🧼 chore(trade): abstract fxs and improve typing 🧼 (#248)

* is not equal * clean up * fill orders fx * add types and tests * #patch * use Union for multitypes * Update Calculus.py * pin plotly version for vectorbt * try this * again * datetime * array
alkalescent · Jan 30, 2025 · d5fc942 · d5fc942
1 parent 8b9aa90
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diff --git a/encrypted/optimize_portfolio.py.encrypted b/encrypted/optimize_portfolio.py.encrypted
@@ -1 +1 @@
-gAAAAABnk1xQzWSAT0Vf77Vrl7IWhzfgK3L0X4FssVTP-qNrVZMuniiANHgTeRl1RJDmImV3BPA4ZHu7AsOP3QryfS3dE31h0ggfBio4we76ui3VqgJqgzt2P7AA3U7bxdZXQDd6peKShMDJDO6ssYflmGEpgYkpSSHezcYxVq3x5hmew1TYBl0ssOqKID9lrV9ZesO8TWcNGHEo4AE53kBq0K-3vA51MWrGXM9qCS2IuVXoV6yuAKryju97rMu7kFwnKIEgg8DuQqmWSI9f7acUHzuFK4vOSmgryJxGdXvqwshy822n94xLnRPEpQHaeTEVyoJRtA3gnu3Q1FOg6Z7Xe1Ne_lY3dmn8KBrt9ghf5GmbAefKllsW-dDhutL--5vdBgSBu0WcqqXE2LGXM2-g-Vlc4MBmtyJGv1icP6MRFbV0vKd5KlTwD-3hcSxDkqUsU5-xSojeXuXHsvvP0nPIrZJXSJgAkmYtQ4y5dRjPKsg3qQd_g7YXsblzH9GQufcd891k4aAQrQNMjKOlUiNycduxC0bsWuDBsEGBYh7kVh43oOJZOrCX8h-JfKxJWU3k82fJkDhdTGSVVD62BsK77s1FkwbV6NGQk-HCyxFat6j4u8byB-HDXG8xGx5FwH0OdgZHcEuOrDo4JUsagJ_D61Ooo2ysuvVu0V-xTU660nkqg6t14kPl2aXzHWlAjv6mrKgvFYD56XJ1HD7uuRJWdwtDi2ANfnYBWyzYx26R_fCjnaBGb_n_CNZtc1rz933Ssky9WvUu3FduAJ7RV4Y0aqBJ17BXrT_HEpdr7kAIijqp60lDh0U2CZ7I-6gwJ0LhqNWqL_xnH8YIKkPoVh-9Hx7UaIHtmxJrVihsdtZOS6T_b5OduL3rv4K1i6vspoTSqyywlFaTXVLppFTepHoXUR1ep4z9mPfiSrYlyvD9L0OWAXt5sk78yELF0MBQa7wvRHxP3sLAke0kgVZwjdBKB5uECdpDgDlmzS8A9ZxvH2xs4ImgUqm_kDN4EhB45M1Go3UJWeo8HwHBQ1Y7avCORX7OIDYOjXdjVw31lhiUNYlVVgBuUTi2AM4wMgmMgIR_QrYxC414VRPQ8K32R0MoyBD5DrTZH7-ptFa9PxtTrN7D_sMK8khrIKv4HYZ6ysKRNifoQVeucriNt6URRJtGfMlHgk9oqi7uClfRHfObbchw6biXgrJIAlvOIFO7EzO6_SWkqYjTF2zxZL_wTJA-EkNSsIwxpL4gXlIRpNTAaf8EZw17fYpFmy_GA4RL8tbjku3q7Ik55mhsgK_D5eLMuJmj_qy_q4zs5BMAikfPguP-E7NlNS62TIGTwsHOKt6uMgPDAGL3TEwEIYkx9GmJnGJ-mDYD5mJI400BWj_4LIh3e-J1VwcCdzGBa04rVEyXz0YzTiAG4O2gWQrrPnTw1ZeWaqmNG9_pFJF5tuWR1BYk95qM0VBWIkmJPnpDRZRPn3Eso74TgwmlfIRVtjKyWyI_ZGOIJwK3WrAUwG-W-OxEnzdqp-sTjZNF-R2AGD-VlkZev9L_jWNFKibdlmXW1zRmy_A7w-_Jg5cQ5lpr4ggBsjDwx8sHaUlVjd6CLgrM2knJPQJRac2YYOYGGyeCj3IkebDHv9LeckUieNGdajmV6pooIyyXEp0BFWn16YOGmVxC1Rs0H0pnd5eiZq5HdKZ1Vy_FQAufUGKyXn_OZ0DUfeq-Aw5gZF4qqZOsniv-caVc4Du8I8SsFT5SwJ2Sq2RwUfWEiprrR38oOB8TPeaaOhd2veYdn77c9x7AsvsZvQnPjFj3rAIv9Q3g8i79-x4GsaLrhYx12_zs9GlNJPr0kHHFD1a0hpPxjR13