Skip to content

data ¤

BackTestDataFeed ¤

BackTestDataFeed(
    data: DataFrame,
    name: str,
    timeframe: str | int | Timedelta | None = None,
    meta: dict | None = None,
    since: int | str | Timestamp | None = None,
    to: int | str | Timestamp | None = None,
    **kwargs
)

Bases: DataFeed

BackTest DataFeed

Parameters:

  • data (DataFrame) –

    description

  • name (str) –

    description

  • timeframe (str | int | Timedelta | None, default: None ) –

    description. Defaults to None.

  • meta (dict | None, default: None ) –

    description. Defaults to None.

  • since (int | str | Timestamp | None, default: None ) –

    Drop data before since. Defaults to None.

  • to (int | str | Timestamp | None, default: None ) –

    Drop data after to. Defaults to None.

Source code in lettrade/exchange/backtest/data.py 
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
def __init__(
    self,
    data: pd.DataFrame,
    name: str,
    timeframe: str | int | pd.Timedelta | None = None,
    meta: dict | None = None,
    since: int | str | pd.Timestamp | None = None,
    to: int | str | pd.Timestamp | None = None,
    **kwargs,
) -> None:
    """_summary_

    Args:
        data (pd.DataFrame): _description_
        name (str): _description_
        timeframe (str | int | pd.Timedelta | None, optional): _description_. Defaults to None.
        meta (dict | None, optional): _description_. Defaults to None.
        since (int | str | pd.Timestamp | None, optional): Drop data before since. Defaults to None.
        to (int | str | pd.Timestamp | None, optional): Drop data after to. Defaults to None.
    """
    if timeframe is None:
        timeframe = self._find_timeframe(data)
        logger.info("DataFeed %s auto detect timeframe %s", name, timeframe)
    super().__init__(
        data=data,
        name=name,
        timeframe=timeframe,
        meta=meta,
        **kwargs,
    )
    if since is not None or to is not None:
        self.drop(since=since, to=to)

i property ¤

i: indicator

Alias to lettrade.indicator and using in DataFeed by call: DataFeed.i.indicator_name()

is_main property ¤

is_main: bool

Property to check DataFeed is main DataFeed or not

l instance-attribute ¤

l: LetDataFeedWrapper

LetTrade DataFeed wrapper using to manage index pointer of DataFeed

meta property ¤

meta: dict

Property to get metadata of DataFeed

name property ¤

name: str

Property to get name of DataFeed

now property ¤

now: Timestamp

Property to get current index value of DataFeed

timeframe property ¤

timeframe: TimeFrame

Property to get timeframe of DataFeed

bar ¤

bar(i: int = 0) -> Timestamp

Get current pd.Timestamp value of DataFeed

Parameters:

  • i (int, default: 0 ) –

    Index. Defaults to 0.

Returns:

  • Timestamp –

    pd.Timestamp: description

Source code in lettrade/data/data.py 
108
109
110
111
112
113
114
115
116
117
def bar(self, i: int = 0) -> pd.Timestamp:
    """Get current pd.Timestamp value of DataFeed

    Args:
        i (int, optional): Index. Defaults to 0.

    Returns:
        pd.Timestamp: _description_
    """
    return self.l.index[i]

copy ¤

copy(deep: bool = False, **kwargs) -> DataFeed

summary

Parameters:

  • deep (bool, default: False ) –

    description. Defaults to False.

Returns:

Source code in lettrade/data/data.py 
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
def copy(self, deep: bool = False, **kwargs) -> "DataFeed":
    """_summary_

    Args:
        deep (bool, optional): _description_. Defaults to False.

    Returns:
        DataFeed: _description_
    """
    df = super().copy(deep=deep)
    df = self.__class__(
        data=df,
        name=self.name,
        timeframe=self.timeframe,
        meta=self.meta.copy(),
        **kwargs,
    )
    return df

drop ¤

drop(
    *args,
    since: int | str | Timestamp | None = None,
    to: int | str | Timestamp | None = None,
    **kwargs
) -> None | DataFeed

summary

Parameters:

  • since (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

  • to (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/data/data.py 
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
def drop(
    self,
    *args,
    since: int | str | pd.Timestamp | None = None,
    to: int | str | pd.Timestamp | None = None,
    **kwargs,
) -> "None | DataFeed":
    """_summary_

    Args:
        since (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.
        to (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.

