Linting.

Add setuptools as dev dependency (mypy no longer bundles).

Author: bsdz

poetry.lock

@@ -26,6 +26,7 @@ isort = "^5.11.4"
 black = {extras = ["jupyter"], version = "^23.1.0"}
 docformatter = "^1.5.1"
 coverage = "^7.2.1"
+setuptools = "^69.0.3"
 
 [tool.poetry.group.docs]
 optional = true

pyproject.toml

@@ -1,6 +1,13 @@
 # TODO: use absolute imports until mypyc fixes relative imports in __init__.py
 # (https://github.com/mypyc/mypyc/issues/996)
-from yabte.backtest.asset import Asset, AssetDataFieldInfo, AssetName
+from yabte.backtest.asset import (
+    ADFI_AVAILABLE_AT_CLOSE,
+    ADFI_AVAILABLE_AT_OPEN,
+    ADFI_REQUIRED,
+    Asset,
+    AssetDataFieldInfo,
+    AssetName,
+)
 from yabte.backtest.book import Book, BookMandate, BookName
 from yabte.backtest.order import (
     BasketOrder,
@@ -32,4 +39,7 @@
     "Trade",
     "Strategy",
     "StrategyRunner",
+    "ADFI_AVAILABLE_AT_CLOSE",
+    "ADFI_AVAILABLE_AT_OPEN",
+    "ADFI_REQUIRED",
 ]

yabte/backtest/__init__.py

@@ -1,7 +1,5 @@
 from dataclasses import dataclass
 from decimal import Decimal
-
-# from enum import Flag, auto
 from typing import TypeAlias
 
 import pandas as pd
@@ -10,14 +8,11 @@
 __all__ = ["Asset"]
 
 
-# use normal class until mypy supports flags
-class AssetDataFieldInfo:
-    AVAILABLE_AT_CLOSE: int = 1
-    AVAILABLE_AT_OPEN: int = 2
-    REQUIRED: int = 4
-
-
-_FI = AssetDataFieldInfo
+# use ints until mypyc supports IntFlag
+AssetDataFieldInfo = int
+ADFI_AVAILABLE_AT_CLOSE: int = 1
+ADFI_AVAILABLE_AT_OPEN: int = 2
+ADFI_REQUIRED: int = 4
 
 
 AssetName: TypeAlias = str
@@ -58,9 +53,12 @@ def round_quantity(self, quantity) -> Decimal:
     def intraday_traded_price(
         self, asset_day_data: pd.Series, size: Decimal | None = None
     ) -> Decimal:
-        """Calculate price during market hours with given row of
-        `asset_day_data` and the order `size`. The `size` can be used to
-        determine a price from say, bid / ask spreads."""
+        """Calculate price during market hours with given row of `asset_day_data` and
+        the order `size`.
+
+        The `size` can be used to
+        determine a price from say, bid / ask spreads.
+        """
         raise NotImplementedError(
             "The intraday_traded_price method needs to be implemented."
         )
@@ -95,11 +93,11 @@ class Asset(AssetBase):
 
     def data_fields(self) -> list[tuple[str, AssetDataFieldInfo]]:
         return [
-            ("High", _FI.AVAILABLE_AT_CLOSE),
-            ("Low", _FI.AVAILABLE_AT_CLOSE),
-            ("Open", _FI.AVAILABLE_AT_CLOSE | _FI.AVAILABLE_AT_OPEN),
-            ("Close", _FI.AVAILABLE_AT_CLOSE | _FI.REQUIRED),
-            ("Volume", _FI.AVAILABLE_AT_CLOSE),
+            ("High", ADFI_AVAILABLE_AT_CLOSE),
+            ("Low", ADFI_AVAILABLE_AT_CLOSE),
+            ("Open", ADFI_AVAILABLE_AT_CLOSE | ADFI_AVAILABLE_AT_OPEN),
+            ("Close", ADFI_AVAILABLE_AT_CLOSE | ADFI_REQUIRED),
+            ("Volume", ADFI_AVAILABLE_AT_CLOSE),
         ]
 
     def intraday_traded_price(
@@ -119,7 +117,7 @@ def check_and_fix_data(self, data: pd.DataFrame) -> pd.DataFrame:
         # TODO: check volume >= 0
 