azGoNy-N-5Oci7GbaAQDZttq9dfx4Y5M18H3DLupnhU421P8jikJsKIT8f4xns7G8a3lbKRoB2gge3y8H58vHhvmQKjwd_lFeQJaD-Ix2wNH2uyh9H1YKYhTg10c4nIa1IxohyMmyIrfCGdVFM_hRLOv2nd3Dn4Mtd-Ad-4Tksml0t39RX5npcEEvFfzEeoO4A5ci2GGS8mHtNV6_s9KhTd7p_Ch82X6PFz6AetlTeNmjT46xYypjlTHvTp5qqgVs9F-gvy0LeR4oywq3iAL8a-_HmtXXRUqqi5j0gRySIEiF4wsjz4t6F3DPtyrQcKLtdN1d1ZwMi6GUXsZS5dp7grC7l72elEDV66KvvrUx-BVSPAhPN5nN_lyTkXgOu_yWGhR2u7q5fGJQfwZrmhlabNPLNgOn7fee69AGMWvfGeVGwTCaY68NWIWpDOo4Su0VEM11HqTVnhunXt9a-jUNQgFJxWyBmQRbGRUs8nvYLj4InK_uh3hxfbZQwBOqpMFeg3c-TZk-yaksGp57pD1t5PVPCyMjZVJSQhyQewHqwzgMsANsh3ZpeVKVR2-PhouKFKpDRVpnl5gWMovD4aXUhMdyA1xIdVnZ9sSH4bLkCtqixJ-_yvMnAIu-PMAzooPLV9cYpBoUPTNYUYesgya0q5WfKyDvYrCd23yIy98YO4H5I_Yz7EFwj895ca3p1r5pxxO1HxHBUgB3pwlsPkDWh4DfFVKEtTHiO1it3c-mEZVeWCOQArmV-4O6tTsAk6zsPdcYYdPRMjrMtLGqNgDQNY_lNE08TIqIi48-NkN4yZB9UFE6mZdjrxvsMbeyE2yPPbkqVpdQ-IdSECjekXS10v5nUzmu0ZA-JXsev8oItVn8BtmalnbYdx5dQDpUakBhjrAHMbQB2FYp2DxnXop6vBtNTi_9mC6IdkuoKgJda8TChFp7ab7O1yoRlq8m4OK66xseH_gyfmocroDmlIRDl9En7o8Pz4XPOImtkr3gDPA7Pi5aEqxpoRkZxmApPHtTP3Tp6QWS0VQzFYHwQDv-L8rpffvvZ0z7g21G6ozH3g0Y1b5CJlMxFRyx9b2tOn3L4g0iRAZ1EtU-AzVLhc5NEIiVofIcfMXCzsamf0lCGCfOSE7xGgHHfM4vyGo07OvZdEg9kqfOTaIeM6meR9G0W5LR0zwRGuvAL4Weg575rIrq-AQoRkiXJIG55fjJNKwx8s1wzD5Q6vCoBOzfWMVuoSlC3HpUMXWTiItq5fHKU_oSutWFdrdJ7gLSbLRJzdTO7DH00Wnu4lh-KBStDJxbkOjxzuefnT6RHgNbdJUBtBLoMGbtdcjLLjZFrhR2s8BpbT-3Axc91EyqgD23a3GO5reOVnOL89t-g0XknKVplCArvHXI6hjkCvi6BuNna4TVkKVJOp_n9fnDw0sXL1quyH6nBp7OZ-fyl2VskgWbEbZPLpD4xDTo2siKSGcKkM_Dqmzt9njagifVQPj828dI0Fb7YjByqwwDjedUz0Z3Is9tHGAp0EdXJEbQNhxivqgAu8DVd83Ghc5kRXnzs-bxbWBjxiLb_oFqi_yxLevtav8y1_de9sZZ45ZYyVOLvueAGl3T8FajeSqEsGCIK0tF2dIfXDIEG5xwjp8nE0hK8XxAJ7aDp3CILp-TaKVZ7Sgc2HsWlDR5XzweeYIqyicIdYBOJ6uPxZJfRfZqeVm1axSYWlHaUKhFsgCrOVZGWM-EnZoO-AYR3Yh_xI_Oek-Te9tEPUS5JAH3vSlsXH9nh-TfhQI02Qbr3uvIsJGPKnusqk23hW51P_vsXGpHelAE6Ea-gAfvac-7BrcVWmEX98MSm_BLcxGthftfFtOaZNfcdmVn_F5czeXPCohA7fzYOK8-Miavhb47l0lL8zR0fWhrRU0ylCZTXESlZStiC6UbPvzN-QtOq0-BU7S_i5MAdNE5MOH47D3PEscQjIv2p4D8xPRTnRzvFqFM9Rl3M8HU9xbDum3_cg_rCWURwWQxwrvoGy_kQq1Vl2cz03vOmkUfCMmiGuqI0Q2kL8Sex8ZilUFKmMu4-zFvTaOoQy9eSC-yqUNp8CFDG0B7C0zYYCT96NszR4YS-EH-EfCNYBFbbeTA-EANb8ZWitMPS3skqpAwIl3dVcGyRCBqb1vtMiSrbyywQVijlk=
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diff --git a/hyperdrive/Algotrader.py b/hyperdrive/Algotrader.py
@@ -8,7 +8,7 @@ def __init__(self, load=False):
 
