Fix tests and flake8 warnings

Author: MDUYN

.flake8

@@ -1,6 +1,6 @@
 [flake8]
 exclude =
-    investing_algorithm_framework/domain/utils/backtesting.py
+    investing_algorithm_framework/app/reporting/
     investing_algorithm_framework/infrastructure/database/sql_alchemy.py
     examples
     investing_algorithm_framework/metrics

README.md

@@ -79,8 +79,9 @@ The following example connects to Binance and buys BTC every 2 hours.
 import logging.config
 from dotenv import load_dotenv
 
-from investing_algorithm_framework import create_app, TimeUnit, Context, \
-    CCXTOHLCVMarketDataSource, CCXTTickerMarketDataSource, DEFAULT_LOGGING_CONFIG
+from investing_algorithm_framework import create_app, TimeUnit, Context, BacktestDateRange, \
+    CCXTOHLCVMarketDataSource, CCXTTickerMarketDataSource, DEFAULT_LOGGING_CONFIG, \
+    TradingStrategy, SnapshotInterval
 
 load_dotenv()
 logging.config.dictConfig(DEFAULT_LOGGING_CONFIG)
@@ -104,24 +105,27 @@ app = create_app()
 # Registered bitvavo market, credentials are read from .env file by default
 app.add_market(market="BITVAVO", trading_symbol="EUR", initial_balance=100)
 