    Raises:
        RuntimeError: _description_
    """
    if since is None and to is None:
        return super().drop(*args, **kwargs)

    condiction = None

    # Since
    if since is not None:
        if isinstance(since, int):
            loc = self.l.index[since]
        elif isinstance(since, str):
            loc = pd.to_datetime(since, utc=True)
        elif isinstance(since, pd.Timestamp):
            loc = since
        else:
            raise RuntimeError(f"DataFeed.drop since {since} is invalid")
        condiction = self.index < loc

    # To
    if to is not None:
        if isinstance(to, int):
            loc = self.l.index[to]
        elif isinstance(to, str):
            loc = pd.to_datetime(to, utc=True)
        elif isinstance(to, pd.Timestamp):
            loc = to
        else:
            raise RuntimeError(f"DataFeed.drop to {to} is invalid")

        if condiction is None:
            condiction = self.index > loc
        else:
            condiction = condiction | (self.index > loc)

    index = self[condiction].index
    super().drop(index=index, inplace=True)
    self.l.reset()

    if __debug__:
        logger.debug("BackTestDataFeed %s dropped %s rows", self.name, len(index))

push ¤

push(
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs
)

Push new rows to DataFeed

Parameters:

  • rows (list[list[int | float]]) –

    list of rows [["timestamp", "open price", "high price"...]]

  • unit (str | None, default: None ) –

    pandas.Timestamp parsing unit. Defaults to None.

  • utc (bool, default: True ) –

    description. Defaults to True.

Source code in lettrade/data/data.py 
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
def push(
    self,
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs,
):
    """Push new rows to DataFeed

    Args:
        rows (list[list[int | float]]): list of rows `[["timestamp", "open price", "high price"...]]`
        unit (str | None, optional): pandas.Timestamp parsing unit. Defaults to None.
        utc (bool, optional): _description_. Defaults to True.
    """
    for row in rows:
        dt = pd.to_datetime(row[0], unit=unit, utc=utc, **kwargs)
        self.at[
            dt,
            (
                "open",
                "high",
                "low",
                "close",
                "volume",
            ),
        ] = (
            row[1],  # open
            row[2],  # high
            row[3],  # low
            row[4],  # close
            row[5],  # volume
        )

    if __debug__:
        logger.debug("[%s] Update bar: \n%s", self.name, self.tail(len(rows)))

CSVBackTestDataFeed ¤

CSVBackTestDataFeed(
    path: str | None = None,
    csv: dict | None = None,
    name: str | None = None,
    timeframe: str | int | Timedelta | None = None,
    meta: dict | None = None,
    data: DataFeed | None = None,
    **kwargs: dict
)

Bases: BackTestDataFeed

Implement help to load DataFeed from csv file

Parameters:

  • path (str | None, default: None ) –

    Path to csv file. Defaults to None.

  • csv (dict | None, default: None ) –

    Reflect of pandas.read_csv() parameters. Defaults to None.

  • name (str | None, default: None ) –

    description. Defaults to None.

  • timeframe (str | int | Timedelta | None, default: None ) –

    description. Defaults to None.

  • meta (dict | None, default: None ) –

    description. Defaults to None.

  • data (DataFeed | None, default: None ) –

    description. Defaults to None.

