v4.0.7

CHANGELOG.MD

@@ -0,0 +1,15 @@
+# Changelog
+
+## [4.0.7](https://github.com/Ichinga-Samuel/aiomql/releases/edit/untagged-7d784e53ee13316aac97) - 2025-01-16
+
+### Changed
+- Candles underlying DataFrame is now indexed by datetime.
+- Executor runs a strategy via the `run_strategy` method directly with `asyncio.run` without creating as a task.
+- `Strategy` class now has a initialize method that is called before the strategy is run.
+
+### Added
+- `__add__` and `__iadd__` dunder methods for addition and inplace addition of dataframes or series objects to the Candles object.
+- `add` method for adding dataframes or series objects to the Candles object.
+
+### Fixed
+- Candles timeframe attribute returns the correct TimeFrame object.

README.md

@@ -210,6 +210,11 @@ see [API Documentation](docs) for more details
 ### Contributing
 Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
 
+
+### Changelog
+
+See [CHANGELOG](CHANGELOG.md) for more details
+
 ### Support
 Feeling generous, like the package or want to see it become a more mature package?
 

examples/backtesting/backtest_data_01_01_24_06_05_24.json

@@ -0,0 +1,17 @@
+{
+    "balance": 297007.45,
+    "profit": 0,
+    "equity": 297007.45,
+    "margin": 0.0,
+    "margin_free": 297007.45,
+    "margin_level": 0,
+    "wins": 307,
+    "losses": 336,
+    "total": 643,
+    "win_percentage": 47.74,
+    "win": 619421.92,
+    "loss": -323164.47,
+    "net_profit": 296257.45,
+    "profit_factor": 1.92,
+    "profitability": 39500.99
+}

examples/backtesting/backtest_data_01_05_24_06_05_24.json

@@ -1,17 +1,17 @@
 {
-    "balance": 504.26,
+    "balance": 1251.1,
     "profit": 0,
-    "equity": 504.26,
+    "equity": 1251.1,
     "margin": 0.0,
-    "margin_free": 504.26,
+    "margin_free": 1251.1,
     "margin_level": 0,
-    "wins": 12,
-    "losses": 15,
-    "total": 27,
-    "win_percentage": 44.44,
-    "win": 326.55,
-    "loss": -172.29,
-    "net_profit": 154.26,
-    "profit_factor": 1.9,
-    "profitability": 44.07
+    "wins": 29,
+    "losses": 31,
+    "total": 60,
+    "win_percentage": 48.33,
+    "win": 1530.54,
+    "loss": -1029.44,
+    "net_profit": 501.1,
+    "profit_factor": 1.49,
+    "profitability": 66.81
 }

examples/sample_backtester.py

@@ -14,12 +14,12 @@ def back_tester():
     syms = ["Volatility 75 Index", "Volatility 100 Index", "Volatility 25 Index", "Volatility 10 Index"]
     symbols = [ForexSymbol(name=sym) for sym in syms]
     strategies = [FingerTrap(symbol=symbol) for symbol in symbols]
-    start = datetime(2024, 5, 1, tzinfo=UTC)
-    stop_time = datetime(2024, 5, 2, tzinfo=UTC)
+    start = datetime(2024, 1, 1, tzinfo=UTC)
+    stop_time = datetime(2024, 12, 2, tzinfo=UTC)
     end = datetime(2024, 5, 7, tzinfo=UTC)
-    back_test_engine = BackTestEngine(start=start, end=end, speed=7200,
+    back_test_engine = BackTestEngine(start=start, end=end, speed=3600,
                                       close_open_positions_on_exit=True, assign_to_config=True, preload=True,
-                                      account_info={"balance": 350})
+                                      account_info={"balance": 750})
     backtester = BackTester(backtest_engine=back_test_engine)
     backtester.add_strategies(strategies=strategies)
     backtester.execute()

examples/sample_bot.py

@@ -13,7 +13,6 @@ def sample_bot():
     strategies = [Chaos(symbol=symbol) for symbol in symbols]
     bot = Bot()
     bot.executor.timeout = 10
-
     bot.add_coroutine(coroutine=sleep_run)
     bot.add_strategies(strategies=strategies)
     bot.execute()

examples/trade_records/Chaos.csv

@@ -0,0 +1,4 @@
+slow_ema,fast_ema,order,htf,actual_profit,symbol,date,closed,name,price,deal,ltf,bid,win,ask,lcc,volume,expected_profit,hcc
+20,8,8218315320,TIMEFRAME_M2,0,Volatility 75 Index,2025-01-16 11:49:50.421946,False,Chaos,96536.19,8126025355,TIMEFRAME_M1,96536.19,False,96562.33,100,0.001,0,100
+20,8,8218315356,TIMEFRAME_M2,0,Volatility 50 Index,2025-01-16 11:49:54.394496,False,Chaos,272.9174,8126025389,TIMEFRAME_M1,272.9174,False,272.9584,100,4.0,0,100
+20,8,8218315338,TIMEFRAME_M2,0,Volatility 100 Index,2025-01-16 11:49:54.395497,False,Chaos,1939.81,8126025382,TIMEFRAME_M1,1939.27,False,1939.81,100,0.5,0,100

