Better CSV tests

roboquant/brokers/alpacabroker.py

@@ -28,14 +28,9 @@ def __init__(self, api_key=None, secret_key=None) -> None:
         api_key = api_key or config.get("alpaca.public.key")
         secret_key = secret_key or config.get("alpaca.secret.key")
         self.__client = TradingClient(api_key, secret_key)
-        self.__has_new_orders_since_sync = False
         self.price_type = "DEFAULT"
         self.sleep_after_cancel = 0.0
 
-    def _should_sync(self, now: datetime):
-        """Avoid too many API calls"""
-        return self.__has_new_orders_since_sync or now - self.__account.last_update > timedelta(seconds=1)
-
     def _sync_orders(self):
         for order in self.__account.open_orders():
             assert order.id is not None
@@ -64,8 +59,6 @@ def _sync_positions(self):
             self.__account.positions[p.symbol] = new_pos
 
     def sync(self, event: Event | None = None) -> Account:
-
-        logger.debug("start sync")
         now = datetime.now(timezone.utc)
 
         if event:
@@ -82,17 +75,11 @@ def sync(self, event: Event | None = None) -> Account:
 
         self._sync_positions()
         self._sync_orders()
-        logger.debug("end sync")
         return self.__account
 
     def place_orders(self, orders):
 
-        self.__has_new_orders_since_sync = len(orders) > 0
-
-        for idx, order in enumerate(orders, start=1):
-            if idx % 25 == 0:
-                # avoid to many API calls
-                time.sleep(1)
+        for order in orders:
 
             assert order.is_open, "can only place open orders"
             if order.size.is_zero():
@@ -122,10 +109,7 @@ def _get_order_request(self, order: Order):
             )
         else:
             result = MarketOrderRequest(
-                symbol=order.symbol,
-                qty=abs(float(order.size)),
-                side=side,
-                time_in_force=TimeInForce.GTC
+                symbol=order.symbol, qty=abs(float(order.size)), side=side, time_in_force=TimeInForce.GTC
             )
         return result
 

roboquant/brokers/broker.py

@@ -1,4 +1,5 @@
 from abc import ABC, abstractmethod
+from datetime import datetime, timedelta, timezone
 
 from roboquant.account import Account
 from roboquant.event import Event
@@ -51,3 +52,19 @@ def _update_positions(account: Account, event: Event | None, price_type: str = "
     for symbol, position in account.positions.items():
         if price := event.get_price(symbol, price_type):
             position.mkt_price = price
+
+
+class LiveBroker(Broker):
+
+    def __init__(self) -> None:
+        super().__init__()
+        self.max_delay = timedelta(minutes=30)
+
+    def guard(self, event: Event | None = None):
+        if not event:
+            return
+
+        now = datetime.now(timezone.utc)
+
+        if now - event.time > self.max_delay:
+            raise ValueError(f"received event too far in the past now={now} event-time={event.time}")

roboquant/feeds/csvfeed.py

@@ -48,7 +48,7 @@ def __init__(
         frequency="",
     ):
         super().__init__()
-        columns = columns or ["Date", "Open", "High", "Low", "Close", "Volume", "AdjClose", "Time"]
+        columns = columns or ["Date", "Open", "High", "Low", "Close", "Volume", "Adj Close", "Time"]
         self.ohlcv_columns = columns[1:6]
         self.adj_close_column = columns[6] if adj_close else None
         self.date_column = columns[0]
@@ -147,7 +147,7 @@ def stooq_us_intraday(cls, path):
 
         class StooqIntradayFeed(CSVFeed):
             def __init__(self):
-                # from Python 3.11 onwards we can use the fast standard ISO parsing
+                # from Python 3.11 onwards we can use the faster standard ISO parsing
                 if sys.version_info >= (3, 11):
                     super().__init__(path, columns=columns, has_time_column=True, endswith=".txt")
                 else:

tests/common.py

@@ -11,8 +11,8 @@
 
 
 def get_feed() -> CSVFeed:
-    root = pathlib.Path(__file__).parent.resolve().joinpath("data", "csv")
-    return CSVFeed(str(root), time_offset="21:00:00+00:00", date_fmt="%Y%m%d")
+    root = pathlib.Path(__file__).parent.resolve().joinpath("data", "yahoo")
+    return CSVFeed(str(root), time_offset="21:00:00+00:00")
 
 
 def get_recent_start_date(days=10):

tests/data/yahoo/TSLA.csv

@@ -0,0 +1,6 @@
+Date,Open,High,Low,Close,Adj Close,Volume
+2022-08-22,291.913330,292.399994,286.296661,289.913330,289.913330,55843200
+2022-08-23,291.453339,298.826660,287.923340,296.453339,296.453339,63984900
+2022-08-24,297.563324,303.646667,296.500000,297.096680,297.096680,57259800
+2022-08-25,302.359985,302.959991,291.600006,296.070007,296.070007,53230000
+2022-08-26,297.429993,302.000000,287.470001,288.089996,288.089996,57163900

tests/unit/test_csvfeed.py

@@ -12,15 +12,10 @@ def _get_root_dir(*paths):
         root = pathlib.Path(__file__).parent.resolve().joinpath("..", "data", *paths)
         return str(root)
 
-    def test_csv_feed_generic(self):
-        root = self._get_root_dir("csv")
-        feed = CSVFeed(root, time_offset="21:00:00+00:00")
-        run_price_item_feed(feed, ["AAPL", "AMZN", "TSLA"], self)
-
     def test_csv_feed_yahoo(self):
         root = self._get_root_dir("yahoo")
         feed = CSVFeed.yahoo(root)
-        run_price_item_feed(feed, ["META"], self)
+        run_price_item_feed(feed, ["META", "AAPL", "AMZN", "TSLA"], self)
 
     def test_csv_feed_stooq_daily(self):
         root = self._get_root_dir("stooq", "daily")

tests/unit/test_flextrader.py

@@ -9,7 +9,7 @@
 
 class _MyTrader(FlexTrader):
 
-    def _get_orders(self, symbol, size, item, rating, time):
+    def _get_orders(self, symbol, size, item, signal, time):
         price = item.price("CLOSE")
         if price:
             limit_price = price * 0.99 if size > 0 else price * 1.01

tests/unit/test_rnn.py

@@ -51,7 +51,7 @@ def test_lstm_model(self):
         tf = rq.Timeframe.fromisoformat("2020-01-01", "2024-01-01")
         rq.run(feed, strategy, timeframe=tf)
         predictions = strategy.prediction_results
-        self.assertEqual(760, len(predictions))
+        self.assertEqual(987, len(predictions))
         self.assertNotEqual(max(predictions), min(predictions))