Improved comments

.vscode/settings.json

@@ -12,12 +12,12 @@
         "Tiingo",
         "timeframes"
     ],
-    "python.testing.unittestArgs": [
+    "__python.testing.unittestArgs": [
         "-v",
         "-p",
         "test_*.py"
     ],
-    "__python.testing.unittestArgs": [
+    "python.testing.unittestArgs": [
         "-v",
         "-s",
         "./tests/unit",

roboquant/feeds/csvfeed.py

@@ -12,7 +12,7 @@
 
 
 class CSVFeed(HistoricFeed):
-    """Parse CSV files with historic data"""
+    """Use CSV files with historic data as a feed."""
 
     def __init__(
         self,
@@ -50,6 +50,7 @@ def _get_files(self, path):
         return files
 
     def _get_symbol(self, filename: str):
+        """Return the symbol based on the filename"""
         return pathlib.Path(filename).stem.upper()
 
     def _parse_csvfile(self, filename: str):

roboquant/feeds/randomwalk.py

@@ -7,7 +7,7 @@
 
 
 class RandomWalk(HistoricFeed):
-    """Randomwalk of stock prices"""
+    """This feed simulates the random-walk of stock prices."""
 
     def __init__(
         self,

roboquant/feeds/tiingolivefeed.py

@@ -37,7 +37,7 @@ def __init__(self, key: str | None = None, market: Literal["crypto", "iex", "fx"
         wst.daemon = True
         wst.start()
         time.sleep(3)
-        self.last_time = datetime.fromisoformat("1900-01-01T00:00:00+00:00")
+        self._last_time = datetime.fromisoformat("1900-01-01T00:00:00+00:00")
 
     def play(self, channel: EventChannel):
         self.channel = channel
@@ -50,10 +50,10 @@ def _deliver(self, price, now: datetime):
             t = now.astimezone(timezone.utc)
 
             # required for crypto times
-            if t < self.last_time:
-                t = self.last_time
+            if t < self._last_time:
+                t = self._last_time
             else:
-                self.last_time = t
+                self._last_time = t
 
             event = Event(t, [price])
             self.channel.put(event)
@@ -112,7 +112,7 @@ def _handle_error(self, ws, msg):
         logger.error(msg)
 
     def _handle_close(self, ws, close_status_code, close_msg):
-        logger.info(f"Webchannel closed code={close_status_code} msg={close_msg}")
+        logger.info("Webchannel closed code=%s msg=%s", close_status_code, close_msg)
 
     def subscribe(self, *symbols: str, threshold_level=5):
         logger.info("Subscribing to %s", symbols or "all symbols")
@@ -125,5 +125,5 @@ def subscribe(self, *symbols: str, threshold_level=5):
         self.ws.send(json_str)
 
     def close(self):
-        self.last_time = datetime.fromisoformat("1900-01-01").astimezone(timezone.utc)
+        self._last_time = datetime.fromisoformat("1900-01-01").astimezone(timezone.utc)
         self.ws.close()

roboquant/feeds/yahoofeed.py

@@ -31,7 +31,7 @@ def __init__(self, *symbols: str, start_date="2010-01-01", end_date: str | None
             df.dropna(inplace=True)
 
             if len(df) == 0:
-                logger.warning(f"no data retrieved for symbol={symbol}")
+                logger.warning("no data retrieved for symbol=%s", symbol)
                 continue
 
             # yFinance one doesn't correct volume, so use this one instead

roboquant/signal.py

@@ -3,7 +3,8 @@
 
 
 class SignalType(Flag):
-    """Type of signal, either EXTRY, EXIT or BOTH"""
+    """Type of signal, either ENTRY, EXIT or BOTH"""
+
     ENTRY = auto()
     EXIT = auto()
     BOTH = ENTRY | EXIT
@@ -17,20 +18,27 @@ class Signal:
     type: SignalType = SignalType.BOTH
 
     @staticmethod
-    def BUY(signal_type=SignalType.BOTH):
+    def buy(signal_type=SignalType.BOTH):
+        """Create a BUY signal with rating of 1.0"""
         return Signal(1.0, signal_type)
 
     @staticmethod
-    def SELL(signal_type=SignalType.BOTH):
+    def sell(signal_type=SignalType.BOTH):
+        """Create a SELL signal with rating of -1.0"""
         return Signal(-1.0, signal_type)
 
+    @property
     def is_buy(self):
         return self.rating > 0.0
 
+    @property
     def is_sell(self):
         return self.rating < 0.0
 
+    @property
+    def is_entry(self):
+        return SignalType.ENTRY in self.type
 
-if __name__ == "__main__":
-    s = Signal.BUY()
-    print(s)
+    @property
+    def is_exit(self):
+        return SignalType.EXIT in self.type

roboquant/strategies/buffer.py

@@ -5,7 +5,7 @@
 
 class NumpyBuffer:
     """A FIFO (first-in-first-out) buffer of a fixed capacity.
-    It uses a single Numpy array to store the data.
+    It uses a single Numpy array to store its data.
     """
 
