Merge pull request #323 from Lumiwealth/yahoo-last-price-fix

bug fix for yahoo get last price (it was getting the price from the d…

lumibot/data_sources/yahoo_data.py

@@ -3,7 +3,6 @@
 from decimal import Decimal
 
 import numpy
-
 from lumibot.data_sources import DataSourceBacktesting
 from lumibot.entities import Asset, Bars
 from lumibot.tools import YahooHelper
@@ -54,24 +53,15 @@ def _append_data(self, asset, data):
         return data
 
     def _pull_source_symbol_bars(
-        self,
-        asset,
-        length,
-        timestep=MIN_TIMESTEP,
-        timeshift=None,
-        quote=None,
-        exchange=None,
-        include_after_hours=True
+        self, asset, length, timestep=MIN_TIMESTEP, timeshift=None, quote=None, exchange=None, include_after_hours=True
     ):
         if exchange is not None:
             logging.warning(
                 f"the exchange parameter is not implemented for YahooData, but {exchange} was passed as the exchange"
             )
 
         if quote is not None:
-            logging.warning(
-                f"quote is not implemented for YahooData, but {quote} was passed as the quote"
-            )
+            logging.warning(f"quote is not implemented for YahooData, but {quote} was passed as the quote")
 
         self._parse_source_timestep(timestep, reverse=True)
         if asset in self._data_store:
@@ -111,14 +101,10 @@ def _pull_source_bars(
         """pull broker bars for a list assets"""
 
         if quote is not None:
-            logging.warning(
-                f"quote is not implemented for YahooData, but {quote} was passed as the quote"
-            )
+            logging.warning(f"quote is not implemented for YahooData, but {quote} was passed as the quote")
 
         self._parse_source_timestep(timestep, reverse=True)
-        missing_assets = [
-            asset.symbol for asset in assets if asset not in self._data_store
-        ]
+        missing_assets = [asset.symbol for asset in assets if asset not in self._data_store]
 
         if missing_assets:
             dfs = YahooHelper.get_symbols_data(missing_assets, auto_adjust=self.auto_adjust)
@@ -127,16 +113,12 @@ def _pull_source_bars(
 
         result = {}
         for asset in assets:
-            result[asset] = self._pull_source_symbol_bars(
-                asset, length, timestep=timestep, timeshift=timeshift
-            )
+            result[asset] = self._pull_source_symbol_bars(asset, length, timestep=timestep, timeshift=timeshift)
         return result
 
     def _parse_source_symbol_bars(self, response, asset, quote=None, length=None):
         if quote is not None:
-            logging.warning(
-                f"quote is not implemented for YahooData, but {quote} was passed as the quote"
-            )
+            logging.warning(f"quote is not implemented for YahooData, but {quote} was passed as the quote")
 
         bars = Bars(response, self.SOURCE, asset, raw=response)
         return bars
@@ -146,9 +128,9 @@ def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwar
         if timestep is None:
             timestep = self.get_timestep()
 
-        bars = self.get_historical_prices(
-            asset, 1, timestep=timestep, quote=quote  # , timeshift=timedelta(days=-1)
-        )
+        # Use -1 timeshift to get the price for the current bar (otherwise gets yesterdays prices)
+        bars = self.get_historical_prices(asset, 1, timestep=timestep, quote=quote, timeshift=timedelta(days=-1))
+
         if isinstance(bars, float):
             return bars
         elif bars is None:
@@ -171,9 +153,13 @@ def get_chains(self, asset):
         >>>    expirations = spy.options
         >>>    chain_data = spy.option_chain()
         """
-        raise NotImplementedError("Lumibot YahooData does not support historical options data. If you need this "
-                                  "feature, please use a different data source.")
+        raise NotImplementedError(
+            "Lumibot YahooData does not support historical options data. If you need this "
+            "feature, please use a different data source."
+        )
 
     def get_strikes(self, asset):
-        raise NotImplementedError("Lumibot YahooData does not support historical options data. If you need this "
-                                  "feature, please use a different data source.")
+        raise NotImplementedError(
+            "Lumibot YahooData does not support historical options data. If you need this "
+            "feature, please use a different data source."
+        )

lumibot/example_strategies/stock_buy_and_hold.py

@@ -46,6 +46,7 @@ def on_trading_iteration(self):
 
     if is_live:
         from credentials import ALPACA_CONFIG
+
         from lumibot.brokers import Alpaca
         from lumibot.traders import Trader
 

setup.py

@@ -5,7 +5,7 @@
 
 setuptools.setup(
     name="lumibot",
-    version="2.9.2",
+    version="2.9.3",
     author="Robert Grzesik",
     author_email="[email protected]",
     description="Backtesting and Trading Library, Made by Lumiwealth",

tests/backtest/test_example_strategies.py

@@ -4,10 +4,8 @@
 from lumibot.backtesting import YahooDataBacktesting
 from lumibot.example_strategies.stock_bracket import StockBracket
 from lumibot.example_strategies.stock_buy_and_hold import BuyAndHold
-from lumibot.example_strategies.stock_diversified_leverage import \
-    DiversifiedLeverage
-from lumibot.example_strategies.stock_limit_and_trailing_stops import \
-    LimitAndTrailingStop
+from lumibot.example_strategies.stock_diversified_leverage import DiversifiedLeverage
+from lumibot.example_strategies.stock_limit_and_trailing_stops import LimitAndTrailingStop
 from lumibot.example_strategies.stock_oco import StockOco
 
