doc fixed and speed optimizations

docsrc/getting_started.rst

@@ -38,7 +38,7 @@ Here are the steps to get started using the Alpaca broker, if you want to use a
         # Put your own Alpaca secret here:
         "API_SECRET": "YOUR_ALPACA_SECRET",
         # If you want to go live, you must change this. It is currently set for paper trading
-        "ENDPOINT": "https://paper-api.alpaca.markets"
+        "PAPER": True,
     }
 
 5. Create a strategy class (See strategy section) e.g. class MyStrategy(Strategy) or import an example from our libraries, like this:
@@ -117,7 +117,7 @@ Here it is all together:
         # Put your own Alpaca secret here:
         "API_SECRET": "YOUR_ALPACA_SECRET",
         # If you want to go live, you must change this. It is currently set for paper trading
-        "ENDPOINT": "https://paper-api.alpaca.markets"
+        "PAPER": True,
     }
 
 

docsrc/index.rst

@@ -53,7 +53,7 @@ Once you have backtested your strategy and found it to be profitable on historic
         # Put your own Alpaca secret here:
         "API_SECRET": "YOUR_ALPACA_SECRET",
         # If you want to go live, you must change this. It is currently set for paper trading
-        "ENDPOINT": "https://paper-api.alpaca.markets"
+        "PAPER": True,
     }
 
 

lumibot/backtesting/polygon_backtesting.py

@@ -138,15 +138,32 @@ def update_pandas_data(self, asset, quote, length, timestep, start_dt=None):
 
     def _pull_source_symbol_bars(
         self,
-        asset,
-        length,
-        timestep=None,
-        timeshift=None,
-        quote=None,
-        exchange=None,
-        include_after_hours=True,
+        asset: Asset,
+        length: int,
+        timestep: str = "day",
+        timeshift: int = None,
+        quote: Asset = None,
+        exchange: str = None,
+        include_after_hours: bool = True,
     ):
-        pandas_data_update = self.update_pandas_data(asset, quote, length, timestep)
+        # Get the current datetime
+        dt = self.get_datetime()
+
+        # Calculate the start datetime
+        if timestep == "minute":
+            start_dt = dt - timedelta(minutes=length)
+            start_dt = (start_dt - timedelta(minutes=timeshift)) if timeshift is not None else start_dt
+        elif timestep == "hour":
+            start_dt = dt - timedelta(hours=length)
+            start_dt = (start_dt - timedelta(hours=timeshift)) if timeshift is not None else start_dt
+        elif timestep == "day":
+            start_dt = dt - timedelta(days=length)
+            start_dt = (start_dt - timedelta(days=timeshift)) if timeshift is not None else start_dt
+        else:
+            raise Exception(f"Invalid timestep: {timestep}")
+
+        # Get data from Polygon
+        pandas_data_update = self.update_pandas_data(asset, quote, length, timestep, start_dt)
 
         if pandas_data_update is not None:
             # Add the keys to the self.pandas_data dictionary

lumibot/brokers/alpaca.py

@@ -12,9 +12,10 @@
 from alpaca.trading.requests import GetOrdersRequest
 from alpaca.trading.stream import TradingStream
 from dateutil import tz
+from termcolor import colored
+
 from lumibot.data_sources import AlpacaData
 from lumibot.entities import Asset, Order, Position
-from termcolor import colored
 
 from .broker import Broker
 
@@ -61,7 +62,7 @@ class Alpaca(Broker):
     ...     # Put your own Alpaca secret here:
     ...     "API_SECRET": "YOUR_API_SECRET",
     ...     # If you want to go live, you must change this
-    ...     "ENDPOINT": "https://paper-api.alpaca.markets",
+    ...     "PAPER": True,
     ... }
     >>> alpaca = Alpaca(ALPACA_CONFIG)
     >>> print(alpaca.get_time_to_open())
@@ -79,7 +80,7 @@ class Alpaca(Broker):
     ...     # Put your own Alpaca secret here:
     ...     "API_SECRET": "YOUR_API_SECRET",
     ...     # If you want to go live, you must change this
-    ...     "ENDPOINT": "https://paper-api.alpaca.markets",
+    ...     "PAPER": True,
     ... }
     >>>
     >>> class AlpacaStrategy(Strategy):

