Added tests for ccxt data. Standardized signature of get_last_price

lumibot/backtesting/polygon_backtesting.py

@@ -2,6 +2,8 @@
 import traceback
 from collections import OrderedDict, defaultdict
 from datetime import date, timedelta
+from decimal import Decimal
+from typing import Union
 
 from polygon.exceptions import BadResponse
 from termcolor import colored
@@ -216,7 +218,7 @@ def get_historical_prices_between_dates(
         bars = self._parse_source_symbol_bars(response, asset, quote=quote)
         return bars
 
-    def get_last_price(self, asset, timestep="minute", quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, timestep="minute", quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         try:
             dt = self.get_datetime()
             self._update_pandas_data(asset, quote, 1, timestep, dt)

lumibot/backtesting/thetadata_backtesting.py

@@ -1,6 +1,9 @@
 import logging
 import re
 import traceback
+from decimal import Decimal
+from typing import Union
+
 import pandas as pd
 import subprocess
 from datetime import date, datetime, timedelta
@@ -247,7 +250,7 @@ def get_historical_prices_between_dates(
         bars = self._parse_source_symbol_bars(response, asset, quote=quote)
         return bars
 
-    def get_last_price(self, asset, timestep="minute", quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, timestep="minute", quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         try:
             dt = self.get_datetime()
             self._update_pandas_data(asset, quote, 1, timestep, dt)

lumibot/brokers/broker.py

@@ -304,7 +304,7 @@ def sync_positions(self, strategy):
 
     # =========Market functions=======================
 
-    def get_last_price(self, asset: Asset, quote=None, exchange=None) -> float:
+    def get_last_price(self, asset: Asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         """
         Takes an asset and returns the last known price
 
@@ -319,7 +319,7 @@ def get_last_price(self, asset: Asset, quote=None, exchange=None) -> float:
 
         Returns
         -------
-        float
+        float or Decimal or None
             The last known price of the asset.
         """
         if self.option_source and asset.asset_type == "option":

lumibot/data_sources/alpaca_data.py

@@ -1,5 +1,7 @@
 import logging
 from datetime import datetime, timedelta, timezone
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 from alpaca.data.historical import CryptoHistoricalDataClient, StockHistoricalDataClient
@@ -141,7 +143,7 @@ def get_chains(self, asset: Asset, quote=None, exchange: str = None):
             "feature, please use a different data source."
         )
 
-    def get_last_price(self, asset, quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         if quote is not None:
             # If the quote is not None, we use it even if the asset is a tuple
             if type(asset) == Asset and asset.asset_type == "stock":

lumibot/data_sources/ccxt_backtesting_data.py

@@ -12,7 +12,8 @@
 from lumibot.tools import CcxtCacheDB
 from pandas import DataFrame
 
-from typing import Union,Any
+from typing import Union, Any, Dict
+
 
 class CcxtBacktestingData(DataSourceBacktesting):
     """Use CcxtCacheDB to download and cache data.
@@ -107,7 +108,7 @@ def _pull_source_symbol_bars(
             data = self._data_store[symbol_timestep]
         else:
             data = self._pull_source_bars([asset],length,timestep,timeshift,quote,include_after_hours)
-            if data is None or len(data) == 0:
+            if data is None or data[symbol] is None or data[symbol].empty:
                 message = f"{self.SOURCE} did not return data for asset {symbol}. Make sure this symbol is valid."
                 logging.error(message)
                 return None
@@ -125,10 +126,15 @@ def _pull_source_symbol_bars(
 
         return result_data.tail(length)
 
-
-    def _pull_source_bars(self, assets:tuple[Asset,Asset], length:int, timestep:str=MIN_TIMESTEP,
-        timeshift:int=None, quote:Asset=None, include_after_hours:bool=False
-    )->DataFrame:
+    def _pull_source_bars(
+            self,
+            assets: tuple[Asset,Asset],
+            length: int,
+            timestep: str = MIN_TIMESTEP,
+            timeshift: int = None,
+            quote: Asset = None,
+            include_after_hours: bool = False
+    ) -> Dict:
         """pull broker bars for a list assets"""
         parsed_timestep = self._parse_source_timestep(timestep, reverse=True)
 
@@ -150,17 +156,18 @@ def _pull_source_bars(self, assets:tuple[Asset,Asset], length:int, timestep:str=
             else:
                 start_dt = start_dt - timedelta(minutes=self._download_start_dt_prebuffer)
 
