Merge pull request #4 from bsdz/asset_field_extensions

Asset field extensions + strategy runner refactor

Author: bsdz

.flake8

@@ -0,0 +1,3 @@
+[flake8]
+max-line-length = 88
+extend-ignore = E203, E704, E741, F401

.gitignore

@@ -104,6 +104,7 @@ celerybeat.pid
 # Environments
 .env
 .venv
+.venv.*
 env/
 venv/
 ENV/

README.md

@@ -25,10 +25,10 @@ Below is an example usage (the performance of the example strategy won't be good
 ```python
 import pandas as pd
 
-from yabte.backtest import Strategy, StrategyRunner, Order, Book
-from yabte.utilities.plot.plotly.strategy_runner import plot_strategy_runner
-from yabte.utilities.strategy_helpers import crossover
+from yabte.backtest import Book, SimpleOrder, Strategy, StrategyRunner
 from yabte.tests._helpers import generate_nasdaq_dataset
+from yabte.utilities.plot.plotly.strategy_runner import plot_strategy_runner_result
+from yabte.utilities.strategy_helpers import crossover
 
 
 class SMAXO(Strategy):
@@ -64,9 +64,9 @@ class SMAXO(Strategy):
             data = df.loc[ix_2d, ("CloseSMAShort", "CloseSMALong")].dropna()
             if len(data) == 2:
                 if crossover(data.CloseSMAShort, data.CloseSMALong):
-                    self.orders.append(Order(asset_name=symbol, size=-100))
+                    self.orders.append(SimpleOrder(asset_name=symbol, size=-100))
                 elif crossover(data.CloseSMALong, data.CloseSMAShort):
-                    self.orders.append(Order(asset_name=symbol, size=100))
+                    self.orders.append(SimpleOrder(asset_name=symbol, size=100))
 
 
 # load some data
@@ -79,18 +79,17 @@ book = Book(name="Main", cash="100000")
 sr = StrategyRunner(
     data=df_combined,
     assets=assets,
-    strat_classes=[SMAXO],
+    strategies=[SMAXO()],
     books=[book],
 )
-sr.run()
+srr = sr.run()
 
 # see the trades or book history
-th = sr.transaction_history
-bch = sr.book_history.loc[:, (slice(None), "cash")]
+th = srr.transaction_history
+bch = srr.book_history.loc[:, (slice(None), "cash")]
 
 # plot the trades against book value
-plot_strategy_runner(sr);
-
+plot_strategy_runner_result(srr, sr)
 ```
 
 ![Output from code](https://raw.githubusercontent.com/bsdz/yabte/main/readme_image.png)

docs/index.rst

@@ -28,7 +28,7 @@ A typical strategy looks as follows:
 
 .. code-block:: python
 
-   from yabte.backtest import Strategy, StrategyRunner, Order, Book, Asset
+   from yabte.backtest import Strategy, StrategyRunner, SimpleOrder, Book, OHLCAsset
    from yabte.utilities.strategy_helpers import crossover
 
    # All strategies inherit from the Strategy base class.
@@ -80,19 +80,19 @@ A typical strategy looks as follows:
                      # executed the next day. There are different types
                      # of order, e.g. positional and basket and some orders
                      # support hooks for running arbitrary checks for limits etc.
-                     self.orders.append(Order(asset_name=symbol, size=-100))
+                     self.orders.append(SimpleOrder(asset_name=symbol, size=-100))
                   elif crossover(data.CloseSMALong, data.CloseSMAShort):
-                     self.orders.append(Order(asset_name=symbol, size=100))
+                     self.orders.append(SimpleOrder(asset_name=symbol, size=100))
 
 
 To run our strategy, we use a StrategyRunner:
 
 .. code-block:: python
 
-   # The Asset class is any pricable object with accompanying High, Low, Close,
-   # Open & Volume field data. One can subclass Asset to support different field
+   # The OHLCAsset class is any pricable object with accompanying High, Low, Close,
+   # Open & Volume field data. One can subclass OHLCAsset to support different field
    # types, e.g. Volatility.
-   assets = [Asset(name="GOOG", denom="USD"), Asset(name="MSFT", denom="USD")]
+   assets = [OHLCAsset(name="GOOG", denom="USD"), OHLCAsset(name="MSFT", denom="USD")]
 
    sr = StrategyRunner(
       # Data is provided as a pandas dataframe with two level

docs/yabte.backtest.rst

@@ -9,7 +9,7 @@ Strategy
       :members:
       :member-order: bysource
 
-Order
+SimpleOrder
 -----
    .. autoclass:: yabte.backtest.order.OrderStatus
       :members:
@@ -39,7 +39,7 @@ Book
       :members:
       :member-order: bysource
 
-Asset
+OHLCAsset
 -----
 
    .. automodule:: yabte.backtest.asset