  • **kwargs (dict, default: {} ) –

    DataFeed dict parameters

Source code in lettrade/exchange/backtest/data.py 
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
def __init__(
    self,
    path: str | None = None,
    csv: dict | None = None,
    name: str | None = None,
    timeframe: str | int | pd.Timedelta | None = None,
    meta: dict | None = None,
    data: DataFeed | None = None,
    **kwargs: dict,
) -> None:
    """_summary_

    Args:
        path (str | None, optional): Path to csv file. Defaults to None.
        csv (dict | None, optional): Reflect of `pandas.read_csv()` parameters. Defaults to None.
        name (str | None, optional): _description_. Defaults to None.
        timeframe (str | int | pd.Timedelta | None, optional): _description_. Defaults to None.
        meta (dict | None, optional): _description_. Defaults to None.
        data (DataFeed | None, optional): _description_. Defaults to None.
        **kwargs (dict): [DataFeed](../../data/data.md#lettrade.data.data.DataFeed) dict parameters
    """
    if name is None:
        name = _path_to_name(path)

    if data is None:
        csv_params = dict(
            index_col=0,
            parse_dates=["datetime"],
            delimiter=",",
            header=0,
        )
        if csv is not None:
            csv_params.update(**csv)

        data = pd.read_csv(path, **csv_params)

        if not isinstance(data.index, pd.DatetimeIndex):
            data.index = data.index.astype("datetime64[ns, UTC]")

        data.sort_index(inplace=True)

    super().__init__(
        data=data,
        name=name,
        timeframe=timeframe,
        meta=meta,
        **kwargs,
    )

i property ¤

i: indicator

Alias to lettrade.indicator and using in DataFeed by call: DataFeed.i.indicator_name()

is_main property ¤

is_main: bool

Property to check DataFeed is main DataFeed or not

l instance-attribute ¤

l: LetDataFeedWrapper

LetTrade DataFeed wrapper using to manage index pointer of DataFeed

meta property ¤

meta: dict

Property to get metadata of DataFeed

name property ¤

name: str

Property to get name of DataFeed

now property ¤

now: Timestamp

Property to get current index value of DataFeed

timeframe property ¤

timeframe: TimeFrame

Property to get timeframe of DataFeed

bar ¤

bar(i: int = 0) -> Timestamp

Get current pd.Timestamp value of DataFeed

Parameters:

  • i (int, default: 0 ) –

    Index. Defaults to 0.

Returns:

  • Timestamp –

    pd.Timestamp: description

Source code in lettrade/data/data.py 
108
109
110
111
112
113
114
115
116
117
def bar(self, i: int = 0) -> pd.Timestamp:
    """Get current pd.Timestamp value of DataFeed

    Args:
        i (int, optional): Index. Defaults to 0.

    Returns:
        pd.Timestamp: _description_
    """
    return self.l.index[i]

copy ¤

copy(deep: bool = False, **kwargs) -> DataFeed

summary

Parameters:

  • deep (bool, default: False ) –

    description. Defaults to False.

Returns:

Source code in lettrade/data/data.py 
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
def copy(self, deep: bool = False, **kwargs) -> "DataFeed":
    """_summary_

    Args:
        deep (bool, optional): _description_. Defaults to False.

    Returns:
        DataFeed: _description_
    """
    df = super().copy(deep=deep)
    df = self.__class__(
        data=df,
        name=self.name,
        timeframe=self.timeframe,
        meta=self.meta.copy(),
        **kwargs,
    )
    return df

drop ¤

drop(
    *args,
    since: int | str | Timestamp | None = None,
    to: int | str | Timestamp | None = None,
    **kwargs
) -> None | DataFeed

summary

Parameters:

  • since (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

  • to (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/data/data.py 
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
def drop(
    self,
    *args,
    since: int | str | pd.Timestamp | None = None,
    to: int | str | pd.Timestamp | None = None,
    **kwargs,
) -> "None | DataFeed":
    """_summary_

    Args:
        since (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.
        to (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.