lumibot/brokers/ccxt.py

@@ -2,10 +2,9 @@
 import logging
 from decimal import ROUND_DOWN, Decimal
 
-from termcolor import colored
-
 from lumibot.data_sources import CcxtData
 from lumibot.entities import Asset, Order, Position
+from termcolor import colored
 
 from .broker import Broker
 
@@ -14,6 +13,7 @@ class Ccxt(Broker):
     """
     Crypto broker using CCXT.
     """
+
     def __init__(self, config, data_source: CcxtData = None, max_workers=20, chunk_size=100, **kwargs):
         if data_source is None:
             data_source = CcxtData(config, max_workers=max_workers, chunk_size=chunk_size)
@@ -30,9 +30,7 @@ def __init__(self, config, data_source: CcxtData = None, max_workers=20, chunk_s
 
     def get_timestamp(self):
         """Returns the current UNIX timestamp representation from CCXT"""
-        logging.warning(
-            "The method 'get_time_to_close' is not applicable with Crypto 24/7 markets."
-        )
+        logging.warning("The method 'get_time_to_close' is not applicable with Crypto 24/7 markets.")
         return self.api.microseconds() / 1000000
 
     def is_market_open(self):
@@ -51,9 +49,7 @@ def get_time_to_open(self):
         -------
         None
         """
-        logging.warning(
-            "The method 'get_time_to_open' is not applicable with Crypto 24/7 markets."
-        )
+        logging.warning("The method 'get_time_to_open' is not applicable with Crypto 24/7 markets.")
         return None
 
     def get_time_to_close(self):
@@ -63,9 +59,7 @@ def get_time_to_close(self):
         -------
         None
         """
-        logging.debug(
-            "The method 'get_time_to_close' is not applicable with Crypto 24/7 markets."
-        )
+        logging.debug("The method 'get_time_to_close' is not applicable with Crypto 24/7 markets.")
         return None
 
     def is_margin_enabled(self):
@@ -143,14 +137,12 @@ def _get_balances_at_broker(self, quote_asset):
             precision_price = self.api.markets[market]["precision"]["price"]
 
             if self.api.exchangeId == "binance":
-                precision_amount = 10 ** -precision_amount
-                precision_price = 10 ** -precision_price
+                precision_amount = 10**-precision_amount
+                precision_price = 10**-precision_price
 
             # Binance only has `free` and `locked`.
             if self.api.exchangeId == "binance":
-                total_balance = Decimal(currency_info["free"]) + Decimal(
-                    currency_info["locked"]
-                )
+                total_balance = Decimal(currency_info["free"]) + Decimal(currency_info["locked"])
             else:
                 total_balance = currency_info["balance"]
 
@@ -208,9 +200,7 @@ def _parse_broker_position(self, position, strategy, orders=None):
             precision=precision,
         )
 
-        position_return = Position(
-            strategy, asset, quantity, hold=hold, available=available, orders=orders
-        )
+        position_return = Position(strategy, asset, quantity, hold=hold, available=available, orders=orders)
         return position_return
 
     def _pull_broker_position(self, asset):
@@ -306,10 +296,7 @@ def _pull_broker_open_orders(self):
             if self.fetch_open_orders_last_request_time is not None:
                 net_rate_limit = (
                     self.binance_all_orders_rate_limit
-                    - (
-                        datetime.datetime.now()
-                        - self.fetch_open_orders_last_request_time
-                    ).seconds
+                    - (datetime.datetime.now() - self.fetch_open_orders_last_request_time).seconds
                 )
                 if net_rate_limit > 0:
                     logging.info(
@@ -346,31 +333,20 @@ def _submit_order(self, order):
         order_class = ""
         order_types = ["market", "limit", "stop_limit"]
         # TODO: Is this actually true?? Try testing this with a bunch of different exchanges.
-        markets_error_message = (
-            f"Only `market`, `limit`, or `stop_limit` orders work "
-            f"with crypto currency markets."
-        )
+        markets_error_message = f"Only `market`, `limit`, or `stop_limit` orders work " f"with crypto currency markets."
 
