+                    os.pardir
+                ),
+                "resources"
+            )
+        )
+        self.app = create_app(config={RESOURCE_DIRECTORY: self.resource_dir})
+        self.app.add_portfolio_configuration(
+            PortfolioConfiguration(
+                market="binance",
+                trading_symbol="USDT"
+            )
+        )
+        self.app.container.market_service.override(
+            MarketServiceStub(self.app.container.market_credential_service())
+        )
+        self.app.add_market_data_source(CSVTickerMarketDataSource(
+            identifier="BTC/EUR-ticker",
+            market="BITVAVO",
+            symbol="BTC/EUR",
+            csv_file_path=os.path.join(
+                self.resource_dir,
+                "market_data_sources",
+                "TICKER_BTC-EUR_BITVAVO_2021-06-02:00:00_2021-06-26:00:00.csv"
+            )
+        ))
+        self.app.initialize()
+
+    def test_create_limit_order(self):
+        market_data_source_service = self.app.container\
+            .market_data_source_service()
+        ticker_market_data_source = market_data_source_service\
+            .get_ticker_market_data_source(
+                symbol="BTC/EUR",
+                market="BITVAVO"
+            )
+        self.assertIsNotNone(ticker_market_data_source)
+        self.assertEqual("BTC/EUR", ticker_market_data_source.symbol)
+        self.assertEqual("BITVAVO", ticker_market_data_source.market)
+        self.assertTrue(
+            isinstance(ticker_market_data_source, CSVTickerMarketDataSource)
+        )

version.py

@@ -1,4 +1,4 @@
-VERSION = (2, 2, 1, 'alpha', 0)
+VERSION = (2, 2, 2, 'alpha', 0)
 
 
 def get_version(version=None):