def get_param(self, param_name: ParamName) -> Param:
with transaction_context() as session:
entry = session.query(ParamDb).filter_by(
name=param_name.value).first()
if entry is None:
logger.error(f'{param_name} not in db')
raise Exception(f'{param_name} not in db')
param = Param(name=param_name, value=entry.value)
return param
def add_param(self, name: str, value):
param_name = ParamName(name)
if param_name is ParamName.OTHER:
logger.error(f'{name} not in ParamName enum')
raise Exception(
f'{name} not in ParamName enum. Accepted value : ' +
';'.join([i for i in ParamName]))
with transaction_context() as session:
entry = ParamDb(name=param_name, value=value)
session.add(entry)
def _log(self):
while True:
msg = self.queue_log.get()
if msg['level'] == 'info':
logger.info(msg['message'])
elif msg['level'] == 'error':
logger.error(msg['message'])
else:
logger.debug(msg['message'])
if msg.get('tid'):
tid = msg['tid']
self.tasks[tid].ttl = msg['ttl']
self.tasks[tid].result = msg['result']
def evaluate(self,
ptf: Portfolio,
previous_positions: List[Position],
previous_money: float = None):
if previous_money:
ptf.money = previous_money
ptf.positions = deepcopy(previous_positions)
ptf.compute_liquid_value()
ptf.close_position()
side: Side = self.strategy_service.evaluate(ptf.as_of_date)
try:
ptf.make_operation(side, 1, self.transaction_fee, self.take_profit,
self.stop_loss)
except (PortfolioException, NotEnoughMoneyException) as e:
logger.error(e)
async def backtest_strategy(params: StrategySchemaIn):
start_date = params.start_date
end_date = params.end_date
transaction_fee = params.transaction_fee
initial_capital = params.initial_capital
stock = params.stock
take_profit = params.take_profit if params.take_profit != 0 else None
stop_loss = params.stop_loss if params.stop_loss != 0 else None
strategy = params.strategy
ptf_type = params.ptf_type
strat_params = params.params
try:
data_connector = data_connector_factory(stock)
data_service = DataService(data_connector, start_date, end_date)
strategy_service = strategy_service_factory(strategy, data_service,
*strat_params)
portfolio_service = PortfolioService(transaction_fee,
strategy_service,
asset_values=data_service.df,
initial_capital=initial_capital,
ptf_type=ptf_type,
take_profit=take_profit,
stop_loss=stop_loss)
service = MainService(data_service, portfolio_service,
strategy_service)
service.evaluate_all()
fig = service.get_reporting()
file_name = uuid.uuid4().hex + '.png'
file_path = os.path.join(app_config.GRAPH_FOLDER, file_name)
fig.savefig(file_path)
ret = service.serialize
ret['base_100_file_name'] = file_name
except NoDataFoundException as e:
logger.error('NoDataFoundException : ' + str(e))
raise HTTPException(400, str(e))
except Exception as e:
logger.error('Exception : ' + str(e))
raise HTTPException(400, str(e))
print(ret)
return ret