         if order.order_class != order_class:
-            logging.error(
-                f"A compound order of {order.order_class} was entered. "
-                f"{markets_error_message}"
-            )
+            logging.error(f"A compound order of {order.order_class} was entered. " f"{markets_error_message}")
             return
 
         if order.type not in order_types:
-            logging.error(
-                f"An order type of {order.type} was entered which is not "
-                f"valid. {markets_error_message}"
-            )
+            logging.error(f"An order type of {order.type} was entered which is not " f"valid. {markets_error_message}")
             return
 
         # Check order within limits.
         market = self.api.markets.get(order.pair, None)
         if market is None:
-            logging.error(
-                f"An order for {order.pair} was submitted. The market for that pair does not exist"
-            )
+            logging.error(f"An order for {order.pair} was submitted. The market for that pair does not exist")
             order.set_error("No market for pair.")
             return order
 
@@ -385,7 +361,7 @@ def _submit_order(self, order):
             precision_exp_modifier = 2
             initial_precision_exp = abs(initial_precision_amount.as_tuple().exponent)
             new_precision_exp = initial_precision_exp - precision_exp_modifier
-            factor = 10 ** new_precision_exp
+            factor = 10**new_precision_exp
             precision_amount = Decimal(1) / Decimal(factor)
         else:
             precision_amount = str(precision["amount"])
@@ -440,9 +416,7 @@ def _submit_order(self, order):
                 setattr(
                     order,
                     price_type,
-                    Decimal(getattr(order, price_type)).quantize(
-                        Decimal(str(precision["price"]))
-                    ),
+                    Decimal(getattr(order, price_type)).quantize(Decimal(str(precision["price"]))),
                 )
             else:
                 continue
@@ -488,9 +462,7 @@ def _submit_order(self, order):
 
             try:
                 if limits["cost"]["max"] is not None:
-                    assert getattr(order, price_type) * order.quantity <= Decimal(
-                        limits["cost"]["max"]
-                    )
+                    assert getattr(order, price_type) * order.quantity <= Decimal(limits["cost"]["max"])
             except AssertionError:
                 logging.warning(
                     f"\nThe order {order} was rejected as the order total cost \n"
@@ -521,9 +493,7 @@ def _submit_order(self, order):
         except Exception as e:
             order.set_error(e)
             message = str(e)
-            full_message = (
-                f"{order} did not go through. The following error occurred: {message}"
-            )
+            full_message = f"{order} did not go through. The following error occurred: {message}"
             logging.info(colored(full_message, "red"))
 
         return order
@@ -647,9 +617,7 @@ def create_order_args(self, order):
                 # Remove items with None values
                 params = {k: v for k, v in params.items() if v}
 
-            order_type_map = dict(
-                market="MARKET", limit="LIMIT", stop_limit="STOP_LOSS_LIMIT"
-            )
+            order_type_map = dict(market="MARKET", limit="LIMIT", stop_limit="STOP_LOSS_LIMIT")
 
             args = [
                 order.pair,
@@ -716,10 +684,7 @@ def cancel_open_orders(self, strategy):
             self.api.cancel_order(order["id"], symbol=order["symbol"])
 
     def get_historical_account_value(self):
-        logging.error(
-            "The function get_historical_account_value is not "
-            "implemented yet for CCXT."
-        )
+        logging.error("The function get_historical_account_value is not " "implemented yet for CCXT.")
         return {"hourly": None, "daily": None}
 
     def wait_for_order_registration(self, order):