     __slots__ = "_data", "_idx", "capacity"
@@ -50,7 +50,6 @@ def reset(self):
 
 class OHLCVBuffer(NumpyBuffer):
     """A OHLCV buffer (first-in-first-out) of a fixed capacity.
-    It uses NumpyBuffer to store the data.
     """
 
     def __init__(self, capacity: int, dtype="float64") -> None:

roboquant/strategies/emacrossover.py

@@ -26,11 +26,11 @@ def create_signals(self, event: Event) -> dict[str, Signal]:
             elif not calculator.step >= self.min_steps:
                 calculator.add_price(price)
             else:
-                old_direction = calculator.get_direction()
+                old_rating = calculator.get_rating()
                 calculator.add_price(price)
-                new_direction = calculator.get_direction()
-                if old_direction != new_direction:
-                    signals[symbol] = Signal(new_direction)
+                new_rating = calculator.get_rating()
+                if old_rating != new_rating:
+                    signals[symbol] = Signal(new_rating)
 
         return signals
 
@@ -54,5 +54,5 @@ def add_price(self, price: float):
             self.emaSlow = self.emaSlow * slow + (1.0 - slow) * price
             self.step += 1
 
-        def get_direction(self) -> float:
+        def get_rating(self) -> float:
             return 1.0 if self.emaFast > self.emaSlow else -1.0

roboquant/strategies/smacrossover.py

@@ -11,7 +11,7 @@ class SMACrossover(Strategy):
     def __init__(self, min_period: int = 13, max_period: int = 26):
         super().__init__()
         self._history: dict[str, collections.deque] = {}
-        self._last_rating: dict[str, bool] = {}
+        self._prev_ratings: dict[str, bool] = {}
         self.min_period = min_period
         self.max_period = max_period
 
@@ -21,12 +21,12 @@ def _check_condition(self, symbol: str) -> None | Signal:
         # SMA(MIN) > SMA(MAX)
         new_rating: bool = prices[-self.min_period:].mean() > prices[-self.max_period:].mean()
         result = None
-        if symbol in self._last_rating:
-            last_rating = self._last_rating[symbol]
-            if last_rating != new_rating:
-                result = Signal.BUY() if last_rating else Signal.SELL()
+        if symbol in self._prev_ratings:
+            prev_rating = self._prev_ratings[symbol]
+            if prev_rating != new_rating:
+                result = Signal.buy() if new_rating else Signal.sell()
 
-        self._last_rating[symbol] = new_rating
+        self._prev_ratings[symbol] = new_rating
         return result
 
     def create_signals(self, event: Event) -> dict[str, Signal]:

roboquant/strategies/strategy.py

@@ -5,10 +5,13 @@
 
 
 class Strategy(Protocol):
-    """A strategy creates signals based on incoming events and the items these events contain."""
+    """A strategy creates signals based on incoming events and the items these events contain.
+
+    Often these items represent market data, but other type of items are also possible.
+    """
 
     def create_signals(self, event: Event) -> dict[str, Signal]:
-        """Create a signal for zero or more symbols. Signals are returned as a dictionary with key being the symbol name and
+        """Create a signal for zero or more symbols. Signals are returned as a dictionary with key being the symbol and
         the value being the Signal.
         """
         ...

tests/common.py

@@ -33,14 +33,14 @@ def run_priceaction_feed(feed: Feed, symbols: list[str], testCase: TestCase, tim
     play_background(feed, channel)
 
     last = None
-    while event := channel.get(10.0):
+    while event := channel.get(30.0):
 
         testCase.assertIsInstance(event.time, datetime)
         testCase.assertEqual("UTC", event.time.tzname())
 
         if last is not None:
             # testCase.assertLessEqual(event.time - last, timedelta(minutes=1))
-            testCase.assertGreaterEqual(event.time, last)
+            testCase.assertGreaterEqual(event.time, last, f"{event} < {last}, items={event.items}")
 
         last = event.time
 

tests/performance/profiling_test.py

@@ -5,7 +5,7 @@
 from roboquant import Roboquant, CSVFeed, BasicTracker, EMACrossover
 
 if __name__ == "__main__":
-    path = os.path.expanduser("~/data/stooq_old/daily/us/nasdaq stocks/1")
+    path = os.path.expanduser("~/data/nasdaq_stocks/1")
     feed = CSVFeed.stooq_us_daily(path)
     print("timeframe =", feed.timeframe(), " symbols =", len(feed.symbols))
     rq = Roboquant(EMACrossover(13, 26))

tests/performance/tiingodelay_test.py

@@ -10,16 +10,16 @@
 import logging
 import time
 
-from roboquant import Config, EventChannel, Timeframe, TiingoLiveFeed, feedutil
+from roboquant import EventChannel, Timeframe, TiingoLiveFeed, feedutil
 from statistics import mean, stdev
 
 if __name__ == "__main__":
-    config = Config()
-    key = config.get("tiingo.key")
 
     logging.basicConfig(level=logging.INFO)
 
-    feed = TiingoLiveFeed(key, "iex")
+    feed = TiingoLiveFeed(market="iex")
+
+    # subscribe to all IEX stocks for TOP of order book changes and Trades.
     feed.subscribe(threshold_level=5)
 
     timeframe = Timeframe.next(minutes=1)

tests/unit/test_candlestrategy.py

@@ -12,9 +12,9 @@ def _create_signal(self, _, ohlcv: OHLCVBuffer) -> Signal | None:
         sma12 = close[-12:].mean()
         sma26 = close[-26:].mean()  # type: ignore
         if sma12 > sma26:
-            return Signal.BUY()
+            return Signal.buy()
         if sma12 < sma26:
-            return Signal.SELL()
+            return Signal.sell()
 
 
 class TestCandleStrategy(unittest.TestCase):