Fixed support for BinanceFutures Backtesting + added support for several new indicators

blankly/__init__.py

@@ -44,10 +44,6 @@
 from blankly.utils import time_builder
 
 from blankly.enums import Side, OrderType, OrderStatus, TimeInForce
-from blankly.exchanges.interfaces.binance_futures.binance_futures import BinanceFutures
-from blankly.exchanges.interfaces.ftx_futures.ftx_futures import FTXFutures
-from blankly.frameworks.strategy import FuturesStrategy
-from blankly.frameworks.strategy import FuturesStrategyState
 
 from blankly.deployment.reporter_headers import Reporter as __Reporter_Headers
 

blankly/data/data_reader.py

@@ -20,7 +20,6 @@
 import pandas as pd
 from enum import Enum
 
-from blankly.utils import convert_epochs
 from blankly.exchanges.interfaces.futures_exchange_interface import FuturesExchangeInterface
 
 
@@ -42,7 +41,6 @@ class DataTypes(Enum):
 class FileTypes(Enum):
     csv = 'csv'
     json = 'json'
-    df = 'df'
 
 
 class DataReader:
@@ -85,37 +83,19 @@ def _convert_to_list(file_path, symbol):
         Primarily for CSV prices, this allows single or multi sets of symbols to be converted into matching arrays
         """
         # Turn it into a list
-        if isinstance(file_path, str) or isinstance(file_path, pd.DataFrame):
+        if isinstance(file_path, str):
             file_paths = [file_path]
         else:
             file_paths = file_path
 
-        if isinstance(symbol, str) or isinstance(file_path, pd.DataFrame):
+        if isinstance(symbol, str):
             symbols = [symbol]
         else:
             # Could be None still
             symbols = symbol
 
         return file_paths, symbols
 
-    def _parse_df_prices(self, file_paths: list, symbols: list, columns: set) -> None:
-
-        if symbols is None:
-            raise LookupError("Must pass one or more symbols to identify the DataFrame")
-        if len(file_paths) != len(symbols):
-            raise LookupError(f"Mismatching symbol & file path lengths, got {len(file_paths)} and {len(symbols)} for "
-                              f"file paths and symbol lengths.")
-
-        for index in range(len(file_paths)):
-
-            self._check_length(file_paths[index], file_paths[index])
-
-            # Check if its contained
-            assert (columns.issubset(file_paths[index].columns)), f"{columns} not subset of {file_paths[index].columns}"
-
-            # Now push it directly into the dataset and sort by time
-            self._internal_dataset[symbols[index]] = file_paths[index].sort_values('time')
-
     def _parse_csv_prices(self, file_paths: list, symbols: list, columns: set) -> None:
         if symbols is None:
             raise LookupError("Must pass one or more symbols to identify the csv files")
@@ -130,7 +110,7 @@ def _parse_csv_prices(self, file_paths: list, symbols: list, columns: set) -> No
             self._check_length(contents, file_paths[index])
 
             # Check if its contained
-            assert (columns.issubset(contents.columns)), f"{columns} not subset of {contents.columns}"
+            assert (columns.issubset(contents.columns))
 
             # Now push it directly into the dataset and sort by time
             self._internal_dataset[symbols[index]] = contents.sort_values('time')
@@ -162,9 +142,7 @@ def complain_if_different(ending_: str, type_: str):
                 raise LookupError("Cannot pass both csv files and json files into a single constructor.")
 
         for file_path in file_paths:
-            if isinstance(file_path, pd.DataFrame):
-                complain_if_different('df', FileTypes.df.value)
-            elif file_path[-3:] == 'csv':
+            if file_path[-3:] == 'csv':
                 complain_if_different('csv', FileTypes.csv.value)
             elif file_path[-4:] == 'json':
                 # In this instance the symbols should be None
@@ -178,23 +156,12 @@ def _guess_resolutions(self):
         for symbol in self._internal_dataset:
             # Get the time diff
             time_series: pd.Series = self._internal_dataset[symbol]['time']
-
-            # Convert all epochs using the convert epoch function
-            time_series = time_series.apply(lambda x: convert_epochs(x))
-
             time_dif = time_series.diff()
 
             # Now find the most common difference and use that
             if symbol not in self.prices_info:
                 self.prices_info[symbol] = {}
 