    Raises:
        RuntimeError: _description_
    """
    if since is None and to is None:
        return super().drop(*args, **kwargs)

    condiction = None

    # Since
    if since is not None:
        if isinstance(since, int):
            loc = self.l.index[since]
        elif isinstance(since, str):
            loc = pd.to_datetime(since, utc=True)
        elif isinstance(since, pd.Timestamp):
            loc = since
        else:
            raise RuntimeError(f"DataFeed.drop since {since} is invalid")
        condiction = self.index < loc

    # To
    if to is not None:
        if isinstance(to, int):
            loc = self.l.index[to]
        elif isinstance(to, str):
            loc = pd.to_datetime(to, utc=True)
        elif isinstance(to, pd.Timestamp):
            loc = to
        else:
            raise RuntimeError(f"DataFeed.drop to {to} is invalid")

        if condiction is None:
            condiction = self.index > loc
        else:
            condiction = condiction | (self.index > loc)

    index = self[condiction].index
    super().drop(index=index, inplace=True)
    self.l.reset()

    if __debug__:
        logger.debug("BackTestDataFeed %s dropped %s rows", self.name, len(index))

push ¤

push(
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs
)

Push new rows to DataFeed

Parameters:

  • rows (list[list[int | float]]) –

    list of rows [["timestamp", "open price", "high price"...]]

  • unit (str | None, default: None ) –

    pandas.Timestamp parsing unit. Defaults to None.

  • utc (bool, default: True ) –

    description. Defaults to True.

Source code in lettrade/data/data.py 
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
def push(
    self,
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs,
):
    """Push new rows to DataFeed

    Args:
        rows (list[list[int | float]]): list of rows `[["timestamp", "open price", "high price"...]]`
        unit (str | None, optional): pandas.Timestamp parsing unit. Defaults to None.
        utc (bool, optional): _description_. Defaults to True.
    """
    for row in rows:
        dt = pd.to_datetime(row[0], unit=unit, utc=utc, **kwargs)
        self.at[
            dt,
            (
                "open",
                "high",
                "low",
                "close",
                "volume",
            ),
        ] = (
            row[1],  # open
            row[2],  # high
            row[3],  # low
            row[4],  # close
            row[5],  # volume
        )

    if __debug__:
        logger.debug("[%s] Update bar: \n%s", self.name, self.tail(len(rows)))

YFBackTestDataFeed ¤

YFBackTestDataFeed(
    name: str,
    ticker: str,
    since: str,
    to: str | None = None,
    period: str | None = None,
    interval: str = "1d",
    **kwargs
)

Bases: BackTestDataFeed

YahooFinance DataFeed

Parameters:

  • name (str) –

    description

  • ticker (str) –

    description

  • since (str) –

    description

  • to (str | None, default: None ) –

    description. Defaults to None.

  • period (str | None, default: None ) –

    description. Defaults to None.

  • interval (str, default: '1d' ) –

    description. Defaults to "1d".

Source code in lettrade/exchange/backtest/data.py 
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
def __init__(
    self,
    name: str,
    ticker: str,
    since: str,
    to: str | None = None,
    period: str | None = None,
    interval: str = "1d",
    **kwargs,
) -> None:
    """_summary_

    Args:
        name (str): _description_
        ticker (str): _description_
        since (str): _description_
        to (str | None, optional): _description_. Defaults to None.
        period (str | None, optional): _description_. Defaults to None.
        interval (str, optional): _description_. Defaults to "1d".
    """
    params = dict(
        start=since,
        end=to,
        period=period,
        interval=interval,
    )

    # Download
    import yfinance as yf

    df = yf.download(ticker, **params)

    # Parse to lettrade datafeed
    from .extra.yfinance import yf_parse

    df = yf_parse(df)

    # Metadata
    meta = dict(yf=dict(ticker=ticker, **params))

    super().__init__(
        name=name,
        meta=meta,
        data=df,
        **kwargs,
    )

i property ¤

i: indicator

Alias to lettrade.indicator and using in DataFeed by call: DataFeed.i.indicator_name()

is_main property ¤

is_main: bool

Property to check DataFeed is main DataFeed or not

l instance-attribute ¤

l: LetDataFeedWrapper

LetTrade DataFeed wrapper using to manage index pointer of DataFeed

meta property ¤

meta: dict

Property to get metadata of DataFeed

name property ¤

name: str

Property to get name of DataFeed

now property ¤

now: Timestamp

Property to get current index value of DataFeed

timeframe property ¤

timeframe: TimeFrame

Property to get timeframe of DataFeed

bar ¤

bar(i: int = 0) -> Timestamp

Get current pd.Timestamp value of DataFeed

Parameters:

  • i (int, default: 0 ) –

    Index. Defaults to 0.