         # check each asset has required fields
-        required_fields = self._get_fields(_FI.REQUIRED)
+        required_fields = self._get_fields(ADFI_REQUIRED)
         missing_req_fields = set(required_fields) - set(data.columns)
         if len(missing_req_fields):
             raise ValueError(
@@ -128,6 +126,6 @@ def check_and_fix_data(self, data: pd.DataFrame) -> pd.DataFrame:
             )
 
         # reindex columns with expected fields + additional fields
-        expected_fields = self._get_fields(_FI.AVAILABLE_AT_CLOSE)
+        expected_fields = self._get_fields(ADFI_AVAILABLE_AT_CLOSE)
         other_fields = list(set(data.columns) - set(expected_fields))
         return data.reindex(expected_fields + other_fields, axis=1)

yabte/backtest/asset.py

@@ -87,8 +87,8 @@ def test_trades(self, trades: Sequence[Trade]) -> bool:
         return True
 
     def add_transactions(self, transactions: Sequence[Transaction]):
-        """Records the `transactions` and adjusts internal dictionary of
-        positions and value of cash accordingly."""
+        """Records the `transactions` and adjusts internal dictionary of positions and
+        value of cash accordingly."""
         for tran in transactions:
             if isinstance(tran, Trade):
                 self.positions[tran.asset_name] += tran.quantity

yabte/backtest/book.py

@@ -101,8 +101,8 @@ def post_complete(self, trades: List[Trade]):
     def apply(
         self, ts: pd.Timestamp, day_data: pd.DataFrame, asset_map: Dict[str, Asset]
     ):
-        """Applies order to `self.book` for time `ts` using provided `day_data`
-        and dictionary of asset information `asset_map`."""
+        """Applies order to `self.book` for time `ts` using provided `day_data` and
+        dictionary of asset information `asset_map`."""
         raise NotImplementedError("The apply methods needs to be implemented.")
 
 
@@ -192,8 +192,8 @@ class PositionalOrderCheckType(Enum):
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
 class PositionalOrder(Order):
-    """Ensures current position is `size` and will close out existing positions
-    to achieve this."""
+    """Ensures current position is `size` and will close out existing positions to
+    achieve this."""
 
     check_type: PositionalOrderCheckType = PositionalOrderCheckType.POS_TQ_DIFFER
     """Condition type to determine if a trade is required."""
@@ -338,8 +338,8 @@ def apply(
 @mypyc_attr(allow_interpreted_subclasses=True)
 @dataclass(kw_only=True)
 class PositionalBasketOrder(BasketOrder):
-    """Similar to a :py:class:`BasketOrder` but will close out existing
-    positions if they do not match requested weights."""
+    """Similar to a :py:class:`BasketOrder` but will close out existing positions if
+    they do not match requested weights."""
 
     check_type: PositionalOrderCheckType = PositionalOrderCheckType.POS_TQ_DIFFER
 

yabte/backtest/order.py

@@ -12,7 +12,7 @@
 # (https://github.com/mypyc/mypyc/issues/1000)
 from pandas import DataFrame, Series, Timestamp  # type: ignore
 
-from .asset import Asset, AssetDataFieldInfo, AssetName
+from .asset import ADFI_AVAILABLE_AT_OPEN, Asset, AssetName
 from .book import Book, BookMandate, BookName
 from .order import Order, OrderBase, OrderStatus
 
@@ -111,7 +111,7 @@ def _get_col_indexer(self):
                     *[
                         product(
                             [asset.data_label],
-                            asset._get_fields(AssetDataFieldInfo.AVAILABLE_AT_OPEN),
+                            asset._get_fields(ADFI_AVAILABLE_AT_OPEN),
                         )
                         for asset_name, asset in self.assets.items()
                     ]
@@ -122,9 +122,8 @@ def _get_col_indexer(self):
 
     @property
     def data(self) -> pd.DataFrame:
-        """Provides window of data available up to current timestamp `self.ts`
-        and masks out data not availble at open (like high, low, close,
-        volume)."""
+        """Provides window of data available up to current timestamp `self.ts` and masks
+        out data not availble at open (like high, low, close, volume)."""
         if not self.ts:
             return self._data
         else:

yabte/backtest/strategy.py

@@ -2,8 +2,8 @@
 
 
 def crossover(series1: pd.Series, series2: pd.Series) -> bool:
-    """Determine if two series cross over one another. Returns `True` if
-    `series1` just crosses above `series2`.
+    """Determine if two series cross over one another. Returns `True` if `series1` just
+    crosses above `series2`.
 
         >>> crossover(self.data.Close, self.sma)
         True