src/aiomql/core/backtesting/backtest_controller.py

@@ -95,6 +95,8 @@ class BackTestController:
             await self.backtest_engine.wrap_up()
             self.stop_backtesting()
         except BrokenBarrierError:
+            await self.backtest_engine.wrap_up()
+            self.stop_backtesting()
             return
 
         except Exception as err:

src/aiomql/core/backtesting/backtest_engine.py

@@ -71,6 +71,7 @@ class BackTestEngine:
     preload: bool
     account_lock: RLock
     account_info: dict
+    checkpoint: float
 
     def __init__(
         self,
@@ -87,6 +88,7 @@ class BackTestEngine:
         preload=True,
         assign_to_config: bool = True,
         account_info: dict = None,
+        checkpoint: float = 0.02
     ):
         self._data = data or BackTestData()
         self.mt5 = MetaTrader()
@@ -115,6 +117,7 @@ class BackTestEngine:
         self.preloaded_ticks = {}
         self.account_lock = RLock()
         self.account_info = account_info or {}
+        self.checkpoint = checkpoint
 
     def __next__(self) -> Cursor:
         try:
@@ -252,6 +255,8 @@ class BackTestEngine:
             profit = sum(pos.profit for pos in self.positions.open_positions)
             self.update_account(profit=profit)
             self.check_account()
+            if int(self.cursor.index % (self.range.stop * self.checkpoint)) == 0:
+                await asyncio.to_thread(self.save_result_to_json)
         except Exception as exe:
             logger.critical("Error in tracker: %s at %d", exe, self.cursor.time)
 

src/aiomql/core/backtesting/get_data.py

@@ -19,7 +19,6 @@ logger = getLogger(__name__)
 
 class Cursor(NamedTuple):
     """A cursor to iterate over the data. Marks the current position."""
-
     index: int
     time: int
 

src/aiomql/core/config.py

@@ -26,6 +26,8 @@ class Config:
     record_trades: bool
     records_dir: Path
     backtest_dir: Path
+    records_dir_name: str
+    backtest_dir_name: str  #Todo: add to docs
     task_queue: TaskQueue
     _backtest_engine: BackTestEngine
     bot: Bot
@@ -38,6 +40,8 @@ class Config:
     _defaults = {
         "timeout": 60000,
         "record_trades": True,
+        "records_dir_name": "trade_records",
+        "backtest_dir_name": "backtesting",
         "config_file": None,
         "trade_record_mode": "csv",
         "mode": "live",
@@ -168,13 +172,13 @@ class Config:
 
     @property
     def records_dir(self):
-        rec_dir = self.root / 'trade_records'
+        rec_dir = self.root / self.records_dir_name or 'trade_records'
         rec_dir.mkdir(parents=True, exist_ok=True) if rec_dir.exists() is False else ...
         return rec_dir
 
     @property
     def backtest_dir(self) -> Path:
-        b_dir = self.root / 'backtesting'
+        b_dir = self.root / self.backtest_dir_name or 'backtesting'
         b_dir.mkdir(parents=True, exist_ok=True) if b_dir.exists() is False else ...
         return b_dir
 

src/aiomql/lib/backtester.py

@@ -149,7 +149,6 @@ class BackTester:
             strategy (Strategy): Strategy class
             params (dict): A dictionary of parameters for the strategy
             symbols (list): A list of symbols to run the strategy on
-            **kwargs: Additional keyword arguments for the strategy
         """
         [self.add_strategy(strategy=strategy(symbol=symbol, params=params, **kwargs)) for symbol in symbols]
 

src/aiomql/lib/bot.py

@@ -157,7 +157,6 @@ class Bot:
             strategy (Strategy): Strategy class
             params (dict): A dictionary of parameters for the strategy
             symbols (list): A list of symbols to run the strategy on
-            **kwargs: Additional keyword arguments for the strategy
         """
         [self.add_strategy(strategy=strategy(symbol=symbol, params=params, **kwargs)) for symbol in symbols]
 

src/aiomql/lib/candle.py

@@ -5,6 +5,7 @@ from typing import Type, Self, Iterable
 from logging import getLogger
 
 from pandas import DataFrame, Series
+import pandas as pd
 import pandas_ta as ta
 
 from ..core.constants import TimeFrame
@@ -27,8 +28,7 @@ class Candle:
         spread (float): Spread
         Index (int): Custom attribute representing the position of the candle in a sequence.
     """
-
-    time: float
+    time: int
     open: float
     high: float
     low: float
@@ -47,8 +47,8 @@ class Candle:
         """
         if not all(i in kwargs for i in ["open", "high", "low", "close"]):
             raise ValueError("Candle must be instantiated with open, high, low and close prices")
-        self.time = kwargs.pop("time", time.monotonic_ns())
-        self.Index = kwargs.pop("Index", 0)
+        self.time = kwargs.pop("time", int(time.time()))
+        self.Index = kwargs.pop("Index", self.time)
         self.real_volume = kwargs.pop("real_volume", 0)
         self.spread = kwargs.pop("spread", 0)
         self.tick_volume = kwargs.pop("tick_volume", 0)
@@ -188,7 +188,9 @@ class Candles:
         else:
             raise ValueError(f"Cannot create DataFrame from object of {type(data)}")
 
