Fix take profit rules

Author: MDUYN

investing_algorithm_framework/__init__.py

@@ -11,12 +11,12 @@
 from .domain import ApiException, combine_backtests, PositionSize, \
     OrderType, OperationalException, OrderStatus, OrderSide, \
     TimeUnit, TimeInterval, Order, Portfolio, Backtest, DataError, \
-    Position, TimeFrame, INDEX_DATETIME, MarketCredential, \
+    Position, TimeFrame, INDEX_DATETIME, MarketCredential, TakeProfitRule, \
     PortfolioConfiguration, RESOURCE_DIRECTORY, AWS_LAMBDA_LOGGING_CONFIG, \
-    Trade, SYMBOLS, RESERVED_BALANCES, APP_MODE, AppMode, DATETIME_FORMAT, \
+    Trade, APP_MODE, AppMode, DATETIME_FORMAT, \
     BacktestDateRange, convert_polars_to_pandas, BacktestRun, \
-    DEFAULT_LOGGING_CONFIG, DataType, DataProvider, \
-    TradeStatus, TradeRiskType, generate_backtest_summary_metrics, \
+    DEFAULT_LOGGING_CONFIG, DataType, DataProvider, StopLossRule, \
+    TradeStatus, generate_backtest_summary_metrics, \
     APPLICATION_DIRECTORY, DataSource, OrderExecutor, PortfolioProvider, \
     SnapshotInterval, AWS_S3_STATE_BUCKET_NAME, BacktestEvaluationFocus
 from .infrastructure import AzureBlobStorageStateHandler, \
@@ -48,7 +48,8 @@
     get_current_average_trade_gain, get_current_average_trade_duration, \
     get_current_average_trade_loss, get_negative_trades, \
     get_positive_trades, get_number_of_trades, get_current_win_rate, \
-    get_current_win_loss_ratio, create_backtest_metrics_for_backtest
+    get_current_win_loss_ratio, create_backtest_metrics_for_backtest, \
+    TradeTakeProfitService, TradeStopLossService
 
 
 __all__ = [
@@ -76,8 +77,6 @@
     "TimeFrame",
     "MarketCredential",
     "OperationalException",
-    "SYMBOLS",
-    "RESERVED_BALANCES",
     "APP_MODE",
     "AppMode",
     "DATETIME_FORMAT",
@@ -88,7 +87,6 @@
     "DEFAULT_LOGGING_CONFIG",
     "BacktestReport",
     "TradeStatus",
-    "TradeRiskType",
     "Context",
     "APPLICATION_DIRECTORY",
     "download",
@@ -193,5 +191,9 @@
     "load_backtests_from_directory",
     "save_backtests_to_directory",
     "DataError",
-    "create_backtest_metrics_for_backtest"
+    "create_backtest_metrics_for_backtest",
+    "TakeProfitRule",
+    "StopLossRule",
+    "TradeStopLossService",
+    "TradeTakeProfitService"
 ]

investing_algorithm_framework/app/app.py

@@ -452,6 +452,7 @@ def initialize_data_sources_backtest(
         # Prepare the backtest data for each data provider
         if not show_progress:
             for _, data_provider in data_providers:
+
                 data_provider.prepare_backtest_data(
                     backtest_start_date=backtest_date_range.start_date,
                     backtest_end_date=backtest_date_range.end_date
@@ -616,7 +617,12 @@ def run(self, number_of_iterations: int = None):
 
             trade_order_evaluator = DefaultTradeOrderEvaluator(
                 trade_service=self.container.trade_service(),
-                order_service=self.container.order_service()
+                order_service=self.container.order_service(),
+                trade_stop_loss_service=self.container
+                .trade_stop_loss_service(),
+                trade_take_profit_service=self.container
+                .trade_take_profit_service(),
+                configuration_service=self.container.configuration_service()
             )
             event_loop_service = EventLoopService(
                 configuration_service=self.container.configuration_service(),
@@ -1368,7 +1374,11 @@ def run_backtest(
         )
         trade_order_evaluator = BacktestTradeOrderEvaluator(
             trade_service=self.container.trade_service(),
-            order_service=self.container.order_service()
+            order_service=self.container.order_service(),
+            trade_stop_loss_service=self.container.trade_stop_loss_service(),
+            trade_take_profit_service=self.container
+            .trade_take_profit_service(),
+            configuration_service=self.container.configuration_service()
         )
         event_loop_service.initialize(
             algorithm=algorithm,

investing_algorithm_framework/app/context.py

@@ -4,11 +4,13 @@
 
 from investing_algorithm_framework.services import ConfigurationService, \
     MarketCredentialService, OrderService, PortfolioConfigurationService, \
-    PortfolioService, PositionService, TradeService, DataProviderService
+    PortfolioService, PositionService, TradeService, DataProviderService, \
+    TradeStopLossService, TradeTakeProfitService
 from investing_algorithm_framework.domain import OrderStatus, OrderType, \
     OrderSide, OperationalException, Portfolio, RoundingService, \
-    BACKTESTING_FLAG, INDEX_DATETIME, TradeRiskType, Order, \
-    Position, Trade, TradeStatus, MarketCredential
+    BACKTESTING_FLAG, INDEX_DATETIME, Order, \
+    Position, Trade, TradeStatus, MarketCredential, TradeStopLoss, \
+    TradeTakeProfit
 
 logger = logging.getLogger("investing_algorithm_framework")
 