 # Global parameters
@@ -106,9 +104,9 @@ def test_stock_buy_and_hold(self):
         assert isinstance(strat_obj, BuyAndHold)
 
         # Check that the results are correct
-        assert round(results["cagr"] * 100, 1) == 155.7
-        assert round(results["volatility"] * 100, 1) == 7.0
-        assert round(results["total_return"] * 100, 1) == 0.5
+        assert round(results["cagr"] * 100, 1) == 2857.5
+        assert round(results["volatility"] * 100, 1) == 11.2
+        assert round(results["total_return"] * 100, 1) == 1.9
         assert round(results["max_drawdown"]["drawdown"] * 100, 1) == 0.0
 
     def test_stock_diversified_leverage(self):
@@ -135,9 +133,9 @@ def test_stock_diversified_leverage(self):
         assert isinstance(strat_obj, DiversifiedLeverage)
 
         # Check that the results are correct
-        assert round(results["cagr"] * 100, 1) == 2907.9
-        assert round(results["volatility"] * 100, 0) == 25
-        assert round(results["total_return"] * 100, 1) == 1.9
+        assert round(results["cagr"] * 100, 1) == 1235709.3
+        assert round(results["volatility"] * 100, 0) == 20.0
+        assert round(results["total_return"] * 100, 1) == 5.3
         assert round(results["max_drawdown"]["drawdown"] * 100, 1) == 0.0
 
     def test_limit_and_trailing_stops(self):
@@ -179,25 +177,26 @@ def test_limit_and_trailing_stops(self):
         assert filled_limit_orders.iloc[1]["filled_quantity"] == 100
 
         # Get all the filled trailing stop orders
-        filled_trailing_stop_orders = trades_df[(trades_df["status"] == "fill")
-                                                & (trades_df["type"] == "trailing_stop")]
+        filled_trailing_stop_orders = trades_df[
+            (trades_df["status"] == "fill") & (trades_df["type"] == "trailing_stop")
+        ]
 
         # Check if we have an order with a rounded price of 2 decimals of 400.45 and a quantity of 50
         order1 = filled_trailing_stop_orders[
-            (round(filled_trailing_stop_orders["price"], 2) == 400.45) & (
-                filled_trailing_stop_orders["filled_quantity"] == 50)
+            (round(filled_trailing_stop_orders["price"], 2) == 400.45)
+            & (filled_trailing_stop_orders["filled_quantity"] == 50)
         ]
         assert len(order1) == 1
 
         # Check if we have an order with a price of 399.30 and a quantity of 100
         order2 = filled_trailing_stop_orders[
-            (round(filled_trailing_stop_orders["price"], 2) == 399.30) & (
-                filled_trailing_stop_orders["filled_quantity"] == 100)
+            (round(filled_trailing_stop_orders["price"], 2) == 399.30)
+            & (filled_trailing_stop_orders["filled_quantity"] == 100)
         ]
         assert len(order2) == 1
 
         # Check that the results are correct
-        assert round(results["cagr"] * 100, 1) == 75
-        assert round(results["volatility"] * 100, 1) == 11.3
-        assert round(results["total_return"] * 100, 1) == 0.9
-        assert round(results["max_drawdown"]["drawdown"] * 100, 1) == 0.7
+        assert round(results["cagr"] * 100, 1) == 54.8
+        assert round(results["volatility"] * 100, 1) == 6.2
+        assert round(results["total_return"] * 100, 1) == 0.7
+        assert round(results["max_drawdown"]["drawdown"] * 100, 1) == 0.2

tests/backtest/test_yahoo.py

@@ -0,0 +1,62 @@
+import datetime
+
+from lumibot.backtesting import BacktestingBroker, YahooDataBacktesting
+from lumibot.strategies import Strategy
+from lumibot.traders import Trader
+
+
+class YahooPriceTest(Strategy):
+    parameters = {
+        "symbol": "SPY",  # The symbol to trade
+    }
+
+    def initialize(self):
+        # There is only one trading operation per day
+        self.sleeptime = "1D"
+
+    def on_trading_iteration(self):
+        # Get the parameters
+        symbol = self.parameters["symbol"]
+
+        # Get the datetime
+        self.dt = self.get_datetime()
+
+        # Get the last price
+        self.last_price = self.get_last_price(symbol)
+
+
+class TestYahooBacktestFull:
+    def test_yahoo_last_price(self):
+        """
+        Test the YahooDataBacktesting class by running a backtest and checking that the strategy object is returned
+        along with the correct results
+        """
+        # Parameters: True = Live Trading | False = Backtest
+        # trade_live = False
+        backtesting_start = datetime.datetime(2023, 11, 1)
+        backtesting_end = datetime.datetime(2023, 11, 2)
+
+        data_source = YahooDataBacktesting(
+            datetime_start=backtesting_start,
+            datetime_end=backtesting_end,
+        )
+
+        broker = BacktestingBroker(data_source=data_source)
+
+        poly_strat_obj = YahooPriceTest(
+            broker=broker,
+            backtesting_start=backtesting_start,
+            backtesting_end=backtesting_end,
+        )
+
+        trader = Trader(logfile="", backtest=True)
+        trader.add_strategy(poly_strat_obj)
+        results = trader.run_all(show_plot=False, show_tearsheet=False, save_tearsheet=False)
+
+        assert results
+
+        last_price = poly_strat_obj.last_price
+        # Round to 2 decimal places
+        last_price = round(last_price, 2)
+
+        assert last_price == 419.20  # This is the correct price for 2023-11-01 (the open price)