def get_available_portfolio_dts(self, df, start_dt, end_dt):
'''
Gets the available date/datetime points from the range of start_dt and end_dt
from the provided dataframe
'''
dt1 = start_dt if type(start_dt) == datetime.datetime else str_to_ts(
start_dt)
if end_dt:
dt2 = end_dt if end_dt and type(
end_dt) == datetime.datetime else str_to_ts(end_dt)
return list(df[(df.index >= dt1)
& (df.index <= dt2)].index.unique())
else:
return list(df[df.index >= dt1].index.unique())
def _update_signals(signals: pd.DataFrame,
df: pd.DataFrame,
signal_name: str or None = None):
if not signal_name:
# Set up a default signal's name if not provided.
# Try to define signals_1 as the default name.
# Find available signals_n if 'signals_1' is busy.
signal_name = "signals_1"
while signal_name in signals['signal'].unique():
signal_name = signal_name.split('_')[0] + '_' + str(
int(signal_name.split('_')[1]) + 1)
df['signal'] = signal_name
df['dt'] = df['dt'].apply(lambda x: str_to_ts(x))
if 'trade_percantage' not in df.columns:
df['trade_percantage'] = self.default_trade_percantage
if 'decision_delay' not in df.columns:
df['decision_delay'] = self.decision_delay
df['delayed_dt'] = df['dt'] + df['decision_delay']
df.set_index('delayed_dt', inplace=True)
df.set_index(df.index.ceil(freq=self._granularity), inplace=True)
# df = df['dt', 'signal', 'asset', 'decision_delay', 'trade_percantage']
return signals.append(df)
def __init__(self,
start_dt: str or datetime,
end_dt: str or datetime or None = None,
granularity: str = '1D',
decision_delay: int = 0,
init_asset: str or None = None,
add_asset_once_authorized: bool = False,
sell_assets_once_unauthorized: bool = True):
self._granularity = granularity
self._start_dt = str_to_ts(start_dt)
self.end_dt = end_dt
self.decision_delay = datetime.timedelta(seconds=decision_delay)
self.init_asset = init_asset
self.add_asset_once_authorized = add_asset_once_authorized
self.sell_assets_once_unauthorized = sell_assets_once_unauthorized
self.assets = Assets(start_dt=start_dt,
end_dt=end_dt,
granularity=granularity,
init_asset=init_asset)
self.prices = Prices(start_dt=start_dt,
end_dt=end_dt,
granularity=granularity)
self.signals = Signals(start_dt=start_dt,
end_dt=end_dt,
granularity=granularity,
decision_delay=decision_delay)
self.portfolio = pd.DataFrame(None)
self.asset_shares = pd.DataFrame(None)
self.trades_log = pd.DataFrame(
columns=['dt', 'order', 'share', 'from', 'to', 'fee', 'metadata'])
def _remove_assets(assets_df, exclude_asset, exclude_dates, granularity=self._granularity):
dates = [str_to_ts(dt) for dt in exclude_dates]
assert len(dates) % 2 == 0, f'Unsupported datetime sequence for {exclude_asset}: odd amount of dates.'
for i in range(int(len(dates) / 2)):
exclude_dates = list(pd.date_range(start=dates[2 * i], end=dates[2 * i + 1], freq=granularity))
assets_df = assets_df[
~((assets_df.index.isin(exclude_dates)) & (assets_df['asset'] == exclude_asset))
]
return assets_df
def __init__(self,
start_dt: str or datetime,
end_dt: str or datetime or None = None,
granularity: str = '1D',
decision_delay: int = 0):
self._granularity = granularity
self._start_dt = str_to_ts(start_dt)
self.end_dt = end_dt
self.decision_delay = datetime.timedelta(seconds=decision_delay)
self.default_trade_percantage = 1
self.buy_signals = self._default_signals_df.copy()
self.sell_signals = self._default_signals_df.copy()
self.rebalance_signals = self._default_signals_df.copy()
def __init__(
self,
start_dt: str or datetime,
end_dt: str or datetime or None = None,
granularity: str = '1D',
init_asset: str or None = None,
):
self._granularity = granularity
self._start_dt = str_to_ts(start_dt)
self.end_dt = end_dt
self.init_asset = init_asset
self.common_assets = pd.DataFrame(columns=['asset'])
self.reserve_assets = pd.DataFrame(columns=['asset'])
def __init__(
self,
start_dt: str or datetime,
end_dt: str or datetime or None = None,
granularity: str = '1D',
fill_gaps_by_default: bool = False,
fill_gaps_function: str = 'pad'
):
# These parameters could be used later for checking price gaps, interpolation, etc.
self._granularity = granularity
self._start_dt = str_to_ts(start_dt)
self.end_dt = end_dt
self.prices = pd.DataFrame(columns=['dt', 'asset', 'price', 'price_change']).set_index('dt')
self.fill_gaps_by_default = fill_gaps_by_default
self.fill_gaps_function = fill_gaps_function
def _update_assets(assets, new_assets, granularity=self._granularity):
''' Updates assets-in-the-portfolio dataFrame.'''
for asset_name in new_assets:
# Convert and test datetimes
dates = [str_to_ts(dt) for dt in new_assets[asset_name]]
assert min(dates) >= self._start_dt, \
f'Provided datetime ({min(dates)}) is smaller than expected ({self._start_dt}). [{asset_name}]'
assert len(dates) % 2 == 0, f'Unsupported datetime sequence for {asset_name}: odd amount of dates.'
# Update assets in the portfolio
for i in range(int(len(dates) / 2)):
assets = assets.append(pd.DataFrame(
index=pd.date_range(start=dates[2 * i], end=dates[2 * i + 1], freq=granularity),
data={'asset': asset_name}
))
return assets.reset_index().drop_duplicates().set_index('index').sort_index()
def __init__(self,
start_dt: str or datetime.datetime,
initial_investment: float = 10**6,
default_transfers_limit: int = 1,
accuracy: float = 3 * 10**(-6),
granularity: str = '1D'):
self.start_dt = str_to_ts(start_dt)
self.initial_investment = initial_investment
self.default_transfers_limit = default_transfers_limit
self.accuracy = accuracy
self.prices = Prices(start_dt=self.start_dt, granularity=granularity)
self.portfolio = pd.DataFrame(None)
self.net_returns = pd.DataFrame(None)
self.portfolio_price = pd.DataFrame(None)
self.trades_log = pd.DataFrame(None)
self.fees = pd.DataFrame(None)
def prepare_df(source_df: pd.DataFrame):
'''
DF can be provided to the object with dt index or dt column
which will be transformed into index.
'''
df = source_df.copy()
if 'dt' in df.columns:
if not is_datetime(df['dt']):
df['dt'] = df['dt'].apply(lambda x: str_to_ts(x))
df.set_index('dt', inplace=True)
else:
if type(df.index) != pd.core.indexes.datetimes.DatetimeIndex:
logging.error(
'Please provide a df with datetime index or index data using column named "dt"'
)
return
else:
df.index.name = 'dt'
df = df.reset_index()
df['dt'] = [item.replace(tzinfo=None) for item in df['dt']]
df.set_index('dt', inplace=True)
return df