-            guessed_resolution = int(time_dif.value_counts().idxmax())
-
-            # If the resolution is 0, then we have a problem
-            if guessed_resolution == 0:
-                raise LookupError(f"Resolution is 0 for {symbol}, this is not allowed. Please check your data."
-                                  f" This commonly occurs when the data is in exponential format or too few datapoints")
-
             # Store the resolution start time and end time of each dataset
             self.prices_info[symbol]['resolution'] = int(time_dif.value_counts().idxmax())
             self.prices_info[symbol]['start_time'] = time_series.iloc[0]
@@ -228,9 +195,7 @@ def __init__(self, file_path: [str, list], symbol: [str, list]):
 
         super().__init__(data_type)
 
-        if data_type == FileTypes.df.value:
-            self._parse_df_prices(file_paths, symbols, {'open', 'high', 'low', 'close', 'volume', 'time'})
-        elif data_type == FileTypes.json.value:
+        if data_type == FileTypes.json.value:
             self._parse_json_prices(file_paths, ('open', 'high', 'low', 'close', 'volume', 'time'))
         elif data_type == FileTypes.csv.value:
             self._parse_csv_prices(file_paths, symbols, {'open', 'high', 'low', 'close', 'volume', 'time'})
@@ -243,9 +208,8 @@ def __init__(self, file_path: [str, list], symbol: [str, list]):
 class EventReader(DataReader):
     def __init__(self, event_type: str, events: dict):
         super().__init__(DataTypes.event_json)
-        if events:
-            time, data = zip(*events.items())
-            self._write_dataset({'time': time, 'data': data}, event_type, ('time', 'data'))
+        time, data = zip(*events.items())
+        self._write_dataset({'time': time, 'data': data}, event_type, ('time', 'data'))
 
 
 class JsonEventReader(DataReader):

blankly/data/templates/keyless.py

@@ -40,5 +40,5 @@ def init(symbol, state: blankly.StrategyState):
     strategy.add_price_event(price_event, symbol='BTC-USD', resolution='1d', init=init)
 
     # Backtest the strategy
-    results = strategy.backtest(start_date=1598377600, end_date=1650067200, initial_values={'USD': 10000})
+    results = strategy.backtest(start_date=1588377600, end_date=1650067200, initial_values={'USD': 10000})
     print(results)

blankly/data/templates/none.py

@@ -7,4 +7,4 @@
     if blankly.is_deployed:
         strategy.start()
     else:
-        strategy.backtest(to='1y', initial_values={'QUOTE_ASSET': 10000})
+        strategy.backtest(to='1y', initial_values={'USD': 10000})

blankly/data/templates/rsi_bot.py

@@ -44,4 +44,4 @@ def init(symbol, state: blankly.StrategyState):
     if blankly.is_deployed:
         strategy.start()
     else:
-        strategy.backtest(to='1y', initial_values={'QUOTE_ASSET': 10000})
+        strategy.backtest(to='1y', initial_values={'USD': 10000})

blankly/deployment/exchange_data.py

@@ -67,12 +67,10 @@ def kucoin_test_func(auth, tld):
                                                      base_url=(alpaca_api.live_url,
                                                                alpaca_api.paper_url)[auth['sandbox']]
                                                      ).get_account()),
-
     Exchange('binance', ['BTC-USDT', 'ETH-USDT', 'SOL-USDT'],
              lambda auth, tld: BinanceClient(api_key=auth['API_KEY'], api_secret=auth['API_SECRET'],
                                              tld=tld, testnet=auth['sandbox']).get_account(),
              tlds=['com', 'us'], currency='USDT'),
-
     Exchange('coinbase_pro', ['BTC-USD', 'ETH-USD', 'SOL-USD'],
              lambda auth, tld: CoinbaseProAPI(api_key=auth['API_KEY'], api_secret=auth['API_SECRET'],
                                               api_pass=auth['API_PASS'],
@@ -83,12 +81,10 @@ def kucoin_test_func(auth, tld):
     Exchange('ftx', ['BTC-USD', 'ETH-USD', 'SOL-USD'],
              lambda auth, tld: FTXAPI(auth['API_KEY'], auth['API_SECRET'], tld).get_account_info(),
              tlds=['com', 'us'], python_class='FTX', display_name='FTX'),
-
     Exchange('oanda', ['BTC-USD', 'ETH-USD', 'SOL-USD'],
              lambda auth, tld: OandaAPI(personal_access_token=auth['PERSONAL_ACCESS_TOKEN'],
                                         account_id=auth['ACCOUNT_ID'], sandbox=auth['sandbox']).get_account(),
              key_info=['ACCOUNT_ID', 'PERSONAL_ACCESS_TOKEN']),
-
     Exchange('kucoin', ['BTC-USDT', 'ETH-USDT', 'SOL-USDT'], kucoin_test_func,
              key_info=['API_KEY', 'API_SECRET', 'API_PASS'], currency='USDT'),
 ]