Returns:

  • Timestamp –

    pd.Timestamp: description

Source code in lettrade/data/data.py 
108
109
110
111
112
113
114
115
116
117
def bar(self, i: int = 0) -> pd.Timestamp:
    """Get current pd.Timestamp value of DataFeed

    Args:
        i (int, optional): Index. Defaults to 0.

    Returns:
        pd.Timestamp: _description_
    """
    return self.l.index[i]

copy ¤

copy(deep: bool = False, **kwargs) -> DataFeed

summary

Parameters:

  • deep (bool, default: False ) –

    description. Defaults to False.

Returns:

Source code in lettrade/data/data.py 
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
def copy(self, deep: bool = False, **kwargs) -> "DataFeed":
    """_summary_

    Args:
        deep (bool, optional): _description_. Defaults to False.

    Returns:
        DataFeed: _description_
    """
    df = super().copy(deep=deep)
    df = self.__class__(
        data=df,
        name=self.name,
        timeframe=self.timeframe,
        meta=self.meta.copy(),
        **kwargs,
    )
    return df

drop ¤

drop(
    *args,
    since: int | str | Timestamp | None = None,
    to: int | str | Timestamp | None = None,
    **kwargs
) -> None | DataFeed

summary

Parameters:

  • since (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

  • to (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/data/data.py 
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
def drop(
    self,
    *args,
    since: int | str | pd.Timestamp | None = None,
    to: int | str | pd.Timestamp | None = None,
    **kwargs,
) -> "None | DataFeed":
    """_summary_

    Args:
        since (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.
        to (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.

    Raises:
        RuntimeError: _description_
    """
    if since is None and to is None:
        return super().drop(*args, **kwargs)

    condiction = None

    # Since
    if since is not None:
        if isinstance(since, int):
            loc = self.l.index[since]
        elif isinstance(since, str):
            loc = pd.to_datetime(since, utc=True)
        elif isinstance(since, pd.Timestamp):
            loc = since
        else:
            raise RuntimeError(f"DataFeed.drop since {since} is invalid")
        condiction = self.index < loc

    # To
    if to is not None:
        if isinstance(to, int):
            loc = self.l.index[to]
        elif isinstance(to, str):
            loc = pd.to_datetime(to, utc=True)
        elif isinstance(to, pd.Timestamp):
            loc = to
        else:
            raise RuntimeError(f"DataFeed.drop to {to} is invalid")

        if condiction is None:
            condiction = self.index > loc
        else:
            condiction = condiction | (self.index > loc)

    index = self[condiction].index
    super().drop(index=index, inplace=True)
    self.l.reset()

    if __debug__:
        logger.debug("BackTestDataFeed %s dropped %s rows", self.name, len(index))

push ¤

push(
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs
)

Push new rows to DataFeed

Parameters:

  • rows (list[list[int | float]]) –

    list of rows [["timestamp", "open price", "high price"...]]

  • unit (str | None, default: None ) –

    pandas.Timestamp parsing unit. Defaults to None.

  • utc (bool, default: True ) –

    description. Defaults to True.

Source code in lettrade/data/data.py 
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
def push(
    self,
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs,
):
    """Push new rows to DataFeed

    Args:
        rows (list[list[int | float]]): list of rows `[["timestamp", "open price", "high price"...]]`
        unit (str | None, optional): pandas.Timestamp parsing unit. Defaults to None.
        utc (bool, optional): _description_. Defaults to True.
    """
    for row in rows:
        dt = pd.to_datetime(row[0], unit=unit, utc=utc, **kwargs)
        self.at[
            dt,
            (
                "open",
                "high",
                "low",
                "close",
                "volume",
            ),
        ] = (
            row[1],  # open
            row[2],  # high
            row[3],  # low
            row[4],  # close
            row[5],  # volume
        )

    if __debug__:
        logger.debug("[%s] Update bar: \n%s", self.name, self.tail(len(rows)))