-        self._data = data.loc[::-1].reset_index(drop=True) if flip else data
+        self._data = data.loc[::-1] if flip else data
+        if 'time' in self._data.columns and self._data.index.name != 'time':
+            self._data.set_index('time', inplace=True, drop=False)
         self.Candle = candle_class or Candle
 
     def __repr__(self):
@@ -198,13 +200,12 @@ class Candles:
         return len(self._data.index)
 
     def __contains__(self, item: Candle):
-        return item.time == self[item.Index].time
+        return item.time == self._data.loc[int(item.Index)].time
 
     def __getitem__(self, index: slice | int | str) -> Self | Series | Candle:
         if isinstance(index, slice):
             cls = self.__class__
             data = self._data.iloc[index]
-            data.reset_index(drop=True, inplace=True)
             return cls(data=data)
 
         elif isinstance(index, str):
@@ -213,8 +214,8 @@ class Candles:
             return self._data[index]
 
         elif isinstance(index, int):
-            index_ = index if index >= 0 else len(self) + index
-            return self.Candle(**self._data.iloc[index], Index=index_)
+            candle = self._data.iloc[index]
+            return self.Candle(**candle, Index=int(candle.time))
         raise TypeError(f"Expected int, slice or str got {type(index)}")
 
     def __setitem__(self, index, value: Series):
@@ -236,7 +237,7 @@ class Candles:
 
     @property
     def timeframe(self):
-        tf = self.time[1] - self.time[0]
+        tf = self.time.iloc[1] - self.time.iloc[0]
         return TimeFrame.get_timeframe(abs(tf))
 
     @property
@@ -278,3 +279,39 @@ class Candles:
         """
         res = self._data.rename(columns=kwargs, inplace=inplace)
         return self if inplace else self.__class__(data=res)
+
+    def __iadd__(self, row: DataFrame | Series):
+        """Add a new row to the candles class."""
+        # self._data = pd.concat([self._data, row])
+        if isinstance(row, Series):
+            self._data.loc[int(row.time)] = row
+
+        elif isinstance(row, DataFrame):
+            for r in row.iloc:
+                self._data.loc[int(r.time)] = r
+
+        return self
+
+    def __add__(self, row: DataFrame | Series):
+        """Add a new row to the candles class."""
+        if isinstance(row, Series):
+            return pd.concat([self._data, pd.DataFrame(row).T])
+
+        elif isinstance(row, DataFrame):
+            return pd.concat([self._data, row])
+
+
+    def add(self, row: DataFrame | Series) -> bool:
+        """Add a new row to the candles class."""
+        new = True
+        if isinstance(row, Series):
+            if (index := int(row.time)) in self._data.index:
+                new = False
+            self._data.loc[index] = row
+
+        elif isinstance(row, DataFrame):
+            for r in row.iloc:
+                if (index := int(r.time)) in self._data.index:
+                    new = False
+                self._data.loc[index] = r
+        return new

src/aiomql/lib/executor.py

@@ -60,10 +60,10 @@ class Executor:
         """
         self.strategy_runners.append(strategy)
 
-    async def create_strategy_task(self, strategy: Strategy):
-        task = asyncio.create_task(strategy.run_strategy())
-        self.tasks.append(task)
-        await task
+    # async def create_strategy_task(self, strategy: Strategy):
+    #     task = asyncio.create_task(strategy.run_strategy())
+    #     self.tasks.append(task)
+    #     await task
 
     def run_strategy(self, strategy: Strategy):
         """Wraps the coroutine trade method of each strategy with 'asyncio.run'.
@@ -71,7 +71,7 @@ class Executor:
         Args:
             strategy (Strategy): A strategy object
         """
-        asyncio.run(self.create_strategy_task(strategy))
+        asyncio.run(strategy.run_strategy())
 
     async def create_coroutine_task(self, coroutine: Coroutine):
         task = asyncio.create_task(coroutine)

tests/live/unit/test_candles.py

@@ -66,7 +66,6 @@ class TestCandles:
         candle = candles[10]
         assert isinstance(candle, Candle)
         assert candle in candles
-        assert candle.Index == 10
 
     def test_slice(self, candles):
         sliced = candles[10:15]