-# Define a strategy for the algorithm that will run every 10 seconds
-@app.strategy(
-    time_unit=TimeUnit.SECOND,
-    interval=10,
-    market_data_sources=[bitvavo_btc_eur_ticker, bitvavo_btc_eur_ohlcv_2h]
+class MyStrategy(TradingStrategy):
+    interval = 2
+    time_unit = TimeUnit.HOUR
+    data_sources = [bitvavo_btc_eur_ohlcv_2h, bitvavo_btc_eur_ticker]
+
+    def run_strategy(self, context: Context, market_data):
+        # Access the data sources with the indentifier
+        polars_df = market_data["BTC-ohlcv"]
+        ticker_data = market_data["BTC-ticker"]
+        unallocated_balance = context.get_unallocated()
+        positions = context.get_positions()
+        trades = context.get_trades()
+        open_trades = context.get_open_trades()
+        closed_trades = context.get_closed_trades()
+
+date_range = BacktestDateRange(
+    start_date="2023-08-24 00:00:00",
+    end_date="2023-12-02 00:00:00"
 )
-def perform_strategy(context: Context, market_data: dict):
-    # Access the data sources with the indentifier
-    polars_df = market_data["BTC-ohlcv"]
-    ticker_data = market_data["BTC-ticker"]
-    unallocated_balance = context.get_unallocated()
-    positions = context.get_positions()
-    trades = context.get_trades()
-    open_trades = context.get_open_trades()
-    closed_trades = context.get_closed_trades()
-
-if __name__ == "__main__":
-    app.run()
+backtest_report = app.run_backtest(backtest_date_range=date_range, initial_amount=100, snapshot_interval=SnapshotInterval.STRATEGY_ITERATION)
+backtest_report.show()
 ```
 
 > You can find more examples [here](./examples) folder.

investing_algorithm_framework/__init__.py

@@ -1,7 +1,8 @@
 from investing_algorithm_framework.app import App, Algorithm, \
     TradingStrategy, StatelessAction, Task, AppHook, Context, \
     add_html_report, add_metrics, generate_report, BacktestReport, \
-    BacktestReportsEvaluation
+    BacktestReportsEvaluation, pretty_print_trades, pretty_print_positions, \
+    pretty_print_orders, pretty_print_backtest
 from investing_algorithm_framework.domain import ApiException, \
     TradingDataType, TradingTimeFrame, OrderType, OperationalException, \
     OrderStatus, OrderSide, TimeUnit, TimeInterval, Order, Portfolio, \
@@ -59,9 +60,7 @@
     "MarketCredential",
     "MarketService",
     "OperationalException",
-    "pretty_print_backtest_reports_evaluation",
     "BacktestReportsEvaluation",
-    "load_backtest_reports",
     "SYMBOLS",
     "RESERVED_BALANCES",
     "APP_MODE",
@@ -71,7 +70,6 @@
     "BacktestDateRange",
     "convert_polars_to_pandas",
     "DateRange",
-    "get_backtest_report",
     "AzureBlobStorageStateHandler",
     "DEFAULT_LOGGING_CONFIG",
     "BacktestReport",

investing_algorithm_framework/app/__init__.py

@@ -6,7 +6,8 @@
 from .algorithm import Algorithm
 from .context import Context
 from .reporting import generate_report, add_html_report, add_metrics, \
-    BacktestReport, pretty_print_backtest, BacktestReportsEvaluation
+    BacktestReport, pretty_print_backtest, BacktestReportsEvaluation, \
+    pretty_print_trades, pretty_print_positions, pretty_print_orders
 
 
 __all__ = [
@@ -23,5 +24,8 @@
     "add_metrics",
     "BacktestReport",
     "pretty_print_backtest",
-    "BacktestReportsEvaluation"
+    "BacktestReportsEvaluation",
+    "pretty_print_trades",
+    "pretty_print_positions",
+    "pretty_print_orders"
 ]

investing_algorithm_framework/app/app.py

@@ -4,7 +4,6 @@
 import threading
 from time import sleep
 from typing import List, Optional, Any
-from datetime import timedelta
 
 from flask import Flask
 
@@ -28,7 +27,6 @@
     BacktestMarketDataSourceService, BacktestPortfolioService
 from .app_hook import AppHook
 from .reporting import BacktestReport
-from investing_algorithm_framework.domain.models.backtesting.backtest_results import BacktestResult
 
 logger = logging.getLogger("investing_algorithm_framework")
 COLOR_RESET = '\033[0m'
@@ -807,13 +805,14 @@ def run_backtest(
 
         # Run the backtest with the backtest_service and collect and
         # save the report
-        report = backtest_service.run_backtest(
+        results = backtest_service.run_backtest(
             algorithm=algorithm,
             context=context,
             strategy_orchestrator_service=strategy_orchestrator_service,
             initial_amount=initial_amount,
             backtest_date_range=backtest_date_range
         )
+        report = BacktestReport(results=results)
         backtest_service.save_report(
             report=report,
             algorithm=algorithm,
@@ -1570,41 +1569,3 @@ def get_algorithm(self):
             data_sources=self._market_data_sources,
             on_strategy_run_hooks=self._on_strategy_run_hooks,
         )
-
-    def run_backtest(self, backtest_date_range, algorithm, snapshot_interval):
-        """
-        Run a backtest for the given date range and algorithm.
-
-        Args:
-            backtest_date_range (BacktestDateRange): The date range for the backtest.
-            algorithm (Algorithm): The algorithm to use for the backtest.
-            snapshot_interval (str): The interval for portfolio snapshots.
-
-        Returns:
-            BacktestResult: The result of the backtest.
-        """
-        current_date = backtest_date_range.start_date
-        end_date = backtest_date_range.end_date
-        last_snapshot_date = None
-
-        while current_date <= end_date:
-            # Run the algorithm for the current date
-            algorithm.run(current_date)
-
-            # Check if a snapshot should be created
-            if snapshot_interval == "daily":
-                if last_snapshot_date is None or current_date.date() > last_snapshot_date.date():
-                    self.container.portfolio_snapshot_service().create_snapshot(
-                        portfolio=self.container.portfolio_service().get_default_portfolio(),
-                        created_at=current_date
-                    )
-                    last_snapshot_date = current_date
-
-            # Increment the current date
-            current_date += timedelta(days=1)
-
-        return BacktestResult(
-            backtest_date_range=backtest_date_range,
-            algorithm=algorithm,
-            snapshot_interval=snapshot_interval
-        )

investing_algorithm_framework/app/reporting/__init__.py

@@ -1,6 +1,7 @@
 from .generate import add_html_report, add_metrics, generate_report
 from .backtest_report import BacktestReport
-from .ascii import pretty_print_backtest
+from .ascii import pretty_print_backtest, pretty_print_positions, \
+    pretty_print_trades, pretty_print_orders
 from .evaluation import BacktestReportsEvaluation
 
 __all__ = [
@@ -9,5 +10,8 @@
     "generate_report",
     "BacktestReport",
     "pretty_print_backtest",
-    "BacktestReportsEvaluation"
+    "BacktestReportsEvaluation",
+    "pretty_print_positions",
+    "pretty_print_trades",
+    "pretty_print_orders"
 ]