         self.broker = Robinhood()
 
-        if load is True:
+        if load:
             self.broker.load_portfolio()
 
 

diff --git a/hyperdrive/Broker.py b/hyperdrive/Broker.py
@@ -42,7 +42,7 @@ def get_hists(self, symbols, span='year', interval='day', save=False):
         df['begins_at'] = pd.to_datetime(df['begins_at']).apply(
             lambda x: x.tz_localize(None))
         # df = df.sort_values('begins_at')
-        if save is True:
+        if save:
             self.writer.save_csv('data/data.csv', df)
         return df
 

diff --git a/hyperdrive/Calculus.py b/hyperdrive/Calculus.py
@@ -37,6 +37,11 @@ def smooth(self, series, window, order):
             order
         )
 
+    def get_difference(self, old: set, new: set) -> tuple[set, set]:
+        minus = old.difference(new)
+        plus = new.difference(old)
+        return minus, plus
+
     def derive(self, y, x=np.array([0, 1])):
         if isinstance(x, pd.Series):
             x = x.to_numpy()

diff --git a/hyperdrive/DataSource.py b/hyperdrive/DataSource.py
@@ -8,6 +8,7 @@
 from polygon import RESTClient, exceptions
 from dotenv import load_dotenv, find_dotenv
 from FileOps import FileReader, FileWriter
+from Calculus import Calculator
 from TimeMachine import TimeTraveller
 from Constants import PathFinder
 import Constants as C
@@ -27,6 +28,7 @@ def __init__(self):
         self.reader = FileReader()
         self.finder = PathFinder()
         self.traveller = TimeTraveller()
+        self.calculator = Calculator()
         self.provider = 'polygon'
 
     def get_indexer(self, s1, s2):
@@ -419,8 +421,7 @@ def save_ndx(self, **kwargs):
         before = set(self.standardize_ndx(saved)[C.SYMBOL])
         after = set(self.get_latest_ndx(**kwargs)[C.SYMBOL])
         today = datetime.now().strftime(C.DATE_FMT)
-        minus = before.difference(after)
-        plus = after.difference(before)
+        minus, plus = self.calculator.get_difference(before, after)
         union = list(minus.union(plus))
         to_append = pd.DataFrame({
             C.TIME: [today] * len(union),

diff --git a/hyperdrive/Exchange.py b/hyperdrive/Exchange.py
@@ -5,25 +5,27 @@
 import hashlib
 import requests
 import urllib.parse
+from time import sleep
 from binance import Client
+from typing import Iterable, Union, Optional
 from binance.helpers import round_step_size
 from dotenv import load_dotenv, find_dotenv
 import Constants as C
 load_dotenv(find_dotenv('config.env'))
 
 
 class CEX:
-    def create_pair(self, base, quote):
+    def create_pair(self, base: str, quote: str) -> str:
         return f'{base}{quote}'
 
 
 class AlpacaEx(CEX):
     def __init__(
             self,
-            token=os.environ.get('ALPACA'),
-            secret=os.environ.get('ALPACA_SECRET'),
-            paper=False
-    ):
+            token: Optional[str] = os.environ.get('ALPACA'),
+            secret: Optional[str] = os.environ.get('ALPACA_SECRET'),
+            paper: bool = False
+    ) -> None:
         super().__init__()
         self.base = (f'https://{"paper-" if paper or C.TEST else ""}'
                      'api.alpaca.markets')
@@ -35,7 +37,35 @@ def __init__(
         if not (self.token and self.secret):
             raise Exception('missing Alpaca credentials')
 