+            data = self.cache_db.download_ohlcv(
+                symbol,parsed_timestep,
+                start_dt,
+                end_dt
+            )
 
-            data = self.cache_db.download_ohlcv(symbol,parsed_timestep,
-                                                start_dt,end_dt)
-
-            data.index  = data.index.tz_localize("UTC")
+            data.index = data.index.tz_localize("UTC")
             data.index = data.index.tz_convert(LUMIBOT_DEFAULT_PYTZ)
             result[symbol] = data
 
         return result
 
-
     def get_historical_prices(self, asset:tuple[Asset,Asset], length:int, timestep:str=None,
             timeshift:int=None, quote:Asset=None, exchange:Any=None, include_after_hours:bool=True
     )->Bars:
@@ -231,8 +238,7 @@ def _parse_source_symbol_bars(self, response:DataFrame, asset:tuple[Asset,Asset]
         bars = Bars(response, self.SOURCE, asset, quote=quote, raw=response)
         return bars
 
-
-    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         """Takes an asset and returns the last known price of close"""
         if timestep is None:
             timestep = self.get_timestep()

lumibot/data_sources/ccxt_data.py

@@ -1,6 +1,8 @@
 import datetime
 import logging
 import time
+from decimal import Decimal
+from typing import Union
 
 import ccxt
 import pandas as pd
@@ -209,7 +211,7 @@ def _parse_source_symbol_bars(self, response, asset, quote=None, length=None):
         bars = Bars(response, self.SOURCE, asset, quote=quote, raw=response)
         return bars
 
-    def get_last_price(self, asset, quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         if quote is not None:
             symbol = f"{asset.symbol}/{quote.symbol}"
         else:

lumibot/data_sources/data_source.py

@@ -4,6 +4,8 @@
 from datetime import datetime, timedelta
 import traceback
 import time
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 
@@ -101,7 +103,7 @@ def get_historical_prices(
         pass
 
     @abstractmethod
-    def get_last_price(self, asset, quote=None, exchange=None) -> float:
+    def get_last_price(self, asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         """
         Takes an asset and returns the last known price
 
@@ -116,7 +118,7 @@ def get_last_price(self, asset, quote=None, exchange=None) -> float:
 
         Returns
         -------
-        float
+        float or Decimal or None
             The last known price of the asset.
         """
         pass

lumibot/data_sources/example_broker_data.py

@@ -1,4 +1,7 @@
 import logging
+from decimal import Decimal
+from typing import Union
+
 from termcolor import colored
 from lumibot.entities import Asset, Bars
 from lumibot.data_sources import DataSource
@@ -25,6 +28,6 @@ def get_historical_prices(
         logging.error(colored("Method 'get_historical_prices' is not yet implemented.", "red"))
         return None  # Return None as a placeholder
 
-    def get_last_price(self, asset, quote=None, exchange=None) -> float:
+    def get_last_price(self, asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         logging.error(colored("Method 'get_last_price' is not yet implemented.", "red"))
         return 0.0  # Return 0.0 as a placeholder

lumibot/data_sources/interactive_brokers_data.py

@@ -1,5 +1,7 @@
 import datetime
 import math
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 
@@ -340,7 +342,7 @@ def get_historical_prices(
         bars = self._parse_source_symbol_bars(response, asset, quote=quote, length=length)
         return bars
 
-    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         if exchange is None:
             exchange = "SMART"
 

lumibot/data_sources/interactive_brokers_rest_data.py

@@ -1,4 +1,7 @@
 import logging
+from decimal import Decimal
+from typing import Union
+
 from termcolor import colored
 
 from lumibot import LUMIBOT_DEFAULT_PYTZ
@@ -842,7 +845,7 @@ def get_historical_prices(
 
         return bars
 
-    def get_last_price(self, asset, quote=None, exchange=None) -> float | None:
+    def get_last_price(self, asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         field = "last_price"
         response = self.get_market_snapshot(asset, [field])  # TODO add exchange
 

lumibot/data_sources/pandas_data.py

@@ -1,6 +1,8 @@
 import logging
 from collections import defaultdict, OrderedDict
 from datetime import timedelta
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 from lumibot.data_sources import DataSourceBacktesting
@@ -178,7 +180,7 @@ def update_date_index(self):
 
         return dt_index
 
-    def get_last_price(self, asset, quote=None, exchange=None):
+    def get_last_price(self, asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         # Takes an asset and returns the last known price
         tuple_to_find = self.find_asset_in_data_store(asset, quote)
 

lumibot/data_sources/tradier_data.py

@@ -1,6 +1,8 @@
 import logging
 from collections import defaultdict
 from datetime import datetime, date, timedelta
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 
@@ -255,7 +257,7 @@ def get_historical_prices(
 
         return bars
 
-    def get_last_price(self, asset, quote=None, exchange=None):
+    def get_last_price(self, asset, quote=None, exchange=None) -> Union[float, Decimal, None]:
         """
         This function returns the last price of an asset.
         Parameters
@@ -269,7 +271,7 @@ def get_last_price(self, asset, quote=None, exchange=None):
 