@@ -29,6 +31,8 @@ def __init__(
         order_service: OrderService,
         market_credential_service: MarketCredentialService,
         trade_service: TradeService,
+        trade_stop_loss_service: TradeStopLossService,
+        trade_take_profit_service: TradeTakeProfitService,
         data_provider_service: DataProviderService
     ):
         self.configuration_service: ConfigurationService = \
@@ -42,6 +46,10 @@ def __init__(
             market_credential_service
         self.data_provider_service: DataProviderService = data_provider_service
         self.trade_service: TradeService = trade_service
+        self.trade_stop_loss_service: TradeStopLossService = \
+            trade_stop_loss_service
+        self.trade_take_profit_service: TradeTakeProfitService = \
+            trade_take_profit_service
 
     @property
     def config(self):
@@ -1372,9 +1380,10 @@ def add_stop_loss(
         self,
         trade: Trade,
         percentage: float,
-        trade_risk_type=TradeRiskType.FIXED,
+        trailing: bool = False,
         sell_percentage: float = 100,
-    ):
+        created_at: datetime = None,
+    ) -> TradeStopLoss:
         """
         Function to add a stop loss to a trade.
 
@@ -1397,30 +1406,34 @@ def add_stop_loss(
                 of the open price that the stop loss should
                 be set at. This must be a positive
                 number, e.g. 5 for 5%, or 10 for 10%.
-            trade_risk_type (TradeRiskType): The type of the stop
-                loss, fixed or trailing
+            trailing (bool): Whether the stop loss should be trailing
+                or fixed.
             sell_percentage (float): float representing the
                 percentage of the trade that should be sold if the
                 stop loss is triggered
+            created_at: datetime: The date and time when the stop loss
+                was created. If not specified, the current date and time
+                will be used.
 
         Returns:
             None
         """
-        self.trade_service.add_stop_loss(
+        return self.trade_service.add_stop_loss(
             trade,
             percentage=percentage,
-            trade_risk_type=trade_risk_type,
+            trailing=trailing,
             sell_percentage=sell_percentage,
+            created_at=created_at,
         )
-        return self.trade_service.get(trade.id)
 
     def add_take_profit(
         self,
         trade: Trade,
         percentage: float,
-        trade_risk_type=TradeRiskType.FIXED,
+        trailing: bool = False,
         sell_percentage: float = 100,
-    ) -> None:
+        created_at: datetime = None,
+    ) -> TradeTakeProfit:
         """
         Function to add a take profit to a trade. This function will add a
         take profit to the specified trade. If the take profit is triggered,
@@ -1445,22 +1458,25 @@ def add_take_profit(
                 of the open price that the stop loss should
                 be set at. This must be a positive
                 number, e.g. 5 for 5%, or 10 for 10%.
-            trade_risk_type (TradeRiskType): The type of the stop
-                loss, fixed or trailing
+            trailing (bool): Whether the take profit should be trailing
+                or fixed.
             sell_percentage (float): float representing the
                 percentage of the trade that should be sold if the
                 stop loss is triggered
+            created_at: datetime: The date and time when the take profit
+                was created. If not specified, the current date and time
+                will be used.
 
         Returns:
             None
         """
-        self.trade_service.add_take_profit(
+        return self.trade_service.add_take_profit(
             trade,
             percentage=percentage,
-            trade_risk_type=trade_risk_type,
+            trailing=trailing,
             sell_percentage=sell_percentage,
+            created_at=created_at,
         )
-        return self.trade_service.get(trade.id)
 
     def close_trade(self, trade, precision=None) -> None:
         """
@@ -1665,3 +1681,45 @@ def get_trading_symbol(self, portfolio_id=None):
             portfolio = self.portfolio_service.get(portfolio_id)
 
         return portfolio.trading_symbol
+
+    def get_take_profits(
+        self, triggered: bool = None
+    ) -> List[TradeTakeProfit]:
+        """
+        Function to get all take profits. If the triggered parameter
+        is specified, the function will return all take profits that
+        match the triggered status.
+
+        Args:
+            triggered (bool): The triggered status of the take profits
+
+        Returns:
+            List[TradeTakeProfit]: A list of take profits
+        """
+        query_params = {}
+
+        if triggered is not None:
+            query_params["triggered"] = triggered
+
+        return self.trade_take_profit_service.get_all(query_params)
+
+    def get_stop_losses(
+        self, triggered: bool = None
+    ) -> List[TradeStopLoss]:
+        """
+        Function to get all stop losses. If the triggered parameter
+        is specified, the function will return all stop losses that
+        match the triggered status.
+
+        Args:
+            triggered (bool): The triggered status of the stop losses
+
+        Returns:
+            List[TradeStopLoss]: A list of stop losses
+        """
+        query_params = {}
+
+        if triggered is not None:
+            query_params["triggered"] = triggered
+
+        return self.trade_stop_loss_service.get_all(query_params)