-    def make_request(self, method, route, payload={}):
+    def fill_orders(
+            self,
+            symbols: Iterable[str],
+            func: callable,
+            **kwargs: dict[str, any]
+    ) -> list[dict[str, any]]:
+        pending_orders = set()
+        completed_orders = []
+        for symbol in symbols:
+            order = func(symbol, **kwargs)
+            if order['status'] == 'filled':
+                completed_orders.append(order)
+            else:
+                pending_orders.add(order['id'])
+        while pending_orders:
+            for id in list(pending_orders):
+                order = self.get_order(id)
+                if order['status'] == 'filled':
+                    completed_orders.append(order)
+                    pending_orders.discard(id)
+            sleep(1)
+        return completed_orders
+
+    def make_request(
+            self,
+            method: str,
+            route: str,
+            payload: Optional[dict[str, any]] = {}
+    ) -> any:
         parts = [self.base, self.version, route]
         url = '/'.join(parts)
         headers = {
@@ -49,19 +79,24 @@ def make_request(self, method, route, payload={}):
         else:
             raise Exception(response.text)
 
-    def get_positions(self):
+    def get_positions(self) -> any:
         return self.make_request('GET', 'positions')
 
-    def close_position(self, symbol):
+    def close_position(self, symbol: str) -> any:
         return self.make_request('DELETE', f'positions/{symbol}')
 
-    def get_order(self, id):
+    def get_order(self, id: str) -> any:
         return self.make_request('GET', f'orders/{id}')
 
-    def get_account(self):
+    def get_account(self) -> any:
         return self.make_request('GET', 'account')
 
-    def create_order(self, symbol, side, notional):
+    def create_order(
+            self,
+            symbol: str,
+            side: str,
+            notional: Union[int, float, str]
+    ) -> any:
         payload = {
             'symbol': symbol,
             'side': side.lower(),

diff --git a/hyperdrive/History.py b/hyperdrive/History.py
@@ -17,7 +17,6 @@
 from sklearn.metrics import classification_report
 from imblearn.over_sampling import SMOTE
 from Calculus import Calculator
-from collections.abc import Callable
 import Constants as C
 
 
@@ -44,7 +43,7 @@ def from_signals(self, close, signals, init_cash=1000, fee=0):
     def optimize_portfolio(
             self,
             close: pd.DataFrame,
-            indicator: Callable,
+            indicator: callable,
             top_n: int,
             period: str,
             init_cash: float,
@@ -65,15 +64,15 @@ def optimize_portfolio(
             if prev_period != curr_period:
                 # Rank symbols by indicator and select top_n
                 top_symbols = set(signals.loc[day].nlargest(top_n).index)
+                minus, plus = self.calc.get_difference(
+                    prev_symbols, top_symbols)
                 # Sell old positions for the top symbols
-                minus = prev_symbols.difference(top_symbols)
                 for symbol in minus:
                     size = holdings[symbol]
                     positions.loc[day, symbol] = - size
                     holdings["cash"] += close.loc[day][symbol] * size
                     del holdings[symbol]
                 # Buy new positions for the top symbols
-                plus = top_symbols.difference(prev_symbols)
                 notional = holdings["cash"] / len(plus)
                 for symbol in plus:
                     size = notional / close.loc[day][symbol]

diff --git a/requirements.txt b/requirements.txt
@@ -17,4 +17,5 @@ pynisher == 0.6.4
 numpy == 1.23.5
 beautifulsoup4 == 4.12.3
 lxml == 5.3.0
-selenium
+plotly == 5.24.1
+selenium
diff --git a/scripts/execute_order.py b/scripts/execute_order.py
@@ -21,6 +21,7 @@
 num_unique_signals = len(set(last_two_signals))
 signal = last_two_signals[-1]
 should_order = num_unique_signals > 1
+should_order = False  # disable trading
 
 if should_order:
     side = C.BUY if signal else C.SELL

diff --git a/test/test_Exchange.py b/test/test_Exchange.py
@@ -20,6 +20,17 @@ def test_init(self):
         assert hasattr(alpc, 'token')
         assert hasattr(alpc, 'secret')
 
+    def test_fill_orders(self):
+        positions = alpc.get_positions()
+        if any([position['symbol'] == 'LTC/USD' for position in positions]):
+            orders = alpc.fill_orders(['LTC/USD'], alpc.close_position)
+        else:
+            orders = alpc.fill_orders(
+                ['LTC/USD'], alpc.create_order, side='buy', notional=10)
+
+        for order in orders:
+            assert 'id' in order
+
     def test_make_request(self):
         acct = alpc.make_request('GET', 'account')
         assert acct['status'] == 'ACTIVE'
Original file line number	Diff line number	Diff line change
		@@ -1 +1 @@
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