         Returns
         -------
-        float
+        float or Decimal or none
            Price of the asset
         """
 

lumibot/data_sources/yahoo_data.py

@@ -1,6 +1,7 @@
 import logging
 from datetime import timedelta
 from decimal import Decimal
+from typing import Union
 
 import numpy
 
@@ -131,7 +132,7 @@ def _parse_source_symbol_bars(self, response, asset, quote=None, length=None):
         bars = Bars(response, self.SOURCE, asset, raw=response)
         return bars
 
-    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs):
+    def get_last_price(self, asset, timestep=None, quote=None, exchange=None, **kwargs) -> Union[float, Decimal, None]:
         """Takes an asset and returns the last known price"""
         if timestep is None:
             timestep = self.get_timestep()

lumibot/entities/bars.py

@@ -1,5 +1,7 @@
 import logging
 from datetime import datetime
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 
@@ -168,7 +170,7 @@ def split(self):
 
         return result
 
-    def get_last_price(self):
+    def get_last_price(self) -> Union[float, Decimal, None]:
         """Return the last price of the last bar
 
         Parameters
@@ -177,7 +179,7 @@ def get_last_price(self):
 
         Returns
         -------
-        float
+        float, Decimal or None
 
         """
         return self.df["close"].iloc[-1]

lumibot/entities/data.py

@@ -1,6 +1,8 @@
 import datetime
 import logging
 import re
+from decimal import Decimal
+from typing import Union
 
 import pandas as pd
 from lumibot import LUMIBOT_DEFAULT_PYTZ as DEFAULT_PYTZ
@@ -383,7 +385,7 @@ def checker(self, *args, **kwargs):
         return checker
 
     @check_data
-    def get_last_price(self, dt, length=1, timeshift=0):
+    def get_last_price(self, dt, length=1, timeshift=0) -> Union[float, Decimal, None]:
         """Returns the last known price of the data.
 
         Parameters
@@ -399,7 +401,7 @@ def get_last_price(self, dt, length=1, timeshift=0):
 
         Returns
         -------
-        float
+        float or Decimal or None
         """
         iter_count = self.get_iter_count(dt)
         open_price = self.datalines["open"].dataline[iter_count]

lumibot/example_strategies/ccxt_backtesting_example.py

@@ -28,7 +28,7 @@ def _position_sizing(self):
         return cash, last_price, quantity
 
     def _get_historical_prices(self):
-        return self.get_historical_prices(asset=self.asset,length=None,
+        return self.get_historical_prices(asset=self.asset,length=self.window,
                                     timestep="day",quote=self.quote).df
 
     def _get_bbands(self,history_df:DataFrame):

lumibot/strategies/strategy.py

@@ -1651,7 +1651,7 @@ def sell_all(self, cancel_open_orders: bool = True, is_multileg: bool = False):
         """
         self.broker.sell_all(self.name, cancel_open_orders=cancel_open_orders, strategy=self, is_multileg=is_multileg)
 
-    def get_last_price(self, asset: Union[Asset, str], quote=None, exchange=None):
+    def get_last_price(self, asset: Union[Asset, str], quote=None, exchange=None) -> Union[float, Decimal, None]:
         """Takes an asset and returns the last known price
 
         Makes an active call to the market to retrieve the last price.

tests/backtest/test_example_strategies.py

@@ -245,8 +245,6 @@ def test_options_hold_to_expiry(self):
         assert round(cash_settled_orders.iloc[0]["price"], 0) == 0
         assert cash_settled_orders.iloc[0]["filled_quantity"] == 10
 
-    @pytest.mark.skip(reason="This test is skipped because the CCXTBackTesting data source is not currently "
-                             "returning data for this date range.")
     def test_ccxt_backtesting(self):
         """
         Test the example strategy StockBracket by running a backtest and checking that the strategy object is returned