investing_algorithm_framework/app/eventloop.py

@@ -351,7 +351,7 @@ def start(
                     sorted_times,
                     total=len(sorted_times),
                     colour="GREEN",
-                    desc="Running backtest"
+                    desc="Running event backtest"
                 ):
                     self._configuration_service.add_value(
                         INDEX_DATETIME, current_time

investing_algorithm_framework/app/reporting/ascii.py

@@ -4,8 +4,8 @@
 
 from tabulate import tabulate
 
-from investing_algorithm_framework.domain import DATETIME_FORMAT, \
-    BacktestDateRange, TradeStatus, OrderSide, TradeRiskType, Backtest
+from investing_algorithm_framework.domain import DATETIME_FORMAT, Backtest, \
+    BacktestDateRange, TradeStatus, OrderSide
 from investing_algorithm_framework.domain.constants import \
     DATETIME_FORMAT_BACKTESTING
 
@@ -144,7 +144,7 @@ def get_high_water_mark(stop_loss):
 
     def get_stop_loss_price(take_profit):
 
-        if TradeRiskType.TRAILING.equals(take_profit["trade_risk_type"]):
+        if take_profit["trailing"]:
             initial_price = take_profit["open_price"]
             percentage = take_profit["percentage"]
             initial_stop_loss_price = \
@@ -164,7 +164,7 @@ def get_stop_loss_price(take_profit):
                         "trading_symbol": trade.trading_symbol,
                         "status": get_status(stop_loss),
                         "trade_id": stop_loss.trade_id,
-                        "trade_risk_type": stop_loss.trade_risk_type,
+                        "trailing": stop_loss.trailing,
                         "percentage": stop_loss.percentage,
                         "open_price": stop_loss.open_price,
                         "sell_percentage": stop_loss.sell_percentage,
@@ -188,7 +188,7 @@ def get_stop_loss_price(take_profit):
                         "trading_symbol": trade.trading_symbol,
                         "status": get_status(stop_loss),
                         "trade_id": stop_loss.trade_id,
-                        "trade_risk_type": stop_loss.trade_risk_type,
+                        "trailing": stop_loss.trailing,
                         "percentage": stop_loss.percentage,
                         "open_price": stop_loss.open_price,
                         "sell_percentage": stop_loss.sell_percentage,
@@ -229,7 +229,7 @@ def get_stop_loss_price(take_profit):
         for stop_loss in selection
     ]
     stop_loss_table["Type"] = [
-        f"{stop_loss['trade_risk_type']}" for stop_loss in selection
+        f"{stop_loss['trailing']}" for stop_loss in selection
     ]
     stop_loss_table["Stop Loss (Initial Stop Loss)"] = [
         get_stop_loss_price(stop_loss) for stop_loss in selection
@@ -284,7 +284,7 @@ def get_sold_amount(take_profit):
 
     def get_take_profit_price(take_profit):
 
-        if TradeRiskType.TRAILING.equals(take_profit["trade_risk_type"]):
+        if take_profit["trailing"]:
             initial_price = take_profit["open_price"]
             percentage = take_profit["percentage"]
             initial_take_profit_price = \
@@ -315,7 +315,7 @@ def get_status(take_profit):
                         "trading_symbol": trade.trading_symbol,
                         "status": get_status(take_profit),
                         "trade_id": take_profit.trade_id,
-                        "trade_risk_type": take_profit.trade_risk_type,
+                        "trailing": take_profit.trailing,
                         "percentage": take_profit.percentage,
                         "open_price": take_profit.open_price,
                         "sell_percentage": take_profit.sell_percentage,
@@ -341,7 +341,7 @@ def get_status(take_profit):
                         "trading_symbol": trade.trading_symbol,
                         "status": get_status(take_profit),
                         "trade_id": take_profit.trade_id,
-                        "trade_risk_type": take_profit.trade_risk_type,
+                        "trailing": take_profit.trailing,
                         "percentage": take_profit.percentage,
                         "open_price": take_profit.open_price,
                         "sell_percentage": take_profit.sell_percentage,
@@ -383,7 +383,7 @@ def get_status(take_profit):
         for stop_loss in selection
     ]
     take_profit_table["Type"] = [
-        f"{stop_loss['trade_risk_type']}" for stop_loss
+        f"{take_profit['trailing']}" for take_profit
         in selection
     ]
     take_profit_table["Take profit (Initial Take Profit)"] = [